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, 2015
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.
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| Mutual Funds |
Nuveen Municipal
Bond Funds |
| It’s not what you earn, it’s what you keep.® |
| Semi-Annual Report August 31, 2015 |
| Share Class / Ticker Symbol | ||||||||||||||
| Fund Name | Class A | Class C | Class C2 | Class I | ||||||||||
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Nuveen California High Yield Municipal Bond Fund | NCHAX | NAWSX | NCHCX | NCHRX | ||||||||||
Nuveen California Municipal Bond Fund | NCAAX | NAKFX | NCACX | NCSPX | ||||||||||
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| Life is Complex. | ||||||||||||
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Must be preceded by or accompanied by a prospectus.
NOT FDIC INSURED MAY LOSE VALUE | |||||||||||
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of Contents
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Fund Performance, Expense Ratios and Effective Leverage Ratios | 9 | |||
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to Shareholders
Dear Shareholders,
For better or for worse, the financial markets have spent the past year waiting for the U.S. Federal Reserve (Fed) to end its accommodative monetary policy. The policy has propped up stock and bond markets since the Great Recession, but the question remains: how will markets behave without its influence? This uncertainty has been a considerable source of volatility for stock and bond prices lately, despite the Fed carefully conveying its intention to raise rates slowly and only when the economy shows evidence of readiness.
There may be at least one rate hike before the end of 2015. After all, the U.S. has reached “full employment” by the Fed’s standards and growth has resumed – albeit unevenly. But the picture remains somewhat uncertain. Inflation has remained stubbornly low, most recently weighed down by an unexpectedly sharp decline in commodity prices since mid-2014. With the Fed poised to tighten and foreign central banks easing, the U.S. dollar has surged against other currencies, which has weighed on corporate earnings and further contributed to commodity price weakness. U.S. consumers have benefited from an improved labor market and lower prices at the gas pump, but the overall pace of economic expansion has been lackluster.
Nevertheless, the global recovery continues to be led by the United States. Policy makers around the world are deploying their available tools to try to bolster Europe and Japan’s fragile growth, and manage China’s slowdown. Contagion fears ebb and flow with the headlines about Greece and China. Greece reluctantly agreed to a third bailout package from the European Union in July and China’s central bank and government intervened aggressively to try to stem the sell-off in stock prices. But persistent structural problems in these economies will continue to garner market attention.
Wall Street is fond of saying “markets don’t like uncertainty,” and asset prices are likely to continue to churn in the current macro environment. In times like these, you can look to a professional investment manager with the experience and discipline to maintain the proper perspective on short-term events. And if the daily headlines do concern you, I encourage you to reach out to your financial advisor. Your financial advisor can help you evaluate your investment strategies in light of current events, your time horizon and risk tolerance. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.
Sincerely,
William J. Schneider
Chairman of the Board
October 26, 2015
| 4 | Nuveen Investments |
Comments
Nuveen California High Yield Municipal Bond Fund
Nuveen California Municipal Bond Fund
These Funds feature management by Nuveen Asset Management, LLC, an affiliate of Nuveen Investments, Inc. Portfolio managers John V. Miller, CFA, and Scott R. Romans, PhD, review key investment strategies and the Funds’ performance during the six-month reporting period ended August 31, 2015. 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 reporting period ended August 31, 2015?
The tables in the Fund Performance, Expense Ratios and Effective Leverage Ratios section of this report provide total returns for the Funds for the six-month, one-year, five-year, ten-year and/or since inception periods ending August 31, 2015. Each Fund’s Class A Share total returns at net asset value (NAV) are compared with the performance of its benchmark and corresponding Lipper classification average. During the six-month reporting period, Nuveen California High Yield Municipal Bond Fund and Nuveen California Municipal Bond Fund outperformed their respective S&P benchmarks and their Lipper classification average.
What strategies were used to manage the Funds during the reporting period, and how did these strategies influence performance?
Both Funds continued to employ the same fundamental investment strategies and tactics long relied upon by Nuveen Asset Management. Our municipal bond portfolios are managed with a value-oriented approach and close input from Nuveen Asset Management’s research team.
Below we highlight the specific factors influencing each Fund’s investment strategy, as well as how we managed each portfolio in light of recent market conditions.
Nuveen California High Yield Municipal Bond Fund
The Nuveen California High Yield Municipal Bond Fund outpaced the S&P Municipal Yield Index during the six-month reporting period. This result came despite a portfolio duration that was somewhat longer than that of the overall high yield municipal bond market. As interest rates rose in a volatile environment for tax-exempt debt, the Fund’s heightened sensitivity to changes in rates posed a challenge.
That challenge, however, was more than offset by two favorable performance factors. First, the Fund’s yield oriented focus remained a positive in an environment of scarce income. Second, the Fund benefited from strong credit selection relative to the index. As an example, we lacked any exposure to the bonds of Puerto Rico, the U.S. territory with known credit challenges worsened during this reporting period. Not holding these poor performing bonds, which make up a significant portion of the high yield investment universe, proved helpful on a relative basis.
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 (S&P), Moody’s Investors Service, Inc. (Moody’s) or Fitch, Inc (Fitch). 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.
Bond insurance guarantees only the payment of principal and interest on the bond when due, and not the value of the bonds themselves, which will fluctuate with the bond market and the financial success of the issuer and the insurer. Insurance relates specifically to the bonds in the portfolio and not to the share prices of a Fund. No representation is made as to the insurers’ ability to meet their commitments.
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.
| Nuveen Investments | 5 |
Portfolio Managers’ Comments (continued)
At the same time, we did own Guam bonds, which, like all U.S. territorial debts offer triple exemption (i.e., exemption from most federal, state and local taxes). Some of our higher coupon Guam positions were advance refunded during the reporting period, resulting in a significant price boost that lifted the Fund’s results. At period end, approximately 2.9% of the Fund’s net assets were invested in Guam-affiliated bonds. We also owned an approximately 0.3% portfolio stake in U.S. Virgin Islands debt. The vast majority of the portfolio’s net assets was held in California bonds, which at period end was approximately 98.6%.
Other investments added particular value, including multiple bonds issued by community facilities districts. These real estate-backed credits held their value fairly well amid rising interest rates and even experienced modest spread tightening, meaning that investors were willing to accept less income over time to own the bonds. Certain charter school bonds, another sector in which spreads narrowed, also contributed to performance.
The Fund further benefited from bonds for a Southern California water desalinization project. As investors anticipated the project’s near-term completion, and as demand for water grew in the drought-stricken state, the issuer’s financial position appeared to strengthen.
During the reporting period, we maintained an interest rate hedge in the form of municipal interest rate swaps. This hedge enabled us to keep the Fund’s duration at our desired level without otherwise having to sell positions we found attractive. By mitigating the negative performance effects of rising interest rates, this hedge added negligibly to the Fund’s results.
During the reporting period, the Fund invested in credit default swap contracts to manage credit risk. Using credit default swaps, the Fund purchased credit protection, which had a negligible impact on performance. These positions were terminated prior to the close of the reporting period.
Our management strategy continued to focus on bonds that we believed offered positive long-term total return prospects, belonged to stable sectors and provided good potential for improving credit quality, in our opinion. Given the unpredictable nature of investment inflows during the reporting period, our emphasis was on trying to preserve the portfolio’s interest rate and credit quality positioning.
During the reporting period, we purchased bonds in a number of sectors, including hospitals, charter schools and higher education, that we believed would provide good long-term value for shareholders. To finance these purchases, we used the proceeds of new investment inflows coming throughout the reporting period. Money for these purchases also came from periodic bond calls, some of which involved community development district bonds. As this was a sector we continued to like, we often sought to reinvest the proceeds in other issues from this sector that met our credit research standards.
Although bond sales were limited during the reporting period, we did occasionally liquidate holdings in the Fund that had already done well, were now valued at fairly significant premiums and no longer provided what we saw as a favorable risk/reward tradeoff for shareholders.
Impact of the California High Yield Municipal Bond Fund’s Leveraging Strategy on Performance
One important factor impacting the returns of the Nuveen California High Yield Municipal Bond Fund relative to its comparative benchmark was the Fund’s use of leverage (more detail is provided later in the report) through its investments in inverse floating rate securities, which represent leveraged investments in underlying bonds. The Fund uses leverage because our research has shown that, over time, leveraging provides opportunities for additional income and total returns, 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 exposes the Fund to additional price volatility. When a Fund uses leverage, the Fund will experience a greater increase in its net asset value (NAV) if the municipal bonds acquired through the use of leverage increase in value, but it will also experience a correspondingly larger decline in its NAV if the bonds acquired through the use of leverage decline in value, which will make the Fund’s NAV more volatile, and its total return performance more variable over time. In addition, income in levered funds will typically decrease unlike unlevered funds, when short-term interest rates increase and increase when short-term interest rates decrease, and leverage would serve to reduce the Fund’s income if short-term interest rates rise such that they exceed the net income earned on the bonds purchased with the proceeds of leverage.
| 6 | Nuveen Investments |
The Fund’s use of leverage through inverse floating rate securities had a negligible impact on performance of the Fund over this reporting period.
Nuveen California Municipal Bond Fund
The Nuveen California Municipal Bond Fund outperformed the S&P Municipal Bond Index, during the six-month reporting period. Favorable credit quality positioning helped the Fund’s results. In a continued low interest rate environment and with strong demand from high yield investors, bonds with lower credit ratings tended to outperform their higher quality counterparts.
Accordingly, the Fund was helped by overweightings in below investment grade rated (below BBB rated) and non-rated bonds. In addition, the Fund’s underweighted stake in AAA rated bonds was another meaningful positive, given that these very high quality securities lagged the index.
To a lesser extent, sector positioning also added to the Fund’s results. Overweighting incremental-tax bonds, also known as redevelopment authority bonds, proved particularly helpful. Our exposure to this area of the market remained substantial, if reduced, following calls of several longtime portfolio holdings. Overweighting the strong performing tobacco bond sector also added value, as did underweighting bonds in the utility sector, which trailed the market. On the negative side, the Fund was underweighted in airport bonds, many of which are lower rated and therefore performed well during the reporting period.
During the reporting period, we found more investment opportunities in the primary, or new issue, municipal bond market, as opposed to the secondary market, where pricing generally struck us as less attractive. In adding bonds to the Fund, we tended to find the best value among A rated issues, whose yields were comparable to those of BBB rated issues but which had better credit quality. Our new acquisitions included state appropriation-backed debt, health care bonds and higher education issues. We also selectively bought lower rated bonds when we found suitable opportunities to do so. At times, this involved special situations in which sellers were motivated to liquidate their holdings quickly and we were able to invest at attractive prices.
At times, we purchased “four-handle” bonds, meaning highly rated, lower-coupon issues with better embedded yields than similarly structured higher-coupon bonds were providing. These acquisitions included bonds issued by the state of California, large municipal utilities and other AAA rated or AA rated credits. We viewed these purchases as temporary opportunities to capture value, rather than long-term holdings.
We also periodically engaged in bond swaps to seek to improve the Fund’s long-term ability to generate income. This involved selling bonds of a particular issuer and using the proceeds to buy comparable securities with slightly longer maturity dates. With this approach, we were able to maintain the Fund’s income characteristics for longer with only negligible additional interest rate risk.
Throughout the reporting period, we lacked any exposure to bonds of U.S. territorial issuers, including Puerto Rico, whose credit quality remained a source of concern for investors throughout the reporting period. All of the bonds we held in the Fund consisted of California-issued securities.
To fund our purchases, we primarily relied on the proceeds of bond calls and periodic investment inflows coming into the portfolio. In addition, we occasionally had opportunities to sell bonds with shorter call dates at prices we found attractive, and replace these securities with those offering longer call dates. This approach enabled us to better maintain our desired duration and income characteristics for the Fund.
An Update Involving Puerto Rico
As noted in the previous Shareholder Fund Report, we continue to monitor situations in the broader municipal market for any impact on the Funds’ holdings and performance: the ongoing economic problems of Puerto Rico is one such case. Puerto Rico’s continued economic weakening, escalating debt service obligations, and long-standing inability to deliver a balanced budget led to multiple downgrades on its debt over the past two years. Puerto Rico has warned investors since 2014 that the island’s debt burden may be unsustainable and the Commonwealth has been exploring various strategies to deal with this burden, including Chapter 9 bankruptcy.
The Nuveen complex’s entire exposure to obligations of the government of Puerto Rico and other Puerto Rico issuers totaled 0.27% of assets under management as of August 31, 2015. As of August 31, 2015, Nuveen’s limited exposure to Puerto Rico generally was invested in bonds that were insured, pre-refunded (and therefore backed by securities such as U.S. Treasuries), or tobacco settlement bonds. Overall, the small size of our exposures meant that our Puerto Rico holdings had a negligible impact on performance.
| Nuveen Investments | 7 |
and Dividend Information
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 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
Each Fund seeks to pay regular monthly dividends out of its net investment income at a rate that reflects its past and projected net income performance. To permit 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 income actually earned by the Fund during the period. If a 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 a 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 30, 2015, the Funds had positive UNII balances, based upon our best estimate, for tax purposes and positive UNII balances for financial reporting purposes.
All monthly dividends paid by the Funds during the current reporting period, were paid from net investment income. If a portion of the Fund’s monthly distributions was sourced from or comprised of elements other than net investment income, including capital gains and/or a return of capital, shareholders would have received a notice to that effect. For financial reporting purposes, the composition and per share amounts of each Fund’s dividends for the reporting period are presented in this report’s Statement of Changes in Net Assets and Financial Highlights, respectively. For income tax purposes, distribution information for each Fund as of its most recent tax year end is presented in Note 6 – Income Tax Information within the Notes to Financial Statements of this report.
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Fund Performance, Expense Ratios
and Effective Leverage Ratios
The Fund Performance, Expense Ratios and Effective Leverage Ratios for each Fund are shown within this section of the report.
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 an agreement by the investment adviser to waive certain fees and/or reimburse expenses during the periods presented. If any such waivers and/or reimbursements had not been in place, returns would have been reduced. See Notes to Financial Statements, Note 7—Management Fees and Other Transactions with Affiliates for more information. 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, and assume reinvestment of dividends and capital gains.
Comparative index and Lipper return information is provided for Class A Shares at net asset value (NAV) only.
The expense ratios shown reflect total operating expenses (before fee waivers and/or expense reimbursements, if any) as shown in the 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 | 9 |
Fund Performance, Expense Ratios and Effective Leverage Ratios (continued)
Nuveen California High Yield Municipal Bond Fund
Refer to the first page of this Fund Performance, Expense Ratios and Effective Leverage Ratios section for further explanation of the information included within this section. Refer to the Glossary of Terms Used in this Report for definitions of terms used within this section.
Fund Performance
Average Annual Total Returns as of August 31, 2015
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | Since Inception | |||||||||||||
Class A Shares at NAV | 0.44% | 5.70% | 8.04% | 4.87% | ||||||||||||
Class A Shares at maximum Offering Price | (3.77)% | 1.24% | 7.11% | 4.40% | ||||||||||||
S&P Municipal Yield Index | (0.67)% | 2.49% | 6.06% | 4.82% | ||||||||||||
Lipper California Municipal Debt Funds Classification Average | 0.13% | 3.06% | 4.76% | 4.28% | ||||||||||||
Class C2 Shares | 0.16% | 5.04% | 7.43% | 4.29% | ||||||||||||
Class I Shares | 0.54% | 5.91% | 8.25% | 5.07% | ||||||||||||
| Cumulative | Average Annual | |||||||||||
| 6-Month | 1-Year | Since Inception | ||||||||||
Class C Shares | 0.04% | 4.88% | 10.07% | |||||||||
Average Annual Total Returns as of September 30, 2015 (Most Recent Calendar Quarter)
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | Since Inception | |||||||||||||
Class A Shares at NAV | 0.45% | 5.56% | 8.13% | 4.91% | ||||||||||||
Class A Shares at maximum Offering Price | (3.75)% | 1.13% | 7.20% | 4.43% | ||||||||||||
Class C2 Shares | 0.07% | 4.90% | 7.52% | 4.32% | ||||||||||||
Class I Shares | 0.44% | 5.65% | 8.31% | 5.10% | ||||||||||||
| Cumulative | Average Annual | |||||||||||
| 6-Month | 1-Year | Since Inception | ||||||||||
Class C Shares | 0.04% | 4.63% | 9.95% | |||||||||
Since inception returns for Class A, Class C2 and Class I Shares, and for the comparative index and Lipper category average, are from 3/28/06. Since inception returns for Class C Shares are from 2/10/14. Indexes and Lipper averages are not available for direct investment.
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 and Class C2 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
| Share Class | ||||||||||||||||
| Class A | Class C | Class C2 | Class I | |||||||||||||
Expense Ratios | 0.85% | 1.64% | 1.40% | 0.65% | ||||||||||||
Effective Leverage Ratio as of August 31, 2015
Effective Leverage Ratio | 14.80% |
| 10 | Nuveen Investments |
Nuveen California Municipal Bond Fund
Refer to the first page of this Fund Performance, Expense Ratios and Effective Leverage Ratios section for further explanation of the information included within this section. Refer to the Glossary of Terms Used in this Report for definitions of terms used within this section.
Fund Performance
Average Annual Total Returns as of August 31, 2015
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | 0.58% | 4.55% | 6.05% | 4.88% | ||||||||||||
Class A Shares at maximum Offering Price | (3.65)% | 0.16% | 5.13% | 4.43% | ||||||||||||
S&P Municipal Bond Index | 0.21% | 2.38% | 4.11% | 4.44% | ||||||||||||
S&P Municipal Bond California Index | 0.58% | 3.14% | 5.02% | 4.79% | ||||||||||||
Lipper California Municipal Debt Funds Classification Average | 0.13% | 3.06% | 4.76% | 4.08% | ||||||||||||
Class C2 Shares | 0.28% | 4.04% | 5.47% | 4.31% | ||||||||||||
Class I Shares | 0.66% | 4.81% | 6.27% | 5.09% | ||||||||||||
| Cumulative | Average Annual | |||||||||||
| 6-Month | 1-Year | Since Inception | ||||||||||
Class C Shares | 0.17% | 3.81% | 6.81% | |||||||||
Average Annual Total Returns as of September 30, 2015 (Most Recent Calendar Quarter)
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | 0.93% | 4.53% | 6.17% | 5.03% | ||||||||||||
Class A Shares at maximum Offering Price | (3.31)% | 0.16% | 5.28% | 4.58% | ||||||||||||
Class C2 Shares | 0.54% | 3.93% | 5.58% | 4.45% | ||||||||||||
Class I Shares | 0.92% | 4.70% | 6.36% | 5.24% | ||||||||||||
| Cumulative | Average Annual | |||||||||||
| 6-Month | 1-Year | Since Inception | ||||||||||
Class C Shares | 0.43% | 3.70% | 6.86% | |||||||||
Since inception returns are from 2/10/14. Indexes and Lipper averages are not available for direct investment.
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 and Class C2 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
| Share Class | ||||||||||||||||
| Class A | Class C | Class C2 | Class I | |||||||||||||
Expense Ratios | 0.77% | 1.56% | 1.32% | 0.57% | ||||||||||||
Effective Leverage Ratio as of August 31, 2015
Effective Leverage Ratio | 0.00% |
| Nuveen Investments | 11 |
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. Subsidized yields reflect fee waivers and/or expense reimbursements from the investment adviser during the period. If any such waivers and/or reimbursements had not been in place, yields would have been reduced. Unsubsidized yields do not reflect waivers and/or reimbursements from the investment adviser during the period. Refer to the Fund Performance and Expense Ratios page for further details on the investment adviser’s most recent agreement with the Fund to waive fees and/or reimburse expenses, where applicable. 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. If the comparison were instead to investments that generate qualified dividend income, which is taxable at a rate lower than an individual’s ordinary graduated tax rate, the fund’s Taxable-Equivalent Yield would be lower.
Nuveen California High Yield Municipal Bond Fund
| Share Class | ||||||||||||||||
| Class A1 | Class C | Class C2 | Class I | |||||||||||||
Dividend Yield | 4.09% | 3.44% | 3.70% | 4.46% | ||||||||||||
SEC 30-Day Yield – Subsidized | 3.61% | 2.97% | 3.23% | 3.98% | ||||||||||||
SEC 30-Day Yield – Unsubsidized | 3.61% | 2.97% | 3.23% | 3.98% | ||||||||||||
Taxable-Equivalent Yield – Subsidized (34.7%)2 | 5.53% | 4.55% | 4.95% | 6.09% | ||||||||||||
Taxable-Equivalent Yield – Unsubsidized (34.7%)2 | 5.53% | 4.55% | 4.95% | 6.09% | ||||||||||||
Nuveen California Municipal Bond Fund
| Share Class | ||||||||||||||||
| Class A1 | Class C | Class C2 | Class I | |||||||||||||
Dividend Yield | 3.65% | 3.01% | 3.22% | 3.97% | ||||||||||||
SEC 30-Day Yield – Subsidized | 2.18% | 1.48% | 1.73% | 2.48% | ||||||||||||
SEC 30-Day Yield – Unsubsidized | 2.18% | 1.48% | 1.73% | 2.48% | ||||||||||||
Taxable-Equivalent Yield – Subsidized (34.7%)2 | 3.34% | 2.27% | 2.65% | 3.80% | ||||||||||||
Taxable-Equivalent Yield – Unsubsidized (34.7%)2 | 3.34% | 2.27% | 2.65% | 3.80% | ||||||||||||
| 1 | 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. |
| 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 as shown in the respective table above. |
| 12 | Nuveen Investments |
Summaries as of August 31, 2015
This data relates to the securities held in each Fund’s portfolio of investments as of the end of this reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s, 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.
Refer to the Glossary of Terms Used in this Report for definitions of terms used within this section.
Nuveen California High Yield Municipal Bond Fund
Fund Allocation
(% of net assets)
Long-Term Municipal Bonds | 97.9% | |||
Common Stocks | 0.6% | |||
Short-Term Municipal Bonds | 0.6% | |||
Other Assets Less Liabilities | 1.0% | |||
Net Assets Plus Floating Rate Obligations | 100.1% | |||
Floating Rate Obligations | (0.1)% | |||
Net Assets | 100% |
Portfolio Composition1
(% of total investments)
Tax Obligation/Limited | 47.8% | |||
Health Care | 10.5% | |||
Education and Civic Organizations | 9.4% | |||
Consumer Staples | 5.6% | |||
Transportation | 5.1% | |||
Tax Obligation/General | 4.9% | |||
Other | 16.7% | |||
Total | 100% |
Bond Credit Quality1
(% of total investment exposure)
AAA/U.S. Guaranteed | 3.4% | |||
AA | 30.1% | |||
A | 11.8% | |||
BBB | 12.6% | |||
BB or Lower | 11.7% | |||
N/R (not rated) | 29.9% | |||
N/A (not applicable) | 0.5% | |||
Total | 100% |
| 1 | Excluding investments in derivatives. |
| Nuveen Investments | 13 |
Holding Summaries (continued)
Nuveen California Municipal Bond Fund
Fund Allocation
(% of net assets)
Long-Term Municipal Bonds | 98.6% | |||
Short-Term Municipal Bonds | 0.7% | |||
Other Assets Less Liabilities | 0.7% | |||
Net Assets | 100% |
Portfolio Composition
(% of total investments)
Tax Obligation/Limited | 29.8% | |||
Tax Obligation/General | 27.9% | |||
Health Care | 11.1% | |||
Education and Civic Organizations | 6.6% | |||
Water and Sewer | 6.5% | |||
Other | 18.1% | |||
Total | 100% |
Bond Credit Quality
(% of total investment exposure)
AAA/U.S. Guaranteed | 6.9% | |||
AA | 47.7% | |||
A | 19.1% | |||
BBB | 10.0% | |||
BB or Lower | 8.3% | |||
N/R (not rated) | 8.0% | |||
Total | 100% |
| 14 | Nuveen Investments |
Examples
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 through the period ended August 31, 2015.
The beginning of the period is March 1, 2015.
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 each Fund’s actual expense ratios 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 following 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 California High Yield Municipal Bond Fund
| Share Class | ||||||||||||||||
| Class A | Class C | Class C2 | Class I | |||||||||||||
Actual Performance | ||||||||||||||||
Beginning Account Value | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||||
Ending Account Value | $ | 1,004.40 | $ | 1,000.40 | $ | 1,001.60 | $ | 1,005.40 | ||||||||
Expenses Incurred During Period | $ | 4.28 | $ | 8.30 | $ | 7.04 | $ | 3.28 | ||||||||
Hypothetical Performance (5% annualized return before expenses) | ||||||||||||||||
Beginning Account Value | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||||
Ending Account Value | $ | 1,020.86 | $ | 1,016.84 | $ | 1,018.10 | $ | 1,021.87 | ||||||||
Expenses Incurred During Period | $ | 4.32 | $ | 8.36 | $ | 7.10 | $ | 3.30 | ||||||||
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.85%, 1.65%, 1.40% and 0.65% for Classes A, C, C2 and I, respectively, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).
| Nuveen Investments | 15 |
Expense Examples (continued)
Nuveen California Municipal Bond Fund
| Share Class | ||||||||||||||||
| Class A | Class C | Class C2 | Class I | |||||||||||||
Actual Performance | ||||||||||||||||
Beginning Account Value | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||||
Ending Account Value | $ | 1,005.80 | $ | 1,001.70 | $ | 1,002.80 | $ | 1,006.60 | ||||||||
Expenses Incurred During Period | $ | 3.88 | $ | 7.90 | $ | 6.65 | $ | 2.88 | ||||||||
Hypothetical Performance (5% annualized return before expenses) | ||||||||||||||||
Beginning Account Value | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||||
Ending Account Value | $ | 1,021.27 | $ | 1,017.24 | $ | 1,018.50 | $ | 1,022.27 | ||||||||
Expenses Incurred During Period | $ | 3.91 | $ | 7.96 | $ | 6.70 | $ | 2.90 | ||||||||
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.77%, 1.57%, 1.32% and 0.57% for Classes A, C, C2 and I, respectively, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).
| 16 | Nuveen Investments |
Nuveen California High Yield Municipal Bond Fund
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
LONG-TERM INVESTMENTS – 98.5% | ||||||||||||||||
MUNICIPAL BONDS – 97.9% | ||||||||||||||||
| Consumer Discretionary – 0.2% | ||||||||||||||||
| $ | 75 | Austin Convention Enterprises Inc., Texas, Convention Center Hotel Revenue Bonds, Third Tier Series 2001C, 9.750%, 1/01/26 | 1/16 at 100.00 | N/R | $ | 75,671 | ||||||||||
Louisiana Local Government Environmental Facilities and Community Development Authority, Revenue Bonds, Southgate Suites Retail Project, Series 2007A: | ||||||||||||||||
| 1,000 | 6.750%, 12/15/37 (4) | 12/17 at 100.00 | N/R | 644,600 | ||||||||||||
| 160 | 6.000%, 12/15/37 | 11/15 at 100.00 | N/R | 88,336 | ||||||||||||
| 15 | Louisiana Local Government Environmental Facilities and Community Development Authority, Revenue Bonds, Southgate Suites Retail Project, Series 2007B, 9.000%, 12/15/14 | No Opt. Call | N/R | 8,282 | ||||||||||||
| 500 | Morongo Band of Mission Indians, California, Enterprise Revenue Bonds, Series 2008B, 6.500%, 3/01/28 | 3/18 at 100.00 | N/R | 555,690 | ||||||||||||
| 75 | 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 | 75,003 | ||||||||||||
| 1,825 | Total Consumer Discretionary | 1,447,582 | ||||||||||||||
| Consumer Staples – 5.5% | ||||||||||||||||
| 27,000 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Alameda County Tobacco Asset Securitization Corporation, Subordinate Series 2006A, 0.000%, 6/01/50 | 6/16 at 12.54 | B | 1,588,950 | ||||||||||||
| 1,155 | 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 | 902,956 | ||||||||||||
| 150 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Los Angeles County Securitization Corporation, Series 2006A., 5.700%, 6/01/46 | 12/18 at 100.00 | B+ | 135,737 | ||||||||||||
| 50 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Sonoma County Tobacco Securitization Corporation, Series 2005, 5.250%, 6/01/45 | 11/15 at 100.00 | B– | 41,077 | ||||||||||||
Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Series 2007A-1: | ||||||||||||||||
| 10,750 | 5.000%, 6/01/33 | 6/17 at 100.00 | B | 9,138,682 | ||||||||||||
| 3,695 | 5.750%, 6/01/47 | 6/17 at 100.00 | B | 3,175,742 | ||||||||||||
| 7,500 | 5.125%, 6/01/47 | 6/17 at 100.00 | B | 5,880,825 | ||||||||||||
| 3,600 | Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Series 2007A-2, 5.300%, 6/01/37 | 6/22 at 100.00 | B | 2,969,712 | ||||||||||||
| 10,600 | Inland Empire Tobacco Securitization Authority, California, Tobacco Settlement Asset-Backed Bonds, Series 2007, 0.000%, 6/01/36 | 6/17 at 28.99 | B– | 2,038,592 | ||||||||||||
| 1,000 | Tobacco Securitization Authority of Northern California, Tobacco Settlement Asset-Backed Bonds, Series 2005A-1, 5.375%, 6/01/38 | 11/15 at 100.00 | B– | 830,380 | ||||||||||||
Tobacco Securitization Authority of Southern California, Tobacco Settlement Asset-Backed Bonds, San Diego County Tobacco Asset Securitization Corporation, Senior Series 2006A: | ||||||||||||||||
| 1,000 | 5.000%, 6/01/37 | 11/15 at 100.00 | BB+ | 866,440 | ||||||||||||
| 7,345 | 5.125%, 6/01/46 | 11/15 at 100.00 | B+ | 6,159,590 | ||||||||||||
| 73,845 | Total Consumer Staples | 33,728,683 | ||||||||||||||
| Nuveen Investments | 17 |
Nuveen California High Yield Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Education and Civic Organizations – 9.3% | ||||||||||||||||
| $ | 1,065 | California Educational Facilities Authority, Revenue Bonds, Dominican University, Series 2006, 5.000%, 12/01/36 | 12/16 at 100.00 | Baa3 | $ | 1,103,276 | ||||||||||
| 35 | California Educational Facilities Authority, Revenue Bonds, University of Redlands, Series 2005A, 5.000%, 10/01/35 | 10/15 at 100.00 | A3 | 35,046 | ||||||||||||
| 1,335 | California Municipal Finance Authority Charter School Revenue Bonds, John Adams Academies, Inc. Project, Series 2015A&B, 5.250%, 10/01/45 | 10/22 at 102.00 | BBB– | 1,341,635 | ||||||||||||
| 1,000 | California Municipal Finance Authority, Charter School Lease Revenue Bonds, Rocketship 7 – Alma Academy Elementary School, Series 2012A, 6.250%, 6/01/43 | 12/21 at 101.00 | N/R | 1,071,360 | ||||||||||||
California Municipal Finance Authority, Charter School Revenue Bonds, John Adams Academies, Inc. Project, Series 2014A: | ||||||||||||||||
| 1,400 | 5.000%, 10/01/34 | 10/22 at 102.00 | BBB– | 1,414,196 | ||||||||||||
| 465 | 5.000%, 10/01/44 | 10/22 at 102.00 | BBB– | 459,360 | ||||||||||||
| 2,000 | California Municipal Finance Authority, Charter School Revenue Bonds, Rocketship Education – Multiple Projects, Series 2014A, 7.000%, 6/01/34 | 6/22 at 102.00 | N/R | 2,230,800 | ||||||||||||
California Municipal Finance Authority, Charter School Revenue Bonds, Urban Discovery Academy Project, Series 2014A: | ||||||||||||||||
| 875 | 5.500%, 8/01/34 | 8/24 at 100.00 | BB | 903,586 | ||||||||||||
| 1,650 | 6.000%, 8/01/44 | 8/24 at 100.00 | BB | 1,718,062 | ||||||||||||
| 2,000 | California Municipal Finance Authority, Education Revenue Bonds, American Heritage Education Foundation Project, Series 2006A, 5.250%, 6/01/36 | 6/16 at 100.00 | BBB– | 2,008,300 | ||||||||||||
| 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 | 1,404,500 | ||||||||||||
California Municipal Finance Authority, Lakeview Charter Academy School Revenue Bonds, Partnerships to Uplift Communities Project, Series 2012A: | ||||||||||||||||
| 1,330 | 5.000%, 8/01/32 | No Opt. Call | BB+ | 1,381,059 | ||||||||||||
| 2,700 | 5.250%, 8/01/42 | No Opt. Call | BB+ | 2,814,102 | ||||||||||||
| 1,795 | 5.300%, 8/01/47 | 8/22 at 100.00 | BB+ | 1,869,654 | ||||||||||||
California Municipal Finance Authority, Revenue Bonds, Azusa Pacific University Project, Refunding Series 2015B: | ||||||||||||||||
| 1,095 | 5.000%, 4/01/35 | 4/25 at 100.00 | Baa3 | 1,178,822 | ||||||||||||
| 670 | 5.000%, 4/01/41 | 4/25 at 100.00 | Baa3 | 713,061 | ||||||||||||
| 1,500 | California Municipal Finance Authority, Revenue Bonds, Biola University, Refunding Series 2008A, 5.875%, 10/01/34 | 4/18 at 100.00 | Baa1 | 1,632,060 | ||||||||||||
| 1,290 | California Municipal Finance Authority, Revenue Bonds, Emerson College, Series 2011, 5.000%, 1/01/28 | No Opt. Call | BBB+ | 1,433,035 | ||||||||||||
| 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 | 323,964 | ||||||||||||
| 3,700 | California Municipal Finance Authority, Revenue Bonds, Goodwill Industries of Sacramento Valley & Northern Nevada Project, Series 2014A, 5.250%, 1/01/45 | 1/25 at 100.00 | N/R | 3,693,673 | ||||||||||||
| 625 | California Municipal Finance Authority, Revenue Bonds, Touro College and University System, Series 2014A, 5.250%, 1/01/34 | 7/24 at 100.00 | BBB– | 677,950 | ||||||||||||
| 1,015 | California School Finance Authority School Facility Revenue Bonds, Alta Public Schools Project, Series 2014A, 6.500%, 11/01/34 | 11/24 at 100.00 | N/R | 1,039,675 | ||||||||||||
| 600 | California School Finance Authority, Charter School Revenue Bonds, Coastal Academy Project, Series 2013A, 5.000%, 10/01/42 | 10/22 at 100.00 | BBB– | 615,396 | ||||||||||||
| 980 | California School Finance Authority, Educational Facilities Revenue Bonds, Tri-Valley Learning Corporation, Series 2012A, 7.000%, 6/01/47 | 6/20 at 102.00 | N/R | 1,071,356 | ||||||||||||
| 18 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Education and Civic Organizations (continued) | ||||||||||||||||
California School Finance Authority, Educational Facility Revenue Bonds, New Designs Charter School Project, Series 2014A: | ||||||||||||||||
| $ | 1,000 | 5.750%, 6/01/34 | 6/24 at 100.00 | BB+ | $ | 1,053,270 | ||||||||||
| 1,000 | 6.000%, 6/01/44 | 6/24 at 100.00 | BB+ | 1,059,180 | ||||||||||||
California School Finance Authority, Educational Facility Revenue Bonds, Partnerships to Uplift Communities Valley Project, Series 2014: | ||||||||||||||||
| 1,380 | 6.400%, 8/01/34 | 2/24 at 100.00 | BB | 1,550,444 | ||||||||||||
| 2,040 | 6.750%, 8/01/44 | 2/24 at 100.00 | BB | 2,325,559 | ||||||||||||
California School finance Authority, School Facility Revenue Bonds, ICEF – View Park Elementary and Middle Schools, Series 2014A: | ||||||||||||||||
| 575 | 5.625%, 10/01/34 | 10/24 at 100.00 | BB | 586,230 | ||||||||||||
| 1,000 | 5.875%, 10/01/44 | 10/24 at 100.00 | BB | 1,025,400 | ||||||||||||
| 520 | 6.000%, 10/01/49 | 10/24 at 100.00 | BB | 535,860 | ||||||||||||
| 1,000 | California School Finance Authority, School Facility Revenue Bonds, Alliance for College-Ready Public Schools Project, Series 2015A, 4.125%, 7/01/35 | 7/25 at 100.00 | BBB– | 910,030 | ||||||||||||
| 1,250 | California School Finance Authority, School Facility Revenue Bonds, Value Schools, Series 2013, 6.650%, 7/01/33 | 7/23 at 100.00 | BB+ | 1,386,750 | ||||||||||||
| 1,000 | California Statewide Communities Development Authority, Charter School Revenue Bonds – Albert Einstein Academy for Letters, Arts, & Sciences Charter School Series 2012, 6.000%, 11/01/32 | No Opt. Call | N/R | 1,029,200 | ||||||||||||
| 1,000 | California Statewide Communities 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 | 1,161,890 | ||||||||||||
California Statewide Communities Development Authority, Educational Facilities Revenue Bonds, Huntington Park Charter School Project, Series 2007A: | ||||||||||||||||
| 2,090 | 5.150%, 7/01/30 | 7/17 at 100.00 | N/R | 2,102,038 | ||||||||||||
| 1,500 | 5.250%, 7/01/42 | 7/17 at 100.00 | N/R | 1,499,880 | ||||||||||||
| 1,000 | California Statewide Communities Development Authority, Revenue Bonds, Buck Institute for Research on Aging, Tender Option Bond Trust 2015-XF1035, 21.460%, 11/15/49 – AGM Insured (IF) (5) | 11/24 at 100.00 | AA | 1,532,100 | ||||||||||||
| 1,040 | 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– | 1,183,655 | ||||||||||||
| 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+ | 964,161 | ||||||||||||
| 1,000 | California Statewide Community Development Authority, Revenue Bonds, California Baptist University, Series 2007A, 5.500%, 11/01/38 | 11/17 at 102.00 | N/R | 1,007,680 | ||||||||||||
| 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 | 201,428 | ||||||||||||
| 370 | 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 | 372,039 | ||||||||||||
| 600 | California, School Finance Authority, School Facility Revenue Bonds, KIPP LA Projects, Series 2014A, 5.000%, 7/01/34 | 7/24 at 100.00 | BBB– | 635,700 | ||||||||||||
| 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 | 202,048 | ||||||||||||
| 100 | Pima County Industrial Development Authority, Arizona, Charter School Revenue Bonds, Choice Education and Development, Series 2006, 6.375%, 6/01/36 | 6/16 at 100.00 | N/R | 101,580 | ||||||||||||
| Nuveen Investments | 19 |
Nuveen California High Yield Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Education and Civic Organizations (continued) | ||||||||||||||||
| $ | 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 | BB+ | $ | 65,545 | ||||||||||
| 355 | 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 | 344,318 | ||||||||||||
| 1,250 | University of California, General Revenue Bonds, Tender Option Bond Trust 2013-24U, 18.200%, 5/15/39 (IF) (5) | 5/23 at 100.00 | AA | 1,903,800 | ||||||||||||
| 53,110 | Total Education and Civic Organizations | 56,873,713 | ||||||||||||||
| Health Care – 9.8% | ||||||||||||||||
| 970 | Antelope Valley Healthcare District, California, Revenue Bonds, Series 2011A, 6.875%, 3/01/26 | No Opt. Call | Ba3 | 1,089,426 | ||||||||||||
| 1,315 | California Health Facilities Financing Authority, Revenue Bonds, El Camino Hospital, Series 2015A, 5.000%, 2/01/40 | 2/25 at 100.00 | A+ | 1,452,602 | ||||||||||||
| 625 | California Health Facilities Financing Authority, Revenue Bonds, Kaiser Permanante System, Tender Option Bond Trust 2015-XF1002, 17.062%, 4/01/42 (IF) (5) | 4/22 at 100.00 | A+ | 869,150 | ||||||||||||
| 1,220 | California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children’s Hospital, Series 2012A, 5.000%, 8/15/51 (UB) (5) | 8/22 at 100.00 | AA | 1,339,987 | ||||||||||||
California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children’s Hospital, Tender Option Bond Trust 2015-XF0152: | ||||||||||||||||
| 260 | 17.954%, 8/15/43 (IF) (5) | 8/24 at 100.00 | AA | 385,622 | ||||||||||||
| 695 | 17.981%, 8/15/51 (IF) (5) | 8/22 at 100.00 | AA | 968,413 | ||||||||||||
| 80 | California Health Facilities Financing Authority, Revenue Bonds, Providence Health & Services, Tender Option Bond Trust 2015-XF0120, 22.237%, 10/01/21 (IF) (5) | No Opt. Call | AA | 133,320 | ||||||||||||
California Health Facilities Financing Authority, Revenue Bonds, Providence Health & Services, Tender Option Bond Trust 2015-XF1034: | ||||||||||||||||
| 3,600 | 22.093%, 10/01/44 (IF) (5) | 10/24 at 100.00 | AA | 5,729,400 | ||||||||||||
| 795 | 22.012%, 10/01/44 (IF) (5) | 10/24 at 100.00 | AA | 1,263,462 | ||||||||||||
California Health Facilities Financing Authority, Revenue Bonds, Stanford Hospitals and Clinics, Tender Option Bond Trust 2015-XF0131: | ||||||||||||||||
| 200 | 22.116%, 8/15/20 (IF) (5) | No Opt. Call | AA | 287,370 | ||||||||||||
| 200 | 22.104%, 8/15/20 (IF) (5) | No Opt. Call | AA | 287,320 | ||||||||||||
California Health Facilities Financing Authority, Revenue Bonds, Stanford Hospitals and Clinics, Tender Option Bond Trust 3294: | ||||||||||||||||
| 1,000 | 17.755%, 8/15/41 (IF) (5) | 8/22 at 100.00 | AA | 1,349,380 | ||||||||||||
| 250 | 17.760%, 8/15/41 (IF) (5) | 8/22 at 100.00 | AA | 337,370 | ||||||||||||
| 750 | California Municipal Finance Authority, Revenue Bonds, Eisenhower Medical Center, Series 2010A, 5.750%, 7/01/40 | 7/20 at 100.00 | Baa2 | 819,345 | ||||||||||||
California Municipal Finance Authority, Revenue Bonds, NorthBay Healthcare Group, Series 2015: | ||||||||||||||||
| 200 | 5.000%, 11/01/35 | 11/24 at 100.00 | BBB– | 216,568 | ||||||||||||
| 750 | 5.000%, 11/01/40 | 11/24 at 100.00 | BBB– | 807,337 | ||||||||||||
| 1,250 | 5.000%, 11/01/44 | 11/24 at 100.00 | BBB– | 1,339,612 | ||||||||||||
| 1,000 | California Municipal Finance Authority, Revenue Bonds, Community Medical Centers, Series 2015A, 5.000%, 2/01/46 | 2/25 at 100.00 | A– | 1,069,250 | ||||||||||||
| 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 | A– | 1,042,720 | ||||||||||||
| 20 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Health Care (continued) | ||||||||||||||||
California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda University Medical Center, Series 2014A: | ||||||||||||||||
| $ | 3,300 | 5.250%, 12/01/44 | 12/24 at 100.00 | BB+ | $ | 3,448,500 | ||||||||||
| 2,000 | 5.500%, 12/01/54 | 12/24 at 100.00 | BB+ | 2,113,380 | ||||||||||||
| 1,500 | California Statewide Communities Development Authority, Revenue Bonds, Cottage Health System Obligated Group, Series 2015, 5.000%, 11/01/43 | 11/24 at 100.00 | AA– | 1,665,750 | ||||||||||||
California Statewide Communities Development Authority, Revenue Bonds, Henry Mayo Newhall Memorial Hospital, Series 2014: | ||||||||||||||||
| 2,540 | 5.000%, 10/01/34 – AGM Insured | 10/24 at 100.00 | AA | 2,799,893 | ||||||||||||
| 1,625 | 5.250%, 10/01/43 – AGM Insured | 10/24 at 100.00 | AA | 1,814,442 | ||||||||||||
| 1,480 | California Statewide Communities Development Authority, Revenue Bonds, Huntington Memorial Hospital, Refunding Series 2014B, 5.000%, 7/01/44 | 7/24 at 100.00 | A | 1,633,757 | ||||||||||||
| 1,000 | California Statewide Communities Development Authority, Revenue Bonds, Saint Joseph Health System, Trust 2554, 18.384%, 7/01/47 – AGM Insured (IF) | 7/18 at 100.00 | AA | 1,286,040 | ||||||||||||
| 485 | 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 | 519,852 | ||||||||||||
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 | AA– | 262,147 | ||||||||||||
| 5,750 | 5.000%, 8/15/47 | 8/17 at 100.00 | BBB+ | 5,976,320 | ||||||||||||
California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005A: | ||||||||||||||||
| 750 | 5.250%, 7/01/30 | 11/15 at 100.00 | CCC | 674,010 | ||||||||||||
| 750 | 5.250%, 7/01/35 | 11/15 at 100.00 | CCC | 675,330 | ||||||||||||
| 715 | California Statewide Community Development Authority, Revenue Bonds, Sutter Health, Tender Option Bond Trust 3048, 18.862%, 11/15/32 (IF) | 5/18 at 100.00 | AA– | 914,971 | ||||||||||||
| 1,285 | California Statewide Community Development Authority, Revenue Bonds, Sutter Health, Tender Option Bond Trust 3102, 18.892%, 11/15/48 (IF) (5) | 5/18 at 100.00 | AA– | 1,644,389 | ||||||||||||
| 350 | Madera County, California, Certificates of Participation, Children’s Hospital Central California, Series 2010, 5.375%, 3/15/36 | 3/20 at 100.00 | AA– | 389,263 | ||||||||||||
| 1,060 | Oak Valley Hospital District, Stanislaus County, California, Revenue Bonds, Series 2010A, 7.000%, 11/01/35 | 11/20 at 100.00 | BB | 1,132,674 | ||||||||||||
Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2009: | ||||||||||||||||
| 1,025 | 5.500%, 11/01/19 | No Opt. Call | Ba1 | 1,117,281 | ||||||||||||
| 500 | 6.750%, 11/01/39 | 11/19 at 100.00 | Ba1 | 547,335 | ||||||||||||
| 500 | Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2010, 6.000%, 11/01/41 | 11/20 at 100.00 | Ba1 | 530,885 | ||||||||||||
| 5,500 | Rancho Mirage Joint Powers Financing Authority, California, Revenue Bonds, Eisenhower Medical Center, Series 2007A, 5.000%, 7/01/38 | 7/17 at 100.00 | Baa2 | 5,700,585 | ||||||||||||
San Buenaventura, California, Revenue Bonds, Community Memorial Health System, Series 2011: | ||||||||||||||||
| 1,000 | 8.000%, 12/01/26 | 12/21 at 100.00 | BB | 1,298,960 | ||||||||||||
| 600 | 7.500%, 12/01/41 | 12/21 at 100.00 | BB | 730,062 | ||||||||||||
| 2,500 | Tulare Local Health Care District, California, Revenue Bonds, Series 2007, 5.200%, 11/01/32 | 11/17 at 100.00 | BB– | 2,207,075 | ||||||||||||
| 150 | Washington Township Health Care District, California, Revenue Bonds, Refunding Series 2007A, 5.000%, 7/01/32 | 7/17 at 100.00 | Baa1 | 155,321 | ||||||||||||
| Nuveen Investments | 21 |
Nuveen California High Yield Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Health Care (continued) | ||||||||||||||||
| $ | 60 | Weatherford Hospital Authority, Oklahoma, Sales Tax Revenue Bonds, Series 2006, 6.000%, 5/01/31 | 5/16 at 103.00 | N/R | $ | 62,162 | ||||||||||
| 52,835 | Total Health Care | 60,088,038 | ||||||||||||||
| Housing/Multifamily – 3.3% | ||||||||||||||||
| 2,000 | California Housing Finance Agency, Multifamily Housing Revenue Bonds, Series 2014A-III, 4.600%, 8/01/39 | 2/24 at 100.00 | AA+ | 2,114,280 | ||||||||||||
| 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 | 1,565,984 | ||||||||||||
| 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 | 554,347 | ||||||||||||
| 2,000 | California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Windsor Mobile Country Club, Subordinate Series 2013B, 7.000%, 11/01/48 | 11/23 at 100.00 | N/R | 2,301,800 | ||||||||||||
California Municipal Finance Authority, Mobile Home Park Senior Revenue Bonds, Caritas Affordable Housing, Inc. Projects, Series 2014A: | ||||||||||||||||
| 1,200 | 5.250%, 8/15/39 | 8/24 at 100.00 | BBB | 1,303,475 | ||||||||||||
| 240 | 5.250%, 8/15/49 | 8/24 at 100.00 | BBB | 259,342 | ||||||||||||
| 1,270 | 5.875%, 8/15/49 | 8/24 at 100.00 | N/R | 1,377,036 | ||||||||||||
| 400 | California Municipal Finance Authority, Revenue Bonds, University Students Coop Association, Series 2007, 4.750%, 4/01/27 | 4/17 at 100.00 | BBB | 412,052 | ||||||||||||
| 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 | 1,014,220 | ||||||||||||
| 335 | California Statewide Community Development Authority, Multifamily Housing Revenue Bonds, Magnolia City Lights, Series 1999X, 6.650%, 7/01/39 | 11/15 at 100.00 | N/R | 335,311 | ||||||||||||
Independent Cities Finance Authority, California, Mobile Home Park Revenue Bonds, Augusta Communities Mobile Home Park, Series 2012A: | ||||||||||||||||
| 740 | 5.000%, 5/15/39 | 5/22 at 100.00 | A– | 780,878 | ||||||||||||
| 1,010 | 5.000%, 5/15/47 | 5/22 at 100.00 | A– | 1,060,914 | ||||||||||||
| 1,000 | Independent Cities Finance Authority, California, Mobile Home Park Revenue Bonds, Palomar Estates West, Refunding Series 2015, 5.000%, 9/15/36 | 9/25 at 100.00 | N/R | 1,026,990 | ||||||||||||
| 1,340 | Independent Cities Lease Finance Authority, California, Mobile Home Park Refunding Bonds, Rancho Feliz and Las Casitas De Sonoma, Series 2012, 5.000%, 10/15/47 | No Opt. Call | BBB | 1,385,587 | ||||||||||||
| 315 | La Verne, California, Mobile Home Park Revenue Refunding Bonds, Copacabana Mobile Home Park, Series 2014, 5.000%, 6/15/49 | 6/24 at 100.00 | A | 337,670 | ||||||||||||
| 2,110 | Palmdale Housing Authority, California, Multifamily Housing Revenue Bonds, Impression, La Quinta, Park Vista & Summerwood Apartments, Series 2015, | 6/25 at 100.00 | N/R | 2,145,258 | ||||||||||||
| 924 | 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 | 813,778 | ||||||||||||
| 475 | Santa Clara County Housing Authority, California, Multifamily Housing Revenue Bonds, Blossom River Project, Series 1998A, 6.500%, 9/01/39 | 11/15 at 100.00 | N/R | 475,404 | ||||||||||||
| 565 | Ventura County Area Housing Authority, California, Mira Vista Senior Apartments Project, Junior Subordinate Series 2006C, 6.500%, 12/01/39 (Alternative Minimum Tax) (Mandatory Put 7/01/16) | No Opt. Call | N/R | 562,175 | ||||||||||||
| 485 | Wilson County Health and Educational Facilities Board, Tennessee, Senior Living Revenue Bonds, Rutland Place, Series 2007A, 6.300%, 7/01/37 (4) | 7/17 at 100.00 | N/R | 355,277 | ||||||||||||
| 19,289 | Total Housing/Multifamily | 20,181,778 | ||||||||||||||
| 22 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Housing/Single Family – 0.2% | ||||||||||||||||
| $ | 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 | A | $ | 502,050 | ||||||||||
| 600 | California Housing Finance Agency, California, Home Mortgage Revenue Bonds, Tender Option Bond Trust 3206, 9.246%, 8/01/25 (Alternative Minimum Tax) (IF) | 2/16 at 100.00 | A | 600,654 | ||||||||||||
| 1,100 | Total Housing/Single Family | 1,102,704 | ||||||||||||||
| Industrials – 0.0% | ||||||||||||||||
| 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 | A– | 67,156 | ||||||||||||
| 1,000 | California Statewide Communities Development Authority, Revenue Bonds, EnerTech Regional Biosolids Project, Series 2007A, 5.500%, 12/01/33 (Alternative Minimum Tax) (4) | No Opt. Call | N/R | 3,150 | ||||||||||||
| 750 | Western Reserve Port Authority, Ohio, Solid Waste Facility Revenue Bonds, Central Waste Inc., Series 2007A, 6.350%, 7/01/27 (Alternative Minimum Tax) (4) | 7/17 at 102.00 | N/R | 3,833 | ||||||||||||
| 1,815 | Total Industrials | 74,139 | ||||||||||||||
| Long-Term Care – 2.6% | ||||||||||||||||
| 3,000 | ABAG Finance Authority for Nonprofit Corporations, California, Revenue Bonds, Episcopal Senior Communities, Refunding Series 2012A, 5.000%, 7/01/47 | No Opt. Call | BBB+ | 3,215,640 | ||||||||||||
| 2,200 | California Statewide Communities Development Authority, Revenue Bonds, 899 Charleston Project, Refunding Series 2014A, 5.250%, 11/01/44 | 11/24 at 100.00 | N/R | 2,235,838 | ||||||||||||
| 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+ | 573,435 | ||||||||||||
| 1,000 | California Statewide Communities Development Authority, Revenue Bonds, Terraces San Joaquin Gardens, Series 2012A, 5.625%, 10/01/32 | 10/22 at 100.00 | N/R | 1,062,410 | ||||||||||||
| 450 | California Statewide Community Development Authority, Revenue Bonds, Los Angeles Jewish Home for the Aging-Fountainview Gonda, Series 2014D, 4.750%, 8/01/20 | 11/16 at 100.00 | N/R | 451,390 | ||||||||||||
| 3,605 | California Statewide Community Development Authority, Senior Living Revenue Bonds, Southern California Presbyterian Homes, Series 2006A, 4.875%, 11/15/36 | 11/16 at 100.00 | BBB– | 3,606,154 | ||||||||||||
| 1,000 | Fulton County Residential Care Facilities Elderly Authority, Georgia, First Mortgage Revenue Bonds, Lenbrook Project, Series 2006A, 5.125%, 7/01/37 | 7/17 at 100.00 | N/R | 1,007,970 | ||||||||||||
| 2,428 | Municipal Tax Exempt Asset Trust, California, Trust Receipt, Series 2010-7 Loma Linda University Behavioral Medicine Center, Inc., 4.390%, 12/01/26 | 12/15 at 100.00 | N/R | 2,411,757 | ||||||||||||
| 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 | 1,192,750 | ||||||||||||
| 15,203 | Total Long-Term Care | 15,757,344 | ||||||||||||||
| Tax Obligation/General – 4.9% | ||||||||||||||||
| 1,000 | Aromas-San Juan Unified School District, San Benito, Santa Cruz and Monterey Counties, California, General Obligation Bonds, Series 2013B, 0.000%, 8/01/52 – AGM Insured | 8/37 at 100.00 | AA | 477,130 | ||||||||||||
Bakersfield City School District, Kern County, California, General Obligation Bonds, Series 2012C: | ||||||||||||||||
| 1,700 | 0.000%, 5/01/37 | No Opt. Call | Aa2 | 839,868 | ||||||||||||
| 5,575 | 0.000%, 5/01/42 | 5/40 at 100.00 | Aa2 | 2,821,396 | ||||||||||||
| 5,500 | 0.000%, 5/01/47 | 5/40 at 100.00 | Aa2 | 2,770,955 | ||||||||||||
| 1,250 | California State, General Obligation Bonds, Tender Option Bond Trust 2015-XF1039, 17.331%, 10/01/44 (IF) (5) | 10/24 at 100.00 | AA– | 1,866,400 | ||||||||||||
| Nuveen Investments | 23 |
Nuveen California High Yield Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/General (continued) | ||||||||||||||||
California State, General Obligation Bonds, Various Purpose Series 2013: | ||||||||||||||||
| $ | 1,000 | 5.000%, 2/01/43 | No Opt. Call | AA– | $ | 1,115,180 | ||||||||||
| 1,630 | 5.000%, 4/01/43 | 4/23 at 100.00 | AA– | 1,821,476 | ||||||||||||
| 1,250 | California State, General Obligation Bonds, Various Purpose, Tender Option Bond Trust 2015-XF1037, 17.295%, 8/01/35 (IF) (5) | 8/24 at 100.00 | AA– | 1,939,100 | ||||||||||||
California State, General Obligation Bonds, Various Purpose, Tender Option Bond Trust 2015-XF1041: | ||||||||||||||||
| 750 | 13.066%, 11/01/44 (IF) (5) | 11/24 at 100.00 | AA– | 789,000 | ||||||||||||
| 545 | 13.066%, 11/01/44 (IF) (5) | 11/24 at 100.00 | AA– | 573,340 | ||||||||||||
| 1,250 | 13.066%, 11/01/44 (IF) (5) | 11/24 at 100.00 | AA– | 1,315,000 | ||||||||||||
| 1,005 | 13.050%, 11/01/44 (IF) (5) | 11/24 at 100.00 | AA– | 1,057,190 | ||||||||||||
| 4,610 | Central Unified School District, Fresno County, California, General Obligation Bonds, Election 2008 Series 2013B, 0.000%, 8/01/37 – AGM Insured | 8/22 at 44.31 | AA | 1,493,041 | ||||||||||||
Chabot-Las Positas Community College District, California, General Obligation Bonds, Series 2006C: | ||||||||||||||||
| 5,000 | 0.000%, 8/01/45 – AMBAC Insured | No Opt. Call | Aa3 | 1,129,800 | ||||||||||||
| 7,000 | 0.000%, 8/01/46 – AMBAC Insured | No Opt. Call | Aa3 | 1,503,810 | ||||||||||||
| 1,115 | Denair Unified School District, Stanislaus County, California, General Obligation Bonds, Series 2002A, 0.000%, 8/01/26 – FGIC Insured | No Opt. Call | AA– | 704,267 | ||||||||||||
| 1,205 | Jamul Dulzura Union School District, San Diego County, California, General Obligation Bonds, Election 1995 Series 2004A, 0.000%, 11/01/28 – NPFG Insured | No Opt. Call | AA– | 729,495 | ||||||||||||
| 1,000 | Montebello Unified School District, Los Angeles County, California, General Obligation Bonds, Series 2004, 0.000%, 8/01/26 – FGIC Insured | No Opt. Call | AA– | 655,670 | ||||||||||||
| 2,250 | Orland Joint Unified School District, Glenn and Tehama Counties, California, General Obligation Bonds, 2008 Election, Series 2012B, 0.000%, 8/01/51 – AGM Insured | 8/37 at 100.00 | AA | 1,076,287 | ||||||||||||
| 970 | Orland Joint Unified School District, Glenn and Tehama Counties, California, General Obligation Bonds, 2008 Election, Series 2013C, 0.000%, 8/01/43 – BAM Insured | 8/38 at 100.00 | AA | 440,205 | ||||||||||||
| 250 | Palomar Pomerado Health, California, General Obligation Bonds, Tender Option Bond Trust 4683, 17.998%, 8/01/37 – NPFG Insured (IF) (5) | 8/17 at 100.00 | AA– | 310,160 | ||||||||||||
| 1,350 | Paso Robles Joint Unified School District, San Luis Obispo and Monteray Counties, California, General Obligation Bonds, Election 2006 Series 2010A, 0.000%, 9/01/34 | No Opt. Call | A1 | 589,370 | ||||||||||||
| 1,980 | San Diego Unified School District, San Diego County, California, General Obligation Bonds, Tender Option Bond Trust Series 3330, 14.163%, 1/01/21 (IF) (5) | No Opt. Call | AA– | 2,161,606 | ||||||||||||
| 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 | AA– | 501,525 | ||||||||||||
| 1,880 | Walnut Valley Unified School District, Los Angeles County, California, General Obligation Bonds, Election 2000 Series 2003D, 0.000%, 8/01/28 – FGIC Insured | No Opt. Call | Aa2 | 1,180,527 | ||||||||||||
| 51,565 | Total Tax Obligation/General | 29,861,798 | ||||||||||||||
| Tax Obligation/Limited – 47.4% | ||||||||||||||||
Anaheim Public Financing Authority, California, Subordinate Lease Revenue Bonds, Public Improvement Project, Series 1997C: | ||||||||||||||||
| 330 | 0.000%, 9/01/28 – AGM Insured | No Opt. Call | AA | 197,832 | ||||||||||||
| 240 | 0.000%, 9/01/30 – AGM Insured | No Opt. Call | AA | 128,186 | ||||||||||||
| 4,475 | 0.000%, 9/01/34 – AGM Insured | No Opt. Call | AA | 1,999,609 | ||||||||||||
| 4,305 | 0.000%, 9/01/35 – AGM Insured | No Opt. Call | AA | 1,815,160 | ||||||||||||
| 24 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
| $ | 435 | Arvin Community Redevelopment Agency, California, Tax Allocation Bonds, Arvin Redevelopment Project, Series 2005, 5.125%, 9/01/35 | 9/15 at 100.00 | N/R | $ | 435,174 | ||||||||||
| 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 | 1,017,960 | ||||||||||||
Azusa, California, Special Tax Bonds, Community Facilities District 2005-1 Rosedale Improvement Area 1, Series 2007: | ||||||||||||||||
| 580 | 5.000%, 9/01/27 | 9/17 at 100.00 | N/R | 596,501 | ||||||||||||
| 970 | 5.000%, 9/01/37 | 9/17 at 100.00 | N/R | 994,657 | ||||||||||||
| 1,035 | Beaumont Financing Authority, California, Local Agency Revenue Bonds, Improvement Area 17A, Series 2013B, 5.000%, 9/01/34 | 9/23 at 100.00 | N/R | 1,083,604 | ||||||||||||
| 1,875 | Beaumont Financing Authority, California, Local Agency Revenue Bonds, Improvement Area 19A, Series 2015B, 5.000%, 9/01/35 | 9/25 at 100.00 | N/R | 2,025,619 | ||||||||||||
| 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 | 1,095,880 | ||||||||||||
| 1,600 | Beaumont Financing Authority, California, Local Agency Revenue Bonds, Improvement Area 7A-1, Series 2015A, 5.000%, 9/01/45 | 9/25 at 100.00 | N/R | 1,682,288 | ||||||||||||
| 1,000 | Beaumont Financing Authority, California, Local Agency Revenue Bonds, Improvement Area 8C, Series 2007E, 6.250%, 9/01/38 | 11/15 at 100.00 | N/R | 1,001,430 | ||||||||||||
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 | 60,218 | ||||||||||||
| 125 | 8.625%, 9/01/39 | 9/16 at 100.00 | N/R | 125,423 | ||||||||||||
Brea Redevelopment Agency, Orange County, California, Tax Allocation Bonds, Project Area AB, Series 2003: | ||||||||||||||||
| 1,500 | 0.000%, 8/01/28 – AMBAC Insured | No Opt. Call | AA– | 853,335 | ||||||||||||
| 2,300 | 0.000%, 8/01/29 – AMBAC Insured | No Opt. Call | AA– | 1,244,047 | ||||||||||||
| 6,710 | 0.000%, 8/01/30 – AMBAC Insured | No Opt. Call | AA– | 3,437,265 | ||||||||||||
| 1,700 | Brentwood Infrastructure Financing Authority, California, Infrastructure Revenue Bonds, Refunding Subordinated Series 2014B, 5.000%, 9/02/36 | 9/24 at 100.00 | N/R | 1,835,014 | ||||||||||||
| 5,600 | California Community College Financing Authority, Lease Revenue Bonds, Refunding Series 2003, 0.000%, 6/01/33 – AMBAC Insured | No Opt. Call | A+ | 2,227,008 | ||||||||||||
| 2,000 | California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Series 2013I, 5.000%, 11/01/38 | 11/23 at 100.00 | A+ | 2,256,840 | ||||||||||||
| 1,000 | California Statewide Communities Development Authority, Community Facilities District 2012-01, Fancher Creek, Special Tax Bonds, Series 2013A, 5.700%, 9/01/43 | 9/23 at 100.00 | N/R | 1,047,130 | ||||||||||||
California Statewide Communities Development Authority, Community Facilities District 2012-02, Manteca Lifestyle Center, Special Tax Bonds, Series 2013A: | ||||||||||||||||
| 1,000 | 5.000%, 9/01/33 | No Opt. Call | N/R | 1,055,970 | ||||||||||||
| 2,000 | 5.125%, 9/01/42 | No Opt. Call | N/R | 2,105,620 | ||||||||||||
| 2,000 | California Statewide Communities Development Authority, Lease Revenue Bonds, Community Center Project, Series 2014, 5.000%, 10/01/34 – AGM Insured | 10/24 at 100.00 | AA | 2,234,960 | ||||||||||||
| 2,500 | California Statewide Communities Development Authority, Special Tax Bonds, Community Facilities District 15-2 Rio Bravo, Series 2015A, 5.625%, 9/01/45 (WI/DD, Settling 9/03/15) | 9/25 at 100.00 | N/R | 2,543,025 | ||||||||||||
| 1,000 | California Statewide Communities Development Authority, Special Tax Bonds, Community Facilities District 2007-1 Orinda Wilder Project, Refunding Series 2015, 5.000%, 9/01/37 | No Opt. Call | N/R | 1,057,240 | ||||||||||||
| Nuveen Investments | 25 |
Nuveen California High Yield Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Refunding Series 2015R-1: | ||||||||||||||||
| $ | 3,920 | 5.000%, 9/02/35 | 9/25 at 100.00 | N/R | $ | 4,161,864 | ||||||||||
| 1,370 | 5.000%, 9/02/40 | No Opt. Call | N/R | 1,439,706 | ||||||||||||
| 1,035 | 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 | 1,120,315 | ||||||||||||
| 2,275 | California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2014A, 5.000%, 9/02/43 | 9/22 at 100.00 | N/R | 2,350,029 | ||||||||||||
California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2014B: | ||||||||||||||||
| 1,750 | 4.000%, 9/02/34 | 9/24 at 100.00 | N/R | 1,649,690 | ||||||||||||
| 2,060 | 5.000%, 9/02/44 | 9/24 at 100.00 | N/R | 2,141,741 | ||||||||||||
| 1,000 | California Statewide Community Development Authority, Infrastructure Program Revenue Bonds, Series 2006A, 5.200%, 9/02/36 | 3/16 at 103.00 | N/R | 1,032,940 | ||||||||||||
| 250 | California Statewide Community Development Authority, Revenue Bonds, Epidaurus Project, Series 2004A, 7.750%, 3/01/34 | 3/16 at 100.00 | N/R | 252,848 | ||||||||||||
| 500 | Carson Redevelopment Agency, California, Tax Allocation Bonds, Redevelopment Project Area 1, Series 2009A, 7.000%, 10/01/36 | 10/19 at 100.00 | A– | 586,495 | ||||||||||||
| 650 | Cathedral City Public Financing Authority, California, Tax Allocation Bonds, Merged Redevelopment Project Area, Series 2007A, 4.500%, 8/01/35 – AMBAC Insured | 8/17 at 100.00 | BBB+ | 652,346 | ||||||||||||
| 850 | Cathedral City Public Financing Authority, California, Tax Allocation Bonds, Merged Redevelopment Project Area, Series 2007C, 4.500%, 8/01/35 | 11/15 at 102.00 | BBB– | 851,003 | ||||||||||||
| 1,845 | Cathedral City Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Merged Redevelopment Project Area, Series 2014A, 5.000%, 8/01/34 – AGM Insured | 8/24 at 100.00 | AA | 2,061,345 | ||||||||||||
| 315 | Chino Public Financing Authority, California, Revenue Refunding Bonds, Series 2012, 5.000%, 9/01/38 | 9/22 at 100.00 | N/R | 336,379 | ||||||||||||
| 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 | N/R | 1,046,990 | ||||||||||||
| 500 | Compton Community Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Projects, Second Lien Series 2010B, 5.750%, 8/01/26 | 8/20 at 100.00 | N/R | 536,955 | ||||||||||||
Compton Public Finance Authority, California, Lease Revenue Bonds, Refunding & Various Capital Projects, Series 2008: | ||||||||||||||||
| 2,685 | 5.000%, 9/01/22 – AMBAC Insured | 9/18 at 100.00 | N/R | 2,831,252 | ||||||||||||
| 2,000 | 5.250%, 9/01/27 – AMBAC Insured | 9/18 at 100.00 | N/R | 2,114,340 | ||||||||||||
| 835 | 5.000%, 9/01/32 – AMBAC Insured | 9/18 at 100.00 | N/R | 867,749 | ||||||||||||
Dana Point, California, Special Tax Bonds, Community Facilities District No. 2006-1, Series 2014: | ||||||||||||||||
| 250 | 5.000%, 9/01/38 | 9/23 at 100.00 | N/R | 265,505 | ||||||||||||
| 1,250 | 5.000%, 9/01/45 | 9/23 at 100.00 | N/R | 1,322,575 | ||||||||||||
| 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+ | 1,232,778 | ||||||||||||
| 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 | CCC+ | 1,428,778 | ||||||||||||
| 2,010 | Desert Hot Springs Redevelopment Agency, California, Tax Allocation Bonds, Merged Redevelopment Project, Series 2008A-2, 5.600%, 9/01/38 | 9/18 at 100.00 | CCC+ | 1,694,229 | ||||||||||||
| 26 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
| $ | 1,800 | Eastern Municipal Water District, California, Special Tax Bonds, Community Facilities District 2001-01 French Valley Improvement Area A, Series 2015, 5.000%, 9/01/36 | 9/25 at 100.00 | N/R | $ | 1,933,488 | ||||||||||
| 950 | El Dorado County, California, Special Tax Bonds, Blackstone Community Facilities District 2005-1, Series 2005, 5.250%, 9/01/35 | 9/16 at 100.00 | N/R | 956,963 | ||||||||||||
| 250 | El Dorado County, California, Special Tax Bonds, Community Facilities District 2005-2, Series 2006, 5.100%, 9/01/36 | 9/16 at 100.00 | N/R | 252,160 | ||||||||||||
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 | 82,186 | ||||||||||||
| 10 | 5.000%, 9/01/20 | 9/17 at 100.00 | N/R | 10,241 | ||||||||||||
| 50 | 5.125%, 9/01/22 | 3/16 at 102.00 | N/R | 51,081 | ||||||||||||
| 1,200 | 5.250%, 9/01/37 | 9/15 at 102.00 | N/R | 1,214,748 | ||||||||||||
| 430 | 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 | 463,574 | ||||||||||||
| 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 | 712,826 | ||||||||||||
| 1,350 | Fontana, California, Community Facilities District No. 22, Special Tax Refunding Bonds, Sierra Hills South, Series 2014, 5.000%, 9/01/34 | No Opt. Call | N/R | 1,485,472 | ||||||||||||
| 1,000 | Fontana, California, Special Tax Bonds, Community Facilities District 31 Citrus Heights North, Series 2006, 5.000%, 9/01/36 | 9/15 at 101.00 | N/R | 1,013,160 | ||||||||||||
| 2,305 | Fullerton, California, Special Tax Bonds, Community Facilities District 2 Amerige Heights, Series 2014, 5.000%, 9/01/44 | 9/23 at 100.00 | N/R | 2,413,243 | ||||||||||||
| 3,750 | Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Tender Option Bond Trust 2015-XF1038, 17.240%, 6/01/45 (IF) (5) | 6/25 at 100.00 | A+ | 5,242,688 | ||||||||||||
| 500 | Government of Guam, Business Privilege Tax Bonds, Series 2012B-1, 5.000%, 1/01/42 | 1/22 at 100.00 | A | 537,835 | ||||||||||||
Guam Government Department of Education, Certificates of Participation, John F. Kennedy High School Project, Series 2010A: | ||||||||||||||||
| 880 | 6.625%, 12/01/30 | 12/20 at 100.00 | B+ | 958,531 | ||||||||||||
| 1,000 | 6.875%, 12/01/40 | 12/20 at 100.00 | B+ | 1,096,850 | ||||||||||||
| 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 | N/R | 1,015,730 | ||||||||||||
Hercules Redevelopment Agency, California, Tax Allocation Bonds, Merged Project Area, Series 2005: | ||||||||||||||||
| 1,000 | 5.000%, 8/01/25 – AMBAC Insured | 11/15 at 100.00 | N/R | 1,000,360 | ||||||||||||
| 800 | 4.750%, 8/01/35 – AMBAC Insured | 11/15 at 100.00 | N/R | 799,952 | ||||||||||||
| 1,000 | 5.000%, 8/01/35 – AMBAC Insured | 11/15 at 100.00 | N/R | 1,000,130 | ||||||||||||
Hercules Redevelopment Agency, California, Tax Allocation Bonds, Merged Project Area, Series 2007A: | ||||||||||||||||
| 365 | 4.625%, 8/01/37 – AMBAC Insured | 2/18 at 100.00 | N/R | 366,274 | ||||||||||||
| 745 | 4.750%, 8/01/42 – AMBAC Insured | 2/18 at 100.00 | N/R | 748,360 | ||||||||||||
| 150 | 5.000%, 8/01/42 – AMBAC Insured | 2/18 at 100.00 | N/R | 151,628 | ||||||||||||
Hesperia Public Financing Authority, California, Redevelopment and Housing Projects Tax Allocation Bonds, Series 2007A: | ||||||||||||||||
| 1,250 | 5.500%, 9/01/22 – SYNCORA GTY Insured | 9/17 at 100.00 | N/R | 1,291,525 | ||||||||||||
| 1,000 | 5.500%, 9/01/27 – SYNCORA GTY Insured | No Opt. Call | N/R | 1,029,850 | ||||||||||||
| 1,105 | 5.000%, 9/01/31 – SYNCORA GTY Insured | 9/17 at 100.00 | N/R | 1,126,536 | ||||||||||||
| 1,920 | 5.000%, 9/01/37 – SYNCORA GTY Insured | 9/17 at 100.00 | N/R | 1,948,070 | ||||||||||||
| Nuveen Investments | 27 |
Nuveen California High Yield Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
Hesperia, California, Special Tax Bonds, Community Facilities District 2005-1 Belgate Development Restructuring Series 2014: | ||||||||||||||||
| $ | 1,910 | 4.000%, 9/01/35 | 9/24 at 100.00 | N/R | $ | 1,800,156 | ||||||||||
| 1,990 | 5.000%, 9/01/35 | 9/24 at 100.00 | N/R | 2,095,072 | ||||||||||||
| 1,035 | Imperial, California, Special Tax Bonds, Community Facilities District 2005-1 Springfield, Series 2015A, 5.000%, 9/01/36 | No Opt. Call | N/R | 1,115,782 | ||||||||||||
| 500 | Indio Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Subordinate Lien Refunding Series 2008A, 5.250%, 8/15/28 | 8/18 at 100.00 | BBB– | 536,405 | ||||||||||||
| 625 | Indio, California, Special Tax Bonds, Community Facilities District 2004-3 Terra Lago, Improvement Area 1, Series 2015, 5.000%, 9/01/35 | 9/25 at 100.00 | N/R | 669,881 | ||||||||||||
Inglewood Public Financing Authority, California, Lease Revenue Bonds, Refunding Series 2012: | ||||||||||||||||
| 2,530 | 0.000%, 8/01/23 | No Opt. Call | Baa1 | 1,849,177 | ||||||||||||
| 1,600 | 0.000%, 8/01/25 | No Opt. Call | Baa1 | 1,002,352 | ||||||||||||
| 1,050 | 0.000%, 8/01/28 | 8/22 at 66.37 | Baa1 | 522,795 | ||||||||||||
| 2,430 | 0.000%, 8/01/33 | No Opt. Call | Baa1 | 814,730 | ||||||||||||
| 1,650 | 0.000%, 8/01/35 | No Opt. Call | Baa1 | 471,636 | ||||||||||||
| 120 | Irvine Unified School District, California, Special Tax Bonds, Community Facilities District Series 2006A, 5.125%, 9/01/36 | 9/16 at 100.00 | N/R | 122,615 | ||||||||||||
| 795 | Irvine, California, Limited Obligation Improvement Bonds, Reassessment District 15-2, Series 2015, 5.000%, 9/02/42 | 9/25 at 100.00 | N/R | 848,519 | ||||||||||||
| 1,000 | Irvine, California, Special Tax Bonds, Community Facilities District 2004-1 Central Park, Series 2015A, 5.000%, 9/01/45 | 9/25 at 100.00 | N/R | 1,078,340 | ||||||||||||
| 500 | Irvine, California, Special Tax Bonds, Community Facilities District 2013-3 Great Park, Improvement Area 1, Refunding Series 2014, 5.000%, 9/01/39 | 9/24 at 100.00 | N/R | 538,000 | ||||||||||||
| 3,380 | Jurupa Unified School District, California, Special Tax Bonds, Community Facilities District 9, Series 2015A, 5.000%, 9/01/45 | 9/25 at 100.00 | N/R | 3,498,368 | ||||||||||||
| 335 | Lake Elsinore Public Financing Authority, California, Local Agency Revenue Bonds, Canyon Hills Improvement Area C, Series 2012C, 5.000%, 9/01/37 | No Opt. Call | N/R | 360,145 | ||||||||||||
| 1,400 | Lake Elsinore Public Financing Authority, California, Local Agency Revenue Bonds, Refunding Series 2015, 5.000%, 9/01/40 | 9/25 at 100.00 | N/R | 1,496,978 | ||||||||||||
| 1,220 | Lake Elsinore Unified School District, California, Special Tax Bonds, Community Facilities District 2004-2, Series 2005, 5.350%, 9/01/35 | No Opt. Call | N/R | 1,227,637 | ||||||||||||
| 3,000 | Lammersville Joint Unified School District, Special Tax Bonds, California, Community Facilities District 2002, Mountain House, Series 2013, 5.000%, 9/01/37 | 9/22 at 100.00 | N/R | 3,149,820 | ||||||||||||
| 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 | 2,130,540 | ||||||||||||
| 710 | Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Redevelopment Project Areas Housing Programs, Series 2009, 6.875%, 8/01/39 | No Opt. Call | BBB | 817,217 | ||||||||||||
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 | 11/15 at 102.00 | AA– | 508,545 | ||||||||||||
| 1,000 | 4.750%, 8/01/33 – NPFG Insured | 8/17 at 100.00 | AA– | 1,008,980 | ||||||||||||
| 1,000 | Lathrop, California, Limited Obligation Improvement Bonds, Crossroads Assessment District, Series 2015, 5.000%, 9/02/40 | 9/25 at 100.00 | N/R | 1,012,570 | ||||||||||||
| 28 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
Lee Lake Public Financing Authority, California, Junior Lien Revenue Bonds, Series 2013B: | ||||||||||||||||
| $ | 1,000 | 5.125%, 9/01/28 | 9/23 at 100.00 | N/R | $ | 1,093,790 | ||||||||||
| 500 | 5.250%, 9/01/32 | 9/23 at 100.00 | N/R | 541,480 | ||||||||||||
Lincoln, California, Special Tax Bonds, Community Facilities District 2005-1 Sorrento Project, Series 2014A: | ||||||||||||||||
| 600 | 5.000%, 9/01/34 | 9/24 at 100.00 | N/R | 641,232 | ||||||||||||
| 935 | 5.000%, 9/01/39 | 9/24 at 100.00 | N/R | 987,229 | ||||||||||||
| 1,825 | 5.000%, 9/01/43 | 9/24 at 100.00 | N/R | 1,913,038 | ||||||||||||
| 1,545 | Long Beach, California, Marina Revenue Bonds, Alamitos Bay Marina Project, Series 2015, 5.000%, 5/15/45 | 5/25 at 100.00 | BBB | 1,654,046 | ||||||||||||
| 2,615 | Los Alamitos Unified School District, Orange County, California, Certificates of Participation, Series 2012, 0.000%, 8/01/42 | 8/29 at 100.00 | AA– | 1,948,097 | ||||||||||||
| 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– | 1,594,362 | ||||||||||||
| 2,022 | Manteca Unified School District, San Joaquin County, California, Certificates of Participation, Series 2004, 0.000%, 9/15/33 – NPFG Insured | No Opt. Call | AA– | 847,178 | ||||||||||||
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 | A– | 374,217 | ||||||||||||
| 1,550 | 7.500%, 8/01/41 | 8/21 at 100.00 | A– | 1,954,519 | ||||||||||||
| 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 | A– | 630,490 | ||||||||||||
Menifee Union School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2004-6, Series 2014: | ||||||||||||||||
| 500 | 4.125%, 9/01/39 | 3/16 at 103.00 | N/R | 492,565 | ||||||||||||
| 500 | 4.250%, 9/01/44 | 3/16 at 103.00 | N/R | 494,650 | ||||||||||||
Menifee Union School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2011-1, Improvement Area 1, Series 2015: | ||||||||||||||||
| 2,000 | 5.000%, 9/01/39 | No Opt. Call | N/R | 2,079,840 | ||||||||||||
| 500 | 4.250%, 9/01/44 | No Opt. Call | N/R | 469,465 | ||||||||||||
| 1,000 | 5.000%, 9/01/44 | No Opt. Call | N/R | 1,035,920 | ||||||||||||
Merced Redevelopment Agency, California, Tax Allocation Bonds, Merced Redevelopment Project 2, Series 2003A: | ||||||||||||||||
| 1,890 | 0.000%, 12/01/21 – AMBAC Insured | No Opt. Call | N/R | 1,416,309 | ||||||||||||
| 1,055 | 0.000%, 12/01/23 – AMBAC Insured | No Opt. Call | N/R | 683,840 | ||||||||||||
| 130 | Merced, California, Community Facilities District 2005-1, Special Tax Bonds, Bellevue Ranch West, Series 2006, 5.300%, 9/01/36 | 9/15 at 100.00 | N/R | 101,451 | ||||||||||||
| 1,185 | Moorpark, California, Special Tax Bonds, Community Facilities District 2004-1, Refunding Junior Lien Series 2014B, 5.000%, 9/01/33 | 9/24 at 100.00 | N/R | 1,278,473 | ||||||||||||
| 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 | 65,495 | ||||||||||||
| 1,000 | Moreno Valley Unified School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2007-1, Series 2015, 4.000%, 9/01/44 | No Opt. Call | N/R | 927,100 | ||||||||||||
| 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 | 1,015,770 | ||||||||||||
| 1,310 | Murrieta Valley Unified School District Public Finance Authority, Riverside County, California, Refunding Bonds Series 2013, 5.000%, 9/01/33 | 9/23 at 100.00 | N/R | 1,378,762 | ||||||||||||
| Nuveen Investments | 29 |
Nuveen California High Yield Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
| $ | 590 | Murrieta, California, Special Tax Bonds, Community Facilities District 2003-3, Creekside Village Improvement Area 1, Series 2005, 5.200%, 9/01/35 | 3/16 at 100.00 | N/R | $ | 594,573 | ||||||||||
| 2,000 | National City Community Development Commission, California, Tax Allocation Bonds, National City Redevelopment Project, Series 2011, 7.000%, 8/01/32 | 8/21 at 100.00 | A– | 2,497,380 | ||||||||||||
| 330 | Novato Redevelopment Agency, California, Tax Allocation Bonds, Hamilton Field Redevelopment Project, Series 2011, 6.750%, 9/01/40 | 9/21 at 100.00 | BBB+ | 396,888 | ||||||||||||
| 1,265 | Oakdale Public Financing Authority, California, Revenue Bonds, Refunding Series 2015, 5.000%, 9/01/35 | 9/25 at 100.00 | N/R | 1,343,050 | ||||||||||||
| 2,500 | Oakley Public Financing Authority, Contra Costa County, California, Revenue Bonds, Refunding Series 2014, 5.000%, 9/02/36 – BAM Insured | 9/24 at 100.00 | AA | 2,738,900 | ||||||||||||
| 455 | Oceanside, California, Community Facilities District No. 2000-1, Special Tax Refunding Bonds, Ocean Ranch Corporate Centre, Series 2014A, 4.000%, 9/01/32 | 9/23 at 100.00 | N/R | 442,042 | ||||||||||||
| 1,000 | Pacifica, California, Certificates of Participation, Series 2008, 5.375%, 1/01/37 – AMBAC Insured | 1/16 at 102.00 | A– | 1,025,790 | ||||||||||||
Palm Desert Financing Authority, California, Tax Allocation Revenue Bonds, Project Area 2, Series 2006D: | ||||||||||||||||
| 1,495 | 0.000%, 8/01/31 | No Opt. Call | N/R | 577,832 | ||||||||||||
| 1,560 | 0.000%, 8/01/32 | No Opt. Call | N/R | 566,717 | ||||||||||||
| 1,625 | 0.000%, 8/01/33 | No Opt. Call | N/R | 555,750 | ||||||||||||
| 1,705 | 0.000%, 8/01/34 | No Opt. Call | N/R | 548,226 | ||||||||||||
| 2,075 | 0.000%, 8/01/35 | 8/16 at 31.93 | N/R | 628,455 | ||||||||||||
| 3,530 | Palm Desert, California, Limited Obligation Improvement Bonds, Section 29 Assessment District 2004-02, Series 2007, 5.100%, 9/02/37 | 3/16 at 102.00 | N/R | 3,607,236 | ||||||||||||
Palm Desert, California, Special Tax Bonds, Community Facilities District 2005-1 University Park, Series 2006: | ||||||||||||||||
| 290 | 5.000%, 9/01/21 | 9/16 at 100.00 | N/R | 294,785 | ||||||||||||
| 350 | 5.300%, 9/01/32 | 9/16 at 100.00 | N/R | 353,213 | ||||||||||||
| 910 | 5.450%, 9/01/32 | 9/16 at 100.00 | N/R | 919,673 | ||||||||||||
| 1,345 | 5.500%, 9/01/36 | 9/16 at 100.00 | N/R | 1,358,423 | ||||||||||||
| 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 | 11/15 at 102.00 | N/R | 1,580,464 | ||||||||||||
| 1,395 | Palm Drive Health Care District, Sonoma County, California, Parcel Tax Revenue Bonds, Series 2005, 5.250%, 4/01/30 | 11/15 at 100.00 | N/R | 1,348,058 | ||||||||||||
| 500 | Palm Springs Financing Authority, California, Lease Revenue Bonds, Downtown Revitalization Project, Series 2012B, 5.000%, 6/01/35 | No Opt. Call | AA | 547,235 | ||||||||||||
| 1,000 | Palmdale Community Redevelopment Agency, California, Tax Allocation Bonds, Merged Redevelopment Project Areas, Refunding Series 2004A, 5.000%, 9/01/34 – NPFG Insured | 9/18 at 100.00 | AA– | 1,018,570 | ||||||||||||
| 1,230 | Palmdale Community Redevelopment Agency, California, Tax Allocation Bonds, Merged Redevelopment Project Areas, Series 2002, 0.000%, 12/01/30 – AMBAC Insured | No Opt. Call | A– | 595,369 | ||||||||||||
| 1,260 | Palmdale, California, Special Tax Bonds, Community Facilities District 2005-1, Series 2005, 6.750%, 9/01/35 | 11/15 at 100.00 | N/R | 1,261,172 | ||||||||||||
| 995 | Patterson Public Finance Authority, California, Revenue Bonds, Community Facilities District 2001-1, Senior Series 2013A, 5.750%, 9/01/39 | 9/23 at 100.00 | N/R | 1,080,799 | ||||||||||||
| 1,000 | Perris Joint Powers Authority, California, Local Agency Revenue Bonds, Community Facilities District 2001-1 May Farms Improvement Area 6 &7, Refunding Series 2014E, 4.250%, 9/01/38 | 9/24 at 100.00 | N/R | 1,010,570 | ||||||||||||
| 30 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
| $ | 1,150 | Perris Joint Powers Authority, California, Local Agency Revenue Bonds, Community Facilities District 2006-1, Meritage Homes, Refunding Series 2014B, 5.000%, 9/01/38 | 9/23 at 100.00 | N/R | $ | 1,217,309 | ||||||||||
| 1,055 | Perris Public Finance Authority, California, Local Agency Revenue Bonds, Perris Valley Vistas IA3, Series 2008B, 6.625%, 9/01/38 | 9/16 at 100.00 | N/R | 1,079,191 | ||||||||||||
| 2,750 | Perris Union High School District Financing Authority, Riverside County, California, Revenue Bonds, Series 2015, 5.000%, 9/01/41 | 3/25 at 100.00 | N/R | 2,964,087 | ||||||||||||
| 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– | 1,642,770 | ||||||||||||
Pittsburg Redevelopment Agency, California, Tax Allocation Bonds, Los Medanos Community Development Project, Series 1999: | ||||||||||||||||
| 2,990 | 0.000%, 8/01/27 – AMBAC Insured | No Opt. Call | A | 1,755,638 | ||||||||||||
| 2,500 | 0.000%, 8/01/28 – AMBAC Insured | No Opt. Call | A | 1,402,600 | ||||||||||||
| 1,580 | 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– | 1,568,798 | ||||||||||||
| 1,000 | Poway Unified School District Public Financing Authority, California, Special Tax Revenue Bonds, Series 2014, 5.000%, 10/01/41 – BAM Insured | 10/23 at 100.00 | AA | 1,090,810 | ||||||||||||
| 1,285 | Poway Unified School District Public Financing Authority, California, Special Tax Revenue Refunding Bonds, Series 2015B, 4.000%, 9/01/36 – BAM Insured | 9/25 at 100.00 | AA | 1,289,086 | ||||||||||||
| 2,000 | Rancho Cardova, California, Special Tax Bonds, Community Facilities District 2004-1 Sunridge Park Area, Series 2007, 6.125%, 9/01/37 | 9/17 at 100.00 | N/R | 2,076,240 | ||||||||||||
| 3,000 | Rancho Cordova, California, Special Tax Bonds, Community Facilities District 2003-1 Sunridge Anatolia Area, Junior Lien Series 2014, 5.650%, 10/01/38 | 10/15 at 102.00 | N/R | 3,048,360 | ||||||||||||
| 620 | Rancho Cordova, California, Special Tax Bonds, Community Facilities District 2003-1 Sunridge Anatolia Area, Refunding Series 2012, 5.000%, 9/01/37 | No Opt. Call | N/R | 674,486 | ||||||||||||
| 500 | Rancho Cordova, California, Special Tax Bonds, Community Facilities District 2003-1 Sunridge Anatolia Area, Series 2005, 5.500%, 9/01/37 | 3/16 at 100.00 | N/R | 506,820 | ||||||||||||
Redwood City Redevelopment Agency, California, Tax Allocation Bonds, Project Area 2, Series 2003A: | ||||||||||||||||
| 1,755 | 0.000%, 7/15/29 – AMBAC Insured | No Opt. Call | A– | 928,184 | ||||||||||||
| 1,260 | 0.000%, 7/15/31 – AMBAC Insured | No Opt. Call | A– | 597,631 | ||||||||||||
| 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 | 534,070 | ||||||||||||
| 1,250 | Riverside County Asset Leasing Corporation, California, Lease Revenue Bonds, Capital Project, Tender Option Bond Trust 2015-XF1020, 18.255%, 11/01/45 (IF) (5) | 11/25 at 100.00 | AA– | 1,951,500 | ||||||||||||
| 1,295 | Riverside County Asset Leasing Corporation, California, Leasehold Revenue Bonds, Riverside County Hospital Project, Series 1997, 0.000%, 6/01/26 – NPFG Insured | No Opt. Call | AA– | 880,988 | ||||||||||||
| 1,380 | Riverside County Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Desert Communities Redevelopment Project, Refunding Series 2014A, 5.000%, 10/01/32 – AGM Insured | 10/24 at 100.00 | AA | 1,551,272 | ||||||||||||
| 3,160 | Riverside County Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Interstate 215 Corridor Redevelopment Project Area, Refunding Series 2014E, 4.000%, 10/01/37 – AGM Insured | 10/24 at 100.00 | AA | 3,193,591 | ||||||||||||
| 955 | Riverside County Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Redevelopment Project Area 1, Refunding Series 2014A, 5.000%, 10/01/30 – AGM Insured | 10/24 at 100.00 | AA | 1,084,708 | ||||||||||||
| Nuveen Investments | 31 |
Nuveen California High Yield Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
| $ | 2,000 | Riverside County Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Refunding Series 2014A, 5.000%, 10/01/34 – AGM Insured | 10/24 at 100.00 | AA | $ | 2,256,540 | ||||||||||
| 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– | 585,585 | ||||||||||||
| 205 | Riverside County Redevelopment Agency, California, Tax Allocation Housing Bonds, Series 2011A, 7.125%, 10/01/42 | 10/21 at 100.00 | A | 255,537 | ||||||||||||
Riverside County, California, Community Facilities District 05-8, Scott Road, Special Tax Bonds Series 2013: | ||||||||||||||||
| 660 | 5.000%, 9/01/32 | 9/22 at 100.00 | N/R | 707,157 | ||||||||||||
| 2,000 | 5.000%, 9/01/42 | 9/22 at 100.00 | N/R | 2,118,980 | ||||||||||||
| 2,115 | Riverside County, California, Special Tax Bonds, Community Facilities District 03-1 Newport Road, Series 2014, 5.000%, 9/01/30 | 9/24 at 100.00 | N/R | 2,234,223 | ||||||||||||
| 870 | 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 | 932,718 | ||||||||||||
Riverside Public Financing Authority, California, Tax Allocation Bonds, University Corridor, Series 2007C: | ||||||||||||||||
| 2,000 | 4.500%, 8/01/30 – NPFG Insured | No Opt. Call | AA– | 2,029,660 | ||||||||||||
| 510 | 5.000%, 8/01/37 – NPFG Insured | 8/17 at 100.00 | AA– | 519,491 | ||||||||||||
| 1,000 | RNR School Financing Authority, Community Facilities District No. 92-1 County of Kern, California, Subordinate Special Tax Refunding Bonds, Series 2015A, 5.000%, 9/01/36 – BAM Insured | 9/25 at 100.00 | AA | 1,107,840 | ||||||||||||
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– | 398,960 | ||||||||||||
| 1,155 | 0.000%, 9/01/35 – NPFG Insured | No Opt. Call | AA– | 436,036 | ||||||||||||
| 1,000 | Rocklin, Placer County, California, Special Tax Bonds, Community Facilities District 10 Whitney Ranch, Series 2015, 5.000%, 9/01/39 | 9/25 at 100.00 | N/R | 1,074,360 | ||||||||||||
| 935 | Rohnert Park Community Development Agency, California, Tax Allocation Bonds, Series 1999, 0.000%, 8/01/33 | No Opt. Call | AA– | 405,687 | ||||||||||||
| 3,775 | Romoland School District, California, Special Tax Bonds, Community Facilities District 2004-1 Heritage Lake Improvement Area 3, Series 2013, 5.000%, 9/01/43 | 9/23 at 100.00 | N/R | 3,927,208 | ||||||||||||
| 1,000 | Roseville, California, Special Tax Bonds, Community Facilities District 1 Diamond Creek, Series 2007, 5.000%, 9/01/37 | 3/16 at 102.00 | N/R | 1,021,550 | ||||||||||||
| 1,100 | Roseville, California, Special Tax Bonds, Community Facilities District 1 Westbrook, Series 2014, 5.000%, 9/01/34 | 9/24 at 100.00 | N/R | 1,089,352 | ||||||||||||
| 500 | Roseville, California, Special Tax Bonds, Community Facilities District 1 Westpark, Refunding Series 2015, 5.000%, 9/01/33 | 9/25 at 100.00 | N/R | 536,190 | ||||||||||||
| 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 | 1,827,702 | ||||||||||||
| 1,510 | Sacramento City Financing Authority California, Lease Revenue Bonds, Master Lease Program Facilities Projects, Tender Option Bond Trust 4698, 18.136%, 12/01/33 – AMBAC Insured (IF) (5) | No Opt. Call | A+ | 2,789,030 | ||||||||||||
Sacramento City Financing Authority, California, Tax Allocation Revenue Bonds, Merged Downtown Sacramento and Oak Park Projects, Series 2005A: | ||||||||||||||||
| 4,295 | 0.000%, 12/01/31 – FGIC Insured | No Opt. Call | AA– | 2,001,298 | ||||||||||||
| 4,435 | 0.000%, 12/01/32 – FGIC Insured | No Opt. Call | AA– | 1,955,125 | ||||||||||||
| 32 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
| $ | 340 | 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 | $ | 354,695 | ||||||||||
| 428 | Saint Louis, Missouri, Tax Increment Financing Revenue Bonds, Grace Lofts Redevelopment Projects, Series 2007A, 6.000%, 3/27/26 | 12/15 at 100.00 | N/R | 398,789 | ||||||||||||
| 480 | San Bernardino County Financing Authority, California, Revenue Bonds, Courthouse Facilities Project, Series 2007, 5.500%, 6/01/37 – NPFG Insured | No Opt. Call | AA– | 508,800 | ||||||||||||
| 550 | San Bernardino County, California, Special Tax Bonds, Community Facilities District 2006-1 Lytle Creek North Improvement Area 1, Series 2015, 5.000%, 9/01/40 | 9/25 at 100.00 | N/R | 585,783 | ||||||||||||
| 1,000 | San Francisco City and County Redevelopment Agency Successor Agency, California, Special Tax Bonds, Community Facilities District 7, Hunters Point Shipyard Phase One Improvements, Refunding Series 2014, 5.000%, 8/01/39 | No Opt. Call | N/R | 1,060,040 | ||||||||||||
| 500 | San Francisco Redevelopment Finance Authority, California, Tax Allocation Revenue Bonds, Mission Bay North Redevelopment Project, Series 2009C, 6.500%, 8/01/39 | 8/19 at 100.00 | A– | 574,200 | ||||||||||||
| 405 | San Francisco, California, Community Facilities District 6, Mission Bay South Public Improvements, Special Tax Refunding Bonds, Series 2013A, 5.000%, 8/01/33 | 8/22 at 100.00 | N/R | 440,790 | ||||||||||||
| 100 | San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2003., 4.900%, 8/01/33 – FGIC Insured | 11/15 at 100.00 | AA– | 101,737 | ||||||||||||
| 360 | San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2005A, 5.000%, 8/01/20 – NPFG Insured | 11/15 at 100.00 | AA– | 361,397 | ||||||||||||
| 165 | San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2006B, 4.500%, 8/01/35 – RAAI Insured | 8/16 at 100.00 | AA | 169,307 | ||||||||||||
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 | AA– | 536,170 | ||||||||||||
| 1,000 | 3.750%, 8/01/28 – NPFG Insured | 8/17 at 100.00 | AA– | 1,016,510 | ||||||||||||
| 320 | 4.250%, 8/01/30 – NPFG Insured | 8/17 at 100.00 | AA– | 326,851 | ||||||||||||
| 4,025 | 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+ | 4,060,541 | ||||||||||||
| 1,000 | San Marcos Public Facilities Authority, California, Special Tax Revenue Bonds, Refunding Series 2014A, 5.000%, 9/01/33 – AGM Insured | 9/24 at 100.00 | AA | 1,112,500 | ||||||||||||
| 250 | Santa Ana Financing Authority, California, Lease Revenue Bonds, Police Administration and Housing Facility, Series 1994A, 6.250%, 7/01/24 | No Opt. Call | AA– | 311,813 | ||||||||||||
| 500 | Shafter Community Development Agency, Kern County, California, Tax Allocation Bonds, Shafter Community Development Project Area 2, Refunding Series 2006A, 5.450%, 11/01/36 | 11/16 at 100.00 | N/R | 505,750 | ||||||||||||
| 1,000 | South Tahoe Joint Powers Financing Authority, California, Revenue Bonds, South Tahoe Redevelopment Project Area 1, Series 2014A, 4.000%, 10/01/34 – AGM Insured | 10/24 at 100.00 | AA | 1,008,690 | ||||||||||||
Stockton Public Financing Authority, California, Lease Revenue Bonds, Series 2004: | ||||||||||||||||
| 305 | 5.125%, 9/01/30 – FGIC Insured | 11/15 at 100.00 | AA– | 304,985 | ||||||||||||
| 235 | 5.250%, 9/01/34 – FGIC Insured | 11/15 at 100.00 | AA– | 234,979 | ||||||||||||
| 1,655 | Stockton Public Financing Authority, California, Revenue Bonds, Stockton Redevelopment Project, Series 2006A, 5.250%, 9/01/31 – RAAI Insured | 9/16 at 100.00 | AA | 1,680,288 | ||||||||||||
Stockton Redevelopment Agency, California, Revenue Bonds, Stockton Events Center Arena Project, Series 2004: | ||||||||||||||||
| 135 | 4.250%, 9/01/25 – FGIC Insured | 11/15 at 100.00 | AA– | 131,300 | ||||||||||||
| 420 | 5.000%, 9/01/28 – FGIC Insured | 11/15 at 100.00 | AA– | 419,979 | ||||||||||||
| 1,700 | 5.000%, 9/01/36 – FGIC Insured | 11/15 at 100.00 | AA– | 1,699,881 | ||||||||||||
| Nuveen Investments | 33 |
Nuveen California High Yield Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
| $ | 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 | $ | 2,590,550 | ||||||||||
| 1,250 | Successor Agency to the San Francisco City and County Redevelopment Agency, California, Tax Allocation Bonds, Mission Bay South Redevelopment Project, Series 2014A, 5.000%, 8/01/43 | 8/24 at 100.00 | BBB+ | 1,359,550 | ||||||||||||
| 5,000 | Sulphur Springs Union School District, California, Special Tax Bonds, Community Facilities District 2002-1, Series 2014A, 5.000%, 9/01/39 | 3/24 at 100.00 | BBB+ | 5,417,250 | ||||||||||||
| 2,000 | Tejon Ranch Public Facilities Financing Authority, California, Community Facilities District 2008-1 Tejon Industrial Complex East 2012B, 5.250%, 9/01/42 | No Opt. Call | N/R | 2,109,340 | ||||||||||||
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 | 1,763,773 | ||||||||||||
| 500 | 5.500%, 9/01/33 | 9/22 at 100.00 | N/R | 533,760 | ||||||||||||
| 1,000 | Temecula Public Financing Authority, California, Special Tax Bonds, Community Facilities District 03-02 Roripaugh, Series 2006, 5.450%, 9/01/26 | 3/16 at 101.00 | N/R | 1,001,730 | ||||||||||||
| 2,075 | Temecula Valley Unified School District Financing Authority, Riverside County, California, Special Tax Revenue Bonds, Series 2015, 5.000%, 9/01/40 – BAM Insured | No Opt. Call | AA | 2,272,000 | ||||||||||||
| 400 | Temecula Valley Unified School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2011-1, Series 2014, 4.250%, 9/01/44 | 9/24 at 100.00 | N/R | 411,612 | ||||||||||||
| 1,000 | Tulare Public Financing Authority, California, Lease Revenue Bonds, Series 2008, 5.375%, 4/01/35 | No Opt. Call | AA | 1,090,830 | ||||||||||||
| 530 | Turlock Public Financing Authority, California, Tax Allocation Revenue Bonds, Series 2011, 7.250%, 9/01/29 | 3/21 at 100.00 | A– | 652,949 | ||||||||||||
| 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+ | 813,624 | ||||||||||||
| 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 | 619,045 | ||||||||||||
| 2,000 | Val Verde Unified School District Financing Authority, California, Special Tax Revenue Bonds, Series 2015, 5.000%, 9/01/37 | 3/25 at 100.00 | N/R | 2,145,340 | ||||||||||||
| 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 | 508,125 | ||||||||||||
| 700 | Victor Valley Union High School District, San Bernardino County, California, Special Tax Bonds, Community Facilities District 2007-1, Series 2013, 5.000%, 9/01/43 | 9/23 at 100.00 | N/R | 733,516 | ||||||||||||
| 2,000 | Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Refunding Series 2012A, 5.000%, 10/01/32 | No Opt. Call | BBB+ | 2,154,060 | ||||||||||||
| 600 | West Hollywood Community Development Commission, California, Tax Allocation Revenue Bonds, East Side Redevelopment Project Series 2011A, 7.500%, 9/01/42 | 9/21 at 100.00 | A– | 758,544 | ||||||||||||
| 3,705 | West Sacramento Financing Authority, California, Special Tax Revenue Bonds, Series 2014, 5.500%, 9/01/31 | 9/22 at 102.00 | N/R | 4,027,076 | ||||||||||||
| 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 | 572,785 | ||||||||||||
| 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 | 174,015 | ||||||||||||
| 480 | Yuba City Redevelopment Agency, California, Tax Allocation Bonds, Redevelopment Project, Series 2007, 5.250%, 9/01/39 – RAAI Insured | 9/17 at 100.00 | AA | 492,475 | ||||||||||||
| 34 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
| $ | 135 | Yuba County, California, Special Tax Bonds, Community Facilities District 2004-1, Edgewater, Series 2005, 5.125%, 9/01/35 | 3/16 at 100.00 | N/R | $ | 135,863 | ||||||||||
| 312,160 | Total Tax Obligation/Limited | 289,717,011 | ||||||||||||||
| Transportation – 5.1% | ||||||||||||||||
| 1,125 | Bay Area Toll Authority, California, Revenue Bonds, San Francisco Bay Area Toll Bridge, Tender Option Bond Trust 2985, 17.913%, 4/01/17 (IF) | No Opt. Call | AA | 1,764,281 | ||||||||||||
| 2,255 | Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Bonds, Refunding Senior Lien Series 2015A, 0.000%, 1/15/33 | No Opt. Call | BBB– | 999,213 | ||||||||||||
| 3,000 | Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Refunding Bonds, Junior Lien Series 2013C, 6.250%, 1/15/33 | 1/24 at 100.00 | BB+ | 3,532,110 | ||||||||||||
Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Refunding Bonds, Series 2013A: | ||||||||||||||||
| 5,000 | 0.000%, 1/15/37 – AGM Insured | No Opt. Call | AA | 2,003,600 | ||||||||||||
| 1,775 | 5.000%, 1/15/42 – AGM Insured | 1/24 at 100.00 | AA | 1,936,152 | ||||||||||||
| 1,030 | 5.750%, 1/15/46 | 1/24 at 100.00 | BBB– | 1,187,992 | ||||||||||||
Guam International Airport Authority, Revenue Bonds, Series 2013C: | ||||||||||||||||
| 745 | 6.250%, 10/01/34 (Alternative Minimum Tax) | 10/23 at 100.00 | BBB | 866,480 | ||||||||||||
| 500 | 6.125%, 10/01/43 – AGM Insured (Alternative Minimum Tax) | 10/23 at 100.00 | AA | 580,995 | ||||||||||||
Palm Springs Financing Authority, California, Palm Springs International Airport Revenue Bonds, Series 2006: | ||||||||||||||||
| 35 | 5.450%, 7/01/20 (Alternative Minimum Tax) | 7/16 at 100.00 | N/R | 35,282 | ||||||||||||
| 40 | 5.550%, 7/01/28 (Alternative Minimum Tax) | 7/16 at 100.00 | N/R | 40,352 | ||||||||||||
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) | 7/16 at 100.00 | N/R | 253,935 | ||||||||||||
| 395 | 6.500%, 7/01/27 (Alternative Minimum Tax) | 7/16 at 100.00 | N/R | 401,498 | ||||||||||||
| 1,290 | San Francisco Airports Commission, California, Revenue Bonds, San Francisco International Airport, Tender Option Bond Trust Series 2015-XF1032, 17.279%, 5/01/44 (IF) (5) | 5/24 at 100.00 | A+ | 1,888,031 | ||||||||||||
San Joaquin Hills Transportation Corridor Agency, Orange County, California, Toll Road Revenue Bonds, Refunding Junior Lien Series 2014B: | ||||||||||||||||
| 5,000 | 5.250%, 1/15/44 | 1/25 at 100.00 | BB+ | 5,399,000 | ||||||||||||
| 800 | 5.250%, 1/15/49 | 1/25 at 100.00 | BB+ | 853,816 | ||||||||||||
San Joaquin Hills Transportation Corridor Agency, Orange County, California, Toll Road Revenue Bonds, Refunding Senior Lien Series 2014A: | ||||||||||||||||
| 6,000 | 5.000%, 1/15/44 | 1/25 at 100.00 | BBB– | 6,363,660 | ||||||||||||
| 650 | 5.000%, 1/15/50 | 1/25 at 100.00 | BBB– | 684,352 | ||||||||||||
| 1,000 | San Jose, California, Airport Revenue Bonds, Refunding Series 2014C, 5.000%, 3/01/31 | 3/24 at 100.00 | A2 | 1,138,620 | ||||||||||||
| 1,000 | San Jose, California, Airport Revenue Bonds, Series 2007B, 5.000%, 3/01/33 – AMBAC Insured | 3/17 at 100.00 | A2 | 1,043,590 | ||||||||||||
| 31,890 | Total Transportation | 30,972,959 | ||||||||||||||
| U.S. Guaranteed – 4.0% (6) | ||||||||||||||||
| 365 | Bessemer, Alabama, General Obligation Warrants, Series 2007, 6.500%, 2/01/37 (Pre-refunded 2/01/17) | 2/17 at 101.00 | N/R (6) | 390,926 | ||||||||||||
| 40 | California Educational Facilities Authority, Revenue Bonds, University of Redlands, Series 2005A, 5.000%, 10/01/35 (Pre-refunded 10/01/15) | 10/15 at 100.00 | N/R (6) | 40,161 | ||||||||||||
| Nuveen Investments | 35 |
Nuveen California High Yield Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| U.S. Guaranteed (6) (continued) | ||||||||||||||||
California Educational Facilities Authority, Revenue Bonds, University of the Pacific, Series 2006: | ||||||||||||||||
| $ | 5 | 5.000%, 11/01/36 (Pre-refunded 11/01/15) | 11/15 at 100.00 | N/R (6) | $ | 5,040 | ||||||||||
| 95 | 5.000%, 11/01/36 (Pre-refunded 11/01/15) | 11/15 at 100.00 | A2 (6) | 95,763 | ||||||||||||
| 500 | California Municipal Finance Authority, Revenue Bonds, Harbor Regional Center Project, Series 2009, 8.000%, 11/01/29 (Pre-refunded 11/01/19) | 11/19 at 100.00 | A3 (6) | 635,690 | ||||||||||||
| 1,040 | California Municipal Finance Authority, Revenue Bonds, Harbor Regional Center Project, Series 2009, 8.500%, 11/01/39 (Pre-refunded 11/01/19) | 11/19 at 100.00 | AA (6) | 1,343,264 | ||||||||||||
| 1,000 | California Statewide Communities Development Authority, Recovery Zone Facility Bonds, SunEdison Huntington Beach Solar Projects, Series 2010, 7.500%, 1/01/31 (Pre-refunded 1/01/21) | 1/21 at 100.00 | N/R (6) | 1,308,500 | ||||||||||||
| 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 (Pre-refunded 1/01/21) | 1/21 at 100.00 | N/R (6) | 1,765,977 | ||||||||||||
| 3,350 | California Statewide Communities Development Authority, Revenue Bonds, ValleyCare Health System, Series 2007A, 5.125%, 7/15/31 (Pre-refunded 7/15/17) | 7/17 at 100.00 | | AA+ (6) | | 3,634,783 | ||||||||||
| 2,015 | California Statewide Community Development Authority, Revenue Bonds, Drew School, Series 2007, 5.300%, 10/01/37 (Pre-refunded 10/01/15) | 10/15 at 102.00 | N/R (6) | 2,035,150 | ||||||||||||
| 1,000 | Guam Government, General Obligation Bonds, 2009 Series A, 6.750%, 11/15/29 (Pre-refunded 11/15/19) | 11/19 at 100.00 | BB– (6) | 1,215,220 | ||||||||||||
| 1,500 | Guam Government, General Obligation Bonds, 2009 Series A, 7.000%, 11/15/39 (Pre-refunded 11/15/19) | 11/19 at 100.00 | BB– (6) | 1,838,070 | ||||||||||||
| 500 | Guam Government, General Obligation Bonds, Series 2007A, 5.250%, 11/15/37 (Pre-refunded 11/15/17) | 11/17 at 100.00 | BB– (6) | 540,210 | ||||||||||||
| 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 (Pre-refunded 5/15/16) | 5/16 at 100.00 | A+ (6) | 1,034,180 | ||||||||||||
| 1,115 | Jurupa Community Services District, California, Special Tax Bonds, Community Facilities District 25 Eastvale Area, Series 2008A, 8.375%, 9/01/28 (Pre-refunded 9/01/18) | 9/18 at 100.00 | N/R (6) | 1,363,545 | ||||||||||||
| 955 | Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Redevelopment Project Areas Housing Programs, Series 2009, 6.875%, 8/01/39 (Pre-refunded 8/01/19) | 8/19 at 100.00 | N/R (6) | 1,167,545 | ||||||||||||
| 1,490 | Loma Linda, California, Hospital Revenue Bonds, Loma Linda University Medical Center, Series 2008A, 8.250%, 12/01/38 (Pre-refunded 12/01/17) | 12/17 at 100.00 | BB+ (6) | 1,742,302 | ||||||||||||
| 250 | Los Banos Redevelopment Agency, California, Tax Allocation Bonds, Los Banos Redevelopment Project, Series 2006, 5.000%, 9/01/36 – RAAI Insured (Pre-refunded 9/01/16) | 9/16 at 100.00 | AA (6) | 261,535 | ||||||||||||
| 50 | Louisiana Local Government Environmental Facilities and Community Development Authority, Revenue Bonds, CDF Healthcare of Louisiana LLC, Series 2006A, 7.000%, 6/01/36 (Pre-refunded 6/01/16) | 6/16 at 101.00 | N/R (6) | 52,769 | ||||||||||||
| 7,890 | Merced Irrigation District, California, Certificates of Participation, Water and Hydroelectric Series 2008B, 0.000%, 9/01/33 (Pre-refunded 9/01/16) | 9/16 at 32.62 | A (6) | 2,563,224 | ||||||||||||
| 1,000 | Sacramento Municipal Utility District Financing Authority, California, Consumnes Power Plant Project Revenue Bonds, Series 2006, 5.125%, 7/01/29 – NPFG Insured (Pre-refunded 7/01/16) | 7/16 at 100.00 | A (6) | 1,041,110 | ||||||||||||
| 250 | Santa Ana Financing Authority, California, Lease Revenue Bonds, Police Administration and Housing Facility, Series 1994A, 6.250%, 7/01/24 (ETM) | No Opt. Call | AA– (6) | 313,707 | ||||||||||||
| 36 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| U.S. Guaranteed (6) (continued) | ||||||||||||||||
| $ | 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 (6) | $ | 106,463 | ||||||||||
| 26,925 | Total U.S. Guaranteed | 24,495,134 | ||||||||||||||
| Utilities – 1.3% | ||||||||||||||||
Guam Power Authority, Revenue Bonds, Series 2014A: | ||||||||||||||||
| 500 | 5.000%, 10/01/39 | 10/24 at 100.00 | AA | 567,070 | ||||||||||||
| 2,000 | 5.000%, 10/01/44 | 10/24 at 100.00 | AA | 2,254,880 | ||||||||||||
Long Beach Bond Finance Authority, California, Natural Gas Purchase Revenue Bonds, Series 2007A: | ||||||||||||||||
| 25 | 5.500%, 11/15/28 | No Opt. Call | A | 29,522 | ||||||||||||
| 325 | 5.000%, 11/15/29 | No Opt. Call | A | 361,062 | ||||||||||||
| 1,000 | 5.500%, 11/15/37 | No Opt. Call | A | 1,180,050 | ||||||||||||
| 50 | M-S-R Energy Authority, California, Gas Revenue Bonds, Citigroup Prepay Contracts, Series 2009A, 6.500%, 11/01/39 | No Opt. Call | A | 65,704 | ||||||||||||
| 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 | 1,314,070 | ||||||||||||
Southern California Public Power Authority, Natural Gas Project 1 Revenue Bonds, Series 2007A: | ||||||||||||||||
| 1,000 | 5.000%, 11/01/29 | No Opt. Call | A | 1,130,470 | ||||||||||||
| 720 | 5.000%, 11/01/33 | No Opt. Call | A | 817,315 | ||||||||||||
| 6,620 | Total Utilities | 7,720,143 | ||||||||||||||
| Water and Sewer – 4.3% | ||||||||||||||||
California Pollution Control Financing Authority, Water Furnishing Revenue Bonds, Poseidon Resources Channelside LP Desalination Project, Series 2012: | ||||||||||||||||
| 1,200 | 5.000%, 7/01/37 (Alternative Minimum Tax) | No Opt. Call | Baa3 | 1,277,340 | ||||||||||||
| 2,000 | 5.000%, 11/21/45 (Alternative Minimum Tax) | No Opt. Call | Baa3 | 2,106,220 | ||||||||||||
California Pollution Control Financing Authority, Water Furnishing Revenue Bonds, San Diego County Water Authority Desalination Project Pipeline, Series 2012: | ||||||||||||||||
| 2,000 | 5.000%, 7/01/37 | No Opt. Call | Baa3 | 2,061,720 | ||||||||||||
| 6,250 | 5.000%, 11/21/45 | No Opt. Call | Baa3 | 6,437,250 | ||||||||||||
| 500 | Dinuba Financing Authority, California, Wastewater System Revenue Bonds, Series 2007, 5.375%, 9/01/38 | 9/17 at 100.00 | N/R | 506,340 | ||||||||||||
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010: | ||||||||||||||||
| 1,000 | 5.250%, 7/01/25 | 7/20 at 100.00 | A– | 1,100,270 | ||||||||||||
| 1,000 | 5.500%, 7/01/30 | 7/20 at 100.00 | A– | 1,094,220 | ||||||||||||
Guam Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2013: | ||||||||||||||||
| 500 | 5.250%, 7/01/33 | 7/23 at 100.00 | A– | 557,660 | ||||||||||||
| 4,125 | 5.500%, 7/01/43 | 7/23 at 100.00 | A– | 4,667,644 | ||||||||||||
| 2,000 | Los Angeles Department of Water and Power, California, Waterworks Revenue Bonds, Tender Option Bond Trust 2015-XF2053, 22.364%, 7/01/22 (IF) (5) | No Opt. Call | AA | 3,341,880 | ||||||||||||
| 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 | AA– | 1,681,995 | ||||||||||||
| Nuveen Investments | 37 |
Nuveen California High Yield Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Water and Sewer (continued) | ||||||||||||||||
| $ | 1,250 | Stockton Public Financing Authority, California, Water Revenue Bonds, Delta Water Supply Project, Series 2010A, 6.250%, 10/01/40 | 10/23 at 100.00 | A | $ | 1,493,075 | ||||||||||
| 23,325 | Total Water and Sewer | 26,325,614 | ||||||||||||||
| $ | 671,507 | Total Municipal Bonds (cost $566,343,943) | 598,346,640 | |||||||||||||
| Shares | Description (1) | Value | ||||||||||||||
COMMON STOCKS – 0.6% | ||||||||||||||||
| Industrials – 0.6% | ||||||||||||||||
| 94,060 | American Airlines Group Inc. (7) | $ | 3,666,459 | |||||||||||||
Total Common Stocks (cost $2,851,418) | 3,666,459 | |||||||||||||||
Total Long-Term Investments (cost $569,195,361) | 602,013,099 | |||||||||||||||
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
SHORT-TERM INVESTMENTS – 0.6% | ||||||||||||||||
MUNICIPAL BONDS – 0.6% | ||||||||||||||||
| Health Care – 0.6% | ||||||||||||||||
| $ | 2,900 | California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2014A, 6.000%, 12/15/15 (8) | No Opt. Call | N/R | $ | 2,919,952 | ||||||||||
| 280 | California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2014B, 6.000%, 12/15/15 (8) | No Opt. Call | N/R | 281,926 | ||||||||||||
| 430 | California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2014C, 6.000%, 12/15/15 (8) | No Opt. Call | N/R | 432,959 | ||||||||||||
| $ | 3,610 | Total Short-Term Investments (cost $3,610,000) | 3,634,837 | |||||||||||||
Total Investments (cost $572,805,361) – 99.1% | 605,647,936 | |||||||||||||||
Floating Rate Obligations – (0.1)% | (915,000 | ) | ||||||||||||||
Other Assets Less Liabilities – 1.0% (9) | 6,160,150 | |||||||||||||||
Net Assets – 100% | $ | 610,893,086 | ||||||||||||||
Investments in Derivatives as of August 31, 2015
Interest Rate 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 | Variation Margin Receivable/ Payable | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||||||||||||
JPMorgan* | $ | 36,100,000 | Receive | 3-Month USD-LIBOR-ICE | 2.687 | % | Quarterly | 8/23/16 | 8/23/27 | $ | 36,892 | $ | (426,937 | ) | |||||||||||||||||||||||||||||||
JPMorgan | 16,000,000 | Receive | USD-BMA | 2.420 | Quarterly | 10/17/16 | 10/17/45 | N/A | 222,149 | ||||||||||||||||||||||||||||||||||||
| $ | 52,100,000 | $ | (204,788 | ) | |||||||||||||||||||||||||||||||||||||||||
| * | Citigroup is the clearing broker for this transaction. |
| 38 | 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) | As of, or subsequent to, the end of the reporting period this security is non-income producing. Non-income producing, in the case of a fixed-income security, 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 ceased accruing additional income on the Fund’s records. |
| (5) | Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions. |
| (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. |
| (7) | On November 28, 2011, AMR Corp. (“AMR”), the parent company of American Airlines Group, Inc. (“AAL”) filed for federal bankruptcy protection. On December 9, 2013, AMR emerged from federal bankruptcy with the acceptance of its reorganization plan by the bankruptcy court. Under the settlement agreement established to meet AMR’s unsecured bond obligations, the bondholders, including the Fund, received a distribution of AAL preferred stock which was converted to AAL common stock over a 120-day period. Every 30 days, a quarter of the preferred stock was converted to AAL common stock based on the 5-day volume-weighted average price and the amount of preferred shares tendered during the optional preferred conversion period. |
| (8) | Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3. See Notes to Financial Statements, Note 2 – Investment Valuation and Fair Value Measurements for more information. |
| (9) | Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter derivatives as presented on the Statement of Assets and Liabilities. The unrealized appreciation (depreciation) of exchange-cleared and exchange-traded derivatives is recognized as part of the cash collateral at brokers and/or the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable. |
| (10) | Effective date represents the date on which both the Fund and Counterparty commence interest payment accruals on each contract. |
| (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, Note 3 – Portfolio Securities and Investments in Derivatives, Inverse Floating Rate Securities for more information. |
| (WI/DD) | Investment, or portion of investment, purchased on a when-issued or delayed delivery basis. |
| N/A | Not applicable |
| USD-BMA | United States Dollar-Bond Market Association |
| USD-LIBOR-ICE | United States Dollar-London Inter-Bank Offered Rate-Intercontinental Exchange |
See accompanying notes to financial statements.
| Nuveen Investments | 39 |
Nuveen California Municipal Bond Fund
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
LONG-TERM INVESTMENTS – 98.6% | ||||||||||||||||
MUNICIPAL BONDS – 98.6% | ||||||||||||||||
| Consumer Staples – 4.5% | ||||||||||||||||
| $ | 2,305 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Alameda County Tobacco Asset Securitization Corporation, Series 2002, 5.750%, 6/01/29 | 11/15 at 100.00 | Baa1 | $ | 2,304,931 | ||||||||||
| 3,500 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Los Angeles County Securitization Corporation, Series 2006A, 5.650%, 6/01/41 | 12/18 at 100.00 | B2 | 3,170,440 | ||||||||||||
| 2,480 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Los Angeles County Securitization Corporation, Series 2006A., 5.600%, 6/01/36 | 12/18 at 100.00 | B | 2,291,842 | ||||||||||||
| 200 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Sonoma County Tobacco Securitization Corporation, Series 2005, 4.250%, 6/01/21 | 11/15 at 100.00 | BBB+ | 198,720 | ||||||||||||
| 24,665 | Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Series 2007A-1, 5.000%, 6/01/33 | 6/17 at 100.00 | B | 20,967,963 | ||||||||||||
Tobacco Securitization Authority of Northern California, Tobacco Settlement Asset-Backed Bonds, Series 2005A-1: | ||||||||||||||||
| 9,500 | 5.375%, 6/01/38 | 11/15 at 100.00 | B– | 7,888,610 | ||||||||||||
| 3,105 | 5.500%, 6/01/45 | 11/15 at 100.00 | B– | 2,513,436 | ||||||||||||
| 3,700 | Tobacco Securitization Authority of Southern California, Tobacco Settlement Asset-Backed Bonds, San Diego County Tobacco Asset Securitization Corporation, Senior Series 2006A, 5.000%, 6/01/37 | 11/15 at 100.00 | BB+ | 3,205,828 | ||||||||||||
| 49,455 | Total Consumer Staples | 42,541,770 | ||||||||||||||
| Education and Civic Organizations – 6.5% | ||||||||||||||||
| 5,000 | California Educational Facilities Authority, Revenue Bonds, Chapman University, Series 2015, 5.000%, 4/01/40 | 4/25 at 100.00 | A2 | 5,533,050 | ||||||||||||
| 3,915 | California Educational Facilities Authority, Revenue Bonds, Pepperdine University, Series 2015, 5.000%, 9/01/40 (WI/DD, Settled 9/03/15) | 9/25 at 100.00 | AA | 4,485,141 | ||||||||||||
| 1,000 | California Educational Facilities Authority, Revenue Bonds, Pitzer College, Refunding Series 2009, 5.375%, 4/01/34 | 4/20 at 100.00 | A2 | 1,135,000 | ||||||||||||
| 1,000 | California Educational Facilities Authority, Revenue Bonds, University of Redlands, Series 2008A, 5.000%, 8/01/28 | 8/18 at 100.00 | A3 | 1,088,820 | ||||||||||||
| 3,000 | California Educational Facilities Authority, Revenue Bonds, University of the Pacific, Refunding Series 2015, 5.000%, 11/01/36 | 11/25 at 100.00 | A2 | 3,365,670 | ||||||||||||
| 1,500 | California Municipal Finance Authority Charter School Revenue Bonds, Albert Einstein Academies Project, Series 2013A, 6.750%, 8/01/33 | 8/23 at 100.00 | BB | 1,707,090 | ||||||||||||
| 1,125 | California Municipal Finance Authority, Charter School Revenue Bonds, Rocketship Education – Multiple Projects, Series 2014A, 7.250%, 6/01/43 | 6/22 at 102.00 | N/R | 1,268,606 | ||||||||||||
| 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 | BBB– | 403,220 | ||||||||||||
California Municipal Finance Authority, Educational Facilities Revenue Bonds, OCEAA Project, Series 2008A: | ||||||||||||||||
| 915 | 6.750%, 10/01/28 | 10/18 at 100.00 | N/R | 959,780 | ||||||||||||
| 1,500 | 7.000%, 10/01/39 | 10/18 at 100.00 | N/R | 1,578,090 | ||||||||||||
| 40 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Education and Civic Organizations (continued) | ||||||||||||||||
California Municipal Finance Authority, Revenue Bonds, Biola University, Refunding Series 2008A: | ||||||||||||||||
| $ | 1,000 | 5.000%, 10/01/18 | No Opt. Call | Baa1 | $ | 1,095,380 | ||||||||||
| 500 | 5.625%, 10/01/23 | 4/18 at 100.00 | Baa1 | 545,090 | ||||||||||||
| 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 | 917,654 | ||||||||||||
| 1,275 | California Municipal Finance Authority, Revenue Bonds, Goodwill Industries of Sacramento Valley & Northern Nevada Project, Series 2014A, 5.000%, 1/01/35 | 1/25 at 100.00 | N/R | 1,279,067 | ||||||||||||
| 1,500 | California Municipal Finance Authority, Revenue Bonds, University of La Verne, Series 2010A, 6.125%, 6/01/30 | 6/20 at 100.00 | Baa1 | 1,719,420 | ||||||||||||
California School Finance Authority, School Facility Revenue Bonds, Value Schools, Series 2013: | ||||||||||||||||
| 2,000 | 6.900%, 7/01/43 | 7/23 at 100.00 | BB+ | 2,243,340 | ||||||||||||
| 4,040 | 7.000%, 7/01/48 | 7/23 at 100.00 | BB+ | 4,529,890 | ||||||||||||
| 695 | California State Public Works Board, Lease Revenue Bonds, California State University, J, 5.500%, 11/01/26 | 11/19 at 100.00 | Aa3 | 801,182 | ||||||||||||
| 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 | 576,790 | ||||||||||||
California State Public Works Board, Lease Revenue Bonds, California State University, Various University Projects, Series 2012D: | ||||||||||||||||
| 3,000 | 5.000%, 9/01/33 | No Opt. Call | Aa3 | 3,384,390 | ||||||||||||
| 4,000 | 5.000%, 9/01/34 | No Opt. Call | Aa3 | 4,482,960 | ||||||||||||
| 1,035 | California State Public Works Board, Lease Revenue Refunding Bonds, Community College Projects, Series 2004B, 5.500%, 6/01/19 | 11/15 at 100.00 | A+ | 1,039,658 | ||||||||||||
California State University, Systemwide Revenue Bonds, Series 2015A: | ||||||||||||||||
| 2,795 | 4.000%, 11/01/34 | 11/25 at 100.00 | Aa2 | 2,920,887 | ||||||||||||
| 2,650 | 5.000%, 11/01/35 | 11/25 at 100.00 | Aa2 | 3,086,084 | ||||||||||||
| 2,970 | 5.000%, 11/01/38 | 11/25 at 100.00 | Aa2 | 3,427,915 | ||||||||||||
| 1,700 | 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– | 1,934,821 | ||||||||||||
| 1,000 | 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 | 1,007,140 | ||||||||||||
| 4,765 | University of California, General Revenue Bonds, Refunding Series 2009O, 5.250%, 5/15/39 | 5/19 at 100.00 | AA | 5,363,151 | ||||||||||||
| 55,635 | Total Education and Civic Organizations | 61,879,286 | ||||||||||||||
| Health Care – 10.3% | ||||||||||||||||
| 2,000 | Antelope Valley Healthcare District, California, Insured Revenue Refunding Bonds, Series 1997A, 5.200%, 1/01/27 – AGM Insured | 1/16 at 100.00 | AA | 2,005,220 | ||||||||||||
Antelope Valley Healthcare District, California, Revenue Bonds, Series 2011A: | ||||||||||||||||
| 1,810 | 7.000%, 3/01/31 | 3/21 at 100.00 | Ba3 | 2,019,924 | ||||||||||||
| 2,000 | 7.250%, 3/01/36 | 3/21 at 100.00 | Ba3 | 2,238,500 | ||||||||||||
| 2,025 | 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 | 2,379,942 | ||||||||||||
| 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 | 565,860 | ||||||||||||
| 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 | 1,111,890 | ||||||||||||
| Nuveen Investments | 41 |
Nuveen California Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Health Care (continued) | ||||||||||||||||
| $ | 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 | $ | 3,422,880 | ||||||||||
| 1,000 | California Health Facilities Financing Authority, Revenue Bonds, Children’s Hospital Los Angeles, Series 2012A, 5.000%, 11/15/29 | No Opt. Call | BBB+ | 1,071,380 | ||||||||||||
| 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 | 1,189,150 | ||||||||||||
| 3,940 | California Health Facilities Financing Authority, Revenue Bonds, El Camino Hospital, Series 2015A, 5.000%, 2/01/40 | 2/25 at 100.00 | A+ | 4,352,282 | ||||||||||||
| 830 | California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children’s Hospital, Series 2014A, 5.000%, 8/15/43 | 8/24 at 100.00 | AA | 930,413 | ||||||||||||
| 905 | California Health Facilities Financing Authority, Revenue Bonds, Providence Health & Services, Series 2014A, 5.000%, 10/01/38 | 10/24 at 100.00 | AA | 1,025,637 | ||||||||||||
| 1,825 | California Health Facilities Financing Authority, Revenue Bonds, Providence Health & Services, Series 2014B, 5.000%, 10/01/44 | 10/24 at 100.00 | AA | 2,040,897 | ||||||||||||
| 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 | AA– | 6,878,760 | ||||||||||||
| 200 | California Health Facilities Financing Authority, Revenue Bonds, Scripps Health, Refunding Series 2008A, 5.000%, 10/01/22 | 10/18 at 100.00 | AA | 224,596 | ||||||||||||
| 1,830 | California Health Facilities Financing Authority, Revenue Bonds, Sutter Health, Series 2007A, 5.250%, 11/15/46 | 11/16 at 100.00 | AA– | 1,903,969 | ||||||||||||
| 2,000 | California Health Facilities Financing Authority, Revenue Bonds, Sutter Health, Series 2011B, 6.000%, 8/15/42 | 8/20 at 100.00 | AA– | 2,365,640 | ||||||||||||
| 2,010 | 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 | A– | 2,244,708 | ||||||||||||
| 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– | 2,398,740 | ||||||||||||
California Statewide Communities Development Authority, Revenue Bonds, Adventist Health System/West, Series 2015A: | ||||||||||||||||
| 1,305 | 5.000%, 3/01/35 | 3/26 at 100.00 | A | 1,456,915 | ||||||||||||
| 1,000 | 5.000%, 3/01/45 | 3/26 at 100.00 | A | 1,101,740 | ||||||||||||
| 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 | 1,094,700 | ||||||||||||
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 | AA– | 140,854 | ||||||||||||
| 500 | 5.500%, 8/15/23 | 8/18 at 100.00 | AA– | 564,655 | ||||||||||||
| 2,155 | 6.250%, 8/15/28 | 8/18 at 100.00 | AA– | 2,471,742 | ||||||||||||
| 2,235 | California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005A, 5.250%, 7/01/30 | 11/15 at 100.00 | CCC | 2,008,550 | ||||||||||||
| 3,740 | California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005G, 5.000%, 7/01/22 | 11/15 at 100.00 | CCC | 3,357,061 | ||||||||||||
| 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+ | 1,675,643 | ||||||||||||
| 3,000 | California Statewide Community Development Authority, Revenue Bonds, Kaiser Permanente System, Series 2007B, 0.970%, 4/01/36 | 4/17 at 100.00 | A+ | 2,663,970 | ||||||||||||
| 42 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Health Care (continued) | ||||||||||||||||
| $ | 2,010 | California Statewide Community Development Authority, Revenue Bonds, Methodist Hospital Project, Series 2009, 6.750%, 2/01/38 | 8/19 at 100.00 | Aa2 | $ | 2,373,890 | ||||||||||
California Statewide Community Development Authority, Revenue Bonds, St: | ||||||||||||||||
| 1,100 | 5.500%, 7/01/27 – FGIC Insured | 7/18 at 100.00 | AA– | 1,227,160 | ||||||||||||
| 500 | 5.500%, 7/01/27 – FGIC Insured | 7/18 at 100.00 | AA– | 557,800 | ||||||||||||
| 8,225 | 5.750%, 7/01/47 – FGIC Insured | 7/18 at 100.00 | AA– | 9,129,256 | ||||||||||||
Marysville, California, Revenue Bonds, The Fremont-Rideout Health Group, Series 2011: | ||||||||||||||||
| 2,015 | 5.250%, 1/01/27 | 1/21 at 100.00 | A | 2,263,772 | ||||||||||||
| 3,705 | 5.250%, 1/01/35 | 1/21 at 100.00 | A | 4,062,162 | ||||||||||||
| 2,500 | 5.250%, 1/01/42 | 1/21 at 100.00 | A | 2,730,750 | ||||||||||||
| 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 | BB | 1,494,426 | ||||||||||||
| 1,580 | Oak Valley Hospital District, Stanislaus County, California, Revenue Bonds, Series 2010A, 7.000%, 11/01/35 | 11/20 at 100.00 | BB | 1,688,325 | ||||||||||||
| 7,600 | Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2009, 6.750%, 11/01/39 | 11/19 at 100.00 | Ba1 | 8,319,492 | ||||||||||||
| 3,625 | Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2010, 6.000%, 11/01/41 | 11/20 at 100.00 | Ba1 | 3,848,916 | ||||||||||||
| 3,040 | Upland, California, Certificates of Participation, San Antonio Community Hospital, Series 2011, 6.500%, 1/01/41 | 1/21 at 100.00 | A– | 3,511,200 | ||||||||||||
| 89,785 | Total Health Care | 98,113,367 | ||||||||||||||
| Housing/Multifamily – 1.5% | ||||||||||||||||
| 1,470 | California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects Series 2010A, 6.400%, 8/15/45 | 8/20 at 100.00 | BBB | 1,616,059 | ||||||||||||
| 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 | 1,737,289 | ||||||||||||
| 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 | 1,154,890 | ||||||||||||
California Municipal Finance Authority, Mobile Home Park Senior Revenue Bonds, Caritas Affordable Housing, Inc. Projects, Series 2014A: | ||||||||||||||||
| 170 | 5.250%, 8/15/39 | 8/24 at 100.00 | BBB | 184,659 | ||||||||||||
| 455 | 5.250%, 8/15/49 | 8/24 at 100.00 | BBB | 491,669 | ||||||||||||
| 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 | 447,027 | ||||||||||||
| 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) | 12/15 at 100.00 | N/R | 4,182,466 | ||||||||||||
| 1,790 | San Dimas Housing Authority, California, Mobile Home Park Revenue Bonds, Charter Oak Mobile Home Estates Acquisition Project, Series 1998A, 5.700%, 7/01/28 | 1/16 at 100.00 | N/R | 1,792,363 | ||||||||||||
| 1,395 | San Jose, California, Multifamily Housing Senior Lien Revenue Bonds, Fallen Leaves Apartments, Series 2002J1, 4.950%, 12/01/22 – AMBAC Insured (Alternative Minimum Tax) | 11/15 at 100.00 | N/R | 1,396,102 | ||||||||||||
| 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 | 1,003,890 | ||||||||||||
| 13,450 | Total Housing/Multifamily | 14,006,414 | ||||||||||||||
| Nuveen Investments | 43 |
Nuveen California Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Housing/Single Family – 0.0% | ||||||||||||||||
| $ | 80 | 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 | A | $ | 81,439 | ||||||||||
| Long-Term Care – 1.0% | ||||||||||||||||
| 3,000 | ABAG Finance Authority for Non-Profit Corporations, California, Health Facility Revenue Bonds, The Institute on Aging, Series 2008A, 5.650%, 8/15/38 | 8/18 at 100.00 | AA– | 3,315,240 | ||||||||||||
| 1,275 | California Health Facilities Financing Authority, Revenue Bonds, Northern California Presbyterian Homes& Services Inc., Series 2015, 5.000%, 7/01/44 | 7/25 at 100.00 | AA– | 1,419,980 | ||||||||||||
| 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 | AA– | 2,300,900 | ||||||||||||
| 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 | AA– | 605,690 | ||||||||||||
| 750 | California Statewide Community Development Authority, Revenue Bonds, Los Angeles Jewish Home for the Aging-Fountainview Gonda, Series 2014D, 4.750%, 8/01/20 | 11/16 at 100.00 | N/R | 752,318 | ||||||||||||
| 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+ | 1,066,290 | ||||||||||||
| 8,585 | Total Long-Term Care | 9,460,418 | ||||||||||||||
| Tax Obligation/General – 27.7% | ||||||||||||||||
| 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 | 713,670 | ||||||||||||
| 4,000 | Alum Rock Union Elementary School District, Santa Clara County, California, General Obligation Bonds, Refunding Series 2013A, 6.000%, 8/01/39 | 8/23 at 100.00 | AA– | 4,884,080 | ||||||||||||
| 6,600 | Bakersfield City School District, Kern County, California, General Obligation Bonds, Series 2012C, 0.000%, 5/01/42 | 5/40 at 100.00 | Aa2 | 3,340,128 | ||||||||||||
California State, General Obligation Bonds, Various Purpose Refunding Series 2014: | ||||||||||||||||
| 1,265 | 5.000%, 8/01/31 | 8/24 at 100.00 | AA– | 1,456,281 | ||||||||||||
| 6,780 | 5.000%, 8/01/32 | 8/24 at 100.00 | AA– | 7,776,660 | ||||||||||||
| 1,205 | 5.000%, 8/01/33 | 8/24 at 100.00 | AA– | 1,376,086 | ||||||||||||
| 28,370 | California State, General Obligation Bonds, Various Purpose Refunding Series 2015, 5.000%, 8/01/33 | 2/25 at 100.00 | AA– | 32,592,307 | ||||||||||||
California State, General Obligation Bonds, Various Purpose Series 2009: | ||||||||||||||||
| 600 | 5.625%, 4/01/26 | 4/19 at 100.00 | AA– | 694,446 | ||||||||||||
| 5,000 | 5.500%, 11/01/34 | 11/19 at 100.00 | AA– | 5,842,300 | ||||||||||||
| 4,060 | 6.000%, 11/01/39 | 11/19 at 100.00 | AA– | 4,833,227 | ||||||||||||
California State, General Obligation Bonds, Various Purpose Series 2010: | ||||||||||||||||
| 5,000 | 5.250%, 3/01/30 | 3/20 at 100.00 | AA– | 5,791,700 | ||||||||||||
| 10,000 | 5.500%, 3/01/40 | 3/20 at 100.00 | AA– | 11,620,700 | ||||||||||||
| 4,000 | 5.250%, 11/01/40 | 11/20 at 100.00 | AA– | 4,662,800 | ||||||||||||
| 2,000 | California State, General Obligation Bonds, Various Purpose Series 2011, 5.250%, 10/01/32 | 10/21 at 100.00 | AA– | 2,313,440 | ||||||||||||
California State, General Obligation Bonds, Various Purpose Series 2013: | ||||||||||||||||
| 5,860 | 5.000%, 2/01/38 | No Opt. Call | AA– | 6,580,135 | ||||||||||||
| 1,430 | 5.000%, 2/01/43 | No Opt. Call | AA– | 1,594,707 | ||||||||||||
California State, General Obligation Bonds, Various Purpose Series 2014: | ||||||||||||||||
| 15,000 | 5.000%, 10/01/37 | 10/24 at 100.00 | AA– | 17,049,900 | ||||||||||||
| 2,470 | 5.000%, 5/01/44 | 5/24 at 100.00 | AA– | 2,762,423 | ||||||||||||
| 5,000 | 4.000%, 11/01/44 | 11/24 at 100.00 | AA– | 5,065,000 | ||||||||||||
| 44 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/General (continued) | ||||||||||||||||
California State, General Obligation Bonds, Various Purpose Series 2015: | ||||||||||||||||
| $ | 5,545 | 5.000%, 3/01/33 | 3/25 at 100.00 | AA– | $ | 6,376,695 | ||||||||||
| 10,000 | 5.000%, 3/01/45 | 3/25 at 100.00 | AA– | 11,272,400 | ||||||||||||
| 3,065 | 4.000%, 8/01/45 (WI/DD, Settled 9/09/15) | 8/25 at 100.00 | AA– | 3,105,060 | ||||||||||||
| 3,000 | 5.000%, 8/01/45 (WI/DD, Settled 9/09/15) | 8/25 at 100.00 | AA– | 3,393,600 | ||||||||||||
| 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 | 972,631 | ||||||||||||
| 5,000 | Chabot-Las Positas Community College District, California, General Obligation Bonds, Series 2006C, 0.000%, 8/01/41 – AMBAC Insured | 8/16 at 28.46 | Aa3 | 1,386,800 | ||||||||||||
| 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 | 1,126,340 | ||||||||||||
| 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 | AA | 598,465 | ||||||||||||
| 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 | AA | 556,060 | ||||||||||||
| 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 | AA+ | 777,991 | ||||||||||||
| 18,500 | Desert Community College District, Riverside County, California, General Obligation Bonds, Election 2004 Series 2007C, 0.000%, 8/01/46 – AGM Insured | No Opt. Call | AA | 3,692,415 | ||||||||||||
Fontana Unified School District, San Bernardino County, California, General Obligation Bonds, Refunding Series 2012: | ||||||||||||||||
| 11,200 | 0.000%, 8/01/40 | No Opt. Call | Aa3 | 3,033,296 | ||||||||||||
| 19,700 | 0.000%, 8/01/41 | 8/22 at 34.18 | Aa3 | 4,988,828 | ||||||||||||
Golden West Schools Financing Authority, California, General Obligation Revenue Refunding Bonds, School District Program, Series 1999A: | ||||||||||||||||
| 320 | 5.800%, 8/01/22 – NPFG Insured | No Opt. Call | AA– | 385,216 | ||||||||||||
| 345 | 5.800%, 8/01/23 – NPFG Insured | No Opt. Call | AA– | 420,538 | ||||||||||||
| 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 | Aa3 | 1,089,004 | ||||||||||||
| 460 | Jefferson Union High School District, San Mateo County, California, General Obligation Bonds, Series 2000A, 6.250%, 8/01/20 – NPFG Insured | No Opt. Call | AA– | 559,121 | ||||||||||||
| 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 | 574,800 | ||||||||||||
Los Angeles Community College District, California, General Obligation Bonds, Series 2015A: | ||||||||||||||||
| 3,235 | 5.000%, 8/01/28 | No Opt. Call | AA+ | 3,856,864 | ||||||||||||
| 32,835 | 5.000%, 8/01/30 | 8/24 at 100.00 | AA+ | 38,584,408 | ||||||||||||
| 6,000 | 5.000%, 8/01/31 | 8/24 at 100.00 | AA+ | 7,019,580 | ||||||||||||
| 150 | 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 | 168,411 | ||||||||||||
| 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 | 121,502 | ||||||||||||
| 10,000 | Newport-Mesa Unified School District, Orange County, California, General Obligation Bonds, Election of 2005, Series 2011, 0.000%, 8/01/41 | 8/21 at 24.49 | AA+ | 2,125,500 | ||||||||||||
| 9,440 | Paramount Unified School District, Los Angeles County, California, General Obligation Bonds, Election 2006 Series 2011, 0.000%, 8/01/45 | No Opt. Call | A+ | 7,885,798 | ||||||||||||
| Nuveen Investments | 45 |
Nuveen California Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/General (continued) | ||||||||||||||||
| $ | 4,000 | Pittsburg Unified School District Financing Authority, Contra Costa County, California, General Obligation Bonds, Pittsburg Unified School District Bond Program, Series 2011, 0.000%, 9/01/38 – AGM Insured | 9/21 at 27.77 | AA | $ | 920,800 | ||||||||||
| 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 | 1,290,366 | ||||||||||||
| 855 | Pomona Unified School District, Los Angeles County, California, General Obligation Bonds, Series 2001A, 5.950%, 2/01/17 – NPFG Insured | No Opt. Call | AA– | 918,407 | ||||||||||||
| 3,125 | Rosemead School District, Los Angeles County, California, General Obligation Bonds, Election 2008 Series 2013B, 0.000%, 8/01/43 – AGM Insured | 8/23 at 100.00 | AA | 3,072,750 | ||||||||||||
| 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 | AA– | 1,863,540 | ||||||||||||
| 1,535 | San Leandro Unified School District, Alameda County, California, General Obligation Bonds, Election 2006 Series 2010C, 0.000%, 8/01/39 – AGC Insured | 8/28 at 100.00 | AA | 1,084,923 | ||||||||||||
| 1,000 | San Lorenzo Unified School District, Alameda County, California, General Obligation Bonds, Election of 2008 Series 2011B, 6.000%, 8/01/41 | No Opt. Call | A+ | 1,200,040 | ||||||||||||
| 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 | Aa3 | 1,118,270 | ||||||||||||
| 1,000 | Santa Barbara Community College District, California, General Obligation Bonds, Series 2008A, 5.250%, 8/01/27 | 8/18 at 100.00 | AA+ | 1,124,720 | ||||||||||||
| 15,040 | Santa Barbara Secondary High School District, Santa Barbara County, California, General Obligation Bonds, Election 2010 Series 2011A, 0.000%, 8/01/40 | No Opt. Call | AA– | 4,990,122 | ||||||||||||
| 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 | 9,411,115 | ||||||||||||
Tulare Local Health Care District, California, General Obligation Bonds, Series 2009B-1: | ||||||||||||||||
| 500 | 6.375%, 8/01/25 | 8/19 at 100.00 | Baa3 | 569,930 | ||||||||||||
| 1,005 | 6.500%, 8/01/26 | 8/19 at 100.00 | Baa3 | 1,146,745 | ||||||||||||
| 1,555 | 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 | 1,733,716 | ||||||||||||
| 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 | 1,917,260 | ||||||||||||
| 645 | Washington Township Health Care District, Alameda County, California, General Obligation Bonds, 2012 Election Series 2013A, 5.500%, 8/01/40 | 8/24 at 100.00 | Aa3 | 760,919 | ||||||||||||
| 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 | 1,425,116 | ||||||||||||
| 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 | AA– | 893,824 | ||||||||||||
| 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– | 353,390 | ||||||||||||
| 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 | 2,003,855 | ||||||||||||
| 305,830 | Total Tax Obligation/General | 262,821,121 | ||||||||||||||
| Tax Obligation/Limited – 29.6% | ||||||||||||||||
| 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 | 1,098,570 | ||||||||||||
| 46 | 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 19A, Series 2015B, 5.000%, 9/01/35 | 9/25 at 100.00 | N/R | $ | 1,080,330 | ||||||||||
| 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 | 1,536,800 | ||||||||||||
| 2,250 | Brea and Olinda Unified School District, Orange County, California, Certificates of Participation Refunding, Series 2002A, 5.125%, 8/01/26 – AGM Insured | 11/15 at 100.00 | AA | 2,259,112 | ||||||||||||
Brea Public Finance Authority, California, Revenue Bonds, Series 2008A: | ||||||||||||||||
| 2,105 | 7.000%, 9/01/23 | 9/16 at 102.00 | BBB+ | 2,278,073 | ||||||||||||
| 2,000 | 7.125%, 9/01/26 | 9/16 at 102.00 | BBB+ | 2,163,000 | ||||||||||||
| 2,665 | Brea Redevelopment Agency, Orange County, California, Tax Allocation Bonds, Project Area AB, Series 2011A, 0.000%, 8/01/34 | 8/21 at 36.61 | AA– | 782,524 | ||||||||||||
| 2,725 | California Community College Financing Authority, Lease Revenue Bonds, Refunding Series 2003, 0.000%, 6/01/33 – AMBAC Insured | No Opt. Call | A+ | 1,083,678 | ||||||||||||
| 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 | 11/15 at 100.00 | AA+ | 1,967,958 | ||||||||||||
| 2,000 | California State Public Works Board, Lease Revenue Bonds, Department of Corrections & Rehabilitation, Various Correctional Facilities Series 2014A., 5.000%, 9/01/39 | 9/24 at 100.00 | A+ | 2,247,980 | ||||||||||||
| 1,000 | California State Public Works Board, Lease Revenue Bonds, Department of Education Riverside Campus Project, Series 2009B, 5.750%, 4/01/23 | 4/19 at 100.00 | A+ | 1,155,770 | ||||||||||||
California State Public Works Board, Lease Revenue Bonds, Judicial Council of California, New Stockton Courthouse, Series 2014B: | ||||||||||||||||
| 5,120 | 5.000%, 10/01/32 | 10/24 at 100.00 | A+ | 5,876,122 | ||||||||||||
| 2,600 | 5.000%, 10/01/33 | 10/24 at 100.00 | A+ | 2,970,708 | ||||||||||||
| 3,820 | 5.000%, 10/01/34 | 10/24 at 100.00 | A+ | 4,354,953 | ||||||||||||
| 2,000 | 5.000%, 10/01/39 | 10/24 at 100.00 | A+ | 2,249,880 | ||||||||||||
| 1,000 | California State Public Works Board, Lease Revenue Bonds, Judicial Council of California, Various Projects Series 2013A, 5.000%, 3/01/30 | No Opt. Call | A+ | 1,145,710 | ||||||||||||
| 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 | A+ | 2,924,150 | ||||||||||||
| 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 | A+ | 2,400,100 | ||||||||||||
| 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 | A+ | 3,543,540 | ||||||||||||
| 775 | 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 | 838,883 | ||||||||||||
Chula Vista Municipal Finance Authority, California, Special Tax Revenue Bonds, Refunding Series 2013: | ||||||||||||||||
| 1,915 | 5.500%, 9/01/27 | 9/23 at 100.00 | BBB+ | 2,237,429 | ||||||||||||
| 2,165 | 5.500%, 9/01/29 | 9/23 at 100.00 | BBB+ | 2,499,146 | ||||||||||||
| 1,520 | 5.500%, 9/01/30 | 9/23 at 100.00 | BBB+ | 1,746,526 | ||||||||||||
| 660 | 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 | N/R | 691,013 | ||||||||||||
| 1,425 | 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 | N/R | 1,488,313 | ||||||||||||
| 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+ | 1,319,944 | ||||||||||||
| Nuveen Investments | 47 |
Nuveen California Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
| $ | 1,500 | Elk Grove Financing Authority, California, Special Tax Revenue Bonds, Series 2015, 5.000%, 9/01/38 – BAM Insured | 9/25 at 100.00 | AA | $ | 1,664,400 | ||||||||||
| 1,500 | Glendale Redevelopment Agency, California, Tax Allocation Bonds, Central Glendale Redevelopment Project, Series 2010, 5.500%, 12/01/24 | 12/16 at 100.00 | A | 1,559,130 | ||||||||||||
| 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 | 1,786,207 | ||||||||||||
| 35,000 | Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement Asset-Backed Revenue Bonds, Series 2015A, 5.000%, 6/01/40 | 6/25 at 100.00 | A+ | 38,784,550 | ||||||||||||
| 3,965 | 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 | N/R | 4,027,369 | ||||||||||||
| 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 | BBB– | 2,075,788 | ||||||||||||
| 1,660 | Highland, California, Special Tax Bonds, Community Facilities District 01-1, Refunding, Series 2011, 5.500%, 9/01/28 | 9/21 at 100.00 | BBB+ | 1,791,671 | ||||||||||||
| 1,000 | Huntington Beach, California, Special Tax Bonds, Community Facilities District 2003-1 Huntington Center, Refunding Series 2013, 5.375%, 9/01/33 | 9/23 at 100.00 | N/R | 1,118,750 | ||||||||||||
| 625 | Indio, California, Special Tax Bonds, Community Facilities District 2004-3 Terra Lago, Improvement Area 1, Series 2015, 5.000%, 9/01/35 | 9/25 at 100.00 | N/R | 669,881 | ||||||||||||
| 430 | Inglewood Redevelopment Agency, California, Tax Allocation Bonds, Merged Redevelopment Project, Subordinate Lien Series 2007A-1, 5.000%, 5/01/24 – AMBAC Insured | 5/17 at 100.00 | BBB+ | 437,426 | ||||||||||||
| 170 | Irvine Unified School District, California, Special Tax Bonds, Community Facilities District Series 2006A, 5.000%, 9/01/26 | 9/16 at 100.00 | N/R | 174,080 | ||||||||||||
| 740 | Irvine Unified School District, Orange County, California, Special Tax Bonds, Community Facilities District 06-1, Series 2010, 6.700%, 9/01/35 | 9/20 at 100.00 | N/R | 854,485 | ||||||||||||
| 1,090 | Irvine, California, Limited Obligation Improvement Bonds, Reassessment District 15-2, Series 2015, 5.000%, 9/02/42 | 9/25 at 100.00 | N/R | 1,163,379 | ||||||||||||
Irvine, California, Special Tax Bonds, Community Facilities District 2013-3 Great Park, Improvement Area 1, Refunding Series 2014: | ||||||||||||||||
| 500 | 5.000%, 9/01/39 | 9/24 at 100.00 | N/R | 538,000 | ||||||||||||
| 750 | 5.000%, 9/01/44 | 9/24 at 100.00 | N/R | 803,880 | ||||||||||||
| 790 | Lake Elsinore Public Financing Authority, California, Local Agency Revenue Bonds, Canyon Hills Improvement Area A & C, Series 2014C, 5.000%, 9/01/40 | No Opt. Call | N/R | 840,205 | ||||||||||||
| 2,000 | Lake Elsinore Public Financing Authority, California, Local Agency Revenue Bonds, Refunding Series 2015, 5.000%, 9/01/40 | 9/25 at 100.00 | N/R | 2,138,540 | ||||||||||||
Lammersville Joint Unified School District, California, Community Facilities District 2007-1, Mountain House – Shea Homes, Improvement Area 1 Special Tax Bonds, Series 2013: | ||||||||||||||||
| 1,000 | 6.000%, 9/01/38 | 9/23 at 100.00 | N/R | 1,155,520 | ||||||||||||
| 1,750 | 6.000%, 9/01/43 | 9/23 at 100.00 | N/R | 2,016,490 | ||||||||||||
| 215 | Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Redevelopment Project Areas Housing Programs, Series 2009, 6.875%, 8/01/39 | No Opt. Call | BBB | 247,467 | ||||||||||||
| 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 | 11/15 at 100.00 | A | 1,877,106 | ||||||||||||
| 48 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
Lancaster Redevelopment Agency, California, Tax Allocation Refunding Bonds, Combined Fire Protection Facilities Project, Series 2004: | ||||||||||||||||
| $ | 800 | 5.250%, 12/01/17 – SYNCORA GTY Insured | 11/15 at 100.00 | A | $ | 802,688 | ||||||||||
| 1,120 | 5.000%, 12/01/23 – SYNCORA GTY Insured | 11/15 at 100.00 | A | 1,124,256 | ||||||||||||
| 1,200 | Los Angeles Community Redevelopment Agency, California, Lease Revenue Bonds, Manchester Social Services Project, Series 2005, 5.000%, 9/01/16 – AMBAC Insured | 9/15 at 100.00 | A1 | 1,204,752 | ||||||||||||
| 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 | 11/15 at 100.00 | A2 | 331,624 | ||||||||||||
| 610 | Milpitas, California, Local Improvement District 20 Limited Obligation Bonds, Series 1998A, 5.700%, 9/02/18 | 9/15 at 103.00 | N/R | 636,639 | ||||||||||||
| 1,505 | Modesto, California, Special Tax Bonds, Community Facilities District 2004-1 Village One 2, Refunding Series 2014, 5.000%, 9/01/28 | 9/24 at 100.00 | BBB– | 1,671,844 | ||||||||||||
Murrieta Valley Unified School District, California, Special Tax Bonds, Community Facilities District 2006-1 Improvement Area B, Series 2013A: | ||||||||||||||||
| 1,450 | 5.750%, 9/01/38 | 3/16 at 103.00 | N/R | 1,505,912 | ||||||||||||
| 1,500 | 5.875%, 9/01/43 | 3/16 at 103.00 | N/R | 1,558,620 | ||||||||||||
| 340 | Murrieta, California, Special Tax Bonds, Community Facilities District 2000-2, The Oaks Improvement Area A, Series 2004A, 5.750%, 9/01/20 | 11/15 at 100.00 | N/R | 341,095 | ||||||||||||
| 205 | Murrieta, California, Special Tax Bonds, Community Facilities District 2003-3, Creekside Village Improvement Area 1, Series 2005, 5.200%, 9/01/35 | 3/16 at 100.00 | N/R | 206,589 | ||||||||||||
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– | 779,744 | ||||||||||||
| 5,455 | 7.000%, 8/01/32 | 8/21 at 100.00 | A– | 6,811,604 | ||||||||||||
| 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+ | 1,172,670 | ||||||||||||
| 4,055 | Novato Redevelopment Agency, California, Tax Allocation Bonds, Hamilton Field Redevelopment Project, Series 2011, 6.750%, 9/01/40 | 9/21 at 100.00 | BBB+ | 4,876,908 | ||||||||||||
Oakland Redevelopment Successor Agency, California, Tax Allocation Bonds, Refunding Subordinated Series 2015-TE: | ||||||||||||||||
| 3,250 | 5.000%, 9/01/35 – AGM Insured (WI/DD, Settled 9/02/15) | 9/25 at 100.00 | AA | 3,626,382 | ||||||||||||
| 3,215 | 5.000%, 9/01/36 – AGM Insured (WI/DD, Settled 9/02/15) | 9/25 at 100.00 | AA | 3,578,777 | ||||||||||||
| 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 | 11/15 at 102.00 | N/R | 2,469,475 | ||||||||||||
Patterson Public Finance Authority, California, Revenue Bonds, Community Facilities District 2001-1, Senior Series 2013A: | ||||||||||||||||
| 2,695 | 5.250%, 9/01/30 | 9/23 at 100.00 | N/R | 2,896,963 | ||||||||||||
| 2,420 | 5.750%, 9/01/39 | 9/23 at 100.00 | N/R | 2,628,677 | ||||||||||||
| 435 | Patterson Public Finance Authority, California, Revenue Bonds, Community Facilities District 2001-1, Subordinate Lien Series 2013B, 5.875%, 9/01/39 | 9/23 at 100.00 | N/R | 469,308 | ||||||||||||
| 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– | 3,674,329 | ||||||||||||
Rancho Cucamonga Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Rancho Redevelopment Project, Series 2014: | ||||||||||||||||
| 1,600 | 5.000%, 9/01/30 | 9/24 at 100.00 | AA | 1,839,872 | ||||||||||||
| 2,800 | 5.000%, 9/01/31 | 9/24 at 100.00 | AA | 3,200,848 | ||||||||||||
| 2,400 | 5.000%, 9/01/32 | 9/24 at 100.00 | AA | 2,733,504 | ||||||||||||
| Nuveen Investments | 49 |
Nuveen California Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
| $ | 1,245 | Rancho Cucamonga, California, Limited Obligation Improvement Bonds, Masi Plaza Assessment District 93-1, Series 1997, 6.250%, 9/02/22 | 9/15 at 100.00 | N/R | $ | 1,264,447 | ||||||||||
| 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+ | 1,183,943 | ||||||||||||
| 1,115 | Rio Elementary School District, California, Special Tax Bonds, Community Facilities District 1, Series 2013, 5.500%, 9/01/39 | 9/23 at 100.00 | N/R | 1,221,616 | ||||||||||||
| 260 | Riverside County Public Financing Authority, California, Tax Allocation Bonds, Multiple Projects, Series 2005A, 5.000%, 10/01/24 – SYNCORA GTY Insured | 10/15 at 100.00 | BBB+ | 260,296 | ||||||||||||
Riverside County Redevelopment Agency, California, Interstate 215 Corridor Redevelopment Project Area Tax Allocation Bonds, Series 2010E: | ||||||||||||||||
| 2,950 | 6.250%, 10/01/30 | 10/20 at 100.00 | A– | 3,474,539 | ||||||||||||
| 480 | 6.500%, 10/01/40 | 10/20 at 100.00 | A– | 562,162 | ||||||||||||
| 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 | 122,663 | ||||||||||||
| 6,470 | Riverside County Transportation Commission, California, Sales Tax Revenue Bonds, Limited Tax Series 2013A, 5.250%, 6/01/39 | 6/23 at 100.00 | AA+ | 7,445,547 | ||||||||||||
Roseville, California, Special Tax Bonds, Community Facilities District 1 Westpark, Refunding Series 2015: | ||||||||||||||||
| 1,000 | 5.000%, 9/01/28 | 9/25 at 100.00 | N/R | 1,097,600 | ||||||||||||
| 1,000 | 5.000%, 9/01/29 | 9/25 at 100.00 | N/R | 1,095,570 | ||||||||||||
| 1,000 | 5.000%, 9/01/30 | 9/25 at 100.00 | N/R | 1,087,770 | ||||||||||||
| 1,700 | Sacramento City Financing Authority, California, Lease Revenue Refunding Bonds, Series 1993A, 5.400%, 11/01/20 – AMBAC Insured | No Opt. Call | A+ | 1,861,806 | ||||||||||||
| 500 | Sacramento City Financing Authority, California, Lease Revenue Refunding Bonds, Series 1993B, 5.400%, 11/01/20 | No Opt. Call | A+ | 547,590 | ||||||||||||
| 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 | AA | 853,069 | ||||||||||||
| 450 | San Francisco City and County Redevelopment Agency Successor Agency, California, Special Tax Bonds, Community Facilities District 7, Hunters Point Shipyard Phase One Improvements, Refunding Series 2014, 5.000%, 8/01/39 | No Opt. Call | N/R | 477,018 | ||||||||||||
| 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 | 2,211,476 | ||||||||||||
| 5,255 | San Francisco City and County, California, Certificates of Participation, Refunding Series 2010A, 5.000%, 10/01/30 | 10/20 at 100.00 | AA | 6,039,992 | ||||||||||||
| 525 | San Francisco Redevelopment Finance Authority, California, Tax Allocation Revenue Bonds, Mission Bay North Redevelopment Project, Series 2009C, 6.375%, 8/01/32 | 8/19 at 100.00 | A– | 600,269 | ||||||||||||
| 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– | 1,426,456 | ||||||||||||
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+ | 95,830 | ||||||||||||
| 105 | 7.000%, 8/01/41 | 2/21 at 100.00 | BBB+ | 125,777 | ||||||||||||
| 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 | 3,839,220 | ||||||||||||
| 50 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
| $ | 2,990 | San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2003, 5.000%, 8/01/19 – FGIC Insured | 11/15 at 100.00 | AA– | $ | 3,001,810 | ||||||||||
| 350 | San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2005A, 5.000%, 8/01/20 – NPFG Insured | 11/15 at 100.00 | AA– | 351,358 | ||||||||||||
| 590 | San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2006C, 5.000%, 8/01/25 – NPFG Insured | 8/17 at 100.00 | AA– | 631,282 | ||||||||||||
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+ | 2,045,350 | ||||||||||||
| 645 | 5.000%, 8/01/19 – AMBAC Insured | 8/17 at 100.00 | BBB+ | 693,575 | ||||||||||||
| 540 | 5.000%, 8/01/21 – AMBAC Insured | 8/17 at 100.00 | BBB+ | 579,064 | ||||||||||||
San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2008B: | ||||||||||||||||
| 1,085 | 6.375%, 8/01/21 | 8/18 at 100.00 | BBB+ | 1,206,846 | ||||||||||||
| 480 | 6.500%, 8/01/23 | 8/18 at 100.00 | BBB+ | 529,939 | ||||||||||||
| 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+ | 2,582,060 | ||||||||||||
| 3,500 | Santa Clara Redevelopment Agency, California, Tax Allocation Bonds, Bayshore North Project, Series 1999A, 5.500%, 6/01/23 – AMBAC Insured | 12/15 at 100.00 | A– | 3,545,675 | ||||||||||||
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+ | 2,156,726 | ||||||||||||
| 2,805 | 7.000%, 9/01/36 | 9/19 at 100.00 | A+ | 3,287,684 | ||||||||||||
| 3,500 | Santee Community Development Commission, California, Santee Redevelopment Project Tax Allocation Bonds, Series 2011A, 6.500%, 8/01/26 | 2/21 at 100.00 | A | 4,230,275 | ||||||||||||
| 1,665 | Shafter Community Development Agency, Kern County, California, Tax Allocation Bonds, Shafter Community Development Project Area 2, Refunding Series 2006A, 5.450%, 11/01/36 | 11/16 at 100.00 | N/R | 1,684,148 | ||||||||||||
| 1,485 | Shafter Joint Powers Financing Authority, California, Lease Revenue Bonds, Community Correctional Facility Acquisition Project, Series 1997A, 6.050%, 1/01/17 | 1/16 at 100.00 | A+ | 1,490,569 | ||||||||||||
| 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 | 202,770 | ||||||||||||
| 205 | Soledad Redevelopment Agency, California, Tax Allocation Bonds, Soledad Redevelopment Project, Series 2007A, 4.500%, 12/01/16 – SYNCORA GTY Insured | No Opt. Call | N/R | 206,501 | ||||||||||||
| 120 | South Tahoe Redevelopment Agency, California, Community Facilities District 2001-1 , Heavenly Village, Special Tax Refunding Bonds, Series 2007, 4.400%, 10/01/15 | No Opt. Call | N/R | 120,364 | ||||||||||||
| 1,015 | Temecula Redevelopment Agency, California, Redevelopment Project 1 Tax Allocation Housing Bonds Series 2011A, 6.750%, 8/01/31 | 8/21 at 100.00 | A | 1,263,655 | ||||||||||||
| 300 | Travis Unified School District, Solano County, California, Certificates of Participation, Series 2006, 4.500%, 9/01/16 – FGIC Insured | No Opt. Call | A3 | 311,490 | ||||||||||||
| 1,225 | Turlock Public Financing Authority, California, Tax Allocation Revenue Bonds, Series 2011, 7.000%, 9/01/25 | 3/21 at 100.00 | A– | 1,514,958 | ||||||||||||
| 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 | 2,075,380 | ||||||||||||
| 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 | 1,262,402 | ||||||||||||
| Nuveen Investments | 51 |
Nuveen California Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
| $ | 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 | $ | 295,075 | ||||||||||
| 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 | AA– | 25,011 | ||||||||||||
Vista, California, Community Development Commission Taxable Non-Housing Tax Allocation Revenue Bonds, Vista Redevelopment Project, Series 2011: | ||||||||||||||||
| 7,600 | 6.000%, 9/01/33 | 9/21 at 100.00 | AA– | 8,980,692 | ||||||||||||
| 7,920 | 6.125%, 9/01/37 | 9/21 at 100.00 | AA– | 9,413,316 | ||||||||||||
Westminster Redevelopment Agency, California, Tax Allocation Bonds, Commercial Redevelopment Project 1, Police Facility Subordinate Series 2009: | ||||||||||||||||
| 10,710 | 6.250%, 11/01/39 | 11/19 at 100.00 | AA | 12,565,829 | ||||||||||||
| 2,395 | 5.750%, 11/01/45 | 11/19 at 100.00 | AA | 2,755,016 | ||||||||||||
| 1,540 | Westminster Redevelopment Agency, California, Tax Allocation Bonds, Commercial Redevelopment Project 1, Subordinate Lien Series 2011A, 5.875%, 11/01/45 | 11/21 at 100.00 | A | 1,760,482 | ||||||||||||
| 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– | 386,941 | ||||||||||||
| 1,650 | Yuba City Redevelopment Agency, California, Tax Allocation Bonds, Redevelopment Project, Series 2007, 5.250%, 9/01/39 – RAAI Insured | 9/17 at 100.00 | AA | 1,692,883 | ||||||||||||
| 1,965 | Yuba City Redevelopment Agency, California, Tax Allocation Bonds, Series 2007A, 6.000%, 9/01/31 | 11/15 at 100.00 | N/R | 1,968,871 | ||||||||||||
| 255,825 | Total Tax Obligation/Limited | 281,520,269 | ||||||||||||||
| Transportation – 4.4% | ||||||||||||||||
| 3,780 | Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Refunding Bonds, Junior Lien Series 2013C, 6.500%, 1/15/43 | 1/24 at 100.00 | BB+ | 4,473,063 | ||||||||||||
Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Refunding Bonds, Series 2013A: | ||||||||||||||||
| 8,335 | 5.750%, 1/15/46 | 1/24 at 100.00 | BBB– | 9,613,506 | ||||||||||||
| 8,415 | 6.000%, 1/15/53 | 1/24 at 100.00 | BBB– | 9,790,516 | ||||||||||||
Long Beach, California, Harbor Revenue Bonds, Series 2015D: | ||||||||||||||||
| 1,000 | 5.000%, 5/15/33 | 5/25 at 100.00 | AA | 1,164,540 | ||||||||||||
| 2,785 | 5.000%, 5/15/34 | 5/25 at 100.00 | AA | 3,227,982 | ||||||||||||
Palm Springs Financing Authority, California, Palm Springs International Airport Revenue Bonds, Series 2006: | ||||||||||||||||
| 285 | 5.450%, 7/01/20 (Alternative Minimum Tax) | 7/16 at 100.00 | N/R | 287,300 | ||||||||||||
| 180 | 5.550%, 7/01/28 (Alternative Minimum Tax) | 7/16 at 100.00 | N/R | 181,582 | ||||||||||||
Riverside County Transportation Commission, California, Toll Revenue Senior Lien Bonds, Series 2013A: | ||||||||||||||||
| 3,500 | 5.750%, 6/01/44 | 6/23 at 100.00 | BBB– | 3,961,755 | ||||||||||||
| 8,250 | 5.750%, 6/01/48 | 6/23 at 100.00 | BBB– | 9,331,245 | ||||||||||||
| 36,530 | Total Transportation | 42,031,489 | ||||||||||||||
| U.S. Guaranteed – 6.1% (4) | ||||||||||||||||
| 3,000 | Brentwood Infrastructure Financing Authority, California, Water Revenue Bonds, Series 2008, 5.750%, 7/01/38 (Pre-refunded 7/01/18) | 7/18 at 100.00 | AA (4) | 3,416,520 | ||||||||||||
| 52 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| U.S. Guaranteed (4) (continued) | ||||||||||||||||
California Educational Facilities Authority, Revenue Bonds, University of the Pacific, Series 2006: | ||||||||||||||||
| $ | 105 | 5.000%, 11/01/21 (Pre-refunded 11/01/15) | 11/15 at 100.00 | A2 (4) | $ | 105,843 | ||||||||||
| 1,000 | 5.000%, 11/01/30 (Pre-refunded 11/01/15) | 11/15 at 100.00 | A2 (4) | 1,008,030 | ||||||||||||
| 1,000 | California Municipal Finance Authority, Revenue Bonds, Harbor Regional Center Project, Series 2009, 8.000%, 11/01/29 (Pre-refunded 11/01/19) | 11/19 at 100.00 | A3 (4) | 1,271,380 | ||||||||||||
| 1,250 | California State Public Works Board, Lease Revenue Bonds, University of California Regents, Series 2009E, 5.000%, 4/01/34 (Pre-refunded 4/01/19) | 4/19 at 100.00 | Aaa | 1,429,125 | ||||||||||||
| 6,500 | California Statewide Communities Development Authority, Revenue Bonds, ValleyCare Health System, Series 2007A, 5.125%, 7/15/31 (Pre-refunded 7/15/17) | 7/17 at 100.00 | AA+ (4) | 7,052,565 | ||||||||||||
California Statewide Community Development Authority, Insured Health Facility Revenue Bonds, Henry Mayo Newhall Memorial Hospital, Series 2007A: | ||||||||||||||||
| 500 | 5.000%, 10/01/20 (Pre-refunded 10/01/17) | 10/17 at 100.00 | AA– (4) | 545,420 | ||||||||||||
| 400 | 5.000%, 10/01/27 (Pre-refunded 10/01/17) | 10/17 at 100.00 | AA– (4) | 436,336 | ||||||||||||
| 4,000 | Central Unified School District, Fresno County, California, General Obligation Bonds, Series 2006B, 5.000%, 8/01/31 – AGM Insured (Pre-refunded 8/01/16) | 8/16 at 100.00 | AA (4) | 4,173,520 | ||||||||||||
| 365 | Desert Sands Unified School District, Riverside County, California, General Obligation Bonds, Election 2001, Series 2008, 5.250%, 8/01/23 (Pre-refunded 8/01/18) | 8/18 at 100.00 | Aa2 (4) | 411,614 | ||||||||||||
| 600 | Hemet Unified School District, Riverside County, California, General Obligation Bonds, Series 2008B, 5.000%, 8/01/30 – AGC Insured (Pre-refunded 8/01/16) | 8/16 at 102.00 | AA (4) | 638,310 | ||||||||||||
Jurupa Community Services District, California, Special Tax Bonds, Community Facilities District 25 Eastvale Area, Series 2008A: | ||||||||||||||||
| 1,000 | 8.375%, 9/01/28 (Pre-refunded 9/01/18) | 9/18 at 100.00 | N/R (4) | 1,222,910 | ||||||||||||
| 3,205 | 8.875%, 9/01/38 (Pre-refunded 9/01/18) | 9/18 at 100.00 | N/R (4) | 3,966,828 | ||||||||||||
| 285 | Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Redevelopment Project Areas Housing Programs, Series 2009, 6.875%, 8/01/39 (Pre-refunded 8/01/19) | 8/19 at 100.00 | N/R (4) | 348,430 | ||||||||||||
| 3,065 | Loma Linda, California, Hospital Revenue Bonds, Loma Linda University Medical Center, Series 2008A, 8.250%, 12/01/38 (Pre-refunded 12/01/17) | 12/17 at 100.00 | BB+ (4) | 3,583,996 | ||||||||||||
| 945 | Los Angeles Harbors Department, California, Revenue Bonds, Series 1988, 7.600%, 10/01/18 (ETM) | No Opt. Call | AA+ (4) | 1,044,622 | ||||||||||||
| 2,080 | Los Angeles, California, Wastewater System Revenue Bonds, Refunding Series 2009A, 5.750%, 6/01/26 (Pre-refunded 6/01/19) | 6/19 at 100.00 | N/R (4) | 2,442,565 | ||||||||||||
Merced Irrigation District, California, Certificates of Participation, Water and Hydroelectric Series 2008B: | ||||||||||||||||
| 3,895 | 0.000%, 9/01/23 (Pre-refunded 9/01/16) | 9/16 at 64.56 | A (4) | 2,504,524 | ||||||||||||
| 27,110 | 0.000%, 9/01/33 (Pre-refunded 9/01/16) | 9/16 at 32.62 | A (4) | 8,807,226 | ||||||||||||
| 12,000 | 0.000%, 9/01/38 (Pre-refunded 9/01/16) | 9/16 at 23.21 | A (4) | 2,774,280 | ||||||||||||
Rowland Water District, California, Certificates of Participation, Recycled Water Project, Series 2008: | ||||||||||||||||
| 565 | 5.750%, 12/01/24 (Pre-refunded12/01/18) | 12/18 at 100.00 | AA– (4) | 653,151 | ||||||||||||
| 480 | 5.750%, 12/01/25 (Pre-refunded 12/01/18) | 12/18 at 100.00 | AA– (4) | 554,890 | ||||||||||||
| 500 | 6.250%, 12/01/39 (Pre-refunded 12/01/18) | 12/18 at 100.00 | AA– (4) | 586,005 | ||||||||||||
| 1,265 | San Bernardino Community College District, California, General Obligation Bonds, Series 2008A, 6.500%, 8/01/27 (Pre-refunded 8/01/18) | 8/18 at 100.00 | Aa2 (4) | 1,472,435 | ||||||||||||
| 1,505 | San Mateo Union High School District, San Mateo County, California, Certificates of Participation, Phase 1, Series 2007A, 5.000%, 12/15/30 – AMBAC Insured (Pre-refunded 12/15/17) | 12/17 at 100.00 | N/R (4) | 1,653,679 | ||||||||||||
| Nuveen Investments | 53 |
Nuveen California Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| U.S. Guaranteed (4) (continued) | ||||||||||||||||
| $ | 4,500 | Santa Clara County Financing Authority, California, Insured Revenue Bonds, El Camino Hospital, Series 2007A, 5.750%, 2/01/41 – AMBAC Insured (Pre-refunded 8/01/17) | 8/17 at 100.00 | A+ (4) | $ | 4,945,950 | ||||||||||
| 125 | South Tahoe Redevelopment Agency, California, Community Facilities District 2001-1, Heavenly Village, Special Tax Refunding Bonds, Series 2007, 4.500%, 10/01/16 (Pre-refunded 10/01/15) | 10/15 at 102.00 | N/R (4) | 127,841 | ||||||||||||
| 925 | University of California, General Revenue Bonds, Refunding Series 2009O, 5.250%, 5/15/39 (Pre-refunded 5/15/19) | 5/19 at 100.00 | N/R (4) | 1,066,756 | ||||||||||||
| 82,170 | Total U.S. Guaranteed | 58,244,751 | ||||||||||||||
| Utilities – 0.5% | ||||||||||||||||
| 2,160 | California Statewide Community Development Authority, Certificates of Participation Refunding, Rio Bravo Fresno Project, Series 1999A, 6.500%, 12/01/18 | 12/15 at 100.00 | N/R | 2,113,517 | ||||||||||||
| 1,985 | Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2014D, 5.000%, 7/01/44 | 7/24 at 100.00 | AA– | 2,240,033 | ||||||||||||
| 4,145 | Total Utilities | 4,353,550 | ||||||||||||||
| Water and Sewer – 6.5% | ||||||||||||||||
California Pollution Control Financing Authority, Water Furnishing Revenue Bonds, Poseidon Resources Channelside LP Desalination Project, Series 2012: | ||||||||||||||||
| 5,000 | 5.000%, 7/01/37 (Alternative Minimum Tax) | No Opt. Call | Baa3 | 5,322,250 | ||||||||||||
| 5,010 | 5.000%, 11/21/45 (Alternative Minimum Tax) | No Opt. Call | Baa3 | 5,276,081 | ||||||||||||
| 2,000 | California Pollution Control Financing Authority, Water Furnishing Revenue Bonds, San Diego County Water Authority Desalination Project Pipeline, Series 2012, 5.000%, 11/21/45 | No Opt. Call | Baa3 | 2,059,920 | ||||||||||||
| 355 | California Statewide Community Development Authority, Water and Wastewater Revenue Bonds, Pooled Financing Program, Series 2003A, 5.250%, 10/01/23 – AGM Insured | 11/15 at 100.00 | AA | 356,452 | ||||||||||||
| 965 | Compton, California, Sewer Revenue Bonds, Series 1998 Refunding, 5.375%, 9/01/23 – NPFG Insured | 11/15 at 100.00 | AA– | 965,946 | ||||||||||||
| 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 | 1,295,713 | ||||||||||||
| 3,000 | East Bay Municipal Utility District, Alameda and Contra Costa Counties, California, Water System Revenue Bonds, Green Series 2015B, 4.000%, 6/01/45 | 6/25 at 100.00 | AAA | 3,080,400 | ||||||||||||
| 5,695 | East Bay Municipal Utility District, Alameda and Contra Costa Counties, California, Water System Revenue Bonds, Refunding Series 2015A, 5.000%, 6/01/37 | 6/25 at 100.00 | AAA | 6,651,418 | ||||||||||||
| 1,500 | Eastern Municipal Water District Financing Authority, California, Water and Wastewater Revenue Bonds, Series 2015B, 5.000%, 7/01/40 | 7/25 at 100.00 | AA | 1,715,295 | ||||||||||||
| 2,625 | Los Angeles Department of Water and Power, California, Waterworks Revenue Bonds, Series 2014A, 5.000%, 7/01/44 | 7/24 at 100.00 | AA | 2,977,327 | ||||||||||||
Los Angeles, California, Wastewater System Revenue Bonds, Green Series 2015A: | ||||||||||||||||
| 5,000 | 5.000%, 6/01/31 | 6/25 at 100.00 | AA+ | 5,909,250 | ||||||||||||
| 5,000 | 5.000%, 6/01/32 | 6/25 at 100.00 | AA+ | 5,885,950 | ||||||||||||
| 10,000 | Los Angeles, California, Wastewater System Revenue Bonds, Green Series 2015C, 5.000%, 6/01/45 | 6/25 at 100.00 | AA+ | 11,424,900 | ||||||||||||
| 1,665 | Los Angeles, California, Wastewater System Revenue Bonds, Refunding Series 2009A, 5.750%, 6/01/26 | No Opt. Call | AA+ | 1,907,174 | ||||||||||||
| 2,600 | Los Angeles, California, Wastewater System Revenue Bonds, Subordinate Lien, Refunding Series 2013A, 5.000%, 6/01/35 | 6/23 at 100.00 | AA | 2,960,932 | ||||||||||||
| 54 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Water and Sewer (continued) | ||||||||||||||||
| $ | 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 | $ | 1,130,740 | ||||||||||
| 805 | Oakdale Irrigation District, California, Certificates of Participation, Water Facilities Project, Series 2009, 5.500%, 8/01/34 | 8/19 at 100.00 | AA | 910,028 | ||||||||||||
| 1,770 | Pomona Public Financing Authority, California, Revenue Bonds, Water Facilities Project, Series 2007AY, 5.000%, 5/01/27 – AMBAC Insured | 5/17 at 100.00 | A+ | 1,882,838 | ||||||||||||
| 55,240 | Total Water and Sewer | 61,712,614 | ||||||||||||||
| $ | 956,730 | Total Long-Term Investments (cost $874,430,453) | 936,766,488 | |||||||||||||
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
SHORT-TERM INVESTMENTS – 0.7% | ||||||||||||||||
MUNICIPAL BONDS – 0.7% | ||||||||||||||||
| Health Care – 0.7% | ||||||||||||||||
| $ | 5,440 | California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2014A, 6.000%, 12/15/15 (5) | No Opt. Call | N/R | $ | 5,477,427 | ||||||||||
| 530 | California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2014B, 6.000%, 12/15/15 (5) | No Opt. Call | N/R | 533,646 | ||||||||||||
| 805 | California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2014C, 6.000%, 12/15/15 (5) | No Opt. Call | N/R | 810,539 | ||||||||||||
| $ | 6,775 | Total Short-Term Investments (cost $6,775,000) | 6,821,612 | |||||||||||||
Total Investments (cost $881,205,453) – 99.3% | 943,588,100 | |||||||||||||||
Other Assets Less Liabilities – 0.7% | 6,220,727 | |||||||||||||||
Net Assets – 100% | $ | 949,808,827 | ||||||||||||||
| (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 valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3. See Notes to Financial Statements, Note 2 – Investment Valuation and Fair Value Measurements for more information. |
| (ETM) | Escrowed to maturity. |
| (WI/DD) | Investment, or portion of investment, purchased on a when-issued or delayed delivery basis. |
See accompanying notes to financial statements.
| Nuveen Investments | 55 |
| Assets and Liabilities (Unaudited) | August 31, 2015 |
| California High Yield | California | |||||||
Assets | ||||||||
Long-term investments, at value (cost $569,195,361 and $874,430,453, respectively) | $ | 602,013,099 | $ | 936,766,488 | ||||
Short-term investments, at value (cost $3,610,000 and $6,775,000, respectively) | 3,634,837 | 6,821,612 | ||||||
Cash | — | 7,963,861 | ||||||
Cash collateral at brokers(1) | 2,191,812 | — | ||||||
Unrealized appreciation on interest rate swaps | 222,149 | — | ||||||
Receivable for: | ||||||||
Interest | 9,521,423 | 11,132,998 | ||||||
Investments sold | 3,332,700 | 5,813,908 | ||||||
Shares sold | 1,869,271 | 2,355,171 | ||||||
Variation margin on swap contracts | 36,892 | — | ||||||
Other assets | 130,796 | 72,777 | ||||||
Total assets | 622,952,979 | 970,926,815 | ||||||
Liabilities | ||||||||
Cash overdraft | 4,314,360 | — | ||||||
Floating rate obligations | 915,000 | — | ||||||
Payable for: | ||||||||
Dividends | 400,925 | 731,722 | ||||||
Investments purchased | 4,691,145 | 18,090,708 | ||||||
Shares redeemed | 1,215,708 | 1,555,364 | ||||||
Accrued expenses: | ||||||||
Management fees | 281,334 | 393,169 | ||||||
Trustees fees | 13,004 | 75,685 | ||||||
12b-1 distribution and service fees | 110,086 | 115,447 | ||||||
Other | 118,331 | 155,893 | ||||||
Total liabilities | 12,059,893 | 21,117,988 | ||||||
Net assets | 610,893,086 | 949,808,827 | ||||||
Class A Shares | ||||||||
Net assets | $ | 304,485,948 | $ | 339,950,961 | ||||
Shares outstanding | 32,304,953 | 30,840,965 | ||||||
Net asset value (“NAV”) per share | $ | 9.43 | $ | 11.02 | ||||
Offering price per share (NAV per share plus maximum sales charge of 4.20% of offering price) | $ | 9.84 | $ | 11.50 | ||||
Class C Shares | ||||||||
Net assets | $ | 32,641,437 | $ | 27,748,850 | ||||
Shares outstanding | 3,466,170 | 2,527,730 | ||||||
NAV and offering price per share | $ | 9.42 | $ | 10.98 | ||||
Class C2 Shares | ||||||||
Net assets | $ | 49,271,629 | $ | 55,989,795 | ||||
Shares outstanding | 5,234,957 | 5,094,800 | ||||||
NAV and offering price per share | $ | 9.41 | $ | 10.99 | ||||
Class I Shares | ||||||||
Net assets | $ | 224,494,072 | $ | 526,119,221 | ||||
Shares outstanding | 23,848,566 | 47,744,874 | ||||||
NAV and offering price per share | $ | 9.41 | $ | 11.02 | ||||
Net assets consist of: | ||||||||
Capital paid-in | $ | 589,768,600 | $ | 900,123,752 | ||||
Undistributed (Over-distribution of) net investment income | 1,459,349 | 1,316,045 | ||||||
Accumulated net realized gain (loss) | (12,972,650 | ) | (14,013,617 | ) | ||||
Net unrealized appreciation (depreciation) | 32,637,787 | 62,382,647 | ||||||
Net assets | $ | 610,893,086 | $ | 949,808,827 | ||||
Authorized shares – per class | Unlimited | Unlimited | ||||||
Par value per share | $ | 0.01 | $ | 0.01 | ||||
| (1) | Cash pledged to collateralize the net payment obligations for investments in derivatives. |
See accompanying notes to financial statements.
| 56 | Nuveen Investments |
| Operations | Six Months Ended August 31, 2015 |
| California High Yield | California | |||||||
Investment Income | $ | 16,193,708 | $ | 19,632,077 | ||||
Expenses | ||||||||
Management fees | 1,650,936 | 2,185,981 | ||||||
12b-1 service fees – Class A Shares | 298,211 | 324,850 | ||||||
12b-1 distribution and service fees – Class C Shares | 137,290 | 111,145 | ||||||
12b-1 distribution and service fees – Class C2 Shares | 189,755 | 214,713 | ||||||
Shareholder servicing agent fees | 112,169 | 154,368 | ||||||
Interest expense | 2,803 | — | ||||||
Custodian fees | 66,200 | 54,656 | ||||||
Trustees fees | 8,630 | 10,971 | ||||||
Professional fees | 51,161 | 51,390 | ||||||
Shareholder reporting expenses | 21,698 | 43,019 | ||||||
Federal and state registration fees | 32,873 | 20,133 | ||||||
Other | 26,976 | 15,828 | ||||||
Total expenses | 2,598,702 | 3,187,054 | ||||||
Net investment income (loss) | 13,595,006 | 16,445,023 | ||||||
Realized and Unrealized Gain (Loss) | ||||||||
Net realized gain (loss) from: | ||||||||
Investments | 429,105 | (2,923,875 | ) | |||||
Swaps | (4,045,578 | ) | — | |||||
Change in net unrealized appreciation (depreciation) of: | ||||||||
Investments | (12,046,526 | ) | (7,264,497 | ) | ||||
Swaps | 4,067,172 | — | ||||||
Net realized and unrealized gain (loss) | (11,595,827 | ) | (10,188,372 | ) | ||||
Net increase (decrease) in net assets from operations | $ | 1,999,179 | $ | 6,256,651 | ||||
See accompanying notes to financial statements.
| Nuveen Investments | 57 |
| Changes in Net Assets | (Unaudited) |
| California High Yield | California | |||||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||||
Operations | ||||||||||||||||||
Net investment income (loss) | $ | 13,595,006 | $ | 21,449,875 | $ | 16,445,023 | $ | 29,134,292 | ||||||||||
Net realized gain (loss) from: | ||||||||||||||||||
Investments | 429,105 | 3,588,270 | (2,923,875 | ) | 5,343,584 | |||||||||||||
Swaps | (4,045,578 | ) | 488,014 | — | — | |||||||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||||||
Investments | (12,046,526 | ) | 40,376,433 | (7,264,497 | ) | 33,274,003 | ||||||||||||
Swaps | 4,067,172 | (5,091,860 | ) | — | — | |||||||||||||
Net increase (decrease) in net assets from operations | 1,999,179 | 60,810,732 | 6,256,651 | 67,751,879 | ||||||||||||||
Distributions to Shareholders | ||||||||||||||||||
From net investment income: | ||||||||||||||||||
Class A Shares | (6,283,333 | ) | (10,949,891 | ) | (6,221,808 | ) | (11,297,880 | ) | ||||||||||
Class C Shares | (467,518 | ) | (382,187 | ) | (334,578 | ) | (245,024 | ) | ||||||||||
Class C2 Shares | (932,398 | ) | (2,188,295 | ) | (931,503 | ) | (2,085,236 | ) | ||||||||||
Class I Shares | (5,060,478 | ) | (7,921,452 | ) | (9,649,203 | ) | (14,977,704 | ) | ||||||||||
Decrease in net assets from distributions to shareholders | (12,743,727 | ) | (21,441,825 | ) | (17,137,092 | ) | (28,605,844 | ) | ||||||||||
Fund Share Transactions | ||||||||||||||||||
Proceeds from sale of shares | 153,800,114 | 415,028,024 | 198,119,745 | 249,507,726 | ||||||||||||||
Proceeds from shares issued to shareholders due to reinvestment of distributions | 10,117,859 | 16,604,102 | 12,824,992 | 20,305,826 | ||||||||||||||
| 163,917,973 | 431,632,126 | 210,944,737 | 269,813,552 | |||||||||||||||
Cost of shares redeemed | (145,274,586 | ) | (194,294,554 | ) | (75,011,448 | ) | (128,917,767 | ) | ||||||||||
Net increase (decrease) in net assets from Fund share transactions | 18,643,387 | 237,337,572 | 135,933,289 | 140,895,785 | ||||||||||||||
Net increase (decrease) in net assets | 7,898,839 | 276,706,479 | 125,052,848 | 180,041,820 | ||||||||||||||
Net assets at the beginning of period | 602,994,247 | 326,287,768 | 824,755,979 | 644,714,159 | ||||||||||||||
Net assets at the end of period | $ | 610,893,086 | $ | 602,994,247 | $ | 949,808,827 | $ | 824,755,979 | ||||||||||
Undistributed (Over-distribution of) net investment income at the end of period | $ | 1,459,349 | $ | 608,070 | $ | 1,316,045 | $ | 2,008,114 | ||||||||||
See accompanying notes to financial statements.
| 58 | Nuveen Investments |
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| Nuveen Investments | 59 |
Highlights (Unaudited)
California High Yield
Selected data for a share outstanding throughout each period:
| Investment Operations | Less Distributions | |||||||||||||||||||||||||||||||||
Class (Commencement Date)
Year Ended February 28/29, | Beginning NAV | Net Investment Income (Loss)(a) | Net Realized/ Unrealized Gain (Loss) | Total | From Net Investment Income | From Accumulated Net Realized Gains | Total | Ending NAV | ||||||||||||||||||||||||||
Class A (3/06) | ||||||||||||||||||||||||||||||||||
2016(h) | $ | 9.59 | $ | 0.21 | $ | (0.17 | ) | $ | 0.04 | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | $ | 9.43 | |||||||||||||||
2015 | 8.74 | 0.42 | 0.85 | 1.27 | (0.42 | ) | — | (0.42 | ) | 9.59 | ||||||||||||||||||||||||
2014 | 9.25 | 0.44 | (0.52 | ) | (0.08 | ) | (0.43 | ) | — | (0.43 | ) | 8.74 | ||||||||||||||||||||||
2013 | 8.52 | 0.46 | 0.77 | 1.23 | (0.50 | ) | — | (0.50 | ) | 9.25 | ||||||||||||||||||||||||
2012 | 7.36 | 0.53 | 1.14 | 1.67 | (0.51 | ) | — | (0.51 | ) | 8.52 | ||||||||||||||||||||||||
2011 | 7.87 | 0.52 | (0.54 | ) | (0.02 | ) | (0.49 | ) | — | (0.49 | ) | 7.36 | ||||||||||||||||||||||
Class C (2/14) | ||||||||||||||||||||||||||||||||||
2016(h) | 9.58 | 0.17 | (0.17 | ) | — | (0.16 | ) | — | (0.16 | ) | 9.42 | |||||||||||||||||||||||
2015 | 8.73 | 0.34 | 0.86 | 1.20 | (0.35 | ) | — | (0.35 | ) | 9.58 | ||||||||||||||||||||||||
2014(f) | 8.59 | 0.01 | 0.15 | 0.16 | (0.02 | ) | — | (0.02 | ) | 8.73 | ||||||||||||||||||||||||
Class C2 (3/06)(g) | ||||||||||||||||||||||||||||||||||
2016(h) | 9.57 | 0.19 | (0.17 | ) | 0.02 | (0.18 | ) | — | (0.18 | ) | 9.41 | |||||||||||||||||||||||
2015 | 8.73 | 0.37 | 0.85 | 1.22 | (0.38 | ) | — | (0.38 | ) | 9.57 | ||||||||||||||||||||||||
2014 | 9.24 | 0.39 | (0.52 | ) | (0.13 | ) | (0.38 | ) | — | (0.38 | ) | 8.73 | ||||||||||||||||||||||
2013 | 8.52 | 0.41 | 0.76 | 1.17 | (0.45 | ) | — | (0.45 | ) | 9.24 | ||||||||||||||||||||||||
2012 | 7.36 | 0.49 | 1.14 | 1.63 | (0.47 | ) | — | (0.47 | ) | 8.52 | ||||||||||||||||||||||||
2011 | 7.87 | 0.48 | (0.54 | ) | (0.06 | ) | (0.45 | ) | — | (0.45 | ) | 7.36 | ||||||||||||||||||||||
Class I (3/06) | ||||||||||||||||||||||||||||||||||
2016(h) | 9.57 | 0.22 | (0.17 | ) | 0.05 | (0.21 | ) | — | (0.21 | ) | 9.41 | |||||||||||||||||||||||
2015 | 8.72 | 0.44 | 0.85 | 1.29 | (0.44 | ) | — | (0.44 | ) | 9.57 | ||||||||||||||||||||||||
2014 | 9.24 | 0.46 | (0.54 | ) | (0.08 | ) | (0.44 | ) | — | (0.44 | ) | 8.72 | ||||||||||||||||||||||
2013 | 8.51 | 0.48 | 0.77 | 1.25 | (0.52 | ) | — | (0.52 | ) | 9.24 | ||||||||||||||||||||||||
2012 | 7.35 | 0.55 | 1.14 | 1.69 | (0.53 | ) | — | (0.53 | ) | 8.51 | ||||||||||||||||||||||||
2011 | 7.86 | 0.53 | (0.53 | ) | — | (0.51 | ) | — | (0.51 | ) | 7.35 | |||||||||||||||||||||||
| 60 | Nuveen Investments |
| Ratios/Supplemental Data | ||||||||||||||||||||||||||||||||||||||
| Ratios to Average Net Assets Before Waiver/Reimbursement | Ratios to Average Net Assets After Waiver/Reimbursement(c) | |||||||||||||||||||||||||||||||||||||
| Total Return(b) | Ending Net Assets (000) | Expenses Including Interest(d) | Expenses Excluding Interest | Net Investment Income (Loss) | Expenses Including Interest(d) | Expenses Excluding Interest | Net Investment Income (Loss) | Portfolio Turnover Rate(e) | ||||||||||||||||||||||||||||||
| 0.44 | % | $ | 304,486 | 0.85 | %* | 0.85 | %* | 4.49 | %* | 0.85 | %* | 0.85 | %* | 4.49 | %* | 9 | % | |||||||||||||||||||||
| 14.83 | 294,922 | 0.85 | 0.85 | 4.56 | 0.85 | 0.85 | 4.56 | 10 | ||||||||||||||||||||||||||||||
| (0.69 | ) | 173,753 | 0.87 | 0.87 | 5.09 | 0.87 | 0.87 | 5.09 | 36 | |||||||||||||||||||||||||||||
| 14.77 | 186,683 | 0.89 | 0.89 | 5.11 | 0.87 | 0.87 | 5.13 | 7 | ||||||||||||||||||||||||||||||
| 23.45 | 70,416 | 0.89 | 0.89 | 6.77 | 0.88 | 0.88 | 6.77 | 19 | ||||||||||||||||||||||||||||||
| (0.56 | ) | 60,178 | 0.90 | 0.90 | 6.53 | 0.90 | 0.90 | 6.53 | 17 | |||||||||||||||||||||||||||||
| 0.04 | 32,641 | 1.65 | * | 1.65 | * | 3.68 | * | 1.65 | * | 1.65 | * | 3.68 | * | 9 | ||||||||||||||||||||||||
| 13.96 | 21,791 | 1.64 | 1.64 | 3.65 | 1.64 | 1.64 | 3.65 | 10 | ||||||||||||||||||||||||||||||
| 1.85 | 249 | 1.75 | * | 1.75 | * | 3.30 | * | 1.75 | * | 1.75 | * | 3.30 | * | 36 | ||||||||||||||||||||||||
| 0.16 | 49,272 | 1.40 | * | 1.40 | * | 3.96 | * | 1.40 | * | 1.40 | * | 3.96 | * | 9 | ||||||||||||||||||||||||
| 14.14 | 52,873 | 1.40 | 1.40 | 4.05 | 1.40 | 1.40 | 4.05 | 10 | ||||||||||||||||||||||||||||||
| (1.25 | ) | 55,083 | 1.43 | 1.43 | 4.58 | 1.43 | 1.43 | 4.58 | 36 | |||||||||||||||||||||||||||||
| 14.06 | 61,358 | 1.44 | 1.44 | 4.59 | 1.42 | 1.42 | 4.61 | 7 | ||||||||||||||||||||||||||||||
| 22.84 | 32,156 | 1.44 | 1.44 | 6.17 | 1.43 | 1.43 | 6.17 | 19 | ||||||||||||||||||||||||||||||
| (1.07 | ) | 19,035 | 1.45 | 1.45 | 6.00 | 1.45 | 1.45 | 6.00 | 17 | |||||||||||||||||||||||||||||
| 0.54 | 224,494 | 0.65 | * | 0.65 | * | 4.69 | * | 0.65 | * | 0.65 | * | 4.69 | * | 9 | ||||||||||||||||||||||||
| 15.08 | 233,408 | 0.65 | 0.65 | 4.75 | 0.65 | 0.65 | 4.75 | 10 | ||||||||||||||||||||||||||||||
| (0.60 | ) | 97,202 | 0.67 | 0.67 | 5.32 | 0.67 | 0.67 | 5.32 | 36 | |||||||||||||||||||||||||||||
| 15.02 | 96,940 | 0.69 | 0.69 | 5.37 | 0.67 | 0.67 | 5.39 | 7 | ||||||||||||||||||||||||||||||
| 23.76 | 53,736 | 0.69 | 0.69 | 6.97 | 0.68 | 0.68 | 6.97 | 19 | ||||||||||||||||||||||||||||||
| (0.34) | 37,004 | 0.70 | 0.70 | 6.74 | 0.70 | 0.70 | 6.74 | 17 | ||||||||||||||||||||||||||||||
| (a) | Per share Net Investment Income (Loss) is calculated using the average daily shares method. |
| (b) | Total return is the combination of changes in NAV without any sales charge, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. Total returns are not annualized. |
| (c) | After fee waiver and/or expense reimbursement from the Adviser, when applicable. |
| (d) | 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 Note 3 – Portfolio Securities and Investments in Derivatives, Inverse Floating Rate Securities. |
| (e) | Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period. |
| (f) | For the period February 10, 2014 (commencement of operations) through February 28, 2014. |
| (g) | Formerly Class C Shares and renamed to Class C2 Shares on February 10, 2014. |
| (h) | For the six months ended August 31, 2015. |
| * | Annualized. |
See accompanying notes to financial statements.
| Nuveen Investments | 61 |
Financial Highlights (Unaudited) (continued)
California
Selected data for a share outstanding throughout each period:
| Investment Operations | Less Distributions | |||||||||||||||||||||||||||||||||
Class (Commencement Date)
Year Ended February 28/29, | Beginning NAV | Net Investment Income (Loss)(a) | Net Realized/ Unrealized Gain (Loss) | Total | From Net Investment Income | From Accumulated Net Realized Gains | Total | Ending NAV | ||||||||||||||||||||||||||
Class A (9/94) | ||||||||||||||||||||||||||||||||||
2016(g) | $ | 11.17 | $ | 0.20 | $ | (0.14 | ) | $ | 0.06 | $ | (0.21 | ) | $ | — | $ | (0.21 | ) | $ | 11.02 | |||||||||||||||
2015 | 10.55 | 0.44 | 0.62 | 1.06 | (0.44 | ) | — | (0.44 | ) | 11.17 | ||||||||||||||||||||||||
2014 | 10.97 | 0.44 | (0.42 | ) | 0.02 | (0.44 | ) | — | (0.44 | ) | 10.55 | |||||||||||||||||||||||
2013 | 10.54 | 0.45 | 0.44 | 0.89 | (0.46 | ) | — | (0.46 | ) | 10.97 | ||||||||||||||||||||||||
2012 | 9.46 | 0.48 | 1.07 | 1.55 | (0.47 | ) | — | (0.47 | ) | 10.54 | ||||||||||||||||||||||||
2011 | 9.80 | 0.47 | (0.36 | ) | 0.11 | (0.45 | ) | — | (0.45 | ) | 9.46 | |||||||||||||||||||||||
Class C (2/14) | ||||||||||||||||||||||||||||||||||
2016(g) | 11.13 | 0.16 | (0.14 | ) | 0.02 | (0.17 | ) | — | (0.17 | ) | 10.98 | |||||||||||||||||||||||
2015 | 10.52 | 0.35 | 0.61 | 0.96 | (0.35 | ) | — | (0.35 | ) | 11.13 | ||||||||||||||||||||||||
2014(e) | 10.41 | 0.01 | 0.12 | 0.13 | (0.02 | ) | — | (0.02 | ) | 10.52 | ||||||||||||||||||||||||
Class C2 (9/94)(f) | ||||||||||||||||||||||||||||||||||
2016(g) | 11.14 | 0.17 | (0.14 | ) | 0.03 | (0.18 | ) | — | (0.18 | ) | 10.99 | |||||||||||||||||||||||
2015 | 10.52 | 0.38 | 0.62 | 1.00 | (0.38 | ) | — | (0.38 | ) | 11.14 | ||||||||||||||||||||||||
2014 | 10.94 | 0.38 | (0.42 | ) | (0.04 | ) | (0.38 | ) | — | (0.38 | ) | 10.52 | ||||||||||||||||||||||
2013 | 10.50 | 0.39 | 0.45 | 0.84 | (0.40 | ) | — | (0.40 | ) | 10.94 | ||||||||||||||||||||||||
2012 | 9.43 | 0.42 | 1.07 | 1.49 | (0.42 | ) | — | (0.42 | ) | 10.50 | ||||||||||||||||||||||||
2011 | 9.78 | 0.41 | (0.36 | ) | 0.05 | (0.40 | ) | — | (0.40 | ) | 9.43 | |||||||||||||||||||||||
Class I (7/86) | ||||||||||||||||||||||||||||||||||
2016(g) | 11.17 | 0.21 | (0.14 | ) | 0.07 | (0.22 | ) | — | (0.22 | ) | 11.02 | |||||||||||||||||||||||
2015 | 10.55 | 0.47 | 0.61 | 1.08 | (0.46 | ) | — | (0.46 | ) | 11.17 | ||||||||||||||||||||||||
2014 | 10.96 | 0.46 | (0.41 | ) | 0.05 | (0.46 | ) | — | (0.46 | ) | 10.55 | |||||||||||||||||||||||
2013 | 10.52 | 0.47 | 0.44 | 0.91 | (0.47 | ) | — | (0.47 | ) | 10.96 | ||||||||||||||||||||||||
2012 | 9.45 | 0.50 | 1.06 | 1.56 | (0.49 | ) | — | (0.49 | ) | 10.52 | ||||||||||||||||||||||||
2011 | 9.79 | 0.49 | (0.36 | ) | 0.13 | (0.47 | ) | — | (0.47 | ) | 9.45 | |||||||||||||||||||||||
| 62 | Nuveen Investments |
| Ratios/Supplemental Data | ||||||||||||||||||||||||||
| Ratios to Average Net Assets(c) | ||||||||||||||||||||||||||
| Total Return(b) | Ending Net Assets (000) | Expenses Including Interest | Expenses Excluding Interest | Net Investment Income (Loss) | Portfolio Turnover Rate(d) | |||||||||||||||||||||
| 0.58 | % | $ | 339,951 | 0.77 | %* | 0.77 | %* | 3.65 | %* | 16 | % | |||||||||||||||
| 10.20 | 304,490 | 0.78 | 0.78 | 4.07 | 14 | |||||||||||||||||||||
| 0.29 | 268,136 | 0.80 | 0.80 | 4.24 | 41 | |||||||||||||||||||||
| 8.57 | 274,043 | 0.80 | 0.80 | 4.14 | 13 | |||||||||||||||||||||
| 16.79 | 142,844 | 0.82 | 0.82 | 4.82 | 20 | |||||||||||||||||||||
| 1.05 | 136,513 | 0.81 | 0.81 | 4.77 | 18 | |||||||||||||||||||||
| 0.17 | 27,749 | 1.57 | * | 1.57 | * | 2.82 | * | 16 | ||||||||||||||||||
| 9.26 | 16,841 | 1.57 | 1.57 | 3.15 | 14 | |||||||||||||||||||||
| 1.24 | 309 | 1.62 | * | 1.62 | * | 2.93 | * | 41 | ||||||||||||||||||
| 0.28 | 55,990 | 1.32 | * | 1.32 | * | 3.11 | * | 16 | ||||||||||||||||||
| 9.61 | 59,361 | 1.33 | 1.33 | 3.54 | 14 | |||||||||||||||||||||
| (0.28 | ) | 62,495 | 1.34 | 1.34 | 3.68 | 41 | ||||||||||||||||||||
| 8.09 | 73,860 | 1.35 | 1.35 | 3.58 | 13 | |||||||||||||||||||||
| 16.10 | 40,317 | 1.37 | 1.37 | 4.25 | 20 | |||||||||||||||||||||
| 0.39 | 26,338 | 1.36 | 1.36 | 4.21 | 18 | |||||||||||||||||||||
| 0.66 | 526,119 | 0.57 | * | 0.57 | * | 3.85 | * | 16 | ||||||||||||||||||
| 10.38 | 444,064 | 0.58 | 0.58 | 4.28 | 14 | |||||||||||||||||||||
| 0.55 | 313,773 | 0.59 | 0.59 | 4.43 | 41 | |||||||||||||||||||||
| 8.86 | 366,603 | 0.60 | 0.60 | 4.34 | 13 | |||||||||||||||||||||
| 16.91 | 158,186 | 0.62 | 0.62 | 5.02 | 20 | |||||||||||||||||||||
| 1.23 | 132,344 | 0.61 | 0.61 | 4.96 | 18 | |||||||||||||||||||||
| (a) | Per share Net Investment Income (Loss) is calculated using the average daily shares method. |
| (b) | Total return is the combination of changes in NAV without any sales charge, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. Total returns are not annualized. |
| (c) | The Fund has a contractual fee waiver/expense reimbursement agreement with the Adviser, but did not receive a fee waiver/expense reimbursement during the periods presented herein. |
| (d) | Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period. |
| (e) | For the period February 10, 2014 (commencement of operations) through February 28, 2014. |
| (f) | Formerly Class C Shares and renamed to Class C2 Shares on February 10, 2014. |
| (g) | For the six months ended August 31, 2015. |
| * | Annualized. |
See accompanying notes to financial statements.
| Nuveen Investments | 63 |
Financial Statements (Unaudited)
1. General Information and Significant Accounting Policies
General Information
Trust and Fund Information
The Nuveen Multistate Trust II (the “Trust”) is an open-end management 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”), as diversified funds, among others. The Trust was organized as a Massachusetts business trust on July 1, 1996. California was organized as a series of predecessor trust prior to that date.
The end of the reporting period for the Funds is August 31, 2015, and the period covered by these Notes to Financial Statements is the six months ended August 31, 2015 (the “current fiscal period”).
Investment Adviser
The Funds’ investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a wholly-owned subsidiary of Nuveen Investments, Inc. (“Nuveen”). The Adviser is responsible for each Fund’s overall investment strategy and asset allocation decisions. The Adviser has entered into sub-advisory agreements with Nuveen Asset Management, LLC (the “Sub-Adviser”), a subsidiary of the Adviser, under which the Sub-Adviser manages the investment portfolios of the Funds.
Investment Objectives and Principle Investment Strategies
California High Yield’s investment objective is to provide high current income exempt from regular federal, California state and, in some cases, Califor-nia 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 the sum of its net assets and the amount of any borrowings for investment purposes in municipal bonds that pay interest that is exempt from regular federal and California personal income tax. These municipal bonds include obligations issued by the State of California and its subdivisions, authorities, instrumentalities and corporations, as well as obligations issued by U.S. territories (such as Puerto Rico, the U.S. Virgin Islands and Guam) 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 at the time of purchase by at least one independent rating agency or, if unrated, judged by the Sub-Adviser 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 the sum of its net assets and the amount of any borrowings for investment purposes in municipal bonds that pay interest that is exempt from regular federal and California personal income tax. These municipal bonds include obligations issued by the State of California and its subdivisions, authorities, instrumentalities and corporations, as well as obligations issued by U.S. territories (such as Puerto Rico, the U.S. Virgin Islands and Guam) 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 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 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. 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
| 64 | Nuveen Investments |
exposure. These investments are speculative, however, and also create the possibility that income and returns will be diminished. 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 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.
Each Fund’s most recent prospectus provides further descriptions of each Fund’s investment objective, principal investment strategies and principal risks.
Significant Accounting Policies
Each Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946 “Financial Services – Investment Companies.” 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 of America (“U.S. GAAP”).
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 earmarked securities in their portfolios with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments.
As of the end of the reporting period, the Funds’ outstanding when-issued/delayed delivery purchase commitments were as follows:
| California High Yield | California | |||||||
| Outstanding when-issued/delayed delivery purchase commitments | $ | 4,691,145 | $ | 18,090,708 | ||||
Investment Income
Dividend income is recorded on the ex-dividend date. Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Interest income also reflects paydowns 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. If a refund is received for workout expenditures paid in a prior reporting period, such amounts will be recognized as “Legal fee refund” on the Statement of Operations.
Dividends and Distributions to Shareholders
Dividends from net investment income are declared daily and distributed to 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 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.
Share Classes and Sales Charges
Class A Shares are generally sold with an up-front sales charge and incur a 0.20% annual 12b-1 service fee. Class A Share purchases of $1 million or more are sold at net asset value (“NAV”) 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 C Shares are sold without an up-front sales charge but incur a 0.75% annual 12b-1 distribution fee and a 0.25% annual 12b-1 service fee. The Funds will issue Class C2 Shares upon the exchange of Class C2 Shares from another Nuveen mutual fund or for the purpose of dividend reinvestment, but Class C2 Shares are not available for new accounts or for additional investment into existing accounts. Class C2 Shares include a 0.55% annual 12b-1 distribution fee and a 0.20% annual 12b-1 service fee. Class C and Class C2 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.
| Nuveen Investments | 65 |
Notes to Financial Statements (Unaudited) (continued)
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 are recorded to the specific class. Currently, the only expenses that are allocated on a class-specific basis are 12b-1 distribution and service fees.
Realized and unrealized capital gains and losses of the Funds are prorated among the classes based on the relative net assets of each class.
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.
Netting Agreements
In the ordinary course of business, the Funds may enter into transactions subject to enforceable International Swaps and Derivative Association, Inc. (“ISDA”) master agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows each Fund to offset certain securities and derivatives with a specific counterparty as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, each Fund manages its cash collateral and securities collateral on a counterparty basis.
The Funds’ investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 3 – Portfolio Securities and Investments in Derivatives.
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. Investment Valuation and Fair Value Measurements
The fair valuation input levels as described below are for fair value measurement purposes.
Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. 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). |
Common stocks and other equity-type securities are valued at the last sales price on the securities exchange on which such securities are primarily traded and are generally classified as Level 1. Securities primarily traded on the NASDAQ National Market (“NASDAQ”) are valued at the NASDAQ Official Closing Price and are generally classified as Level 1. However, securities traded on a securities exchange or NASDAQ for which there were no transactions on a given day or securities not listed on a securities exchange or NASDAQ are valued at the quoted bid price and are generally classified as Level 2.
Prices of fixed income securities are provided by a pricing service approved by the Funds’ Board of Trustees (the “Board”). 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. These securities are generally classified as Level 2. 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.
| 66 | Nuveen Investments |
Prices of swap contracts are also provided by a pricing service approved by the Board using the same methods as described above, and are generally classified as Level 2.
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 Board and/or its appointee 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 NAV (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 Board and/or its appointee.
The inputs or methodologies used for valuing securities are not an indication of the risks 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 | $ | — | $ | 598,346,640 | $ | — | $ | 598,346,640 | ||||||||
Common Stocks | 3,666,459 | — | — | 3,666,459 | ||||||||||||
| Short-Term Investments*: | ||||||||||||||||
Municipal Bonds | — | — | 3,634,837 | *** | 3,634,837 | |||||||||||
| Investments in Derivatives: | ||||||||||||||||
Interest Rate Swaps** | — | (204,788 | ) | — | (204,788 | ) | ||||||||||
| Total | $ | 3,666,459 | $ | 598,141,852 | $ | 3,634,837 | $ | 605,443,148 | ||||||||
| California | ||||||||||||||||
| Long-Term Investments*: | ||||||||||||||||
Municipal Bonds | $ | — | $ | 936,766,488 | $ | — | $ | 936,766,488 | ||||||||
| Short-Term Investments*: | ||||||||||||||||
Municipal Bonds | — | — | 6,821,612 | *** | 6,821,612 | |||||||||||
| Total | $ | — | $ | 936,766,488 | $ | 6,821,612 | $ | 943,588,100 | ||||||||
| * | Refer to the Fund’s Portfolio of Investments for industry classifications. |
| ** | Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments. |
| *** | Refer to the Fund’s Portfolio of Investments for breakdown of these securities classified as Level 3. |
The Board is responsible for the valuation process and has appointed 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, is responsible for making fair value determinations, evaluating the effectiveness of the Funds’ pricing policies and reporting to the Board. 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 a fair value determination, based on the facts and circumstances specific to the portfolio instrument. Fair value determinations generally will be derived as follows, using public or private market information:
| (i) | If available, fair value determinations shall be derived by extrapolating from recent transactions or quoted prices for identical or comparable securities. |
| (ii) | If such information is not available, an analytical valuation methodology may be used based on other available information including, but not limited to: analyst appraisals, research reports, corporate action information, issuer financial statements and shelf registration statements. Such |
| Nuveen Investments | 67 |
Notes to Financial Statements (Unaudited) (continued)
| analytical valuation methodologies may include, but are not limited to: multiple of earnings, discount from market value 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 purchase price of a portfolio instrument will be used to fair value the instrument only if no other valuation methodology is available or deemed appropriate, and it is determined that the purchase price fairly reflects the instrument’s current value.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board, 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.
3. Portfolio Securities and Investments in Derivatives
Portfolio Securities
Inverse Floating Rate Securities
Each Fund is authorized to invest in inverse floating rate securities. An inverse floating rate security is created by depositing a municipal bond (referred to as an “Underlying Bond”), typically with a fixed interest rate, into a special purpose tender option bond (“TOB”) trust (referred to as the “TOB Trust”) created by or at the direction of one or more Funds. In turn, the TOB Trust issues (a) floating rate certificates (referred to as “Floaters”), in face amounts equal to some fraction of the Underlying Bond’s par amount or market value, and (b) an inverse floating rate certificate (referred to as an “Inverse Floater”) that represents all remaining or residual interest in the TOB Trust. Floaters typically pay short-term tax-exempt interest rates to third parties who are also provided a right to tender their certificate and receive its par value, which may be paid from the proceeds of a remarketing of the Floaters, by a loan to the TOB Trust from a third party liquidity provider (“Liquidity Provider”), or by the sale of assets from the TOB Trust. The Inverse Floater is issued to a long term investor, such as one or more of the Funds. The income received by the Inverse Floater holder varies inversely with the short-term rate paid to holders of the Floaters, and in most circumstances the Inverse Floater holder bears substantially all of the Underlying Bond’s downside investment risk and also benefits disproportionately from any potential appreciation of the Underlying Bond’s value. The value of an Inverse Floater will be more volatile than that of the Underlying Bond because the interest rate is dependent on not only the fixed coupon rate of the Underlying Bond but also on the short-term interest paid on the Floaters, and because the Inverse Floater essentially bears the risk of loss (and possible gain) of the greater face value of the Underlying Bond.
The Inverse Floater held by a Fund gives the Fund the right to (a) cause the holders of the Floaters to tender their certificates at par (or slightly more than par in certain circumstances), and (b) have the trustee of the TOB Trust (the “Trustee”) transfer the Underlying Bond held by the TOB Trust to the Fund, thereby collapsing the TOB Trust.
The Fund may acquire an Inverse Floater in a transaction where it (a) transfers an Underlying Bond that it owns to a TOB Trust created by a third party or (b) transfers an Underlying Bond that it owns, or that it has purchased in a secondary market transaction for the purpose of creating an Inverse Floater, to a TOB Trust created at its direction, and in return receives the Inverse Floater of the TOB Trust (referred to as a “self-deposited Inverse Floater”). A Fund may also purchase an Inverse Floater in a secondary market transaction from a third party creator of the TOB Trust without first owning the Underlying Bond (referred to as an “externally-deposited Inverse Floater”).
An investment in a self-deposited Inverse Floater is accounted for as a “financing” transaction (i.e., a secured borrowing). For a self-deposited Inverse Floater, the Underlying Bond deposited into the TOB Trust is identified in the Fund’s Portfolio of Investments as “(UB) – Underlying bond of an inverse floating rate trust reflected as a financing transaction,” with the Fund recognizing as liabilities, labeled “Floating rate obligations” on the Statement of Assets and Liabilities, (a) the liquidation value of Floaters issued by the TOB Trust, and (b) the amount of any borrowings by the TOB Trust from a Liquidity Provider to enable the TOB Trust to purchase outstanding Floaters in lieu of a remarketing. In addition, the Fund recognizes in “Investment Income” the entire earnings of the Underlying Bond, and recognizes (a) the interest paid to the holders of the Floaters or on the TOB Trust’s borrowings, and (b) other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust, as a component of “Interest expense” on the Statement of Operations.
In contrast, an investment in an externally-deposited Inverse Floater is accounted for as a purchase of the Inverse Floater and is identified in the Fund’s Portfolio of Investments as “(IF) – Inverse floating rate investment.” For an externally-deposited Inverse Floater, a Fund’s Statement of Assets and Liabilities recognizes the Inverse Floater and not the Underlying Bond as an asset, and the Fund does not recognize the Floaters, or any related borrowings from a Liquidity Provider, as a liability. Additionally, the Fund reflects in “Investment Income” only the net amount of earnings on the Inverse Floater (net of the interest paid to the holders of the Floaters or the Liquidity Provider as lender, and the expenses of the Trust), and does not show the amount of that interest paid or the expenses of the TOB Trust as described above as interest expense on the Statement of Operations.
Fees paid upon the creation of a TOB Trust for self-deposited Inverse Floaters and externally-deposited Inverse Floaters are recognized as part of the cost basis of the Inverse Floater and are capitalized over the term of the TOB Trust.
| 68 | Nuveen Investments |
As of the end of the reporting period, the aggregate value of Floaters issued by each Fund’s TOB Trust for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as follows:
| Floating Rate Obligations Outstanding | California High Yield | California | ||||||
Floating rate obligations: self-deposited Inverse Floaters | $ | 915,000 | $ | — | ||||
| Floating rate obligations: externally-deposited Inverse Floaters | 105,215,000 | — | ||||||
| Total | $ | 106,130,000 | $ | — | ||||
During the current fiscal period, the average amount of floating rate obligations (including any borrowings from a Liquidity Provider) outstanding, and the average annual interest rate and fees related to self-deposited Inverse Floaters, were as follows:
| Self-Deposited Inverse Floaters | California High Yield | California | ||||||
Average floating rate obligations outstanding | $ | 915,000 | $ | — | ||||
| Average annual interest rate and fees | 0.61 | % | — | % | ||||
TOB Trusts are supported by a liquidity facility provided by a Liquidity Provider pursuant to which the Liquidity Provider agrees, in the event that Floaters are (a) tendered to the Trustee for remarketing and the remarketing does not occur, or (b) subject to mandatory tender pursuant to the terms of the TOB Trust agreement, to either purchase Floaters or to provide the Trustee with an advance from a loan facility to fund the purchase of Floaters by the TOB Trust. In certain circumstances, the Liquidity Provider may otherwise elect to have the Trustee sell the Underlying Bond to retire the Floaters that were tendered and not remarketed prior to providing such a loan. In these circumstances, the Liquidity Provider remains obligated to provide a loan to the extent that the proceeds of the sale of the Underlying Bond is not sufficient to pay the purchase price of the Floaters.
The size of the commitment under the loan facility for a given TOB Trust is at least equal to the balance of that TOB Trust’s outstanding Floaters plus any accrued interest. In consideration of the loan facility, fee schedules are in place and are charged by the Liquidity Provider(s). Any loans made by the Liquidity Provider will be secured by the purchased Floaters held by the TOB Trust. Interest paid on any outstanding loan balances will be effectively borne by the Fund that owns the Inverse Floaters of the TOB Trust that has incurred the borrowing and may be at a rate that is greater than the rate that would have been paid had the Floaters been successfully remarketed.
As described above, any amounts outstanding under a liquidity facility are recognized as a component of “Floating rate obligations” on the Statement of Assets and Liabilities by the Fund holding the corresponding Inverse Floaters issued by the borrowing TOB Trust. As of the end of the reporting period, there were no loans outstanding under any such facility.
Each Fund may also enter into shortfall and forbearance agreements (sometimes referred to as a “recourse arrangement” or “credit recovery swap”) (TOB Trusts involving such agreements are referred to herein as “Recourse Trusts”), under which a Fund agrees to reimburse the Liquidity Provider for the Trust’s Floaters, in certain circumstances, for the amount (if any) by which the liquidation value of the Underlying Bond held by the TOB Trust may fall short of the sum of the liquidation value of the Floaters issued by the TOB Trust plus any amounts borrowed by the TOB Trust from the Liquidity Provider, plus any shortfalls in interest cash flows. Under these agreements, a Fund’s potential exposure to losses related to or on an Inverse Floater may increase beyond the value of the Inverse Floater as a Fund may potentially be liable to fulfill all amounts owed to holders of the Floaters or the Liquidity Provider. Any such shortfall amount in the aggregate is recognized as “Unrealized depreciation on Recourse Trusts” on the Statement of Assets and Liabilities.
As of the end of the reporting period, each Fund’s maximum exposure to the Floaters issued by Recourse Trusts for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as follows:
| Floating Rate Obligations – Externally-Deposited Recourse Trusts | California High Yield | California | ||||||
Maximum exposure to Recourse Trusts: self-deposted Inverse Floaters | $ | 915,000 | $ | — | ||||
| Maximum exposure to Recourse Trusts: externally-deposited Inverse Floaters | 102,215,000 | — | ||||||
| Total | $ | 103,130,000 | $ | — | ||||
Zero Coupon Securities
A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.
Investments in Derivatives
In addition to the inverse floating rate securities in which each Fund may invest, which are considered portfolio securities for financial reporting purposes, each Fund is authorized to invest in certain other derivative instruments. The Funds record derivative instruments at fair value, with changes
| Nuveen Investments | 69 |
Notes to Financial Statements (Unaudited) (continued)
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.
Interest Rate Swap Contracts
Interest rate swap contracts involve a Fund’s agreement with the counterparty to pay or receive a fixed rate payment in exchange for the counterparty receiving or paying a variable rate payment. Forward interest rate swap contracts involve a Fund’s agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the 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. Swap contracts do not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the net amount of interest payments that the Fund is to receive.
Interest rate swap contracts are valued daily. Upon entering into an interest rate swap contract (and beginning on the effective date for a forward interest rate swap contract), a Fund accrues the fixed rate payment expected to be paid or received and the variable rate payment expected to be received or paid on the interest rate swap contracts on a daily basis, and recognizes the daily change in the fair value of the Fund’s contractual rights and obligations under the contracts. For over-the-counter (“OTC”) swaps, 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 interest rate swaps (, net).”
Upon the execution of an exchanged-cleared swap contract, in certain instances a Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash held by the broker to cover initial margin requirements on open swap contracts, if any, is recognized as “Cash collateral at brokers” on the Statement of Assets and Liabilities. Investments in exchange-cleared interest rate swap contracts obligate a Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the swap contract. If a Fund has unrealized appreciation, the clearing broker will credit the Fund’s account with an amount equal to the appreciation. Conversely, if the Fund has unrealized depreciation, the clearing broker will debit the Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities.
The net amount of periodic payments settled in cash are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations, in addition to the net realized gain or loss recorded upon the termination of the swap contract. For tax purposes, payments expected to be received or paid on the swap contacts are treated as ordinary income or expense, respectively.
Changes in the value of the swap contracts during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps.” In certain instances, payments are made or received upon entering into the swap contract to compensate for differences between the stated terms of the swap agreements and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Payments received or made at the beginning of the measurement period, if any, are recognized as “Interest rate swaps premiums paid and/or received” on the Statement of Assets and Liabilities.
During the current fiscal period, California High Yield continued to invest in interest rate swap contracts to shorten the duration of its portfolio and to limit its vulnerability to rising interest rates.
The average notional amount of interest rate swap contracts outstanding during the current fiscal period was as follows:
| California High Yield | ||||
| Average notional amount of interest rate swap contracts outstanding* | $ | 31,366,667 | ||
| * | The average notional amount is calculated based on the outstanding notional at the beginning of the fiscal period and at the end of each fiscal quarter within the current fiscal period. |
Credit Default Swaps
A Fund may enter into a credit default swap contract to seek to maintain a total return on a particular investment or portion of its portfolio, or to take an
active long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap contracts involve one party making a stream of payments to another party in exchange for the right to receive a specified return if/when there is a credit event by a third party. Generally, a credit event means bankruptcy, failure to pay, or restructuring. The specific credit events applicable for each credit default swap are stated in the terms of the particular swap agreement. Upon occurrence of a specific credit event with respect to the underlying referenced entity, the Fund will either (i) receive that security, or an equivalent amount of cash, from the counterparty in exchange for payment of the notional amount to the counterparty, or (ii) pay a net settlement amount of the credit default swap contract less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The difference between the value of the security delivered and the notional amount received is recorded as a realized gain or loss. Payments received or made at the beginning of the measurement period are recognized as a component of “Credit default swaps premiums paid and/or received” on the Statement of Assets and Liabilities, when applicable.
| 70 | Nuveen Investments |
Credit default swap contracts are valued daily. Changes in the value of a credit default swap during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps” and realized gains and losses are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations.
For over-the-counter swaps, the daily change in the market value of the swap contract, along with any daily interest fees accrued, are recognized as components of “Unrealized appreciation or depreciation on credit default swaps (, net)” on the Statement of Assets and Liabilities.
Investments in swaps cleared through an exchange obligate a Fund and the clearing broker to settle monies on a daily basis representing changes in the prior days “mark-to-market” of the swap. If a Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to the appreciation and conversely if a Fund has unrealized depreciation the clearing broker would debit a Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities. The maximum potential amount of future payments the Fund could incur as a buyer of protection in a credit default swap contract is limited to the notional amount of the contract. The maximum potential amount would be offset by the recovery value, if any, of the respective referenced entity. In certain instances, a Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash held by the broker to cover initial margin requirements on open swap contracts, if any, is recognized as “Cash collateral at brokers” on the Statement of Assets and Liabilities.
During the current fiscal period, California High Yield invested in credit default swaps to manage credit risk by purchasing credit protection.
The average notional amount of credit default swap contracts outstanding during the current fiscal period was as follows:
California High Yield | ||||
| Average notional amount of credit default swap contracts outstanding* | $ | 1,333,333 | ||
| * | The average notional amount is calculated based on the outstanding notional at the beginning of the fiscal year and at the end of each fiscal quarter within the current fiscal period. |
The following table presents the fair value of all swap contracts held by California High Yield as of the end of the reporting period, the location of these instruments on the Statement of Assets and Liabilities and the primary underlying risk exposure.
Location on the Statement of Assets and Liabilities | ||||||||||||||
Asset Derivatives | (Liability) Derivatives | |||||||||||||
Underlying | Derivative Instrument | Location | Value | Location | Value | |||||||||
California High Yield | ||||||||||||||
Interest rate | Swaps (Exchange-Cleared) | Receivable for variation margin on swap contracts** | $ | (426,937 | ) | — | $ | — | ||||||
Interest rate | Swaps (OTC) | Unrealized appreciation on interest rate swaps | 222,149 | — | — | |||||||||
Total | $ | 259,041 | $ | — | ||||||||||
| ** | Value represents unrealized appreciation (depreciation) of swaps as reported in the Fund’s Portfolio of Investments and not the asset and/or liability derivative location as described in the table above. |
The following table presents the Fund’s swap contracts subject to netting agreements and the collateral delivered related to those swap contracts, as of the end of the reporting period.
Fund | Counterparty | Gross Unrealized Appreciation on Interest Rate Swaps* | Gross Unrealized Depreciation on Interest Rate Swaps* | Amounts Netted on Statement of Assets and Liabilities | Net Unrealized Appreciation (Depreciation) on Interest Rate Swaps | Gross Amounts Not Offset on the Statement of Assets and Liabilities | Net Exposure | |||||||||||||||||||||||
| Financial Instruments** | Collateral Pledged to (from) Counterparty | |||||||||||||||||||||||||||||
| California High Yield | JPMorgan | $ | — | $ | (426,937 | ) | $ | — | $ | (426,937 | ) | $ | 426,937 | $ | — | $ | — | |||||||||||||
| * | Represents gross unrealized appreciation (depreciation) for the counterparty as reported in the Fund’s Portfolio of Investments. |
| ** | Represents inverse floating rate securities available for offset. |
The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on swap contracts on the Statement of Operations during the current fiscal period, and the primary underlying risk exposure.
| Fund | Underlying Risk Exposure | Derivative Instrument | Net Realized Gain (Loss) From Swaps | Change in Net Unrealized Appreciation (Depreciation) of Swaps | ||||||||
| California High Yield | ||||||||||||
| Credit | Swaps | $ | 496 | $ | (95,140 | ) | ||||||
| Interest Rate | Swaps | (4,046,074 | ) | 4,162,312 | ||||||||
| Total | $ | (4,045,578 | ) | $ | 4,067,172 | |||||||
| Nuveen Investments | 71 |
Notes to Financial Statements (Unaudited) (continued)
Market and Counterparty Credit Risk
In the normal course of business each Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose each Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of each Fund’s exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and Liabilities.
Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the pre-determined threshold amount.
4. Fund Shares
Transactions in Fund shares during the current and prior fiscal period were as follows:
| Six Months Ended 8/31/15 | Year Ended 2/28/15 | |||||||||||||||
| California High Yield | Shares | Amount | Shares | Amount | ||||||||||||
| Shares sold: | ||||||||||||||||
Class A | 9,191,112 | $ | 87,006,412 | 20,719,489 | $ | 192,548,993 | ||||||||||
Class C | 1,382,635 | 13,077,679 | 2,312,977 | 21,496,445 | ||||||||||||
Class C2 | 13,261 | 124,726 | 38,819 | 361,263 | ||||||||||||
Class I | 5,660,623 | 53,591,297 | 21,446,783 | 200,621,323 | ||||||||||||
| Shares issued to shareholders due to reinvestment of distributions: | ||||||||||||||||
Class A | 584,869 | 5,530,773 | 1,006,984 | 9,408,813 | ||||||||||||
Class C | 38,409 | 362,498 | 30,357 | 287,227 | ||||||||||||
Class C2 | 81,688 | 771,478 | 195,108 | 1,812,804 | ||||||||||||
Class I | 365,603 | 3,453,110 | 543,791 | 5,095,258 | ||||||||||||
| 17,318,200 | 163,917,973 | 46,294,308 | 431,632,126 | |||||||||||||
| Shares redeemed: | ||||||||||||||||
Class A | (8,230,634 | ) | (77,786,128 | ) | (10,855,219 | ) | (101,464,769 | ) | ||||||||
Class C | (229,498 | ) | (2,166,565 | ) | (97,174 | ) | (917,889 | ) | ||||||||
Class C2 | (382,218 | ) | (3,614,115 | ) | (1,023,187 | ) | (9,379,795 | ) | ||||||||
Class I | (6,554,662 | ) | (61,707,778 | ) | (8,754,703 | ) | (82,532,101 | ) | ||||||||
| (15,397,012 | ) | (145,274,586 | ) | (20,730,283 | ) | (194,294,554 | ) | |||||||||
| Net increase (decrease) | 1,921,188 | $ | 18,643,387 | 25,564,025 | $ | 237,337,572 | ||||||||||
| Six Months Ended 8/31/15 | Year Ended 2/28/15 | |||||||||||||||
| California | Shares | Amount | Shares | Amount | ||||||||||||
| Shares sold: | ||||||||||||||||
Class A | 5,750,496 | $ | 63,586,250 | 7,403,606 | $ | 81,314,863 | ||||||||||
Class C | 1,132,149 | 12,452,923 | 1,522,776 | 16,615,010 | ||||||||||||
Class C2 | 15,358 | 169,275 | 44,579 | 486,535 | ||||||||||||
Class I | 11,077,560 | 121,911,297 | 13,712,892 | 151,091,318 | ||||||||||||
| Shares issued to shareholders due to reinvestment of distributions: | ||||||||||||||||
Class A | 485,188 | 5,356,472 | 869,139 | 9,520,626 | ||||||||||||
Class C | 24,298 | 267,086 | 14,705 | 162,406 | ||||||||||||
Class C2 | 54,766 | 603,040 | 121,588 | 1,326,602 | ||||||||||||
Class I | 597,810 | 6,598,394 | 847,973 | 9,296,192 | ||||||||||||
| 19,137,625 | 210,944,737 | 24,537,258 | 269,813,552 | |||||||||||||
| Shares redeemed: | ||||||||||||||||
Class A | (2,649,832 | ) | (29,267,799 | ) | (6,423,804 | ) | (70,144,422 | ) | ||||||||
Class C | (142,349 | ) | (1,559,444 | ) | (53,276 | ) | (588,575 | ) | ||||||||
Class C2 | (305,719 | ) | (3,375,937 | ) | (776,579 | ) | (8,378,284 | ) | ||||||||
Class I | (3,697,491 | ) | (40,808,268 | ) | (4,547,791 | ) | (49,806,486 | ) | ||||||||
| (6,795,391 | ) | (75,011,448 | ) | (11,801,450 | ) | (128,917,767 | ) | |||||||||
| Net increase (decrease) | 12,342,234 | $ | 135,933,289 | 12,735,808 | $ | 140,895,785 | ||||||||||
| 72 | Nuveen Investments |
5. Investment Transactions
Long-term purchases and sales (including maturities but excluding derivative transactions, where applicable) during the current fiscal period were as follows:
| California High Yield | California | |||||||
Purchases | $ | 63,758,205 | $ | 285,969,789 | ||||
| Sales and maturities | 50,814,219 | 144,012,356 | ||||||
6. Income Tax Information
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and 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.
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 NAVs of the Funds.
As of August 31, 2015, 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 | $ | 571,164,638 | $ | 880,685,024 | ||||
| Gross unrealized: | ||||||||
Appreciation | $ | 39,909,666 | $ | 64,150,059 | ||||
Depreciation | (6,341,368 | ) | (1,246,983 | ) | ||||
| Net unrealized appreciation (depreciation) of investments | $ | 33,568,298 | $ | 62,903,076 | ||||
Permanent differences, primarily due to treatment of notional principal contracts, paydowns and taxable market discount, resulted in reclassifications among the Funds’ components of net assets as of February 28, 2015, the Funds’ last tax year end, as follows:
| California High Yield | California | |||||||
| Capital paid-in | $ | 2 | $ | 1 | ||||
| Undistributed (Over-distribution of) net investment income | (93,645 | ) | (13,619 | ) | ||||
| Accumulated net realized gain (loss) | 93,643 | 13,618 | ||||||
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains as of February 28, 2015, the Funds’ last tax year end, were as follows:
| California High Yield | California | |||||||
| Undistributed net tax-exempt income1 | $ | 1,253,627 | $ | 4,169,096 | ||||
| Undistributed net ordinary income2 | 261,789 | 16,786 | ||||||
| Undistributed net long-term capital gains | — | — | ||||||
| 1 | Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividends declared during the period February 1, 2015, through February 28, 2015, and paid on March 2, 2015. |
| 2 | Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. |
| Nuveen Investments | 73 |
Notes to Financial Statements (Unaudited) (continued)
The tax character of distributions paid during the Funds’ last tax year ended February 28, 2015, was designated for purposes of the dividends paid deduction as follows:
| California High Yield | California | |||||||
| Distributions from net tax-exempt income | $ | 20,234,182 | $ | 28,152,877 | ||||
| Distributions from net ordinary income2 | 331,558 | 72,707 | ||||||
| Distributions from net long-term capital gains | — | — | ||||||
| 2 | Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. |
As of February 28, 2015, 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 shown in the following table. The losses not subject to expiration will be utilized first by a Fund.
| California High Yield | California3 | |||||||
| Expiration: | ||||||||
February 29, 2016 | $ | 320,899 | $ | — | ||||
February 28, 2017 | 3,792,828 | 3,555,020 | ||||||
February 28, 2018 | 2,097,482 | 4,974,035 | ||||||
| Not subject to expiration | 2,785,560 | 2,560,687 | ||||||
| Total | $ | 8,996,769 | $ | 11,089,742 | ||||
| 3 | A portion of California’s capital loss carryforward is subject to an annual limitation under the Internal Revenue Code and related regulations. |
During the Funds’ last tax year ended February 28, 2015, the Funds utilized capital loss carryforwards as follows:
| California High Yield | California | |||||||
| Utilized capital loss carryforwards | $ | 2,583,849 | $ | 5,252,733 | ||||
7. Management Fees and Other Transactions with Affiliates
Each Fund’s management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Sub-Adviser is compensated for its services to the Funds from the management fees paid to the Adviser.
Each Fund’s management fee consists of two components – a fund-level fee, based only on the amount of assets within each individual Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables 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.
The annual Fund-level fee, payable monthly, for each Fund is calculated according to the following schedule:
| Average Daily Net Assets | California High Yield | California | ||||||
| For the first $125 million | 0.4000 | % | 0.3500 | % | ||||
| For the next $125 million | 0.3875 | 0.3375 | ||||||
| For the next $250 million | 0.3750 | 0.3250 | ||||||
| For the next $500 million | 0.3625 | 0.3125 | ||||||
| For the next $1 billion | 0.3500 | 0.3000 | ||||||
| For the next $3 billion | N/A | 0.2750 | ||||||
| For net assets over $2 billion | 0.3250 | N/A | ||||||
| For net assets over $5 billion | N/A | 0.2500 | ||||||
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The annual complex-level fee, payable monthly, for each Fund is calculated according to the following schedule:
| Complex-Level Asset Breakpoint Level* | Effective Rate at Breakpoint Level | |||
| $55 billion | 0.2000 | % | ||
| $56 billion | 0.1996 | |||
| $57 billion | 0.1989 | |||
| $60 billion | 0.1961 | |||
| $63 billion | 0.1931 | |||
| $66 billion | 0.1900 | |||
| $71 billion | 0.1851 | |||
| $76 billion | 0.1806 | |||
| $80 billion | 0.1773 | |||
| $91 billion | 0.1691 | |||
| $125 billion | 0.1599 | |||
| $200 billion | 0.1505 | |||
| $250 billion | 0.1469 | |||
| $300 billion | 0.1445 | |||
| * | 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 certain types of leverage. For these purposes, 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, 2015, the complex-level fee for each Fund was as follows: |
| Fund | Complex-Level Fee | |||
| California High Yield | 0.1643 | % | ||
| California | 0.1675 | |||
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, acquired fund fees and expenses, 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 | Permanent Expense Cap | |||
| California High Yield | 1.000 | % | ||
| California | 0.750 | |||
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 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 current fiscal period, 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 | $ | 358,973 | $ | 397,930 | ||||
| Paid to financial intermediaries | 323,794 | 361,881 | ||||||
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 current fiscal period, the Distributor compensated financial intermediaries directly with commission advances at the time of purchase as follows:
| California High Yield | California | |||||||
| Commission advances | $ | 256,328 | $ | 288,937 | ||||
To compensate for commissions advanced to financial intermediaries, all 12b-1 service and distribution fees collected on Class C and Class C2 Shares during the first year following a purchase are retained by the Distributor. During the current fiscal period, the Distributor retained such 12b-1 fees as follows:
| California High Yield | California | |||||||
| 12b-1 fees retained | $ | 112,024 | $ | 90,031 | ||||
| Nuveen Investments | 75 |
Notes to Financial Statements (Unaudited) (continued)
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 current fiscal period, as follows:
| California High Yield | California | |||||||
| CDSC retained | $ | 22,722 | $ | 11,819 | ||||
8. Borrowing Arrangements
During the current fiscal period, the Funds participated in an unsecured bank line of credit (“Unsecured Credit Line”) under which outstanding balances would bear interest at a variable rate. On December 31, 2014, California High Yield and California utilized $18,657,277 and $2,415,735, respectively, of the Unsecured Credit Line at an annualized interest rate of 1.34% on each Fund’s respective outstanding balance.
During July 2015, the Funds, along with certain other funds managed by the Adviser (“Participating Funds”), established a 364-day, $2.53 billion standby credit facility with a group of lenders, under which the Participating Funds may borrow for various purposes other than leveraging for investment purposes. This credit agreement replaces the Unsecured Credit Line described above. A large portion of this facility’s capacity (and its associated costs as described below) is currently dedicated for use by a small number of Participating Funds, which includes California High Yield. The remaining capacity under the facility (and the corresponding portion of the facility’s annual costs) is separately dedicated to most of the other open-end funds in the Nuveen fund family, including California, along with a number of Nuveen closed-end funds. The credit facility expires in July 2016 unless extended or renewed.
The credit facility has the following terms: a fee of 0.15% per annum on unused commitment amounts, and interest at a rate equal to the higher of (a) one-month LIBOR (London Inter-Bank Offered Rate) plus 1.25% per annum or (b) the Fed Funds rate plus 1.25% per annum on amounts borrowed. Participating Funds paid administration, legal and arrangement fees, which are recognized as a component of “other expenses” on the Statement of Operations, and along with commitment fees, have been allocated among such participating Funds based upon the relative proportions of the facility’s aggregate capacity reserved for them and other factors deemed relevant by the Adviser and the Board of each Participating Fund.
During the current fiscal period, neither Fund utilized this facility.
9. New Accounting Pronouncement
Financial Accounting Standards Board (“FASB”) Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures
In June 2014, the FASB issued Accounting Standards Update (“ASU”) 2014-11, Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures” (“ASU 2014-11”), that expanded secured borrowing accounting for certain reverse repurchase agreements. ASU 2014-11 also sets forth additional disclosure requirements for certain transactions accounted for as sales in order to provide financial statement users with information to compare to similar transactions accounted for as secured borrowings. ASU 2014-11 is effective prospectively for annual periods beginning after December 15, 2014, and interim periods beginning after March 15, 2015. Management is currently evaluating the impact, if any, of ASU 2014-11 on the Funds’ financial statement disclosures.
10. Subsequent Events
Change in Contingent Deferred Sales Charge (CDSC) Schedule
Effective November 1, 2015, shareholders purchasing $1 million or more of Class A Shares at NAV without an up-front sales charge will be assessed a CDSC of 1.00% on any shares redeemed within eighteen months of purchase, unless the redemption is eligible for a CDSC reduction or waiver as specified in the Funds’ statement of additional information.
| 76 | Nuveen Investments |
Fund Information
Fund Manager Nuveen Fund Advisors, LLC 333 West Wacker Drive Chicago, IL 60606
Sub-Adviser Nuveen Asset Management, LLC 333 West Wacker Drive Chicago, IL 60606
| Independent Registered PricewaterhouseCoopers LLP Chicago, IL 60606
Custodian State Street Bank & Trust Boston, MA 02111 | Legal Counsel Chapman and Cutler LLP Chicago, IL 60603 | Transfer Agent and Boston Financial Data Services, Inc. Nuveen Investor Services P.O. Box 8530 Boston, MA 02266-8530 (800) 257-8787 | |||||||
| ||||||||||||||
| Quarterly Form N-Q Portfolio of Investments Information: Each Fund is required to file its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. You may obtain this information directly from the SEC. 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 toll-free at (800) SEC-0330 for room hours and operation. | ||||||||||||||
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Nuveen Funds’ Proxy Voting Information: You may obtain (i) information regarding how each fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com and (ii) a description of the policies and procedures that each fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787. You may also obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov. | ||||||||||||||
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| FINRA BrokerCheck: The Financial Industry Regulatory Authority (FINRA) provides information regarding the disciplinary history of FINRA member firms and associated investment professionals. This information as well as an investor brochure describing FINRA BrokerCheck is available to the public by calling the FINRA BrokerCheck Hotline number at (800) 289-9999 or by visiting www.FINRA.org. | ||||||||||||||
| Nuveen Investments | 77 |
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.
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 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. 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. 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) Per Share: A fund’s Net Assets is equal to its total assets (securities, cash and accrued earnings) less its total liabilities. For funds with multiple classes, Net Assets are determined separately for each share class. NAV per share is equal to the fund’s (or share class’) Net Assets divided by its 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: 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 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.
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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. 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.
Total Investment Exposure: Total investment exposure is a fund’s assets managed by the Adviser that are attributable to financial leverage. For these purposes, financial leverage includes a fund’s use of preferred stock and borrowings and 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.
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.
| Nuveen Investments | 79 |
Annual Investment Management Agreement
Approval Process (Unaudited)
The Board of Trustees of each Fund (each, a “Board” and each Trustee, a “Board Member”), 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 overseeing the performance of the investment adviser and sub-adviser to the respective Fund and determining whether to continue such Fund’s advisory agreement (the “Investment Management Agreement”) between the Fund and Nuveen Fund Advisors, LLC (the “Adviser”) and the sub-advisory agreement (the “Sub-Advisory Agreement” and, together with the Investment Management Agreement, the “Advisory Agreements”) between the Adviser and Nuveen Asset Management, LLC (the “Sub-Adviser”). Following an initial term with respect to each Fund upon its commencement of operations, the Board is required to consider the continuation of the Advisory Agreements on an annual basis pursuant to the requirements of the Investment Company Act of 1940, as amended (the “1940 Act”). Accordingly, at an in-person meeting held on May 11-13, 2015 (the “May Meeting”), the Board, including a majority of the Independent Board Members, considered and approved the existing Advisory Agreements for the Funds.
In preparation for its considerations at the May Meeting, the Board received in advance of the meeting extensive materials prepared in connection with the review of the Advisory Agreements. The materials provided a broad range of information regarding the Funds, including, among other things, the nature, extent and quality of services provided by the Adviser and the Sub-Adviser (the Adviser and Sub-Adviser are collectively, the “Fund Advisers” and each, a “Fund Adviser”); Fund performance including performance assessments against peers and the appropriate benchmark(s); fee and expense information of the Funds compared 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 profitability information of the Fund Advisers as described in further detail below. As part of its annual review, the Board also held a separate meeting on April 14-15, 2015 to review the Funds’ investment performance and consider an analysis by the Adviser of the Sub-Adviser which generally evaluated the Sub-Adviser’s investment team, investment mandate, organizational structure and history, investment philosophy and process, and the performance of the Funds, and any significant changes to the foregoing. During the review, the Independent Board Members asked questions of and requested additional information from management.
The Board considered that the evaluation process with respect to the Fund Advisers is an ongoing process that encompassed the information and knowledge gained throughout the year. The Board, acting directly or through its committees, met regularly during the course of the year and received information and considered factors at each meeting that would be relevant to its annual consideration of the Advisory Agreements, including information relating to Fund performance; Fund expenses; investment team evaluations; and valuation, compliance, regulatory and risk matters. In addition to regular reports, the Adviser provided special reports to the Board to enhance the Board’s understanding on topics that impact some or all of the Nuveen funds and the Adviser (such as presentations on risk and stress testing; the new governance, risk and compliance system; cybersecurity developments; Nuveen fund accounting and reporting matters; regulatory developments impacting the investment company industry and the business plans or other matters impacting the Adviser). The Board also met with key investment personnel managing certain Nuveen fund portfolios during the year.
The Board had created several standing committees including the Open-End Funds Committee and the Closed-End Funds Committee to assist the full Board in monitoring and gaining a deeper insight into the distinctive business practices of closed-end and open-end funds. These Committees met prior to each quarterly Board meeting, and the Adviser provided presentations to these Committees permitting them to delve further into specific matters or initiatives impacting the respective product line.
The Board also continued its program of seeking to have the Board Members or a subset thereof visit each sub-adviser to the Nuveen funds at least once over a multiple year rotation, meeting with key investment and business personnel. In this regard, the Independent Board Members made site visits to multiple equity and fixed-income investment teams of the Sub-Adviser in June 2014.
The Board considered the information provided and knowledge gained at these meetings and visits during the year when performing its annual review of the Advisory Agreements. The Independent Board Members also were assisted throughout the process by independent legal counsel. During the course of the year and during their deliberations regarding the review of advisory contracts, the Independent Board Members met with independent legal counsel in executive sessions without management present. The Independent Board Members also received a memorandum from independent legal counsel outlining the legal standards for their consideration of the proposed continuation of the Advisory Agreements. 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 took into account all factors it believed relevant with respect to each Fund, including, among other things: (a) the nature, extent and quality of the services provided by the Fund Advisers; (b) the investment performance of the Funds and Fund Advisers; (c) the advisory fees and costs of the
| 80 | Nuveen Investments |
services to be provided to the Funds 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 Funds; 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 the Advisory Agreements for each Fund. 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 evaluating the renewal of the Advisory Agreements, the Independent Board Members received and considered information regarding the nature, extent and quality of the applicable Fund Adviser’s services provided to each respective Fund. The Board reviewed information regarding, among other things, each Fund Adviser’s organization and business, the types of services that each Fund Adviser or its affiliates provided to the Funds, the performance record of the Funds (as described in further detail below), and any initiatives that had been undertaken on behalf of the open-end product line. The Board recognized the high quality of services the Adviser had provided to the Funds over the years and the conscientiousness with which the Adviser provided these services. The Board also considered the improved capital structure of Nuveen Investments, Inc. (“Nuveen”) (the parent of the Adviser) following the acquisition of Nuveen by TIAA-CREF in 2014 (the “TIAA-CREF Transaction”).
With respect to the services, the Board noted the Funds were registered investment companies that operated in a regulated industry and considered the myriad of investment management, administrative, compliance, oversight and other services the Adviser provided to manage and operate the Funds. Such services included, among other things: (a) product management (such as analyzing ways to better position a Nuveen fund in the marketplace, setting dividends; maintaining relationships to gain access to distribution platforms; and providing shareholder communications); (b) fund administration (such as preparing tax returns and other tax compliance services, preparing regulatory filings and shareholder reports; managing fund budgets and expenses; overseeing a fund’s various service providers and supporting and analyzing new and existing funds); (c) Board administration (such as supporting the Board and its committees, in relevant part, by organizing and administering the Board and committee meetings and preparing the necessary reports to assist the Board in its duties); (d) compliance (such as monitoring adherence to a fund’s investment policies and procedures and applicable law; reviewing the compliance program periodically and developing new policies or updating existing compliance policies and procedures as considered necessary or appropriate; responding to regulatory requests; and overseeing compliance testing of the funds’ sub-advisers); (e) legal support (such as preparing or reviewing fund registration statements, proxy statements and other necessary materials; interpreting regulatory requirements and compliance thereof; and maintaining applicable registrations); and (f) investment services (such as overseeing and reviewing the funds’ sub-advisers and their investment teams; analyzing performance of the funds; overseeing investment and risk management; evaluating brokerage transactions and securities lending, overseeing the daily valuation process for portfolio securities and developing and recommending valuation policies and methodologies and changes thereto; reporting to the Board on various matters including performance, risk and valuation; and participating in fund development, leverage management, and the developing or interpreting of investment policies and parameters).
In its review, the Board considered information highlighting the various initiatives that the Adviser had implemented or continued during the last year to enhance its services to the Nuveen funds. The Board recognized that some of these initiatives are a result of a multi-year process. In reviewing the activities of 2014, the Board recognized the Adviser’s continued focus on fund rationalization for open-end funds through mergers, fund closures or repositioning the funds in seeking to enhance shareholder value, reduce costs, improve performance, eliminate fund overlap and better meet shareholder needs. The Board noted the Adviser’s investment in additional staffing to strengthen and improve its services to the Nuveen funds, including with respect to risk management and valuation. The Board recognized that expanding the depth and range of its risk oversight activities had been a major priority for the Adviser in recent years, and the Adviser continued to add to the risk management team, develop additional risk management programs and create committees or other teams designated to oversee or evaluate certain risks, such as liquidity risk, enterprise risk, investment risk and cybersecurity risk. The Adviser had also continued to add to the valuation team, launched its centralized securities valuation system which is intended to provide for uniform pricing and reporting across the complex as the system continues to develop, continued to refine its valuation analysis and updated related policies and procedures and evaluated and assessed pricing services. The Board considered the Adviser’s ongoing investment in information technology and operations and the various projects of the information technology team to support the continued growth and complexity of the Nuveen funds and increase efficiencies in their operations. The Board also recognized the Adviser’s strong commitment to compliance and reviewed information reflecting the compliance group’s ongoing activities to enhance its compliance system and refine its compliance procedures as well as the Chief Compliance Officer’s report regarding the compliance team, the initiatives the team had undertaken in 2014 and proposed for 2015, the compliance functions and reporting process, the record of compliance with the policies and procedures and its supervision activities of other service providers.
With respect to the open-end fund product line, the Adviser had also, among other things: developed new funds in seeking to enhance the product line; enhanced the reporting to the Board and its committees regarding payments to intermediaries; and continued to explore opportunities for potential funds.
As noted, the Adviser also oversees the Sub-Adviser who primarily provides the portfolio advisory services to the Funds. The Board recognized the skill and competency of the Adviser in monitoring and analyzing the performance of the Sub-Adviser and managing the sub-advisory relationship. In considering the Sub-Advisory Agreements and supplementing its prior knowledge, the Board considered a current report provided by the Adviser
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Annual Investment Management Agreement Approval Process (Unaudited) (continued)
analyzing, among other things, the Sub-Adviser’s investment team and changes thereto, investment approach, organization and history, and assets under management, and the investment performance of each Fund.
Based on their review, the Independent Board Members found that, overall, the nature, extent and quality of services provided to the Funds under each respective Advisory Agreement were satisfactory.
B. The Investment Performance of the Funds and Fund Advisers
The Board, including the Independent Board Members, considered the performance history of each Fund over various time periods. The Board reviewed reports, including an analysis of the Funds’ performance and the applicable investment team. The Board reviewed, among other things, each Fund’s investment performance both on an absolute basis and in comparison to peer funds (the “Performance Peer Group”) and to recognized and/or customized benchmarks (i.e., generally benchmarks derived from multiple recognized benchmarks) for the quarter, one-, three- and five-year periods ending December 31, 2014, as well as performance information reflecting the first quarter of 2015. In its review, the Board noted that it also reviewed Fund performance results at each of its quarterly meetings.
In evaluating performance, the Board recognized several factors that may impact the performance data as well as the consideration given to particular performance data.
| • | The performance data reflected a snapshot in time, in this case as of the end of the most recent calendar year or quarter. A different performance period, however, could generate significantly different results. |
| • | Long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme had the ability to disproportionately affect long-term performance. |
| • | The investment experience of a particular shareholder in a fund would vary depending on when such shareholder invested in the fund, the class held (if multiple classes are offered in the fund) and the performance of the fund (or respective class) during that shareholder’s investment period. |
| • | Open-end funds offer multiple classes and the performance data provided for open-end funds was based on Class A shares. The performance of the other classes of a fund, however, should be substantially similar on a relative basis because all of the classes would be invested in the same portfolio of securities and differences in performance among classes could be principally attributed to the variations in distribution and servicing expenses of each class. |
| • | The Board recognized that the funds in the Performance Peer Group may differ somewhat from the Nuveen fund with which it is being compared and due to these differences, performance comparisons between certain of the Nuveen funds and their Performance Peer Groups may be inexact and the relevancy limited. The Board considered that management had classified the Performance Peer Group as low, medium and high in relevancy. The Board took the analysis of the relevancy of the Performance Peer Group into account when considering the comparative performance data. The Board also considered comparative performance of an applicable benchmark. While the Board was cognizant of the relative 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 considered that the variations between the objectives and investment parameters or guidelines of the Fund with its peers and/or benchmarks result in differences in performance results. |
With respect to any Nuveen funds for which the Board has identified performance concerns, the Board monitors such funds closely until performance improves, discusses with the Adviser the reasons for such results, considers those steps necessary or appropriate to address such issues, and reviews the results of any efforts undertaken. The Board is aware, however, that shareholders chose to invest or remain invested in a fund knowing that the Adviser manages the fund and knowing the fund’s fee structure.
In considering the performance data, the Independent Board Members noted the following with respect to the Funds:
For Nuveen California High Yield Municipal Bond Fund (the “California High Yield Municipal Bond Fund”), the Board noted that the Fund ranked in its Performance Peer Group in the first quartile in the one-, three- and five-year periods and outperformed its benchmark in each of such periods.
For Nuveen California Municipal Bond Fund (the “California Municipal Bond Fund”), the Board noted that the Fund ranked in its Performance Peer Group in the second quartile in the one-year period and first quartile in the three- and five-year periods. The Fund also outperformed its benchmark for the one-, three- and five-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 other fees and expenses of each Fund (expressed as a percentage of average net assets) in absolute terms and in comparison to the fee and expense levels of a comparable universe of funds (the “Peer Universe”) and, with respect to
| 82 | Nuveen Investments |
open-end funds, to a more focused subset in the Peer Universe (the “Peer Group”), each selected by an independent third-party fund data provider. The Independent Board Members reviewed the methodology regarding the construction of the Peer Universe and Peer Group for each Fund. The Board reviewed, 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 average and median fee and expense levels of the Peer Universe and/or Peer Group. The Board noted that the net total expense ratios paid by investors in the Funds were the most representative of an investor’s net experience. The Board Members also considered any fee waivers and/or expense reimbursement arrangements currently in effect for the Funds.
In reviewing the comparative fee and expense information, the Independent Board Members recognized that 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; differences in services provided and differences in the states reflected in the Peer Universe or Peer Group (with respect to state municipal funds) can impact the comparative data limiting the usefulness of the data to help make a conclusive assessment of the Funds’ fees and expenses.
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 majority of the Nuveen funds had a net expense ratio near or below their peer average.
The Board noted that the California Municipal Bond Fund had a net management fee in line with its peer average and a net expense ratio below its peer average, and the California High Yield Municipal Bond Fund had a net management fee slightly higher than the peer average but a net expense ratio in line with the peer average.
Based on their review of the fee and expense information provided, the Independent Board Members determined that each Fund’s management fees (as applicable) to a Fund Adviser 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 Board considered information regarding the fees a Fund Adviser assessed to the Nuveen funds compared to that of other clients as described in further detail below. With respect to municipal funds, such other clients of a Fund Adviser may include municipal separately managed accounts and passively managed exchange traded funds (ETFs) sub-advised by the Sub-Adviser.
The Board recognized that each Fund had an affiliated sub-adviser and therefore the overall Fund management fee can be divided into two components, the fee retained by the Adviser and the fee paid to the Sub-Adviser. In reviewing the nature of the services provided by the Adviser, including through its affiliated sub-advisers, the Board considered the range of advisory fee rates for retail and institutional managed accounts advised by Nuveen-affiliated sub-advisers. The Board also reviewed, among other things, the average fee the affiliated sub-advisers assessed such clients as well as the range of fee rates assessed to the different types of clients (such as retail, institutional and wrap accounts as well as non-Nuveen funds) applicable to such sub-advisers.
In reviewing the comparative information, the Board also reviewed information regarding the differences between the Funds and the other clients, including differences in services provided, investment policies, investor profiles, compliance and regulatory requirements and account sizes. The Board recognized the breadth of services necessary to operate a registered investment company (as described above) and that, in general terms, the Adviser provided the administrative and other support services to the Funds and, although the Sub-Adviser may provide some of these services, the Sub-Adviser essentially provided the portfolio management services. In general, the Board noted that higher fee levels reflected higher levels of service provided by the Fund Adviser, increased investment management complexity, greater product management requirements and higher levels of business risk or some combination of the foregoing. The Independent Board Members considered the differences in structure and operations of separately managed accounts and hedge funds from registered funds and noted that the range of day-to-day services was not generally of the breadth required for the registered funds. Many of the additional administrative services provided by the Adviser were not required for institutional clients or funds sub-advised by a Nuveen-affiliated sub-adviser that were offered by other fund groups. The Independent Board Members also recognized that the management fee rates of the foreign funds advised by the Adviser may vary due to, among other things, differences in the client base, governing bodies, operational complexities and services covered by the management fee. Given the inherent differences in the various products, particularly the extensive services provided to the Funds, the Independent Board Members believed such facts justify the different levels of fees.
3. Profitability of Fund Advisers
In conjunction with their 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, among other things, the adjusted operating margins for Nuveen for the last two
| Nuveen Investments | 83 |
Annual Investment Management Agreement Approval Process (Unaudited) (continued)
calendar years, the revenues, expenses, net income (pre-tax and after-tax) and net revenue margins (pre-tax and after-tax) of Nuveen’s managed fund advisory activities for the last two calendar years, the allocation methodology used by Nuveen in preparing the profitability data and a history of the adjustments to the methodology due to changes in the business over time. The Independent Board Members also reviewed the revenues, expenses, net income (pre-tax and after-tax) and revenue margin (pre-tax and post-tax) of the Adviser and, as described in further detail below, each affiliated sub-adviser for the 2014 calendar year. In reviewing the profitability data, the Independent Board Members noted the subjective nature of cost allocation methodologies used to determine profitability as other reasonable methods could also have been employed but yield different results. The Independent Board Members reviewed an analysis of the key drivers behind the changes in revenues and expenses that impacted profitability in 2014. The Independent Board Members recognized that Nuveen’s net revenue margin from advisory activities for 2014 was consistent with 2013. The Independent Board Members also considered the profitability of Nuveen in comparison to the adjusted operating margins of other investment advisers with publicly available data and with comparable assets under management (based on asset size and asset composition) to Nuveen. The Independent Board Members noted that Nuveen’s adjusted operating margins appeared to be reasonable in relation to such other advisers. The Independent Board Members, however, recognized the difficulty of making comparisons of profitability from fund investment advisory contracts as the information is not generally publicly available, the information for the investment advisers that was publicly available may not be representative of the industry and various other factors would impact the profitability data such as differences in services offered, business mix, expense methodology and allocations, capital structure and costs, complex size, and types of funds and other accounts managed.
The Independent Board Members noted this information supplemented the profitability information requested and received during the year and noted that two Independent Board Members served as point persons to review the profitability analysis and methodologies employed, and any changes thereto, and to keep the Board apprised of such changes during the year.
The Independent Board Members determined that Nuveen appeared to be sufficiently profitable to operate as a viable investment management firm and to honor its obligations as a sponsor of the Nuveen funds. The Independent Board Members noted the Adviser’s continued expenditures to upgrade its investment technology and increase personnel and recognized the Adviser’s continued commitment to its business to enhance the Adviser’s capacity and capabilities in providing the services necessary to meet the needs of the Nuveen funds as they grow or change over time. The Independent Board Members also noted that the sub-advisory fees for the Nuveen funds are paid by the Adviser, however, the Board recognized that many of the sub-advisers, including the Sub-Adviser, are affiliated with Nuveen. The Independent Board Members also noted the increased resources and support available to Nuveen as well as an improved capital structure as a result of the TIAA-CREF Transaction.
With respect to the Sub-Adviser, the Independent Board Members reviewed the Sub-Adviser’s revenues, expenses and revenue margins (pre- and post-tax) for its advisory activities for the calendar year ended December 31, 2014. The Independent Board Members also reviewed profitability analysis reflecting the revenues, expenses and the revenue margin (pre- and post-tax) by asset type for the Sub-Adviser for the calendar year ended December 31, 2014.
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 indirect benefits (such as soft dollar arrangements), if any, the Fund Adviser and its affiliates received or were expected to receive that were directly attributable to the management of a Fund. 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, the Independent Board Members determined that the Adviser’s and the Sub-Adviser’s level of profitability was reasonable in light of the respective services provided.
D. Economies of Scale and Whether Fee Levels Reflect These Economies of Scale
The Independent Board Members recognized that, as the assets of a particular fund or the Nuveen complex in the aggregate increase over time, economies of scale may be realized, and the Independent Board Members considered the extent to which the funds benefit from such economies of scale. Although the Independent Board Members recognized that economies of scale are difficult to measure, the Board recognized that one method to help ensure the shareholders share in these benefits is to include breakpoints in the management fee schedule reducing fee rates as asset levels grow. The Independent Board Members noted that, subject to certain exceptions, the management fees of the funds in the Nuveen complex are generally comprised of a fund-level component and complex-level component. Each component of the management fee for each Fund included breakpoints to reduce management fee rates of the Fund as the Fund grows and, as described below, as the Nuveen complex grows. In addition to fund-specific breakpoint schedules which reduce the fee rates of a particular fund as its assets increase, the Independent Board Members recognized that the Adviser also passed on the benefits of economies of scale through the complex-wide fee arrangement which reduced management fee rates as assets in the fund complex reached 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 reflected the notion that some of Nuveen’s costs were attributable to services provided to all its funds in the complex, and therefore all funds benefit if these costs were spread over a larger asset base. The Independent Board Members reviewed the breakpoint and complex-wide schedules and the fee reductions achieved as a result of such structures for the 2014 calendar year.
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The Independent Board Members also noted that additional economies of scale were shared with shareholders of the Funds through the adoption of permanent expense caps. The Independent Board Members further considered that as part of the TIAA-CREF Transaction, Nuveen agreed, for a period of two years from the date of the closing of the TIAA-CREF Transaction, not to increase contractual management fees for any Nuveen fund and, with respect to funds with expense caps, not to raise expense cap levels for such funds from levels in effect at that time or scheduled to go into effect prior to the closing of the TIAA-CREF Transaction. The commitment would not limit or otherwise affect mergers or liquidations of any funds in the ordinary course.
Based on their review, the Independent Board Members concluded that the current fee structure was acceptable and reflected economies of scale to be shared with shareholders when assets under management increase.
E. Indirect Benefits
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 the Funds. In this regard, the Independent Board Members recognized that an affiliate of the Adviser served as the Funds’ principal underwriter and may receive compensation therefore from, among other things, sales charges, distribution fees and shareholder services fees (which included fees received pursuant to any 12b-1 plan). The Independent Board Members therefore took into account, among other things, 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 Adviser 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 Fund and other clients. The Funds’ portfolio transactions are allocated by the Sub-Adviser. Accordingly, the Independent Board Members considered that the Sub-Adviser may benefit from research provided by broker-dealers executing portfolio transactions on behalf of the Funds. With respect to any fixed income securities, however, the Board recognized that such securities generally trade on a principal basis that does not generate soft dollar credits. Similarly, the Board recognized that any research received pursuant to soft dollar arrangements by the Sub-Adviser may also benefit the Funds and shareholders to the extent the research enhanced the ability of the Sub-Adviser to manage the Funds. The Independent Board Members noted that the Sub-Adviser’s profitability may be somewhat lower if it had to acquire any such research 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, concluded that the terms of each Advisory Agreement were fair and reasonable, that the respective Fund Adviser’s fees were reasonable in light of the services provided to each Fund and that the Advisory Agreements be renewed.
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Notes
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Notes
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| 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. | ||||||||||||||
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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 more than $220 billion as of September 30, 2015. | ||||||||||||||
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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 | ||||||||||||||
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| Distributed by Nuveen Securities, LLC | 333 West Wacker Drive Chicago, IL 60606 | www.nuveen.com/mf | ||||||||||||||
MSA-CA-0815D 11045-INV-3-10/16
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| Mutual Funds |
Nuveen Municipal
Bond Funds |
| It’s not what you earn, it’s what you keep.® |
| Semi-Annual Report August 31, 2015 |
| Share Class / Ticker Symbol | ||||||||||||||
| Fund Name | Class A | Class C | Class C2 | Class I | ||||||||||
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Nuveen Connecticut Municipal Bond Fund | FCTTX | FDCDX | FCTCX | FCTRX | ||||||||||
Nuveen Massachusetts Municipal Bond Fund | NMAAX | NAAGX | NMACX | NBMAX | ||||||||||
Nuveen New Jersey Municipal Bond Fund | NNJAX | NJCCX | NNJCX | NMNJX | ||||||||||
Nuveen New York Municipal Bond Fund | NNYAX | NAJPX | NNYCX | NTNYX | ||||||||||
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| Life is Complex. | ||||||||||||
| Nuveen makes things e-simple. | ||||||||||||
| It only takes a minute to sign up for e-Reports. Once enrolled, you’ll receive an e-mail as soon as your Nuveen Fund information is ready. No more waiting for delivery by regular mail. Just click on the link within the e-mail to see the report and save it on your computer if you wish. | ||||||||||||
| Free e-Reports right to your e-mail! | ||||||||||||
www.investordelivery.com If you receive your Nuveen Fund distributions and statements from your financial advisor or brokerage account. | ||||||||||||
| or | www.nuveen.com/accountaccess If you receive your Nuveen Fund distributions and statements directly from Nuveen.
Must be preceded by or accompanied by a prospectus.
NOT FDIC INSURED MAY LOSE VALUE | |||||||||||
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| Nuveen Investments | 3 |
to Shareholders
Dear Shareholders,
For better or for worse, the financial markets have spent the past year waiting for the U.S. Federal Reserve (Fed) to end its accommodative monetary policy. The policy has propped up stock and bond markets since the Great Recession, but the question remains: how will markets behave without its influence? This uncertainty has been a considerable source of volatility for stock and bond prices lately, despite the Fed carefully conveying its intention to raise rates slowly and only when the economy shows evidence of readiness.
There may be at least one rate hike before the end of 2015. After all, the U.S. has reached “full employment” by the Fed’s standards and growth has resumed – albeit unevenly. But the picture remains somewhat uncertain. Inflation has remained stubbornly low, most recently weighed down by an unexpectedly sharp decline in commodity prices since mid-2014. With the Fed poised to tighten and foreign central banks easing, the U.S. dollar has surged against other currencies, which has weighed on corporate earnings and further contributed to commodity price weakness. U.S. consumers have benefited from an improved labor market and lower prices at the gas pump, but the overall pace of economic expansion has been lackluster.
Nevertheless, the global recovery continues to be led by the United States. Policy makers around the world are deploying their available tools to try to bolster Europe and Japan’s fragile growth, and manage China’s slowdown. Contagion fears ebb and flow with the headlines about Greece and China. Greece reluctantly agreed to a third bailout package from the European Union in July and China’s central bank and government intervened aggressively to try to stem the sell-off in stock prices. But persistent structural problems in these economies will continue to garner market attention.
Wall Street is fond of saying “markets don’t like uncertainty,” and asset prices are likely to continue to churn in the current macro environment. In times like these, you can look to a professional investment manager with the experience and discipline to maintain the proper perspective on short-term events. And if the daily headlines do concern you, I encourage you to reach out to your financial advisor. Your financial advisor can help you evaluate your investment strategies in light of current events, your time horizon and risk tolerance. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.
Sincerely,
William J. Schneider
Chairman of the Board
October 26, 2015
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Comments
Nuveen Connecticut Municipal Bond Fund
Nuveen Massachusetts Municipal Bond Fund
Nuveen New Jersey Municipal Bond Fund
Nuveen New York Municipal Bond Fund
These Funds feature portfolio management by Nuveen Asset Management, LLC, an affiliate of Nuveen Investments, Inc. Portfolio managers Michael S. Hamilton, Paul L. Brennan, CFA, and Scott R. Romans, PhD, review key investment strategies and the Funds’ performance during the six-month reporting period ended August 31, 2015. Since 2011, Michael has managed the Connecticut Municipal Bond Fund and the Nuveen Massachusetts Municipal Bond Fund, Paul has managed the Nuveen New Jersey Municipal Bond Fund and Scott has managed the Nuveen New York Municipal Bond Fund.
How did the Funds perform during the six-month reporting period ended August 31, 2015?
The tables in the Fund Performance, Expense Ratios and Effective Leverage Ratios section of this report provide total returns for the Funds for the six-month, one-year, five-year and ten-year periods ended August 31, 2015. Each Fund’s Class A Share total returns at net asset value (NAV) are compared with the performance of its benchmark and corresponding Lipper classification average. For the six-month reporting period, the Massachusetts and New York Funds outperformed the S&P Municipal Bond Index. The Connecticut Fund performed nearly in line with this index, while the New Jersey Fund lagged it. All of the four Funds outpaced their respective Lipper classification average to varying degrees.
What strategies were used to manage the Funds during the reporting period and how did these strategies influence performance?
All of the Funds continued to employ the same fundamental investment strategies and tactics long relied upon by Nuveen Asset Management. Our municipal bond portfolios are managed with a value-oriented approach and close input from Nuveen Asset Management’s research team. Below we highlight the specific factors influencing each Fund’s investment strategy, as well as how we managed each portfolio in light of recent market conditions.
Nuveen Connecticut Municipal Bond Fund
Nuveen Connecticut Municipal Bond Fund performed nearly in line with the S&P Municipal Bond Index for the six-month reporting period.
On the positive side, the Fund’s duration positioning added to performance relative to the benchmark, even as the impact was muted due to the market volatility seen during the past six months. The Fund’s credit rating stance also contributed to results. Specifically, we were underweighted in the B rating tier of the municipal market, a segment that performed relatively poorly because
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 (S&P), Moody’s Investors Service, Inc. (Moody’s) or Fitch, Inc (Fitch). 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.
Bond insurance guarantees only the payment of principal and interest on the bond when due, and not the value of the bonds themselves, which will fluctuate with the bond market and the financial success of the issuer and the insurer. Insurance relates specifically to the bonds in the portfolio and not to the share prices of a Fund. No representation is made as to the insurers’ ability to meet their commitments.
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.
| Nuveen Investments | 5 |
Portfolio Managers’ Comments (continued)
of the credit troubles experienced by Puerto Rico. The Fund was well positioned to benefit, given our limited exposure to the U.S. territory’s bonds. Throughout the reporting period, all of our Puerto Rico-related holdings consisted of insured debt, advance refunded bonds backed by U.S. Treasuries, or tobacco securitization bonds.
The Fund’s sector positioning added to results, on balance. Overweighting the health care category, particularly hospital bonds, proved beneficial, given the sector’s relative outperformance. Exposure to the utility sector, especially resource recovery bonds, was also helpful. On the negative side, an overweighting in the poor performing dedicated-tax sector hampered results.
Another positive came when several bonds in the portfolio were advance refunded during the reporting period. When debt is advance refunded, it typically experiences an immediate pickup in credit quality and subsequent valuation increase, as the securities become backed by escrowed short-term U.S. government bonds.
New investment opportunities, particularly the lower rated, longer dated issues that we often favor for purchase, are sometimes scarce in the Connecticut municipal bond marketplace. During this reporting period, supply of these desired bonds was sufficient to keep the Fund fully invested while also achieving many of our portfolio management goals. To achieve our target duration during this reporting period, we took advantage of opportunities to buy bonds with maturities between 14 to 30 years and sufficiently long call dates.
Our new purchases, made across a variety of sectors, included some higher education, health care, utility and longer dated general obligation (GO) bonds. The securities we bought reflected a range of credit qualities, including a number of new additions in the A credit rating tier of the market, where we most often found opportunities meeting our criteria. To finance these acquisitions, we used the proceeds of bond calls and also periodically sold some short dated bonds with limited performance potential. We also liquidated some insured Puerto Rico bonds that were benefiting from good demand in the marketplace. Of final note, we were selling certain Connecticut GO issues that had been purchased when the market was considerably stronger and Connecticut issuance constrained. This strategy enabled us to generate a tax loss we can apply against future gains.
Nuveen Massachusetts Municipal Bond Fund
The Nuveen Massachusetts Municipal Bond Fund outperformed the S&P Municipal Bond Index for the six-month reporting period, benefiting from favorable credit quality positioning. Specifically, the Fund was overweighted in the BBB credit rating tier of the marketplace, which outperformed the overall index. The Fund was also helped by the composition of its B rated bond exposure. Specifically, we had limited exposure to Puerto Rico-related issues, a significant presence in this rating tier.
Sector positioning and security selection also contributed. From a sector standpoint, the Fund was helped by an overweighting in education bonds, especially higher education issues. Having more exposure to other outperforming sectors, such as health care, local GO and multi-family housing bonds, further lifted results. With respect to security selection, Massachusetts bonds generally fared well relative to the national market, and this left the Fund well positioned, given our natural emphasis on debt issued by the commonwealth.
The Fund’s performance was slightly hampered by an underweighting in bonds on the shorter end of the yield curve, especially those with durations of less than six years, which outperformed in a volatile market environment. Also, we had relatively more exposure to bonds with maturities between ten and twelve years. Given that these bonds underperformed, our larger allocation to this market segment was detrimental.
Our management approach during this reporting period involved being selective about new purchases. Our selectivity reflected both an adequate supply of available Massachusetts bonds and our belief that the Fund’s duration, or sensitivity to interest rate changes, was already well positioned. When making new purchases, we tended to favor bonds with maturities of 15 years or longer, as this enabled us to better maintain the portfolio’s duration close to our desired level. When possible, we took advantage of opportunities to add bonds of less frequent issuers in the Massachusetts municipal marketplace. We purchased longer duration Sterling and Francine Clark Art Institute and also Berkshire Retirement Community bonds. Neither of these institutions bring debt to market often, so purchasing these securities enabled us to add diversification and, accordingly, improve the Fund’s risk management.
| 6 | Nuveen Investments |
Otherwise, changes to the Fund were relatively modest during the reporting period. Proceeds for new purchases came from bond calls and periodic investment inflows, as well as from our sale of a health care bond issue. In this case, we sold a position we had acquired earlier in the year, when yields were relatively low. With the proceeds, we bought comparable bonds offering better yields, while simultaneously creating a capital loss that we could apply against future gains.
We maintained limited exposure to debt affiliated with the U.S. territory of Puerto Rico (2.5% of the portfolio as of end of the reporting period) and those positions we did hold consisted of insured bonds or tobacco-securitization credits. We did, however, add to the Fund’s modest exposure to U.S. Virgin Islands related debt, taking advantage of bonds issued by U.S. territories are generally exempt from federal, state and local income taxes for residents of all 50 states.
Although the Fund had no derivatives employed for hedging purposes, the Fund maintained a modest degree of leverage in a small tender option bond trust position, which remained in the portfolio to provide additional income.
Nuveen New Jersey Municipal Bond Fund
The Nuveen New Jersey Municipal Bond Fund lagged the S&P Municipal Bond Index during the six-month reporting period. During this span, negative news about the state’s credit continued to predominate, which in turn weighed on New Jersey’s municipal bond market. Accordingly, this and other funds with exposure to state-backed New Jersey debt found themselves at a relative performance disadvantage compared with a national index. In recent years, our priority was to limit the Fund’s exposure to these types of issues. Alternatively, we focused on bonds issued at the county, local or school-district level, as well as other revenue bonds with solid investment grade ratings, whose income stream was not tied directly to the state. We favored higher education bonds as another source of indirect exposure to state credits. In fact, many of these credits performed relatively well this period, tempering the Fund’s relative underperformance.
Duration positioning posed a second performance related challenge. We entered the reporting period with a somewhat longer duration than the benchmark, meaning the Fund was more exposed to the negative performance effects of rising interest rates.
On the positive side, the Fund was helped by a relative overweighting in health care bonds. This category performed well, especially in New Jersey, where many hospital and health care providers have consolidated to increase their scale and improve operating efficiencies. With strong credit trends and our significant research capabilities in the sector, we were ready buyers of New Jersey health care debt when we found attractive opportunities.
In seeking to limit our exposure to state-backed bonds, we encountered two main challenges. The first was a finite amount of issuance of non-state-supported debt. Second, bonds issued at the local level do not always provide our preferred investment characteristics, such as longer maturities, higher yields or lower investment grade credit ratings. Our focus throughout the reporting period was to appropriately balance these factors and buy only those bonds we believed would best enable us to achieve our objectives.
Late in the reporting period, we determined that yields on New Jersey-backed debt had grown particularly high and that the bonds’ risk/reward tradeoff may have shifted in investors’ favor. When the state came to market with a relatively large bond issue, we took advantage of the situation to modestly add to our exposure in state-backed debt.
To finance purchases throughout the reporting period, we relied largely on the proceeds of bond calls. We also sold a variety of individual bonds with shorter maturities and limited performance potential, as this approach allowed us to maintain the Fund’s duration at our desired level.
Throughout the reporting period, we maintained limited exposure to the debt of Puerto Rico, a U.S. territory whose credit quality continued to worsen during the reporting period. At period end, roughly 1.76% of the portfolio was invested in bonds with a connection to the U.S. territory. The vast majority of this exposure consisted of advance refunded bonds backed by escrowed U.S. government securities, as well as some insured bonds.
| Nuveen Investments | 7 |
Portfolio Managers’ Comments (continued)
Nuveen New York Municipal Bond Fund
The Nuveen New York Municipal Bond Fund outperformed the S&P Municipal Bond Index for the six-month reporting period. One positive factor behind this performance was favorable duration, or interest rate, positioning. The Fund’s duration was slightly longer than that of the overall market, which proved to be beneficial in a volatile environment for rates.
Favorable credit quality positioning also helped the Fund’s results. In a continued low interest rate environment, and with strong demand from high yield investors, bonds with lower credit ratings tended to outperform their higher quality counterparts. Accordingly, the Fund was helped by overweightings in below investment grade rated (below BBB rated), BBB rated and A rated bonds. In addition, the Fund’s underweightings in AAA and AA rated bonds were also meaningful positives, given that these high quality securities lagged the index.
Overall, sector positioning had a mixed performance impact. Overweighting the strong performing health care and tobacco bond sectors added value, while the Fund’s exposure to the utility category had a counterbalancing negative effect on results.
In managing the portfolio, one strategy we selectively employed was to engage in bond swaps to seek to improve the Fund’s long-term ability to generate income. This involved selling bonds of a particular issuer and using the proceeds to buy comparable securities with slightly longer maturity dates. With this approach, we were able to maintain the Fund’s income characteristics for longer with only negligible additional interest rate risk.
During the reporting period, we tended to find the best value among A rated issues, whose yields were comparable to those of BBB rated bonds but which were of higher credit quality. Although they were more scarce than ideal, we took advantage of opportunities to invest in these issues when we found good values. Other purchases included some BBB rated and sub investment grade bonds, primarily higher education issues, health care bonds, debt to fund projects at the World Trade Center, transportation issues and tobacco credits. In our new acquisitions, we were successful in accomplishing our goal of keeping the Fund’s duration somewhat longer than our benchmark.
To fund our purchases, we generally used the proceeds of bond calls and new investment inflows into the Fund. In addition, we sold a variety of bonds with short call dates, which often benefit from good demand in the New York municipal marketplace, as well as highly rated sales-tax or personal income tax bonds that have historically been relatively liquid. Another notable sale was of New York City water bonds with a relatively low coupon.
An Update Involving Puerto Rico
As noted in the previous Shareholder Fund Report, we continue to monitor situations in the broader municipal market for any impact on the Funds’ holdings and performance: the ongoing economic problems of Puerto Rico is one such case. Puerto Rico’s continued economic weakening, escalating debt service obligations, and long-standing inability to deliver a balanced budget led to multiple downgrades on its debt over the past two years. Puerto Rico has warned investors since 2014 that the island’s debt burden may be unsustainable and the Commonwealth has been exploring various strategies to deal with this burden, including Chapter 9 bankruptcy.
The Nuveen complex’s entire exposure to obligations of the government of Puerto Rico and other Puerto Rico issuers totaled 0.27% of assets under management as of August 31, 2015. As of August 31, 2015, Nuveen’s limited exposure to Puerto Rico generally was invested in bonds that were insured, pre-refunded (and therefore backed by securities such as U.S. Treasuries), or tobacco settlement bonds. Overall, the small size of our exposures meant that our Puerto Rico holdings had a negligible impact on performance.
| 8 | Nuveen Investments |
and Dividend Information
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. The Funds’ use of inverse floaters creates effective leverage. Leverage involves the risk that the Funds could lose more than its original investment and also increases the Funds’ exposure to volatility and interest rate risk.
Dividend Information
Each Fund seeks to pay regular monthly dividends out of its net investment income at a rate that reflects its past and projected net income performance. To permit 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 income actually earned by the Fund during the period. If a 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 a 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, 2015, the Funds had positive UNII balances, based upon our best estimate, for tax purposes and positive UNII balances for financial reporting purposes.
All monthly dividends paid by the Funds during the current reporting period, were paid from net investment income. If a portion of the Fund’s monthly distributions was sourced from or comprised of elements other than net investment income, including capital gains and/or a return of capital, shareholders would have received a notice to that effect. For financial reporting purposes, the composition and per share amounts of each Fund’s dividends for the reporting period are presented in this report’s Statement of Changes in Net Assets and Financial Highlights, respectively. For income tax purposes, distribution information for each Fund as of its most recent tax year end is presented in Note 6 – Income Tax Information within the Notes to Financial Statements of this report.
| Nuveen Investments | 9 |
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| 10 | Nuveen Investments |
Fund Performance, Expense Ratios
and Effective Leverage Ratios
The Fund Performance, Expense Ratios and Effective Leverage Ratios for each Fund are shown within this section of the report.
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 an agreement by the investment adviser to waive certain fees and/or reimburse expenses during the periods presented. If any such waivers and/or reimbursements had not been in place, returns would have been reduced. See Notes to Financial Statements, Note 7—Management Fees and Other Transactions with Affiliates for more information. 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, and assume reinvestment of dividends and capital gains.
Comparative index and Lipper return information is provided for Class A Shares at net asset value (NAV) only.
The expense ratios shown reflect total operating expenses (before fee waivers and/or expense reimbursements, if any) as shown in the 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 Ratios and Effective Leverage Ratios (continued)
Nuveen Connecticut Municipal Bond Fund
Refer to the first page of this Fund Performance, Expense Ratios and Effective Leverage Ratios section for further explanation of the information included within this section. Refer to the Glossary of Terms Used in this Report for definitions of terms used within this section.
Fund Performance
Average Annual Total Returns as of August 31, 2015
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | 0.19% | 2.72% | 3.63% | 3.96% | ||||||||||||
Class A Shares at maximum Offering Price | (4.05)% | (1.57)% | 2.75% | 3.51% | ||||||||||||
S&P Municipal Bond Index | 0.21% | 2.38% | 4.11% | 4.44% | ||||||||||||
Lipper Other States Municipal Debt Funds Classification Average | (0.16)% | 2.13% | 3.21% | 3.61% | ||||||||||||
Class C2 Shares | (0.09)% | 2.16% | 3.05% | 3.39% | ||||||||||||
Class I Shares | 0.21% | 2.85% | 3.83% | 4.16% | ||||||||||||
| Cumulative | Average Annual | |||||||||||||
| 6-Month | 1-Year | Since Inception | ||||||||||||
Class C Shares | (0.20)% | 1.84% | 4.31% | |||||||||||
Average Annual Total Returns as of September 30, 2015 (Most Recent Calendar Quarter)
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | 0.48% | 3.01% | 3.71% | 4.08% | ||||||||||||
Class A Shares at maximum Offering Price | (3.78)% | (1.29)% | 2.83% | 3.64% | ||||||||||||
Class C2 Shares | 0.20% | 2.45% | 3.16% | 3.52% | ||||||||||||
Class I Shares | 0.68% | 3.23% | 3.93% | 4.30% | ||||||||||||
| Cumulative | Average Annual | |||||||||||||
| 6-Month | 1-Year | Since Inception | ||||||||||||
Class C Shares | 0.18% | 2.22% | 4.46% | |||||||||||
Since inception returns for Class C Shares are from 2/10/14. Indexes and Lipper averages are not available for direct investment.
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 and Class C2 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
| Share Class | ||||||||||||||||
| Class A | Class C | Class C2 | Class I | |||||||||||||
Expense Ratios | 0.79% | 1.59% | 1.34% | 0.59% | ||||||||||||
Effective Leverage Ratio as of August 31, 2015
Effective Leverage Ratio | 0.00% |
| 12 | Nuveen Investments |
Fund Performance, Expense Ratios and Effective Leverage Ratios (continued)
Nuveen Massachusetts Municipal Bond Fund
Refer to the first page of this Fund Performance, Expense Ratios and Effective Leverage Ratios section for further explanation of the information included within this section. Refer to the Glossary of Terms Used in this Report for definitions of terms used within this section.
Fund Performance
Average Annual Total Returns as of August 31, 2015
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | 0.48% | 2.85% | 3.85% | 4.16% | ||||||||||||
Class A Shares at maximum Offering Price | (3.75)% | (1.50)% | 2.96% | 3.71% | ||||||||||||
S&P Municipal Bond Index | 0.21% | 2.38% | 4.11% | 4.44% | ||||||||||||
Lipper Massachusetts Municipal Debt Funds Classification Average | (0.08)% | 2.22% | 3.38% | 3.76% | ||||||||||||
Class C2 Shares | 0.29% | 2.36% | 3.28% | 3.59% | ||||||||||||
Class I Shares | 0.67% | 3.13% | 4.05% | 4.37% | ||||||||||||
| Cumulative | Average Annual | |||||||||||||
| 6-Month | 1-Year | Since Inception | ||||||||||||
Class C Shares | 0.07% | 2.02% | 4.76% | |||||||||||
Average Annual Total Returns as of September 30, 2015 (Most Recent Calendar Quarter)
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | 0.57% | 3.23% | 4.12% | 4.31% | ||||||||||||
Class A Shares at maximum Offering Price | (3.66)% | (1.15)% | 3.24% | 3.86% | ||||||||||||
Class C2 Shares | 0.38% | 2.64% | 3.57% | 3.74% | ||||||||||||
Class I Shares | 0.76% | 3.42% | 4.34% | 4.52% | ||||||||||||
| Cumulative | Average Annual | |||||||||||||
| 6-Month | 1-Year | Since Inception | ||||||||||||
Class C Shares | 0.16% | 2.30% | 4.78% | |||||||||||
Since inception returns for Class C Shares are from 2/10/14. Indexes and Lipper averages are not available for direct investment.
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 and Class C2 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
| Share Class | ||||||||||||||||
| Class A | Class C | Class C2 | Class I | |||||||||||||
Expense Ratios | 0.81% | 1.61% | 1.36% | 0.62% | ||||||||||||
Effective Leverage Ratio as of August 31, 2015
Effective Leverage Ratio | 0.62% |
| Nuveen Investments | 13 |
Fund Performance, Expense Ratios and Effective Leverage Ratios (continued)
Nuveen New Jersey Municipal Bond Fund
Refer to the first page of this Fund Performance, Expense Ratios and Effective Leverage Ratios section for further explanation of the information included within this section. Refer to the Glossary of Terms Used in this Report for definitions of terms used within this section.
Fund Performance
Average Annual Total Returns as of August 31, 2015
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | (0.39)% | 1.68% | 4.29% | 4.35% | ||||||||||||
Class A Shares at maximum Offering Price | (4.54)% | (2.57)% | 3.41% | 3.90% | ||||||||||||
S&P Municipal Bond Index | 0.21% | 2.38% | 4.11% | 4.44% | ||||||||||||
Lipper New Jersey Municipal Debt Funds Classification Average | (1.00)% | 0.95% | 3.29% | 3.58% | ||||||||||||
Class C2 Shares | (0.74)% | 1.06% | 3.70% | 3.77% | ||||||||||||
Class I Shares | (0.29)% | 1.89% | 4.50% | 4.56% | ||||||||||||
| Cumulative | Average Annual | |||||||||||||
| 6-Month | 1-Year | Since Inception | ||||||||||||
Class C Shares | (0.79)% | 0.89% | 4.25% | |||||||||||
Average Annual Total Returns as of September 30, 2015 (Most Recent Calendar Quarter)
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | (0.12)% | 2.31% | 4.39% | 4.52% | ||||||||||||
Class A Shares at maximum Offering Price | (4.35)% | (1.97)% | 3.51% | 4.07% | ||||||||||||
Class C2 Shares | (0.38)% | 1.70% | 3.80% | 3.94% | ||||||||||||
Class I Shares | (0.01)% | 2.52% | 4.60% | 4.73% | ||||||||||||
| Cumulative | Average Annual | |||||||||||||
| 6-Month | 1-Year | Since Inception | ||||||||||||
Class C Shares | (0.52)% | 1.43% | 4.45% | |||||||||||
Since inception returns for Class C Shares are from 2/10/14. Indexes and Lipper averages are not available for direct investment.
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 and Class C2 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
| Share Class | ||||||||||||||||
| Class A | Class C | Class C2 | Class I | |||||||||||||
Expense Ratios | 0.81% | 1.61% | 1.36% | 0.61% | ||||||||||||
Effective Leverage Ratio as of August 31, 2015
Effective Leverage Ratio | 0.61% |
| 14 | Nuveen Investments |
Fund Performance, Expense Ratios and Effective Leverage Ratios (continued)
Nuveen New York Municipal Bond Fund
Refer to the first page of this Fund Performance, Expense Ratios and Effective Leverage Ratios section for further explanation of the information included within this section. Refer to the Glossary of Terms Used in this Report for definitions of terms used within this section.
Fund Performance
Average Annual Total Returns as of August 31, 2015
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | 0.58% | 3.39% | 3.80% | 4.20% | ||||||||||||
Class A Shares at maximum Offering Price | (3.65)% | (0.92)% | 2.91% | 3.76% | ||||||||||||
S&P Municipal Bond Index | 0.21% | 2.38% | 4.11% | 4.44% | ||||||||||||
S&P Municipal Bond New York Index | 0.71% | 2.78% | 3.94% | 4.48% | ||||||||||||
Lipper New York Municipal Debt Funds Classification Average | 0.11% | 2.60% | 3.51% | 3.70% | ||||||||||||
Class C2 Shares | 0.22% | 2.74% | 3.22% | 3.64% | ||||||||||||
Class I Shares | 0.60% | 3.51% | 3.99% | 4.40% | ||||||||||||
| Cumulative | Average Annual | |||||||||||||
| 6-Month | 1-Year | Since Inception | ||||||||||||
Class C Shares | 0.09% | 2.49% | 5.26% | |||||||||||
Average Annual Total Returns as of September 30, 2015 (Most Recent Calendar Quarter)
| Cumulative | Average Annual | |||||||||||||||
| 6-Month | 1-Year | 5-Year | 10-Year | |||||||||||||
Class A Shares at NAV | 0.59% | 3.67% | 3.91% | 4.33% | ||||||||||||
Class A Shares at maximum Offering Price | (3.64)% | (0.66)% | 3.03% | 3.88% | ||||||||||||
Class C2 Shares | 0.41% | 3.11% | 3.36% | 3.76% | ||||||||||||
Class I Shares | 0.70% | 3.89% | 4.13% | 4.54% | ||||||||||||
| Cumulative | Average Annual | |||||||||||||
| 6-Month | 1-Year | Since Inception | ||||||||||||
Class C Shares | 0.27% | 2.85% | 5.32% | |||||||||||
Since inception returns for Class C Shares are from 2/10/14. Indexes and Lipper averages are not available for direct investment.
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 and Class C2 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
| Share Class | ||||||||||||||||
| Class A | Class C | Class C2 | Class I | |||||||||||||
Expense Ratios | 0.77% | 1.57% | 1.32% | 0.57% | ||||||||||||
Effective Leverage Ratio as of August 31, 2015
Effective Leverage Ratio | 1.94% |
| 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. Subsidized yields reflect fee waivers and/or expense reimbursements from the investment adviser during the period. If any such waivers and/or reimbursements had not been in place, yields would have been reduced. Unsubsidized yields do not reflect waivers and/or reimbursements from the investment adviser during the period. Refer to the Fund Performance and Expense Ratios page for further details on the investment adviser’s most recent agreement with the Fund to waive fees and/or reimburse expenses, where applicable. 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. If the comparison were instead to investments that generate qualified dividend income, which is taxable at a rate lower than an individual’s ordinary graduated tax rate, the fund’s Taxable-Equivalent Yield would be lower.
Nuveen Connecticut Municipal Bond Fund
| Share Class | ||||||||||||||||
| Class A1 | Class C | Class C2 | Class I | |||||||||||||
Dividend Yield | 3.22% | 2.58% | 2.81% | 3.58% | ||||||||||||
SEC 30-Day Yield – Subsidized | 1.85% | 1.14% | 1.38% | 2.13% | ||||||||||||
SEC 30-Day Yield – Unsubsidized | 1.85% | 1.14% | 1.38% | 2.13% | ||||||||||||
Taxable-Equivalent Yield – Subsidized (32.3%)2 | 2.73% | 1.68% | 2.04% | 3.15% | ||||||||||||
Taxable-Equivalent Yield – Unsubsidized (32.3%)2 | 2.73% | 1.68% | 2.04% | 3.15% | ||||||||||||
Massachusetts Municipal Bond Fund
| Share Class | ||||||||||||||||
| Class A1 | Class C | Class C2 | Class I | |||||||||||||
Dividend Yield | 3.24% | 2.57% | 2.81% | 3.56% | ||||||||||||
SEC 30-Day Yield – Subsidized | 1.99% | 1.28% | 1.53% | 2.27% | ||||||||||||
SEC 30-Day Yield – Unsubsidized | 1.99% | 1.28% | 1.53% | 2.27% | ||||||||||||
Taxable-Equivalent Yield – Subsidized (31.7%)2 | 2.91% | 1.87% | 2.24% | 3.32% | ||||||||||||
Taxable-Equivalent Yield – Unsubsidized (31.7%)2 | 2.91% | 1.87% | 2.24% | 3.32% | ||||||||||||
Nuveen New Jersey Municipal Bond Fund
| Share Class | ||||||||||||||||
| Class A1 | Class C | Class C2 | Class I | |||||||||||||
Dividend Yield | 3.32% | 2.68% | 2.94% | 3.66% | ||||||||||||
SEC 30-Day Yield – Subsidized | 2.38% | 1.71% | 1.95% | 2.68% | ||||||||||||
SEC 30-Day Yield – Unsubsidized | 2.38% | 1.71% | 1.95% | 2.68% | ||||||||||||
Taxable-Equivalent Yield – Subsidized (32.6%)2 | 3.53% | 2.54% | 2.89% | 3.98% | ||||||||||||
Taxable-Equivalent Yield – Unsubsidized (32.6%)2 | 3.53% | 2.54% | 2.89% | 3.98% | ||||||||||||
Nuveen New York Municipal Bond Fund
| Share Class | ||||||||||||||||
| Class A1 | Class C | Class C2 | Class I | |||||||||||||
Dividend Yield | 3.55% | 2.90% | 3.17% | 3.92% | ||||||||||||
SEC 30-Day Yield – Subsidized | 2.08% | 1.37% | 1.63% | 2.37% | ||||||||||||
SEC 30-Day Yield – Unsubsidized | 2.08% | 1.37% | 1.63% | 2.37% | ||||||||||||
Taxable-Equivalent Yield – Subsidized (32.8%)2 | 3.10% | 2.04% | 2.43% | 3.53% | ||||||||||||
Taxable-Equivalent Yield – Unsubsidized (32.8%)2 | 3.10% | 2.04% | 2.43% | 3.53% | ||||||||||||
| 1 | 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. |
| 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 as shown in the respective table above. |
| 16 | Nuveen Investments |
Summaries August 31, 2015
This data relates to the securities held in each Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s, 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 Connecticut Municipal Bond Fund
Fund Allocation
(% of net assets)
Municipal Bonds | 100.0% | |||
Other Assets Less Liabilities | 0.0% | |||
Net Assets | 100% |
Portfolio Composition
(% of total investments)
Education and Civic Organizations | 19.2% | |||
Health Care | 17.9% | |||
Tax Obligation/Limited | 14.7% | |||
Tax Obligation/General | 13.8% | |||
Water and Sewer | 11.5% | |||
U.S. Guaranteed | 10.3% | |||
Utilities | 9.4% | |||
Other | 3.2% | |||
Total | 100% |
Bond Credit Quality
(% of total investment exposure)
AAA/U.S. Guaranteed | 18.4% | |||
AA | 50.0% | |||
A | 21.9% | |||
BBB | 6.4% | |||
BB or Lower | 1.3% | |||
N/R (not rated) | 2.0% | |||
Total | 100% |
| Nuveen Investments | 17 |
Holding Summaries August 31, 2015 (continued)
Nuveen Massachusetts Municipal Bond Fund
Fund Allocation
(% of net assets)
Municipal Bonds | 98.3% | |||
Other Assets Less Liabilities | 1.7% | |||
Net Assets | 100% |
Portfolio Composition
(% of total investments)
Education and Civic Organizations | 28.8% | |||
Health Care | 17.9% | |||
Tax Obligation/Limited | 15.0% | |||
U.S. Guaranteed | 9.2% | |||
Transportation | 8.8% | |||
Water and Sewer | 6.4% | |||
Tax Obligation/General | 6.1% | |||
Other | 7.8% | |||
Total | 100% |
Bond Credit Quality
(% of total investment exposure)
AAA/U.S. Guaranteed | 15.0% | |||
AA | 48.8% | |||
A | 18.1% | |||
BBB | 11.4% | |||
BB or Lower | 3.0% | |||
N/R (not rated) | 3.7% | |||
Total | 100% |
| 18 | Nuveen Investments |
Nuveen New Jersey Municipal Bond Fund
Fund Allocation
(% of net assets)
Municipal Bonds | 97.5% | |||
Other Assets Less Liabilities | 2.5% | |||
Net Assets | 100% |
Portfolio Composition
(% of total investments)
Tax Obligation/Limited | 18.9% | |||
Health Care | 16.7% | |||
Transportation | 15.2% | |||
Education and Civic Organizations | 14.6% | |||
Tax Obligation/General | 11.1% | |||
U.S. Guaranteed | 7.1% | |||
Other | 16.4% | |||
Total | 100% |
Bond Credit Quality
(% of total investment exposure)
AAA/U.S. Guaranteed | 9.8% | |||
AA | 38.7% | |||
A | 34.5% | |||
BBB | 10.3% | |||
BB or Lower | 6.1% | |||
N/R (not rated) | 0.6% | |||
Total | 100% |
| Nuveen Investments | 19 |
Holding Summaries August 31, 2015 (continued)
Nuveen New York Municipal Bond Fund
Fund Allocation
(% of net assets)
Municipal Bonds | 99.9% | |||
Other Assets Less Liabilities | 1.2% | |||
Net Assets Plus Floating Rate Obligations | 101.1% | |||
Floating Rate Obligations | (1.1)% | |||
Net Assets | 100% |
Portfolio Composition
(% of total investments)
Tax Obligation/Limited | 23.6% | |||
Education and Civic Organizations | 18.8% | |||
Transportation | 14.8% | |||
Utilities | 12.9% | |||
Health Care | 6.4% | |||
U.S. Guaranteed | 5.8% | |||
Other | 17.7% | |||
Total | 100% |
Bond Credit Quality
(% of total investment exposure)
AAA/U.S. Guaranteed | 21.4% | |||
AA | 40.4% | |||
A | 17.1% | |||
BBB | 7.0% | |||
BB or Lower | 10.0% | |||
N/R (not rated) | 4.1% | |||
Total | 100% |
| 20 | Nuveen Investments |
Examples
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 through the period ended August 31, 2015.
The beginning of the period is March 1, 2015.
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 each Fund’s actual expense ratios 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 following 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
| Share Class | ||||||||||||||||
| Class A | Class C | Class C2 | Class I | |||||||||||||
Actual Performance | ||||||||||||||||
Beginning Account Value | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||||
Ending Account Value | $ | 1,001.90 | $ | 998.00 | $ | 999.10 | $ | 1,002.10 | ||||||||
Expenses Incurred During the Period | $ | 3.98 | $ | 7.99 | $ | 6.73 | $ | 3.02 | ||||||||
Hypothetical Performance (5% annualized return before expenses) | ||||||||||||||||
Beginning Account Value | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||||
Ending Account Value | $ | 1,021.17 | $ | 1,017.14 | $ | 1,018.40 | $ | 1,022.12 | ||||||||
Expenses Incurred During the Period | $ | 4.01 | $ | 8.06 | $ | 6.80 | $ | 3.05 | ||||||||
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.79%, 1.59%, 1.34% and 0.60% for Classes A, C, C2 and I, respectively, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).
| Nuveen Investments | 21 |
Expense Examples (continued)
Nuveen Massachusetts Municipal Bond Fund
| Share Class | ||||||||||||||||
| Class A | Class C | Class C2 | Class I | |||||||||||||
Actual Performance | ||||||||||||||||
Beginning Account Value | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||||
Ending Account Value | $ | 1,004.80 | $ | 1,000.70 | $ | 1,002.90 | $ | 1,006.70 | ||||||||
Expenses Incurred During the Period | $ | 4.08 | $ | 8.10 | $ | 6.85 | $ | 3.08 | ||||||||
Hypothetical Performance (5% annualized return before expenses) | ||||||||||||||||
Beginning Account Value | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||||
Ending Account Value | $ | 1,021.06 | $ | 1,017.04 | $ | 1,018.30 | $ | 1,022.07 | ||||||||
Expenses Incurred During the Period | $ | 4.12 | $ | 8.16 | $ | 6.90 | $ | 3.10 | ||||||||
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.81%, 1.61%, 1.36% and 0.61% for Classes A, C, C2 and I, respectively, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).
Nuveen New Jersey Municipal Bond Fund
| Share Class | ||||||||||||||||
| Class A | Class C | Class C2 | Class I | |||||||||||||
Actual Performance | ||||||||||||||||
Beginning Account Value | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||||
Ending Account Value | $ | 996.10 | $ | 992.10 | $ | 992.60 | $ | 997.10 | ||||||||
Expenses Incurred During the Period | $ | 4.06 | $ | 8.06 | $ | 6.81 | $ | 3.06 | ||||||||
Hypothetical Performance (5% annualized return before expenses) | ||||||||||||||||
Beginning Account Value | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||||
Ending Account Value | $ | 1,021.06 | $ | 1,017.04 | $ | 1,018.30 | $ | 1,022.07 | ||||||||
Expenses Incurred During the Period | $ | 4.12 | $ | 8.16 | $ | 6.90 | $ | 3.10 | ||||||||
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.81%, 1.61%, 1.36% and 0.61% for Classes A, C, C2 and I, respectively, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).
Nuveen New York Municipal Bond Fund
| Share Class | ||||||||||||||||
| Class A | Class C | Class C2 | Class I | |||||||||||||
Actual Performance | ||||||||||||||||
Beginning Account Value | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||||
Ending Account Value | $ | 1,005.80 | $ | 1,000.90 | $ | 1,002.20 | $ | 1,006.00 | ||||||||
Expenses Incurred During the Period | $ | 3.93 | $ | 7.90 | $ | 6.69 | $ | 2.92 | ||||||||
Hypothetical Performance (5% annualized return before expenses) | ||||||||||||||||
Beginning Account Value | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||||
Ending Account Value | $ | 1,021.22 | $ | 1,017.24 | $ | 1,018.45 | $ | 1,022.22 | ||||||||
Expenses Incurred During the Period | $ | 3.96 | $ | 7.96 | $ | 6.75 | $ | 2.95 | ||||||||
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.78, 1.57%, 1.33% and 0.58% for Classes A, C, C2 and I, respectively, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).
| 22 | Nuveen Investments |
Nuveen Connecticut Municipal Bond Fund
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
LONG-TERM INVESTMENTS – 100.0% | ||||||||||||||||
MUNICIPAL BONDS – 100.0% | ||||||||||||||||
| Consumer Staples – 0.6% | ||||||||||||||||
| $ | 1,770 | Puerto Rico, The Children’s Trust Fund, Tobacco Settlement Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 | 11/15 at 100.00 | BBB+ | $ | 1,776,779 | ||||||||||
| Education and Civic Organizations – 19.1% | ||||||||||||||||
| 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 | B | 208,165 | ||||||||||||
| 2,000 | Connecticut Health and Education Facilities Authority, Revenue Bonds, Connecticut College, Series 2007G, 4.500%, 7/01/37 – NPFG Insured | 7/17 at 100.00 | AA– | 2,039,420 | ||||||||||||
| 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 | 1,285,156 | ||||||||||||
| 4,000 | Connecticut Health and Education Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2007K-2, 5.000%, 7/01/31 – NPFG Insured | 7/18 at 100.00 | AA– | 4,349,080 | ||||||||||||
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+ | 1,113,550 | ||||||||||||
| 500 | 5.000%, 7/01/32 | 7/22 at 100.00 | A+ | 555,150 | ||||||||||||
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 | AA | 998,851 | ||||||||||||
| 400 | 5.000%, 7/01/32 – RAAI Insured | 7/17 at 100.00 | AA | 413,572 | ||||||||||||
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, Series 2010-O: | ||||||||||||||||
| 3,205 | 5.000%, 7/01/35 | 7/20 at 100.00 | A– | 3,585,401 | ||||||||||||
| 1,000 | 5.000%, 7/01/40 | 7/20 at 100.00 | A– | 1,107,110 | ||||||||||||
| 1,050 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Norwich Free Academy, Series 2013B, 4.000%, 7/01/34 | 7/23 at 100.00 | A1 | 1,081,301 | ||||||||||||
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2015L: | ||||||||||||||||
| 3,000 | 5.000%, 7/01/36 (WI/DD, Settling 9/22/15) | 7/25 at 100.00 | A– | 3,303,300 | ||||||||||||
| 1,000 | 5.000%, 7/01/45 (WI/DD, Settling 9/22/15) | 7/25 at 100.00 | A– | 1,084,820 | ||||||||||||
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+ | 1,086,950 | ||||||||||||
| 2,500 | 5.625%, 7/01/41 | 7/21 at 100.00 | BBB+ | 2,712,050 | ||||||||||||
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 | 1,397,518 | ||||||||||||
| 1,750 | 5.000%, 7/01/27 – AGM Insured | 7/22 at 100.00 | AA | 1,935,132 | ||||||||||||
| 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 | AA– | 2,102,380 | ||||||||||||
| 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+ | 1,485,596 | ||||||||||||
| Nuveen Investments | 23 |
Nuveen Connecticut Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Education and Civic Organizations (continued) | ||||||||||||||||
| $ | 3,500 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, Series 2010G, 5.000%, 7/01/39 | 7/20 at 100.00 | AA | $ | 3,959,830 | ||||||||||
| 950 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Westminster School, Series 2014H, 3.250%, 7/01/32 | 7/24 at 100.00 | A | 927,048 | ||||||||||||
| 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 | 10,356,223 | ||||||||||||
| 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 | 3,200,580 | ||||||||||||
| 1,195 | 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 | 1,212,555 | ||||||||||||
| 630 | University of Connecticut, Student Fee Revenue Bonds, Refunding Series 2010A, 5.000%, 11/15/27 | 11/19 at 100.00 | Aa2 | 712,051 | ||||||||||||
| 2,000 | University of Connecticut, Student Fee Revenue Bonds, Refunding Series 2012A, 5.000%, 11/15/28 | No Opt. Call | Aa2 | 2,334,760 | ||||||||||||
| 50,750 | Total Education and Civic Organizations | 54,547,549 | ||||||||||||||
| Health Care – 17.9% | ||||||||||||||||
| 2,900 | Connecticut Health and Educational Facilities Authority Revenue Bonds, Hartford HealthCare, Series 2015F, 5.000%, 7/01/45 | 7/25 at 100.00 | A | 3,144,760 | ||||||||||||
| 2,920 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health Series 2010A, 5.000%, 11/15/40 | 11/19 at 100.00 | AA+ | 3,212,058 | ||||||||||||
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B: | ||||||||||||||||
| 655 | 5.500%, 7/01/21 – RAAI Insured | 11/15 at 100.00 | AA | 656,729 | ||||||||||||
| 4,025 | 5.500%, 7/01/32 – RAAI Insured | 11/15 at 100.00 | AA | 4,030,796 | ||||||||||||
| 2,240 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2005, 5.000%, 7/01/25 – RAAI Insured | 11/15 at 100.00 | AA | 2,243,427 | ||||||||||||
| 6,975 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford Healthcare, Series 2011A, 5.000%, 7/01/41 | 7/21 at 100.00 | A | 7,554,902 | ||||||||||||
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 | AA | 530,400 | ||||||||||||
| 1,055 | 5.250%, 7/01/32 – RAAI Insured | 7/17 at 100.00 | AA | 1,113,257 | ||||||||||||
| 1,555 | 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 | 1,688,575 | ||||||||||||
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2011N: | ||||||||||||||||
| 495 | 5.000%, 7/01/25 | 7/21 at 100.00 | A2 | 547,881 | ||||||||||||
| 500 | 5.000%, 7/01/27 | 7/21 at 100.00 | A2 | 549,065 | ||||||||||||
| 1,645 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2015O, 5.000%, 7/01/36 | 7/25 at 100.00 | A2 | 1,816,294 | ||||||||||||
| 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 | 4,426,623 | ||||||||||||
| 4,000 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2012J, 5.000%, 7/01/42 | 7/22 at 100.00 | A | 4,265,200 | ||||||||||||
| 24 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Health Care (continued) | ||||||||||||||||
| $ | 4,160 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011M, 5.375%, 7/01/41 | 7/21 at 100.00 | A | $ | 4,603,955 | ||||||||||
| 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 | 2,196,240 | ||||||||||||
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Health Issue, Series 2014E: | ||||||||||||||||
| 2,400 | 5.000%, 7/01/32 | 7/24 at 100.00 | Aa3 | 2,710,320 | ||||||||||||
| 2,520 | 5.000%, 7/01/33 | 7/24 at 100.00 | Aa3 | 2,833,488 | ||||||||||||
| 830 | 5.000%, 7/01/34 | 7/24 at 100.00 | Aa3 | 931,235 | ||||||||||||
| 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 | 1,847,337 | ||||||||||||
| 47,065 | Total Health Care | 50,902,542 | ||||||||||||||
| Housing/Single Family – 1.3% | ||||||||||||||||
| 195 | Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006-A1, 4.800%, 11/15/31 (Alternative Minimum Tax) | 11/15 at 100.00 | AAA | 195,335 | ||||||||||||
| 3,410 | Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006D, 4.650%, 11/15/27 | 5/16 at 100.00 | AAA | 3,449,761 | ||||||||||||
| 3,605 | Total Housing/Single Family | 3,645,096 | ||||||||||||||
| Long-Term Care – 1.4% | ||||||||||||||||
| 1,000 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Duncaster, Inc., Series 2014A, 5.000%, 8/01/44 | 8/24 at 100.00 | BBB– | 997,680 | ||||||||||||
| 2,825 | Connecticut Housing Finance Authority, State Supported Special Obligation Bonds, Refunding Series 2010-16, 5.000%, 6/15/30 | 6/20 at 100.00 | AA | 3,023,061 | ||||||||||||
| 3,825 | Total Long-Term Care | 4,020,741 | ||||||||||||||
| Tax Obligation/General – 13.8% | ||||||||||||||||
Bridgeport, Connecticut, General Obligation Bonds, Series 2014A: | ||||||||||||||||
| 600 | 5.000%, 7/01/32 – AGM Insured | 7/24 at 100.00 | AA | 679,542 | ||||||||||||
| 1,000 | 5.000%, 7/01/33 – AGM Insured | 7/24 at 100.00 | AA | 1,130,930 | ||||||||||||
| 1,065 | 5.000%, 7/01/34 – AGM Insured | 7/24 at 100.00 | AA | 1,202,704 | ||||||||||||
Connecticut State, General Obligation Bonds, Refunding Series 2012E: | ||||||||||||||||
| 1,000 | 5.000%, 9/15/30 | 9/22 at 100.00 | AA | 1,141,710 | ||||||||||||
| 2,000 | 5.000%, 9/15/32 | 9/22 at 100.00 | AA | 2,275,200 | ||||||||||||
| 2,000 | Connecticut State, General Obligation Bonds, Series 2006A, 4.750%, 12/15/24 | 12/16 at 100.00 | AA | 2,110,100 | ||||||||||||
Connecticut State, General Obligation Bonds, Series 2008C: | ||||||||||||||||
| 1,000 | 5.000%, 11/01/26 | 11/18 at 100.00 | AA | 1,115,660 | ||||||||||||
| 1,015 | 5.000%, 11/01/27 | 11/18 at 100.00 | AA | 1,129,045 | ||||||||||||
| 1,015 | 5.000%, 11/01/28 | 11/18 at 100.00 | AA | 1,129,045 | ||||||||||||
| 1,000 | Connecticut State, General Obligation Bonds, Series 2011D, 5.000%, 11/01/31 | 11/21 at 100.00 | AA | 1,141,220 | ||||||||||||
| 2,400 | Connecticut State, General Obligation Bonds, Series 2014A, 5.000%, 3/01/31 | 3/24 at 100.00 | AA | 2,723,112 | ||||||||||||
| 3,000 | Connecticut State, General Obligation Bonds, Series 2014F, 5.000%, 11/15/34 | 11/24 at 100.00 | AA | 3,399,360 | ||||||||||||
New Haven, Connecticut, General Obligation Bonds, Series 2015: | ||||||||||||||||
| 795 | 5.000%, 9/01/32 – AGM Insured (WI/DD, Settling 9/09/15) | 9/25 at 100.00 | AA | 887,777 | ||||||||||||
| 1,620 | 5.000%, 9/01/33 – AGM Insured (WI/DD, Settling 9/09/15) | 9/25 at 100.00 | AA | 1,804,729 | ||||||||||||
| 500 | 5.000%, 9/01/35 – AGM Insured (WI/DD, Settling 9/09/15) | 9/25 at 100.00 | AA | 554,360 | ||||||||||||
| Nuveen Investments | 25 |
Nuveen Connecticut Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/General (continued) | ||||||||||||||||
New Haven, Connecticut, General Obligation Bonds, Series 2014A: | ||||||||||||||||
| $ | 810 | 5.000%, 8/01/30 – AGM Insured | 8/24 at 100.00 | AA | $ | 902,348 | ||||||||||
| 700 | 5.000%, 8/01/31 – AGM Insured | 8/24 at 100.00 | AA | 776,412 | ||||||||||||
| 850 | 5.000%, 8/01/32 – AGM Insured | 8/24 at 100.00 | AA | 939,369 | ||||||||||||
| 850 | 5.000%, 8/01/34 – AGM Insured | 8/24 at 100.00 | AA | 936,641 | ||||||||||||
| 485 | North Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 7/15/24 | No Opt. Call | Aa1 | 590,279 | ||||||||||||
| 1,000 | Puerto Rico, General Obligation and Public Improvement Bonds, Series 2001A, 5.500%, 7/01/16 – AGM Insured | No Opt. Call | AA | 1,018,780 | ||||||||||||
| 600 | Stratford, Connecticut, General Obligation Bonds, Series 2014, 5.000%, 12/15/34 | 12/22 at 100.00 | AA | 675,504 | ||||||||||||
| 3,000 | Waterbury, Connecticut, General Obligation Bonds, Series 2012A, 5.000%, 8/01/30 | 8/22 at 100.00 | AA– | 3,358,260 | ||||||||||||
| 2,000 | West Haven, Connecticut, General Obligation Bonds, Series 2012, 5.000%, 8/01/24 – AGM Insured | 8/22 at 100.00 | AA | 2,262,240 | ||||||||||||
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 | 1,536,026 | ||||||||||||
| 1,415 | 7.000%, 12/01/25 – AGM Insured | 12/20 at 100.00 | AA | 1,698,028 | ||||||||||||
| 1,725 | 7.000%, 12/01/27 – AGM Insured | 12/20 at 100.00 | AA | 2,057,200 | ||||||||||||
| 34,725 | Total Tax Obligation/General | 39,175,581 | ||||||||||||||
| Tax Obligation/Limited – 14.7% | ||||||||||||||||
| 5,000 | Connecticut State, Special Tax Obligation Transportation Infrastructure Bonds, Series 2007A, 5.000%, 8/01/26 – AMBAC Insured | 8/17 at 100.00 | AA | 5,383,500 | ||||||||||||
| 5,000 | Connecticut State, Special Tax Obligation Transportation Infrastructure Purposes Bonds, Series 2008A, 5.000%, 11/01/28 | 11/18 at 100.00 | AA | 5,553,550 | ||||||||||||
| 2,500 | Connecticut State, Special Tax Obligation Transportation Infrastructure Purposes Bonds, Series 2013A, 5.000%, 10/01/33 | 10/23 at 100.00 | AA | 2,856,475 | ||||||||||||
Connecticut, Special Tax Obligation Bonds, Transportation Infrastructure Purposes, Series 2014A: | ||||||||||||||||
| 915 | 5.000%, 9/01/33 | 9/24 at 100.00 | AA | 1,039,852 | ||||||||||||
| 1,625 | 5.000%, 9/01/34 | 9/24 at 100.00 | AA | 1,839,939 | ||||||||||||
Government of Guam, Business Privilege Tax Bonds, Series 2011A: | ||||||||||||||||
| 2,400 | 5.250%, 1/01/36 | 1/22 at 100.00 | A | 2,632,320 | ||||||||||||
| 600 | 5.125%, 1/01/42 | 1/22 at 100.00 | A | 647,148 | ||||||||||||
| 2,200 | Guam Government, Limited Obligation Section 30 Revenue Bonds, Series 2009A, 5.750%, 12/01/34 | 12/19 at 100.00 | BBB+ | 2,436,830 | ||||||||||||
University of Connecticut, General Obligation Bonds, Series 2009A: | ||||||||||||||||
| 1,000 | 5.000%, 2/15/27 | 2/19 at 100.00 | AA | 1,112,680 | ||||||||||||
| 1,000 | 5.000%, 2/15/28 | 2/19 at 100.00 | AA | 1,112,680 | ||||||||||||
University of Connecticut, General Obligation Bonds, Series 2013A: | ||||||||||||||||
| 2,290 | 5.000%, 8/15/20 | No Opt. Call | AA | 2,667,002 | ||||||||||||
| 2,500 | 5.000%, 8/15/32 | 8/23 at 100.00 | AA | 2,847,700 | ||||||||||||
| 740 | University of Connecticut, General Obligation Bonds, Series 2014A, 5.000%, 2/15/31 | 2/24 at 100.00 | AA | 849,801 | ||||||||||||
| 1,590 | University of Connecticut, General Obligation Bonds, Series 2015A, 5.000%, 2/15/34 | No Opt. Call | AA | 1,817,720 | ||||||||||||
| 4,025 | Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Refunding Series 2012A, 5.000%, 10/01/32 | No Opt. Call | BBB+ | 4,335,046 | ||||||||||||
| 26 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
| $ | 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 | $ | 1,482,806 | ||||||||||
| 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 | Baa3 | 3,362,820 | ||||||||||||
| 37,755 | Total Tax Obligation/Limited | 41,977,869 | ||||||||||||||
| U.S. Guaranteed – 10.3% (4) | ||||||||||||||||
| 1,200 | Connecticut Health and Educational Facilities Authority, Child Care Facilities Program Revenue Bonds, Series 2008G, 6.000%, 7/01/28 – AGC Insured (Pre-refunded 7/01/18) | 7/18 at 100.00 | AA (4) | 1,371,720 | ||||||||||||
| 485 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Lutheran General Healthcare System – Parkside Lodges Projects, Series 1989, 7.375%, 7/01/19 (ETM) | 1/16 at 100.00 | Aaa | 550,310 | ||||||||||||
| 4,000 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2006H, 5.000%, 7/01/36 – AMBAC Insured (Pre-refunded 7/01/16) | 7/16 at 100.00 | A– (4) | 4,111,040 | ||||||||||||
| 4,450 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 – NPFG Insured (Pre-refunded 7/01/17) | 7/17 at 100.00 | AA– (4) | 4,753,401 | ||||||||||||
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Renbrook School, Series 2007A: | ||||||||||||||||
| 395 | 5.000%, 7/01/30 – AMBAC Insured (Pre-refunded 7/01/17) | 7/17 at 100.00 | N/R (4) | 426,904 | ||||||||||||
| 965 | 5.000%, 7/01/37 – AMBAC Insured (Pre-refunded 7/01/17) | 7/17 at 100.00 | N/R (4) | 1,042,943 | ||||||||||||
Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2006G: | ||||||||||||||||
| 2,800 | 5.250%, 7/01/26 – RAAI Insured (Pre-refunded 7/01/16) | 7/16 at 100.00 | AA (4) | 2,915,612 | ||||||||||||
| 1,250 | 5.250%, 7/01/36 – RAAI Insured (Pre-refunded 7/01/16) | 7/16 at 100.00 | AA (4) | 1,301,612 | ||||||||||||
Connecticut Health and Educational Facilities Authority, Revenue Bonds, William W. Backus Hospital, Series 2005F: | ||||||||||||||||
| 2,000 | 5.000%, 7/01/28 – AGM Insured (Pre-refunded 7/01/18) | 7/18 at 100.00 | AA (4) | 2,232,740 | ||||||||||||
| 60 | 5.125%, 7/01/35 – AGM Insured (Pre-refunded 7/01/18) | 7/18 at 100.00 | AA (4) | 67,192 | ||||||||||||
| 5,010 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 – AMBAC Insured (Pre-refunded 7/01/16) | 7/16 at 100.00 | Aa3 (4) | 5,206,442 | ||||||||||||
| 1,305 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2010M, 5.500%, 7/01/40 (Pre-refunded 7/01/20) | 7/20 at 100.00 | Aa3 (4) | 1,560,610 | ||||||||||||
| 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 (4) | 1,623,334 | ||||||||||||
| 1,720 | Stamford, Connecticut, Special Obligation Revenue Bonds, Mill River Corridor Project, Series 2011aA, 7.000%, 4/01/41 (Pre-refunded 4/01/21) | 4/21 at 100.00 | N/R (4) | 2,190,730 | ||||||||||||
| 27,035 | Total U.S. Guaranteed | 29,354,590 | ||||||||||||||
| Utilities – 9.4% | ||||||||||||||||
| 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 | 5,770,688 | ||||||||||||
Connecticut Municipal Electric Energy Cooperative, Power Supply System Revenue Bonds, Series 2013A: | ||||||||||||||||
| 500 | 5.000%, 1/01/20 | No Opt. Call | Aa3 | 574,280 | ||||||||||||
| 415 | 5.000%, 1/01/38 | 1/23 at 100.00 | Aa3 | 459,745 | ||||||||||||
| Nuveen Investments | 27 |
Nuveen Connecticut Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Utilities (continued) | ||||||||||||||||
Connecticut Municipal Electric Energy Cooperative, Transmission Services Revenue Bonds, Series 2012A: | ||||||||||||||||
| $ | 955 | 5.000%, 1/01/24 | 1/22 at 100.00 | Aa3 | $ | 1,101,870 | ||||||||||
| 880 | 5.000%, 1/01/25 | 1/22 at 100.00 | Aa3 | 1,006,984 | ||||||||||||
| 3,400 | Connecticut Resource Recovery Authority, Revenue Bonds, American Ref-Fuel Company of Southeastern Connecticut LP, Series 1992A, 6.450%, 11/15/22 (Alternative Minimum Tax) | 11/15 at 100.00 | Ba1 | 3,406,460 | ||||||||||||
| 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 | 3,498,475 | ||||||||||||
| 6,685 | Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A, 5.500%, 1/01/20 (Alternative Minimum Tax) | 1/16 at 100.00 | A– | 6,747,237 | ||||||||||||
| 4,500 | Puerto Rico Electric Power Authority, Power Revenue Refunding Bonds, Series 2002, 5.000%, 7/01/20 – NPFG Insured | No Opt. Call | AA– | 4,222,170 | ||||||||||||
| 26,130 | Total Utilities | 26,787,909 | ||||||||||||||
| Water and Sewer – 11.5% | ||||||||||||||||
| 5,000 | Connecticut, State Revolving Fund General Revenue Bonds, Series 2013A, 5.000%, 3/01/25 | 3/23 at 100.00 | AAA | 5,972,800 | ||||||||||||
Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Refunding Series 2014B: | ||||||||||||||||
| 500 | 5.000%, 8/15/30 | 8/24 at 100.00 | A+ | 573,785 | ||||||||||||
| 1,000 | 5.000%, 8/15/32 | 8/24 at 100.00 | A+ | 1,137,510 | ||||||||||||
| 60 | Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A, 5.000%, 8/15/35 – NPFG Insured | 11/15 at 100.00 | AA– | 60,518 | ||||||||||||
| 2,350 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 5.625%, 7/01/40 | 7/20 at 100.00 | A– | 2,567,986 | ||||||||||||
| 6,085 | Hartford County Metropolitan District, Connecticut, Clean Water Project Revenue Bonds, Green Bond Series 2014A, 5.000%, 11/01/42 | 11/24 at 100.00 | AA | 6,897,226 | ||||||||||||
| 2,500 | Hartford County Metropolitan District, Connecticut, Clean Water Project Revenue Bonds, Series 2013A, 5.000%, 4/01/39 | 4/22 at 100.00 | AA | 2,787,150 | ||||||||||||
| 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+ | 1,166,820 | ||||||||||||
South Central Connecticut Regional Water Authority Water System Revenue Bonds, Thirtieth Series 2014A: | ||||||||||||||||
| 1,010 | 5.000%, 8/01/39 | 8/24 at 100.00 | Aa3 | 1,138,341 | ||||||||||||
| 1,055 | 5.000%, 8/01/44 | 8/24 at 100.00 | Aa3 | 1,183,013 | ||||||||||||
| 500 | South Central Connecticut Regional Water Authority, Water System Revenue Bonds Twenty-Eighth Series 2013A, 5.000%, 8/01/38 | 8/22 at 100.00 | Aa3 | 553,800 | ||||||||||||
| 5,130 | 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 | 5,762,734 | ||||||||||||
| 2,000 | South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twenty-Seventh Series 2012, 5.000%, 8/01/30 – FGIC Insured | 8/22 at 100.00 | Aa3 | 2,250,780 | ||||||||||||
| 500 | Stamford, Connecticut, Water Pollution Control System and Facility Revenue Bonds, Series 2013A, 5.250%, 8/15/43 | 8/23 at 100.00 | AA+ | 576,416 | ||||||||||||
| 28,690 | Total Water and Sewer | 32,628,879 | ||||||||||||||
| $ | 261,350 | Total Long-Term Investments (cost $270,247,514) | 284,817,535 | |||||||||||||
Other Assets Less Liabilities – 0.0% | 94,974 | |||||||||||||||
Net Assets – 100% | $ | 284,912,509 | ||||||||||||||
| 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. |
| (ETM) | Escrowed to maturity. |
| (WI/DD) | Investment, or portion of investment, purchased on a when-issued or delayed delivery basis. |
See accompanying notes to financial statements.
| Nuveen Investments | 29 |
Nuveen Massachusetts Municipal Bond Fund
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
LONG-TERM INVESTMENTS – 98.3% | ||||||||||||||||
MUNICIPAL BONDS – 98.3% | ||||||||||||||||
| 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) (4), (5) | 11/15 at 100.00 | Caa3 | $ | 1,307,256 | ||||||||||
| Consumer Staples – 0.2% | ||||||||||||||||
| 640 | Puerto Rico, The Children’s Trust Fund, Tobacco Settlement Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 | 11/15 at 100.00 | BBB+ | 642,451 | ||||||||||||
| Education and Civic Organizations – 28.3% | ||||||||||||||||
| 1,270 | Massachusetts Development Finance Agency, Revenue Bonds, Bentley University, Series 2010, 5.000%, 7/01/28 | 7/20 at 100.00 | A3 | 1,412,761 | ||||||||||||
| 3,000 | Massachusetts Development Finance Agency, Revenue Bonds, Boston College Issue, Series 2013S, 5.000%, 7/01/32 | 7/23 at 100.00 | AA– | 3,418,230 | ||||||||||||
| 1,500 | Massachusetts Development Finance Agency, Revenue Bonds, Boston College, Series 2010R-1, 5.000%, 7/01/40 | 7/20 at 100.00 | AA– | 1,688,250 | ||||||||||||
| 1,015 | Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2008U-4, 5.600%, 10/01/35 | 10/19 at 100.00 | A1 | 1,171,503 | ||||||||||||
| 750 | Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1, 5.000%, 10/01/29 | 10/19 at 100.00 | A1 | 845,482 | ||||||||||||
| 5,000 | Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2013X, 5.000%, 10/01/48 | 10/23 at 100.00 | A1 | 5,527,400 | ||||||||||||
| 3,000 | Massachusetts Development Finance Agency, Revenue Bonds, Brandeis University, Series 2008N, 5.000%, 10/01/39 | 10/18 at 100.00 | A1 | 3,281,190 | ||||||||||||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2010A, 5.000%, 1/01/40 | 1/20 at 100.00 | BBB+ | 1,047,480 | ||||||||||||
| 3,000 | Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2015, 5.000%, 1/01/35 | 1/25 at 100.00 | BBB+ | 3,205,080 | ||||||||||||
| 3,000 | Massachusetts Development Finance Agency, Revenue Bonds, Harvard University, Series 2010B-1, 5.000%, 10/15/40 | 10/20 at 100.00 | AAA | 3,434,490 | ||||||||||||
Massachusetts Development Finance Agency, Revenue Bonds, MCPHS University Issue, Series 2015H: | ||||||||||||||||
| 550 | 3.500%, 7/01/35 | 7/25 at 100.00 | AA– | 539,264 | ||||||||||||
| 235 | 5.000%, 7/01/37 | 7/25 at 100.00 | AA– | 266,615 | ||||||||||||
Massachusetts Development Finance Agency, Revenue Bonds, Northeastern University, Series 2014A: | ||||||||||||||||
| 1,125 | 5.000%, 3/01/39 | 3/24 at 100.00 | A2 | 1,252,519 | ||||||||||||
| 1,850 | 5.000%, 3/01/44 | 3/24 at 100.00 | A2 | 2,046,766 | ||||||||||||
| 1,550 | Massachusetts Development Finance Agency, Revenue Bonds, Phillips Academy, Series 2014A, 5.000%, 9/01/43 | 9/23 at 100.00 | AAA | 1,752,554 | ||||||||||||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, Simmons College, Series 2013J, 5.250%, 10/01/39 | No Opt. Call | BBB+ | 1,084,860 | ||||||||||||
| 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 | 1,090,050 | ||||||||||||
| 30 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Education and Civic Organizations (continued) | �� | |||||||||||||||
| $ | 2,495 | Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art Institute, Series 2015, 5.000%, 7/01/33 | 7/25 at 100.00 | AA | $ | 2,853,107 | ||||||||||
| 3,500 | Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2011A, 5.250%, 4/01/37 | 4/21 at 100.00 | AA– | 4,000,360 | ||||||||||||
| 875 | Massachusetts Development Finance Agency, Revenue Bonds, Tufts University, Series 2015Q, 5.000%, 8/15/38 | 8/25 at 100.00 | Aa2 | 1,002,732 | ||||||||||||
| 895 | Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2007, 5.000%, 9/01/37 – NPFG Insured | 9/17 at 100.00 | AA– | 953,927 | ||||||||||||
| 2,400 | Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2012, 5.000%, 9/01/50 | 9/22 at 100.00 | A+ | 2,621,808 | ||||||||||||
| 2,100 | Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2002A, 5.750%, 1/01/42 – AMBAC Insured | No Opt. Call | A | 2,552,823 | ||||||||||||
Massachusetts Educational Financing Authority, Education Loan Revenue Bonds Issue K Series 2013: | ||||||||||||||||
| 2,500 | 5.000%, 7/01/20 (Alternative Minimum Tax) | No Opt. Call | AA | 2,790,075 | ||||||||||||
| 2,250 | 5.250%, 7/01/29 (Alternative Minimum Tax) | 7/22 at 100.00 | AA | 2,453,940 | ||||||||||||
| 1,170 | 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 | 1,233,285 | ||||||||||||
| 1,225 | Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Series 2009I, 6.000%, 1/01/28 | 1/20 at 100.00 | AA | 1,296,381 | ||||||||||||
| 1,195 | Massachusetts Educational Financing Authority, Educational Loan Revenue, Series 2011J, 5.625%, 7/01/33 (Alternative Minimum Tax) | 7/21 at 100.00 | AA | 1,297,662 | ||||||||||||
| 1,000 | Massachusetts Educational Financing Authority, Student Loan Revenue Bonds, Issue I Series 2014, 5.000%, 1/01/27 (Alternative Minimum Tax) | 1/25 at 100.00 | AA | 1,105,090 | ||||||||||||
| 800 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Harvard University, Tender Option Bond Trust 2010-20W, 13.581%, 12/15/34 (IF) (6) | 12/19 at 100.00 | AAA | 1,136,368 | ||||||||||||
| 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 | 1,108,590 | ||||||||||||
| 90 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College, Series 2007L, 5.000%, 7/01/31 | 7/16 at 100.00 | AA+ | 92,979 | ||||||||||||
| 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 | 1,678,860 | ||||||||||||
| 2,500 | University of Massachusetts Building Authority, Project Revenue Bonds, Senior Series 2015-1, 5.000%, 11/01/40 | 11/25 at 100.00 | Aa2 | 2,864,425 | ||||||||||||
| 7,500 | University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series 2013-1, 5.000%, 11/01/39 | 11/22 at 100.00 | Aa2 | 8,393,850 | ||||||||||||
| 64,840 | Total Education and Civic Organizations | 72,500,756 | ||||||||||||||
| Health Care – 17.6% | ||||||||||||||||
| 3,200 | Massachusetts Development Finance Agency Revenue Bonds, Baystate Medical Center Issue, Series 2014N, 5.000%, 7/01/44 | 7/24 at 100.00 | A+ | 3,509,600 | ||||||||||||
| 5,000 | Massachusetts Development Finance Agency Revenue Bonds, Children’s Hospital Issue, Series 2014P, 5.000%, 10/01/46 | 10/24 at 100.00 | AA | 5,553,700 | ||||||||||||
| 2,340 | Massachusetts Development Finance Agency, Hospital Revenue Bonds, Cape Cod Healthcare Obligated Group, Series 2013, 5.250%, 11/15/41 | 11/23 at 100.00 | A | 2,630,651 | ||||||||||||
| Nuveen Investments | 31 |
Nuveen Massachusetts Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Health Care (continued) | ||||||||||||||||
Massachusetts Development Finance Agency, Revenue Bonds, Berkshire Health Systems, Series 2012G: | ||||||||||||||||
| $ | 3,005 | 5.000%, 10/01/28 | 10/21 at 100.00 | A– | $ | 3,311,811 | ||||||||||
| 500 | 5.000%, 10/01/30 | 10/21 at 100.00 | A– | 548,075 | ||||||||||||
Massachusetts Development Finance Agency, Revenue Bonds, CareGroup Issue, Series 2015H-1: | ||||||||||||||||
| 900 | 5.000%, 7/01/30 (WI/DD, Settling 9/02/15) | 7/25 at 100.00 | A– | 1,011,852 | ||||||||||||
| 1,000 | 5.000%, 7/01/32 (WI/DD, Settling 9/02/15) | 7/25 at 100.00 | A– | 1,113,710 | ||||||||||||
| 500 | 5.000%, 7/01/33 (WI/DD, Settling 9/02/15) | 7/25 at 100.00 | A– | 554,670 | ||||||||||||
| 1,320 | Massachusetts Development Finance Agency, Revenue Bonds, Milford Regional Medical Center Issue, Series 2014F, 5.750%, 7/15/43 | 7/23 at 100.00 | BBB– | 1,453,544 | ||||||||||||
| 1,413 | Massachusetts Development Finance Agency, Revenue Bonds, Northern Berkshire Community Services Inc., Series 2012A, 6.000%, 2/15/43 (4), (5) | 11/15 at 100.00 | D | 79,921 | ||||||||||||
| 907 | Massachusetts Development Finance Agency, Revenue Bonds, Northern Berkshire Community Services Inc., Series 2012B, 0.000%, 2/15/43 (4), (5) | 11/15 at 100.00 | D | 51,322 | ||||||||||||
| 1,603 | Massachusetts Development Finance Agency, Revenue Bonds, Northern Berkshire Community Services Inc., Series 2012C, 0.000%, 2/15/43 (4), (5) | 11/15 at 100.00 | D | 90,648 | ||||||||||||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, Southcoast Health System Obligated Group Issue, Series 2013F, 5.000%, 7/01/37 | 7/23 at 100.00 | A– | 1,097,280 | ||||||||||||
| 3,800 | Massachusetts Development Finance Agency, Revenue Bonds, The Lowell General Hospital, Series 2013G, 5.000%, 7/01/44 | 7/23 at 100.00 | BBB+ | 3,991,862 | ||||||||||||
| 1,500 | Massachusetts Health and Educational Facilities Authority Revenue Bonds, Quincy Medical Center Issue, Series 2008A, 6.500%, 1/15/38 (4) | 1/18 at 100.00 | N/R | 3,675 | ||||||||||||
| 2,065 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Baystate Medical Center, Series 2009I, 5.750%, 7/01/36 | 7/19 at 100.00 | A+ | 2,326,512 | ||||||||||||
| 2,685 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston Medical Center, Series 2008B, 5.250%, 7/01/38 | 7/18 at 100.00 | BBB | 2,811,678 | ||||||||||||
| 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 | 1,107,510 | ||||||||||||
| 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 | AA– | 1,101,170 | ||||||||||||
| 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 | AA– | 385,949 | ||||||||||||
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 | AA– | 548,200 | ||||||||||||
| 100 | 5.375%, 2/01/27 – NPFG Insured | 8/18 at 100.00 | AA– | 110,704 | ||||||||||||
| 1,465 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Harvard Pilgrim Healthcare, Series 1998A, 4.750%, 7/01/22 – AGM Insured | 1/16 at 100.00 | AA | 1,467,901 | ||||||||||||
| 3,400 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Clinic Medical Center, Series 2005C, 5.000%, 8/15/21 – FGIC Insured | 11/15 at 100.00 | AA– | 3,413,362 | ||||||||||||
| 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+ | 2,121,660 | ||||||||||||
| 32 | 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, Milford Regional Medical Center, Series 2007E: | ||||||||||||||||
| $ | 2,040 | 5.000%, 7/15/32 | 7/17 at 100.00 | BBB– | $ | 2,075,435 | ||||||||||
| 1,000 | 5.000%, 7/15/37 | 7/17 at 100.00 | BBB– | 1,014,120 | ||||||||||||
| 1,565 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial Health Care, Series 2005D, 5.000%, 7/01/33 | 11/15 at 100.00 | BBB+ | 1,569,413 | ||||||||||||
| 47,158 | Total Health Care | 45,055,935 | ||||||||||||||
| Housing/Multifamily – 1.9% | ||||||||||||||||
| 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 | 1,687,303 | ||||||||||||
| 3,070 | Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48 | 7/17 at 100.00 | BB– | 3,114,638 | ||||||||||||
| 4,605 | Total Housing/Multifamily | 4,801,941 | ||||||||||||||
| Long-Term Care – 2.9% | ||||||||||||||||
| 560 | Massachusetts Development Finance Agency, Massachusetts, Berkshire Retirement Community Lennox, Series 2015, 5.000%, 7/01/31 | No Opt. Call | A– | 622,210 | ||||||||||||
| 240 | Massachusetts Development Finance Agency, Revenue Bonds, Carleton-Willard Village, Series 2010, 5.625%, 12/01/30 | 12/19 at 100.00 | A– | 269,227 | ||||||||||||
Massachusetts Development Finance Agency, Revenue Bonds, Loomis Communities, Series 2013A: | ||||||||||||||||
| 240 | 5.250%, 1/01/26 | 1/23 at 100.00 | BBB– | 263,933 | ||||||||||||
| 790 | 5.750%, 1/01/28 | 1/23 at 100.00 | BBB– | 871,528 | ||||||||||||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, North Hill Communities Issue, Series 2013A, 6.250%, 11/15/28 | 11/23 at 100.00 | N/R | 1,092,340 | ||||||||||||
| 4,220 | Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, 5.250%, 10/01/26 | 10/15 at 101.00 | N/R | 4,265,070 | ||||||||||||
| 7,050 | Total Long-Term Care | 7,384,308 | ||||||||||||||
| Tax Obligation/General – 6.0% | ||||||||||||||||
| 1,045 | Boston, Massachusetts, General Obligation Bonds, Series 2013A, 4.000%, 3/01/25 | 3/23 at 100.00 | AAA | 1,173,274 | ||||||||||||
| 1,750 | Hudson, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2011, 5.000%, 2/15/32 | 2/20 at 100.00 | AA | 1,970,063 | ||||||||||||
| 1,005 | Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21 | No Opt. Call | AA+ | 1,199,779 | ||||||||||||
| 1,220 | Massachusetts State, General Obligation Bonds, Consaldated Loan, Refunding Series 2014C, 5.000%, 8/01/22 | No Opt. Call | AA+ | 1,466,806 | ||||||||||||
| 3,000 | Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2015C, 5.000%, 7/01/45 | 7/25 at 100.00 | AA+ | 3,433,290 | ||||||||||||
| 360 | Newburyport, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2013, 4.000%, 1/15/30 | 1/23 at 100.00 | AAA | 381,197 | ||||||||||||
| 1,000 | North Reading, Massachusetts, General Obligation Bonds, Series 2012, 5.000%, 5/15/35 – AMBAC Insured | 5/22 at 100.00 | Aa2 | 1,113,550 | ||||||||||||
| 1,490 | Puerto Rico, General Obligation and Public Improvement Bonds, Series 2001A, 5.500%, 7/01/17 – AGM Insured | No Opt. Call | AA | 1,524,404 | ||||||||||||
| Nuveen Investments | 33 |
Nuveen Massachusetts Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/General (continued) | ||||||||||||||||
| $ | 2,000 | Quincy, Massachusetts, General Obligation Bonds, Series 2011, 5.125%, 12/01/33 | 12/20 at 100.00 | Aa2 | $ | 2,271,020 | ||||||||||
| 690 | Westfield, Massachusetts, General Obligation Bonds, Series 2004, 5.000%, 8/01/19 – AMBAC Insured | 11/15 at 100.00 | AA | 703,303 | ||||||||||||
| 120 | Worcester, Massachusetts, General Obligation Bonds, Series 2001A, 5.500%, 8/15/18 – FGIC Insured | 2/16 at 100.00 | AA– | 120,536 | ||||||||||||
| 13,680 | Total Tax Obligation/General | 15,357,222 | ||||||||||||||
| Tax Obligation/Limited – 14.7% | ||||||||||||||||
| 1,505 | Government of Guam, Business Privilege Tax Bonds, Series 2011A, 5.125%, 1/01/42 | 1/22 at 100.00 | A | 1,623,263 | ||||||||||||
| 805 | Government of Guam, Business Privilege Tax Bonds, Series 2012B-1, 5.000%, 1/01/37 | 1/22 at 100.00 | A | 874,455 | ||||||||||||
| 1,010 | Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Refunding Series 2014, 5.000%, 5/01/33 – BAM Insured | 11/24 at 100.00 | AA | 1,145,673 | ||||||||||||
| 2,545 | Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2012A, 5.000%, 7/01/41 | 7/22 at 100.00 | AAA | 2,880,456 | ||||||||||||
Massachusetts College Building Authority, Project Revenue Bonds, Green Series 2014B: | ||||||||||||||||
| 540 | 5.000%, 5/01/39 | 5/24 at 100.00 | AA | 613,478 | ||||||||||||
| 1,890 | 5.000%, 5/01/44 | 5/24 at 100.00 | AA | 2,134,944 | ||||||||||||
| 2,500 | Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 5/01/33 – AGC Insured | 5/18 at 100.00 | AA | 2,720,775 | ||||||||||||
Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B: | ||||||||||||||||
| 2,025 | 5.375%, 5/01/22 – SYNCORA GTY Insured | No Opt. Call | Aa2 | 2,461,306 | ||||||||||||
| 1,125 | 5.375%, 5/01/23 – SYNCORA GTY Insured | No Opt. Call | Aa2 | 1,387,643 | ||||||||||||
| 1,310 | Massachusetts College Building Authority, Revenue Bonds, Refunding Series 2011A, 5.000%, 5/01/24 | No Opt. Call | AA | 1,591,807 | ||||||||||||
| 1,145 | Massachusetts College Building Authority, Revenue Bonds, Refunding Series 2012B, 5.000%, 5/01/37 | 5/22 at 100.00 | AA | 1,276,538 | ||||||||||||
| 3,125 | Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Senior Series 2013A, 5.000%, 5/15/38 | 5/23 at 100.00 | AA+ | 3,519,937 | ||||||||||||
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2007A: | ||||||||||||||||
| 1,400 | 5.000%, 8/15/22 – AMBAC Insured | 8/17 at 100.00 | AA+ | 1,518,566 | ||||||||||||
| 1,000 | 5.000%, 8/15/37 – AMBAC Insured | 8/17 at 100.00 | AA+ | 1,068,480 | ||||||||||||
| 2,000 | Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2011B, 5.000%, 10/15/41 | 10/21 at 100.00 | AA+ | 2,264,920 | ||||||||||||
| 1,130 | Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 – FGIC Insured | No Opt. Call | AA– | 1,297,353 | ||||||||||||
| 800 | Massachusetts, Transportation Fund Revenue Bonds, Accelerated Bridge Program, Series 2012A, 4.000%, 6/01/35 | 6/21 at 100.00 | AAA | 832,912 | ||||||||||||
| 1,650 | Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2004J, 5.000%, 7/01/18 – NPFG Insured | 11/15 at 100.00 | AA– | 1,646,106 | ||||||||||||
| 3,500 | Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Refunding Series 2012A, 5.000%, 10/01/32 | No Opt. Call | BBB+ | 3,769,605 | ||||||||||||
| 25 | 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 | 27,059 | ||||||||||||
| 34 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
| $ | 1,650 | Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Series 2012A, 5.000%, 10/01/32 | 10/22 at 100.00 | BBB | $ | 1,777,100 | ||||||||||
| 1,130 | Virgin Islands Public Finance Authority, Matching Fund Revenue Loan Note – Diageo Project, Series 2009A, 6.625%, 10/01/29 | 10/19 at 100.00 | Baa3 | 1,266,662 | ||||||||||||
| 33,810 | Total Tax Obligation/Limited | 37,699,038 | ||||||||||||||
| Transportation – 8.6% | ||||||||||||||||
| 1,840 | Massachusetts Department of Transportation, Metropolitan Highway System Revenue Bonds, Senior Lien Series 2010B, 5.000%, 1/01/32 | 1/20 at 100.00 | A+ | 2,061,481 | ||||||||||||
| 2,000 | Massachusetts Port Authority, Airport System Revenue Bonds, Series 2010A, 5.000%, 7/01/30 | 7/20 at 100.00 | AA | 2,284,500 | ||||||||||||
| 2,750 | Massachusetts Port Authority, Revenue Bonds, Series 2012B, 5.000%, 7/01/32 | No Opt. Call | AA | 3,142,177 | ||||||||||||
| 1,780 | Massachusetts Port Authority, Revenue Bonds, Series 2014A, 5.000%, 7/01/34 | 7/24 at 100.00 | AA | 2,033,597 | ||||||||||||
Massachusetts Port Authority, Revenue Bonds, Series 2015A: | ||||||||||||||||
| 1,425 | 5.000%, 7/01/40 | 7/25 at 100.00 | AA | 1,626,951 | ||||||||||||
| 2,000 | 5.000%, 7/01/45 | 7/25 at 100.00 | AA | 2,272,640 | ||||||||||||
| 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 | AA– | 2,730,286 | ||||||||||||
| 500 | Massachusetts Port Authority, Special Facilities Revenue Bonds, ConRac Project, Series 2011A, 5.125%, 7/01/41 | 7/21 at 100.00 | A | 544,715 | ||||||||||||
| 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) | 1/16 at 100.00 | N/R | 4,065,259 | ||||||||||||
| 840 | 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+ | 936,298 | ||||||||||||
| 395 | Virgin Islands Port Authority, Marine Revenue Bonds, Refunding Series 2014B, 5.000%, 9/01/44 | 9/24 at 100.00 | BBB+ | 423,993 | ||||||||||||
| 20,185 | Total Transportation | 22,121,897 | ||||||||||||||
| U.S. Guaranteed – 9.0% (7) | ||||||||||||||||
| 685 | Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21 (ETM) | 3/17 at 100.00 | N/R (7) | 728,135 | ||||||||||||
| 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 | 83,750 | ||||||||||||
| 1,375 | Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%, 5/01/31 – AMBAC Insured (Pre-refunded 5/01/16) | 5/16 at 100.00 | Aa2 (7) | 1,419,055 | ||||||||||||
| 975 | Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2005T-1, 5.000%, 10/01/39 – AMBAC Insured (Pre-refunded 10/01/15) | 10/15 at 100.00 | A1 (7) | 978,218 | ||||||||||||
| 6,000 | Massachusetts Development Finance Agency, Revenue Bonds, Draper Laboratory, Series 2008, 5.875%, 9/01/30 (Pre-refunded 9/01/18) | 9/18 at 100.00 | Aa3 (7) | 6,881,100 | ||||||||||||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, The Sabis International Charter School, Series 2009A, 8.000%, 4/15/39 (Pre-refunded 10/15/19) | 10/19 at 100.00 | BBB (7) | 1,250,150 | ||||||||||||
Massachusetts Development Finance Agency, Revenue Bonds, Williston Northampton School, Series 2005B: | ||||||||||||||||
| 100 | 5.000%, 10/01/25 – SYNCORA GTY Insured (Pre-refunded 10/01/15) | 10/15 at 100.00 | Baa2 (7) | 100,404 | ||||||||||||
| 3,090 | 5.000%, 10/01/37 – SYNCORA GTY Insured (Pre-refunded 10/01/15) | 10/15 at 100.00 | Baa2 (7) | 3,102,484 | ||||||||||||
| Nuveen Investments | 35 |
Nuveen Massachusetts Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| U.S. Guaranteed (7) (continued) | ||||||||||||||||
| $ | 500 | Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Dominion Energy Brayton Point Project, Refunding Series 2009, 5.750%, 12/01/42 (Pre-refunded 5/01/19) | 5/19 at 100.00 | BBB+ (7) | $ | 584,540 | ||||||||||
| 315 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston Medical Center, Series 2008B, 5.250%, 7/01/38 (Pre-refunded 7/01/18) | 7/18 at 100.00 | N/R (7) | 353,291 | ||||||||||||
| 295 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 – NPFG Insured (Pre-refunded 7/01/21) | 7/21 at 100.00 | AA– (7) | 339,291 | ||||||||||||
| 1,400 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30 (Pre-refunded 10/02/15) | 10/15 at 100.00 | BB+ (7) | 1,406,104 | ||||||||||||
| 3,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Tufts University, Series 2008O, 5.375%, 8/15/38 (Pre-refunded 8/15/18) | 8/18 at 100.00 | Aa2 (7) | 3,391,410 | ||||||||||||
| 620 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College, Series 2007L, 5.000%, 7/01/31 (Pre-refunded 7/01/16) | 7/16 at 100.00 | N/R (7) | 644,422 | ||||||||||||
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A: | ||||||||||||||||
| 100 | 5.000%, 8/01/27 (Pre-refunded 8/01/17) | 8/17 at 100.00 | Aa1 (7) | 108,401 | ||||||||||||
| 45 | 5.000%, 8/01/28 (Pre-refunded 8/01/17) | 8/17 at 100.00 | Aa1 (7) | 48,780 | ||||||||||||
| 130 | 5.000%, 8/01/29 (Pre-refunded 8/01/17) | 8/17 at 100.00 | Aa1 (7) | 140,921 | ||||||||||||
| 1,500 | Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A, 5.000%, 8/01/31 – AMBAC Insured (Pre-refunded 8/01/16) | 8/16 at 100.00 | AA+ (7) | 1,563,795 | ||||||||||||
| 21,205 | Total U.S. Guaranteed | 23,124,251 | ||||||||||||||
| Utilities – 2.3% | ||||||||||||||||
| 1,435 | Guam Power Authority, Revenue Bonds, Series 2010A, 5.000%, 10/01/37 – AGM Insured | 10/20 at 100.00 | AA | 1,602,752 | ||||||||||||
| 1,560 | Massachusetts Development Finance Agency, Resource Recovery Revenue Refunding Bonds, Covanta Energy Project, Series 2012B, 4.875%, 11/01/42 | 11/17 at 100.00 | BB+ | 1,562,730 | ||||||||||||
| 2,900 | Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2004PP, 5.000%, 7/01/22 – NPFG Insured | 11/15 at 100.00 | AA– | 2,667,884 | ||||||||||||
| 5,895 | Total Utilities | 5,833,366 | ||||||||||||||
| Water and Sewer – 6.3% | ||||||||||||||||
| 1,700 | Atlanta, Georgia, Water and Wastewater Revenue Bonds, Series 2009B, 5.375%, 11/01/39 – AGM Insured | 11/19 at 100.00 | AA | 1,922,887 | ||||||||||||
| 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+ | 1,128,590 | ||||||||||||
| 2,700 | Massachusetts Clean Water Trust, State Revolving Fund Bonds, Green 18 Series 2015, 5.000%, 2/01/45 | 2/24 at 100.00 | AAA | 3,062,448 | ||||||||||||
| 60 | Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2003-9, 5.000%, 8/01/22 | 11/15 at 100.00 | AAA | 60,245 | ||||||||||||
| 1,000 | Massachusetts Water Resources Authority, General Revenue Bonds, Series 2002J, 5.250%, 8/01/19 – AGM Insured | No Opt. Call | AA+ | 1,157,110 | ||||||||||||
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A: | ||||||||||||||||
| 1,550 | 5.000%, 8/01/27 | 8/17 at 100.00 | AA+ | 1,668,885 | ||||||||||||
| 705 | 5.000%, 8/01/28 | 8/17 at 100.00 | AA+ | 757,114 | ||||||||||||
| 1,950 | 5.000%, 8/01/29 | 8/17 at 100.00 | AA+ | 2,087,767 | ||||||||||||
| 2,500 | Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005B, 5.000%, 8/01/35 – NPFG Insured | 8/17 at 100.00 | AA+ | 2,675,875 | ||||||||||||
| 36 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Water and Sewer (continued) | ||||||||||||||||
| $ | 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 | $ | 1,714,905 | ||||||||||
| 14,665 | Total Water and Sewer | 16,235,826 | ||||||||||||||
| $ | 235,158 | Total Long-Term Investments (cost $237,182,862) | 252,064,247 | |||||||||||||
Other Assets Less Liabilities – 1.7% | 4,300,751 | |||||||||||||||
Net Assets – 100% | $ | 256,364,998 | ||||||||||||||
| (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) | As of, or subsequent to, the end of the reporting period this security is non-income producing. Non-income producing, in the case of a fixed-income security, 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 ceased accruing additional income on the Fund’s records. |
| (5) | Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3. See Notes to Financial Statements, Note 2 – Investment Valuation and Fair Value Measurements for more information. |
| (6) | Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions. |
| (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. |
| (ETM) | Escrowed to maturity. |
| (IF) | Inverse floating rate investment. |
| (WI/DD) | Investment, or portion of investment, purchased on a when-issued or delayed delivery basis. |
See accompanying notes to financial statements.
| Nuveen Investments | 37 |
Nuveen New Jersey Municipal Bond Fund
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
LONG-TERM INVESTMENTS – 97.5% | ||||||||||||||||
MUNICIPAL BONDS – 97.5% | ||||||||||||||||
| 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 | 11/15 at 100.00 | Caa1 | $ | 211,865 | ||||||||||
| 240 | 5.125%, 1/01/37 | 11/15 at 100.00 | Caa1 | 181,452 | ||||||||||||
| 520 | Total Consumer Discretionary | 393,317 | ||||||||||||||
| Consumer Staples – 3.4% | ||||||||||||||||
Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds, Series 2007-1A: | ||||||||||||||||
| 3,000 | 4.500%, 6/01/23 | 6/17 at 100.00 | BB | 3,001,950 | ||||||||||||
| 7,280 | 4.750%, 6/01/34 | 6/17 at 100.00 | B– | 5,488,392 | ||||||||||||
| 1,740 | 5.000%, 6/01/41 | 6/17 at 100.00 | B– | 1,326,541 | ||||||||||||
| 12,020 | Total Consumer Staples | 9,816,883 | ||||||||||||||
| Education and Civic Organizations – 14.3% | ||||||||||||||||
| 630 | Gloucester County Improvement Authority, New Jersey, Revenue Bonds, Rowan University Projects, Series 2015A, 3.375%, 7/01/36 – AGM Insured | 7/25 at 100.00 | AA | 601,039 | ||||||||||||
| 870 | New Jersey Economic Development Authority, Revenue Bonds, The Seeing Eye Inc., Refunding Series 2015, 5.000%, 3/01/25 | No Opt. Call | A | 1,050,081 | ||||||||||||
New Jersey Education Facilities Authority Revenue Bonds, The College of New Jersey Issue, Series 2013A: | ||||||||||||||||
| 770 | 5.000%, 7/01/38 | 7/23 at 100.00 | AA | 844,074 | ||||||||||||
| 1,015 | 5.000%, 7/01/43 | 7/23 at 100.00 | AA | 1,108,299 | ||||||||||||
| 1,840 | New Jersey Educational Facilities Authority, Revenue Bonds, Kean University, Refunding Series 2009A, 5.500%, 9/01/36 – AGC Insured | 9/19 at 100.00 | AA | 2,079,826 | ||||||||||||
| 1,800 | New Jersey Educational Facilities Authority, Revenue Bonds, Kean University, Refunding Series 2015H, 4.000%, 7/01/39 – AGM Insured | 7/25 at 100.00 | AA | 1,794,438 | ||||||||||||
New Jersey Educational Facilities Authority, Revenue Bonds, Montclair State University, Series 2015D: | ||||||||||||||||
| 2,000 | 5.000%, 7/01/31 | 7/25 at 100.00 | AA– | 2,267,260 | ||||||||||||
| 1,055 | 3.750%, 7/01/33 | 7/25 at 100.00 | AA– | 1,048,280 | ||||||||||||
| 1,725 | New Jersey Educational Facilities Authority, Revenue Bonds, New Jersey City University, Series 2015A, 5.000%, 7/01/45 | 7/25 at 100.00 | AA | 1,869,848 | ||||||||||||
New Jersey Educational Facilities Authority, Revenue Bonds, Ramapo College, Series 2012B: | ||||||||||||||||
| 525 | 5.000%, 7/01/37 | 7/22 at 100.00 | A | 571,137 | ||||||||||||
| 100 | 5.000%, 7/01/42 | 7/22 at 100.00 | A | 108,252 | ||||||||||||
| 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+ | 2,177,780 | ||||||||||||
New Jersey Educational Facilities Authority, Revenue Bonds, Rider University, Series 2012A: | ||||||||||||||||
| 250 | 5.000%, 7/01/32 | 7/21 at 100.00 | BBB | 265,147 | ||||||||||||
| 230 | 5.000%, 7/01/37 | 7/21 at 100.00 | BBB | 242,951 | ||||||||||||
| 500 | New Jersey Educational Facilities Authority, Revenue Bonds, Rowan College, Series 2007B, 4.250%, 7/01/34 – FGIC Insured | 7/17 at 100.00 | AA– | 506,585 | ||||||||||||
| 38 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Education and Civic Organizations (continued) | ||||||||||||||||
| $ | 1,225 | New Jersey Educational Facilities Authority, Revenue Bonds, Seton Hall University, Refunding Series 2015C, 5.000%, 7/01/32 | 7/25 at 100.00 | A | $ | 1,369,133 | ||||||||||
| 740 | New Jersey Educational Facilities Authority, Revenue Bonds, Seton Hall University, Series 2013D, 5.000%, 7/01/38 | 7/23 at 100.00 | A | 811,188 | ||||||||||||
| 3,320 | 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 | 3,581,682 | ||||||||||||
| 455 | New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2010-1A, 5.000%, 12/01/25 | 12/19 at 100.00 | AA | 479,816 | ||||||||||||
| 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 | 547,128 | ||||||||||||
| 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 | 2,242,810 | ||||||||||||
| 400 | New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2012-1B, 5.750%, 12/01/39 (Alternative Minimum Tax) | 12/22 at 100.00 | A | 431,508 | ||||||||||||
New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2013-1A: | ||||||||||||||||
| 1,600 | 3.625%, 12/01/25 (Alternative Minimum Tax) | 12/22 at 100.00 | AA | 1,600,832 | ||||||||||||
| 1,000 | 4.000%, 12/01/28 (Alternative Minimum Tax) | 12/22 at 100.00 | AA | 1,009,950 | ||||||||||||
| 1,585 | 4.000%, 12/01/31 (Alternative Minimum Tax) | 12/22 at 100.00 | AA | 1,580,641 | ||||||||||||
| 1,670 | 4.125%, 12/01/35 (Alternative Minimum Tax) | 12/22 at 100.00 | AA | 1,670,334 | ||||||||||||
New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2014-1A-1: | ||||||||||||||||
| 1,500 | 4.250%, 12/01/32 (Alternative Minimum Tax) | 12/23 at 100.00 | AA | 1,514,745 | ||||||||||||
| 1,500 | 4.500%, 12/01/36 (Alternative Minimum Tax) | 12/23 at 100.00 | AA | 1,543,665 | ||||||||||||
| 2,230 | New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2015-1A, 4.000%, 12/01/30 (Alternative Minimum Tax) | 12/24 at 100.00 | AA | 2,211,090 | ||||||||||||
| 1,425 | New Jersey Institute of Technology, New Jersey, General Obligation Bonds, Series 2012A, 5.000%, 7/01/42 | 7/22 at 100.00 | A1 | 1,562,926 | ||||||||||||
| 2,320 | Rutgers State University, New Jersey, Revenue Bonds, Refunding Series 2013L, 5.000%, 5/01/43 | 5/23 at 100.00 | AA– | 2,591,788 | ||||||||||||
| 38,915 | Total Education and Civic Organizations | 41,284,233 | ||||||||||||||
| Financials – 0.6% | ||||||||||||||||
New Jersey Economic Development Authority, Revenue Refunding Bonds, Kapkowski Road Landfill Project, Series 2002: | ||||||||||||||||
| 1,000 | 5.750%, 10/01/21 | No Opt. Call | Ba2 | 1,096,460 | ||||||||||||
| 500 | 6.500%, 4/01/28 | No Opt. Call | Ba2 | 610,230 | ||||||||||||
| 1,500 | Total Financials | 1,706,690 | ||||||||||||||
| Health Care – 16.3% | ||||||||||||||||
Camden County Improvement Authority, New Jersey, Health Care Redevelopment Revenue Bonds, Cooper Health System Obligated Group Issue, Refunding Series 2014A: | ||||||||||||||||
| 1,720 | 5.000%, 2/15/25 | No Opt. Call | BBB+ | 1,930,992 | ||||||||||||
| 2,000 | 5.000%, 2/15/33 | No Opt. Call | BBB+ | 2,140,020 | ||||||||||||
| 800 | Camden County Improvement Authority, New Jersey, Health Care Redevelopment Revenue Bonds, Cooper Health System Obligated Group Issue, Series 2013A, 5.750%, 2/15/42 | 2/23 at 100.00 | BBB+ | 901,824 | ||||||||||||
| Nuveen Investments | 39 |
Nuveen New Jersey Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Health Care (continued) | ||||||||||||||||
| $ | 4,445 | New Jersey Health Care Facilities Finance Authority, Revenue Bonds, AHS Hospital Corporation, Series 2008A, 5.000%, 7/01/27 | 7/18 at 100.00 | A+ | $ | 4,813,002 | ||||||||||
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 | BB+ | 871,176 | ||||||||||||
| 75 | 6.250%, 7/01/35 | 7/21 at 100.00 | BB+ | 80,826 | ||||||||||||
| 360 | New Jersey Health Care Facilities Financing Authority, Revenue and Refunding Bonds, Barnabas Health, Series 2012A, 5.000%, 7/01/24 | No Opt. Call | A– | 407,858 | ||||||||||||
New Jersey Health Care Facilities Financing Authority, Revenue and Refunding Bonds, Palisades Medical Center Obligated Group Issue, Series 2013: | ||||||||||||||||
| 800 | 5.250%, 7/01/31 | 7/23 at 100.00 | BBB | 873,664 | ||||||||||||
| 440 | 5.500%, 7/01/43 | 7/23 at 100.00 | BBB | 485,074 | ||||||||||||
| 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+ | 1,208,639 | ||||||||||||
| 1,000 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Barnabas Health, Refunding Series 2014A, 5.000%, 7/01/44 | 7/24 at 100.00 | A– | 1,081,090 | ||||||||||||
| 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 | A3 | 1,564,260 | ||||||||||||
New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Hunterdon Medical Center, Refunding Series 2014A: | ||||||||||||||||
| 595 | 5.000%, 7/01/45 | 7/24 at 100.00 | A | 648,824 | ||||||||||||
| 1,000 | 4.000%, 7/01/45 | 7/24 at 100.00 | A | 980,300 | ||||||||||||
New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Kennedy Health System Obligated Group Issue, Refunding Series 2012: | ||||||||||||||||
| 1,420 | 4.000%, 7/01/17 | No Opt. Call | A3 | 1,495,445 | ||||||||||||
| 1,125 | 5.000%, 7/01/31 | 7/22 at 100.00 | A3 | 1,228,511 | ||||||||||||
| 1,080 | 5.000%, 7/01/42 | 7/22 at 100.00 | A3 | 1,158,980 | ||||||||||||
| 550 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Meridian Health System Obligated Group, Refunding Series 2013A, 5.000%, 7/01/32 | 7/23 at 100.00 | A+ | 607,063 | ||||||||||||
| 5,235 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Meridian Health, Series 2007, 5.000%, 7/01/38 – AGC Insured | 7/18 at 100.00 | AA | 5,552,293 | ||||||||||||
New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Robert Wood Johnson University Hospital Issue, Series 2014A: | ||||||||||||||||
| 2,000 | 5.000%, 7/01/39 | 7/24 at 100.00 | A | 2,199,840 | ||||||||||||
| 630 | 5.000%, 7/01/43 | 7/24 at 100.00 | A | 691,198 | ||||||||||||
New Jersey Health Care Facilities Financing Authority, Revenue Bonds, RWJ Health Care Corporation, Series 2005B: | ||||||||||||||||
| 2,500 | 5.000%, 7/01/25 – RAAI Insured | 11/15 at 100.00 | AA | 2,503,825 | ||||||||||||
| 775 | 5.000%, 7/01/35 – RAAI Insured | 11/15 at 100.00 | AA | 775,791 | ||||||||||||
| 16,225 | 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 | A– | 6,019,962 | ||||||||||||
| 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 | A– | 406,001 | ||||||||||||
| 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 | A– | 772,860 | ||||||||||||
| 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– | 3,397,242 | ||||||||||||
| 40 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Health Care (continued) | ||||||||||||||||
| $ | 560 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Saint Luke’s Warren Hospital Obligated Group, Series 2013, 4.000%, 8/15/37 | 8/23 at 100.00 | A– | $ | 553,134 | ||||||||||
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 | 877,760 | ||||||||||||
| 100 | 5.000%, 7/01/26 | 7/16 at 100.00 | A2 | 102,607 | ||||||||||||
| 810 | 5.000%, 7/01/36 | 7/16 at 100.00 | A2 | 827,245 | ||||||||||||
| 54,720 | Total Health Care | 47,157,306 | ||||||||||||||
| Housing/Multifamily – 4.7% | ||||||||||||||||
| 1,770 | New Jersey Economic Development Authority, Revenue Bonds, West Campus Housing LLC – New Jersey City University Student Housing Project, Series 2015, 5.000%, 7/01/47 | 7/25 at 100.00 | BBB– | 1,744,901 | ||||||||||||
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 | 2,286,989 | ||||||||||||
| 1,100 | 5.875%, 6/01/42 | 6/20 at 100.00 | Baa3 | 1,218,679 | ||||||||||||
| 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 | AA– | 3,136,350 | ||||||||||||
New Jersey Housing and Mortgage Finance Agency, Multifamily Housing Revenue Bonds, Series 2013-2: | ||||||||||||||||
| 2,250 | 4.350%, 11/01/33 (Alternative Minimum Tax) | 11/22 at 100.00 | AA | 2,299,253 | ||||||||||||
| 1,125 | 4.600%, 11/01/38 (Alternative Minimum Tax) | 11/22 at 100.00 | AA | 1,165,579 | ||||||||||||
| 1,125 | 4.750%, 11/01/46 (Alternative Minimum Tax) | 11/22 at 100.00 | AA | 1,158,446 | ||||||||||||
| 660 | New Jersey Housing and Mortgage Finance Agency, Multifamily Revenue Bonds, Series 2015A, 4.000%, 11/01/45 | 11/24 at 100.00 | AA– | 648,602 | ||||||||||||
| 13,085 | Total Housing/Multifamily | 13,658,799 | ||||||||||||||
| Housing/Single Family – 0.8% | ||||||||||||||||
| 1,365 | 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 | 1,379,155 | ||||||||||||
| 860 | 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 | 893,480 | ||||||||||||
| 2,225 | Total Housing/Single Family | 2,272,635 | ||||||||||||||
| Industrials – 0.6% | ||||||||||||||||
| 1,660 | Gloucester County Improvement Authority, New Jersey, Solid Waste Resource Recovery Revenue Refunding Bonds, Waste Management Inc. Project, Series 1999B, 6.850%, 12/01/29 (Mandatory Put 12/01/17) | No Opt. Call | A– | 1,697,632 | ||||||||||||
| Long-Term Care – 0.9% | ||||||||||||||||
| 685 | 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 | 696,707 | ||||||||||||
| 300 | New Jersey Economic Development Authority, First Mortgage Fixed Rate Revenue Bonds, Cadbury Corporation, Series 1998A, 5.500%, 7/01/18 – ACA Insured | 1/16 at 100.00 | N/R | 295,428 | ||||||||||||
| 150 | New Jersey Economic Development Authority, Fixed Rate Revenue Bonds, Lions Gate Project, Series 2014, 5.250%, 1/01/44 | 1/24 at 100.00 | N/R | 153,288 | ||||||||||||
| Nuveen Investments | 41 |
Nuveen New Jersey Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Long-Term Care (continued) | ||||||||||||||||
| $ | 1,095 | New Jersey Economic Development Authority, Revenue Bonds, United Methodist Homes of New Jersey Obligated Group Issue, Refunding Series 2013, 5.000%, 7/01/34 | 7/23 at 100.00 | BBB– | $ | 1,154,765 | ||||||||||
| 405 | New Jersey Economic Development Authority, Revenue Bonds, United Methodist Homes of New Jersey Obligated Group Issue, Refunding Series 2014A, 5.000%, 7/01/29 | 7/24 at 100.00 | BBB– | 434,711 | ||||||||||||
| 2,635 | Total Long-Term Care | 2,734,899 | ||||||||||||||
| Tax Obligation/General – 10.9% | ||||||||||||||||
Cumberland County Improvement Authority, New Jersey, County General Obligation Revenue Bonds, Technical High School Project, Series 2014: | ||||||||||||||||
| 1,625 | 3.000%, 9/01/30 – AGM Insured | 9/24 at 100.00 | AA | 1,574,820 | ||||||||||||
| 1,775 | 5.000%, 9/01/39 – AGM Insured | 9/24 at 100.00 | AA | 1,986,314 | ||||||||||||
| 415 | Haddon Heights School District, Camden County, New Jersey, General Obligation Bonds, Refunding Series 2012, 3.250%, 1/01/30 | 1/23 at 100.00 | AA– | 412,635 | ||||||||||||
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– | 826,680 | ||||||||||||
| 1,270 | 4.000%, 9/15/27 | 9/22 at 100.00 | AA– | 1,384,440 | ||||||||||||
| 525 | Middletown Township Board of Education, Monmouth County, New Jersey, Refunding Series 2010, 5.000%, 8/01/27 | 8/20 at 100.00 | AA | 598,043 | ||||||||||||
| 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 | 626,870 | ||||||||||||
| 1,000 | 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– | 1,100,780 | ||||||||||||
| 610 | Monroe Township Board of Education, Middlesex County, New Jersey, General Obligation Bonds, Refunding Series 2015, 5.000%, 3/01/38 | 3/25 at 100.00 | AA– | 692,381 | ||||||||||||
Montclair Township, Essex County, New Jersey, General Obligation Bonds, Parking Utility, Refunding Series 2014A: | ||||||||||||||||
| 330 | 3.750%, 1/01/33 | 1/24 at 100.00 | AA+ | 334,029 | ||||||||||||
| 220 | 5.000%, 1/01/37 | 1/24 at 100.00 | AA+ | 247,898 | ||||||||||||
| 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+ | 635,026 | ||||||||||||
| 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 | A3 | 3,246,100 | ||||||||||||
| 1,735 | Passaic County, New Jersey, General Obligation Bonds, Refunding Series 2015, 5.000%, 2/01/20 | No Opt. Call | AA | 1,984,337 | ||||||||||||
Readington Township, New Jersey, General Obligation Bonds, General Improvement Series 2011: | ||||||||||||||||
| 875 | 5.125%, 1/15/28 | 1/21 at 100.00 | AA | 980,350 | ||||||||||||
| 875 | 5.250%, 1/15/30 | 1/21 at 100.00 | AA | 981,671 | ||||||||||||
South Brunswick Township Board of Education, Middlesex County, New Jersey, General Obligation Bonds, Refunding Series 2012: | ||||||||||||||||
| 450 | 4.000%, 12/01/23 | 6/22 at 100.00 | AA+ | 498,204 | ||||||||||||
| 305 | 4.000%, 12/01/24 | 6/22 at 100.00 | AA+ | 336,116 | ||||||||||||
| 1,010 | Sparta Township Board of Education, Sussex County, New Jersey, General Obligation Bonds, Refunding Series 2015, 5.000%, 2/15/33 | 2/25 at 100.00 | AA– | 1,158,197 | ||||||||||||
| 42 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/General (continued) | ||||||||||||||||
| $ | 1,630 | Sussex County, New Jersey, General Obligation Bonds, Refunding Series 2014, 4.000%, 2/15/21 | No Opt. Call | AA+ | $ | 1,812,641 | ||||||||||
| 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+ | 4,005,190 | ||||||||||||
| 2,515 | Union County Utilities Authority, New Jersey, Solid Waste System County Deficiency Revenue Bonds, Series 2011A, 5.000%, 6/15/41 | 6/21 at 100.00 | AA+ | 2,786,016 | ||||||||||||
| 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 | A2 | 2,140,067 | ||||||||||||
| 1,000 | West Deptford Township, Gloucester County, New Jersey, General Obligation Bonds, Refunding Bonds, Series 2014, 4.000%, 9/01/28 – BAM Insured | 9/24 at 100.00 | AA | 1,062,660 | ||||||||||||
| 28,655 | Total Tax Obligation/General | 31,411,465 | ||||||||||||||
| Tax Obligation/Limited – 18.4% | ||||||||||||||||
| 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 | 817,992 | ||||||||||||
| 825 | Essex County Improvement Authority, New Jersey, Project Consolidation Revenue Bonds, Series 2007, 5.250%, 12/15/22 – AMBAC Insured | No Opt. Call | Aa2 | 1,000,222 | ||||||||||||
| 2,395 | 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 | 2,947,790 | ||||||||||||
| 1,050 | Government of Guam, Business Privilege Tax Bonds, Series 2011A, 5.250%, 1/01/36 | 1/22 at 100.00 | A | 1,151,640 | ||||||||||||
New Jersey Economic Development Authority, Cigarette Tax Revenue Refunding Bonds, Series 2012: | ||||||||||||||||
| 1,385 | 5.000%, 6/15/19 | No Opt. Call | BBB+ | 1,508,126 | ||||||||||||
| 350 | 5.000%, 6/15/21 | No Opt. Call | BBB+ | 385,480 | ||||||||||||
| 2,850 | 5.000%, 6/15/25 | 6/22 at 100.00 | BBB+ | 3,066,799 | ||||||||||||
| 450 | 5.000%, 6/15/28 | No Opt. Call | BBB+ | 475,772 | ||||||||||||
| 1,000 | New Jersey Economic Development Authority, Lease Revenue Bonds, Liberty State Park Project, Series 2005C, 5.000%, 3/01/27 – AGM Insured | 11/15 at 100.00 | AA | 1,003,790 | ||||||||||||
| 1,000 | New Jersey Economic Development Authority, Revenue Bonds, Motor Vehicle Surcharge, Series 2004A, 5.000%, 7/01/29 – NPFG Insured | 11/15 at 100.00 | AA– | 1,005,620 | ||||||||||||
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 | 87,610 | ||||||||||||
| 145 | 5.125%, 6/15/37 | 6/17 at 100.00 | Baa3 | 148,158 | ||||||||||||
| 1,500 | New Jersey Economic Development Authority, School Facilities Construction Financing Program Bonds, Refunding Series 2014PP, 5.000%, 6/15/26 | 6/24 at 100.00 | A– | 1,586,625 | ||||||||||||
New Jersey Economic Development Authority, School Facilities Construction Financing Program Bonds, Refunding Series 2015WW: | ||||||||||||||||
| 370 | 5.000%, 6/15/37 | 6/25 at 100.00 | A– | 369,970 | ||||||||||||
| 4,000 | 5.250%, 6/15/40 | 6/25 at 100.00 | A– | 4,076,360 | ||||||||||||
New Jersey Health Care Facilities Financing Authority, State Contract Bonds, Hospital Asset Transformation Program, Series 2008A: | ||||||||||||||||
| 3,245 | 5.000%, 10/01/28 | 10/18 at 100.00 | A– | 3,521,442 | ||||||||||||
| 1,950 | 5.250%, 10/01/38 | 10/18 at 100.00 | A– | 2,085,369 | ||||||||||||
| 2,000 | New Jersey Health Care Facilities Financing Authority, State Contract Bonds, Hospital Asset Transformation Program, Series 2009A, 5.750%, 10/01/31 | 10/19 at 100.00 | A– | 2,219,580 | ||||||||||||
| Nuveen Investments | 43 |
Nuveen New Jersey Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
| $ | 14,635 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Capital Appreciation Series 2010A, 0.000%, 12/15/30 | No Opt. Call | A– | $ | 6,229,827 | ||||||||||
| 1,900 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Refunding Series 2006A, 5.500%, 12/15/22 | No Opt. Call | A– | 2,065,699 | ||||||||||||
New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2006C: | ||||||||||||||||
| 4,000 | 0.000%, 12/15/32 – AGM Insured | No Opt. Call | AA | 1,632,120 | ||||||||||||
| 4,000 | 0.000%, 12/15/33 – AGM Insured | No Opt. Call | AA | 1,534,000 | ||||||||||||
| 5,450 | 0.000%, 12/15/34 – AGM Insured | No Opt. Call | AA | 1,975,952 | ||||||||||||
| 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– | 518,600 | ||||||||||||
| 1,510 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2010D, 5.000%, 12/15/24 | No Opt. Call | A– | 1,591,797 | ||||||||||||
| 1,500 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2012AA, 5.000%, 6/15/38 | No Opt. Call | A– | 1,501,605 | ||||||||||||
| 1,140 | Passaic County Improvement Authority, New Jersey, Lease Revenue Bonds, Preakness Healthcare Center Expansion Project, Refunding Series 2015, 3.750%, 5/01/36 | 5/25 at 100.00 | AA | 1,126,217 | ||||||||||||
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 | 1,673,762 | ||||||||||||
| 2,000 | 3.500%, 5/01/35 | 5/22 at 100.00 | Aa3 | 1,971,920 | ||||||||||||
| 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 | Ca | 340,902 | ||||||||||||
| 3,000 | Union County Improvement Authority, New Jersey, Lease Revenue Refunding Bonds, City of Plainfield – Park Madison Redevelopment Project, Series 2013A, 5.000%, 3/01/34 | No Opt. Call | AA+ | 3,659,790 | ||||||||||||
| 66,835 | Total Tax Obligation/Limited | 53,280,536 | ||||||||||||||
| Transportation – 14.9% | ||||||||||||||||
| 1,100 | Delaware River and Bay Authority, Delaware and New Jersey, Revenue Bonds, Series 2012A, 5.000%, 1/01/42 | 1/23 at 100.00 | A1 | 1,215,588 | ||||||||||||
Delaware River and Bay Authority, Delaware and New Jersey, Revenue Bonds, Series 2014A: | ||||||||||||||||
| 360 | 5.000%, 1/01/34 | 1/24 at 100.00 | A1 | 407,056 | ||||||||||||
| 1,510 | 4.125%, 1/01/39 | 1/24 at 100.00 | A1 | 1,570,989 | ||||||||||||
| 2,000 | 5.000%, 1/01/44 | 1/24 at 100.00 | A1 | 2,230,440 | ||||||||||||
Delaware River Joint Toll Bridge Commission, New Jersey and Pennsylvania, Bridge System Revenue Bonds, Refunding Series 2015: | ||||||||||||||||
| 215 | 3.000%, 7/01/27 – BAM Insured | 7/25 at 100.00 | AA | 211,979 | ||||||||||||
| 1,635 | 4.000%, 7/01/35 – BAM Insured | 7/25 at 100.00 | AA | 1,669,646 | ||||||||||||
Delaware River Joint Toll Bridge Commission, Pennsylvania, Revenue Bonds, Refunding Series 2012A: | ||||||||||||||||
| 500 | 5.000%, 7/01/26 | 7/22 at 100.00 | A1 | 570,475 | ||||||||||||
| 500 | 3.000%, 7/01/28 | 7/22 at 100.00 | A1 | 497,825 | ||||||||||||
| 1,760 | Delaware River Port Authority, New Jersey and Pennsylvania, Revenue Bonds, Series 2013, 5.000%, 1/01/40 | 1/24 at 100.00 | A | 1,962,787 | ||||||||||||
Delaware River Port Authority, Pennsylvania and New Jersey, Revenue Refunding Bonds, Port District Project, Series 2012: | ||||||||||||||||
| 1,000 | 5.000%, 1/01/24 | No Opt. Call | BBB | 1,136,310 | ||||||||||||
| 1,095 | 5.000%, 1/01/26 | No Opt. Call | BBB | 1,232,400 | ||||||||||||
| 1,100 | 5.000%, 1/01/27 | No Opt. Call | BBB | 1,234,574 | ||||||||||||
| 44 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Transportation (continued) | ||||||||||||||||
| $ | 1,255 | New Jersey Economic Development Authority, Private Activity Bonds, The Goethals Bridge Replacement Project, Series 2013, 5.625%, 1/01/52 (Alternative Minimum Tax) | 1/24 at 100.00 | BBB– | $ | 1,368,703 | ||||||||||
New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental Airlines Inc., Series 1999: | ||||||||||||||||
| 400 | 5.125%, 9/15/23 (Alternative Minimum Tax) | 9/15 at 100.00 | BB– | 436,928 | ||||||||||||
| 800 | 5.250%, 9/15/29 (Alternative Minimum Tax) | 9/22 at 101.00 | BB– | 871,304 | ||||||||||||
| 300 | New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental Airlines Inc., Series 2000A & 2000B, 5.625%, 11/15/30 (Alternative Minimum Tax) | 3/24 at 101.00 | BB– | 336,807 | ||||||||||||
New Jersey Turnpike Authority, Revenue Bonds, Series 1991C: | ||||||||||||||||
| 415 | 6.500%, 1/01/16 – NPFG Insured | No Opt. Call | AA– | 423,570 | ||||||||||||
| 75 | 6.500%, 1/01/16 | No Opt. Call | A3 | 76,549 | ||||||||||||
| 1,300 | New Jersey Turnpike Authority, Revenue Bonds, Series 2005A, 5.250%, 1/01/29 – AGM Insured | No Opt. Call | AA | 1,590,524 | ||||||||||||
| 3,500 | New Jersey Turnpike Authority, Revenue Bonds, Series 2009I, 5.000%, 1/01/35 | 1/20 at 100.00 | A+ | 3,866,065 | ||||||||||||
| 1,380 | New Jersey Turnpike Authority, Revenue Bonds, Series 2012B, 5.000%, 1/01/28 | 1/23 at 100.00 | A+ | 1,562,353 | ||||||||||||
| 5,000 | New Jersey Turnpike Authority, Revenue Bonds, Series 2013A, 5.000%, 1/01/43 | 7/22 at 100.00 | A+ | 5,512,750 | ||||||||||||
| 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 | 1,003,239 | ||||||||||||
| 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 | AA– | 2,194,280 | ||||||||||||
| 1,680 | Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Forty Eighth Series 2007, 5.000%, 8/15/32 – AGM Insured | 8/17 at 100.00 | AA | 1,807,898 | ||||||||||||
| 1,810 | Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Seventy Ninth Series 2013, 5.000%, 12/01/43 | 12/23 at 100.00 | AA– | 2,038,911 | ||||||||||||
Port Authority of New York and New Jersey, Special Project Bonds, JFK International Air Terminal LLC, Sixth Series 1997: | ||||||||||||||||
| 2,000 | 5.750%, 12/01/22 – NPFG Insured (Alternative Minimum Tax) | 12/15 at 100.00 | AA– | 2,010,420 | ||||||||||||
| 3,125 | 5.750%, 12/01/25 – NPFG Insured (Alternative Minimum Tax) | 12/15 at 100.00 | AA– | 3,134,187 | ||||||||||||
| 870 | South Jersey Port Corporation, New Jersey, Marine Terminal Revenue Refunding Bonds, Series 2012Q, 3.000%, 1/01/24 | 1/23 at 100.00 | A3 | 796,050 | ||||||||||||
| 39,585 | Total Transportation | 42,970,607 | ||||||||||||||
| U.S. Guaranteed – 6.9% (4) | ||||||||||||||||
| 735 | Monmouth County Improvement Authority, New Jersey, Governmental Loan Revenue Bonds, Series 2005, 4.000%, 12/01/17 – AMBAC Insured (Pre-refunded 12/01/15) | 12/15 at 100.00 | N/R (4) | 739,586 | ||||||||||||
| 2,255 | New Jersey Building Authority, State Building Revenue Bonds, Series 2007A, 5.000%, 6/15/27 (Pre-refunded 6/15/16) | 6/16 at 100.00 | AA+ (4) | 2,340,149 | ||||||||||||
| 255 | 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) | 282,476 | ||||||||||||
New Jersey Economic Development Authority, School Facilities Construction Financing Program Bonds, Series 2007U: | ||||||||||||||||
| 525 | 5.000%, 9/01/37 – AMBAC Insured (Pre-refunded 9/01/17) | 9/17 at 100.00 | AAA | 570,575 | ||||||||||||
| 305 | 5.000%, 9/01/37 – AMBAC Insured (Pre-refunded 9/01/17) | 9/17 at 100.00 | A– (4) | 331,285 | ||||||||||||
| 420 | New Jersey Educational Facilities Authority, Revenue Bonds, Kean University, Series 2005B, 5.000%, 7/01/30 – NPFG Insured (Pre-refunded 7/01/16) | 7/16 at 100.00 | AA– (4) | 436,720 | ||||||||||||
| Nuveen Investments | 45 |
Nuveen New Jersey Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| U.S. Guaranteed (4) (continued) | ||||||||||||||||
| $ | 1,195 | New Jersey Educational Facilities Authority, Revenue Bonds, Kean University, Series 2007D, 5.000%, 7/01/32 – FGIC Insured (Pre-refunded 7/01/17) | 7/17 at 100.00 | AA– (4) | $ | 1,290,373 | ||||||||||
| 1,035 | New Jersey Educational Facilities Authority, Revenue Bonds, Montclair State University, Series 2006A, 5.000%, 7/01/36 – AMBAC Insured (Pre-refunded 7/01/16) | 7/16 at 100.00 | AA– (4) | 1,075,851 | ||||||||||||
| 2,500 | New Jersey Educational Facilities Authority, Revenue Bonds, University of Medicine and Dentistry of New Jersey, Refunding Series 2009B, 7.500%, 12/01/32 (Pre-refunded 6/01/19) | 6/19 at 100.00 | N/R (4) | 3,081,825 | ||||||||||||
| 1,510 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Hunterdon Medical Center, Series 2006, 5.125%, 7/01/35 (Pre-refunded 7/01/16) | 7/16 at 100.00 | A– (4) | 1,571,699 | ||||||||||||
| 2,000 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Hunterdon Medical Center, Series 2006B, 5.000%, 7/01/26 (Pre-refunded 7/01/16) | 7/16 at 100.00 | A– (4) | 2,079,620 | ||||||||||||
| 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 | AA (4) | 994,143 | ||||||||||||
New Jersey Turnpike Authority, Revenue Bonds, Series 1991C: | ||||||||||||||||
| 50 | 6.500%, 1/01/16 (ETM) | No Opt. Call | AA+ (4) | 51,064 | ||||||||||||
| 260 | 6.500%, 1/01/16 – NPFG Insured (ETM) | No Opt. Call | AA– (4) | 265,530 | ||||||||||||
| 10 | 6.500%, 1/01/16 – AMBAC Insured (ETM) | No Opt. Call | A3 (4) | 10,213 | ||||||||||||
| 5 | 6.500%, 1/01/16 – NPFG Insured (ETM) | No Opt. Call | AA– (4) | 5,106 | ||||||||||||
| 35 | 6.500%, 1/01/16 (ETM) | No Opt. Call | A3 (4) | 35,744 | ||||||||||||
| 200 | 6.500%, 1/01/16 – NPFG Insured (ETM) | No Opt. Call | AA– (4) | 204,254 | ||||||||||||
| 4,000 | Puerto Rico Public Finance Corporation, Commonwealth Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 – AMBAC Insured (ETM) | No Opt. Call | Aaa | 4,750,600 | ||||||||||||
| 18,140 | Total U.S. Guaranteed | 20,116,813 | ||||||||||||||
| Utilities – 1.7% | ||||||||||||||||
| 2,430 | Essex County Improvement Authority, New Jersey, Solid Waste Disposal Revenue Bonds, Covanta Project, Series 2015, 5.250%, 7/01/45 (Alternative Minimum Tax) | 7/20 at 100.00 | Ba2 | 2,439,574 | ||||||||||||
New Jersey Economic Development Authority, Energy Facilities Revenue Bonds, UMM Energy Partners, LLC Project, Series 2012A: | ||||||||||||||||
| 500 | 5.000%, 6/15/37 (Alternative Minimum Tax) | No Opt. Call | Baa3 | 522,270 | ||||||||||||
| 1,000 | 5.125%, 6/15/43 (Alternative Minimum Tax) | 6/22 at 100.00 | Baa3 | 1,051,070 | ||||||||||||
| 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+ | 1,027,008 | ||||||||||||
| 4,890 | Total Utilities | 5,039,922 | ||||||||||||||
| Water and Sewer – 3.0% | ||||||||||||||||
| 2,175 | New Jersey Economic Development Authority, Water Facilities Revenue Bonds, Middlesex Water Company, Series 2012C, 4.250%, 10/01/47 (Alternative Minimum Tax) | 10/22 at 100.00 | A+ | 2,191,160 | ||||||||||||
| 1,040 | New Jersey Economic Development Authority, Water Facilities Revenue Bonds, Middlesex Water Company, Series 2012C, 5.000%, 10/01/23 | No Opt. Call | A+ | 1,222,551 | ||||||||||||
| 1,770 | New Jersey Environmental Infrastructure Trust, Environmental Infrastructure Bonds, Tender Option Bond Trust 4729, 7.385%, 9/01/21 (IF) (5) | No Opt. Call | AAA | 2,244,927 | ||||||||||||
| 46 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Water and Sewer (continued) | ||||||||||||||||
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 | $ | 1,678,215 | ||||||||||
| 1,210 | 5.000%, 6/01/42 – NPFG Insured | 6/22 at 100.00 | A | 1,307,635 | ||||||||||||
| 7,695 | Total Water and Sewer | 8,644,488 | ||||||||||||||
| $ | 293,080 | Total Long-Term Investments (cost $269,458,813) | 282,186,225 | |||||||||||||
Other Assets Less Liabilities – 2.5% | 7,098,528 | |||||||||||||||
Net Assets – 100% | $ | 289,284,753 | ||||||||||||||
| (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. |
| (ETM) | Escrowed to maturity. |
| (IF) | Inverse floating rate investment. |
See accompanying notes to financial statements.
| Nuveen Investments | 47 |
Nuveen New York Municipal Bond Fund
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
LONG-TERM INVESTMENTS – 99.9% | ||||||||||||||||
MUNICIPAL BONDS – 99.9% | ||||||||||||||||
| Consumer Staples – 2.6% | ||||||||||||||||
| $ | 2,220 | Nassau County Tobacco Settlement Corporation, New York, Tobacco Settlement Asset-Backed Bonds, Series 2006A-3, 5.000%, 6/01/35 | 6/16 at 100.00 | B | $ | 1,955,554 | ||||||||||
| 200 | New York Counties Tobacco Trust II, Tobacco Settlement Pass-Through Bonds, Series 2001, 5.250%, 6/01/25 | 12/15 at 100.00 | A1 | 200,266 | ||||||||||||
| 35 | Rensselaer Tobacco Asset Securitization Corporation, New York, Tobacco Settlement Asset-Backed Bonds, Series 2001A, 5.200%, 6/01/25 | 11/15 at 100.00 | A1 | 34,436 | ||||||||||||
| 6,650 | Suffolk Tobacco Asset Securitization Corporation, New York, Tobacco Settlement Asset-Backed Bonds, Series 2008C, 6.625%, 6/01/44 | 6/22 at 100.00 | BB– | 6,630,449 | ||||||||||||
TSASC Inc., New York, Tobacco Asset-Backed Bonds, Series 2006: | ||||||||||||||||
| 1,575 | 4.750%, 6/01/22 | 6/16 at 100.00 | BBB– | 1,581,111 | ||||||||||||
| 1,325 | 5.000%, 6/01/26 | 6/16 at 100.00 | BB– | 1,345,365 | ||||||||||||
| 7,335 | 5.125%, 6/01/42 | 6/16 at 100.00 | B | 6,399,494 | ||||||||||||
| 19,340 | Total Consumer Staples | 18,146,675 | ||||||||||||||
| Education and Civic Organizations – 18.8% | ||||||||||||||||
| 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 | 676,335 | ||||||||||||
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 | B | 515,455 | ||||||||||||
| 1,000 | 5.000%, 4/01/27 | 4/17 at 100.00 | B | 909,520 | ||||||||||||
| 290 | 5.000%, 4/01/37 | 4/17 at 100.00 | B | 238,722 | ||||||||||||
| 3,875 | Brooklyn Arena Local Development Corporation, New York, Payment in Lieu of Taxes Revenue Bonds, Barclays Center Project, Series 2009, 6.375%, 7/15/43 | 1/20 at 100.00 | BBB– | 4,493,993 | ||||||||||||
| 2,190 | Buffalo and Erie County Industrial Land Development Corporation, New York, Revenue Bonds, Enterprise Charter School Project, Series 2011A, 7.500%, 12/01/40 | 12/20 at 100.00 | B | 2,241,334 | ||||||||||||
Build New York City Resource Corporation, New York, Revenue Bonds, Children?s Aid Society Project, Series 2015: | ||||||||||||||||
| 2,500 | 5.000%, 7/01/40 | 7/25 at 100.00 | A+ | 2,783,175 | ||||||||||||
| 2,500 | 5.000%, 7/01/45 | 7/25 at 100.00 | A+ | 2,767,925 | ||||||||||||
Build NYC Resource Corp, New York, Revenue Bonds, City University of NY-Queens College, Q Student Residences, LLC Project, Refunding Series 2014: | ||||||||||||||||
| 1,000 | �� | 5.000%, 6/01/38 | 6/24 at 100.00 | Aa2 | 1,122,980 | |||||||||||
| 4,050 | 5.000%, 6/01/43 | 6/24 at 100.00 | Aa2 | 4,515,588 | ||||||||||||
Build NYC Resource Corporation, New York, Revenue Bonds, Bronx Charter School for Excellence, Series 2013A: | ||||||||||||||||
| 1,630 | 5.000%, 4/01/33 | 4/23 at 100.00 | BBB– | 1,715,754 | ||||||||||||
| 1,000 | 5.500%, 4/01/43 | 4/23 at 100.00 | BBB– | 1,082,110 | ||||||||||||
| 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– | 218,797 | ||||||||||||
| 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 | Baa1 | 1,957,988 | ||||||||||||
| 48 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Education and Civic Organizations (continued) | ||||||||||||||||
| $ | 2,655 | Dormitory Authority of the State of New York, General Revenue Bonds, Manhattan College, Series 2007A, 5.000%, 7/01/32 – RAAI Insured | 7/17 at 100.00 | AA | $ | 2,795,396 | ||||||||||
| 1,055 | 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– | 1,343,384 | ||||||||||||
| 595 | Dormitory Authority of the State of New York, General Revenue Bonds, Saint Johns University, Series 2015A, 5.000%, 7/01/37 | 7/25 at 100.00 | A– | 666,584 | ||||||||||||
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 | AA– | 1,916,910 | ||||||||||||
| 735 | 5.250%, 7/01/34 – FGIC Insured | No Opt. Call | AA– | 846,169 | ||||||||||||
| 2,760 | Dormitory Authority of the State of New York, Icahn School of Medicine at Mount Sinai, Revenue Bonds, Series 2015A, 5.000%, 7/01/40 | 7/25 at 100.00 | A– | 3,023,580 | ||||||||||||
| 1,500 | Dormitory Authority of the State of New York, Lease Revenue Bonds, State University Dormitory Facilities, Series 2013A, 5.000%, 7/01/27 | 7/23 at 100.00 | Aa3 | 1,754,190 | ||||||||||||
| 85 | Dormitory Authority of the State of New York, Revenue Bonds, Barnard College, Series 2007A, 5.000%, 7/01/37 – NPFG Insured | 7/17 at 100.00 | AA– | 90,096 | ||||||||||||
| 1,600 | Dormitory Authority of the State of New York, Revenue Bonds, Barnard College, Series 2015A, 5.000%, 7/01/43 | 7/25 at 100.00 | A1 | 1,795,312 | ||||||||||||
| 7,740 | Dormitory Authority of the State of New York, Revenue Bonds, Columbia University, Series 2011A, 5.000%, 10/01/41 | 4/21 at 100.00 | AAA | 8,858,198 | ||||||||||||
| 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 | 885,255 | ||||||||||||
| 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– | 396,025 | ||||||||||||
| 4,590 | Dormitory Authority of the State of New York, Revenue Bonds, New School University, Series 2015A, 5.000%, 7/01/45 | 7/25 at 100.00 | A– | 5,097,883 | ||||||||||||
| 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– | 1,666,995 | ||||||||||||
| 3,450 | Dormitory Authority of the State of New York, Revenue Bonds, New York University, Series 2015A, 5.000%, 7/01/35 | No Opt. Call | AA– | 4,000,206 | ||||||||||||
| 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 | 1,358,844 | ||||||||||||
| 5,000 | Dormitory Authority of the State of New York, Revenue Bonds, Pratt Institute, Series 2015A, 5.000%, 7/01/44 | 7/24 at 100.00 | A3 | 5,485,750 | ||||||||||||
| 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 | 276,015 | ||||||||||||
| 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 | 1,308,727 | ||||||||||||
New Rochelle Corporation, New York, Local Development Revenue Bonds, Iona College Project, Series 2015A: | ||||||||||||||||
| 160 | 5.000%, 7/01/40 | 7/25 at 100.00 | BBB | 172,894 | ||||||||||||
| 175 | 5.000%, 7/01/45 | 7/25 at 100.00 | BBB | 188,071 | ||||||||||||
| 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 | AA– | 2,696,000 | ||||||||||||
| Nuveen Investments | 49 |
Nuveen New York Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Education and Civic Organizations (continued) | ||||||||||||||||
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– | $ | 5,712,041 | ||||||||||
| 2,000 | 5.000%, 8/01/36 | 8/16 at 100.00 | A– | 2,055,800 | ||||||||||||
New York City Industrial Development Agency, New York, PILOT Revenue Bonds, Queens Baseball Stadium Project, Series 2006: | ||||||||||||||||
| 4,000 | 5.000%, 1/01/31 – AMBAC Insured | 1/17 at 100.00 | BB+ | 4,108,920 | ||||||||||||
| 1,060 | 5.000%, 1/01/39 – AMBAC Insured | 1/17 at 100.00 | BB+ | 1,084,942 | ||||||||||||
| 1,795 | 4.750%, 1/01/42 – AMBAC Insured | 1/17 at 100.00 | BB+ | 1,827,418 | ||||||||||||
| 5,170 | 5.000%, 1/01/46 – AMBAC Insured | 1/17 at 100.00 | BB+ | 5,286,222 | ||||||||||||
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 | 741,830 | ||||||||||||
| 2,500 | 5.000%, 3/01/36 – NPFG Insured | 9/16 at 100.00 | AA– | 2,584,050 | ||||||||||||
| 2,140 | 4.500%, 3/01/39 – FGIC Insured | 9/16 at 100.00 | BBB | 2,163,155 | ||||||||||||
| 1,150 | 4.750%, 3/01/46 – NPFG Insured | 9/16 at 100.00 | AA– | 1,184,431 | ||||||||||||
| 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+ | 2,238,760 | ||||||||||||
| 740 | 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 | 815,095 | ||||||||||||
| 5,375 | New York City Trust for Cultural Resources, New York, Revenue Bonds, Wildlife Conservation Society, Series 2013A, 5.000%, 8/01/33 | 8/23 at 100.00 | AA– | 6,162,061 | ||||||||||||
New York City Trust for Cultural Resources, New York, Revenue Bonds, Wildlife Conservation Society, Series 2014A: | ||||||||||||||||
| 3,800 | 5.000%, 8/01/38 | 8/23 at 100.00 | AA– | 4,259,382 | ||||||||||||
| 10,000 | 5.000%, 8/01/43 | 8/23 at 100.00 | AA– | 11,098,400 | ||||||||||||
Onondaga Civic Development Corporation, New York, Revenue Bonds, Le Moyne College Project, Series 2012: | ||||||||||||||||
| 1,000 | 5.000%, 7/01/32 | 7/22 at 100.00 | Baa2 | 1,067,230 | ||||||||||||
| 1,745 | 5.000%, 7/01/42 | 7/22 at 100.00 | Baa2 | 1,838,741 | ||||||||||||
| 615 | 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 | 653,222 | ||||||||||||
| 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– | 1,789,472 | ||||||||||||
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 | 1,412,789 | ||||||||||||
| 2,300 | 6.250%, 10/15/40 | 10/20 at 100.00 | BB | 2,432,595 | ||||||||||||
| 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 | 1,129,800 | ||||||||||||
| 122,245 | Total Education and Civic Organizations | 133,508,516 | ||||||||||||||
| Financials – 1.5% | ||||||||||||||||
| 5,710 | New York Liberty Development Corporation, Revenue Bonds, Goldman Sachs Headquarters Issue, Series 2005, 5.250%, 10/01/35 | No Opt. Call | A | 6,697,430 | ||||||||||||
| 3,475 | New York Liberty Development Corporation, Revenue Bonds, Goldman Sachs Headquarters Issue, Series 2007, 5.500%, 10/01/37 | No Opt. Call | A | 4,205,758 | ||||||||||||
| 9,185 | Total Financials | 10,903,188 | ||||||||||||||
| 50 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Health Care – 6.4% | ||||||||||||||||
| $ | 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 | 11/15 at 100.00 | AA– | $ | 1,917,315 | ||||||||||
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 | 11/15 at 100.00 | AA– | 3,011,820 | ||||||||||||
| 1,775 | 5.000%, 2/01/28 – FGIC Insured | 11/15 at 100.00 | AA– | 1,781,727 | ||||||||||||
| 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 | A | 610,209 | ||||||||||||
| 2,500 | 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 | 2,718,575 | ||||||||||||
Dormitory Authority of the State of New York, Orange Regional Medical Center Obligated Group Revenue Bonds, Series 2008: | ||||||||||||||||
| 6,895 | 6.125%, 12/01/29 | 12/18 at 100.00 | Ba1 | 7,596,497 | ||||||||||||
| 4,500 | 6.250%, 12/01/37 | 12/18 at 100.00 | Ba1 | 4,926,735 | ||||||||||||
| 1,000 | Dormitory Authority of the State of New York, Orange Regional Medical Center Obligated Group Revenue Bonds, Series 2015, 5.000%, 12/01/29 | No Opt. Call | Ba1 | 1,063,400 | ||||||||||||
| 2,300 | Dormitory Authority of the State of New York, Revenue Bonds, North Shore Long Island Jewish Obligated Group, Series 2015A, 5.000%, 5/01/43 | 5/25 at 100.00 | A | 2,530,230 | ||||||||||||
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 | 623,981 | ||||||||||||
| 950 | 5.500%, 4/01/34 | 10/20 at 100.00 | AA | 1,080,853 | ||||||||||||
Monroe County Industrial Development Corporation, New York, FHA Insured Mortgage Revenue Bonds, Unity Hospital of Rochestor Project, Series 2010: | ||||||||||||||||
| 2,720 | 5.750%, 8/15/35 | 2/21 at 100.00 | AA | 3,202,528 | ||||||||||||
| 5,000 | 5.500%, 8/15/40 | 2/21 at 100.00 | AA | 5,806,500 | ||||||||||||
| 1,395 | Monroe County Industrial Development Corporation, New York, Revenue Bonds, Rochester General Hospital Project, Series 2013A., 5.000%, 12/01/42 | 12/22 at 100.00 | A– | 1,486,931 | ||||||||||||
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– | 1,064,510 | ||||||||||||
| 500 | 5.250%, 12/01/32 | 12/17 at 100.00 | A– | 531,805 | ||||||||||||
| 1,965 | Suffolk County Economic Development Corporation, New York, Revenue Refunding Bonds, Catholic Health Services of Long Island Obligated Group Project, Series 2011, 5.000%, 7/01/28 | 7/21 at 100.00 | BBB+ | 2,162,758 | ||||||||||||
| 2,000 | Yonkers Industrial Development Agency, New York, Revenue Bonds, St. John’s Riverside Hospital, Series 2001A, 7.125%, 7/01/31 | 1/16 at 100.00 | B+ | 2,003,540 | ||||||||||||
| 1,060 | Yonkers Industrial Development Agency, New York, Revenue Bonds, St. John’s Riverside Hospital, Series 2001B, 7.125%, 7/01/31 | 11/15 at 100.00 | B+ | 1,061,876 | ||||||||||||
| 41,565 | Total Health Care | 45,181,790 | ||||||||||||||
| Housing/Multifamily – 1.4% | ||||||||||||||||
| 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 | 1,747,504 | ||||||||||||
| 215 | East Syracuse Housing Authority, New York, FHA-Insured Section 8 Assisted Revenue Refunding Bonds, Bennet Project, Series 2001A, 6.700%, 4/01/21 | 10/15 at 100.00 | AA | 215,677 | ||||||||||||
| Nuveen Investments | 51 |
Nuveen New York Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Housing/Multifamily (continued) | ||||||||||||||||
| $ | 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 | 6/16 at 100.00 | BBB– | $ | 1,005,380 | ||||||||||
| 5 | New York City Housing Development Corporation, New York, Multifamily Housing Revenue Bonds, Series 2002A, 5.500%, 11/01/34 (Alternative Minimum Tax) | 11/15 at 100.00 | AA+ | 5,012 | ||||||||||||
| 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+ | 887,704 | ||||||||||||
| 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 | 2,561,700 | ||||||||||||
| 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 | 720,066 | ||||||||||||
New York State Housing Finance Agency, Mortgage Revenue Refunding Bonds, Housing Project, Series 1996A: | ||||||||||||||||
| 20 | 6.100%, 11/01/15 – AGM Insured | 10/15 at 100.00 | AA | 20,101 | ||||||||||||
| 190 | 6.125%, 11/01/20 – AGM Insured | 11/15 at 100.00 | AA | 190,507 | ||||||||||||
| 1,660 | 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 | 1,695,308 | ||||||||||||
| 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) | 2/16 at 100.00 | Aa1 | 1,001,030 | ||||||||||||
| 9,750 | Total Housing/Multifamily | 10,049,989 | ||||||||||||||
| Industrials – 1.9% | ||||||||||||||||
| 460 | Build New York City Resource Corporation, New York, Solid Waste Disposal Revenue Bonds, Pratt Paper NY, Inc. Project, Series 2014, 5.000%, 1/01/35 (Alternative Minimum Tax) | 1/25 at 100.00 | N/R | 489,242 | ||||||||||||
| 12,520 | New York Liberty Development Corporation, New York, Liberty Revenue Bonds, 3 World Trade Center Project, Class 1 Series 2014, 5.000%, 11/15/44 | 11/24 at 100.00 | N/R | 12,583,351 | ||||||||||||
| 12,980 | Total Industrials | 13,072,593 | ||||||||||||||
| Long-Term Care – 1.9% | ||||||||||||||||
| 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+ | 1,153,439 | ||||||||||||
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 | Aa2 | 334,097 | ||||||||||||
| 310 | 6.000%, 7/01/27 – AMBAC Insured | 7/19 at 100.00 | �� | Aa2 | 357,635 | |||||||||||
| 330 | 6.000%, 7/01/28 – AMBAC Insured | 7/19 at 100.00 | Aa2 | 380,843 | ||||||||||||
| 350 | 6.000%, 7/01/29 – AMBAC Insured | 7/19 at 100.00 | Aa2 | 403,851 | ||||||||||||
| 1,460 | 6.000%, 7/01/36 – AMBAC Insured | 7/19 at 100.00 | Aa2 | 1,675,000 | ||||||||||||
| 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 | Aa2 | 1,146,470 | ||||||||||||
| 2,000 | Dormitory Authority of the State of New York, Insured Revenue Bonds, NYSARC Inc., Series 2005A, 5.000%, 7/01/34 – AGM Insured | 11/15 at 100.00 | AA | 2,006,900 | ||||||||||||
| 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 | Baa3 | 660,426 | ||||||||||||
Dormitory Authority of the State of New York, Revenue Bonds, Providence Rest, Series 2005: | ||||||||||||||||
| 50 | 5.125%, 7/01/30 – ACA Insured | 11/15 at 100.00 | N/R | 50,030 | ||||||||||||
| 555 | 5.000%, 7/01/35 – ACA Insured | 11/15 at 100.00 | N/R | 555,183 | ||||||||||||
| 52 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Long-Term Care (continued) | ||||||||||||||||
| $ | 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 | $ | 1,724,106 | ||||||||||
New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Special Needs Facilities Pooled Program, Series 2008A-1: | ||||||||||||||||
| 630 | 5.800%, 7/01/23 | 7/16 at 101.00 | N/R | 620,651 | ||||||||||||
| 975 | 6.100%, 7/01/28 | 7/16 at 101.00 | N/R | 952,136 | ||||||||||||
| 210 | 6.200%, 7/01/33 | 7/16 at 101.00 | N/R | 203,813 | ||||||||||||
| 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– | 1,335,961 | ||||||||||||
| 90 | Suffolk County Industrial Development Agency, New York, Revenue Bonds, Special Needs Facilities Pooled Program, Series 2001C-1, 7.250%, 7/01/16 | 1/16 at 100.00 | N/R | 90,927 | ||||||||||||
| 12,895 | Total Long-Term Care | 13,651,468 | ||||||||||||||
| Tax Obligation/General – 4.5% | ||||||||||||||||
| 1,035 | Mount Sinai Union Free School District, Suffolk County, New York, General Obligation Refunding Bonds, Series 1992, 6.200%, 2/15/16 – AMBAC Insured | No Opt. Call | Aa3 | 1,062,490 | ||||||||||||
| 1,240 | New York City, New York, General Obligation Bonds, Fiscal 2008 Series D, 5.125%, 12/01/26 | 12/17 at 100.00 | AA | 1,360,801 | ||||||||||||
New York City, New York, General Obligation Bonds, Fiscal 2012 Series A-1: | ||||||||||||||||
| 1,900 | 5.000%, 10/01/30 | No Opt. Call | AA | 2,198,148 | ||||||||||||
| 1,915 | 5.000%, 10/01/31 | No Opt. Call | AA | 2,185,264 | ||||||||||||
| 3,000 | 5.000%, 10/01/33 | 10/22 at 100.00 | AA | 3,394,560 | ||||||||||||
New York City, New York, General Obligation Bonds, Fiscal 2013 Series F-1: | ||||||||||||||||
| 1,810 | 5.000%, 3/01/32 | 3/23 at 100.00 | AA | 2,048,920 | ||||||||||||
| 6,100 | 5.000%, 3/01/37 | 3/23 at 100.00 | AA | 6,822,667 | ||||||||||||
| 2,000 | New York City, New York, General Obligation Bonds, Fiscal 2014 Series D-1, 5.000%, 8/01/30 | 8/23 at 100.00 | AA | 2,302,780 | ||||||||||||
| 2,500 | New York City, New York, General Obligation Bonds, Fiscal 2015 Series A, 5.000%, 8/01/32 | 8/24 at 100.00 | AA | 2,848,700 | ||||||||||||
| 6,670 | New York City, New York, General Obligation Bonds, Series 2011D-I, 5.000%, 10/01/34 | No Opt. Call | AA | 7,639,484 | ||||||||||||
| 28,170 | Total Tax Obligation/General | 31,863,814 | ||||||||||||||
| Tax Obligation/Limited – 23.6% | ||||||||||||||||
| 835 | Albany Parking Authority, New York, Revenue Refunding Bonds, Series 1992A, 0.000%, 11/01/17 | No Opt. Call | N/R | 756,594 | ||||||||||||
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 | 2,166,200 | ||||||||||||
| 2,500 | 5.000%, 6/01/38 | 6/18 at 100.00 | Aa1 | 2,707,750 | ||||||||||||
| 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 | 11/15 at 100.00 | AA | 2,419,664 | ||||||||||||
| 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 | 1,684,470 | ||||||||||||
| 535 | Dormitory Authority of the State of New York, Revenue Bonds, State University Educational Facilities, Series 1993C, 5.250%, 5/15/19 | 11/15 at 100.00 | AA | 586,916 | ||||||||||||
| 4,025 | 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 | 4,400,613 | ||||||||||||
| Nuveen Investments | 53 |
Nuveen New York Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
| $ | 5,955 | Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose Series 2011C, 5.000%, 3/15/34 | No Opt. Call | AAA | $ | 6,829,015 | ||||||||||
| 1,000 | Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose Series 2012D, 5.000%, 2/15/37 | No Opt. Call | AAA | 1,120,000 | ||||||||||||
| 3,000 | Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose Series 2014C. Group C, 5.000%, 3/15/44 | 3/24 at 100.00 | AAA | 3,351,930 | ||||||||||||
| 6,000 | Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose Series 2015A, 5.000%, 3/15/31 | 3/25 at 100.00 | AAA | 6,959,280 | ||||||||||||
| 2,835 | Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose Series 2015B Group B, 5.000%, 2/15/32 | 2/25 at 100.00 | AAA | 3,274,765 | ||||||||||||
| 1,000 | Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose Series 2015B Group C, 5.000%, 2/15/38 | 2/25 at 100.00 | AAA | 1,138,410 | ||||||||||||
| 3,025 | 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 | 3,357,296 | ||||||||||||
Dormitory Authority of the State of New York, State Sales Tax Revenue Bonds, Series 2014A: | ||||||||||||||||
| 5,000 | 5.000%, 3/15/33 | 3/24 at 100.00 | AAA | 5,815,800 | ||||||||||||
| 2,500 | 5.000%, 3/15/37 | 3/24 at 100.00 | AAA | 2,871,100 | ||||||||||||
| 2,825 | 5.000%, 3/15/38 | 3/24 at 100.00 | AAA | 3,223,805 | ||||||||||||
| 12,000 | Hudson Yards Infrastructure Corporation, New York, Revenue Bonds, Senior Fiscal 2012 Series 2011A, 5.250%, 2/15/47 | 2/21 at 100.00 | A | 13,139,760 | ||||||||||||
| 11,675 | Hudson Yards Infrastructure Corporation, New York, Revenue Bonds, Series 2006A, 5.000%, 2/15/47 – FGIC Insured | 2/17 at 100.00 | A | 12,210,766 | ||||||||||||
| 4,000 | Monroe County Industrial Development Agency, New York, School Facility Revenue Bonds, Rochester Schools Modernization Project, Series 2013, 5.000%, 5/01/28 | 5/23 at 100.00 | AA | 4,592,360 | ||||||||||||
| 1,680 | Monroe Newpower Corporation, New York, Power Facilities Revenue Bonds, Series 2003, 5.500%, 1/01/34 | 1/16 at 100.00 | A– | 1,685,846 | ||||||||||||
| 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 | 8,213,400 | ||||||||||||
| 4,520 | 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 | 5,050,648 | ||||||||||||
| 8,500 | New York City Transitional Finance Authority, New York, Building Aid Revenue Bonds, Fiscal Series 2015S-2, 5.000%, 7/15/40 | 7/25 at 100.00 | AA | 9,666,455 | ||||||||||||
| 3,950 | New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Subordinate Fiscal 2013 Series I, 5.000%, 5/01/38 | 5/23 at 100.00 | AAA | 4,428,385 | ||||||||||||
New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Subordinate Fiscal 2014 Series B-1: | ||||||||||||||||
| 2,600 | 5.000%, 11/01/35 | 5/24 at 100.00 | AAA | 2,971,748 | ||||||||||||
| 2,500 | 5.000%, 11/01/36 | 5/24 at 100.00 | AAA | 2,851,350 | ||||||||||||
| 5,715 | New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Subordinate Fiscal 2014 Series D-1, 5.000%, 2/01/35 | 2/24 at 100.00 | AAA | 6,511,614 | ||||||||||||
| 10,000 | New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Subordinate Fiscal 2015 Series E-1, 5.000%, 2/01/41 | 2/25 at 100.00 | AAA | 11,370,500 | ||||||||||||
| 9,000 | New York City Transitional Finance Authority, New York, Future Tax Secured Revenue Bonds, Subordinate Lien Series 2011C, 5.000%, 11/01/39 | 11/20 at 100.00 | AAA | 10,234,080 | ||||||||||||
| 54 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
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 | $ | 5,537,022 | ||||||||||
| 60 | 5.000%, 12/15/27 (UB) | 12/17 at 100.00 | AAA | 65,743 | ||||||||||||
| 5,500 | New York State Thruway Authority, Highway and Bridge Trust Fund Bonds, Series 2005B, Trust 2800, 5.500%, 4/01/20 – AMBAC Insured (UB) (4) | No Opt. Call | AA+ | 6,518,490 | ||||||||||||
| 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+ | 5,706,300 | ||||||||||||
| 2,385 | 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+ | 2,420,203 | ||||||||||||
| 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 | Baa3 | 1,681,410 | ||||||||||||
| 150,380 | Total Tax Obligation/Limited | 167,519,688 | ||||||||||||||
| Transportation – 14.8% | ||||||||||||||||
| 2,125 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Refunding Series 2012H, 5.000%, 11/15/31 | No Opt. Call | AA– | 2,442,709 | ||||||||||||
| 4,845 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2010D, 5.250%, 11/15/40 | 11/20 at 100.00 | AA– | 5,417,582 | ||||||||||||
| 3,520 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2013A, 5.000%, 11/15/31 | 5/23 at 100.00 | AA– | 3,975,136 | ||||||||||||
| 1,000 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2013C, 5.000%, 11/15/32 | 5/23 at 100.00 | AA– | 1,122,740 | ||||||||||||
| 2,500 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2013E, 5.000%, 11/15/32 | 11/23 at 100.00 | AA– | 2,824,300 | ||||||||||||
Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2014B: | ||||||||||||||||
| 2,000 | 5.250%, 11/15/38 | 5/24 at 100.00 | AA– | 2,289,660 | ||||||||||||
| 2,325 | 5.250%, 11/15/44 | 5/24 at 100.00 | AA– | 2,635,643 | ||||||||||||
Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2015C-1: | ||||||||||||||||
| 5,000 | 5.250%, 11/15/29 | 11/25 at 100.00 | AA– | 5,982,500 | ||||||||||||
| 8,610 | 5.250%, 11/15/31 | 11/25 at 100.00 | AA– | 10,185,458 | ||||||||||||
| 3,000 | New York City Industrial Development Agency, New York, American Airlines-JFK International Airport Special Facility Revenue Bonds, Series 2005, 7.750%, 8/01/31 (Alternative Minimum Tax) | 8/16 at 101.00 | N/R | 3,184,410 | ||||||||||||
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 (5) | 10/17 at 100.00 | N/R | 1,000,720 | ||||||||||||
| 2,000 | 5.875%, 10/01/46 (6) | 10/17 at 102.00 | N/R | 714,800 | ||||||||||||
| 1,975 | 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) | 12/15 at 100.00 | BB | 1,980,925 | ||||||||||||
| 4,610 | New York City Industrial Development Agency, New York, Special Facilities Revenue Bonds, British Airways PLC, Series 2002, 7.625%, 12/01/32 (Alternative Minimum Tax) | 12/15 at 100.00 | BB | 4,669,930 | ||||||||||||
| Nuveen Investments | 55 |
Nuveen New York Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Transportation (continued) | ||||||||||||||||
| $ | 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 | $ | 3,729,014 | ||||||||||
| 9,500 | New York City, Industrial Development Agency, New York, Senior Airport Facilities Revenue Refunding Bonds, TrIPs Obligated Group, Series 2012A, 5.000%, 7/01/28 (Alternative Minimum Tax) | No Opt. Call | BBB | 10,205,945 | ||||||||||||
| 3,370 | 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+ | 3,730,792 | ||||||||||||
| 3,330 | Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Eighty-Forth Series 2014, 5.000%, 9/01/39 | 9/24 at 100.00 | AA– | 3,792,737 | ||||||||||||
Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Eighty-Ninth Series 2015: | ||||||||||||||||
| 1,625 | 5.000%, 5/01/30 | 5/25 at 100.00 | AA– | 1,913,811 | ||||||||||||
| 3,140 | 5.000%, 5/01/31 | 5/25 at 100.00 | AA– | 3,680,708 | ||||||||||||
| 1,730 | 5.000%, 5/01/35 | 5/25 at 100.00 | AA– | 2,004,240 | ||||||||||||
| 2,520 | 5.000%, 5/01/40 | 5/25 at 100.00 | AA– | 2,878,722 | ||||||||||||
| 480 | 5.000%, 5/01/45 | 5/25 at 100.00 | AA– | 545,342 | ||||||||||||
| 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 | AA– | 5,306,800 | ||||||||||||
| 1,535 | Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Forty Eighth Series 2008, Trust 2920, 17.874%, 3/16/17 – AGM Insured (IF) | No Opt. Call | AA | 2,002,438 | ||||||||||||
| 3,585 | 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 | 4,176,525 | ||||||||||||
| 4,585 | 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) | 12/15 at 100.00 | AA– | 4,598,480 | ||||||||||||
| 3,905 | Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Bonds, MTA Bridges & Tunnels, Series 2014A, 5.000%, 11/15/39 | 5/24 at 100.00 | AA– | 4,452,715 | ||||||||||||
| 1,560 | Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Bonds, Refunding Subordinate Lien Series 2002E, 5.500%, 11/15/20 – NPFG Insured | No Opt. Call | AA– | 1,877,725 | ||||||||||||
| 1,500 | Triborough Bridge and Tunnel Authority, New York, Subordinate Lien General Purpose Revenue Refunding Bonds, Tender Option Bond Trust 1184, 9.261%, 5/15/16 (IF) | No Opt. Call | AA– | 1,822,020 | ||||||||||||
| 97,345 | Total Transportation | 105,144,527 | ||||||||||||||
| U.S. Guaranteed – 5.8% (7) | ||||||||||||||||
| 1,000 | Albany Capital Resource Corporation, New York, St. Peter’s Hospital Project, Series 2011, 6.125%, 11/15/30 (Pre-refunded 11/15/20) | 11/20 at 100.00 | A3 (7) | 1,236,830 | ||||||||||||
| 8,065 | Albany Industrial Development Agency, New York, Revenue Bonds, Saint Peter’s Hospital, Series 2008A, 5.250%, 11/15/32 (Pre-refunded 11/15/17) | 11/17 at 100.00 | A3 (7) | 8,875,129 | ||||||||||||
| 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 (Pre-refunded 7/01/17) | 7/17 at 100.00 | AA– (7) | 2,037,882 | ||||||||||||
| 350 | Dormitory Authority of the State of New York, Revenue Bonds, Barnard College, Series 2007A, 5.000%, 7/01/37 – NPFG Insured (Pre-refunded 7/01/17) | 7/17 at 100.00 | AA–(7) | 377,801 | ||||||||||||
| 585 | Dormitory Authority of the State of New York, Revenue Bonds, New York University, Series 2007, 5.000%, 7/01/32 – AMBAC Insured (Pre-refunded 7/01/17) | 7/17 at 100.00 | AA–(7) | 631,467 | ||||||||||||
| 56 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| U.S. Guaranteed (7) (continued) | ||||||||||||||||
| $ | 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 (Pre-refunded 11/01/16) | 11/16 at 100.00 | A (7) | $ | 632,700 | ||||||||||
| 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 (Pre-refunded 11/01/16) | 11/16 at 100.00 | A3 (7) | 527,250 | ||||||||||||
| 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 (Pre-refunded 5/01/19) | 5/19 at 100.00 | A (7) | 1,155,810 | ||||||||||||
| 5,600 | Dormitory Authority of the State of New York, Revenue Bonds, NYU Hospitals Center, Series 2007B, 5.625%, 7/01/37 (Pre-refunded 7/01/17) | 7/17 at 100.00 | A3 (7) | 6,108,480 | ||||||||||||
| 5 | Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose, Series 2009A, 5.000%, 2/15/34 (Pre-refunded 2/15/19) | 2/19 at 100.00 | N/R (7) | 5,675 | ||||||||||||
| 2,770 | Erie County Industrial Development Agency, New York, Revenue Bonds, Orchard Park CCRC Inc. Project, Series 2006A, 6.000%, 11/15/36 (Pre-refunded 11/15/16) | 11/16 at 100.00 | N/R (7) | 2,941,324 | ||||||||||||
| 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 (Pre-refunded 5/01/18) | 5/18 at 100.00 | AA (7) | 1,648,019 | ||||||||||||
| 3,000 | Erie County, New York, General Obligation Bonds, Series 2005A, 5.000%, 12/01/18 – NPFG Insured (Pre-refunded 12/01/15) | 12/15 at 100.00 | AA– (7) | 3,036,930 | ||||||||||||
| 615 | Hempstead Town Industrial Development Agency, New York, Revenue Bonds, Adelphi University, Civic Facility Project, Series 2005, 5.000%, 10/01/35 (Pre-refunded 10/01/15) | 10/15 at 100.00 | A (7) | 617,534 | ||||||||||||
| 115 | Madison County Industrial Development Agency, New York, Civic Facility Revenue Bonds, Oneida Health System, Series 2007A, 4.500%, 2/01/17 (ETM) | No Opt. Call | Aaa | 119,027 | ||||||||||||
| 710 | 5.250%, 2/01/27 (Pre-refunded 2/01/17) | 2/17 at 100.00 | Aaa | 757,868 | ||||||||||||
| 785 | 5.500%, 2/01/32 (Pre-refunded 2/01/17) | 2/17 at 100.00 | Aaa | 840,696 | ||||||||||||
New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Special Needs Facilities Pooled Program, Series 2008A-1: | ||||||||||||||||
| 370 | 5.800%, 7/01/23 (Pre-refunded 7/01/16) | 7/16 at 101.00 | N/R (7) | 390,757 | ||||||||||||
| 200 | 6.100%, 7/01/28 (Pre-refunded 7/01/16) | 7/16 at 101.00 | N/R (7) | 211,720 | ||||||||||||
| 590 | 6.200%, 7/01/33 (Pre-refunded 7/01/16) | 7/16 at 101.00 | N/R (7) | 625,064 | ||||||||||||
| 4,185 | New York Convention Center Development Corporation, Hotel Unit Fee Revenue Bonds, Series 2005, 5.000%, 11/15/44 – AMBAC Insured (Pre-refunded 11/15/15) | 11/15 at 100.00 | AA+ (7) | 4,227,059 | ||||||||||||
| 1,320 | New York Convention Center Development Corporation, New York, Hotel Unit Fee Secured Revenue Bonds, Series 2005, 5.000%, 11/15/30 – AMBAC Insured (Pre-refunded 11/15/15) | 11/15 at 100.00 | AA+ (7) | 1,333,266 | ||||||||||||
Yonkers, New York, General Obligation Bonds, Series 2005B: | ||||||||||||||||
| 1,495 | 5.000%, 8/01/17 (Pre-refunded 10/13/15) | 10/15 at 100.00 | A3 (7) | 1,503,596 | ||||||||||||
| 1,570 | 5.000%, 8/01/18 (Pre-refunded 10/13/15) | 10/15 at 100.00 | A3 (7) | 1,579,028 | ||||||||||||
| 38,770 | Total U.S. Guaranteed | 41,420,912 | ||||||||||||||
| Utilities – 12.9% | ||||||||||||||||
| 7,075 | 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 | 7,513,933 | ||||||||||||
| 1,200 | Guam Power Authority, Revenue Bonds, Series 2010A, 5.000%, 10/01/37 – AGM Insured | 10/20 at 100.00 | AA | 1,340,280 | ||||||||||||
| 420 | Guam Power Authority, Revenue Bonds, Series 2012A, 5.000%, 10/01/34 | 10/22 at 100.00 | BBB | 449,950 | ||||||||||||
| 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 | 5,562,360 | ||||||||||||
| Nuveen Investments | 57 |
Nuveen New York Municipal Bond Fund (continued)
| Portfolio of Investments | August 31, 2015 (Unaudited) |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Utilities (continued) | ||||||||||||||||
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 | $ | 2,151,072 | ||||||||||
| 2,000 | 0.000%, 6/01/24 – AGM Insured | No Opt. Call | AA | 1,571,340 | ||||||||||||
| 2,000 | 0.000%, 6/01/25 – AGM Insured | No Opt. Call | AA | 1,513,760 | ||||||||||||
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006A: | ||||||||||||||||
| 3,800 | 5.000%, 12/01/23 – FGIC Insured | 6/16 at 100.00 | AA– | 3,924,222 | ||||||||||||
| 1,200 | 5.000%, 12/01/24 – FGIC Insured | 6/16 at 100.00 | AA– | 1,236,564 | ||||||||||||
| 2,615 | 5.000%, 12/01/25 – FGIC Insured | 6/16 at 100.00 | AA– | 2,693,084 | ||||||||||||
| 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– | 771,075 | ||||||||||||
| 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+ | 5,202,750 | ||||||||||||
| 2,980 | Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2014A, 5.000%, 9/01/44 | 9/24 at 100.00 | A– | 3,279,043 | ||||||||||||
| 1,250 | Long Island Power Authority, New York, Electric System Revenue Bonds, Refunding Series 2009A, 6.250%, 4/01/33 | 4/19 at 100.00 | A– | 1,440,063 | ||||||||||||
Long Island Power Authority, New York, Electric System Revenue Bonds, Series 2008A: | ||||||||||||||||
| 5,000 | 5.500%, 5/01/33 – BHAC Insured | 5/19 at 100.00 | AA+ | 5,723,750 | ||||||||||||
| 10,250 | 6.000%, 5/01/33 | 5/19 at 100.00 | A– | 11,820,710 | ||||||||||||
| 10,000 | Long Island Power Authority, New York, Electric System Revenue Bonds, Series 2011A, 5.000%, 5/01/38 | 5/21 at 100.00 | A– | 10,904,000 | ||||||||||||
| 2,400 | Nassau County Industrial Development Authority, New York, Keyspan Glenwood Energy Project, Series 2003, 5.250%, 6/01/27 (Alternative Minimum Tax) | 11/15 at 100.00 | A– | 2,409,600 | ||||||||||||
| 11,785 | Niagara Area Development Corporation, New York, Solid Waste Disposal Facility Revenue Refunding Bonds, Covanta Energy Project, Series 2012A, 5.250%, 11/01/42 | No Opt. Call | BB+ | 11,877,630 | ||||||||||||
| 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 | Aa1 | 525,268 | ||||||||||||
| 3,435 | Suffolk County Industrial Development Agency, New York, Revenue Bonds, Nissequogue Cogeneration Partners Facility, Series 1998, 5.500%, 1/01/23 (Alternative Minimum Tax) | 1/16 at 100.00 | N/R | 3,435,309 | ||||||||||||
| 5,095 | Utility Debt Securitization Authority, New York, Restructuring Bonds, Series 2013TE, 5.000%, 12/15/41 | 12/23 at 100.00 | AAA | 5,789,601 | ||||||||||||
| 87,125 | Total Utilities | 91,135,364 | ||||||||||||||
| Water and Sewer – 3.8% | ||||||||||||||||
| 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 | 2,174,233 | ||||||||||||
| 10,000 | New York City Municipal Water Finance Authority, New York, Water and Sewer System Second General Resolution Revenue Bonds, Fiscal 2013 Series DD, 5.000%, 6/15/35 | 6/23 at 100.00 | AA+ | 11,443,000 | ||||||||||||
| 500 | New York State Environmental Facilities Corporation, State Clean Water and Drinking Water Revolving Funds Revenue Bonds, New York City Municipal Water Finance Authority Projects, Second Resolution Subordinated Series 2014A, 5.000%, 6/15/30 | 6/24 at 100.00 | AAA | 591,350 | ||||||||||||
| 6,675 | New York State Environmental Facilities Corporation, State Clean Water and Drinking Water Revolving Funds Revenue Bonds, New York City Municipal Water Finance Authority Projects, Second Resolution Subordinated SRF Series, 5.000%, 6/15/34 | 6/25 at 100.00 | AAA | 7,858,744 | ||||||||||||
| 58 | Nuveen Investments |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Water and Sewer (continued) | ||||||||||||||||
| $ | 2,950 | Niagara Falls Public Water Authority, New York, Water and Sewerage Revenue Bonds, Series 2005, 5.000%, 7/15/27 – SYNCORA GTY Insured | 11/15 at 100.00 | N/R | $ | 2,954,396 | ||||||||||
Water Authority of Western Nassau County, New York, Water System Revenue Bonds, Series 2015A: | ||||||||||||||||
| 675 | 5.000%, 4/01/40 | 4/25 at 100.00 | AA– | 754,481 | ||||||||||||
| 1,050 | 5.000%, 4/01/45 | 4/25 at 100.00 | AA– | 1,168,220 | ||||||||||||
| 23,955 | Total Water and Sewer | 26,944,424 | ||||||||||||||
| $ | 653,705 | Total Long-Term Investments (cost $667,705,672) | 708,542,948 | |||||||||||||
Floating Rate Obligations – (1.1)% | (7,955,000 | ) | ||||||||||||||
Other Assets Less Liabilities – 1.2% | 8,693,901 | |||||||||||||||
Net Assets – 100% | $ | 709,281,849 | ||||||||||||||
| (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) | On April 1, 2013, the Fund’s Adviser determined it was unlikely that this borrower would fulfill its entire obligation on this security, and therefore reduced the security’s interest rate of accrual from 5.750% to 2.300%. |
| (6) | On April 1, 2013, the Fund’s Adviser determined it was unlikely that this borrower would fulfill its entire obligation on this security, and therefore reduced the security’s interest rate of accrual from 5.875% to 2.350%. |
| (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. |
| (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, Note 3 – Portfolio Securities and Investments in Derivatives, Inverse Floating Rate Securities for more information. |
See accompanying notes to financial statements.
| Nuveen Investments | 59 |
| Assets and Liabilities | August 31, 2015 (Unaudited) |
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
Assets | ||||||||||||||||
Long-term investments, at value (cost $270,247,514, $237,182,862, $269,458,813 and $667,705,672, respectively) | $ | 284,817,535 | $ | 252,064,247 | $ | 282,186,225 | $ | 708,542,948 | ||||||||
Cash | 4,785,931 | 4,558,803 | — | — | ||||||||||||
Receivable for: | ||||||||||||||||
Interest | 2,865,433 | 3,067,765 | 3,028,116 | 8,242,320 | ||||||||||||
Investments sold | — | — | 7,770,000 | 730,117 | ||||||||||||
Shares sold | 920,617 | 536,198 | 674,135 | 2,964,497 | ||||||||||||
Other assets | 42,319 | 5,154 | 9,306 | 112,550 | ||||||||||||
Total assets | 293,431,835 | 260,232,167 | 293,667,782 | 720,592,432 | ||||||||||||
Liabilities | ||||||||||||||||
Cash overdraft | — | — | 3,523,563 | 1,343,678 | ||||||||||||
Floating rate obligations | — | — | — | 7,955,000 | ||||||||||||
Payable for: | ||||||||||||||||
Dividends | 210,073 | 133,439 | 178,380 | 393,818 | ||||||||||||
Investments purchased | 7,595,272 | 2,687,550 | — | — | ||||||||||||
Shares redeemed | 432,210 | 834,307 | 417,140 | 955,586 | ||||||||||||
Accrued expenses: | ||||||||||||||||
Management fees | 121,282 | 111,260 | 123,808 | 294,315 | ||||||||||||
Trustees fees | 42,674 | 1,022 | 9,841 | 114,683 | ||||||||||||
12b-1 distribution and service fees | 57,301 | 31,842 | 56,850 | 102,076 | ||||||||||||
Other | 60,514 | 67,749 | 73,447 | 151,427 | ||||||||||||
Total liabilities | 8,519,326 | 3,867,169 | 4,383,029 | 11,310,583 | ||||||||||||
Net assets | $ | 284,912,509 | $ | 256,364,998 | $ | 289,284,753 | $ | 709,281,849 | ||||||||
Class A Shares | ||||||||||||||||
Net assets | $ | 170,626,591 | $ | 82,661,739 | $ | 135,367,443 | $ | 279,138,139 | ||||||||
Shares outstanding | 15,949,563 | 8,178,588 | 12,025,744 | 25,378,413 | ||||||||||||
Net asset value (“NAV”) per share | $ | 10.70 | $ | 10.11 | $ | 11.26 | $ | 11.00 | ||||||||
Offering price per share (NAV per share plus maximum sales charge of 4.20% of offering price) | $ | 11.17 | $ | 10.55 | $ | 11.75 | $ | 11.48 | ||||||||
Class C Shares | ||||||||||||||||
Net assets | $ | 3,260,553 | $ | 3,427,376 | $ | 7,593,445 | $ | 13,081,179 | ||||||||
Shares outstanding | 305,268 | 342,031 | 677,465 | 1,191,173 | ||||||||||||
NAV and offering price per share | $ | 10.68 | $ | 10.02 | $ | 11.21 | $ | 10.98 | ||||||||
Class C2 Shares | ||||||||||||||||
Net assets | $ | 40,654,115 | $ | 23,379,288 | $ | 43,272,719 | $ | 69,713,588 | ||||||||
Shares outstanding | 3,803,979 | 2,331,427 | 3,859,493 | 6,340,896 | ||||||||||||
NAV and offering price per share | $ | 10.69 | $ | 10.03 | $ | 11.21 | $ | 10.99 | ||||||||
Class I Shares | ||||||||||||||||
Net assets | $ | 70,371,250 | $ | 146,896,595 | $ | 103,051,146 | $ | 347,348,943 | ||||||||
Shares outstanding | 6,556,434 | 14,550,938 | 9,123,159 | 31,534,529 | ||||||||||||
NAV and offering price per share | $ | 10.73 | $ | 10.10 | $ | 11.30 | $ | 11.01 | ||||||||
Net assets consist of: | ||||||||||||||||
Capital paid-in | $ | 274,789,106 | $ | 248,667,335 | $ | 274,364,953 | $ | 678,110,346 | ||||||||
Undistributed (Over-distribution of) net investment income | 916,078 | 387,919 | 2,099,610 | 2,756,728 | ||||||||||||
Accumulated net realized gain (loss) | (5,362,696 | ) | (7,571,641 | ) | 92,778 | (12,422,501 | ) | |||||||||
Net unrealized appreciation (depreciation) | 14,570,021 | 14,881,385 | 12,727,412 | 40,837,276 | ||||||||||||
Net assets | $ | 284,912,509 | $ | 256,364,998 | $ | 289,284,753 | $ | 709,281,849 | ||||||||
Authorized shares – per class | Unlimited | Unlimited | Unlimited | Unlimited | ||||||||||||
Par value per share | $ | 0.01 | $ | 0.01 | $ | 0.01 | $ | 0.01 | ||||||||
See accompanying notes to financial statements.
| 60 | Nuveen Investments |
| Operations | Six Months Ended August 31, 2015 (Unaudited) |
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
Investment Income | $ | 5,909,185 | $ | 5,341,902 | $ | 6,144,514 | $ | 15,317,722 | ||||||||
Expenses | ||||||||||||||||
Management fees | 723,121 | 650,427 | 731,932 | 1,726,979 | ||||||||||||
12b-1 service fees – Class A Shares | 173,169 | 83,763 | 133,342 | 272,449 | ||||||||||||
12b-1 distribution and service fees – Class C Shares | 14,653 | 15,088 | 36,552 | 49,771 | ||||||||||||
12b-1 distribution and service fees – Class C2 Shares | 157,179 | 91,288 | 168,675 | 270,430 | ||||||||||||
Shareholder servicing agent fees | 48,486 | 57,902 | 67,203 | 143,095 | ||||||||||||
Interest expense | — | — | — | 20,598 | ||||||||||||
Custodian fees | 25,320 | 25,331 | 27,944 | 47,267 | ||||||||||||
Trustees fees | 4,029 | 3,615 | 4,082 | 9,968 | ||||||||||||
Professional fees | 24,617 | 23,149 | 24,856 | 40,991 | ||||||||||||
Shareholder reporting expenses | 15,711 | 14,235 | 14,826 | 32,434 | ||||||||||||
Federal and state registration fees | 3,312 | 5,151 | 2,568 | 4,796 | ||||||||||||
Other | 5,959 | 5,536 | 7,910 | 11,960 | ||||||||||||
Total expenses | 1,195,556 | 975,485 | 1,219,890 | 2,630,738 | ||||||||||||
Net investment income (loss) | 4,713,629 | 4,366,417 | 4,924,624 | 12,686,984 | ||||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Net realized gain (loss) from investments | (130,271 | ) | (375,289 | ) | 180,523 | (347,040 | ) | |||||||||
Change in net unrealized appreciation (depreciation) of investments | (4,178,833 | ) | (2,645,992 | ) | (6,409,486 | ) | (8,508,725 | ) | ||||||||
Net realized and unrealized gain (loss) | (4,309,104 | ) | (3,021,281 | ) | (6,228,963 | ) | (8,855,765 | ) | ||||||||
Net increase (decrease) in net assets from operations | $ | 404,525 | $ | 1,345,136 | $ | (1,304,339 | ) | $ | 3,831,219 | |||||||
See accompanying notes to financial statements.
| Nuveen Investments | 61 |
| Changes in Net Assets | (Unaudited) |
| Connecticut | Massachusetts | |||||||||||||||||
| Six Months Ended 8/31/15 | Year Ended 2/28/15 | Six Months Ended 8/31/15 | Year Ended 2/28/15 | |||||||||||||||
Operations | ||||||||||||||||||
Net investment income (loss) | $ | 4,713,629 | $ | 9,651,264 | $ | 4,366,417 | $ | 8,737,473 | ||||||||||
Net realized gain (loss) from investments | (130,271 | ) | 1,904,036 | (375,289 | ) | 976,066 | ||||||||||||
Change in net unrealized appreciation (depreciation) of investments | (4,178,833 | ) | 7,712,801 | (2,645,992 | ) | 7,690,587 | ||||||||||||
Net increase (decrease) in net assets from operations | 404,525 | 19,268,101 | 1,345,136 | 17,404,126 | ||||||||||||||
Distributions to Shareholders | ||||||||||||||||||
From net investment income: | ||||||||||||||||||
Class A Shares | (2,886,965 | ) | (6,258,818 | ) | (1,468,921 | ) | (3,384,685 | ) | ||||||||||
Class C Shares | (37,415 | ) | (30,465 | ) | (40,595 | ) | (33,632 | ) | ||||||||||
Class C2 Shares | (583,193 | ) | (1,251,821 | ) | (358,261 | ) | (847,446 | ) | ||||||||||
Class I Shares | (1,205,316 | ) | (1,859,039 | ) | (2,675,906 | ) | (4,880,391 | ) | ||||||||||
Decrease in net assets from distributions to shareholders | (4,712,889 | ) | (9,400,143 | ) | (4,543,683 | ) | (9,146,154 | ) | ||||||||||
Fund Share Transactions | ||||||||||||||||||
Proceeds from sale of shares | 17,011,698 | 41,966,247 | 18,081,348 | 53,764,335 | ||||||||||||||
Proceeds from shares issued to shareholders due to reinvestment of distributions | 3,434,735 | 6,710,009 | 3,713,157 | 7,458,998 | ||||||||||||||
| 20,446,433 | 48,676,256 | 21,794,505 | 61,223,333 | |||||||||||||||
Cost of shares redeemed | (18,186,662 | ) | (56,796,907 | ) | (17,539,015 | ) | (55,574,333 | ) | ||||||||||
Net increase (decrease) in net assets from Fund share transactions | 2,259,771 | (8,120,651 | ) | 4,255,490 | 5,649,000 | |||||||||||||
Net increase (decrease) in net assets | (2,048,593 | ) | 1,747,307 | 1,056,943 | 13,906,972 | |||||||||||||
Net assets at the beginning of period | 286,961,102 | 285,213,795 | 255,308,055 | 241,401,083 | ||||||||||||||
Net assets at the end of period | $ | 284,912,509 | $ | 286,961,102 | $ | 256,364,998 | $ | 255,308,055 | ||||||||||
Undistributed (Over-distribution of) net investment income at the end of period | $ | 916,078 | $ | 915,338 | $ | 387,919 | $ | 565,185 | ||||||||||
See accompanying notes to financial statements.
| 62 | Nuveen Investments |
| New Jersey | New York | |||||||||||||||||
| Six Months Ended 8/31/15 | Year Ended 2/28/15 | Six Months Ended 8/31/15 | Year Ended 2/28/15 | |||||||||||||||
Operations | ||||||||||||||||||
Net investment income (loss) | $ | 4,924,624 | $ | 10,172,431 | $ | 12,686,984 | $ | 25,840,766 | ||||||||||
Net realized gain (loss) from investments | 180,523 | 1,560,008 | (347,040 | ) | 1,634,661 | |||||||||||||
Change in net unrealized appreciation (depreciation) of investments | (6,409,486 | ) | 7,955,512 | (8,508,725 | ) | 25,273,087 | ||||||||||||
Net increase (decrease) in net assets from operations | (1,304,339 | ) | 19,687,951 | 3,831,219 | 52,748,514 | |||||||||||||
Distributions to Shareholders | �� | |||||||||||||||||
From net investment income: | ||||||||||||||||||
Class A Shares | (2,277,638 | ) | (4,894,748 | ) | (5,012,290 | ) | (10,802,560 | ) | ||||||||||
Class C Shares | (96,177 | ) | (101,905 | ) | (141,777 | ) | (103,978 | ) | ||||||||||
Class C2 Shares | (653,104 | ) | (1,428,676 | ) | (1,132,860 | ) | (2,445,479 | ) | ||||||||||
Class I Shares | (1,878,883 | ) | (3,298,394 | ) | (6,750,158 | ) | (12,337,942 | ) | ||||||||||
Decrease in net assets from distributions to shareholders | (4,905,802 | ) | (9,723,723 | ) | (13,037,085 | ) | (25,689,959 | ) | ||||||||||
Fund Share Transactions | ||||||||||||||||||
Proceeds from sale of shares | 28,706,464 | 59,137,316 | 52,864,234 | 118,578,313 | ||||||||||||||
Proceeds from shares issued to shareholders due to reinvestment of distributions | 3,815,439 | 7,419,052 | 10,671,441 | 20,882,676 | ||||||||||||||
| 32,521,903 | 66,556,368 | 63,535,675 | 139,460,989 | |||||||||||||||
Cost of shares redeemed | (25,849,960 | ) | (66,607,904 | ) | (44,323,976 | ) | (140,159,353 | ) | ||||||||||
Net increase (decrease) in net assets from Fund share transactions | 6,671,943 | (51,536 | ) | 19,211,699 | (698,364 | ) | ||||||||||||
Net increase (decrease) in net assets | 461,802 | 9,912,692 | 10,005,833 | 26,360,191 | ||||||||||||||
Net assets at the beginning of period | 288,822,951 | 278,910,259 | 699,276,016 | 672,915,825 | ||||||||||||||
Net assets at the end of period | $ | 289,284,753 | $ | 288,822,951 | $ | 709,281,849 | $ | 699,276,016 | ||||||||||
Undistributed (Over-distribution of) net investment income at the end of period | $ | 2,099,610 | $ | 2,080,788 | $ | 2,756,728 | $ | 3,106,829 | ||||||||||
See accompanying notes to financial statements.
| Nuveen Investments | 63 |
Highlights (Unaudited)
Connecticut
Selected data for a share outstanding throughout each period:
| Investment Operations | Less Distributions | |||||||||||||||||||||||||||||||||
Class (Commencement Date)
Year Ended February 28/29, | Beginning NAV | Net Investment Income (Loss)(a) | Net Realized/ Unrealized Gain (Loss) | Total | From Net Investment Income | From Accumulated Net Realized Gains | Total | Ending NAV | ||||||||||||||||||||||||||
Class A (7/87) | ||||||||||||||||||||||||||||||||||
2016(g) | $ | 10.86 | $ | 0.18 | $ | (0.16 | ) | $ | 0.02 | $ | (0.18 | ) | $ | — | $ | (0.18 | ) | $ | 10.70 | |||||||||||||||
2015 | 10.49 | 0.37 | 0.36 | 0.73 | (0.36 | ) | — | (0.36 | ) | 10.86 | ||||||||||||||||||||||||
2014 | 11.07 | 0.38 | (0.58 | ) | (0.20 | ) | (0.38 | ) | — | * | (0.38 | ) | 10.49 | |||||||||||||||||||||
2013 | 10.98 | 0.40 | 0.10 | 0.50 | (0.40 | ) | (0.01 | ) | (0.41 | ) | 11.07 | |||||||||||||||||||||||
2012 | 10.19 | 0.43 | 0.81 | 1.24 | (0.42 | ) | (0.03 | ) | (0.45 | ) | 10.98 | |||||||||||||||||||||||
2011 | 10.49 | 0.42 | (0.30 | ) | 0.12 | (0.42 | ) | — | * | (0.42 | ) | 10.19 | ||||||||||||||||||||||
Class C (2/14) | ||||||||||||||||||||||||||||||||||
2016(g) | 10.84 | 0.14 | (0.16 | ) | (0.02 | ) | (0.14 | ) | — | (0.14 | ) | 10.68 | ||||||||||||||||||||||
2015 | 10.48 | 0.28 | 0.36 | 0.64 | (0.28 | ) | — | (0.28 | ) | 10.84 | ||||||||||||||||||||||||
2014(f) | 10.41 | 0.01 | 0.07 | 0.08 | (0.01 | ) | — | (0.01 | ) | 10.48 | ||||||||||||||||||||||||
Class C2 (10/93)(e) | ||||||||||||||||||||||||||||||||||
2016(g) | 10.85 | 0.15 | (0.16 | ) | (0.01 | ) | (0.15 | ) | — | (0.15 | ) | 10.69 | ||||||||||||||||||||||
2015 | 10.48 | 0.31 | 0.36 | 0.67 | (0.30 | ) | — | (0.30 | ) | 10.85 | ||||||||||||||||||||||||
2014 | 11.05 | 0.32 | (0.57 | ) | (0.25 | ) | (0.32 | ) | — | * | (0.32 | ) | 10.48 | |||||||||||||||||||||
2013 | 10.97 | 0.34 | 0.09 | 0.43 | (0.34 | ) | (0.01 | ) | (0.35 | ) | 11.05 | |||||||||||||||||||||||
2012 | 10.19 | 0.37 | 0.81 | 1.18 | (0.37 | ) | (0.03 | ) | (0.40 | ) | 10.97 | |||||||||||||||||||||||
2011 | 10.48 | 0.36 | (0.28 | ) | 0.08 | (0.37 | ) | — | * | (0.37 | ) | 10.19 | ||||||||||||||||||||||
Class I (2/97) | ||||||||||||||||||||||||||||||||||
2016(g) | 10.90 | 0.19 | (0.17 | ) | 0.02 | (0.19 | ) | — | (0.19 | ) | 10.73 | |||||||||||||||||||||||
2015 | 10.52 | 0.39 | 0.37 | 0.76 | (0.38 | ) | — | (0.38 | ) | 10.90 | ||||||||||||||||||||||||
2014 | 11.11 | 0.40 | (0.58 | ) | (0.18 | ) | (0.41 | ) | — | * | (0.41 | ) | 10.52 | |||||||||||||||||||||
2013 | 11.02 | 0.43 | 0.09 | 0.52 | (0.42 | ) | (0.01 | ) | (0.43 | ) | 11.11 | |||||||||||||||||||||||
2012 | 10.23 | 0.45 | 0.81 | 1.26 | (0.44 | ) | (0.03 | ) | (0.47 | ) | 11.02 | |||||||||||||||||||||||
2011 | 10.53 | 0.45 | (0.31 | ) | 0.14 | (0.44 | ) | — | * | (0.44 | ) | 10.23 | ||||||||||||||||||||||
| 64 | Nuveen Investments |
| Ratios/Supplemental Data | ||||||||||||||||||||||||||
| Ratios to Average Net Assets | ||||||||||||||||||||||||||
| Total Return(b) | Ending Net Assets (000) | Expenses Including Interest(c) | Expenses Excluding Interest | Net Investment Income (Loss) | Portfolio Turnover Rate(d) | |||||||||||||||||||||
| 0.19 | % | $ | 170,627 | 0.79 | %** | 0.79 | %** | 3.34 | %** | 4 | % | |||||||||||||||
| 7.06 | 176,461 | 0.79 | 0.79 | 3.45 | 16 | |||||||||||||||||||||
| (1.71 | ) | 196,238 | 0.82 | 0.81 | 3.63 | 10 | ||||||||||||||||||||
| 4.56 | 268,189 | 0.80 | 0.79 | 3.65 | 12 | |||||||||||||||||||||
| 12.40 | 259,183 | 0.82 | 0.81 | 4.08 | 9 | |||||||||||||||||||||
| 1.13 | 255,092 | 0.81 | 0.80 | 4.01 | 10 | |||||||||||||||||||||
| (0.20 | ) | 3,261 | 1.59 | ** | 1.59 | ** | 2.52 | ** | 4 | |||||||||||||||||
| 6.13 | 2,295 | 1.59 | 1.59 | 2.61 | 16 | |||||||||||||||||||||
| 0.81 | 278 | 1.66 | ** | 1.65 | ** | 3.62 | ** | 10 | ||||||||||||||||||
| (0.09 | ) | 40,654 | 1.34 | ** | 1.34 | ** | 2.79 | ** | 4 | |||||||||||||||||
| 6.47 | 43,580 | 1.34 | 1.34 | 2.91 | 16 | |||||||||||||||||||||
| (2.19 | ) | 46,265 | 1.37 | 1.36 | 3.08 | 10 | ||||||||||||||||||||
| 3.90 | 62,912 | 1.35 | 1.34 | 3.10 | 12 | |||||||||||||||||||||
| 11.72 | 58,829 | 1.37 | 1.36 | 3.53 | 9 | |||||||||||||||||||||
| 0.71 | 53,317 | 1.36 | 1.35 | 3.48 | 10 | |||||||||||||||||||||
| 0.21 | 70,371 | 0.60 | ** | 0.60 | ** | 3.54 | ** | 4 | ||||||||||||||||||
| 7.37 | 64,625 | 0.59 | 0.59 | 3.65 | 16 | |||||||||||||||||||||
| (1.58 | ) | 42,434 | 0.62 | 0.61 | 3.83 | 10 | ||||||||||||||||||||
| 4.77 | 51,588 | 0.60 | 0.59 | 3.85 | 12 | |||||||||||||||||||||
| 12.60 | 41,475 | 0.62 | 0.61 | 4.27 | 9 | |||||||||||||||||||||
| 1.36 | 31,761 | 0.61 | 0.60 | 4.22 | 10 | |||||||||||||||||||||
| (a) | Per share Net Investment Income (Loss) is calculated using the average daily shares method. |
| (b) | Total return is the combination of changes in NAV without any sales charge, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. Total returns are not annualized. |
| (c) | 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 Note 3 – Portfolio Securities and Investments in Derivatives, Inverse Floating Rate Securities. |
| (d) | Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period. |
| (e) | Formerly Class C Shares and renamed to Class C2 Shares on February 10, 2014. |
| (f) | For the period February 10, 2014 (commencement of operations) through February 28, 2014. |
| (g) | For the six months ended August 31, 2015. |
| * | Rounds to less than $0.01 per share. |
| ** | Annualized. |
See accompanying notes to financial statements.
| Nuveen Investments | 65 |
Financial Highlights (Unaudited) (continued)
Massachusetts
Selected data for a share outstanding throughout each period:
| Investment Operations | Less Distributions | |||||||||||||||||||||||||||||||||
Class (Commencement Date)
Year Ended February 28/29, | Beginning NAV | Net Investment Income (Loss)(a) | Net Realized/ Unrealized Gain (Loss) | Total | From Net Investment Income | From Accumulated Net Realized Gains | Total | Ending NAV | ||||||||||||||||||||||||||
Class A (9/94) | ||||||||||||||||||||||||||||||||||
2016(h) | $ | 10.24 | $ | 0.17 | $ | (0.12 | ) | $ | 0.05 | $ | (0.18 | ) | $ | — | $ | (0.18 | ) | $ | 10.11 | |||||||||||||||
2015 | 9.89 | 0.36 | 0.36 | 0.72 | (0.37 | ) | — | (0.37 | ) | 10.24 | ||||||||||||||||||||||||
2014 | 10.44 | 0.36 | (0.54 | ) | (0.18 | ) | (0.37 | ) | — | (0.37 | ) | 9.89 | ||||||||||||||||||||||
2013 | 10.21 | 0.42 | 0.19 | 0.61 | (0.38 | ) | — | (0.38 | ) | 10.44 | ||||||||||||||||||||||||
2012 | 9.47 | 0.42 | 0.75 | 1.17 | (0.43 | ) | — | (0.43 | ) | 10.21 | ||||||||||||||||||||||||
2011 | 9.75 | 0.44 | (0.27 | ) | 0.17 | (0.45 | ) | — | (0.45 | ) | 9.47 | |||||||||||||||||||||||
Class C (2/14) | ||||||||||||||||||||||||||||||||||
2016(h) | 10.15 | 0.13 | (0.12 | ) | 0.01 | (0.14 | ) | — | (0.14 | ) | 10.02 | |||||||||||||||||||||||
2015 | 9.81 | 0.27 | 0.36 | 0.63 | (0.29 | ) | — | (0.29 | ) | 10.15 | ||||||||||||||||||||||||
2014(g) | 9.74 | 0.02 | 0.07 | 0.09 | (0.02 | ) | — | (0.02 | ) | 9.81 | ||||||||||||||||||||||||
Class C2 (10/94)(f) | ||||||||||||||||||||||||||||||||||
2016(h) | 10.15 | 0.14 | (0.11 | ) | 0.03 | (0.15 | ) | — | (0.15 | ) | 10.03 | |||||||||||||||||||||||
2015 | 9.81 | 0.30 | 0.35 | 0.65 | (0.31 | ) | — | (0.31 | ) | 10.15 | ||||||||||||||||||||||||
2014 | 10.35 | 0.30 | (0.53 | ) | (0.23 | ) | (0.31 | ) | — | (0.31 | ) | 9.81 | ||||||||||||||||||||||
2013 | 10.13 | 0.36 | 0.18 | 0.54 | (0.32 | ) | — | (0.32 | ) | 10.35 | ||||||||||||||||||||||||
2012 | 9.39 | 0.36 | 0.76 | 1.12 | (0.38 | ) | — | (0.38 | ) | 10.13 | ||||||||||||||||||||||||
2011 | 9.67 | 0.39 | (0.27 | ) | 0.12 | (0.40 | ) | — | (0.40 | ) | 9.39 | |||||||||||||||||||||||
Class I (12/86) | ||||||||||||||||||||||||||||||||||
2016(h) | 10.22 | 0.18 | (0.11 | ) | 0.07 | (0.19 | ) | — | (0.19 | ) | 10.10 | |||||||||||||||||||||||
2015 | 9.88 | 0.38 | 0.35 | 0.73 | (0.39 | ) | — | (0.39 | ) | 10.22 | ||||||||||||||||||||||||
2014 | 10.42 | 0.37 | (0.52 | ) | (0.15 | ) | (0.39 | ) | — | (0.39 | ) | 9.88 | ||||||||||||||||||||||
2013 | 10.19 | 0.44 | 0.18 | 0.62 | (0.39 | ) | — | (0.39 | ) | 10.42 | ||||||||||||||||||||||||
2012 | 9.45 | 0.44 | 0.75 | 1.19 | (0.45 | ) | — | (0.45 | ) | 10.19 | ||||||||||||||||||||||||
2011 | 9.73 | 0.46 | (0.27 | ) | 0.19 | (0.47 | ) | — | (0.47 | ) | 9.45 | |||||||||||||||||||||||
| 66 | Nuveen Investments |
| Ratios/Supplemental Data | ||||||||||||||||||||||||
| Ratio to Average Net Assets(c) | ||||||||||||||||||||||||
| Total Return(b) | Ending Net Assets (000) | Expenses Including Interest(d) | Expenses Excluding Interest | Net Investment Income (Loss) | Portfolio Turnover Rate(e) | |||||||||||||||||||
| 0.48 | % | $ | 82,662 | 0.81 | %* | 0.81 | %* | 3.36 | %* | 5 | % | |||||||||||||
| 7.42 | 84,367 | 0.81 | 0.81 | 3.52 | 11 | |||||||||||||||||||
| (1.64 | ) | 101,648 | 0.84 | 0.84 | 3.64 | 29 | ||||||||||||||||||
| 6.01 | 103,508 | 0.82 | 0.82 | 4.08 | 11 | |||||||||||||||||||
| 12.66 | 92,565 | 0.95 | 0.95 | 4.21 | 3 | |||||||||||||||||||
| 1.69 | 61,883 | 0.85 | 0.85 | 4.54 | 7 | |||||||||||||||||||
| 0.07 | 3,427 | 1.61 | * | 1.61 | * | 2.54 | * | 5 | ||||||||||||||||
| 6.50 | 2,382 | 1.61 | 1.61 | 2.65 | 11 | |||||||||||||||||||
| 0.88 | 26 | 1.62 | * | 1.62 | * | 3.48 | * | 29 | ||||||||||||||||
| 0.29 | 23,379 | 1.36 | * | 1.36 | * | 2.81 | * | 5 | ||||||||||||||||
| 6.74 | 25,254 | 1.36 | 1.36 | 2.97 | 11 | |||||||||||||||||||
| (2.15 | ) | 28,457 | 1.38 | 1.38 | 3.06 | 29 | ||||||||||||||||||
| 5.34 | 35,247 | 1.37 | 1.37 | 3.53 | 11 | |||||||||||||||||||
| 12.14 | 30,815 | 1.49 | 1.49 | 3.63 | 3 | |||||||||||||||||||
| 1.14 | 14,872 | 1.40 | 1.40 | 3.98 | 7 | |||||||||||||||||||
| 0.67 | 146,897 | 0.61 | * | 0.61 | * | 3.56 | * | 5 | ||||||||||||||||
| 7.52 | 143,304 | 0.62 | 0.62 | 3.72 | 11 | |||||||||||||||||||
| (1.36 | ) | 111,270 | 0.63 | 0.63 | 3.81 | 29 | ||||||||||||||||||
| 6.20 | 104,360 | 0.62 | 0.62 | 4.29 | 11 | |||||||||||||||||||
| 12.89 | 99,142 | 0.74 | 0.74 | 4.39 | 3 | |||||||||||||||||||
| 1.91 | 52,930 | 0.65 | 0.65 | 4.74 | 7 | |||||||||||||||||||
| (a) | Per share Net Investment Income (Loss) is calculated using the average daily shares method. |
| (b) | Total return is the combination of changes in NAV without any sales charge, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. Total returns are not annualized. |
| (c) | The Fund has a contractual fee waiver/expense reimbursement agreement with the Adviser, but did not receive a fee waiver/expense reimbursement during the periods presented herein. |
| (d) | 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 Note 3 – Portfolio Securities and Investments in Derivatives, Inverse Floating Rate Securities. |
| (e) | Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period. |
| (f) | Formerly Class C Shares and renamed to Class C2 Shares on February 10, 2014. |
| (g) | For the period February 10, 2014 (commencement of operations) through February 28, 2014. |
| (h) | For the six months ended August 31, 2015. |
| * | Annualized. |
See accompanying notes to financial statements.
| Nuveen Investments | 67 |
Financial Highlights (Unaudited) (continued)
New Jersey
Selected data for a share outstanding throughout each period:
| Investment Operations | Less Distributions | |||||||||||||||||||||||||||||||||
Class (Commencement Date)
Year Ended February 28/29, | Beginning NAV | Net (Loss)(a) | Net Realized/ Unrealized Gain (Loss) | Total | From Net Investment Income | From Accumulated Net Realized Gains | Total | Ending NAV | ||||||||||||||||||||||||||
Class A (9/94) | ||||||||||||||||||||||||||||||||||
2016(g) | $ | 11.50 | $ | 0.20 | $ | (0.24 | ) | $ | (0.04 | ) | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | $ | 11.26 | ||||||||||||||
2015 | 11.10 | 0.41 | 0.38 | 0.79 | (0.39 | ) | — | (0.39 | ) | 11.50 | ||||||||||||||||||||||||
2014 | 11.63 | 0.41 | (0.55 | ) | (0.14 | ) | (0.39 | ) | — | (0.39 | ) | 11.10 | ||||||||||||||||||||||
2013 | 11.29 | 0.43 | 0.34 | 0.77 | (0.43 | ) | — | (0.43 | ) | 11.63 | ||||||||||||||||||||||||
2012 | 10.22 | 0.46 | 1.05 | 1.51 | (0.44 | ) | — | (0.44 | ) | 11.29 | ||||||||||||||||||||||||
2011 | 10.64 | 0.46 | (0.44 | ) | 0.02 | (0.44 | ) | — | (0.44 | ) | 10.22 | |||||||||||||||||||||||
Class C (2/14) | ||||||||||||||||||||||||||||||||||
2016(g) | 11.45 | 0.15 | (0.24 | ) | (0.09 | ) | (0.15 | ) | — | (0.15 | ) | 11.21 | ||||||||||||||||||||||
2015 | 11.06 | 0.32 | 0.37 | 0.69 | (0.30 | ) | — | (0.30 | ) | 11.45 | ||||||||||||||||||||||||
2014(e) | 10.95 | 0.02 | 0.11 | 0.13 | (0.02 | ) | — | (0.02 | ) | 11.06 | ||||||||||||||||||||||||
Class C2 (9/94)(f) | ||||||||||||||||||||||||||||||||||
2016(g) | 11.46 | 0.16 | (0.24 | ) | (0.08 | ) | (0.17 | ) | — | (0.17 | ) | 11.21 | ||||||||||||||||||||||
2015 | 11.07 | 0.35 | 0.37 | 0.72 | (0.33 | ) | — | (0.33 | ) | 11.46 | ||||||||||||||||||||||||
2014 | 11.59 | 0.35 | (0.54 | ) | (0.19 | ) | (0.33 | ) | — | (0.33 | ) | 11.07 | ||||||||||||||||||||||
2013 | 11.26 | 0.36 | 0.34 | 0.70 | (0.37 | ) | — | (0.37 | ) | 11.59 | ||||||||||||||||||||||||
2012 | 10.19 | 0.40 | 1.05 | 1.45 | (0.38 | ) | — | (0.38 | ) | 11.26 | ||||||||||||||||||||||||
2011 | 10.61 | 0.40 | (0.43 | ) | (0.03 | ) | (0.39 | ) | — | (0.39 | ) | 10.19 | ||||||||||||||||||||||
Class I (2/92) | ||||||||||||||||||||||||||||||||||
2016(g) | 11.54 | 0.21 | (0.24 | ) | (0.03 | ) | (0.21 | ) | — | (0.21 | ) | 11.30 | ||||||||||||||||||||||
2015 | 11.14 | 0.44 | 0.38 | 0.82 | (0.42 | ) | — | (0.42 | ) | 11.54 | ||||||||||||||||||||||||
2014 | 11.67 | 0.44 | (0.55 | ) | (0.11 | ) | (0.42 | ) | — | (0.42 | ) | 11.14 | ||||||||||||||||||||||
2013 | 11.33 | 0.45 | 0.35 | 0.80 | (0.46 | ) | — | (0.46 | ) | 11.67 | ||||||||||||||||||||||||
2012 | 10.26 | 0.48 | 1.06 | 1.54 | (0.47 | ) | — | (0.47 | ) | 11.33 | ||||||||||||||||||||||||
2011 | 10.68 | 0.48 | (0.43 | ) | 0.05 | (0.47 | ) | — | (0.47 | ) | 10.26 | |||||||||||||||||||||||
| 68 | Nuveen Investments |
| Ratios/Supplemental Data | ||||||||||||||||||||||||||
| Ratios to Average Net Assets | ||||||||||||||||||||||||||
| Total Return(b) | Ending Net Assets (000) | Expenses Including Interest(c) | Expenses Excluding Interest | Net Investment Income (Loss) | Portfolio Turnover Rate(d) | |||||||||||||||||||||
| (0.39 | )% | $ | 135,367 | 0.81 | %* | 0.81 | %* | 3.43 | %* | 10 | % | |||||||||||||||
| 7.22 | 130,664 | 0.81 | 0.81 | 3.60 | 11 | |||||||||||||||||||||
| (1.08 | ) | 153,126 | 0.83 | 0.83 | 3.75 | 13 | ||||||||||||||||||||
| 6.93 | 169,891 | 0.81 | 0.81 | 3.71 | 12 | |||||||||||||||||||||
| 15.13 | 145,946 | 0.83 | 0.83 | 4.30 | 7 | |||||||||||||||||||||
| 0.14 | 125,945 | 0.82 | 0.82 | 4.29 | 7 | |||||||||||||||||||||
| (0.79 | ) | 7,593 | 1.61 | * | 1.61 | * | 2.62 | * | 10 | |||||||||||||||||
| 6.31 | 6,690 | 1.61 | 1.61 | 2.81 | 11 | |||||||||||||||||||||
| 1.15 | 31 | 1.64 | * | 1.64 | * | 3.57 | * | 13 | ||||||||||||||||||
| (0.74 | ) | 43,273 | 1.36 | * | 1.36 | * | 2.89 | * | 10 | |||||||||||||||||
| 6.59 | 46,892 | 1.36 | 1.36 | 3.05 | 11 | |||||||||||||||||||||
| (1.57 | ) | 50,176 | 1.37 | 1.37 | 3.18 | 13 | ||||||||||||||||||||
| 6.30 | 58,848 | 1.36 | 1.36 | 3.15 | 12 | |||||||||||||||||||||
| 14.54 | 45,046 | 1.38 | 1.38 | 3.75 | 7 | |||||||||||||||||||||
| (0.41 | ) | 37,511 | 1.37 | 1.37 | 3.74 | 7 | ||||||||||||||||||||
| (0.29 | ) | 103,051 | 0.61 | * | 0.61 | * | 3.64 | * | 10 | |||||||||||||||||
| 7.42 | 104,578 | 0.61 | 0.61 | 3.81 | 11 | |||||||||||||||||||||
| (0.86 | ) | 75,577 | 0.62 | 0.62 | 3.93 | 13 | ||||||||||||||||||||
| 7.13 | 90,896 | 0.61 | 0.61 | 3.91 | 12 | |||||||||||||||||||||
| 15.30 | 79,361 | 0.63 | 0.63 | 4.51 | 7 | |||||||||||||||||||||
| 0.36 | 70,068 | 0.62 | 0.62 | 4.49 | 7 | |||||||||||||||||||||
| (a) | Per share Net Investment Income (Loss) is calculated using the average daily shares method. |
| (b) | Total return is the combination of changes in NAV without any sales charge, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. Total returns are not annualized. |
| (c) | 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 Note 3 – Portfolio Securities and Investments in Derivatives, Inverse Floating Rate Securities. |
| (d) | Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period. |
| (e) | For the period February 10, 2014 (commencement of operations) through February 28, 2014. |
| (f) | Formerly Class C Shares and renamed to Class C2 Shares on February 10, 2014. |
| (g) | For the six months ended August 31, 2015. |
| * | Annualized. |
See accompanying notes to financial statements.
| Nuveen Investments | 69 |
Financial Highlights (Unaudited) (continued)
New York
Selected data for a share outstanding throughout each period:
| Investment Operations | Less Distributions | |||||||||||||||||||||||||||||||||
Class (Commencement Date)
Year Ended February 28/29, | Beginning NAV | Net Investment Income (Loss)(a) | Net Realized/ Unrealized Gain (Loss) | Total | From Net Investment Income | From Accumulated Net Realized Gains | Total | Ending NAV | ||||||||||||||||||||||||||
Class A (9/94) | ||||||||||||||||||||||||||||||||||
2016(h) | $ | 11.14 | $ | 0.20 | $ | (0.14 | ) | $ | 0.06 | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | $ | 11.00 | |||||||||||||||
2015 | 10.71 | 0.41 | 0.43 | 0.84 | (0.41 | ) | — | (0.41 | ) | 11.14 | ||||||||||||||||||||||||
2014 | 11.30 | 0.40 | (0.60 | ) | (0.20 | ) | (0.38 | ) | (0.01 | ) | (0.39 | ) | 10.71 | |||||||||||||||||||||
2013 | 11.17 | 0.40 | 0.14 | 0.54 | (0.40 | ) | (0.01 | ) | (0.41 | ) | 11.30 | |||||||||||||||||||||||
2012 | 10.39 | 0.46 | 0.81 | 1.27 | (0.46 | ) | (0.03 | ) | (0.49 | ) | 11.17 | |||||||||||||||||||||||
2011 | 10.72 | 0.47 | (0.34 | ) | 0.13 | (0.46 | ) | — | (0.46 | ) | 10.39 | |||||||||||||||||||||||
Class C (2/14) | ||||||||||||||||||||||||||||||||||
2016(h) | 11.13 | 0.15 | (0.14 | ) | 0.01 | (0.16 | ) | — | (0.16 | ) | 10.98 | |||||||||||||||||||||||
2015 | 10.70 | 0.31 | 0.45 | 0.76 | (0.33 | ) | — | (0.33 | ) | 11.13 | ||||||||||||||||||||||||
2014(f) | 10.61 | 0.01 | 0.10 | 0.11 | (0.02 | ) | — | (0.02 | ) | 10.70 | ||||||||||||||||||||||||
Class C2 (9/94)(g) | ||||||||||||||||||||||||||||||||||
2016(h) | 11.14 | 0.17 | (0.15 | ) | 0.02 | (0.17 | ) | — | (0.17 | ) | 10.99 | |||||||||||||||||||||||
2015 | 10.71 | 0.35 | 0.43 | 0.78 | (0.35 | ) | — | (0.35 | ) | 11.14 | ||||||||||||||||||||||||
2014 | 11.30 | 0.34 | (0.60 | ) | (0.26 | ) | (0.32 | ) | (0.01 | ) | (0.33 | ) | 10.71 | |||||||||||||||||||||
2013 | 11.17 | 0.34 | 0.14 | 0.48 | (0.34 | ) | (0.01 | ) | (0.35 | ) | 11.30 | |||||||||||||||||||||||
2012 | 10.39 | 0.40 | 0.81 | 1.21 | (0.40 | ) | (0.03 | ) | (0.43 | ) | 11.17 | |||||||||||||||||||||||
2011 | 10.72 | 0.41 | (0.34 | ) | 0.07 | (0.40 | ) | — | (0.40 | ) | 10.39 | |||||||||||||||||||||||
Class I (12/86) | ||||||||||||||||||||||||||||||||||
2016(h) | 11.16 | 0.21 | (0.14 | ) | 0.07 | (0.22 | ) | — | (0.22 | ) | 11.01 | |||||||||||||||||||||||
2015 | 10.73 | 0.43 | 0.43 | 0.86 | (0.43 | ) | — | (0.43 | ) | 11.16 | ||||||||||||||||||||||||
2014 | 11.32 | 0.42 | (0.60 | ) | (0.18 | ) | (0.40 | ) | (0.01 | ) | (0.41 | ) | 10.73 | |||||||||||||||||||||
2013 | 11.19 | 0.43 | 0.13 | 0.56 | (0.42 | ) | (0.01 | ) | (0.43 | ) | 11.32 | |||||||||||||||||||||||
2012 | 10.41 | 0.48 | 0.81 | 1.29 | (0.48 | ) | (0.03 | ) | (0.51 | ) | 11.19 | |||||||||||||||||||||||
2011 | 10.73 | 0.49 | (0.33 | ) | 0.16 | (0.48 | ) | — | (0.48 | ) | 10.41 | |||||||||||||||||||||||
| 70 | Nuveen Investments |
| Ratios/Supplemental Data | ||||||||||||||||||||||||||
| Ratio to Average Net Assets(c) | ||||||||||||||||||||||||||
| Total Return(b) | Ending Net Assets (000) | Expenses Including Interest(d) | Expenses Excluding Interest | Net Investment Income (Loss) | Portfolio Turnover Rate(e) | |||||||||||||||||||||
| 0.58 | % | $ | 279,138 | 0.79 | %* | 0.78 | %* | 3.59 | %* | 18 | % | |||||||||||||||
| 7.95 | 269,664 | 0.78 | 0.78 | 3.76 | 23 | |||||||||||||||||||||
| (1.68 | ) | 314,182 | 0.81 | 0.81 | 3.78 | 47 | ||||||||||||||||||||
| 4.89 | 344,364 | 0.79 | 0.79 | 3.57 | 18 | |||||||||||||||||||||
| 12.45 | 316,904 | 0.85 | 0.84 | 4.19 | 16 | |||||||||||||||||||||
| 1.12 | 209,283 | 0.83 | 0.81 | 4.38 | 7 | |||||||||||||||||||||
| 0.09 | 13,081 | 1.58 | * | 1.57 | * | 2.74 | * | 18 | ||||||||||||||||||
| 7.13 | 7,209 | 1.58 | 1.58 | 2.86 | 23 | |||||||||||||||||||||
| 1.01 | 302 | 1.59 | * | 1.59 | * | 3.38 | * | 47 | ||||||||||||||||||
| 0.22 | 69,714 | 1.34 | * | 1.33 | * | 3.04 | * | 18 | ||||||||||||||||||
| 7.36 | 74,707 | 1.33 | 1.33 | 3.20 | 23 | |||||||||||||||||||||
| (2.23 | ) | 79,435 | 1.35 | 1.35 | 3.20 | 47 | ||||||||||||||||||||
| 4.34 | 98,792 | 1.34 | 1.34 | 3.02 | 18 | |||||||||||||||||||||
| 11.83 | 91,281 | 1.40 | 1.39 | 3.65 | 16 | |||||||||||||||||||||
| 0.58 | 61,439 | 1.38 | 1.36 | 3.82 | 7 | |||||||||||||||||||||
| 0.60 | 347,349 | 0.59 | * | 0.58 | * | 3.79 | * | 18 | ||||||||||||||||||
| 8.16 | 347,696 | 0.58 | 0.58 | 3.94 | 23 | |||||||||||||||||||||
| (1.49 | ) | 278,997 | 0.60 | 0.60 | 3.95 | 47 | ||||||||||||||||||||
| 5.10 | 330,733 | 0.59 | 0.59 | 3.78 | 18 | |||||||||||||||||||||
| 12.65 | 325,424 | 0.65 | 0.64 | 4.35 | 16 | |||||||||||||||||||||
| 1.44 | 141,171 | 0.63 | 0.61 | 4.58 | 7 | |||||||||||||||||||||
| (a) | Per share Net Investment Income (Loss) is calculated using the average daily shares method. |
| (b) | Total return is the combination of changes in NAV without any sales charge, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. Total returns are not annualized. |
| (c) | The Fund has a contractual fee waiver/expense reimbursement agreement with the Adviser, but did not receive a fee waiver/expense reimbursement during the periods presented herein. |
| (d) | 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 Note 3 – Portfolio Securities and Investments in Derivatives, Inverse Floating Rate Securities. |
| (e) | Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period. |
| (f) | For the period February 10, 2014 (commencement of operations) through February 28, 2014. |
| (g) | Formerly Class C Shares and renamed to Class C2 Shares on February 10, 2014. |
| (h) | For the six months ended August 31, 2015. |
| * | Annualized. |
See accompanying notes to financial statements.
| Nuveen Investments | 71 |
Financial Statements (Unaudited)
1. General Information and Significant Accounting Policies
General Information
Trust and Fund Information
The Nuveen Multistate Trust II (the “Trust”) is an open-end management 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”), as diversified 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 end of the reporting period for the Funds is August 31, 2015, and the period covered by these Notes to Financial Statements is the six months ended August 31, 2015 (the “current fiscal period”).
Investment Adviser
The Funds’ investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a wholly-owned subsidiary of Nuveen Investments, Inc. (“Nuveen”). The Adviser is responsible for each Fund’s overall investment strategy and asset allocation decisions. The Adviser has entered into sub-advisory agreements with Nuveen Asset Management, LLC (the “Sub-Adviser”), a subsidiary of the Adviser, under which the Sub-Adviser manages the investment portfolios of the Funds.
Investment Objectives and Principal Investment Strategies
Each Fund’s 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 the sum of its net assets and the amount of any borrowings for investment purposes in municipal bonds that pay interest that is exempt from regular federal and its respective state personal income tax. These municipal bonds include obligations issued by each Fund’s respective state and its subdivisions, authorities, instrumentalities and corporations, as well as obligations issued by U.S. territories (such as Puerto Rico, the U.S. Virgin Islands and Guam) that pay interest that is exempt from regular federal and each Fund’s 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 the Sub-Adviser 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 under-lying 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 descriptions of each Fund’s investment objective, principal investment strategies and principal risks.
Significant Accounting Policies
Each Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946 “Financial Services – Investment Companies.” 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 of America (“U.S. GAAP”).
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
| 72 | Nuveen Investments |
may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have earmarked securities in their portfolios with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments.
As of the end of the reporting period, the Funds’ outstanding when-issued/delayed delivery purchase commitments were as follows:
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
| Outstanding when-issued/delayed delivery purchase commitments | $ | 7,595,272 | $ | 2,687,550 | $ | — | $ | — | ||||||||
Investment Income
Dividend income is recorded on the ex-dividend date. Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Interest income also reflects paydowns 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. If a refund is received for workout expenditures paid in a prior reporting period, such amounts will be recognized as “Legal fee refund” on the Statement of Operations.
Dividends and Distributions to Shareholders
Dividends from net investment income are declared daily and distributed to 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 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.
Share Classes and Sales Charges
Class A Shares are generally sold with an up-front sales charge and incur a 0.20% annual 12b-1 service fee. Class A Share purchases of $1 million or more are sold at net asset value (“NAV”) 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 C Shares are sold without an up-front sales charge but incur a 0.75% annual 12b-1 distribution fee and a 0.25% annual 12b-1 service fee. The Funds will issue Class C2 Shares upon the exchange of Class C2 Shares from another Nuveen mutual fund or for the purpose of dividend reinvestment, but Class C2 Shares are not available for new accounts or for additional investment into existing accounts. Class C2 Shares include a 0.55% annual 12b-1 distribution fee and a 0.20% annual 12b-1 service fee. Class C and Class C2 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.
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 are recorded to the specific class. Currently, the only expenses that are allocated on a class-specific basis are 12b-1 distribution and service fees.
Realized and unrealized capital gains and losses of the Funds are prorated among the classes based on the relative net assets of each class.
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.
Netting Agreements
In the ordinary course of business, the Funds may enter into transactions subject to enforceable International Swaps and Derivative Association, Inc. (“ISDA”) master agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows each Fund to offset certain securities and derivatives with a specific counterparty as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, each Fund manages its cash collateral and securities collateral on a counterparty basis.
The Funds’ investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 3 – Portfolio Securities and Investments in Derivatives.
| Nuveen Investments | 73 |
Notes to Financial Statements (Unaudited) (continued)
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. Investment Valuation and Fair Value Measurements
The fair valuation input levels as described below are for fair value measurement purposes.
Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. 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). |
Prices of fixed income securities are provided by a pricing service approved by the Funds’ Board of Trustees (the “Board”). 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. These securities are generally classified as Level 2. 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 Board and/or its appointee 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 NAV (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 Board and/or its appointee.
| 74 | Nuveen Investments |
The inputs or methodologies used for valuing securities are not an indication of the risks 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 | $ | — | $ | 284,817,535 | $ | — | $ | 284,817,535 | ||||||||
| Massachusetts | ||||||||||||||||
| Long-Term Investments*: | ||||||||||||||||
Municipal Bonds | $ | — | $ | 250,535,100 | $ | 1,529,147 | ** | $ | 252,064,247 | |||||||
| New Jersey | ||||||||||||||||
| Long-Term Investments*: | ||||||||||||||||
Municipal Bonds | $ | — | $ | 282,186,225 | $ | — | $ | 282,186,225 | ||||||||
| New York | ||||||||||||||||
| Long-Term Investments*: | ||||||||||||||||
Municipal Bonds | $ | — | $ | 708,542,948 | $ | — | $ | 708,542,948 | ||||||||
| * | Refer to the Fund’s Portfolio of Investments for industry classifications. |
| ** | Refer to the Fund’s Portfolio of Investments for breakdown of these securities classified as Level 3. |
The Board is responsible for the valuation process and has appointed 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, is responsible for making fair value determinations, evaluating the effectiveness of the Funds’ pricing policies and reporting to the Board. 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 a fair value determination, based on the facts and circumstances specific to the portfolio instrument. Fair value determinations generally will be derived as follows, using public or private market information:
| (i) | If available, fair value determinations shall be derived by extrapolating from recent transactions or quoted prices for identical or comparable securities. |
| (ii) | If such information is not available, an analytical valuation methodology may be used based on other available information including, but not limited to: analyst appraisals, research reports, corporate action information, issuer financial statements and shelf registration statements. Such analytical valuation methodologies may include, but are not limited to: multiple of earnings, discount from market value 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 purchase price of a portfolio instrument will be used to fair value the instrument only if no other valuation methodology is available or deemed appropriate, and it is determined that the purchase price fairly reflects the instrument’s current value.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board, 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.
3. Portfolio Securities and Investments in Derivatives
Portfolio Securities
Inverse Floating Rate Securities
Each Fund is authorized to invest in inverse floating rate securities. An inverse floating rate security is created by depositing a municipal bond (referred to as an “Underlying Bond”), typically with a fixed interest rate, into a special purpose tender option bond (“TOB”) trust (referred to as the “TOB Trust”) created by or at the direction of one or more Funds. In turn, the TOB Trust issues (a) floating rate certificates (referred to as “Floaters”), in face amounts equal to some fraction of the Underlying Bond’s par amount or market value, and (b) an inverse floating rate certificate (referred to as an “Inverse Floater”) that represents all remaining or residual interest in the TOB Trust. Floaters typically pay short-term tax-exempt interest rates to third parties who are also provided a right to tender their certificate and receive its par value, which may be paid from the proceeds of a remarketing of the Floaters, by a loan to the TOB Trust from a third party liquidity provider (“Liquidity Provider”), or by the sale of assets from the TOB Trust. The Inverse
| Nuveen Investments | 75 |
Notes to Financial Statements (Unaudited) (continued)
Floater is issued to a long term investor, such as one or more of the Funds. The income received by the Inverse Floater holder varies inversely with the short-term rate paid to holders of the Floaters, and in most circumstances the Inverse Floater holder bears substantially all of the Underlying Bond’s downside investment risk and also benefits disproportionately from any potential appreciation of the Underlying Bond’s value. The value of an Inverse Floater will be more volatile than that of the Underlying Bond because the interest rate is dependent on not only the fixed coupon rate of the Underlying Bond but also on the short-term interest paid on the Floaters, and because the Inverse Floater essentially bears the risk of loss (and possible gain) of the greater face value of the Underlying Bond.
The Inverse Floater held by a Fund gives the Fund the right to (a) cause the holders of the Floaters to tender their certificates at par (or slightly more than par in certain circumstances), and (b) have the trustee of the TOB Trust (the “Trustee”) transfer the Underlying Bond held by the TOB Trust to the Fund, thereby collapsing the TOB Trust.
The Fund may acquire an Inverse Floater in a transaction where it (a) transfers an Underlying Bond that it owns to a TOB Trust created by a third party or (b) transfers an Underlying Bond that it owns, or that it has purchased in a secondary market transaction for the purpose of creating an Inverse Floater, to a TOB Trust created at its direction, and in return receives the Inverse Floater of the TOB Trust (referred to as a “self-deposited Inverse Floater”). A Fund may also purchase an Inverse Floater in a secondary market transaction from a third party creator of the TOB Trust without first owning the Underlying Bond (referred to as an “externally-deposited Inverse Floater”).
An investment in a self-deposited Inverse Floater is accounted for as a “financing” transaction (i.e., a secured borrowing). For a self-deposited Inverse Floater, the Underlying Bond deposited into the TOB Trust is identified in the Fund’s Portfolio of Investments as “(UB) – Underlying bond of an inverse floating rate trust reflected as a financing transaction,” with the Fund recognizing as liabilities, labeled “Floating rate obligations” on the Statement of Assets and Liabilities, (a) the liquidation value of Floaters issued by the TOB Trust, and (b) the amount of any borrowings by the TOB Trust from a Liquidity Provider to enable the TOB Trust to purchase outstanding Floaters in lieu of a remarketing. In addition, the Fund recognizes in “Investment Income” the entire earnings of the Underlying Bond, and recognizes (a) the interest paid to the holders of the Floaters or on the TOB Trust’s borrowings, and (b) other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust, as a component of “Interest expense” on the Statement of Operations.
In contrast, an investment in an externally-deposited Inverse Floater is accounted for as a purchase of the Inverse Floater and is identified in the Fund’s Portfolio of Investments as “(IF) – Inverse floating rate investment.” For an externally-deposited Inverse Floater, a Fund’s Statement of Assets and Liabilities recognizes the Inverse Floater and not the Underlying Bond as an asset, and the Fund does not recognize the Floaters, or any related borrowings from a Liquidity Provider, as a liability. Additionally, the Fund reflects in “Investment Income” only the net amount of earnings on the Inverse Floater (net of the interest paid to the holders of the Floaters or the Liquidity Provider as lender, and the expenses of the Trust), and does not show the amount of that interest paid or the expenses of the TOB Trust as described above as interest expense on the Statement of Operations.
Fees paid upon the creation of a TOB Trust for self-deposited Inverse Floaters and externally-deposited Inverse Floaters are recognized as part of the cost basis of the Inverse Floater and are capitalized over the term of the TOB Trust.
As of the end of the reporting period, the aggregate value of Floaters issued by each Fund’s TOB Trust for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as follows:
| Floating Rate Obligations Outstanding | Connecticut | Massachusetts | New Jersey | New York | ||||||||||||
| Floating rate obligations: self-deposited Inverse Floaters | $ | — | $ | — | $ | — | $ | 7,955,000 | ||||||||
| Floating rate obligations: externally-deposited Inverse Floaters | — | 1,600,000 | 1,770,000 | 6,105,000 | ||||||||||||
| Total | $ | — | $ | 1,600,000 | $ | 1,770,000 | $ | 14,060,000 | ||||||||
During the current fiscal period, the average amount of floating rate obligations (including any borrowings from a Liquidity Provider) outstanding, and the average annual interest rate and fees related to self-deposited Inverse Floaters, were as follows:
| Self-Deposited Inverse Floaters | Connecticut | Massachusetts | New Jersey | New York | ||||||||||||
| Average floating rate obligations outstanding | $ | — | $ | — | $ | — | $ | 7,955,000 | ||||||||
| Average annual interest rate and fees | — | % | — | % | — | % | 0.52 | % | ||||||||
TOB Trusts are supported by a liquidity facility provided by a Liquidity Provider pursuant to which the Liquidity Provider agrees, in the event that Floaters are (a) tendered to the Trustee for remarketing and the remarketing does not occur, or (b) subject to mandatory tender pursuant to the terms of the TOB Trust agreement, to either purchase Floaters or to provide the Trustee with an advance from a loan facility to fund the purchase of Floaters by the TOB Trust. In certain circumstances, the Liquidity Provider may otherwise elect to have the Trustee sell the Underlying Bond to retire the Floaters that were tendered and not remarketed prior to providing such a loan. In these circumstances, the Liquidity Provider remains obligated to provide a loan to the extent that the proceeds of the sale of the Underlying Bond is not sufficient to pay the purchase price of the Floaters.
The size of the commitment under the loan facility for a given TOB Trust is at least equal to the balance of that TOB Trust’s outstanding Floaters plus any accrued interest. In consideration of the loan facility, fee schedules are in place and are charged by the Liquidity Provider(s). Any loans made by the Liquidity Provider will be secured by the purchased Floaters held by the TOB Trust. Interest paid on any outstanding loan balances will be effectively
| 76 | Nuveen Investments |
borne by the Fund that owns the Inverse Floaters of the TOB Trust that has incurred the borrowing and may be at a rate that is greater than the rate that would have been paid had the Floaters been successfully remarketed.
As described above, any amounts outstanding under a liquidity facility are recognized as a component of “Floating rate obligations” on the Statement of Assets and Liabilities by the Fund holding the corresponding Inverse Floaters issued by the borrowing TOB Trust. As of the end of the reporting period, there were no loans outstanding under any such facility.
Each Fund may also enter into shortfall and forbearance agreements (sometimes referred to as a “recourse arrangement” or “credit recovery swap”) (TOB Trusts involving such agreements are referred to herein as “Recourse Trusts”), under which a Fund agrees to reimburse the Liquidity Provider for the Trust’s Floaters, in certain circumstances, for the amount (if any) by which the liquidation value of the Underlying Bond held by the TOB Trust may fall short of the sum of the liquidation value of the Floaters issued by the TOB Trust plus any amounts borrowed by the TOB Trust from the Liquidity Provider, plus any shortfalls in interest cash flows. Under these agreements, a Fund’s potential exposure to losses related to or on an Inverse Floater may increase beyond the value of the Inverse Floater as a Fund may potentially be liable to fulfill all amounts owed to holders of the Floaters or the Liquidity Provider. Any such shortfall amount in the aggregate is recognized as “Unrealized depreciation on Recourse Trusts” on the Statement of Assets and Liabilities.
As of the end of the reporting period, each Fund’s maximum exposure to the Floaters issued by Recourse Trusts for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as follows:
| Floating Rate Obligations – Externally-Deposited Recourse Trusts | Connecticut | Massachusetts | New Jersey | New York | ||||||||||||
| Maximum exposure to Recourse Trusts: self-deposited Inverse Floaters | $ | — | $ | — | $ | — | $ | — | ||||||||
| Maximum exposure to Recourse Trusts: externally-deposited Inverse Floaters | — | 1,600,000 | 1,770,000 | — | ||||||||||||
| Total | $ | — | $ | 1,600,000 | $ | 1,770,000 | $ | — | ||||||||
Zero Coupon Securities
A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.
Investments in Derivatives
In addition to the inverse floating rate securities in which each Fund may invests, which are considered portfolio securities for financial reporting purposes, each Fund is authorized to invest in certain other derivative instruments. The Funds record derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Funds’ investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.
Although the Funds are authorized to invest in derivative instruments, and may do so in the future, they did not make any such investments during the current fiscal period.
Market and Counterparty Credit Risk
In the normal course of business each Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose each Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of each Fund’s exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and Liabilities.
Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the pre-determined threshold amount.
| Nuveen Investments | 77 |
Notes to Financial Statements (Unaudited) (continued)
4. Fund Shares
Transactions in Fund shares during the current and prior fiscal period were as follows:
| Six Months Ended 8/31/15 | Year Ended 2/28/15 | |||||||||||||||
| Connecticut | Shares | Amount | Shares | Amount | ||||||||||||
| Shares sold: | ||||||||||||||||
Class A | 585,209 | $ | 6,282,788 | 1,287,387 | $ | 13,816,697 | ||||||||||
Class C | 104,397 | 1,125,315 | 189,160 | 2,028,382 | ||||||||||||
Class C2 | 7,984 | 85,621 | 20,332 | 218,027 | ||||||||||||
Class I | 883,053 | 9,517,974 | 2,402,790 | 25,903,141 | ||||||||||||
| Shares issued to shareholders due to reinvestment of distributions: | ||||||||||||||||
Class A | 204,462 | 2,194,152 | 443,262 | 4,760,008 | ||||||||||||
Class C | 2,278 | 24,387 | 1,826 | 19,693 | ||||||||||||
Class C2 | 33,387 | 357,939 | 69,498 | 745,708 | ||||||||||||
Class I | 79,734 | 858,257 | 109,599 | 1,184,600 | ||||||||||||
| 1,900,504 | 20,446,433 | 4,523,854 | 48,676,256 | |||||||||||||
| Shares redeemed: | ||||||||||||||||
Class A | (1,088,789 | ) | (11,682,373 | ) | (4,191,477 | ) | (44,928,224 | ) | ||||||||
Class C | (13,036 | ) | (140,558 | ) | (5,843 | ) | (63,283 | ) | ||||||||
Class C2 | (254,327 | ) | (2,734,005 | ) | (488,559 | ) | (5,210,590 | ) | ||||||||
Class I | (337,185 | ) | (3,629,726 | ) | (613,334 | ) | (6,594,810 | ) | ||||||||
| (1,693,337 | ) | (18,186,662 | ) | (5,299,213 | ) | (56,796,907 | ) | |||||||||
| Net increase (decrease) | 207,167 | $ | 2,259,771 | (775,359 | ) | $ | (8,120,651 | ) | ||||||||
| Six Months Ended 8/31/15 | Year Ended 2/28/15 | |||||||||||||||
| Massachusetts | Shares | Amount | Shares | Amount | ||||||||||||
| Shares sold: | ||||||||||||||||
Class A | 378,435 | $ | 3,830,724 | 1,291,965 | $ | 13,055,837 | ||||||||||
Class C | 140,055 | 1,407,854 | 231,071 | 2,320,196 | ||||||||||||
Class C2 | 9,192 | 92,234 | 17,585 | 176,595 | ||||||||||||
Class I | 1,260,735 | 12,750,536 | 3,772,017 | 38,211,707 | ||||||||||||
| Shares issued to shareholders due to reinvestment of distributions: | ||||||||||||||||
Class A | 122,717 | 1,242,476 | 290,974 | 2,947,069 | ||||||||||||
Class C | 3,435 | 34,448 | 2,397 | 24,263 | ||||||||||||
Class C2 | 23,854 | 239,580 | 57,270 | 575,774 | ||||||||||||
Class I | 217,298 | 2,196,653 | 385,835 | 3,911,892 | ||||||||||||
| 2,155,721 | 21,794,505 | 6,049,114 | 61,223,333 | |||||||||||||
| Shares redeemed: | ||||||||||||||||
Class A | (565,259 | ) | (5,715,441 | ) | (3,614,275 | ) | (36,499,748 | ) | ||||||||
Class C | (36,199 | ) | (362,458 | ) | (1,335 | ) | (13,543 | ) | ||||||||
Class C2 | (188,691 | ) | (1,895,206 | ) | (487,444 | ) | (4,897,217 | ) | ||||||||
Class I | (945,637 | ) | (9,565,910 | ) | (1,401,777 | ) | (14,163,825 | ) | ||||||||
| (1,735,786 | ) | (17,539,015 | ) | (5,504,831 | ) | (55,574,333 | ) | |||||||||
| Net increase (decrease) | 419,935 | $ | 4,255,490 | 544,283 | $ | 5,649,000 | ||||||||||
| 78 | Nuveen Investments |
| Six Months Ended 8/31/15 | Year Ended 2/28/15 | |||||||||||||||
| New Jersey | Shares | Amount | Shares | Amount | ||||||||||||
| Shares sold: | ||||||||||||||||
Class A | 1,676,431 | $ | 18,997,403 | 1,329,034 | $ | 15,124,483 | ||||||||||
Class C | 145,820 | 1,651,334 | 615,400 | 6,955,382 | ||||||||||||
Class C2 | 8,780 | 99,163 | 33,586 | 380,203 | ||||||||||||
Class I | 699,931 | 7,958,564 | 3,210,330 | 36,677,248 | ||||||||||||
| Shares issued to shareholders due to reinvestment of distributions: | ||||||||||||||||
Class A | 170,221 | 1,930,359 | 366,074 | 4,174,531 | ||||||||||||
Class C | 6,041 | 68,210 | 7,005 | 79,918 | ||||||||||||
Class C2 | 42,078 | 475,293 | 88,341 | 1,004,669 | ||||||||||||
Class I | 117,868 | 1,341,577 | 188,235 | 2,159,934 | ||||||||||||
| 2,867,170 | 32,521,903 | 5,838,005 | 66,556,368 | |||||||||||||
| Shares redeemed: | ||||||||||||||||
Class A | (1,181,644 | ) | (13,381,362 | ) | (4,124,694 | ) | (46,932,092 | ) | ||||||||
Class C | (58,461 | ) | (659,941 | ) | (41,101 | ) | (470,383 | ) | ||||||||
Class C2 | (283,830 | ) | (3,210,876 | ) | (563,929 | ) | (6,392,699 | ) | ||||||||
Class I | (755,947 | ) | (8,597,781 | ) | (1,120,574 | ) | (12,812,730 | ) | ||||||||
| (2,279,882 | ) | (25,849,960 | ) | (5,850,298 | ) | (66,607,904 | ) | |||||||||
| Net increase (decrease) | 587,288 | $ | 6,671,943 | (12,293 | ) | $ | (51,536 | ) | ||||||||
| Six Months Ended 8/31/15 | Year Ended 2/28/15 | |||||||||||||||
| New York | Shares | Amount | Shares | Amount | ||||||||||||
| Shares sold: | ||||||||||||||||
Class A | 2,560,834 | $ | 28,209,735 | 2,933,063 | $ | 32,183,942 | ||||||||||
Class C | 578,847 | 6,375,492 | 618,485 | 6,790,411 | ||||||||||||
Class C2 | 50,716 | 558,932 | 71,109 | 783,509 | ||||||||||||
Class I | 1,604,246 | 17,720,075 | 7,160,327 | 78,820,451 | ||||||||||||
| Shares issued to shareholders due to reinvestment of distributions: | ||||||||||||||||
Class A | 377,667 | 4,163,287 | 821,486 | 9,042,897 | ||||||||||||
Class C | 9,165 | 100,772 | 7,194 | 79,607 | ||||||||||||
Class C2 | 70,581 | 777,473 | 151,896 | 1,673,197 | ||||||||||||
Class I | 510,145 | 5,629,909 | 912,741 | 10,086,975 | ||||||||||||
| 5,762,201 | 63,535,675 | 12,676,301 | 139,460,989 | |||||||||||||
| Shares redeemed: | ||||||||||||||||
Class A | (1,756,333 | ) | (19,347,842 | ) | (8,896,827 | ) | (97,468,672 | ) | ||||||||
Class C | (44,763 | ) | (495,721 | ) | (5,964 | ) | (65,868 | ) | ||||||||
Class C2 | (486,112 | ) | (5,362,768 | ) | (937,122 | ) | (10,268,445 | ) | ||||||||
Class I | (1,730,832 | ) | (19,117,645 | ) | (2,934,423 | ) | (32,356,368 | ) | ||||||||
| (4,018,040 | ) | (44,323,976 | ) | (12,774,336 | ) | (140,159,353 | ) | |||||||||
| Net increase (decrease) | 1,744,161 | $ | 19,211,699 | (98,035 | ) | $ | (698,364 | ) | ||||||||
5. Investment Transactions
Long-term purchases and sales (including maturities) during the current fiscal period were as follows:
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
| Purchases | $ | 16,848,839 | $ | 17,738,576 | $ | 35,679,295 | $ | 154,471,521 | ||||||||
| Sales and maturities | 10,515,752 | 13,503,450 | 28,552,074 | 129,320,184 | ||||||||||||
6. Income Tax Information
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and 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.
| Nuveen Investments | 79 |
Notes to Financial Statements (Unaudited) (continued)
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.
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 NAVs of the Funds.
As of August 31, 2015, 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 | $ | 269,565,168 | $ | 236,912,907 | $ | 268,628,569 | $ | 659,187,675 | ||||||||
| Gross unrealized: | ||||||||||||||||
Appreciation | $ | 16,077,700 | $ | 17,095,804 | $ | 15,249,815 | $ | 43,718,319 | ||||||||
Depreciation | (825,333 | ) | (1,944,464 | ) | (1,692,159 | ) | (2,318,608 | ) | ||||||||
| Net unrealized appreciation (depreciation) of investments | $ | 15,252,367 | $ | 15,151,340 | $ | 13,557,656 | $ | 41,399,711 | ||||||||
Permanent differences, primarily due to federal taxes paid and taxable market discount resulted in reclassifications among the Funds’ components of net assets as of February 28, 2015, the Funds’ last tax year end, as follows:
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
| Capital paid-in | $ | 3 | $ | (3 | ) | $ | (25 | ) | $ | (2 | ) | |||||
| Undistributed (Over-distribution of) net investment income | (93 | ) | (60,596 | ) | (49,201 | ) | (46,927 | ) | ||||||||
| Accumulated net realized gain (loss) | 90 | 60,599 | 49,226 | 46,929 | ||||||||||||
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains as of February 28, 2015, the Funds’ last tax year end, were as follows:
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
| Undistributed net tax-exempt income1 | $ | 1,030,311 | $ | 1,077,981 | $ | 1,792,027 | $ | 4,511,005 | ||||||||
| Undistributed net ordinary income2 | 26,781 | 5,016 | 270,601 | 11,073 | ||||||||||||
| Undistributed net long-term capital gains | — | — | — | — | ||||||||||||
| 1 | Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividends declared during the period February 1, 2015, through February 28, 2015 and paid on March 2, 2015. |
| 2 | 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 28, 2015, was designated for purposes of the dividends paid deduction as follows:
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
| Distributions from net tax-exempt income | $ | 9,407,063 | $ | 9,081,554 | $ | 9,670,143 | $ | 25,570,822 | ||||||||
| Distributions from net ordinary income2 | 20,865 | 72,433 | 54,883 | 105,177 | ||||||||||||
| Distributions from net long-term capital gains | — | — | — | — | ||||||||||||
| 2 | Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. |
As of February 28, 2015, 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 shown in the following table. The losses not subject to expiration will be utilized first by a Fund.
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
| Expiration: | ||||||||||||||||
February 28, 2017 | $ | — | $ | 12,497 | $ | — | $ | — | ||||||||
February 28, 2018 | — | 98,330 | — | — | ||||||||||||
February 28, 2019 | — | — | 78,535 | — | ||||||||||||
| Not subject to expiration | 5,232,425 | 7,085,525 | — | 11,845,862 | ||||||||||||
| Total | $ | 5,232,425 | $ | 7,196,352 | $ | 78,535 | $ | 11,845,862 | ||||||||
During the Funds’ last tax year ended February 28, 2015, the following Funds utilized capital loss carryforwards as follows:
| Connecticut | Massachusetts | New Jersey | ||||||||||
| Utilized capital loss carryforwards | $ | 843,069 | $ | 795,915 | $ | 1,405,723 | ||||||
| 80 | Nuveen Investments |
7. Management Fees and Other Transactions with Affiliates
Each Fund’s management fee compensates the Adviser for the overall investment advisory and administrative services and general office facilities. The Sub-Adviser is compensated for its services to the Funds from the management fees paid to the Adviser.
Each Fund’s management fee consists of two components – a fund-level fee, based only on the amount of assets within each individual Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables 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.
The annual Fund-level fee, payable monthly, for each Fund is calculated according to the following schedule:
Average Daily Net Assets | Connecticut | Massachusetts | New Jersey | New York | ||||||||||||
| For the first $125 million | 0.3500 | % | 0.3500 | % | 0.3500 | % | 0.3500 | % | ||||||||
| For the next $125 million | 0.3375 | 0.3375 | 0.3375 | 0.3375 | ||||||||||||
| For the next $250 million | 0.3250 | 0.3250 | 0.3250 | 0.3250 | ||||||||||||
| For the next $500 million | 0.3125 | 0.3125 | 0.3125 | 0.3125 | ||||||||||||
| For the next $1 billion | 0.3000 | 0.3000 | 0.3000 | 0.3000 | ||||||||||||
| For the next $3 billion | 0.2750 | 0.2750 | 0.2750 | 0.2750 | ||||||||||||
| For net assets over $5 billion | 0.2500 | 0.2500 | 0.2500 | 0.2500 | ||||||||||||
The annual complex-level fee, payable monthly, for each Fund is calculated according to the following schedule:
| Complex-Level Asset Breakpoint Level* | Effective Rate at Breakpoint Level | |||
| $55 billion | 0.2000 | % | ||
| $56 billion | 0.1996 | |||
| $57 billion | 0.1989 | |||
| $60 billion | 0.1961 | |||
| $63 billion | 0.1931 | |||
| $66 billion | 0.1900 | |||
| $71 billion | 0.1851 | |||
| $76 billion | 0.1806 | |||
| $80 billion | 0.1773 | |||
| $91 billion | 0.1691 | |||
| $125 billion | 0.1599 | |||
| $200 billion | 0.1505 | |||
| $250 billion | 0.1469 | |||
| $300 billion | 0.1445 | |||
| * | 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 certain types of leverage. For these purposes, 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, 2015, the complex-level fee for each Fund was 0.1643%. |
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/or service fees, interest expenses, taxes, acquired fund fees and expenses, 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 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 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 current fiscal period, 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 | $ | 89,716 | $ | 28,538 | $ | 74,263 | $ | 263,232 | ||||||||
| Paid to financial intermediaries | 79,442 | 24,902 | 64,179 | 241,639 | ||||||||||||
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.
| Nuveen Investments | 81 |
Notes to Financial Statements (Unaudited) (continued)
During the current fiscal period, the Distributor compensated financial intermediaries directly with commission advances at the time of purchase as follows:
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
| Commission advances | $ | 34,913 | $ | 15,749 | $ | 23,288 | $ | 194,131 | ||||||||
To compensate for commissions advanced to financial intermediaries, all 12b-1 service and distribution fees collected on Class C and Class C2 Shares during the first year following a purchase are retained by the Distributor. During the current fiscal period, the Distributor retained such 12b-1 fees as follows:
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
| 12b-1 fees retained | $ | 11,388 | $ | 12,003 | $ | 24,540 | $ | 39,519 | ||||||||
The remaining 12b-1 fees charged to the 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 current fiscal period, as follows:
| Connecticut | Massachusetts | New Jersey | New York | |||||||||||||
| CDSC retained | $ | 440 | $ | 731 | $ | 1,743 | $ | 11,915 | ||||||||
8. Borrowing Arrangements
During the current fiscal period, the Funds participated in an unsecured bank line of credit (“Unsecured Credit Line”) under which outstanding balances would bear interest at a variable rate. On December 31, 2014, Connecticut, New Jersey and New York utilized $1,924,709, $512,131 and $3,791,576, respectively, of the Unsecured Credit Line at an annualized interest rate of 1.34% on its respective outstanding balance. Massachusetts did not draw on this Unsecured Credit Line during the current fiscal period.
During July 2015, the Funds, along with certain other funds managed by the Adviser (“Participating Funds”), established a 364-day, $2.53 billion standby credit facility with a group of lenders, under which the Participating Funds may borrow for various purposes other than leveraging for investment purposes. This credit agreement replaces the Unsecured Credit Line described above. A large portion of this facility’s capacity (and its associated costs as described below) is currently dedicated for use by a small number of Participating Funds, which does not include any of the Funds covered by this shareholder report. The remaining capacity under the facility (and the corresponding portion of the facility’s annual costs) is separately dedicated to most of the other open-end funds in the Nuveen fund family, including all of the Funds covered by this shareholder report, along with a number of Nuveen closed-end funds. The credit facility expires in July 2016 unless extended or renewed.
The credit facility has the following terms: a fee of 0.15% per annum on unused commitment amounts, and interest at a rate equal to the higher of (a) one-month LIBOR (London Inter-Bank Offered Rate) plus 1.25% per annum or (b) the Fed Funds rate plus 1.25% per annum on amounts borrowed. Participating Funds paid administration, legal and arrangement fees, which are recognized as a component of “other expenses” on the Statement of Operations, and along with commitment fees, have been allocated among such Participating Funds based upon the relative proportions of the facility’s aggregate capacity reserved for them and other factors deemed relevant by the Adviser and the Board of each Participating Fund.
During the current fiscal period, none of the Funds utilized this facility.
9. New Accounting Pronouncement
Financial Accounting Standards Board (“FASB”) Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures
In June 2014, the FASB issued Accounting Standards Update (“ASU”) 2014-11, Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures” (“ASU 2014-11”), that expanded secured borrowing accounting for certain reverse repurchase agreements. ASU 2014-11 also sets forth additional disclosure requirements for certain transactions accounted for as sales in order to provide financial statement users with information to compare to similar transactions accounted for as secured borrowings. ASU 2014-11 is effective prospectively for annual periods beginning after December 15, 2014, and interim periods beginning after March 15, 2015. Management is currently evaluating the impact, if any, of ASU 2014-11 on the Funds’ financial statement disclosures.
10. Subsequent Events
Change in Contingent Deferred Sales Charge (CDSC) Schedule
Effective November 1, 2015, shareholders purchasing $1 million or more of Class A shares at NAV without an up-front sales charges will be assessed a CDSC of 1.00% on any shares redeemed within eighteen months of purchase, unless the redemption is eligible for a CDSC reduction or wavier as specified in the Funds’ statement of additional information.
| 82 | Nuveen Investments |
Fund Information
Fund Manager Nuveen Fund Advisors, LLC 333 West Wacker Drive Chicago, IL 60606
Sub-Adviser Nuveen Asset Management, LLC 333 West Wacker Drive Chicago, IL 60606
| Independent Registered PricewaterhouseCoopers LLP Chicago, IL 60606
Custodian State Street Bank & Trust Company Boston, MA 02111 | Legal Counsel Chapman and Cutler LLP Chicago, IL 60603 | Transfer Agent and Boston Financial Data Services, Inc. Nuveen Investor Services P.O. Box 8530 Boston, MA 02266-8530 (800) 257-8787 | |||||||
| ||||||||||||||
| Quarterly Form N-Q Portfolio of Investments Information: Each Fund is required to file its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. You may obtain this information directly from the SEC. 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 toll-free at (800) SEC-0330 for room hours and operation. | ||||||||||||||
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| Nuveen Funds’ Proxy Voting Information: You may obtain (i) information regarding how each fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com and (ii) a description of the policies and procedures that each fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787. You may also obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov. | ||||||||||||||
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| FINRA BrokerCheck: The Financial Industry Regulatory Authority (FINRA) provides information regarding the disciplinary history of FINRA member firms and associated investment professionals. This information as well as an investor brochure describing FINRA BrokerCheck is available to the public by calling the FINRA BrokerCheck Hotline number at (800) 289-9999 or by visiting www.FINRA.org. | ||||||||||||||
| Nuveen Investments | 83 |
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.
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 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. 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 Massachusetts Municipal Debt Funds Classification Average: Represents the average annualized total return for all reporting funds in the Lipper Massachusetts Municipal Debt Funds Classification. 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. 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. Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charges.
Lipper Other States Municipal Debt Funds Classification Average: Represents the average annualized total return for all reporting funds in the Lipper Other States Municipal Debt Funds Classification. Shareholders should note that the performance of the Lipper Other States classification represents the overall average of returns for funds from ten states with a wide variety of municipal market conditions, making direct comparisons less meaningful. Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charges.
| 84 | Nuveen Investments |
Net Asset Value (NAV) Per Share: A fund’s Net Assets is equal to its total assets (securities, cash and accrued earnings) less its total liabilities. For funds with multiple classes, Net Assets are determined separately for each share class. NAV per share is equal to the fund’s (or share class’) Net Assets divided by its 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.
S&P Municipal Bond New York Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade New York municipal bond market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees.
Total Investment Exposure: Total investment exposure is a fund’s assets managed by the Adviser that are attributable to financial leverage. For these purposes, financial leverage includes a fund’s use of preferred stock and borrowings and 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.
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.
| Nuveen Investments | 85 |
Annual Investment Management Agreement
Approval Process (Unaudited)
The Board of Trustees of each Fund (each, a “Board” and each Trustee, a “Board Member”), 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 overseeing the performance of the investment adviser and sub-adviser to the respective Fund and determining whether to continue such Fund’s advisory agreement (the “Investment Management Agreement”) between the Fund and Nuveen Fund Advisors, LLC (the “Adviser”) and the sub-advisory agreement (the “Sub-Advisory Agreement” and, together with the Investment Management Agreement, the “Advisory Agreements”) between the Adviser and Nuveen Asset Management, LLC (the “Sub-Adviser”). Following an initial term with respect to each Fund upon its commencement of operations, the Board is required to consider the continuation of the Advisory Agreements on an annual basis pursuant to the requirements of the Investment Company Act of 1940, as amended (the “1940 Act”). Accordingly, at an in-person meeting held on May 11-13, 2015 (the “May Meeting”), the Board, including a majority of the Independent Board Members, considered and approved the existing Advisory Agreements for the Funds.
In preparation for its considerations at the May Meeting, the Board received in advance of the meeting extensive materials prepared in connection with the review of the Advisory Agreements. The materials provided a broad range of information regarding the Funds, including, among other things, the nature, extent and quality of services provided by the Adviser and Sub-Adviser (the Adviser and Sub-Adviser are collectively, the “Fund Advisers” and each, a “Fund Adviser”); Fund performance including performance assessments against peers and the appropriate benchmark(s); fee and expense information of the Funds compared 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 profitability information of the Fund Advisers as described in further detail below. As part of its annual review, the Board also held a separate meeting on April 14-15, 2015 to review the Funds’ investment performance and consider an analysis by the Adviser of the Sub-Adviser which generally evaluated the Sub-Adviser’s investment team, investment mandate, organizational structure and history, investment philosophy and process, and the performance of the Funds, and any significant changes to the foregoing. During the review, the Independent Board Members asked questions of and requested additional information from management.
The Board considered that the evaluation process with respect to the Fund Advisers is an ongoing process that encompassed the information and knowledge gained throughout the year. The Board, acting directly or through its committees, met regularly during the course of the year and received information and considered factors at each meeting that would be relevant to its annual consideration of the Advisory Agreements, including information relating to Fund performance; Fund expenses; investment team evaluations; and valuation, compliance, regulatory and risk matters. In addition to regular reports, the Adviser provided special reports to the Board to enhance the Board’s understanding on topics that impact some or all of the Nuveen funds and the Adviser (such as presentations on risk and stress testing; the new governance, risk and compliance system; cybersecurity developments; Nuveen fund accounting and reporting matters; regulatory developments impacting the investment company industry and the business plans or other matters impacting the Adviser). The Board also met with key investment personnel managing certain Nuveen fund portfolios during the year.
The Board had created several standing committees including the Open-End Funds Committee and the Closed-End Funds Committee to assist the full Board in monitoring and gaining a deeper insight into the distinctive business practices of closed-end and open-end funds. These Committees met prior to each quarterly Board meeting, and the Adviser provided presentations to these Committees permitting them to delve further into specific matters or initiatives impacting the respective product line.
The Board also continued its program of seeking to have the Board Members or a subset thereof visit each sub-adviser to the Nuveen funds at least once over a multiple year rotation, meeting with key investment and business personnel. In this regard, the Independent Board Members made site visits to multiple equity and fixed-income investment teams of the Sub-Adviser in June 2014.
The Board considered the information provided and knowledge gained at these meetings and visits during the year when performing its annual review of the Advisory Agreements. The Independent Board Members also were assisted throughout the process by independent legal counsel. During the course of the year and during their deliberations regarding the review of advisory contracts, the Independent Board Members met with independent legal counsel in executive sessions without management present. The Independent Board Members also received a memorandum from independent legal counsel outlining the legal standards for their consideration of the proposed continuation of the Advisory Agreements. 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 took into account all factors it believed relevant with respect to each Fund, including, among other things: (a) the nature, extent and quality of the services provided by the Fund Advisers; (b) the investment performance of the Funds and Fund Advisers; (c) the advisory fees and costs of the
| 86 | Nuveen Investments |
services to be provided to the Funds 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 Funds; 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 the Advisory Agreements for each Fund. 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 evaluating the renewal of the Advisory Agreements, the Independent Board Members received and considered information regarding the nature, extent and quality of the applicable Fund Adviser’s services provided to each respective Fund. The Board reviewed information regarding, among other things, each Fund Adviser’s organization and business, the types of services that each Fund Adviser or its affiliates provided to the Funds, the performance record of the Funds (as described in further detail below), and any initiatives that had been undertaken on behalf of the open-end product line. The Board recognized the high quality of services the Adviser had provided to the Funds over the years and the conscientiousness with which the Adviser provided these services. The Board also considered the improved capital structure of Nuveen Investments, Inc. (“Nuveen”) (the parent of the Adviser) following the acquisition of Nuveen by TIAA-CREF in 2014 (the “TIAA-CREF Transaction”).
With respect to the services, the Board noted the Funds were registered investment companies that operated in a regulated industry and considered the myriad of investment management, administrative, compliance, oversight and other services the Adviser provided to manage and operate the Funds. Such services included, among other things: (a) product management (such as analyzing ways to better position a Nuveen fund in the marketplace, setting dividends; maintaining relationships to gain access to distribution platforms; and providing shareholder communications); (b) fund administration (such as preparing tax returns and other tax compliance services, preparing regulatory filings and shareholder reports; managing fund budgets and expenses; overseeing a fund’s various service providers and supporting and analyzing new and existing funds); (c) Board administration (such as supporting the Board and its committees, in relevant part, by organizing and administering the Board and committee meetings and preparing the necessary reports to assist the Board in its duties); (d) compliance (such as monitoring adherence to a fund’s investment policies and procedures and applicable law; reviewing the compliance program periodically and developing new policies or updating existing compliance policies and procedures as considered necessary or appropriate; responding to regulatory requests; and overseeing compliance testing of the funds’ sub-advisers); (e) legal support (such as preparing or reviewing fund registration statements, proxy statements and other necessary materials; interpreting regulatory requirements and compliance thereof; and maintaining applicable registrations); and (f) investment services (such as overseeing and reviewing the funds’ sub-advisers and their investment teams; analyzing performance of the funds; overseeing investment and risk management; evaluating brokerage transactions and securities lending, overseeing the daily valuation process for portfolio securities and developing and recommending valuation policies and methodologies and changes thereto; reporting to the Board on various matters including performance, risk and valuation; and participating in fund development, leverage management, and the developing or interpreting of investment policies and parameters).
In its review, the Board considered information highlighting the various initiatives that the Adviser had implemented or continued during the last year to enhance its services to the Nuveen funds. The Board recognized that some of these initiatives are a result of a multi-year process. In reviewing the activities of 2014, the Board recognized the Adviser’s continued focus on fund rationalization for open-end funds through mergers, fund closures or repositioning the funds in seeking to enhance shareholder value, reduce costs, improve performance, eliminate fund overlap and better meet shareholder needs. The Board noted the Adviser’s investment in additional staffing to strengthen and improve its services to the Nuveen funds, including with respect to risk management and valuation. The Board recognized that expanding the depth and range of its risk oversight activities had been a major priority for the Adviser in recent years, and the Adviser continued to add to the risk management team, develop additional risk management programs and create committees or other teams designated to oversee or evaluate certain risks, such as liquidity risk, enterprise risk, investment risk and cybersecurity risk. The Adviser had also continued to add to the valuation team, launched its centralized securities valuation system which is intended to provide for uniform pricing and reporting across the complex as the system continues to develop, continued to refine its valuation analysis and updated related policies and procedures and evaluated and assessed pricing services. The Board considered the Adviser’s ongoing investment in information technology and operations and the various projects of the information technology team to support the continued growth and complexity of the Nuveen funds and increase efficiencies in their operations. The Board also recognized the Adviser’s strong commitment to compliance and reviewed information reflecting the compliance group’s ongoing activities to enhance its compliance system and refine its compliance procedures as well as the Chief Compliance Officer’s report regarding the compliance team, the initiatives the team had undertaken in 2014 and proposed for 2015, the compliance functions and reporting process, the record of compliance with the policies and procedures and its supervision activities of other service providers.
With respect to the open-end fund product line, the Adviser had also, among other things: developed new funds in seeking to enhance the product line; enhanced the reporting to the Board and its committees regarding payments to intermediaries; and continued to explore opportunities for potential funds.
As noted, the Adviser also oversees the Sub-Adviser who primarily provides the portfolio advisory services to the Funds. The Board recognized the skill and competency of the Adviser in monitoring and analyzing the performance of the Sub-Adviser and managing the sub-advisory relationship. In considering the Sub-Advisory Agreements and supplementing its prior knowledge, the Board considered a current report provided by the Adviser
| Nuveen Investments | 87 |
Annual Investment Management Agreement Approval Process (Unaudited) (continued)
analyzing, among other things, the Sub-Adviser’s investment team and changes thereto, investment approach, organization and history, and assets under management, and the investment performance of each Fund.
Based on their review, the Independent Board Members found that, overall, the nature, extent and quality of services provided to the Funds under each respective Advisory Agreement were satisfactory.
B. The Investment Performance of the Funds and Fund Advisers
The Board, including the Independent Board Members, considered the performance history of each Fund over various time periods. The Board reviewed reports, including an analysis of the Funds’ performance and the applicable investment team. The Board reviewed, among other things, each Fund’s investment performance both on an absolute basis and in comparison to peer funds (the “Performance Peer Group”) and to recognized and/or customized benchmarks (i.e., generally benchmarks derived from multiple recognized benchmarks) for the quarter, one-, three- and five-year periods ending December 31, 2014, as well as performance information reflecting the first quarter of 2015. In its review, the Board noted that it also reviewed Fund performance results at each of its quarterly meetings.
In evaluating performance, the Board recognized several factors that may impact the performance data as well as the consideration given to particular performance data.
| • | The performance data reflected a snapshot in time, in this case as of the end of the most recent calendar year or quarter. A different performance period, however, could generate significantly different results. |
| • | Long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme had the ability to disproportionately affect long-term performance. |
| • | The investment experience of a particular shareholder in a fund would vary depending on when such shareholder invested in the fund, the class held (if multiple classes are offered in the fund) and the performance of the fund (or respective class) during that shareholder’s investment period. |
| • | Open-end funds offer multiple classes and the performance data provided for open-end funds was based on Class A shares. The performance of the other classes of a fund, however, should be substantially similar on a relative basis because all of the classes would be invested in the same portfolio of securities and differences in performance among classes could be principally attributed to the variations in distribution and servicing expenses of each class. |
| • | The Board recognized that the funds in the Performance Peer Group may differ somewhat from the Nuveen fund with which it is being compared and due to these differences, performance comparisons between certain of the Nuveen funds and their Performance Peer Groups may be inexact and the relevancy limited. The Board considered that management had classified the Performance Peer Group as low, medium and high in relevancy. The Board took the analysis of the relevancy of the Performance Peer Group into account when considering the comparative performance data. The Board also considered comparative performance of an applicable benchmark. While the Board was cognizant of the relative 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 considered that the variations between the objectives and investment parameters or guidelines of the Fund with its peers and/or benchmarks result in differences in performance results. |
With respect to any Nuveen funds for which the Board has identified performance concerns, the Board monitors such funds closely until performance improves, discusses with the Adviser the reasons for such results, considers those steps necessary or appropriate to address such issues, and reviews the results of any efforts undertaken. The Board is aware, however, that shareholders chose to invest or remain invested in a fund knowing that the Adviser manages the fund and knowing the fund’s fee structure.
In considering the performance data, the Independent Board Members noted the following with respect to the Funds:
For Nuveen Connecticut Municipal Bond Fund (the “Connecticut Fund”), the Board considered that the Fund ranked in its Performance Peer Group in the second quartile for the one-, three- and five-year periods. The Board also noted that, although the Fund underperformed its benchmark in the three- and five-year periods, it outperformed its benchmark in the one-year period.
For Nuveen Massachusetts Municipal Bond Fund (the “Massachusetts Fund”), the Board noted that the Fund ranked in its Performance Peer Group in the second quartile in the one-year period and first quartile in the three- and five-year periods. The Board also noted that, although the Fund underperformed its benchmark in the five-year period, it outperformed its benchmark in the one- and three-year periods.
For Nuveen New Jersey Municipal Bond Fund (the “NJ Fund”), the Board noted that the Fund ranked in its Performance Peer Group in the second quartile for the one-, three- and five-year periods and outperformed its benchmark in each of such periods.
For Nuveen New York Municipal Bond Fund (the “NY Fund”), the Board noted that the Fund ranked in its Performance Peer Group in the second quartile in the one-, three- and five-year periods and outperformed its benchmark in the one- and five-year periods and only slightly underperformed its benchmark in the three-year period.
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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 other fees and expenses of each Fund (expressed as a percentage of average net assets) in absolute terms and in comparison to the fee and expense levels of a comparable universe of funds (the “Peer Universe”) and, with respect to open-end funds, to a more focused subset in the Peer Universe (the “Peer Group”), each selected by an independent third-party fund data provider. The Independent Board Members reviewed the methodology regarding the construction of the Peer Universe and Peer Group for each Fund. The Board reviewed, 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 average and median fee and expense levels of the Peer Universe and/or Peer Group. The Board noted that the net total expense ratios paid by investors in the Funds were the most representative of an investor’s net experience. The Board Members also considered any fee waivers and/or expense reimbursement arrangements currently in effect for the Funds.
In reviewing the comparative fee and expense information, the Independent Board Members recognized that 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; differences in services provided and differences in the states reflected in the Peer Universe or Peer Group (with respect to state municipal funds) can impact the comparative data limiting the usefulness of the data to help make a conclusive assessment of the Funds’ fees and expenses.
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 majority of the Nuveen funds had a net expense ratio near or below their peer average.
The Board noted that the Massachusetts Fund, the NJ Fund and the NY Fund each had a net management fee and net expense ratio in line with their peer averages, and the Connecticut Fund had a net management fee slightly higher than its peer average but a net expense ratio 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 (as applicable) to a Fund Adviser 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 Board considered information regarding the fees a Fund Adviser assessed to the Nuveen funds compared to that of other clients as described in further detail below. With respect to municipal funds, such other clients of a Fund Adviser may include municipal separately managed accounts and passively managed exchange traded funds (ETFs) sub-advised by the Sub-Adviser.
The Board recognized that each Fund had an affiliated sub-adviser and therefore the overall Fund management fee can be divided into two components, the fee retained by the Adviser and the fee paid to the Sub-Adviser. In reviewing the nature of the services provided by the Adviser, including through its affiliated sub-advisers, the Board considered the range of advisory fee rates for retail and institutional managed accounts advised by Nuveen-affiliated sub-advisers. The Board also reviewed, among other things, the average fee the affiliated sub-advisers assessed such clients as well as the range of fee rates assessed to the different types of clients (such as retail, institutional and wrap accounts as well as non-Nuveen funds) applicable to such sub-advisers.
In reviewing the comparative information, the Board also reviewed information regarding the differences between the Funds and the other clients, including differences in services provided, investment policies, investor profiles, compliance and regulatory requirements and account sizes. The Board recognized the breadth of services necessary to operate a registered investment company (as described above) and that, in general terms, the Adviser provided the administrative and other support services to the Funds and, although the Sub-Adviser may provide some of these services, the Sub-Adviser essentially provided the portfolio management services. In general, the Board noted that higher fee levels reflected higher levels of service provided by the Fund Adviser, increased investment management complexity, greater product management requirements and higher levels of business risk or some combination of the foregoing. The Independent Board Members considered the differences in structure and operations of separately managed accounts and hedge funds from registered funds and noted that the range of day-to-day services was not generally of the breadth required for the registered funds. Many of the additional administrative services provided by the Adviser were not required for institutional clients or funds sub-advised by a Nuveen-affiliated sub-adviser that were offered by other fund groups. The Independent Board Members also recognized that the management fee rates of the foreign funds advised by the Adviser may vary due to, among other things, differences in the client base, governing bodies, operational complexities and services covered by the management fee. Given the inherent differences in the various products, particularly the extensive services provided to the Funds, the Independent Board Members believed such facts justify the different levels of fees.
| Nuveen Investments | 89 |
Annual Investment Management Agreement Approval Process (Unaudited) (continued)
3. Profitability of Fund Advisers
In conjunction with their 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, among other things, the adjusted operating margins for Nuveen for the last two calendar years, the revenues, expenses, net income (pre-tax and after-tax) and net revenue margins (pre-tax and after-tax) of Nuveen’s managed fund advisory activities for the last two calendar years, the allocation methodology used by Nuveen in preparing the profitability data and a history of the adjustments to the methodology due to changes in the business over time. The Independent Board Members also reviewed the revenues, expenses, net income (pre-tax and after-tax) and revenue margin (pre-tax and post-tax) of the Adviser and, as described in further detail below, each affiliated sub-adviser for the 2014 calendar year. In reviewing the profitability data, the Independent Board Members noted the subjective nature of cost allocation methodologies used to determine profitability as other reasonable methods could also have been employed but yield different results. The Independent Board Members reviewed an analysis of the key drivers behind the changes in revenues and expenses that impacted profitability in 2014. The Independent Board Members recognized that Nuveen’s net revenue margin from advisory activities for 2014 was consistent with 2013. The Independent Board Members also considered the profitability of Nuveen in comparison to the adjusted operating margins of other investment advisers with publicly available data and with comparable assets under management (based on asset size and asset composition) to Nuveen. The Independent Board Members noted that Nuveen’s adjusted operating margins appeared to be reasonable in relation to such other advisers. The Independent Board Members, however, recognized the difficulty of making comparisons of profitability from fund investment advisory contracts as the information is not generally publicly available, the information for the investment advisers that was publicly available may not be representative of the industry and various other factors would impact the profitability data such as differences in services offered, business mix, expense methodology and allocations, capital structure and costs, complex size, and types of funds and other accounts managed.
The Independent Board Members noted this information supplemented the profitability information requested and received during the year and noted that two Independent Board Members served as point persons to review the profitability analysis and methodologies employed, and any changes thereto, and to keep the Board apprised of such changes during the year.
The Independent Board Members determined that Nuveen appeared to be sufficiently profitable to operate as a viable investment management firm and to honor its obligations as a sponsor of the Nuveen funds. The Independent Board Members noted the Adviser’s continued expenditures to upgrade its investment technology and increase personnel and recognized the Adviser’s continued commitment to its business to enhance the Adviser’s capacity and capabilities in providing the services necessary to meet the needs of the Nuveen funds as they grow or change over time. The Independent Board Members also noted that the sub-advisory fees for the Nuveen funds are paid by the Adviser, however, the Board recognized that many of the sub-advisers, including the Sub-Adviser, are affiliated with Nuveen. The Independent Board Members also noted the increased resources and support available to Nuveen as well as an improved capital structure as a result of the TIAA-CREF Transaction.
With respect to the Sub-Adviser, the Independent Board Members reviewed the Sub-Adviser’s revenues, expenses and revenue margins (pre- and post-tax) for its advisory activities for the calendar year ended December 31, 2014. The Independent Board Members also reviewed profitability analysis reflecting the revenues, expenses and the revenue margin (pre- and post-tax) by asset type for the Sub-Adviser for the calendar year ended December 31, 2014.
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 indirect benefits (such as soft dollar arrangements), if any, the Fund Adviser and its affiliates received or were expected to receive that were directly attributable to the management of a Fund. 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, the Independent Board Members determined that the Adviser’s and the Sub-Adviser’s level of profitability was reasonable in light of the respective services provided.
D. Economies of Scale and Whether Fee Levels Reflect These Economies of Scale
The Independent Board Members recognized that, as the assets of a particular fund or the Nuveen complex in the aggregate increase over time, economies of scale may be realized, and the Independent Board Members considered the extent to which the funds benefit from such economies of scale. Although the Independent Board Members recognized that economies of scale are difficult to measure, the Board recognized that one method to help ensure the shareholders share in these benefits is to include breakpoints in the management fee schedule reducing fee rates as asset levels grow. The Independent Board Members noted that, subject to certain exceptions, the management fees of the funds in the Nuveen complex are generally comprised of a fund-level component and complex-level component. Each component of the management fee for each Fund included breakpoints to reduce management fee rates of the Fund as the Fund grows and, as described below, as the Nuveen complex grows. In addition to fund-specific breakpoint schedules which reduce the fee rates of a particular fund as its assets increase, the Independent Board Members recognized that the Adviser also passed on the benefits of economies of scale through the complex-wide fee arrangement which reduced management fee rates as assets in the fund complex reached 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 reflected the
| 90 | Nuveen Investments |
notion that some of Nuveen’s costs were attributable to services provided to all its funds in the complex, and therefore all funds benefit if these costs were spread over a larger asset base. The Independent Board Members reviewed the breakpoint and complex-wide schedules and the fee reductions achieved as a result of such structures for the 2014 calendar year.
The Independent Board Members also noted that additional economies of scale were shared with shareholders of the Massachusetts Fund and the NY Fund through the adoption of permanent expense caps. The Independent Board Members further considered that as part of the TIAA-CREF Transaction, Nuveen agreed, for a period of two years from the date of the closing of the TIAA-CREF Transaction, not to increase contractual management fees for any Nuveen fund and, with respect to funds with expense caps, not to raise expense cap levels for such funds from levels in effect at that time or scheduled to go into effect prior to the closing of the TIAA-CREF Transaction.
The commitment would not limit or otherwise affect mergers or liquidations of any funds in the ordinary course.
Based on their review, the Independent Board Members concluded that the current fee structure was acceptable and reflected economies of scale to be shared with shareholders when assets under management increase.
E. Indirect Benefits
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 the Funds. In this regard, the Independent Board Members recognized that an affiliate of the Adviser served as the Funds’ principal underwriter and may receive compensation therefore from, among other things, sales charges, distribution fees and shareholder services fees (which included fees received pursuant to any 12b-1 plan). The Independent Board Members therefore took into account, among other things, 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 Adviser 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 Fund and other clients. The Funds’ portfolio transactions are allocated by the Sub-Adviser. Accordingly, the Independent Board Members considered that the Sub-Adviser may benefit from research provided by broker-dealers executing portfolio transactions on behalf of the Funds. With respect to any fixed income securities, however, the Board recognized that such securities generally trade on a principal basis that does not generate soft dollar credits. Similarly, the Board recognized that any research received pursuant to soft dollar arrangements by the Sub-Adviser may also benefit the Funds and shareholders to the extent the research enhanced the ability of the Sub-Adviser to manage the Funds. The Independent Board Members noted that the Sub-Adviser’s profitability may be somewhat lower if it had to acquire any such research 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, concluded that the terms of each Advisory Agreement were fair and reasonable, that the respective Fund Adviser’s fees were reasonable in light of the services provided to each Fund and that the Advisory Agreements be renewed.
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| Serving Investors for Generations | ||||||||||||||
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| 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. | ||||||||||||||
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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 more than $220 billion as of September 30, 2015. | ||||||||||||||
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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 | ||||||||||||||
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| Distributed by Nuveen Securities, LLC 333 West Wacker Drive Chicago, IL 60606 | www.nuveen.com/mf | ||||||||||||||
MSA-MS3-0815D 11050-INV-B-10/16
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 5, 2015
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 5, 2015
| By | (Signature and Title) | /s/ Stephen D. Foy | ||||
Stephen D. Foy Vice President and Controller (principal financial officer) |
Date: November 5, 2015