UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-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)
Christopher M. Rohrbacher
Vice President and Secretary
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: February 28, 2019
FormN-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 Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policy making roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss.3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
Mutual Funds
28 February 2019
Nuveen Municipal
Bond Funds
Bond Funds
| Fund Name | Class A | Class C | Class C2 | Class I |
| 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 |
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.nuveen.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting the financial intermediary (such as a broker-dealer or bank) through which you hold your Fund shares or, if you are a direct investor, by enrolling at www.nuveen.com/e-reports.
You may elect to receive all future shareholder reports in paper free of charge at any time by contacting your financial intermediary or, if you are a direct investor, by calling 800-257-8787 and selecting option #1. Your election to receive reports in paper will apply to all funds held in your account with your financial intermediary or, if you are a direct investor, to all your directly held Nuveen Funds and any other directly held funds within the same group of related investment companies.
Annual Report
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/client-access
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 NO BANK GUARANTEE
Table
of Contents
3
Chairman’s Letter to Shareholders
Dear Shareholders,
Financial markets rallied in the early months of 2019, in sharp contrast to the downturn at the end of 2018, leaving investors to wonder whether such bullishness is warranted or sustainable. By the close of 2018, economic softness in China, Europe and Japan had proven more persistent than expected. The temporary boost to the U.S. economy from tax law changes appeared to be fading. Corporate earnings and profits were slowing, and some corporate managements, especially at high-profile technology companies, were downgrading their outlooks. Politics remained unpredictable, most notably with the Brexit and U.S.-China trade talks ongoing. The European Central Bank (ECB) ended its crisis-era monetary stimulus program with pledges to keep interest rates low for an extended period, while the U.S. Federal Reserve (Fed) planned to continue raising interest rates into 2019.
As the new year began, economic data have remained a mixed bag, and investors will be closely watching the first quarter 2019 corporate earnings reports. However, market sentiment shifted significantly after both the Fed and ECB turned remarkably more dovish in their interest rate projections and lowered their growth forecasts. The U.S. and China appear to be making progress on trade talks, such that President Trump did not increase tariffs as initially planned in March 2019. While these events did reduce some of the markets’ uncertainty, downside risks still appear to be rising.
Nevertheless, we believe the likelihood of a near-term recession remains low. Global growth is indeed slowing, but it’s still positive. The U.S. economy remains strong, even in the face of late-cycle pressures. Low unemployment and firming wages should continue to support consumer spending, and the November mid-term elections resulted in change, but no major surprises. In China, the government remains committed to using fiscal stimulus to offset softening exports. Europe also remains vulnerable to trade policy as well as Brexit uncertainty, but underlying strengths in European economies, including low unemployment that drives domestic demand, remain supportive of a mild expansion. In a slower growth environment, there are opportunities for investors who seek them more selectively.
We expect volatility and challenging conditions to persist in 2019 but also think there is potential for upside. You can prepare your investment portfolio by working with your financial advisor to review your goals, timeline 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,
Terence J. Toth
Chairman of the Board
April 23, 2019
4
Portfolio Managers’
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 (NAM), an affiliate of Nuveen, LLC. Portfolio managers Michael S. Hamilton, Paul L. Brennan, CFA, and Scott R. Romans, PhD, review economic and market conditions, key investment strategies, and the Funds’ performance during the twelve-month period ended February 28, 2019.
Since 2011, Michael has managed the Nuveen 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.
What factors affected the U.S. economy and the national municipal bond markets during the twelve-month reporting period ended February 28, 2019?
The U.S. economy continued to grow at a solid pace during the reporting period. Gross domestic product (GDP), which measures the value of goods and services produced by the nation’s economy less the value of the goods and services used up in production, adjusted for price changes, grew at an annualized rate of 2.2% in the fourth quarter of 2018, according to the Bureau of Economic Analysis “third” estimate. Consumer and business spending supported growth in the final months of 2018, while a weaker housing market and a larger trade deficit subtracted from GDP. For the full year 2018, U.S. GDP growth came in at 2.9%, as economic activity cooled over the second half of 2018 after peaking at 4.2% (annualized) in the second quarter of 2018.
Consumer spending, the largest driver of the economy, remained well supported by low unemployment, wage gains and tax cuts. As reported by the Bureau of Labor Statistics, the unemployment rate fell to 3.8% in February 2019 from 4.1% in February 2018 and job gains averaged around 209,000 per month for the past twelve months. As the jobs market has tightened, average hourly earnings grew at an annualized rate of 3.4% in February 2019. However, falling energy prices led to a slower rate of inflation over the past twelve months. The Consumer Price Index (CPI) increased 1.5% over the twelve-month reporting period ended February 28, 2019 before seasonal adjustment, as reported by the Bureau of Labor Statistics.
Low mortgage rates and low inventory drove home prices higher during this recovery cycle. But the pace of price increases has slowed as mortgage rates drifted higher and homes have become less affordable. The S&P CoreLogic Case-Shiller U.S. National Home Price Index, which covers all nine U.S. census divisions, was up 4.3% year-over-year in January 2019 (most recent data available at the time this report was prepared). The 10-City and 20-City Composites reported year-over-year increases of 3.2% and 3.6%, respectively.
This material is not intended to be a recommendation or investment advice, does not constitute a solicitation to buy, sell or hold a security or an investment strategy and is not provided in a fiduciary capacity. The information provided does not take into account the specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions should be made based on an investor’s objectives and circumstances and in consultation with his or her advisors.
Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein.
For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s (S&P), Moody’s Investors Service, Inc. (Moody's) or Fitch, Inc (Fitch). This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Holdings designated N/R are 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.
5
Portfolio Managers’ Comments(continued)
As some data began pointing to slower momentum in the overall economy, the Federal Reserve (Fed) notably shifted its stance. From December 2015 through December 2018, the Fed had gradually lifted its main policy interest rate to prevent the economy from overheating. In its final meeting of 2018, the Fed indicated that two more rate hikes might be forthcoming in 2019, roiling the markets, which had expected a more dovish tone. However, as more recent data revealed a mixed picture of the economy, the Fed said it would adopt a more “patient” approach, signaling the possibility of no rate hikes in 2019. As expected, the Fed held rates steady at its January 2019 committee meeting. Subsequent to the end of the reporting period, at its March 2019 meeting, the Fed again kept rates unchanged and further clarified that it will discontinue rolling assets off its balance sheet in September 2019, sooner than many observers expected.
During the twelve-month reporting period, geopolitical news remained a prominent market driver. The U.S. moved forward with tariffs on imported goods from China, as well as on steel and aluminum from Canada, Mexico and Europe. These countries announced retaliatory measures in kind, intensifying concerns about a trade war, although there have been some positive developments. In July 2018, the U.S. and the European Union announced they would refrain from further tariffs while they negotiate trade terms, and in October 2018, the U.S., Mexico and Canada agreed to a new trade deal to replace the North American Free Trade Agreement. At the November 2018 G-20 summit, the U.S. and China settled on a 90-day trade truce and after the countries resumed trade talks in early 2019, President Trump said he would not increase the tariffs in March 2019 as planned. Brexit negotiations continued to be uncertain, and Prime Minister Theresa May faced significant difficulty getting a plan approved in Parliament. (Subsequent to the end of the reporting period, the European Union approved a conditional delay, allowing the U.K. more time to approve a plan.) Europe also contended with Italy’s new euroskeptic coalition government, the “yellow vest” protests in France, immigration policy concerns and political risk in Turkey. The U.S. Treasury issued additional sanctions on Russia in April 2018 and re-imposed sanctions on Iran following the U.S. withdrawal from the 2015 nuclear agreement. Bearish crude oil supply news, along with heightened tensions between the U.S. and Saudi Arabia after the disappearance of a Saudi journalist, drove oil price volatility. On the Korean peninsula, the leaders of South Korea and North Korea met during April 2018 and jointly announced a commitment toward peace, while the U.S. and North Korea held a denuclearization summit in June 2018 and a second summit in February 2019 without securing an agreement. In late December 2018, the U.S. government entered a 35-day partial shutdown due to an impasse on border security funding. Concerns about a second shutdown were alleviated after the government passed a funding bill in February 2019.
Municipal bonds delivered positive performance in this reporting period. Interest rates were increasing through much of the reporting period, as a strong economic backdrop kept the Fed on its course of monetary tightening. The 10-year U.S. Treasury yield peaked at 3.24% in November 2018. However, in December 2018, market volatility spiked as uncertain trade policy, Brexit negotiations, and weak macro data in Europe and China weighed on the U.S. growth outlook. Equities and riskier segments of the bond market sold off sharply in the fourth quarter of 2018. Following the Fed’s December meeting, investor expectations for a pause in rate increases drove repricing in the markets, driving long-term interest meaningfully lower through the end of the reporting period. While the U.S. Treasury yield curve flattened over this reporting period, the municipal yield curve “twisted” by flattening at the short end and steepening at the long end of the curve. For the twelve-month period overall, municipal bond yields were marginally lower, belying larger intra-period swings.
Supply and demand conditions in the municipal bond market were favorable to performance in this reporting period, particularly in the latter three months. Issuance has been subdued since the passage of the Tax Cuts and Jobs Act of 2017. Because new issue advance refunding bonds are no longer tax exempt under the new tax law, the total supply of municipal bonds has decreased, boosting the scarcity value of existing municipal bonds. Municipal bond issuance nationwide totaled $347.3 billion in this reporting period, a 19.0% decrease from the issuance for the twelve-month reporting period ended February 28, 2018. Nevertheless, the overall low level of interest rates encouraged issuers to continue to actively refund their outstanding debt. In these transactions the issuers are issuing new bonds and taking the bond proceeds and redeeming (calling) old bonds. These refunding transactions have ranged from 40% to 60% of total issuance over the past few years. Thus, the net issuance (all bonds issued less bonds redeemed) is actually much lower than the gross issuance. So, while gross issuance volume has been strong, the net has not, and this was an overall positive technical factor on municipal bond investment performance in recent years. Although the pace of refundings is slowing, net negative issuance is expected to continue.
6
Low global interest rates have continued to drive investors toward higher after-tax yielding assets, including U.S. municipal bonds. The Fed’s pivot to a more dovish stance in early 2019 also brought investors back to fixed income markets, including municipal bonds, driving large inflows into the asset class in the early months of 2019. Additionally, as tax payers have begun to assess the impact of the 2017 tax law, which caps the state and local tax (SALT) deduction for individuals, demand for tax-exempt municipal bonds, especially in states with high income and/or property taxes, is expected to increase.
How were the economic and market environments in Connecticut, Massachusetts, New Jersey and New York during the twelve-month reporting period ended February 28, 2019?
Though showing steady growth, Connecticut’s economy continues to lag the national recovery. Total non-farm employment is still below the 2008 peak. Weakness in the financial services and government sectors is undermining growth. As of February 2019, Connecticut’s unemployment rate was 3.8%, on par with the national rate of 3.8%. Connecticut has a high number of defense-related industries that make it more sensitive to both cuts and increases in federal defense spending. On October 31, 2017, the Governor signed the $41.3 billion 2018-2019 biennium budget, 123 days late. It is 2.5% larger than the adopted 2016-2017 biennium budget. It contains no increases in broad-based taxes, but does rely on a complex maneuver designed to increase federal Medicaid reimbursement to the State. Legislation adopted with the biennium budget imposed stricter budget controls which helped Connecticut post a sizeable General Fund surplus in Fiscal Year 2018 and make a significant deposit to the State’s rainy day reserve fund. Connecticut’s pensions remain among the worst funded in the nation which are likely to be a source of future financial strain at the state level. According to Moody’s Investors Service, Inc. (Moody’s), Connecticut’s per-capita debt burden was the highest in the nation at $6,544 in 2017, in contrast to the national median of $987. Connecticut enjoys the highest per-capita income of the 50 states, at 139% of the national average in 2017. As of the end of the reporting period, Moody’s rated Connecticut “A1” with a stable outlook. Moody’s downgraded its rating to A1 from Aa3 on May 15, 2017 citing the State’s weakening demographics and high fixed costs. S&P rates Connecticut “A” with a positive outlook. Though S&P downgraded its rating to A from A+ on April 13, 2018 citing the State’s high fixed costs and heavy debt load, it has since shifted its outlook to positive. On April 19, 2019 (subsequent to the close of the reporting period), S&P formally changed its outlook to positive citing the State’s replenished reserves and increased financial controls. Approximately $5.6 billion in Connecticut municipal bonds were issued during the twelve months ending February 28, 2019, a gross issuance decrease of 12.6% year-over-year.
Massachusetts continues to benefit from a highly diverse economy. Biotechnology, pharmaceuticals, finance and software development are increasingly driving the Massachusetts economy, aided by the Commonwealth’s extensive education and health care sectors. Among the 50 states, Massachusetts has the highest percentage of population over 25 with a bachelor's degree, approximately 43%. This compares with the national average of 31%. Job growth in Massachusetts is strong and exceeds the national average. Unemployment in the Commonwealth was 3.0% in February 2019, below the national average of 3.8% for the same period. According to the U.S. Department of Commerce, Bureau of Economic Analysis, Massachusetts’ per capita income is second highest among the 50 states. At $65,890 for calendar year 2017, it is 131% of the national average. The Commonwealth’s $41.2 billion Fiscal Year 2019 budget represents a 2.3% increase over the adopted Fiscal 2018 budget. The 2019 budget calls for no hikes in sales or income taxes. It calls for a $96 million deposit into the Commonwealth’s rainy day fund and a reduction in one-time revenue solutions. According to Moody's, Massachusetts' debt burden is second highest in the nation (after Connecticut) on a per capita basis ($6,085 versus the median of $987) and third highest as a percentage of the state GDP (8.3% versus the median of 2.1%). As of February 2019, Moody’s rated Massachusetts Aa1 with a stable outlook, and S&P rated the Commonwealth AA with a stable outlook. S&P downgraded its rating from AA+ to AA on June 9, 2017 citing a reduction in the Commonwealth’s reserve levels. For the twelve months ended February 28, 2019, Massachusetts’ tax-exempt bond issuance totaled $9.5 billion, a 21.6% decrease over the prior twelve months.
New Jersey’s economic recovery from the recession continues to be slow. The state has several characteristics that position it to do quite well, such as its proximity to New York City’s extensive job market, a shoreline along the Atlantic coast that benefits from a strong tourism industry and two large transportation hubs in the Port of New York and New Jersey and Newark airport. However, for years following the recession, the state’s recovery fell short of many of its peers. New Jersey had the slowest job growth rate in the Northeast until the middle of 2015. In 2017, the construction, information and professional and business services sectors lost jobs, while a number of industries including health care, transportation, leisure and hospitality, and manufacturing reported job gains. As of February 2019, the state’s unemployment rate registered 4.0%, higher than the national rate of 3.8%. Maintaining and upgrading infrastructure is key to economic growth. To address the dire need to finance infrastructure projects, the New Jersey legislature voted to raise
7
Portfolio Managers’ Comments(continued)
the per-gallon tax on gas and diesel effective November 1, 2016. Prior to this, all revenues coming into the transportation trust fund were needed to cover debt service. While resources dedicated to transportation funding are set to increase, the state reduced its sales tax rate and phased out the estate tax, so general operating revenues are projected to decline. However, Governor Murphy’s proposed Fiscal Year 2019 budget restores the sales tax rate, institutes a millionaire’s tax, and counts on legalizing marijuana and closing loopholes in the corporate tax model to generate new revenues. The sluggishness of the state’s recovery exacerbated fiscal pressures caused by growing pension, health care and debt service payments. In the proposed Fiscal Year 2019 budget, expenditures on these three line items constitute 25% of expenses. The $3.2 billion pension payment in the Fiscal Year 2019 budget proposed by Governor Murphy funds only 60% of the actuarially recommended contribution. The state has been downgraded several times in recent years and now carries an A- rating by S&P, A3 by Moody’s and A by Fitch, all with stable outlooks. For the twelve months ending February 28, 2019, the state issued $12.5 billion in tax exempt debt, a gross issuance year-over-year increase of 6.3%.
New York State’s $1.5 trillion economy represents 8.0% of U.S. gross domestic product and, according to the International Monetary Fund, would be the eleventh largest economy in the world on a stand-alone basis. As of February 2019, the state’s unemployment rate registered 3.9%, above the national average of 3.8%. New York State's financial condition has generally improved over the past decade, and Fiscal Year 2018 posted a General Fund surplus. On a significantly positive note, New York State has collected approximately $11 billion in various settlements and assessments from the financial industry over the past four years. Proceeds from those settlements have been used to bolster reserves, foster economic development upstate and provide funds for the replacement of the Tappan Zee Bridge. The adopted $175.5 billion budget for Fiscal Year 2020 is 4.3% higher than the adopted Fiscal Year 2019 budget. The Fiscal Year 2020 budget contains a new transfer tax on multi-million dollar homes. It also lays the groundwork for a commuter tax in Manhattan, though the details of that tax are to be worked out later. The 2020 budget also raises education spending by $1.2 billion, a 4.5% increase. It makes permanent the 2% property tax cap and extends the temporary “millionaire’s tax” on wealthy individuals for an additional five years. New York is a high-income state, with per-capita income at 121% of the U.S. average, the third-highest among the 50 states. New York is also a heavily indebted state. According to Moody's, New York ranked fifth in the nation in debt per capita in 2017 (NY: $3,082; median: $987), eighth in debt per capita as a percentage of personal income (NY: 5.2%; median: 2.3%) and ninth in debt to gross state domestic product (NY: 4.1%; median: 2.1%). The state’s pensions have traditionally been well funded, though the funding ratios have declined in recent years. As of February 2019, Moody’s rates New York Aa1 with a stable outlook. Moody’s upgraded New York State from Aa2 to Aa1 on June 16, 2014, citing the State’s sustained improvements in fiscal governance. S&P rates the state AA+ with a stable outlook. S&P upgraded New York State from AA to AA+ on July 23, 2014, citing the State’s improved budget framework. New York municipal bond issuance totaled $42 billion for the twelve-month period ended February 28, 2019, an 11.4% decrease from the same period a year earlier. This ranked New York second among state issuers behind only California.
How did the Funds perform during the twelve-month reporting period ended February 28, 2019?
The tables in the Fund Performance, Expense Ratios and Effective Leverage Ratios section of this report provide total returns for the Funds for the one-year, five-year, ten-year periods and since inception periods ended February 28, 2019. 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 reporting period, all four of the Funds underperformed the S&P Municipal Bond Index.
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 NAM. Our municipal bond portfolios are managed with a value-oriented approach and close input from NAM’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.
8
Nuveen Connecticut Municipal Bond Fund
The Class A Shares of the Nuveen Connecticut Municipal Bond Fund underperformed the S&P Municipal Bond Index for the twelve-month reporting period ended February 28, 2019.
Credit quality positioning was a slight detractor from the Fund’s results, due largely to our underweighting in the non-rated tier of the market. Our more limited exposure to this credit segment reflected generally limited availability of non-rated bonds in the Connecticut municipal marketplace. In contrast, our underweight in bonds rated AAA (the highest credit tier) added value in light of these securities’ relative underperformance. Increased portfolio exposure to the outperforming BBB rated bonds tier also modestly contributed.
Meanwhile, duration (interest rate) positioning helped the Fund. Our portfolio was overweighted on the longer end of the yield curve, particularly in bonds with an effective duration of six years and longer. We were also underweighted in bonds with an effective duration of less than six years. Both allocations added value, given that longer-term municipal interest rates fell a bit during the reporting period.
Exposure to Connecticut state general obligation (GO) debt also contributed. Given the state’s ongoing credit challenges, Connecticut GO bonds have generally been offering a yield premium compared to equivalent debt of other states. In an environment in which income was the major component of investors’ total return, the Fund benefited from Connecticut GO bonds’ generally higher yields.
During the reporting period, the Connecticut Fund experienced net outflows, perhaps reflecting investors’ continued concern about the state’s credit quality. Accordingly, we were more often selling bonds than buying them during the twelve-month reporting period. When we did sell bonds to satisfy shareholder redemptions, our focus was often on selling bonds with low book yields, so as to increase the Fund’s income-generating ability. We also sold some shorter-maturity bonds, because doing so better enabled us to maintain our desired portfolio duration.
Although purchases were limited, we did periodically add Connecticut GO bonds. In light of the state’s credit challenges, these bonds periodically came to market at unusually attractive prices; we took advantage of this opportunity when we had proceeds available to invest at opportune times. Other purchases, which continued to support our goal of improving the Fund’s income, included some special-tax bonds as well as some higher-education bond issues. We generally favored longer-duration investments with maturities of 15 years and longer, with a preference for bonds with maturities of 20 to 25 years, as these latter securities better enabled us to keep the Fund’s duration in our preferred range.
Nuveen Massachusetts Municipal Bond Fund
The Class A Shares of the Nuveen Massachusetts Municipal Bond Fund underperformed the S&P Municipal Bond Index for the twelve-month reporting period ended February 28, 2019.
Sector positioning modestly hampered performance relative to the S&P index, especially our underweighting in local general obligation (GO) bonds. In light of these securities’ relative outperformance, having more limited exposure to the category weighed on the Fund’s result.
Security selection posed another performance challenge. We attribute this difficulty to volatile cash flows throughout the reporting period. At various times, substantial new proceeds entered the portfolio through new shareholder investments or exited it via shareholder redemptions. This situation meant that we sometimes had to buy or sell bonds during inopportune market conditions. These transactions appeared to collectively weigh on the Fund’s result over the twelve-month reporting period.
In contrast, duration (interest rate) positioning contributed to the Fund’s relative performance. Our underweight on the lagging short end of the yield curve, especially in bonds with an effective duration of six years and shorter, added value, as did our overweight in bonds with an effective duration of eight years and longer. With longer-term municipal interest rates slightly falling during the reporting period, the Fund’s longer-than-index duration positioning added value.
9
Portfolio Managers’ Comments(continued)
Given the substantial cash flows entering and exiting the portfolio, we actively bought and sold bonds throughout the reporting period. On the purchase side, we added bonds across multiple market sectors, including the health care, higher education, continuing care retirement center, water and sewer, and Massachusetts GO categories.
When selling bonds to satisfy shareholder redemptions, we focused on eliminating low book yield holdings, so as to better maintain the portfolio’s yield. We also periodically liquidated shorter-maturity bonds to keep our duration sufficiently high. Further, we occasionally engaged in tax-loss trades; these transactions involved selling certain bonds at a loss and using the proceeds to buy similar securities offering more favorable yields. With this strategy, we were able to improve the Fund’s income characteristics while simultaneously generating a taxable loss we could apply against future capital gains.
When making new purchases, we emphasized investments with maturities of 15 years and longer, with a particular focus on bonds with maturities of 25 years and longer, as these longer-dated issues better enabled us to realize our duration objectives.
Nuveen New Jersey Municipal Bond Fund
The Class A Shares of the Nuveen New Jersey Municipal Bond Fund slightly underperformed the S&P Municipal Bond Index for the twelve-month reporting period ended February 28, 2019.
Security selection had a mixed impact on the Fund’s performance relative to the S&P index. Early in the reporting period, New Jersey refinanced more than $3 billion worth of lower rated tobacco bonds, replacing them with new, more highly rated securities. These newer bonds initially performed very well for the Fund. Subsequently, however, and especially during the fourth quarter of 2018, tobacco debt lagged, as investors became concerned that new industry regulations could weigh on tobacco companies’ financial position. In all, the tobacco sector produced a positive absolute return but was a relative performance detractor, given that it lagged the overall index during the reporting period.
Our exposure to pre-refunded bonds also weighed on relative performance. In light of these securities’ short average lives, they provided minimal performance benefit to the Fund, as they lagged the overall index. In contrast, the Fund benefited from investments in bonds backed by the state of New Jersey. These securities gained in value as investors became somewhat more optimistic about the state’s ability to handle its persistent fiscal challenges.
Throughout the reporting period, we continued to carefully manage the Fund’s allocation to New Jersey-backed debt, seeking to capitalize upon these securities’ performance potential while avoiding overexposure to an issuer that continues to display elevated credit risk. We saw positive relative performance from many of our health care bonds. Significant consolidation among the state’s health care providers has resulted in a stronger financial position and higher bond prices for the resulting entities. Other sources of relative outperformance included transportation bonds, especially toll-road bonds benefiting from increased economic activity, and various state-supported New Jersey higher-education institutions, which have benefited from the state’s improved credit quality.
Duration (interest rate) positioning also contributed to performance. Our duration was somewhat longer than that of the index, meaning the Fund had more sensitivity to the beneficial effects of declining interest rates. Given that rates on municipal bonds modestly fell overall during the reporting period, the portfolio’s longer-than-index duration had a modestly favorable performance impact.
Credit positioning was a modest benefit to the Fund. In particular, our overweight in lower credit rating tiers contributed. We regularly favor lower rated bonds for investment, given our confidence in NAM’s substantial credit research resources and capabilities. During this reporting period, however, the positive performance impact of our credit exposure was relatively small, reflecting the limited performance gap between higher and lower rated credit tiers.
In managing the Fund, we continued to pursue our twin objectives of seeking high income while simultaneously preserving capital for shareholders. We found the Fund well positioned coming into the reporting period. Often, however, we received new proceeds via bond refinancings, calls or maturities that required reinvestment. In these cases, we sought to maintain the portfolio’s basic characteristics as best as we could while simultaneously taking advantage of opportunities to add value through new bond purchases. For ex-
10
ample, early in the reporting period, the state of New Jersey refinanced its tobacco bonds, some of which we held in the Fund. We reinvested many of the proceeds generated by this refinancing in the state’s new tobacco bond issue. We continued to find these newer bonds generally attractive, although we were disappointed that these higher rated bonds carried somewhat lower yields than our previous tobacco holdings.
During the summer months, when there was a period of market strength, some of our shorter-dated bonds matured, including the redemption of pre-refunded bonds. This situation left us with proceeds that we reinvested in longer-dated bonds. In retrospect, the timing of this reinvestment was suboptimal, given that market conditions weakened over the next several months. Despite these longer’ bonds subpar performance for much of the reporting period, we are optimistic about their future potential and are hopeful they may add value for shareholders over time.
Throughout the reporting period, we continued to purchase New Jersey Housing and Mortgage Finance Agency single-family housing bonds. These higher quality loans offered what we believed were favorable yields relative to the securities’ credit risk. Other notable purchases included student loan and health care bonds. In most cases, our purchases took place in the intermediate to longer range of the yield curve, with maturities between 15 and 30 years. As a result of our bond purchases, we saw a modest increase in our allocation to the market’s AA credit rating and BBB credit rating tiers. Our exposure to the market’s highest credit tier (AAA) declined, largely due to certain pre-refunded bonds.
The Fund also used U.S. Treasury futures as part of an overall portfolio construction strategy to manage duration and yield curve exposure. Those contracts had a negligible impact on performance during the reporting period.
Nuveen New York Municipal Bond Fund
The Class A Shares of the Nuveen New York Municipal Bond Fund underperformed the S&P Municipal Bond Index for the twelve-month reporting period ended February 28, 2019. The Fund also lagged the state-specific S&P Municipal Bond New York Index for the same time frame.
Relative to the S&P Municipal Bond Index, an overweight in pre-refunded bonds detracted, as generally rising short-term interest rates hurt these securities, which have very short average lives. On the positive side, the Fund was underweighted in the transportation sector, which meaningfully contributed in light of the sector’s underperformance of the index.
Our credit quality positioning added to relative performance, largely on the strength of our exposure to lower credit segments. One exception to this trend, however, was our relative overweight in the BB rated credit tier of the market, which underperformed the market.
The Fund benefited modestly from its duration and yield curve positioning. Throughout the reporting period, the portfolio’s duration was longer than that of the market, meaning the Fund was more sensitive to changes in interest rates. In a market environment in which longer-duration bonds tended to outperform and shorter-duration bonds generally underperformed, our overweight on the longer end of the yield curve was helpful overall.
One notable contributor was the Fund’s relatively small position in bonds for Bronx Parking Development Company, which operates parking facilities for Yankee Stadium. This credit, while currently in default, is in the midst of working out its financial challenges, benefited from favorable operations and investors’ increased optimism that the debt could be refinanced. During the reporting period, these bonds’ price roughly doubled, meaningfully adding to the Fund’s return.
Throughout the reporting period, we took advantage of opportunities to add lower quality, higher yielding securities that we believed offered shareholders a favorable risk/reward trade-off. Such new purchases included airport, higher education, energy, land secured and health care bonds. Another purchase opportunity was to add certain bonds with coupons around 4%, as they periodically came to market at what we believed were attractive prices.
11
Portfolio Managers’ Comments(continued)
During periods in which market conditions provided fewer compelling values, our purchase focus emphasized higher quality securities that we believed would more likely hold their value should market conditions weaken. These included bonds from a variety of sectors, including tax-backed, utilities, local general obligation, ports and higher education, which were often bonds with coupons around 5% and maturities of 20 years and longer. We saw these issues as effective placeholders in the portfolio while we waited for new, better-yielding opportunities to emerge in the marketplace.
To finance our municipal bond purchases, we primarily relied on proceeds from new shareholder investments, as well as from bond calls and maturities. We also sold some higher quality bonds with lower book yields to help improve the Fund’s income characteristics.
12
Risk Considerations 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 each Fund to maintain a more stable monthly dividend, the Fund may pay dividends at a rate that may be more or less than the amount of net income actually earned by the Fund during the period. Distributions to shareholders are determined on a tax basis, which may differ from amounts recorded in the accounting records. In instances where the monthly dividend exceeds the earned net investment income, the Fund would report a negative undistributed net ordinary income. Refer to Note 6 – Income Tax Information for additional information regarding the amounts of undistributed net ordinary income and undistributed net long-term capital gains and the character of the actual distributions paid by the Fund during the period.
All monthly dividends paid by each Fund during the current reporting period were paid from net investment income. If a portion of the Fund’s monthly distributions is sourced or comprised of elements other than net investment income, including capital gains and/or a return of capital, shareholders will be notified of those sources. For financial reporting purposes, the per share amounts of each Fund’s distributions for the reporting period are presented in this report’s Financial Highlights. For income tax purposes, distribution information for each Fund as of its most recent tax year end is presented in Note 6 – Income Tax Information within the Notes to Financial Statements of this report.
13
THIS PAGE INTENTIONALLY LEFT BLANK
14
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. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. Current performance may be higher or lower than the performance shown. Total returns for a period of less than one year are not annualized. Returns at net asset value (NAV) would be lower if the sales charge were included. Returns assume reinvestment of dividends and capital gains. For performance, current to the most recent month-end visit nuveen.com or call (800) 257-8787.
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 fee waivers and/or expense reimbursements by the investment adviser 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.
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 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 its investment capital. The effective leverage ratio shown for each Fund is the amount of investment exposure created either directly 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. A Fund may from time to time borrow on a typically transient basis in connection with its day-to-day operations, primarily in connection with the need to pay cash out to redeeming shareholders or to settle portfolio trades. Such incidental borrowings, described generally in Notes to Financial Statements, Note 8—Borrowing Arrangements, are excluded from the calculation of a Fund’s effective leverage ratio.
15
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 February 28, 2019
| Average Annual | |||
| 1-Year | 5-Year | 10-Year | |
| Class A Shares at NAV | 3.09% | 3.09% | 4.28% |
| Class A Shares at maximum Offering Price | (1.28)% | 2.21% | 3.84% |
| S&P Municipal Bond Index | 4.03% | 3.45% | 4.77% |
| Lipper Other States Municipal Debt Funds Classification Average | 3.17% | 2.87% | 3.93% |
| Class C2 Shares | 2.59% | 2.53% | 3.72% |
| Class I Shares | 3.32% | 3.31% | 4.49% |
| Average Annual | |||
| 1-Year | 5-Year | Since Inception | |
| Class C Shares | 2.26% | 2.26% | 2.40% |
Average Annual Total Returns as of March 31, 2019 (Most Recent Calendar Quarter)
| Average Annual | |||
| 1-Year | 5-Year | 10-Year | |
| Class A Shares at NAV | 4.06% | 3.28% | 4.44% |
| Class A Shares at maximum Offering Price | (0.35)% | 2.39% | 3.98% |
| Class C2 Shares | 3.57% | 2.72% | 3.87% |
| Class I Shares | 4.29% | 3.48% | 4.65% |
| Average Annual | |||
| 1-Year | 5-Year | Since Inception | |
| Class C Shares | 3.23% | 2.45% | 2.59% |
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 $250,000 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) of 1% 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 total returns. Class C and Class C2 Shares automatically convert to Class A Shares ten years after purchase. 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 February 28, 2019
| Effective Leverage Ratio | 0.00% |
16
Growth of an Assumed $10,000 Investment as of February 28, 2019 – Class A Shares
The graphs do not reflect the deduction of taxes, such as state and local income taxes or capital gains taxes that a shareholder may pay on Fund distributions or the redemptions of Fund shares.
17
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 February 28, 2019
| Average Annual | |||
| 1-Year | 5-Year | 10-Year | |
| Class A Shares at NAV | 2.64% | 3.31% | 5.01% |
| Class A Shares at maximum Offering Price | (1.71)% | 2.43% | 4.56% |
| S&P Municipal Bond Index | 4.03% | 3.45% | 4.77% |
| Lipper Massachusetts Municipal Debt Funds Classification Average | 2.83% | 2.83% | 4.12% |
| Class C2 Shares | 2.03% | 2.74% | 4.44% |
| Class I Shares | 2.83% | 3.50% | 5.21% |
| Average Annual | |||
| 1-Year | 5-Year | Since Inception | |
| Class C Shares | 1.79% | 2.48% | 2.63% |
Average Annual Total Returns as of March 31, 2019 (Most Recent Calendar Quarter)
| Average Annual | |||
| 1-Year | 5-Year | 10-Year | |
| Class A Shares at NAV | 3.98% | 3.63% | 5.23% |
| Class A Shares at maximum Offering Price | (0.41)% | 2.75% | 4.78% |
| Class C2 Shares | 3.48% | 3.06% | 4.65% |
| Class I Shares | 4.27% | 3.86% | 5.44% |
| Average Annual | |||
| 1-Year | 5-Year | Since Inception | |
| Class C Shares | 3.23% | 2.80% | 2.92% |
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 $250,000 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) of 1% 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 total returns. Class C and Class C2 Shares automatically convert to Class A Shares ten years after purchase. 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 February 28, 2019
| Effective Leverage Ratio | 0.41% |
18
Growth of an Assumed $10,000 Investment as of February 28, 2019 – Class A Shares
The graphs do not reflect the deduction of taxes, such as state and local income taxes or capital gains taxes that a shareholder may pay on Fund distributions or the redemptions of Fund shares.
19
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 February 28, 2019
| Average Annual | |||
| 1-Year | 5-Year | 10-Year | |
| Class A Shares at NAV | 3.92% | 3.85% | 5.24% |
| Class A Shares at maximum Offering Price | (0.44)% | 2.95% | 4.79% |
| S&P Municipal Bond Index | 4.03% | 3.45% | 4.77% |
| Lipper New Jersey Municipal Debt Funds Classification Average | 4.31% | 3.31% | 4.54% |
| Class C2 Shares | 3.23% | 3.25% | 4.65% |
| Class I Shares | 4.12% | 4.05% | 5.44% |
| Average Annual | |||
| 1-Year | 5-Year | Since Inception | |
| Class C Shares | 3.01% | 3.00% | 3.20% |
Average Annual Total Returns as of March 31, 2019 (Most Recent Calendar Quarter)
| Average Annual | |||
| 1-Year | 5-Year | 10-Year | |
| Class A Shares at NAV | 5.30% | 4.12% | 5.45% |
| Class A Shares at maximum Offering Price | 0.90% | 3.22% | 5.00% |
| Class C2 Shares | 4.61% | 3.54% | 4.87% |
| Class I Shares | 5.51% | 4.34% | 5.66% |
| Average Annual | |||
| 1-Year | 5-Year | Since Inception | |
| Class C Shares | 4.39% | 3.29% | 3.51% |
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 $250,000 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) of 1% 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 total returns. Class C and Class C2 Shares automatically convert to Class A Shares ten years after purchase. 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 February 28, 2019
| Effective Leverage Ratio | 2.28% |
20
Growth of an Assumed $10,000 Investment as of February 28, 2019 – Class A Shares
The graphs do not reflect the deduction of taxes, such as state and local income taxes or capital gains taxes that a shareholder may pay on Fund distributions or the redemptions of Fund shares.
21
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 February 28, 2019
| Average Annual | |||
| 1-Year | 5-Year | 10-Year | |
| Class A Shares at NAV | 3.25% | 3.70% | 4.82% |
| Class A Shares at maximum Offering Price | (1.06)% | 2.82% | 4.38% |
| S&P Municipal Bond New York Index | 3.64% | 3.35% | 4.53% |
| S&P Municipal Bond Index | 4.03% | 3.45% | 4.77% |
| Lipper New York Municipal Debt Funds Classification Average | 3.51% | 3.36% | 4.45% |
| Class C2 Shares | 2.58% | 3.12% | 4.25% |
| Class I Shares | 3.47% | 3.90% | 5.03% |
| Average Annual | |||
| 1-Year | 5-Year | Since Inception | |
| Class C Shares | 2.32% | 2.86% | 3.04% |
Average Annual Total Returns as of March 31, 2019 (Most Recent Calendar Quarter)
| Average Annual | |||
| 1-Year | 5-Year | 10-Year | |
| Class A Shares at NAV | 4.66% | 3.96% | 5.03% |
| Class A Shares at maximum Offering Price | 0.29% | 3.07% | 4.58% |
| Class C2 Shares | 3.98% | 3.38% | 4.44% |
| Class I Shares | 4.79% | 4.16% | 5.23% |
| Average Annual | |||
| 1-Year | 5-Year | Since Inception | |
| Class C Shares | 3.82% | 3.13% | 3.34% |
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 $250,000 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) of 1% 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 total returns. Class C and Class C2 Shares automatically convert to Class A Shares ten years after purchase. 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% |
22
Effective Leverage Ratio as of February 28, 2019
| Effective Leverage Ratio | 0.44% |
Growth of an Assumed $10,000 Investment as of February 28, 2019 – Class A Shares
The graphs do not reflect the deduction of taxes, such as state and local income taxes or capital gains taxes that a shareholder may pay on Fund distributions or the redemptions of Fund shares.
23
Yields as of February 28, 2019
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. If the fund did not receive a fee waiver/expense reimbursement during the period under its most recent agreement, subsidized and unsubsidized yields will be equal. Refer to the Notes to Financial Statements, Note 7 – Management Fees and Other Transactions with Affiliates 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 an assumed tax rate. Your actual combined federal and state income tax rates may differ from the assumed rate. Taxable-Equivalent Yield also takes into account the percentage of the Fund’s income generated and paid by the Fund (based on payments made during the previous calendar year) that was either exempt from federal income tax but not from state income tax (e.g., income from an out-of-state municipal bond), or was exempt from neither federal nor state income tax. Separately, if the comparison were instead to investments that generate qualified dividend income, which is taxable at a rate lower than an individual’s ordinary graduated tax rate, the fund’s Taxable-Equivalent Yield would be lower.
Nuveen Connecticut Municipal Bond Fund
| Share Class | ||||
| Class A1 | Class C | Class C2 | Class I | |
| Dividend Yield | 2.88% | 2.20% | 2.43% | 3.22% |
| SEC 30-Day Yield | 2.06% | 1.35% | 1.60% | 2.35% |
| Taxable-Equivalent Yield (29.3%)2 | 2.94% | 1.93% | 2.29% | 3.36% |
Nuveen Massachusetts Municipal Bond Fund
| Share Class | ||||
| Class A1 | Class C | Class C2 | Class I | |
| Dividend Yield | 2.78% | 2.07% | 2.31% | 3.08% |
| SEC 30-Day Yield - Subsidized | 2.07% | 1.37% | 1.62% | 2.36% |
| SEC 30-Day Yield - Unsubsidized | 2.07% | 1.37% | 1.62% | 2.36% |
| Taxable-Equivalent Yield - Subsidized (29.0%)2 | 2.91% | 1.93% | 2.28% | 3.32% |
| Taxable-Equivalent Yield - Unsubsidized (29.0%)2 | 2.91% | 1.93% | 2.28% | 3.32% |
24
Nuveen New Jersey Municipal Bond Fund
| Share Class | ||||
| Class A1 | Class C | Class C2 | Class I | |
| Dividend Yield | 2.98% | 2.32% | 2.53% | 3.31% |
| SEC 30-Day Yield | 2.29% | 1.60% | 1.85% | 2.59% |
| Taxable-Equivalent Yield (29.4%)2 | 3.25% | 2.27% | 2.62% | 3.67% |
Nuveen New York Municipal Bond Fund
| Share Class | ||||
| Class A1 | Class C | Class C2 | Class I | |
| Dividend Yield | 2.93% | 2.28% | 2.50% | 3.27% |
| SEC 30-Day Yield - Subsidized | 2.17% | 1.48% | 1.72% | 2.47% |
| SEC 30-Day Yield - Unsubsidized | 2.17% | 1.48% | 1.72% | 2.47% |
| Taxable-Equivalent Yield - Subsidized (30.4%)2 | 3.12% | 2.13% | 2.47% | 3.55% |
| Taxable-Equivalent Yield - Unsubsidized (30.4%)2 | 3.12% | 2.13% | 2.47% | 3.55% |
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 shown in the respective table above.
25
Holding Summaries as of February 28, 2019
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.
For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.
Refer to the Glossary of Terms Used in this Report for definitions of terms used within this section.
Nuveen Connecticut Municipal Bond Fund
| Fund Allocation (% of net assets) | |
| Long-Term Municipal Bonds | 99.2% |
| Other Assets Less Liabilities | 0.8% |
| Net Assets | 100% |
| States and Territories (% of total investments) | |
| Connecticut | 91.8% |
| Guam | 4.6% |
| Illinois | 2.2% |
| Florida | 0.8% |
| New York | 0.6% |
| Total | 100% |
| Portfolio Composition (% of total investments) | |
| Tax Obligation/General | 24.0% |
| Health Care | 23.4% |
| Tax Obligation/Limited | 13.9% |
| U.S. Guaranteed | 11.4% |
| Water and Sewer | 11.3% |
| Education and Civic Organizations | 10.9% |
| Other | 5.1% |
| Total | 100% |
| Bond Credit Quality (% of total investment exposure) | |
| U.S. Guaranteed | 11.4% |
| AA | 39.6% |
| A | 40.1% |
| BBB | 6.3% |
| BB or Lower | 1.8% |
| N/R (not rated) | 0.8% |
| Total | 100% |
26
Nuveen Massachusetts Municipal Bond Fund
| Fund Allocation (% of net assets) | |
| Long-Term Municipal Bonds | 94.1% |
| Other Assets Less Liabilities | 5.9% |
| Net Assets | 100% |
| States and Territories (% of total investments) | |
| Massachusetts | 94.8% |
| Guam | 3.9% |
| Puerto Rico | 0.8% |
| Georgia | 0.5% |
| Total | 100% |
| Portfolio Composition (% of total investments) | |
| Education and Civic Organizations | 28.5% |
| Health Care | 23.7% |
| Tax Obligation/Limited | 16.6% |
| Tax Obligation/General | 10.3% |
| U.S. Guaranteed | 7.4% |
| Water and Sewer | 6.1% |
| Transportation | 5.0% |
| Other | 2.4% |
| Total | 100% |
| Bond Credit Quality (% of total investment exposure) | |
| U.S. Guaranteed | 6.3% |
| AAA | 8.7% |
| AA | 45.0% |
| A | 24.2% |
| BBB | 11.5% |
| BB or Lower | 4.3% |
| Total | 100% |
27
Holding Summaries as of February 28, 2019 (continued)
Nuveen New Jersey Municipal Bond Fund
| Fund Allocation (% of net assets) | |
| Long-Term Municipal Bonds | 101.2% |
| Short-Term Municipal Bonds | 0.6% |
| Other Assets Less Liabilities | 0.5% |
| Net Assets Plus Floating Rate Obligations | 102.3% |
| Floating Rate Obligations | (2.3)% |
| Net Assets | 100% |
| States and Territories (% of total investments) | |
| New Jersey | 92.0% |
| Pennsylvania | 3.7% |
| Delaware | 1.6% |
| Puerto Rico | 1.3% |
| New York | 1.1% |
| Guam | 0.3% |
| Total | 100% |
| Portfolio Composition (% of total investments) | |
| Tax Obligation/Limited | 22.9% |
| Education and Civic Organizations | 16.8% |
| Health Care | 13.5% |
| Transportation | 13.2% |
| U.S. Guaranteed | 8.7% |
| Tax Obligation/General | 7.5% |
| Housing/Multifamily | 6.3% |
| Other | 11.1% |
| Total | 100% |
| Bond Credit Quality (% of total investment exposure) | |
| U.S. Guaranteed | 8.7% |
| AAA | 10.3% |
| AA | 32.8% |
| A | 27.6% |
| BBB | 14.5% |
| BB or Lower | 5.0% |
| N/R (not rated) | 1.1% |
| Total | 100% |
28
Nuveen New York Municipal Bond Fund
| Fund Allocation (% of net assets) | |
| Long-Term Municipal Bonds | 98.4% |
| Short-Term Municipal Bonds | 0.8% |
| Other Assets Less Liabilities | 1.2% |
| Net Assets Plus Floating Rate Obligations | 100.4% |
| Floating Rate Obligations | (0.4)% |
| Net Assets | 100% |
| States and Territories (% of total investments) | |
| New York | 98.8% |
| Guam | 0.7% |
| New Jersey | 0.5% |
| Total | 100% |
| Portfolio Composition (% of total investments) | |
| Tax Obligation/Limited | 23.6% |
| Transportation | 19.9% |
| Education and Civic Organizations | 14.1% |
| Water and Sewer | 9.0% |
| Tax Obligation/General | 7.7% |
| Utilities | 7.0% |
| U.S. Guaranteed | 6.9% |
| Consumer Staples | 5.5% |
| Other | 6.3% |
| Total | 100% |
| Bond Credit Quality (% of total investment exposure) | |
| U.S. Guaranteed | 6.9% |
| AAA | 14.9% |
| AA | 46.2% |
| A | 9.5% |
| BBB | 10.8% |
| BB or Lower | 7.0% |
| N/R (not rated) | 4.7% |
| Total | 100% |
29
Expense 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 do not include the interest related expenses from inverse floaters that are reflected in the financial statements later within this report, when applicable.
The Examples below are based on an investment of $1,000 invested at the beginning of the period and held through the period ended February 28, 2019.
The beginning of the period is September 1, 2018.
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 | $1,017.20 | $1,014.10 | $1,015.20 | $1,018.30 |
| Expenses Incurred During the Period | $4.00 | $7.99 | $6.75 | $3.00 |
| 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 | $1,020.83 | $1,016.86 | $1,018.10 | $1,021.82 |
| Expenses Incurred During the Period | $4.01 | $8.00 | $6.76 | $3.01 |
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.80%, 1.60%, 1.35% and 0.60% for Classes A, C, C2 and I, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
30
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 | $1,013.70 | $1,010.50 | $1,011.70 | $1,014.60 |
| Expenses Incurred During the Period | $4.04 | $8.03 | $6.78 | $3.05 |
| 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 | $1,020.78 | $1,016.81 | $1,018.05 | $1,021.77 |
| Expenses Incurred During the Period | $4.06 | $8.05 | $6.80 | $3.06 |
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 181/365 (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 | $1,020.50 | $1,015.50 | $1,016.60 | $1,021.50 |
| Expenses Incurred During the Period | $4.06 | $8.05 | $6.80 | $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 | $1,020.78 | $1,016.81 | $1,018.05 | $1,021.77 |
| Expenses Incurred During the Period | $4.06 | $8.05 | $6.80 | $3.06 |
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 181/365 (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 | $1,016.50 | $1,011.50 | $1,013.60 | $1,017.60 |
| Expenses Incurred During the Period | $3.85 | $7.83 | $6.59 | $2.85 |
| 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 | $1,020.98 | $1,017.01 | $1,018.25 | $1,021.97 |
| Expenses Incurred During the Period | $3.86 | $7.85 | $6.61 | $2.86 |
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 181/365 (to reflect the one-half year period).
31
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees of
Nuveen Multistate Trust II:
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Nuveen Connecticut Municipal Bond Fund, Nuveen Massachusetts Municipal Bond Fund, Nuveen New Jersey Municipal Bond Fund, and Nuveen New York Municipal Bond Fund (four of the funds comprising Nuveen Multistate Trust II) (the “Funds"), including the portfolios of investments, as of February 28, 2019, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the “financial statements”) and the financial highlights for each of the years in the three-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of February 28, 2019, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-year period then ended, in conformity with U.S. generally accepted accounting principles. The financial highlights for the periods presented through February 29, 2016 were audited by other independent registered public accountants whose report dated April 27, 2016, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of February 28, 2019, by correspondence with custodians and brokers or other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
/s/ KPMG LLP
We have served as the auditor of one or more Nuveen investment companies since 2014.
Chicago, Illinois
April 26, 2019
April 26, 2019
32
Nuveen Connecticut Municipal Bond Fund
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| LONG-TERM INVESTMENTS – 99.2% | ||||||
| MUNICIPAL BONDS – 99.2% | ||||||
| Education and Civic Organizations – 10.9% | ||||||
| $210 | Albany Industrial Development Agency, New York, Revenue Bonds, Brighter Choice Charter Schools, Series 2007A, 5.000%, 4/01/20 | 3/19 at 100.00 | B | $210,076 | ||
| 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+ | 1,074,650 | ||
| 500 | 5.000%, 7/01/32 | 7/22 at 100.00 | A+ | 537,490 | ||
| 1,185 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut College, Series 2011H, 5.000%, 7/01/41 | 7/21 at 100.00 | A2 | 1,249,085 | ||
| 1,885 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, Series 2016Q-1, 5.000%, 7/01/46 | 7/26 at 100.00 | A- | 2,063,434 | ||
| 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 | 1,081,426 | ||
| 5,095 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Refunding Series 2015L, 5.000%, 7/01/45 | 7/25 at 100.00 | A- | 5,653,871 | ||
| 1,750 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2016M, 5.000%, 7/01/35 | 7/26 at 100.00 | A- | 1,968,207 | ||
| 4,110 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2017I-1, 5.000%, 7/01/42 | 7/27 at 100.00 | A | 4,548,825 | ||
| 1,400 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Trinity College, Refunding Series 2010M, 4.250%, 7/01/28 | 7/20 at 100.00 | A+ | 1,441,566 | ||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of New Haven, Series 2018K-1: | ||||||
| 2,000 | 5.000%, 7/01/37 | 7/28 at 100.00 | BBB | 2,202,720 | ||
| 250 | 5.000%, 7/01/38 | 7/28 at 100.00 | BBB | 274,125 | ||
| 950 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Westminster School, Series 2014H, 3.250%, 7/01/32 | 7/24 at 100.00 | A | 962,093 | ||
| 630 | University of Connecticut, Student Fee Revenue Bonds, Refunding Series 2010A, 5.000%, 11/15/27 | 11/19 at 100.00 | AA- | 643,709 | ||
| 22,015 | Total Education and Civic Organizations | 23,911,277 | ||||
| Health Care – 23.2% | ||||||
| 4,600 | Connecticut Health and Educational Facilities Authority Revenue Bonds, Hartford HealthCare, Series 2015F, 5.000%, 7/01/45 | 7/25 at 100.00 | A | 4,889,662 | ||
| 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+ | 2,974,341 | ||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B: | ||||||
| 345 | 5.500%, 7/01/21 – RAAI Insured | 3/19 at 100.00 | AA | 346,038 | ||
| 4,025 | 5.500%, 7/01/32 – RAAI Insured | 3/19 at 100.00 | AA | 4,032,326 |
33
Nuveen Connecticut Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Health Care(continued) | ||||||
| $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 | $7,326,401 | ||
| 500 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford HealthCare, Series 2014E, 5.000%, 7/01/42 | 7/24 at 100.00 | A | 530,155 | ||
| 1,995 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2015O, 5.000%, 7/01/36 | 7/25 at 100.00 | A3 | 2,162,819 | ||
| 4,020 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2010-I, 5.000%, 7/01/30 | 7/20 at 100.00 | BBB+ | 4,162,589 | ||
| 4,000 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2012J, 5.000%, 7/01/42 | 7/22 at 100.00 | BBB+ | 4,261,760 | ||
| 1,815 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2016K, 4.000%, 7/01/46 | 7/26 at 100.00 | BBB+ | 1,808,393 | ||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, Trinity Health Credit Group, Series 2016CT: | ||||||
| 2,350 | 5.000%, 12/01/41 | 6/26 at 100.00 | AA- | 2,608,195 | ||
| 1,195 | 5.000%, 12/01/45 | 6/26 at 100.00 | AA- | 1,317,272 | ||
| 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 | 4,413,136 | ||
| 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 | 2,116,060 | ||
| 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 | AA- | 2,672,112 | ||
| 2,520 | 5.000%, 7/01/33 | 7/24 at 100.00 | AA- | 2,796,419 | ||
| 830 | 5.000%, 7/01/34 | 7/24 at 100.00 | AA- | 918,478 | ||
| 1,670 | Orange County Health Facilities Authority, Florida, Hosiptal Revenue Bonds, Orlando Health, Inc., Series 2009, 5.125%, 10/01/26 | 10/19 at 100.00 | A+ | 1,701,981 | ||
| 48,320 | Total Health Care | 51,038,137 | ||||
| Long-Term Care – 2.0% | ||||||
| 1,100 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Duncaster, Inc., Series 2014A, 5.000%, 8/01/44 | 8/24 at 100.00 | BBB | 1,134,496 | ||
| 570 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Healthcare Facility Expansion Church Home of Hartford Inc. Project, Series 2016A, 5.000%, 9/01/46, 144A | 9/26 at 100.00 | BB | 579,610 | ||
| 2,705 | Connecticut Housing Finance Authority, State Supported Special Obligation Bonds, Refunding Series 2010-16, 5.000%, 6/15/30 | 6/20 at 100.00 | A1 | 2,806,167 | ||
| 4,375 | Total Long-Term Care | 4,520,273 | ||||
| Tax Obligation/General – 23.9% | ||||||
| Bridgeport, Connecticut, General Obligation Bonds, Series 2014A: | ||||||
| 600 | 5.000%, 7/01/32 – AGM Insured | 7/24 at 100.00 | AA | 659,448 | ||
| 1,000 | 5.000%, 7/01/33 – AGM Insured | 7/24 at 100.00 | AA | 1,097,020 | ||
| 1,065 | 5.000%, 7/01/34 – AGM Insured | 7/24 at 100.00 | AA | 1,165,025 | ||
| 2,000 | Bridgeport, Connecticut, General Obligation Bonds, Series 2016D, 5.000%, 8/15/41 – AGM Insured | 8/26 at 100.00 | AA | 2,180,980 |
34
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/General(continued) | ||||||
| $2,425 | Connecticut Health and Educational Facilities Authoroity, Revneue Bonds, Connecticut State University System, Series 2016P-1, 5.000%, 11/01/28 | 11/26 at 100.00 | A1 | $2,811,593 | ||
| 2,000 | Connecticut State, General Obligation Bonds, Refunding Series 2012E, 5.000%, 9/15/32 | 9/22 at 100.00 | A1 | 2,134,200 | ||
| 1,325 | Connecticut State, General Obligation Bonds, Refunding Series 2018C, 5.000%, 6/15/38 | 6/28 at 100.00 | A1 | 1,458,017 | ||
| 1,000 | Connecticut State, General Obligation Bonds, Series 2011D, 5.000%, 11/01/31 | 11/21 at 100.00 | A1 | 1,056,220 | ||
| 2,400 | Connecticut State, General Obligation Bonds, Series 2014A, 5.000%, 3/01/31 | 3/24 at 100.00 | A1 | 2,616,216 | ||
| 3,000 | Connecticut State, General Obligation Bonds, Series 2014F, 5.000%, 11/15/34 | 11/24 at 100.00 | A1 | 3,274,380 | ||
| 2,370 | Connecticut State, General Obligation Bonds, Series 2015F, 5.000%, 11/15/34 | 11/25 at 100.00 | A1 | 2,613,352 | ||
| Connecticut State, General Obligation Bonds, Series 2017A: | ||||||
| 1,000 | 5.000%, 4/15/34 | 4/27 at 100.00 | A1 | 1,111,290 | ||
| 3,270 | 5.000%, 4/15/35 | 4/27 at 100.00 | A1 | 3,615,639 | ||
| 1,500 | Connecticut State, General Obligation Bonds, Series 2018A, 5.000%, 4/15/37 | 4/28 at 100.00 | A1 | 1,655,310 | ||
| 500 | Hamden, Connecticut, General Obligation Bonds, Series 2016, 5.000%, 8/15/33 – BAM Insured | 8/24 at 100.00 | AA | 560,795 | ||
| 1,000 | New Haven, Connecticut, General Obligation Bonds, Refunding Series 2016A, 5.000%, 8/15/36 – AGM Insured | 8/26 at 100.00 | AA | 1,116,120 | ||
| New Haven, Connecticut, General Obligation Bonds, Series 2014A: | ||||||
| 810 | 5.000%, 8/01/30 – AGM Insured | 8/24 at 100.00 | AA | 904,908 | ||
| 700 | 5.000%, 8/01/31 – AGM Insured | 8/24 at 100.00 | AA | 779,408 | ||
| 850 | 5.000%, 8/01/32 – AGM Insured | 8/24 at 100.00 | AA | 943,262 | ||
| 850 | 5.000%, 8/01/34 – AGM Insured | 8/24 at 100.00 | AA | 937,431 | ||
| New Haven, Connecticut, General Obligation Bonds, Series 2015: | ||||||
| 795 | 5.000%, 9/01/32 – AGM Insured | 9/25 at 100.00 | AA | 895,798 | ||
| 1,620 | 5.000%, 9/01/33 – AGM Insured | 9/25 at 100.00 | AA | 1,818,256 | ||
| 500 | 5.000%, 9/01/35 – AGM Insured | 9/25 at 100.00 | AA | 558,055 | ||
| 485 | North Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 7/15/24 | No Opt. Call | Aa1 | 564,108 | ||
| 600 | Stratford, Connecticut, General Obligation Bonds, Series 2014, 5.000%, 12/15/34 | 12/22 at 100.00 | AA- | 657,456 | ||
| 2,370 | Stratford, Connecticut, General Obligation Bonds, Series 2017, 4.000%, 1/01/39 – BAM Insured | 1/27 at 100.00 | AA | 2,436,336 | ||
| 1,035 | The Metropolitan District Hartford County, Connecticut General Obligation Bonds, Series 2018, 5.000%, 7/15/35 | 7/28 at 100.00 | AA | 1,196,750 | ||
| Waterbury, Connecticut, General Obligation Bonds, Lot A Series 2015: | ||||||
| 555 | 5.000%, 8/01/30 – BAM Insured | 8/25 at 100.00 | AA | 641,574 | ||
| 485 | 5.000%, 8/01/31 – BAM Insured | 8/25 at 100.00 | AA | 560,034 | ||
| 765 | 5.000%, 8/01/32 – BAM Insured | 8/25 at 100.00 | AA | 880,897 | ||
| 555 | 5.000%, 8/01/33 – BAM Insured | 8/25 at 100.00 | AA | 637,662 | ||
| 555 | 5.000%, 8/01/34 – BAM Insured | 8/25 at 100.00 | AA | 636,241 | ||
| 3,000 | Waterbury, Connecticut, General Obligation Bonds, Series 2012A, 5.000%, 8/01/30 | 8/22 at 100.00 | AA- | 3,266,010 | ||
| 2,000 | West Haven, Connecticut, General Obligation Bonds, Series 2012, 5.000%, 8/01/24 – AGM Insured | 8/22 at 100.00 | AA | 2,179,400 |
35
Nuveen Connecticut Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/General(continued) | ||||||
| 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 | $1,377,946 | ||
| 1,415 | 7.000%, 12/01/25 – AGM Insured | 12/20 at 100.00 | AA | 1,523,276 | ||
| 47,680 | Total Tax Obligation/General | 52,520,413 | ||||
| Tax Obligation/Limited – 13.7% | ||||||
| 900 | Connecticut Higher Education Supplemental Loan Authority, Revenue Bonds, CHELSA Loan Program, Series 2010A, 4.000%, 11/15/30 | 11/20 at 100.00 | A1 | 913,356 | ||
| 2,500 | Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes Series 2013A, 5.000%, 10/01/33 | 10/23 at 100.00 | A+ | 2,729,375 | ||
| 1,390 | Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes Series 2015A, 5.000%, 8/01/33 | 8/25 at 100.00 | A+ | 1,545,611 | ||
| Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes Series 2016A: | ||||||
| 1,000 | 5.000%, 9/01/32 | 9/26 at 100.00 | A+ | 1,126,930 | ||
| 3,500 | 5.000%, 9/01/33 | 9/26 at 100.00 | A+ | 3,924,200 | ||
| Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes Series 2018A: | ||||||
| 2,000 | 5.000%, 1/01/37 | 1/28 at 100.00 | A+ | 2,224,900 | ||
| 2,000 | 5.000%, 1/01/38 | 1/28 at 100.00 | A+ | 2,214,960 | ||
| Government of Guam, Business Privilege Tax Bonds, Series 2011A: | ||||||
| 2,400 | 5.250%, 1/01/36 | 1/22 at 100.00 | BB | 2,506,416 | ||
| 600 | 5.125%, 1/01/42 | 1/22 at 100.00 | BB | 616,296 | ||
| 1,720 | Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue Bonds, Harbor Point Project, Refunding Series 2017, 5.000%, 4/01/39, 144A | 4/27 at 100.00 | N/R | 1,813,362 | ||
| University of Connecticut, General Obligation Bonds, Series 2009A: | ||||||
| 1,000 | 5.000%, 2/15/27 | 3/19 at 100.00 | AA- | 1,002,370 | ||
| 1,000 | 5.000%, 2/15/28 | 3/19 at 100.00 | AA- | 1,002,370 | ||
| 2,500 | University of Connecticut, General Obligation Bonds, Series 2013A, 5.000%, 8/15/32 | 8/23 at 100.00 | AA- | 2,742,800 | ||
| 740 | University of Connecticut, General Obligation Bonds, Series 2014A, 5.000%, 2/15/31 | 2/24 at 100.00 | AA- | 815,117 | ||
| 1,590 | University of Connecticut, General Obligation Bonds, Series 2015A, 5.000%, 2/15/34 | 2/25 at 100.00 | AA- | 1,756,012 | ||
| 3,000 | University of Connecticut, General Obligation Bonds, Series 2017A, 5.000%, 1/15/36 | 1/27 at 100.00 | AA- | 3,314,250 | ||
| 27,840 | Total Tax Obligation/Limited | 30,248,325 | ||||
| U.S. Guaranteed – 11.3% (4) | ||||||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, Series 2010-O: | ||||||
| 1,705 | 5.000%, 7/01/35 (Pre-refunded 7/01/20) | 7/20 at 100.00 | A- | 1,781,350 | ||
| 1,000 | 5.000%, 7/01/40 (Pre-refunded 7/01/20) | 7/20 at 100.00 | A- | 1,044,780 | ||
| 1,555 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Lawrence and Memorial Hospitals, Series 2011F, 5.000%, 7/01/36 (Pre-refunded 7/01/21) | 7/21 at 100.00 | N/R | 1,667,769 | ||
| 135 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Lutheran General Healthcare System - Parkside Lodges Projects, Series 1989, 7.375%, 7/01/19 (ETM) | No Opt. Call | AA+ | 137,511 |
36
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| U.S. Guaranteed (4) (continued) | ||||||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2011N: | ||||||
| $495 | 5.000%, 7/01/25 (Pre-refunded 7/01/21) | 7/21 at 100.00 | A3 | $532,660 | ||
| 500 | 5.000%, 7/01/27 (Pre-refunded 7/01/21) | 7/21 at 100.00 | A3 | 538,040 | ||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2011G: | ||||||
| 1,000 | 5.125%, 7/01/26 (Pre-refunded 7/01/21) | 7/21 at 100.00 | A | 1,078,920 | ||
| 2,500 | 5.625%, 7/01/41 (Pre-refunded 7/01/21) | 7/21 at 100.00 | A | 2,725,700 | ||
| 2,000 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, Series 2010G, 5.000%, 7/01/39 (Pre-refunded 7/01/20) | 7/20 at 100.00 | AA | 2,089,560 | ||
| 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 | 1,370,198 | ||
| 2,350 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 5.625%, 7/01/40 (Pre-refunded 7/01/20) | 7/20 at 100.00 | A- | 2,472,176 | ||
| 1,200 | Guam Government, Limited Obligation Section 30 Revenue Bonds, Series 2009A, 5.750%, 12/01/34 (Pre-refunded 12/01/19) | 12/19 at 100.00 | N/R | 1,237,440 | ||
| 4,130 | South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twentieth-Sixth Series, 2011, 5.000%, 8/01/41 (Pre-refunded 8/01/21) | 8/21 at 100.00 | AA- | 4,460,400 | ||
| 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 | 1,903,558 | ||
| 1,725 | Williamson & Johnson Counties Community Unit School District 2, Marion, Illinois, General Obligation Bonds, Series 2011, 7.000%, 12/01/27 (Pre-refunded 12/01/20) – AGM Insured | 12/20 at 100.00 | AA | 1,880,560 | ||
| 23,320 | Total U.S. Guaranteed | 24,920,622 | ||||
| Utilities – 3.0% | ||||||
| 415 | Connecticut Municipal Electric Energy Cooperative, Power Supply System Revenue Bonds, Series 2013A, 5.000%, 1/01/38 | 1/23 at 100.00 | Aa3 | 454,537 | ||
| 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 | 3,405,309 | ||
| 1,585 | Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A, 5.500%, 1/01/20 (AMT) | 3/19 at 100.00 | A- | 1,608,664 | ||
| 1,000 | Guam Power Authority, Revenue Bonds, Series 2014A, 5.000%, 10/01/39 | 10/24 at 100.00 | AA | 1,090,180 | ||
| 6,170 | Total Utilities | 6,558,690 | ||||
| Water and Sewer – 11.2% | ||||||
| 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 | AA | 568,415 | ||
| 1,000 | 5.000%, 8/15/32 | 8/24 at 100.00 | AA | 1,132,450 | ||
| 60 | Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A, 5.000%, 8/15/35 – NPFG Insured | 3/19 at 100.00 | AA | 60,158 | ||
| 1,040 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Refunding Series 2017, 5.000%, 7/01/40 | 7/27 at 100.00 | A- | 1,122,254 | ||
| 1,000 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2016, 5.000%, 1/01/46 | 7/26 at 100.00 | A- | 1,064,530 |
37
Nuveen Connecticut Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Water and Sewer(continued) | ||||||
| Hartford County Metropolitan District, Connecticut, Clean Water Project Revenue Bonds, Refunding Green Bond Series 2014A: | ||||||
| $2,250 | 5.000%, 11/01/35 | 11/24 at 100.00 | Aa2 | $2,511,540 | ||
| 4,885 | 5.000%, 11/01/42 | 11/24 at 100.00 | Aa2 | 5,385,517 | ||
| 2,500 | Hartford County Metropolitan District, Connecticut, Clean Water Project Revenue Bonds, Series 2013A, 5.000%, 4/01/39 | 4/22 at 100.00 | Aa2 | 2,691,175 | ||
| 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+ | 1,056,350 | ||
| 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 | AA- | 1,127,807 | ||
| 1,055 | 5.000%, 8/01/44 | 8/24 at 100.00 | AA- | 1,174,679 | ||
| 3,000 | South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Refunding Thirty-third Series 2017B-1, 5.000%, 8/01/41 | 8/28 at 100.00 | AA- | 3,448,200 | ||
| 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 | AA- | 543,645 | ||
| 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 | AA- | 2,188,340 | ||
| 500 | Stamford, Connecticut, Water Pollution Control System and Facility Revenue Bonds, Series 2013A, 5.250%, 8/15/43 | 8/23 at 100.00 | AA+ | 567,465 | ||
| 22,300 | Total Water and Sewer | 24,642,525 | ||||
| $202,020 | Total Long-Term Investments (cost $212,302,403) | 218,360,262 | ||||
| Other Assets Less Liabilities – 0.8% | 1,800,900 | |||||
| Net Assets – 100% | $220,161,162 |
| (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. Optional Call Provisions are not covered by the report of independent registered public accounting firm. | |
| (3) | For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. 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. Ratings are not covered by the report of independent registered public accounting firm. | |
| (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. | |
| 144A | Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers. | |
| AMT | Alternative Minimum Tax | |
| ETM | Escrowed to maturity |
See accompanying notes to financial statements.
38
Nuveen Massachusetts Municipal Bond Fund
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| LONG-TERM INVESTMENTS – 94.1% | ||||||
| MUNICIPAL BONDS – 94.1% | ||||||
| Education and Civic Organizations – 26.8% | ||||||
| Massachusetts Development Finance Agency, Revenue Bonds, Berklee College of Music, Series 2016: | ||||||
| $1,260 | 5.000%, 10/01/39 | 10/26 at 100.00 | A | $1,421,444 | ||
| 5,165 | 5.000%, 10/01/46 | 10/26 at 100.00 | A | 5,772,972 | ||
| 1,500 | Massachusetts Development Finance Agency, Revenue Bonds, Boston College, Series 2010R-1, 5.000%, 7/01/40 | 7/20 at 100.00 | AA- | 1,559,625 | ||
| 3,000 | Massachusetts Development Finance Agency, Revenue Bonds, Boston College, Series 2013S, 5.000%, 7/01/32 | 7/23 at 100.00 | AA- | 3,368,160 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Boston College, Series 2017T: | ||||||
| 2,350 | 5.000%, 7/01/39 | 7/27 at 100.00 | AA- | 2,701,630 | ||
| 1,020 | 5.000%, 7/01/42 | 7/27 at 100.00 | AA- | 1,164,473 | ||
| 5,000 | Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2013X, 5.000%, 10/01/48 | 10/23 at 100.00 | Aa3 | 5,446,950 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Brandeis University Issue, Series 2018R: | ||||||
| 1,195 | 5.000%, 10/01/37 | 10/28 at 100.00 | A+ | 1,391,912 | ||
| 840 | 5.000%, 10/01/38 | 10/28 at 100.00 | A+ | 974,778 | ||
| 1,000 | 5.000%, 10/01/39 | 10/28 at 100.00 | A+ | 1,155,490 | ||
| 3,000 | Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2015, 5.000%, 1/01/35 | 1/25 at 100.00 | BBB+ | 3,252,270 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2016A: | ||||||
| 1,510 | 5.250%, 1/01/42 | 1/27 at 100.00 | BBB+ | 1,665,017 | ||
| 1,500 | 5.000%, 1/01/47 | 1/27 at 100.00 | BBB+ | 1,622,025 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2017A: | ||||||
| 1,600 | 5.000%, 1/01/37 | 1/28 at 100.00 | BBB+ | 1,778,640 | ||
| 6,020 | 5.000%, 1/01/40 | 1/28 at 100.00 | BBB+ | 6,613,572 | ||
| 2,000 | Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2018, 5.000%, 1/01/43 | 1/28 at 100.00 | BBB+ | 2,187,280 | ||
| 2,500 | Massachusetts Development Finance Agency, Revenue Bonds, Emmanuel College, Series 2016A, 5.000%, 10/01/43 | 10/26 at 100.00 | Baa2 | 2,684,150 | ||
| 2,055 | Massachusetts Development Finance Agency, Revenue Bonds, Lesley University, Series 2016, 5.000%, 7/01/36 | 7/26 at 100.00 | A- | 2,311,197 |
39
Nuveen Massachusetts Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations(continued) | ||||||
| Massachusetts Development Finance Agency, Revenue Bonds, MCPHS University Issue, Series 2015H: | ||||||
| $550 | 3.500%, 7/01/35 | 7/25 at 100.00 | AA | $552,640 | ||
| 235 | 5.000%, 7/01/37 | 7/25 at 100.00 | AA | 263,411 | ||
| 700 | Massachusetts Development Finance Agency, Revenue Bonds, Merrimack College, Series 2017, 5.000%, 7/01/37 | 7/26 at 100.00 | BBB- | 759,759 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Northeastern University, Series 2014A: | ||||||
| 1,125 | 5.000%, 3/01/39 | 3/24 at 100.00 | A1 | 1,239,491 | ||
| 1,850 | 5.000%, 3/01/44 | 3/24 at 100.00 | A1 | 2,031,947 | ||
| 1,550 | Massachusetts Development Finance Agency, Revenue Bonds, Phillips Academy , Series 2014A, 5.000%, 9/01/43 | 9/23 at 100.00 | AAA | 1,717,741 | ||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, Simmons College, Series 2013J, 5.250%, 10/01/39 | 10/23 at 100.00 | BBB+ | 1,085,270 | ||
| 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 | 2,860,942 | ||
| 2,000 | Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art Institute, Series 2016, 4.000%, 7/01/41 | 1/27 at 100.00 | AA | 2,063,740 | ||
| 610 | Massachusetts Development Finance Agency, Revenue Bonds, Suffolk University, Refunding Series 2019, 5.000%, 7/01/37 (WI/DD, Settling 4/03/19) | 7/29 at 100.00 | Baa2 | 687,952 | ||
| 1,500 | Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2017, 5.000%, 4/01/36 | 10/27 at 100.00 | AA- | 1,748,880 | ||
| 875 | Massachusetts Development Finance Agency, Revenue Bonds, Tufts University, Series 2015Q, 5.000%, 8/15/38 | 8/25 at 100.00 | Aa2 | 1,000,877 | ||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, Wheaton College, Series 2017H, 5.000%, 1/01/37 | 1/28 at 100.00 | A3 | 1,132,730 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Woods Hole Oceanographic Institution, Series 2018: | ||||||
| 1,000 | 5.000%, 6/01/37 | 6/28 at 100.00 | AA- | 1,162,990 | ||
| 1,000 | 5.000%, 6/01/38 | 6/28 at 100.00 | AA- | 1,158,690 | ||
| 2,400 | Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2012, 5.000%, 9/01/50 | 9/22 at 100.00 | A1 | 2,589,216 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2017B: | ||||||
| 5,000 | 5.000%, 9/01/42 | 9/27 at 100.00 | A1 | 5,607,700 | ||
| 5,000 | 5.000%, 9/01/45 | 9/27 at 100.00 | A1 | 5,585,850 | ||
| Massachusetts Development Finance Authority, Revenue Bonds, Suffolk University, Refunding Series 2017: | ||||||
| 700 | 5.000%, 7/01/35 | 7/27 at 100.00 | Baa2 | 781,417 | ||
| 500 | 5.000%, 7/01/36 | 7/27 at 100.00 | Baa2 | 555,840 | ||
| 2,345 | Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Refunding Series 2016, 5.000%, 1/01/36 | 7/26 at 100.00 | AA- | 2,665,515 | ||
| 2,100 | Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2002A, 5.750%, 1/01/42 – AMBAC Insured | No Opt. Call | AA- | 2,797,977 |
40
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations(continued) | ||||||
| Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Issue K, Series 2013: | ||||||
| $2,500 | 5.000%, 7/01/20 (AMT) | No Opt. Call | AA | $2,595,350 | ||
| 1,355 | 5.250%, 7/01/29 (AMT) | 7/22 at 100.00 | AA | 1,447,872 | ||
| 565 | Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Series 2009I, 6.000%, 1/01/28 | 1/20 at 100.00 | AA | 578,227 | ||
| 580 | Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Series 2011J, 5.625%, 7/01/33 (AMT) | 7/21 at 100.00 | AA | 606,738 | ||
| 1,000 | Massachusetts Educational Financing Authority, Student Loan Revenue Bonds, Issue I Series 2014, 5.000%, 1/01/27 (AMT) | 1/25 at 100.00 | AA | 1,118,930 | ||
| 505 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Suffolk University, Refunding Series 2009A, 5.750%, 7/01/39 | 7/19 at 100.00 | Baa2 | 511,752 | ||
| 7,500 | University of Massachusetts Building Authority, Project Revenue Bonds, Senior Lien Series 2013-1, 5.000%, 11/01/39 | 11/22 at 100.00 | Aa2 | 8,215,950 | ||
| 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 | 2,827,175 | ||
| 94,555 | Total Education and Civic Organizations | 105,024,154 | ||||
| Health Care – 22.3% | ||||||
| 5,915 | Massachusetts Development Finance Agency Revenue Bonds, Children's Hospital Issue, Series 2014P, 5.000%, 10/01/46 | 10/24 at 100.00 | AA | 6,510,049 | ||
| 2,160 | Massachusetts Development Finance Agency Revenue Bonds, South Shore Hospital, Series 2016I, 5.000%, 7/01/41 | 7/26 at 100.00 | A- | 2,342,995 | ||
| 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+ | 2,547,464 | ||
| 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+ | 3,447,136 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Berkshire Health Systems, Series 2012G: | ||||||
| 3,005 | 5.000%, 10/01/28 | 10/21 at 100.00 | AA- | 3,220,008 | ||
| 500 | 5.000%, 10/01/30 | 10/21 at 100.00 | AA- | 534,995 | ||
| 3,905 | Massachusetts Development Finance Agency, Revenue Bonds, Boston Medical Center Issue, Green Bonds, Series 2015D, 5.000%, 7/01/44 | 7/25 at 100.00 | BBB | 4,179,404 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Boston Medical Center Issue, Series 2016E: | ||||||
| 2,000 | 5.000%, 7/01/32 | 7/26 at 100.00 | BBB | 2,226,540 | ||
| 1,625 | 5.000%, 7/01/36 | 7/26 at 100.00 | BBB | 1,786,200 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, CareGroup Issue, Refunding Series 2016-I: | ||||||
| 3,800 | 5.000%, 7/01/21 | No Opt. Call | A- | 4,046,278 | ||
| 1,675 | 5.000%, 7/01/30 | 7/26 at 100.00 | A- | 1,902,247 | ||
| 1,500 | 5.000%, 7/01/37 | 7/26 at 100.00 | A- | 1,656,045 | ||
| 1,935 | 5.000%, 7/01/38 | 7/26 at 100.00 | A- | 2,129,855 |
41
Nuveen Massachusetts Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Health Care(continued) | ||||||
| Massachusetts Development Finance Agency, Revenue Bonds, CareGroup Issue, Series 2015H-1: | ||||||
| $900 | 5.000%, 7/01/30 | 7/25 at 100.00 | A- | $1,011,897 | ||
| 1,000 | 5.000%, 7/01/32 | 7/25 at 100.00 | A- | 1,112,020 | ||
| 500 | 5.000%, 7/01/33 | 7/25 at 100.00 | A- | 554,175 | ||
| 4,100 | Massachusetts Development Finance Agency, Revenue Bonds, CareGroup Issue, Series 2018J-2, 5.000%, 7/01/48 | 7/28 at 100.00 | A- | 4,501,226 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Dana-Farber Cancer Institute Issue, Series 2016N: | ||||||
| 1,925 | 5.000%, 12/01/41 | 12/26 at 100.00 | A1 | 2,146,568 | ||
| 6,100 | 5.000%, 12/01/46 | 12/26 at 100.00 | A1 | 6,764,717 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Lahey Health System Obligated Group Issue, Series 2015F: | ||||||
| 2,645 | 5.000%, 8/15/35 | 8/25 at 100.00 | A | 2,916,827 | ||
| 5,325 | 5.000%, 8/15/45 | 8/25 at 100.00 | A | 5,757,070 | ||
| 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 | BB+ | 1,412,426 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System Issue, Series 2016Q: | ||||||
| 1,250 | 4.000%, 7/01/41 | 7/26 at 100.00 | AA- | 1,269,825 | ||
| 2,250 | 5.000%, 7/01/41 | 7/26 at 100.00 | AA- | 2,497,028 | ||
| 4,950 | 5.000%, 7/01/47 | 7/26 at 100.00 | AA- | 5,447,871 | ||
| 2,500 | Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series 2014M-4, 5.000%, 7/01/44 | 7/23 at 100.00 | AA- | 2,724,500 | ||
| 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 | BBB+ | 1,074,470 | ||
| 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+ | 4,015,650 | ||
| 890 | Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health Care Obligated Group Issue, Series 2017K, 5.000%, 7/01/38 | 1/27 at 100.00 | A- | 976,010 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health Care Obligated Group Issue, Series 2017L: | ||||||
| 400 | 3.625%, 7/01/37 | 7/27 at 100.00 | A- | 383,956 | ||
| 1,855 | 5.000%, 7/01/44 | 7/27 at 100.00 | A- | 2,023,415 | ||
| 555 | Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health Care, Series 2016I, 5.000%, 7/01/36 | 7/26 at 100.00 | A- | 612,698 | ||
| 500 | Massachusetts Development Finance Agency, Revenue Bonds, Wellforce Issue, Series 2019A, 5.000%, 7/01/44 | 1/29 at 100.00 | BBB+ | 550,900 | ||
| Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional Medical Center, Series 2007E: | ||||||
| 2,040 | 5.000%, 7/15/32 | 3/19 at 100.00 | BB+ | 2,057,646 | ||
| 1,000 | 5.000%, 7/15/37 | 3/19 at 100.00 | BB+ | 1,008,570 | ||
| 80,365 | Total Health Care | 87,348,681 |
42
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Housing/Multifamily – 0.4% | ||||||
| $1,525 | Boston Housing Authority, Massachusetts, Capital Program Revenue Bonds, Series 2008, 5.000%, 4/01/20 – AGM Insured | 3/19 at 100.00 | AA | $1,529,072 | ||
| Long-Term Care – 1.1% | ||||||
| Massachusetts Development Finance Agency Revenue Refunding Bonds, NewBridge on the Charles, Inc. Issue, Series 2017: | ||||||
| 1,910 | 4.125%, 10/01/42, 144A | 10/22 at 105.00 | BB+ | 1,765,509 | ||
| 275 | 5.000%, 10/01/47, 144A | 10/22 at 105.00 | BB+ | 286,074 | ||
| 560 | Massachusetts Development Finance Agency, Revenue Bonds, Berkshire Retirement Community Lennox, Series 2015, 5.000%, 7/01/31 | 7/25 at 100.00 | A | 621,902 | ||
| 240 | Massachusetts Development Finance Agency, Revenue Bonds, Carleton-Willard Village, Series 2010, 5.625%, 12/01/30 | 12/19 at 100.00 | A- | 245,705 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Loomis Communities, Series 2013A: | ||||||
| 240 | 5.250%, 1/01/26 | 1/23 at 100.00 | BBB | 259,853 | ||
| 790 | 5.750%, 1/01/28 | 1/23 at 100.00 | BBB | 866,788 | ||
| 400 | Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Inc., Refunding Series 2019, 5.000%, 10/01/39 | 10/24 at 104.00 | BBB+ | 434,544 | ||
| 4,415 | Total Long-Term Care | 4,480,375 | ||||
| Tax Obligation/General – 9.7% | ||||||
| 1,045 | Boston, Massachusetts, General Obligation Bonds, Series 2013A, 4.000%, 3/01/25 | 3/23 at 100.00 | AAA | 1,137,451 | ||
| 5,725 | Boston, Massachusetts, General Obligation Bonds, Series 2018A, 5.000%, 5/01/36 | 5/28 at 100.00 | AAA | 6,851,451 | ||
| 1,750 | Hudson, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2011, 5.000%, 2/15/32 | 2/20 at 100.00 | AA | 1,802,062 | ||
| 640 | Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21 | No Opt. Call | Aa1 | 671,917 | ||
| 3,000 | Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2015C, 5.000%, 7/01/45 | 7/25 at 100.00 | Aa1 | 3,345,570 | ||
| 1,190 | Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2016A, 5.000%, 3/01/46 | 3/24 at 100.00 | Aa1 | 1,314,605 | ||
| 3,000 | Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2017A, 5.000%, 4/01/42 | 4/27 at 100.00 | Aa1 | 3,399,300 | ||
| 5,000 | Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2017F, 5.000%, 11/01/46 | 11/27 at 100.00 | Aa1 | 5,673,250 | ||
| Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2018A: | ||||||
| 3,750 | 5.000%, 1/01/42 | 1/28 at 100.00 | Aa1 | 4,288,575 | ||
| 950 | 5.000%, 1/01/46 | 1/28 at 100.00 | Aa1 | 1,079,352 | ||
| 4,500 | Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2019A, 5.250%, 1/01/44 | 1/29 at 100.00 | Aa1 | 5,300,190 | ||
| 1,000 | North Reading, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2012, 5.000%, 5/15/35 | 5/22 at 100.00 | Aa2 | 1,090,270 | ||
| 2,000 | Quincy, Massachusetts, General Obligation Bonds, State Qualified Municipal Purpose Loan Series 2011, 5.125%, 12/01/33 | 12/20 at 100.00 | Aa2 | 2,108,140 | ||
| 33,550 | Total Tax Obligation/General | 38,062,133 |
43
Nuveen Massachusetts Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited – 15.7% | ||||||
| Government of Guam, Business Privilege Tax Bonds, Refunding Series 2015D: | ||||||
| $1,355 | 5.000%, 11/15/27 | 11/25 at 100.00 | BB | $1,497,654 | ||
| 1,000 | 5.000%, 11/15/39 | 11/25 at 100.00 | BB | 1,051,880 | ||
| 2,505 | Government of Guam, Business Privilege Tax Bonds, Series 2011A, 5.125%, 1/01/42 | 1/22 at 100.00 | BB | 2,573,036 | ||
| 870 | Government of Guam, Business Privilege Tax Bonds, Series 2012B-1, 5.000%, 1/01/37 | 1/22 at 100.00 | BB | 892,585 | ||
| Guam Government, Limited Obligation Section 30 Revenue Bonds, Series 2016A: | ||||||
| 1,160 | 5.000%, 12/01/31 | 12/26 at 100.00 | BB | 1,266,186 | ||
| 2,000 | 5.000%, 12/01/46 | 12/26 at 100.00 | BB | 2,096,980 | ||
| 1,010 | Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, Refunding Green Series 2014, 5.000%, 5/01/33 – BAM Insured | 11/24 at 100.00 | AA | 1,147,602 | ||
| 500 | Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, Refunding Green Series 2017, 5.000%, 5/01/36 | 5/27 at 100.00 | AA | 576,005 | ||
| 6,345 | Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2012A, 5.000%, 7/01/41 | 7/22 at 100.00 | AAA | 6,877,663 | ||
| 2,500 | Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2015A, 5.000%, 7/01/45 | 7/25 at 100.00 | AA | 2,784,925 | ||
| 1,890 | Massachusetts College Building Authority, Project Revenue Bonds, Green Series 2014B, 5.000%, 5/01/44 | 5/24 at 100.00 | Aa2 | 2,093,874 | ||
| Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B: | ||||||
| 2,025 | 5.375%, 5/01/22 – SYNCORA GTY Insured | No Opt. Call | Aa2 | 2,253,785 | ||
| 1,125 | 5.375%, 5/01/23 – SYNCORA GTY Insured | No Opt. Call | Aa2 | 1,290,184 | ||
| 1,310 | Massachusetts College Building Authority, Revenue Bonds, Refunding Series 2011A, 5.000%, 5/01/24 | No Opt. Call | Aa2 | 1,521,735 | ||
| 1,145 | Massachusetts College Building Authority, Revenue Bonds, Refunding Series 2012B, 5.000%, 5/01/37 | 5/22 at 100.00 | Aa2 | 1,236,222 | ||
| 1,650 | Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Senior Refunding Series 2015C, 5.000%, 8/15/37 | 8/25 at 100.00 | AAA | 1,856,514 | ||
| 3,125 | Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Senior Series 2013A, 5.000%, 5/15/38 | 5/23 at 100.00 | AAA | 3,457,438 | ||
| 1,650 | Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2011B, 5.000%, 10/15/41 | 10/21 at 100.00 | AAA | 1,761,953 | ||
| 7,000 | Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Subordinated Series 2018A, 5.250%, 2/15/48 | 2/28 at 100.00 | AA+ | 8,101,590 | ||
| 1,270 | Massachusetts State, Federal Highway Grant Anticipation Notes, Accelerated Bridge Program, Series 2017A, 5.000%, 6/01/42 | 6/27 at 100.00 | AA+ | 1,440,612 | ||
| 1,130 | Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 – FGIC Insured | No Opt. Call | A1 | 1,161,154 | ||
| 2,800 | Massachusetts State, Transportation Fund Revenue Bonds, Rail Enhancement & Accelerated Bridge Program, Series 2016A, 5.000%, 6/01/41 | 6/26 at 100.00 | AA+ | 3,154,732 | ||
| 1,655 | Massachusetts State, Transportation Fund Revenue Bonds, Rail Enhancement & Accelerated Bridge Programs, Series 2017A, 5.000%, 6/01/43 | 12/27 at 100.00 | AA+ | 1,885,591 | ||
| 4,000 | Massachusetts State, Transportation Fund Revenue Bonds, Rail Enhancement & Accelerated Bridge Programs, Series 2018A, 5.250%, 6/01/43 | 6/28 at 100.00 | AA+ | 4,685,400 |
44
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited(continued) | ||||||
| $800 | Massachusetts State, Transportation Fund Revenue Bonds, Rail Enhancement Program, Series 2012A, 4.000%, 6/01/35 | 6/21 at 100.00 | AA+ | $823,512 | ||
| 3,500 | Massachusetts State, Transportation Fund Revenue Bonds, Rail Enhancement Program, Series 2015A, 5.000%, 6/01/45 | 6/25 at 100.00 | AA+ | 3,896,480 | ||
| 55,320 | Total Tax Obligation/Limited | 61,385,292 | ||||
| Transportation – 4.7% | ||||||
| 1,840 | Massachusetts Department of Transportation, Metropolitan Highway System Revenue Bonds, Refunding Senior Lien Series 2010B, 5.000%, 1/01/32 | 1/20 at 100.00 | A+ | 1,885,650 | ||
| 1,500 | Massachusetts Port Authority, Revenue Bonds, Refunding Series 2017A, 5.000%, 7/01/42 (AMT) | 7/27 at 100.00 | AA | 1,679,685 | ||
| 2,000 | Massachusetts Port Authority, Revenue Bonds, Series 2010A, 5.000%, 7/01/30 | 7/20 at 100.00 | AA | 2,082,980 | ||
| 2,750 | Massachusetts Port Authority, Revenue Bonds, Series 2012B, 5.000%, 7/01/32 | 7/22 at 100.00 | AA | 3,017,850 | ||
| 1,780 | Massachusetts Port Authority, Revenue Bonds, Series 2014A, 5.000%, 7/01/34 | 7/24 at 100.00 | AA | 2,003,479 | ||
| Massachusetts Port Authority, Revenue Bonds, Series 2015A: | ||||||
| 1,425 | 5.000%, 7/01/40 | 7/25 at 100.00 | AA | 1,596,883 | ||
| 2,000 | 5.000%, 7/01/45 | 7/25 at 100.00 | AA | 2,230,380 | ||
| 2,600 | Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series 2007, 5.000%, 7/01/32 – FGIC Insured (AMT) | 3/19 at 100.00 | A1 | 2,606,890 | ||
| 500 | Massachusetts Port Authority, Special Facilities Revenue Bonds, ConRac Project, Series 2011A, 5.125%, 7/01/41 | 7/21 at 100.00 | A | 528,525 | ||
| 840 | Metropolitan Boston Transit Parking Corporation, Massachusetts, Systemwide Parking Revenue Bonds, Senior Lien Series 2011, 5.000%, 7/01/41 | 7/21 at 100.00 | A+ | 887,771 | ||
| 17,235 | Total Transportation | 18,520,093 | ||||
| U.S. Guaranteed – 7.0% (4) | ||||||
| 1,110 | Atlanta, Georgia, Water and Wastewater Revenue Bonds, Refunding Series 2009B, 5.375%, 11/01/39 (Pre-refunded 11/01/19) – AGM Insured | 11/19 at 100.00 | AA | 1,137,672 | ||
| 1,000 | Boston Water and Sewer Commission, Massachusetts, General Revenue Bonds, Refunding Senior Lien Series 2010A, 5.000%, 11/01/30 (Pre-refunded 11/01/19) | 11/19 at 100.00 | AA+ | 1,022,160 | ||
| 1,435 | Guam Power Authority, Revenue Bonds, Series 2010A, 5.000%, 10/01/37 (Pre-refunded 10/01/20) – AGM Insured | 10/20 at 100.00 | AA | 1,510,797 | ||
| 1,270 | Massachusetts Development Finance Agency, Revenue Bonds, Bentley University, Series 2010, 5.000%, 7/01/28 (Pre-refunded 7/01/20) | 7/20 at 100.00 | A2 | 1,326,871 | ||
| 1,015 | Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2008U-4, 5.600%, 10/01/35 (Pre-refunded 10/01/19) | 10/19 at 100.00 | Aa3 | 1,038,548 | ||
| 1,650 | Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1, 5.000%, 10/01/29 (Pre-refunded 10/01/19) | 10/19 at 100.00 | Aa3 | 1,682,637 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2010A: | ||||||
| 910 | 5.000%, 1/01/40 (Pre-refunded 1/01/20) | 1/20 at 100.00 | N/R | 935,617 | ||
| 90 | 5.000%, 1/01/40 (Pre-refunded 1/01/20) | 1/20 at 100.00 | BBB+ | 92,534 | ||
| 3,000 | Massachusetts Development Finance Agency, Revenue Bonds, Harvard University, Series 2010B-1, 5.000%, 10/15/40 (Pre-refunded 10/15/20) | 10/20 at 100.00 | AAA | 3,163,290 | ||
| 933 | Massachusetts Development Finance Agency, Revenue Bonds, North Hill Communities Issue, Series 2013A, 6.250%, 11/15/28 (Pre-refunded 11/15/23), 144A | 11/23 at 100.00 | N/R | 1,082,830 |
45
Nuveen Massachusetts Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| U.S. Guaranteed (4) (continued) | ||||||
| $1,000 | Massachusetts Development Finance Agency, Revenue Bonds, SABIS International Charter School, Series 2009A, 8.000%, 4/15/39 (Pre-refunded 10/15/19) | 10/19 at 100.00 | BBB | $1,038,720 | ||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art Institute, Series 2011A, 5.000%, 7/01/41 (Pre-refunded 7/01/21) | 7/21 at 100.00 | AA | 1,076,080 | ||
| 3,500 | Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2011A, 5.250%, 4/01/37 (Pre-refunded 4/01/21) | 4/21 at 100.00 | Aa3 | 3,760,400 | ||
| 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 | 503,360 | ||
| 2,065 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Baystate Medical Center, Series 2009I, 5.750%, 7/01/36 (Pre-refunded 7/01/19) | 7/19 at 100.00 | N/R | 2,092,939 | ||
| 1,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Healthcare Obligated Group, Series 2004D, 5.125%, 11/15/35 (Pre-refunded 11/15/19) – AGC Insured | 11/19 at 100.00 | AA | 1,024,320 | ||
| 295 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21) – NPFG Insured | 7/21 at 100.00 | N/R | 312,579 | ||
| 800 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Harvard University, Tender Option Bond Trust 2016-XL0017, 10.402%, 12/15/34 (Pre-refunded 12/15/19), 144A (IF) (5) | 12/19 at 100.00 | AAA | 863,952 | ||
| 1,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lesley University, Series 2009A, 5.000%, 7/01/29 (Pre-refunded 7/01/19) – AGC Insured | 7/19 at 100.00 | AA | 1,011,280 | ||
| 995 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Suffolk University, Refunding Series 2009A, 5.750%, 7/01/39 (Pre-refunded 7/01/19) | 7/19 at 100.00 | N/R | 1,008,631 | ||
| 1,500 | Springfield Water and Sewer Commission, Massachusetts, General Revenue Bonds, Refunding Series 2010B, 5.000%, 11/15/30 (Pre-refunded 11/15/20) – AGC Insured | 11/20 at 100.00 | AA | 1,585,800 | ||
| 26,068 | Total U.S. Guaranteed | 27,271,017 | ||||
| Utilities – 0.7% | ||||||
| 2,900 | Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2004PP, 5.000%, 7/01/22 – NPFG Insured | 3/19 at 100.00 | Baa2 | 2,919,807 | ||
| Water and Sewer – 5.7% | ||||||
| 590 | Atlanta, Georgia, Water and Wastewater Revenue Bonds, Refunding Series 2009B, 5.375%, 11/01/39 – AGM Insured | 11/19 at 100.00 | AA | 603,293 | ||
| 4,000 | Boston Water and Sewer Commission, Massachusetts, General Revenue Bonds, Senior Series 2018A, 4.000%, 11/01/40 | 5/26 at 100.00 | AA+ | 4,190,320 | ||
| 3,475 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2016, 5.000%, 1/01/46 | 7/26 at 100.00 | A- | 3,699,242 | ||
| 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 | 2,995,947 | ||
| 60 | Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2003-9, 5.000%, 8/01/22 | 3/19 at 100.00 | AAA | 60,157 | ||
| 1,820 | Massachusetts Water Resources Authority, General Revenue Bonds, Refunding Green Series 2016C, 5.000%, 8/01/40 | 8/26 at 100.00 | AA+ | 2,065,172 |
46
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Water and Sewer(continued) | ||||||
| Massachusetts Water Resources Authority, General Revenue Bonds, Refunding Series 2016B: | ||||||
| $2,005 | 4.000%, 8/01/40 | 8/26 at 100.00 | AA+ | $2,083,014 | ||
| 1,000 | 5.000%, 8/01/40 | 8/26 at 100.00 | AA+ | 1,134,710 | ||
| 1,000 | Massachusetts Water Resources Authority, General Revenue Bonds, Series 2002J, 5.250%, 8/01/19 – AGM Insured | No Opt. Call | AA+ | 1,014,980 | ||
| Massachusetts Water Resources Authority, General Revenue Bonds, Series 2017B: | ||||||
| 1,000 | 5.000%, 8/01/39 | 8/27 at 100.00 | AA+ | 1,152,270 | ||
| 1,870 | 5.000%, 8/01/42 | 8/27 at 100.00 | AA+ | 2,136,868 | ||
| 1,010 | Springfield Water and Sewer Commission, Massachusetts, General Revenue Bonds, Series 2017C, 5.000%, 4/15/33 | 4/27 at 100.00 | AA | 1,191,386 | ||
| 20,530 | Total Water and Sewer | 22,327,359 | ||||
| $336,463 | Total Long-Term Investments (cost $359,400,569) | 368,867,983 | ||||
| Other Assets Less Liabilities – 5.9% | 23,279,973 | |||||
| Net Assets – 100% | $392,147,956 |
| (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. Optional Call Provisions are not covered by the report of independent registered public accounting firm. | |
| (3) | For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. 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. Ratings are not covered by the report of independent registered public accounting firm. | |
| (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. | |
| (5) | Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions. | |
| 144A | Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers. | |
| AMT | Alternative Minimum Tax | |
| IF | Inverse floating rate security issued by a tender option bond (“TOB”) trust, the interest rate on which varies inversely with the Securities Industry Financial Markets Association (SIFMA) short-term rate, which resets weekly, or a similar short-term rate, and is reduced by the expenses related to the TOB trust. | |
| WI/DD | Investment, or portion of investment, purchased on a when-issued or delayed delivery basis. |
See accompanying notes to financial statements.
47
Nuveen New Jersey Municipal Bond Fund
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| LONG-TERM INVESTMENTS – 101.2% | ||||||
| MUNICIPAL BONDS – 101.2% | ||||||
| Consumer Discretionary – 0.3% | ||||||
| Middlesex County Improvement Authority, New Jersey, Senior Revenue Bonds, Heldrich Center Hotel/Conference Center Project, Series 2005A: | ||||||
| $935 | 5.000%, 1/01/32 | 3/19 at 100.00 | Caa2 | $704,831 | ||
| 240 | 5.125%, 1/01/37 | 3/19 at 100.00 | Caa2 | 169,188 | ||
| 1,175 | Total Consumer Discretionary | 874,019 | ||||
| Consumer Staples – 3.1% | ||||||
| Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds, Series 2018A: | ||||||
| 3,655 | 4.000%, 6/01/37 | 6/28 at 100.00 | A- | 3,645,899 | ||
| 325 | 5.000%, 6/01/46 | 6/28 at 100.00 | BBB+ | 343,271 | ||
| 3,660 | 5.250%, 6/01/46 | 6/28 at 100.00 | BBB+ | 3,955,399 | ||
| 2,260 | Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds, Series 2018B, 5.000%, 6/01/46 | 6/28 at 100.00 | BBB | 2,291,572 | ||
| 9,900 | Total Consumer Staples | 10,236,141 | ||||
| Education and Civic Organizations – 17.1% | ||||||
| 225 | New Jersey Economic Development Authority, Charter School Revenue Bonds, Foundation Academy Charter School, Series 2018A, 5.000%, 7/01/38 | 1/28 at 100.00 | BBB- | 237,976 | ||
| New Jersey Economic Development Authority, Charter School Revenue Bonds, North Star Academy Charter School of Newark, Series 2017: | ||||||
| 2,780 | 4.000%, 7/15/37 | 7/27 at 100.00 | BBB- | 2,657,680 | ||
| 100 | 5.000%, 7/15/47 | 7/27 at 100.00 | BBB- | 105,660 | ||
| 100 | New Jersey Economic Development Authority, Charter School Revenue Bonds, Teaneck Community Charter School, Series 2017A, 5.125%, 9/01/52, 144A | 9/27 at 100.00 | BB | 98,504 | ||
| 870 | New Jersey Economic Development Authority, Revenue Bonds, The Seeing Eye Inc., Refunding Series 2015, 5.000%, 3/01/25 | No Opt. Call | A | 1,012,506 | ||
| New Jersey Economic Development Authority, Revenue Bonds, The Seeing Eye Inc., Refunding Series 2017: | ||||||
| 170 | 5.000%, 6/01/32 | 12/27 at 100.00 | A | 198,756 | ||
| 285 | 3.000%, 6/01/32 | 12/27 at 100.00 | A | 279,357 | ||
| 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- | 847,701 | ||
| 1,015 | 5.000%, 7/01/43 | 7/23 at 100.00 | AA- | 1,114,368 | ||
| 1,805 | New Jersey Educational Facilities Authority, Revenue Bonds, College of New Jersey, Refunding Series 2016F, 3.000%, 7/01/40 | 7/26 at 100.00 | AA- | 1,613,616 | ||
| 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 | 1,871,496 |
48
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations(continued) | ||||||
| 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- | $2,283,540 | ||
| 1,055 | 3.750%, 7/01/33 | 7/25 at 100.00 | AA- | 1,075,245 | ||
| New Jersey Educational Facilities Authority, Revenue Bonds, Ramapo College, Refunding Series 2012B: | ||||||
| 525 | 5.000%, 7/01/37 | 7/22 at 100.00 | A | 568,543 | ||
| 100 | 5.000%, 7/01/42 | 7/22 at 100.00 | A | 108,095 | ||
| New Jersey Educational Facilities Authority, Revenue Bonds, Rider University, Series 2012A: | ||||||
| 250 | 5.000%, 7/01/32 | 7/21 at 100.00 | Baa2 | 258,805 | ||
| 230 | 5.000%, 7/01/37 | 7/21 at 100.00 | Baa2 | 236,261 | ||
| New Jersey Educational Facilities Authority, Revenue Bonds, Rider University, Series 2017F: | ||||||
| 360 | 3.750%, 7/01/37 | 7/27 at 100.00 | Baa2 | 337,057 | ||
| 1,320 | 4.000%, 7/01/42 | 7/27 at 100.00 | Baa2 | 1,252,786 | ||
| 2,445 | 5.000%, 7/01/47 | 7/27 at 100.00 | Baa2 | 2,599,720 | ||
| 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- | 1,391,012 | ||
| 710 | New Jersey Educational Facilities Authority, Revenue Bonds, Seton Hall University, Series 2013D, 5.000%, 7/01/38 | 7/23 at 100.00 | A- | 785,026 | ||
| New Jersey Educational Facilities Authority, Revenue Bonds, Seton Hall University, Series 2016C: | ||||||
| 220 | 3.000%, 7/01/37 | 7/26 at 100.00 | A- | 205,018 | ||
| 1,875 | 3.000%, 7/01/41 | 7/26 at 100.00 | A- | 1,674,112 | ||
| 2,630 | 3.000%, 7/01/46 | 7/26 at 100.00 | A- | 2,296,779 | ||
| 1,085 | 4.000%, 7/01/46 | 7/26 at 100.00 | A- | 1,108,349 | ||
| New Jersey Educational Facilities Authority, Revenue Bonds, Stevens Institute of Technology, Series 2017A: | ||||||
| 1,310 | 5.000%, 7/01/47 | 7/27 at 100.00 | A- | 1,455,344 | ||
| 500 | 4.000%, 7/01/47 | 7/27 at 100.00 | A- | 510,125 | ||
| 1,375 | New Jersey Educational Facilities Authority, Revenue Bonds, William Paterson University, Series 2017B, 5.000%, 7/01/47 – AGM Insured | 7/27 at 100.00 | AA | 1,530,705 | ||
| New Jersey Higher Education Assistance Authority, Senior Student Loan Revenue Bonds, Refunding Series 2018A: | ||||||
| 3,000 | 3.750%, 12/01/31 (AMT) | 6/28 at 100.00 | Aaa | 3,084,450 | ||
| 420 | 4.000%, 12/01/35 (AMT) | 6/28 at 100.00 | Aaa | 432,130 | ||
| New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Senior Lien Series 2016-1A: | ||||||
| 2,470 | 3.500%, 12/01/32 (AMT) | 12/25 at 100.00 | Aaa | 2,472,248 | ||
| 570 | 4.000%, 12/01/39 (AMT) | 12/25 at 100.00 | Aaa | 574,777 | ||
| 1,600 | New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Senior Lien Series 2017-1A, 3.750%, 12/01/33 (AMT) | 12/26 at 100.00 | Aaa | 1,620,864 |
49
Nuveen New Jersey Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations(continued) | ||||||
| $275 | New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2010-1A, 5.000%, 12/01/25 | 12/19 at 100.00 | Aaa | $280,951 | ||
| 510 | New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2010-2, 5.000%, 12/01/30 | 12/20 at 100.00 | Aaa | 533,649 | ||
| 920 | New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2012-1A, 4.375%, 12/01/26 (AMT) | 12/22 at 100.00 | Aaa | 965,614 | ||
| 400 | New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2012-1B, 5.750%, 12/01/39 (AMT) | 12/22 at 100.00 | Aaa | 434,988 | ||
| New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2013-1A: | ||||||
| 1,095 | 3.625%, 12/01/25 (AMT) | 12/22 at 100.00 | Aaa | 1,131,518 | ||
| 570 | 4.000%, 12/01/28 (AMT) | 12/22 at 100.00 | Aaa | 592,230 | ||
| 905 | 4.000%, 12/01/31 (AMT) | 12/22 at 100.00 | Aaa | 924,141 | ||
| 950 | 4.125%, 12/01/35 (AMT) | 12/22 at 100.00 | Aaa | 966,311 | ||
| New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2014-1A-1: | ||||||
| 1,185 | 4.250%, 12/01/32 (AMT) | 12/23 at 100.00 | Aaa | 1,224,306 | ||
| 1,185 | 4.500%, 12/01/36 (AMT) | 12/23 at 100.00 | Aaa | 1,229,923 | ||
| 2,230 | New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2015-1A, 4.000%, 12/01/30 (AMT) | 12/24 at 100.00 | Aaa | 2,319,557 | ||
| 1,715 | New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Subordinate Series 2017-C, 4.250%, 12/01/47 (AMT) | 12/26 at 100.00 | Aaa | 1,744,412 | ||
| 990 | New Jersey Institute of Technology, New Jersey, General Obligation Bonds, Series 2012A, 5.000%, 7/01/42 | 7/22 at 100.00 | A1 | 1,068,824 | ||
| 3,000 | New Jersey Institute of Technology, New Jersey, General Obligation Bonds, Series 2015A, 5.000%, 7/01/45 | 7/25 at 100.00 | A1 | 3,395,370 | ||
| 1,000 | Rutgers State University, New Jersey, Revenue Bonds, Refunding Series 2013L, 5.000%, 5/01/43 | 5/23 at 100.00 | Aa3 | 1,108,900 | ||
| 54,125 | Total Education and Civic Organizations | 55,819,305 | ||||
| Financials – 0.4% | ||||||
| New Jersey Economic Development Authority, Revenue Refunding Bonds, Kapkowski Road Landfill Project, Series 2002: | ||||||
| 600 | 5.750%, 10/01/21 | No Opt. Call | Ba2 | 625,398 | ||
| 500 | 6.500%, 4/01/28 | No Opt. Call | Ba2 | 575,220 | ||
| 1,100 | Total Financials | 1,200,618 | ||||
| Health Care – 13.8% | ||||||
| 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 | 2/24 at 100.00 | BBB+ | 1,933,762 | ||
| 2,000 | 5.000%, 2/15/33 | 2/24 at 100.00 | BBB+ | 2,158,080 | ||
| 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+ | 863,400 |
50
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Health Care(continued) | ||||||
| $195 | New Jersey Health Care Facilities Finance Authority, Revenue Bonds, AHS Hospital Corporation, Series 2008A, 5.000%, 7/01/27 | 3/19 at 100.00 | AA- | $195,530 | ||
| New Jersey Health Care Facilities Financing Authority, New Jersey, Revenue Bonds, Saint Peters University Hospital, Refunding Series 2011: | ||||||
| 815 | 6.000%, 7/01/26 | 7/21 at 100.00 | BB+ | 869,752 | ||
| 700 | 6.250%, 7/01/35 | 7/21 at 100.00 | BB+ | 743,799 | ||
| 1,545 | New Jersey Health Care Facilities Financing Authority, New Jersey, Revenue Bonds, Saint Peters University Hospital, Series 2007, 5.750%, 7/01/37 | 3/19 at 100.00 | BB+ | 1,548,754 | ||
| 400 | New Jersey Health Care Facilities Financing Authority, Revenue and Refunding Bonds, Barnabas Health, Series 2012A, 5.000%, 7/01/24 | 7/22 at 100.00 | AA- | 440,044 | ||
| 490 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, AHS Hospital Corporation, Refunding Series 2016, 4.000%, 7/01/41 | 1/27 at 100.00 | AA- | 498,898 | ||
| 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 | AA- | 1,084,330 | ||
| New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Hackensack Meridian Health Obligated Group, Refunding Series 2017A: | ||||||
| 3,145 | 5.000%, 7/01/28 | 7/27 at 100.00 | AA- | 3,785,762 | ||
| 2,040 | 5.000%, 7/01/57 | 7/27 at 100.00 | AA- | 2,261,095 | ||
| 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+ | 638,970 | ||
| 1,000 | 4.000%, 7/01/45 | 7/24 at 100.00 | A+ | 1,007,730 | ||
| 4,345 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Inspira Health Obligated Group Issue, Refunding Series 2016A, 4.000%, 7/01/41 | 7/26 at 100.00 | A2 | 4,439,069 | ||
| 4,820 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Inspira Health Obligated Group Issue, Series 2017A, 5.000%, 7/01/42 | 7/27 at 100.00 | A2 | 5,367,745 | ||
| 570 | 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 | AA- | 631,036 | ||
| New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Princeton HealthCare System, Series 2016A: | ||||||
| 460 | 5.000%, 7/01/32 | 7/26 at 100.00 | AA | 531,558 | ||
| 575 | 5.000%, 7/01/33 | 7/26 at 100.00 | AA | 661,946 | ||
| 600 | 5.000%, 7/01/34 | 7/26 at 100.00 | AA | 688,194 | ||
| 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 | AA- | 2,203,860 | ||
| 630 | 5.000%, 7/01/43 | 7/24 at 100.00 | AA- | 687,217 | ||
| 780 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, RWJ Barnabas Health Obligated Group, Refunding Series 2016A, 5.000%, 7/01/43 | 7/26 at 100.00 | AA- | 875,113 |
51
Nuveen New Jersey Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Health Care(continued) | ||||||
| New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Saint Joseph's Healthcare System Obligated Group Issue, Refunding Series 2016: | ||||||
| $2,710 | 3.000%, 7/01/32 | 7/26 at 100.00 | BBB- | $2,420,572 | ||
| 200 | 4.000%, 7/01/34 | 7/26 at 100.00 | BBB- | 203,700 | ||
| 3,085 | 5.000%, 7/01/41 | 7/26 at 100.00 | BBB- | 3,289,196 | ||
| 1,625 | 4.000%, 7/01/48 | 7/26 at 100.00 | BBB- | 1,563,445 | ||
| 460 | 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- | 467,682 | ||
| New Jersey Health Care Facilities Financing Authority, Revenue Bonds, University Hospital Issue, Refunding Series 2015A: | ||||||
| 1,500 | 4.125%, 7/01/38 – AGM Insured | 7/25 at 100.00 | AA | 1,527,735 | ||
| 1,255 | 5.000%, 7/01/46 – AGM Insured | 7/25 at 100.00 | AA | 1,354,873 | ||
| 42,060 | Total Health Care | 44,942,847 | ||||
| Housing/Multifamily – 6.4% | ||||||
| 600 | New Jersey Economic Development Authority, Revenue Bonds, Provident Group - Kean Properties LLC - Kean University Student Housing Project, Series 2017A, 5.000%, 7/01/47 | 1/27 at 100.00 | BBB- | 635,802 | ||
| 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- | 1,806,409 | ||
| New Jersey Housing and Mortgage Finance Agency, Multifamily Housing Revenue Bonds, Series 2013-2: | ||||||
| 1,770 | 4.350%, 11/01/33 (AMT) | 11/22 at 100.00 | AA | 1,830,392 | ||
| 1,015 | 4.600%, 11/01/38 (AMT) | 11/22 at 100.00 | AA | 1,046,353 | ||
| 1,010 | 4.750%, 11/01/46 (AMT) | 11/22 at 100.00 | AA | 1,038,745 | ||
| 3,000 | New Jersey Housing and Mortgage Finance Agency, Multifamily Revenue Bonds, Series 2009A, 4.950%, 5/01/41 | 11/19 at 100.00 | AA- | 3,030,780 | ||
| 1,560 | New Jersey Housing and Mortgage Finance Agency, Multifamily Revenue Bonds, Series 2015A, 4.000%, 11/01/45 | 11/24 at 100.00 | AA- | 1,573,120 | ||
| 1,135 | New Jersey Housing and Mortgage Finance Agency, Multifamily Revenue Bonds, Series 2016A, 3.750%, 11/01/45 | 11/25 at 100.00 | AA- | 1,104,616 | ||
| 2,040 | New Jersey Housing and Mortgage Finance Agency, Multifamily Revenue Bonds, Series 2016B, 3.600%, 11/01/40 | 11/25 at 100.00 | AA- | 1,995,100 | ||
| 875 | New Jersey Housing and Mortgage Finance Agency, Multifamily Revenue Bonds, Series 2017D, 3.900%, 11/01/32 (AMT) | 5/26 at 100.00 | AA- | 900,366 | ||
| New Jersey Housing and Mortgage Finance Agency, Multifamily Revenue Bonds, Series 2018A: | ||||||
| 1,915 | 3.600%, 11/01/33 | 11/27 at 100.00 | AA- | 1,946,329 | ||
| 1,865 | 3.875%, 11/01/38 | 11/27 at 100.00 | AA- | 1,893,311 | ||
| 1,000 | 3.950%, 11/01/43 | 11/27 at 100.00 | AA- | 1,006,540 | ||
| 650 | 4.000%, 11/01/48 | 11/27 at 100.00 | AA- | 656,617 | ||
| 500 | 4.100%, 11/01/53 | 11/27 at 100.00 | AA- | 504,015 | ||
| 20,705 | Total Housing/Multifamily | 20,968,495 |
52
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Housing/Single Family – 2.4% | ||||||
| New Jersey Housing and Mortgage Finance Agency, Single Family Housing Revenue Bonds, Series 2018A: | ||||||
| $2,265 | 3.600%, 4/01/33 | 10/27 at 100.00 | AA | $2,299,382 | ||
| 1,210 | 3.750%, 10/01/35 | 10/27 at 100.00 | AA | 1,224,242 | ||
| 1,215 | New Jersey Housing and Mortgage Finance Agency, Single Family Housing Revenue Bonds, Series 2018B, 3.800%, 10/01/32 (AMT) | 10/27 at 100.00 | AA | 1,233,298 | ||
| 3,000 | New Jersey Housing and Mortgage Finance Agency, Single Family Housing Revenue Bonds, Series 2019C, 4.000%, 4/01/49 (WI/DD, Settling 3/21/19) | 4/28 at 100.00 | AA | 3,030,570 | ||
| 7,690 | Total Housing/Single Family | 7,787,492 | ||||
| Long-Term Care – 1.6% | ||||||
| 3,010 | Burlington County Bridge Commission, New Jersey, Economic Development Revenue Bonds, The Evergreens Project, Series 2007, 5.625%, 1/01/38 | 3/19 at 100.00 | N/R | 2,886,680 | ||
| 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 | 150,560 | ||
| 1,205 | 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- | 1,240,294 | ||
| 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- | 425,420 | ||
| 500 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Village Drive Healthcare Urban Renewal LLC, Series 2018, 5.750%, 10/01/38, 144A | 10/26 at 102.00 | N/R | 493,045 | ||
| 5,270 | Total Long-Term Care | 5,195,999 | ||||
| Tax Obligation/General – 7.6% | ||||||
| 1,775 | Cumberland County Improvement Authority, New Jersey, County General Obligation Revenue Bonds, Technical High School Project, Series 2014, 5.000%, 9/01/39 – AGM Insured | 9/24 at 100.00 | AA | 2,000,922 | ||
| 685 | Cumberland County Improvement Authority, New Jersey, General Obligation Lease Revenue Bonds, Vineland Public Safety Building Project, Series 2017, 3.250%, 12/15/37 | 12/27 at 100.00 | AA | 661,854 | ||
| 180 | Hamilton Township, Mercer County Board of Education, New Jersey, General Obligation Bonds, Series 2017, 3.250%, 12/15/38 | 12/27 at 100.00 | AA | 174,762 | ||
| 1,380 | Harrison, New Jersey, General Obligation Bonds, Parking Utility Series 2018, 3.375%, 3/01/34 – BAM Insured | 3/28 at 100.00 | AA | 1,390,088 | ||
| Hudson County Improvement Authority, New Jersey, County Guaranteed Governmental Loan Revenue Bonds, Guttenberg General Obligation Bond Project, Series 2018: | ||||||
| 125 | 3.250%, 8/01/34 | 8/25 at 100.00 | AA | 125,190 | ||
| 340 | 5.000%, 8/01/42 | 8/25 at 100.00 | AA | 378,284 | ||
| 525 | Middletown Township Board of Education, Monmouth County, New Jersey, Refunding Series 2010, 5.000%, 8/01/27 | 8/20 at 100.00 | AA- | 548,357 | ||
| 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- | 1,072,430 | ||
| 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- | 688,995 |
53
Nuveen New Jersey Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/General(continued) | ||||||
| Montclair Township, Essex County, New Jersey, General Obligation Bonds, Refunding Parking Utility Series 2014A: | ||||||
| $330 | 3.750%, 1/01/33 | 1/24 at 100.00 | AAA | $337,465 | ||
| 220 | 5.000%, 1/01/37 | 1/24 at 100.00 | AAA | 249,436 | ||
| 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+ | 623,112 | ||
| New Brunswick Parking Authority, Middlesex County, New Jersey, Guaranteed Parking Revenue Bonds, Refunding Series 2016A: | ||||||
| 1,885 | 5.000%, 9/01/32 – BAM Insured | 9/26 at 100.00 | AA | 2,176,025 | ||
| 1,325 | 5.000%, 9/01/39 – BAM Insured | 9/26 at 100.00 | AA | 1,492,546 | ||
| 680 | New Brunswick Parking Authority, Middlesex County, New Jersey, Guaranteed Parking Revenue Bonds, Refunding Series 2016B, 3.000%, 9/01/39 – AGM Insured | 9/26 at 100.00 | AA | 622,962 | ||
| 1,000 | New Brunswick, New Jersey, General Obligation Bonds, Cultural Center Project, Series 2017, 4.000%, 9/15/44 – AGM Insured | 9/27 at 100.00 | AA | 1,040,750 | ||
| 450 | South Brunswick Township Board of Education, Middlesex County, New Jersey, General Obligation Bonds, Refunding Series 2012, 4.000%, 12/01/23 | 6/22 at 100.00 | AA+ | 482,850 | ||
| 3,685 | Union County Utilities Authority, New Jersey, Resource Recovery Facility Lease Revenue Bonds, Covantan Union Inc. Lessee, Refunding Series 2011B, 5.250%, 12/01/31 (AMT) | 12/21 at 100.00 | AA+ | 3,997,635 | ||
| 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 | Aaa | 2,679,607 | ||
| 4,000 | Union County, New Jersey, General Obligation Bonds, Refunding Series 2017, 3.000%, 3/01/27 | 9/25 at 100.00 | Aaa | 4,177,000 | ||
| 23,280 | Total Tax Obligation/General | 24,920,270 | ||||
| Tax Obligation/Limited – 23.3% | ||||||
| 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 | 794,716 | ||
| 390 | Burlington County Bridge Commission, New Jersey, Governmental Leasing Program Revenue Bonds, County Guaranteed, Series 2016A, 2.500%, 10/01/31 | 4/26 at 100.00 | Aa1 | 368,488 | ||
| 3,655 | Camden County Improvement Authority, New Jersey, County Guaranteed Loan Revenue Bonds, City Hall Project, Series 2018, 3.250%, 12/01/37 | 12/28 at 100.00 | AA | 3,581,973 | ||
| 820 | Essex County Improvement Authority, New Jersey, Project Consolidation Revenue Bonds, Refunding Series 2007, 5.250%, 12/15/22 – AMBAC Insured | No Opt. Call | Aaa | 927,494 | ||
| 2,045 | Garden State Preservation Trust, New Jersey, Open Space and Farmland Preservation Bonds, Series 2005A, 5.750%, 11/01/28 – AGM Insured | No Opt. Call | AA | 2,485,657 | ||
| 1,050 | Government of Guam, Business Privilege Tax Bonds, Series 2011A, 5.250%, 1/01/36 | 1/22 at 100.00 | BB | 1,096,557 | ||
| Hudson County Improvement Authority, New Jersey, County Secured Lease Revenue Bonds, Hudson County Vocational Technical Schools Project, Series 2016: | ||||||
| 6,490 | 5.000%, 5/01/46 (UB) (4) | 5/26 at 100.00 | AA | 7,236,350 | ||
| 1,000 | 5.250%, 5/01/51 | 5/26 at 100.00 | AA | 1,127,520 |
54
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited(continued) | ||||||
| New Jersey Economic Development Authority, Cigarette Tax Revenue Refunding Bonds, Series 2012: | ||||||
| $1,385 | 5.000%, 6/15/19 | No Opt. Call | BBB+ | $1,395,997 | ||
| 350 | 5.000%, 6/15/21 | No Opt. Call | BBB+ | 370,815 | ||
| 2,870 | 5.000%, 6/15/25 | 6/22 at 100.00 | BBB+ | 3,083,729 | ||
| 450 | 5.000%, 6/15/28 | 6/22 at 100.00 | BBB+ | 479,169 | ||
| 1,815 | New Jersey Economic Development Authority, Revenue Bonds, Motor Vehicle Surcharge, Refunding Series 2017A, 3.375%, 7/01/30 | 7/27 at 100.00 | BBB+ | 1,802,585 | ||
| 4,000 | New Jersey Economic Development Authority, School Facilities Construction Bonds, Series 2015WW, 5.250%, 6/15/40 | 6/25 at 100.00 | A- | 4,252,840 | ||
| 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- | 1,646,940 | ||
| 2,000 | New Jersey Economic Development Authority, Sublease Revenue Bonds, New Jersey Transit Corporation Projects, Refunding Series 2017B, 5.000%, 11/01/25 | No Opt. Call | A- | 2,263,360 | ||
| New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement Revenue Notes, Series 2016A-1: | ||||||
| 225 | 5.000%, 6/15/29 | 6/26 at 100.00 | A+ | 253,125 | ||
| 125 | 5.000%, 6/15/30 | 6/26 at 100.00 | A+ | 139,640 | ||
| 2,770 | New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement Revenue Notes, Series 2018A, 5.000%, 6/15/31 | 6/26 at 100.00 | A+ | 3,074,174 | ||
| 14,305 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Capital Appreciation Series 2010A, 0.000%, 12/15/30 | No Opt. Call | A- | 8,990,979 | ||
| 1,900 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Refunding Series 2006A, 5.500%, 12/15/22 | No Opt. Call | A- | 2,111,014 | ||
| New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Refunding Series 2006C: | ||||||
| 6,925 | 0.000%, 12/15/32 – AGM Insured | No Opt. Call | AA | 4,118,574 | ||
| 4,765 | 0.000%, 12/15/33 – AGM Insured | No Opt. Call | AA | 2,712,857 | ||
| 1,000 | 0.000%, 12/15/34 – AGM Insured | No Opt. Call | AA | 540,800 | ||
| 1,510 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2010D, 5.000%, 12/15/24 | No Opt. Call | A- | 1,694,295 | ||
| New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2011B: | ||||||
| 1,115 | 5.250%, 6/15/36 | 6/21 at 100.00 | A- | 1,158,786 | ||
| 2,275 | 5.000%, 6/15/42 | 6/21 at 100.00 | A- | 2,339,087 | ||
| 1,005 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2018A, 4.250%, 12/15/38 | 12/28 at 100.00 | A- | 993,794 | ||
| 2,470 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2019AA, 4.500%, 6/15/49 | 12/28 at 100.00 | A- | 2,446,288 | ||
| 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 | 1,166,790 |
55
Nuveen New Jersey Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited(continued) | ||||||
| Passaic County Improvement Authority, New Jersey, Lease Revenue Bonds, Preakness Healthcare Center Expansion Project, Series 2012: | ||||||
| $1,330 | 5.000%, 5/01/21 | No Opt. Call | Aa2 | $1,422,142 | ||
| 1,715 | 3.500%, 5/01/35 | 5/22 at 100.00 | Aa2 | 1,726,971 | ||
| 4,000 | Puerto Rico Public Finance Corporation, Commonwealth Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 – AMBAC Insured | No Opt. Call | Aaa | 4,384,320 | ||
| 3,000 | Union County Improvement Authority, New Jersey, Lease Revenue Bonds, Plainfield - Park Madison Redevelopment Project, Refunding Series 2013A, 5.000%, 3/01/34 (UB) (4) | No Opt. Call | AA+ | 3,642,750 | ||
| 82,045 | Total Tax Obligation/Limited | 75,830,576 | ||||
| Transportation – 12.9% | ||||||
| 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 | 1,196,393 | ||
| 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 | 403,243 | ||
| 1,510 | 4.125%, 1/01/39 | 1/24 at 100.00 | A1 | 1,549,743 | ||
| 2,000 | 5.000%, 1/01/44 | 1/24 at 100.00 | A1 | 2,220,960 | ||
| 1,635 | Delaware River Joint Toll Bridge Commission, New Jersey and Pennsylvania, Bridge System Revenue Bonds, Refunding Series 2015, 4.000%, 7/01/35 – BAM Insured | 7/25 at 100.00 | AA | 1,727,116 | ||
| Delaware River Joint Toll Bridge Commission, New Jersey and Pennsylvania, Bridge System Revenue Bonds, Series 2017: | ||||||
| 1,000 | 5.000%, 7/01/42 | 7/27 at 100.00 | A1 | 1,134,560 | ||
| 2,980 | 5.000%, 7/01/47 | 7/27 at 100.00 | A1 | 3,363,496 | ||
| 500 | Delaware River Joint Toll Bridge Commission, Pennsylvania, Bridge System Revenue Bonds, Refunding Series 2012A, 5.000%, 7/01/26 | 7/22 at 100.00 | A1 | 548,020 | ||
| 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+ | 1,935,965 | ||
| Delaware River Port Authority, Pennsylvania and New Jersey, Revenue Refunding Bonds, Port District Project, Series 2012: | ||||||
| 1,000 | 5.000%, 1/01/24 | 1/23 at 100.00 | A | 1,102,880 | ||
| 1,095 | 5.000%, 1/01/26 | 1/23 at 100.00 | A | 1,202,365 | ||
| 1,070 | 5.000%, 1/01/27 | 1/23 at 100.00 | A | 1,170,077 | ||
| New Jersey Economic Development Authority, Private Activity Bonds, The Goethals Bridge Replacement Project, Series 2013: | ||||||
| 1,260 | 5.000%, 7/01/23 (AMT) | No Opt. Call | BBB | 1,388,873 | ||
| 1,490 | 5.000%, 1/01/31 – AGM Insured (AMT) | 1/24 at 100.00 | AA | 1,628,481 | ||
| 1,255 | 5.625%, 1/01/52 (AMT) | 1/24 at 100.00 | BBB | 1,377,061 | ||
| New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental Airlines Inc., Series 1999: | ||||||
| 400 | 5.125%, 9/15/23 (AMT) | 8/22 at 101.00 | BB | 431,900 | ||
| 1,025 | 5.250%, 9/15/29 (AMT) | 8/22 at 101.00 | BB | 1,113,499 | ||
| 300 | New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental Airlines Inc., Series 2000A & 2000B, 5.625%, 11/15/30 (AMT) | 3/24 at 101.00 | BB | 338,865 |
56
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Transportation(continued) | ||||||
| New Jersey Economic Development Authority, Special Facility Revenue Bonds, Port Newark Container Terminal LLC Project, Refunding Series 2017: | ||||||
| $3,085 | 5.000%, 10/01/37 (AMT) | 10/27 at 100.00 | Ba1 | $3,305,516 | ||
| 2,490 | 5.000%, 10/01/47 (AMT) | 10/27 at 100.00 | Ba1 | 2,630,735 | ||
| 1,300 | New Jersey Turnpike Authority, Revenue Bonds, Series 2005A, 5.250%, 1/01/29 – AGM Insured | No Opt. Call | AA | 1,636,687 | ||
| 1,380 | New Jersey Turnpike Authority, Revenue Bonds, Series 2012B, 5.000%, 1/01/28 | 1/23 at 100.00 | A+ | 1,534,450 | ||
| 1,860 | New Jersey Turnpike Authority, Revenue Bonds, Series 2013A, 5.000%, 1/01/43 | 7/22 at 100.00 | A+ | 2,016,761 | ||
| 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- | 2,026,874 | ||
| Port Authority of New York and New Jersey, Special Project Bonds, JFK International Air Terminal LLC, Sixth Series 1997: | ||||||
| 1,645 | 5.750%, 12/01/22 – NPFG Insured (AMT) | 3/19 at 100.00 | BBB+ | 1,706,901 | ||
| 3,150 | 5.750%, 12/01/25 – NPFG Insured (AMT) | 3/19 at 100.00 | BBB+ | 3,268,723 | ||
| 38,460 | Total Transportation | 41,960,144 | ||||
| U.S. Guaranteed – 8.8% (5) | ||||||
| 5 | Essex County Improvement Authority, New Jersey, Project Consolidation Revenue Bonds, Refunding Series 2007, 5.250%, 12/15/22 – AMBAC Insured (ETM) | No Opt. Call | Aaa | 5,663 | ||
| 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 (Pre-refunded 6/01/20) | 6/20 at 100.00 | N/R | 2,160,154 | ||
| 1,100 | 5.875%, 6/01/42 (Pre-refunded 6/01/20) | 6/20 at 100.00 | N/R | 1,157,970 | ||
| 1,840 | New Jersey Educational Facilities Authority, Revenue Bonds, Kean University, Refunding Series 2009A, 5.500%, 9/01/36 (Pre-refunded 9/01/19) – AGC Insured | 9/19 at 100.00 | AA | 1,875,733 | ||
| 2,520 | 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 | 2,555,986 | ||
| New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Kennedy Health System Obligated Group Issue, Refunding Series 2012: | ||||||
| 10 | 3.750%, 7/01/27 (ETM) | No Opt. Call | N/R | 11,123 | ||
| 1,125 | 5.000%, 7/01/31 (Pre-refunded 7/01/22) | 7/22 at 100.00 | N/R | 1,244,115 | ||
| 1,080 | 5.000%, 7/01/42 (Pre-refunded 7/01/22) | 7/22 at 100.00 | N/R | 1,194,350 | ||
| New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Palisades Medical Center Obligated Group Issue, Refunding Series 2013: | ||||||
| 140 | 5.250%, 7/01/31 (Pre-refunded 7/01/23) | 7/23 at 100.00 | N/R | 159,881 | ||
| 660 | 5.250%, 7/01/31 (Pre-refunded 7/01/23) | 7/23 at 100.00 | N/R | 755,205 | ||
| 80 | 5.500%, 7/01/43 (Pre-refunded 7/01/23) | 7/23 at 100.00 | N/R | 92,189 | ||
| 360 | 5.500%, 7/01/43 (Pre-refunded 7/01/23) | 7/23 at 100.00 | N/R | 415,663 | ||
| 360 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Saint Barnabas Health Care System, Refunding Series 2011A, 5.625%, 7/01/37 (Pre-refunded 7/01/21) | 7/21 at 100.00 | N/R | 392,155 | ||
| 845 | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, St. Clare's Hospital, Series 2004A, 5.250%, 7/01/20 – RAAI Insured (ETM) | 3/19 at 100.00 | AA | 885,028 |
57
Nuveen New Jersey Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| U.S. Guaranteed (5) (continued) | ||||||
| $1,935 | New Jersey Health Care Facilities Financing Authority, State Contract Bonds, Hospital Asset Transformatiom Program, Series 2009A, 5.750%, 10/01/31 (Pre-refunded 10/01/19) | 10/19 at 100.00 | A- | $1,979,853 | ||
| 435 | New Jersey Institute of Technology, New Jersey, General Obligation Bonds, Series 2012A, 5.000%, 7/01/42 (Pre-refunded 7/01/22) | 7/22 at 100.00 | N/R | 482,546 | ||
| 3,500 | New Jersey Turnpike Authority, Revenue Bonds, Series 2009I, 5.000%, 1/01/35 (Pre-refunded 1/01/20) | 1/20 at 100.00 | A+ | 3,598,525 | ||
| 3,140 | New Jersey Turnpike Authority, Revenue Bonds, Series 2013A, 5.000%, 1/01/43 (Pre-refunded 7/01/22) | 7/22 at 100.00 | N/R | 3,483,202 | ||
| 2,750 | Newark Housing Authority, New Jersey, City-Secured Police Facility Revenue Bonds, South Ward Police Facility, Series 2009A, 6.750%, 12/01/38 (Pre-refunded 12/01/19) – AGC Insured | 12/19 at 100.00 | A3 | 2,854,748 | ||
| North Hudson Sewerage Authority, New Jersey, Gross Revenue Lease Certificates, Senior Lien Series 2012A: | ||||||
| 570 | 5.000%, 6/01/27 (Pre-refunded 6/01/22) | 6/22 at 100.00 | N/R | 628,875 | ||
| 70 | 5.000%, 6/01/42 (Pre-refunded 6/01/22) | 6/22 at 100.00 | N/R | 77,230 | ||
| 900 | Passaic County Improvement Authority, New Jersey, County Guaranteed Parking Revenue Bonds, 200 Hospital Plaza Project, Series 2010, 5.000%, 5/01/42 (Pre-refunded 5/01/20) | 5/20 at 100.00 | Aa2 | 935,280 | ||
| Readington Township, New Jersey, General Obligation Bonds, General Improvement Series 2011: | ||||||
| 875 | 5.125%, 1/15/28 (Pre-refunded 1/15/21) | 1/21 at 100.00 | AA | 931,901 | ||
| 875 | 5.250%, 1/15/30 (Pre-refunded 1/15/21) | 1/21 at 100.00 | AA | 933,905 | ||
| 27,230 | Total U.S. Guaranteed | 28,811,280 | ||||
| Utilities – 1.8% | ||||||
| 2,430 | Essex County Improvement Authority, New Jersey, Solid Waste Disposal Revenue Bonds, Covanta Project, Series 2015, 5.250%, 7/01/45 (AMT), 144A | 7/20 at 100.00 | BB- | 2,440,619 | ||
| New Jersey Economic Development Authority, Energy Facilities Revenue Bonds, UMM Energy Partners, LLC Project, Series 2012A: | ||||||
| 500 | 5.000%, 6/15/37 (AMT) | 6/22 at 100.00 | Baa2 | 515,665 | ||
| 1,000 | 5.125%, 6/15/43 (AMT) | 6/22 at 100.00 | Baa2 | 1,032,340 | ||
| 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 (AMT) | 11/20 at 100.00 | A+ | 996,470 | ||
| 705 | Salem County Pollution Control Financing Authority, New Jersey, Pollution Control Revenue Bonds, Chambers Project, Refunding Series 2014A, 5.000%, 12/01/23 (AMT) | No Opt. Call | BBB- | 747,004 | ||
| 5,595 | Total Utilities | 5,732,098 | ||||
| Water and Sewer – 1.7% | ||||||
| New Jersey Economic Development Authority, Water Facilities Revenue Bonds, Middlesex Water Company, Series 2012C: | ||||||
| 1,045 | 5.000%, 10/01/23 | No Opt. Call | A+ | 1,183,525 | ||
| 2,175 | 4.250%, 10/01/47 (AMT) | 10/22 at 100.00 | A+ | 2,206,842 |
58
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Water and Sewer(continued) | ||||||
| North Hudson Sewerage Authority, New Jersey, Gross Revenue Lease Certificates, Senior Lien Series 2012A: | ||||||
| $930 | 5.000%, 6/01/27 | 6/22 at 100.00 | A+ | $1,012,612 | ||
| 1,145 | 5.000%, 6/01/42 | 6/22 at 100.00 | A+ | 1,231,425 | ||
| 5,295 | Total Water and Sewer | 5,634,404 | ||||
| $323,930 | Total Long-Term Investments (cost $319,380,732) | 329,913,688 |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| SHORT-TERM INVESTMENTS – 0.6% | ||||||
| MUNICIPAL BONDS – 0.6% | ||||||
| Transportation – 0.6% | ||||||
| $2,000 | New Jersey Turnpike Authority, Turnpike Revenue Bonds, Variable Rate Demand Obligations, Tender Option Bond Trust Series Floater 2019-XF2790, 1.890%, 1/01/48,144A (6) | 1/29 at 100.00 | A-1 | $2,000,000 | ||
| $2,000 | Total Short-Term Investments (cost $2,000,000) | 2,000,000 | ||||
| Total Investments (cost $321,380,732) – 101.8% | 331,913,688 | |||||
| Floating Rate Obligations – (2.3)% | (7,590,000) | |||||
| Other Assets Less Liabilities – 0.5% (7) | 1,610,879 | |||||
| Net Assets – 100% | $325,934,567 |
Investments in Derivatives
| Futures Contracts | |||||||
| Description | Contract Position | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable/ (Payable) |
| U.S. Treasury Long Bond | Short | (33) | 6/19 | $(4,813,642) | $(4,767,469) | $46,173 | $14,438 |
| Total receivable for variation margin on futures contracts | $14,438 |
59
Nuveen New Jersey Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| (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. Optional Call Provisions are not covered by the report of independent registered public accounting firm. | |
| (3) | For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. 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. Ratings are not covered by the report of independent registered public accounting firm. | |
| (4) | Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions. | |
| (5) | Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. | |
| (6) | Investment has a maturity of greater than one year, but has variable rate and/or demand features which qualify it as a short-term investment. The rate disclosed, as well as the reference rate and spread, where applicable, is that in effect as of the end of the reporting period. This rate changes periodically based on market conditions or a specified market index. | |
| (7) | Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the counter ("OTC") derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC cleared and exchange-traded derivatives is recognized as part of cash collateral at brokers and/or the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable. | |
| 144A | Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers. | |
| AMT | Alternative Minimum Tax | |
| ETM | Escrowed to maturity | |
| 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. |
See accompanying notes to financial statements.
60
Nuveen New York Municipal Bond Fund
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| LONG-TERM INVESTMENTS – 98.4% | ||||||
| MUNICIPAL BONDS – 98.4% | ||||||
| Consumer Staples – 5.5% | ||||||
| $15,870 | Erie County Tobacco Asset Securitization Corporation, New York, Tobacco Settlement Asset-Backed Bonds, 1st Subordinate Series 2005B, 0.000%, 6/01/47 | 3/19 at 19.57 | N/R | $2,094,999 | ||
| Erie County Tobacco Asset Securitization Corporation, New York, Tobacco Settlement Asset-Backed Bonds, Series 2005A: | ||||||
| 15,110 | 5.000%, 6/01/38 | 3/19 at 100.00 | BB+ | 15,109,093 | ||
| 1,055 | 5.000%, 6/01/45 | 3/19 at 100.00 | B+ | 1,032,360 | ||
| 101,105 | Erie County Tobacco Asset Securitization Corporation, New York, Tobacco Settlement Asset-Backed Bonds, Series 2005C, 0.000%, 6/01/50 | 3/19 at 14.14 | N/R | 9,176,290 | ||
| 1,850 | Nassau County Tobacco Settlement Corporation, New York, Tobacco Settlement Asset-Backed Bonds, Refunding Series 2006A-2, 5.250%, 6/01/26 | 4/19 at 100.00 | B- | 1,850,296 | ||
| 4,450 | Nassau County Tobacco Settlement Corporation, New York, Tobacco Settlement Asset-Backed Bonds, Series 2006A-3, 5.000%, 6/01/35 | 3/19 at 100.00 | B- | 4,319,615 | ||
| 2,010 | New York Counties Tobacco Trust VI, New York, Tobacco Settlement Pass-Through Bonds, Series 2016A-1, 5.625%, 6/01/35 | No Opt. Call | BBB | 2,135,444 | ||
| 6,885 | New York Counties Tobacco Trust VI, New York, Tobacco Settlement Pass-Through Bonds, Series Series 2016A-1, 5.750%, 6/01/43 | No Opt. Call | BBB | 7,639,940 | ||
| 1,565 | New York Counties Tobacco Trust VI, New York, Tobacco Settlement Pass-Through Bonds, Turbo Term Series 2016A. Including 2016A-1, 2016A-2A and 2016A-2B, 5.000%, 6/01/51 | 6/26 at 100.00 | N/R | 1,587,661 | ||
| 6,970 | TSASC Inc., New York, Tobacco Asset-Backed Bonds, Series 2006, 5.000%, 6/01/48 | 6/27 at 100.00 | N/R | 6,699,913 | ||
| 156,870 | Total Consumer Staples | 51,645,611 | ||||
| Education and Civic Organizations – 14.0% | ||||||
| Albany Industrial Development Agency, New York, Revenue Bonds, Brighter Choice Charter Schools, Series 2007A: | ||||||
| 520 | 5.000%, 4/01/20 | 3/19 at 100.00 | B | 520,187 | ||
| 1,000 | 5.000%, 4/01/27 | 3/19 at 100.00 | B | 999,300 | ||
| 290 | 5.000%, 4/01/37 | 3/19 at 100.00 | B | 271,933 | ||
| 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+ | 2,254,933 | ||
| Build New York City 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- | 1,695,656 | ||
| 1,250 | 5.500%, 4/01/43 | 4/23 at 100.00 | BBB- | 1,308,813 | ||
| 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+ | 2,821,725 | ||
| 2,500 | 5.000%, 7/01/45 | 7/25 at 100.00 | A+ | 2,807,850 |
61
Nuveen New York Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations(continued) | ||||||
| Build New York City Resource Corporation, New York, Revenue Bonds, City University of New York - Queens College, Q Student Residences, LLC Project, Refunding Series 2014A: | ||||||
| $1,000 | 5.000%, 6/01/38 | 6/24 at 100.00 | Aa2 | $1,125,840 | ||
| 4,050 | 5.000%, 6/01/43 | 6/24 at 100.00 | Aa2 | 4,511,092 | ||
| Build New York City Resource Corporation, New York, Revenue Bonds, Metropolitan College of New York, Series 2014: | ||||||
| 2,240 | 5.000%, 11/01/39 | 11/24 at 100.00 | BB | 2,219,907 | ||
| 1,000 | 5.500%, 11/01/44 | 11/24 at 100.00 | BB | 1,018,890 | ||
| Build New York City Resource Corporation, New York, Revenue Bonds, South Bronx Charter School for International Cultures and the Arts Project, Series 2013A: | ||||||
| 1,050 | 5.000%, 4/15/33 | 4/23 at 100.00 | BB+ | 1,074,612 | ||
| 1,875 | 5.000%, 4/15/43 | 4/23 at 100.00 | BB+ | 1,904,137 | ||
| 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 | 1,768,550 | ||
| 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- | 673,784 | ||
| 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 | Baa2 | 1,979,451 | ||
| 735 | 5.250%, 7/01/34 – FGIC Insured | No Opt. Call | Baa2 | 877,472 | ||
| 1,500 | Dormitory Authority of the State of New York, Lease Revenue Bonds, State University Dormitory Facilities, Refunding Series 2013A, 5.000%, 7/01/27 | 7/23 at 100.00 | Aa3 | 1,688,715 | ||
| 1,600 | Dormitory Authority of the State of New York, Revenue Bonds, Barnard College, Refunding Series 2015A, 5.000%, 7/01/43 | 7/25 at 100.00 | A1 | 1,810,864 | ||
| 85 | Dormitory Authority of the State of New York, Revenue Bonds, Barnard College, Series 2007A, 5.000%, 7/01/37 – NPFG Insured | 3/19 at 100.00 | Baa2 | 85,229 | ||
| 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 | 8,197,434 | ||
| 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 | 807,045 | ||
| 2,760 | Dormitory Authority of the State of New York, Revenue Bonds, Icahn School of Medicine at Mount Sinai, Refunding Series 2015A, 5.000%, 7/01/40 | 7/25 at 100.00 | A- | 3,054,382 | ||
| 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- | 5,071,261 | ||
| 1,055 | Dormitory Authority of the State of New York, Revenue Bonds, New York University, Series 2001-1, 5.500%, 7/01/40 – AMBAC Insured | No Opt. Call | Aa2 | 1,370,878 | ||
| 3,450 | Dormitory Authority of the State of New York, Revenue Bonds, New York University, Series 2015A, 5.000%, 7/01/35 | 7/25 at 100.00 | Aa2 | 3,963,015 | ||
| 1,500 | Dormitory Authority of the State of New York, Revenue Bonds, New York University, Series 2018A, 5.000%, 7/01/48 | 7/28 at 100.00 | Aa2 | 1,720,530 | ||
| 8,000 | Dormitory Authority of the State of New York, Revenue Bonds, New York University, Series 2019A, 5.000%, 7/01/42 | 7/29 at 100.00 | Aa2 | 9,349,920 | ||
| 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 | 1,247,856 |
62
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations(continued) | ||||||
| $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 | A2 | $5,521,350 | ||
| 3,450 | Dormitory Authority of the State of New York, Revenue Bonds, Vaughn College of Aeronautics & Technology, Series 2016A, 5.500%, 12/01/36, 144A | 12/26 at 100.00 | BB- | 3,627,123 | ||
| 3,040 | Glen Cove Local Economic Assistance Corporation, New York, Revenue Bonds, Garvies Point Public Improvement Project, Capital Appreciation Series 2016C, 0.000%, 1/01/55 (4) | 1/34 at 100.00 | N/R | 2,496,691 | ||
| 250 | Hempstead Town Local Development Corporation, New York, Revenue Bonds, Adelphi University Project, Series 2009B, 5.250%, 2/01/39 | 3/19 at 100.00 | A- | 250,590 | ||
| 760 | New Rochelle Corporation, New York, Local Development Revenue Bonds, Iona College Project, Series 2015A, 5.000%, 7/01/45 | 7/25 at 100.00 | BBB | 827,404 | ||
| 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 | 3/19 at 100.00 | BBB | 4,010,960 | ||
| 1,060 | 5.000%, 1/01/39 – AMBAC Insured | 3/19 at 100.00 | BBB | 1,073,409 | ||
| 1,795 | 4.750%, 1/01/42 – AMBAC Insured | 3/19 at 100.00 | BBB | 1,796,203 | ||
| 5,170 | 5.000%, 1/01/46 – AMBAC Insured | 5/19 at 100.00 | BBB | 5,239,898 | ||
| New York City Industrial Development Authority, New York, PILOT Revenue Bonds, Yankee Stadium Project, Series 2006: | ||||||
| 720 | 5.000%, 3/01/31 – FGIC Insured | 3/19 at 100.00 | Baa1 | 725,141 | ||
| 2,500 | 5.000%, 3/01/36 – NPFG Insured | 3/19 at 100.00 | Baa1 | 2,504,675 | ||
| 2,140 | 4.500%, 3/01/39 – FGIC Insured | 3/19 at 100.00 | Baa1 | 2,141,798 | ||
| 1,150 | 4.750%, 3/01/46 – NPFG Insured | 3/19 at 100.00 | Baa1 | 1,150,794 | ||
| 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+ | 2,043,600 | ||
| 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 | AA | 782,284 | ||
| 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- | 6,004,735 | ||
| 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- | 4,221,534 | ||
| 10,000 | 5.000%, 8/01/43 | 8/23 at 100.00 | AA- | 11,069,500 | ||
| 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 | 1,059,250 | ||
| 1,745 | 5.000%, 7/01/42 | 7/22 at 100.00 | Baa2 | 1,819,756 | ||
| 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 | A3 | 1,667,664 | ||
| Yonkers Economic Development Corporation, New York, Revenue Bonds, Charter School Educational Excellence Project, Series 2010A: | ||||||
| 1,160 | 6.000%, 10/15/30 | 10/20 at 100.00 | BB+ | 1,190,183 | ||
| 2,300 | 6.250%, 10/15/40 | 10/20 at 100.00 | BB+ | 2,357,891 | ||
| 122,830 | Total Education and Civic Organizations | 131,783,694 |
63
Nuveen New York Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Financials – 1.2% | ||||||
| $5,710 | Liberty Development Corporation, New York, Goldman Sachs Headquarter Revenue Bonds, Series 2005, 5.250%, 10/01/35 | No Opt. Call | A | $7,016,106 | ||
| 3,475 | Liberty Development Corporation, New York, Goldman Sachs Headquarters Revenue Bonds Series 2007, 5.500%, 10/01/37 | No Opt. Call | A | 4,403,763 | ||
| 9,185 | Total Financials | 11,419,869 | ||||
| Health Care – 2.7% | ||||||
| 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 | 570,499 | ||
| 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- | 2,509,346 | ||
| 1,000 | Dormitory Authority of the State of New York, Revenue Bonds, Orange Regional Medical Center Obligated Group, Series 2015, 5.000%, 12/01/29, 144A | 6/25 at 100.00 | BBB- | 1,118,470 | ||
| 200 | Dormitory Authority of the State of New York, Revenue Bonds, Orange Regional Medical Center Obligated Group, Series 2017, 5.000%, 12/01/36, 144A | 6/27 at 100.00 | BBB- | 221,286 | ||
| 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 | 574,871 | ||
| 950 | 5.500%, 4/01/34 | 10/20 at 100.00 | AA | 1,001,766 | ||
| Dutchess County Local Development Corporation, New York, Revenue Bonds, Health Quest Systems, Inc. Project, Series 2016B: | ||||||
| 2,000 | 4.000%, 7/01/41 | 7/26 at 100.00 | A- | 2,010,060 | ||
| 1,325 | 5.000%, 7/01/46 | 7/26 at 100.00 | A- | 1,451,326 | ||
| 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 | 2,934,798 | ||
| 5,000 | 5.500%, 8/15/40 | 2/21 at 100.00 | AA | 5,340,150 | ||
| 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- | 1,498,774 | ||
| 375 | Monroe County Industrial Development Corporation, New York, Tax-Exempt Revenue Bonds, Highland Hospital of Rochester Project, Series 2015, 5.000%, 7/01/34 | 7/25 at 100.00 | A | 418,391 | ||
| 1,715 | Suffolk County Economic Development Corporation, New York, Revenue Bonds, Catholic Health Services of Long Island Obligated Group Project, Refunding Series 2011, 5.000%, 7/01/28 | 7/21 at 100.00 | A- | 1,827,761 | ||
| 1,000 | Westchester County Local Development Corporation, New York, Revenue Bonds, Westchester Medical Center Obligated Group Project, Refunding Series 2016, 5.000%, 11/01/46 | 11/25 at 100.00 | Baa2 | 1,071,410 | ||
| 1,835 | Yonkers Industrial Development Agency, New York, Revenue Bonds, St. John's Riverside Hospital, Series 2001A, 7.125%, 7/01/31 | 3/19 at 100.00 | B- | 1,835,697 | ||
| 975 | Yonkers Industrial Development Agency, New York, Revenue Bonds, St. John's Riverside Hospital, Series 2001B, 7.125%, 7/01/31 | 3/19 at 100.00 | B- | 975,371 | ||
| 23,885 | Total Health Care | 25,359,976 | ||||
| Housing/Multifamily – 0.4% | ||||||
| 110 | East Syracuse Housing Authority, New York, FHA-Insured Section 8 Assisted Revenue Refunding Bonds, Bennet Project, Series 2001A, 6.700%, 4/01/21 | 3/19 at 100.00 | AA | 110,366 |
64
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Housing/Multifamily(continued) | ||||||
| $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+ | $881,924 | ||
| 1,525 | New York State Housing Finance Agency, Multifamily Housing Revenue Bonds, Cannon Street Senior Housing Project, Series 2007A, 5.300%, 2/15/39 (AMT) | 3/19 at 100.00 | Aa1 | 1,526,678 | ||
| 1,000 | New York State Housing Finance Agency, Secured Mortgage Program Multifamily Housing Revenue Bonds, Series 2001G, 5.400%, 8/15/33 (AMT) | 3/19 at 100.00 | Aa1 | 1,001,380 | ||
| 3,490 | Total Housing/Multifamily | 3,520,348 | ||||
| Industrials – 1.7% | ||||||
| 2,145 | 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 (AMT), 144A | 1/25 at 100.00 | N/R | 2,282,194 | ||
| 13,070 | New York Liberty Development Corporation, New York, Liberty Revenue Bonds, 3 World Trade Center Project, Class 1 Series 2014, 5.000%, 11/15/44, 144A | 11/24 at 100.00 | N/R | 13,627,697 | ||
| 15,215 | Total Industrials | 15,909,891 | ||||
| Long-Term Care – 0.3% | ||||||
| 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 | 3/19 at 100.00 | A2 | 650,852 | ||
| New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Special Needs Facilities Pooled Program, Series 2008A-1: | ||||||
| 455 | 5.800%, 7/01/23 | 3/19 at 100.00 | N/R | 442,501 | ||
| 395 | 6.100%, 7/01/28 | 3/19 at 100.00 | N/R | 375,143 | ||
| 210 | 6.200%, 7/01/33 | 3/19 at 100.00 | N/R | 195,720 | ||
| 1,225 | Suffolk County Economic Development Corporation, New York, Revenue Bonds, Peconic Landing At Southold, Inc. Project, Refunding Series 2010, 6.000%, 12/01/40 | 12/20 at 100.00 | BBB- | 1,285,135 | ||
| 2,935 | Total Long-Term Care | 2,949,351 | ||||
| Tax Obligation/General – 7.6% | ||||||
| Nassau County, New York, General Obligation Bonds, General Improvment Series 2016C: | ||||||
| 2,000 | 5.000%, 4/01/39 – BAM Insured | 4/26 at 100.00 | AA | 2,236,000 | ||
| 1,000 | 5.000%, 4/01/40 – BAM Insured | 4/26 at 100.00 | AA | 1,114,440 | ||
| New York City, New York, General Obligation Bonds, Fiscal 2012 Series A-1: | ||||||
| 1,900 | 5.000%, 10/01/30 | 10/22 at 100.00 | AA | 2,096,802 | ||
| 1,915 | 5.000%, 10/01/31 | 10/22 at 100.00 | AA | 2,109,870 | ||
| 3,000 | 5.000%, 10/01/33 | 10/22 at 100.00 | AA | 3,299,850 | ||
| 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 | 2,009,082 | ||
| 6,100 | 5.000%, 3/01/37 | 3/23 at 100.00 | AA | 6,729,093 | ||
| 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 | 2,244,160 | ||
| 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 | 2,848,325 | ||
| 1,650 | New York City, New York, General Obligation Bonds, Fiscal 2017 Series B-1, 5.000%, 12/01/41 | 12/26 at 100.00 | AA | 1,865,177 |
65
Nuveen New York Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/General(continued) | ||||||
| New York City, New York, General Obligation Bonds, Fiscal 2018 Series E-1: | ||||||
| $10,420 | 5.000%, 3/01/39 | 3/28 at 100.00 | AA | $11,986,334 | ||
| 11,000 | 5.000%, 3/01/40 | 3/28 at 100.00 | AA | 12,603,250 | ||
| 12,000 | New York City, New York, General Obligation Bonds, Fiscal 2018 Series F-1, 5.000%, 4/01/40 | 4/28 at 100.00 | AA | 13,760,160 | ||
| 6,670 | New York City, New York, General Obligation Bonds, Series 2011D-I, 5.000%, 10/01/34 | 10/21 at 100.00 | AA | 7,168,116 | ||
| 63,965 | Total Tax Obligation/General | 72,070,659 | ||||
| Tax Obligation/Limited – 23.4% | ||||||
| Dormitory Authority of the State of New York, Residential Insitutions for Children Revenue Bonds, Series 2008-A1: | ||||||
| 2,000 | 5.000%, 6/01/33 | 3/19 at 100.00 | Aa1 | 2,004,880 | ||
| 2,500 | 5.000%, 6/01/38 | 3/19 at 100.00 | Aa1 | 2,505,950 | ||
| 20 | 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 | 20,378 | ||
| 55 | Dormitory Authority of the State of New York, Revenue Bonds, State University Educational Facilities, Series 1993C, 5.250%, 5/15/19 | No Opt. Call | AA | 55,408 | ||
| 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 | 3/21 at 100.00 | AA+ | 6,313,134 | ||
| 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 | 2/22 at 100.00 | AA+ | 1,078,210 | ||
| 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 | AA+ | 3,356,400 | ||
| 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 | AA+ | 6,888,900 | ||
| 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 | AA+ | 3,238,562 | ||
| 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 | AA+ | 1,121,730 | ||
| 7,000 | Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose, Series 2017A, 5.000%, 2/15/37 | 2/27 at 100.00 | AA+ | 8,012,620 | ||
| 2,825 | Dormitory Authority of the State of New York, State Sales Tax Revenue Bonds, Series 2015B. Group A,B&C, 5.000%, 3/15/35 | 9/25 at 100.00 | AA+ | 3,228,071 | ||
| 2,710 | Dormitory Authority of the State of New York, State Sales Tax Revenue Bonds, Series 2017A, 5.000%, 3/15/37 | 3/27 at 100.00 | AA+ | 3,108,966 | ||
| 15,000 | Dormitory Authority of the State of New York, State Sales Tax Revenue Bonds, Series 2018C, 4.000%, 3/15/45 | 3/28 at 100.00 | AA+ | 15,537,900 | ||
| Dormitory Authority of the State of New York, State Sales Tax Revenue Bonds, Series 2018E Group 4: | ||||||
| 10,000 | 5.000%, 3/15/44 | 9/28 at 100.00 | AA+ | 11,471,800 | ||
| 9,000 | 5.000%, 3/15/45 | 9/28 at 100.00 | AA+ | 10,311,570 | ||
| Government of Guam, Business Privilege Tax Bonds, Refunding Series 2015D: | ||||||
| 2,000 | 5.000%, 11/15/28 | 11/25 at 100.00 | BB | 2,196,740 | ||
| 2,000 | 5.000%, 11/15/32 | 11/25 at 100.00 | BB | 2,149,000 |
66
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited(continued) | ||||||
| Hudson Yards Infrastructure Corporation, New York, Revenue Bonds, Second Indenture Fiscal 2017 Series A: | ||||||
| $5,000 | 5.000%, 2/15/39 | 2/27 at 100.00 | Aa3 | $5,678,850 | ||
| 5,710 | 5.000%, 2/15/42 | 2/27 at 100.00 | Aa3 | 6,448,075 | ||
| 11,470 | Hudson Yards Infrastructure Corporation, New York, Revenue Bonds, Senior Fiscal 2012 Series 2011A, 5.250%, 2/15/47 | 2/21 at 100.00 | AA- | 12,141,339 | ||
| 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 | 4,486,320 | ||
| New York City Transitional Finance Authority, New York, Building Aid Revenue Bonds, Fiscal 2018 Series Subseries S-4A: | ||||||
| 4,000 | 5.250%, 7/15/35 | 7/28 at 100.00 | AA | 4,799,680 | ||
| 4,200 | 5.250%, 7/15/36 | 7/28 at 100.00 | AA | 5,012,742 | ||
| 3,000 | New York City Transitional Finance Authority, New York, Building Aid Revenue Bonds, Fiscal 2019 Subseries S-1, 5.000%, 7/15/45 | 7/28 at 100.00 | AA | 3,413,580 | ||
| 2,780 | New York City Transitional Finance Authority, New York, Building Aid Revenue Bonds, Fiscal 2019 Subseries S-3A, 5.000%, 7/15/36 | 7/28 at 100.00 | AA | 3,243,871 | ||
| 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 | 9,530,370 | ||
| 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 | 4,368,542 | ||
| 2,480 | New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Subordinate Fiscal 2014 Series B-1, 5.000%, 11/01/36 | 5/24 at 100.00 | AAA | 2,794,563 | ||
| 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 | 6,422,688 | ||
| 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 | 11,200,100 | ||
| 5,000 | New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Subordinate Fiscal 2017 Series B-1, 5.000%, 8/01/36 | 8/26 at 100.00 | AAA | 5,731,200 | ||
| New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Subordinate Fiscal 2019 Series A-1: | ||||||
| 1,375 | 5.000%, 8/01/38 | 8/28 at 100.00 | AAA | 1,595,674 | ||
| 10,000 | 5.000%, 8/01/40 | 8/28 at 100.00 | AAA | 11,521,400 | ||
| 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 | 9,439,650 | ||
| 5,500 | New York State Thruway Authority, Highway and Bridge Trust Fund Bonds, Second General, Series 2005B, 5.500%, 4/01/20 – AMBAC Insured (UB) (5) | No Opt. Call | AA+ | 5,730,670 | ||
| 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+ | 5,320,750 | ||
| 2,000 | Suffolk County Judicial Facilities Agency, New York, Lease Revenue Bonds, H. Lee Dennison Building, Series 2013, 5.000%, 11/01/33 | 11/23 at 100.00 | BBB+ | 2,177,040 |
67
Nuveen New York Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited(continued) | ||||||
| Syracuse Industrial Development Authority, New York, PILOT Revenue Bonds, Carousel Center Project, Refunding Series 2016A: | ||||||
| $5,750 | 5.000%, 1/01/29 (AMT) | 1/26 at 100.00 | A- | $6,405,615 | ||
| 1,930 | 5.000%, 1/01/32 (AMT) | 1/26 at 100.00 | A- | 2,113,176 | ||
| 1,250 | 5.000%, 1/01/34 (AMT) | 1/26 at 100.00 | A- | 1,354,975 | ||
| 1,000 | 5.000%, 1/01/35 (AMT) | 1/26 at 100.00 | A- | 1,081,120 | ||
| 5,430 | 5.000%, 1/01/36 (AMT) | 1/26 at 100.00 | A- | 5,854,192 | ||
| 198,940 | Total Tax Obligation/Limited | 220,466,401 | ||||
| Transportation – 19.7% | ||||||
| 1,500 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Green Climate Bond Certified Series 2017A-1, 5.250%, 11/15/57 | 5/27 at 100.00 | AA- | 1,664,790 | ||
| 960 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Refunding Series 2012H, 5.000%, 11/15/31 | 11/22 at 100.00 | AA- | 1,048,618 | ||
| 2,500 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2013E, 5.000%, 11/15/32 | 11/23 at 100.00 | AA- | 2,752,700 | ||
| Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2014B: | ||||||
| 2,000 | 5.250%, 11/15/38 | 5/24 at 100.00 | AA- | 2,225,660 | ||
| 1,000 | 5.250%, 11/15/44 | 5/24 at 100.00 | AA- | 1,114,360 | ||
| Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2015C-1: | ||||||
| 5,000 | 5.250%, 11/15/29 | 11/25 at 100.00 | AA- | 5,829,800 | ||
| 8,610 | 5.250%, 11/15/31 | 11/25 at 100.00 | AA- | 9,941,450 | ||
| 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 (6) | 3/19 at 101.00 | N/R | 1,834,000 | ||
| 2,000 | 5.875%, 10/01/46 (6) | 3/19 at 101.00 | N/R | 1,310,000 | ||
| 9,500 | New York City, Industrial Development Agency, Senior Airport Facilities Revenue Refunding Bonds, TrIPs Obligated Group, Series 2012A, 5.000%, 7/01/28 (AMT) | 7/22 at 100.00 | BBB | 10,162,910 | ||
| 3,370 | New York Liberty Development Corporation, New York, Liberty Revenue Bonds, 4 World Trade Center Project, Series 2011, 5.000%, 11/15/44 | 11/21 at 100.00 | A+ | 3,592,858 | ||
| New York State Thruway Authority, General Revenue Junior Indebtedness Obligations, Series 2016A: | ||||||
| 2,225 | 5.000%, 1/01/36 | 1/26 at 100.00 | A2 | 2,511,803 | ||
| 8,515 | 5.000%, 1/01/46 | 1/26 at 100.00 | A2 | 9,428,404 | ||
| New York Transportation Development Corporation, New York, Special Facility Revenue Bonds, American Airlines, Inc. John F Kennedy International Airport Project, Refunding Series 2016: | ||||||
| 3,285 | 5.000%, 8/01/26 (AMT) | 8/21 at 100.00 | BB | 3,441,530 | ||
| 12,260 | 5.000%, 8/01/31 (AMT) | 8/21 at 100.00 | BB | 12,718,402 |
68
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Transportation(continued) | ||||||
| New York Transportation Development Corporation, New York, Special Facility Revenue Bonds, Delta Air Lines, Inc. - LaGuardia Airport Terminals C&D Redevelopment Project, Series 2018: | ||||||
| $8,900 | 5.000%, 1/01/32 (AMT) | 1/28 at 100.00 | Baa3 | $10,153,832 | ||
| 3,635 | 5.000%, 1/01/34 (AMT) | 1/28 at 100.00 | Baa3 | 4,110,458 | ||
| 13,685 | New York Transportation Development Corporation, Special Facilities Bonds, LaGuardia Airport Terminal B Redevelopment Project, Series 2016A, 5.000%, 7/01/46 (AMT) | 7/24 at 100.00 | BBB | 14,495,152 | ||
| 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- | 3,764,798 | ||
| Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Eighty-Ninth Series 2015: | ||||||
| 2,520 | 5.000%, 5/01/40 | 5/25 at 100.00 | AA- | 2,837,898 | ||
| 480 | 5.000%, 5/01/45 | 5/25 at 100.00 | AA- | 537,091 | ||
| 3,730 | Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Ninety-Eighth Series 2016, 5.000%, 11/15/46 | 11/26 at 100.00 | AA- | 4,215,497 | ||
| 3,675 | Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Ninety-Fifth Series 2016, 5.000%, 10/01/35 (AMT) | 10/26 at 100.00 | AA- | 4,172,558 | ||
| 10,000 | Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Ninety-Fourth Series 2015, 5.250%, 10/15/55 | 10/25 at 100.00 | AA- | 11,434,400 | ||
| Port Authority of New York and New Jersey, Consolidated Revenue Bonds, Two Hundred Eleventh Series 2018: | ||||||
| 4,225 | 4.000%, 9/01/43 | 9/28 at 100.00 | AA- | 4,405,830 | ||
| 10,230 | 5.000%, 9/01/48 | 9/28 at 100.00 | AA- | 11,764,909 | ||
| 5,000 | Port Authority of New York and New Jersey, Consolidated Revenue Bonds, Two Hundred Series 2017, 5.250%, 10/15/57 | 4/27 at 100.00 | AA- | 5,729,950 | ||
| 3,585 | Port Authority of New York and New Jersey, Special Project Bonds, JFK International Air Terminal LLC Project, Eigth Series 2010, 6.000%, 12/01/36 | 12/20 at 100.00 | BBB+ | 3,795,404 | ||
| 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 (AMT) | 3/19 at 100.00 | BBB+ | 4,757,809 | ||
| 1,365 | Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Bonds, MTA Bridges & Tunnels, Refunding Series 2017B, 5.000%, 11/15/38 | 5/27 at 100.00 | AA- | 1,571,647 | ||
| 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- | 4,407,339 | ||
| 19,500 | Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Bonds, MTA Bridges & Tunnels, Series 2017C-2, 5.000%, 11/15/42 | 11/27 at 100.00 | AA- | 22,352,655 | ||
| 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 | A+ | 1,660,620 | ||
| 169,435 | Total Transportation | 185,745,132 | ||||
| U.S. Guaranteed – 6.8% (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 | N/R | 1,074,740 | ||
| 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 (Pre-refunded 1/15/20) | 1/20 at 100.00 | AA+ | 4,037,479 |
69
Nuveen New York Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| U.S. Guaranteed (7) (continued) | ||||||
| $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 (Pre-refunded 5/01/20) | 5/20 at 100.00 | AA | $1,663,280 | ||
| Dormitory Authority of the State of New York, Insured Revenue Bonds, NYSARC Inc Projects, Series 2007B: | ||||||
| 290 | 6.000%, 7/01/26 (Pre-refunded 7/01/19) – AMBAC Insured | 7/19 at 100.00 | Aa2 | 294,167 | ||
| 310 | 6.000%, 7/01/27 (Pre-refunded 7/01/19) – AMBAC Insured | 7/19 at 100.00 | Aa2 | 314,455 | ||
| 330 | 6.000%, 7/01/28 (Pre-refunded 7/01/19) – AMBAC Insured | 7/19 at 100.00 | Aa2 | 334,742 | ||
| 350 | 6.000%, 7/01/29 (Pre-refunded 7/01/19) – AMBAC Insured | 7/19 at 100.00 | Aa2 | 355,030 | ||
| 1,460 | 6.000%, 7/01/36 (Pre-refunded 7/01/19) – AMBAC Insured | 7/19 at 100.00 | Aa2 | 1,480,980 | ||
| 1,000 | Dormitory Authority of the State of New York, Insured Revenue Bonds, NYSARC Inc Projects, Series 2009A, 6.000%, 7/01/38 (Pre-refunded 7/01/19) | 7/19 at 100.00 | Aa2 | 1,014,370 | ||
| 350 | Dormitory Authority of the State of New York, Revenue Bonds, New School University, Series 2010, 5.250%, 7/01/30 (Pre-refunded 7/01/20) | 7/20 at 100.00 | A- | 366,957 | ||
| 1,500 | Dormitory Authority of the State of New York, Revenue Bonds, New York University, Series 2009B, 5.000%, 7/01/39 (Pre-refunded 7/01/19) | 7/19 at 100.00 | Aa2 | 1,516,965 | ||
| 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- | 1,006,340 | ||
| 2,500 | Dormitory Authority of the State of New York, Revenue Bonds, North Shore Long Island Jewish Obligated Group, Series 2011A, 5.000%, 5/01/41 (Pre-refunded 5/01/21) | 5/21 at 100.00 | A- | 2,681,775 | ||
| 1,480 | Dormitory Authority of the State of New York, Revenue Bonds, School Districts Financing Program, Series 2009C, 5.125%, 10/01/36 (Pre-refunded 10/01/19) – AGC Insured | 10/19 at 100.00 | AA | 1,510,843 | ||
| 1,200 | Guam Power Authority, Revenue Bonds, Series 2010A, 5.000%, 10/01/37 (Pre-refunded 10/01/20) – AGM Insured | 10/20 at 100.00 | AA | 1,263,384 | ||
| 1,175 | Hempstead Town Local Development Corporation, New York, Revenue Bonds, Molloy College Project, Series 2009, 5.750%, 7/01/39 (Pre-refunded 7/01/19) | 7/19 at 100.00 | N/R | 1,191,133 | ||
| 530 | Hudson Yards Infrastructure Corporation, New York, Revenue Bonds, Senior Fiscal 2012 Series 2011A, 5.250%, 2/15/47 (Pre-refunded 2/15/21) | 2/21 at 100.00 | Aa3 | 567,572 | ||
| 3,515 | Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 1998A, 0.000%, 12/01/19 – AGM Insured (ETM) | No Opt. Call | AA | 3,472,925 | ||
| 1,250 | Long Island Power Authority, New York, Electric System Revenue Bonds, Refunding Series 2009A, 6.250%, 4/01/33 (Pre-refunded 4/01/19) | 4/19 at 100.00 | A- | 1,254,462 | ||
| Long Island Power Authority, New York, Electric System Revenue Bonds, Series 2008A: | ||||||
| 5,000 | 5.500%, 5/01/33 (Pre-refunded 5/01/19) – BHAC Insured | 5/19 at 100.00 | AA+ | 5,031,700 | ||
| 10,250 | 6.000%, 5/01/33 (Pre-refunded 5/01/19) | 5/19 at 100.00 | A- | 10,322,980 | ||
| 10,000 | Long Island Power Authority, New York, Electric System Revenue Bonds, Series 2011A, 5.000%, 5/01/38 (Pre-refunded 5/01/21) | 5/21 at 100.00 | A- | 10,727,100 | ||
| 1,165 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Refunding Series 2012H, 5.000%, 11/15/31 (Pre-refunded 11/15/22) | 11/22 at 100.00 | N/R | 1,309,297 | ||
| 4,845 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2010D, 5.250%, 11/15/40 (Pre-refunded 11/15/20) | 11/20 at 100.00 | AA- | 5,149,072 | ||
| 3,520 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2013A, 5.000%, 11/15/31 (Pre-refunded 5/15/23) | 5/23 at 100.00 | AA- | 4,010,019 | ||
| 1,000 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2013C, 5.000%, 11/15/32 (Pre-refunded 5/15/23) | 5/23 at 100.00 | AA- | 1,139,210 |
70
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| U.S. Guaranteed (7) (continued) | ||||||
| $290 | Suffolk County Economic Development Corporation, New York, Revenue Bonds, Catholic Health Services of Long Island Obligated Group Project, Refunding Series 2011, 5.000%, 7/01/28 (Pre-refunded 7/01/21) | 7/21 at 100.00 | N/R | $312,339 | ||
| 1,000 | Yonkers Industrial Development Agency, New York, Civic Facility Revenue Bonds, Sarah Lawrence College Project, Series 2001A Remarketed, 6.000%, 6/01/41 (Pre-refunded 6/01/19) | 6/19 at 100.00 | BBB | 1,010,710 | ||
| 61,785 | Total U.S. Guaranteed | 64,414,026 | ||||
| Utilities – 7.0% | ||||||
| 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 | BBB- | 7,271,119 | ||
| 420 | Guam Power Authority, Revenue Bonds, Series 2012A, 5.000%, 10/01/34 | 10/22 at 100.00 | BBB | 440,668 | ||
| 2,485 | Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 1998A, 0.000%, 12/01/19 – AGM Insured | No Opt. Call | AA | 2,451,477 | ||
| 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 | 2,295,081 | ||
| 2,000 | 0.000%, 6/01/24 – AGM Insured | No Opt. Call | AA | 1,777,020 | ||
| 2,000 | 0.000%, 6/01/25 – AGM Insured | No Opt. Call | AA | 1,728,340 | ||
| 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- | 3,285,301 | ||
| 2,910 | Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2017, 5.000%, 9/01/47 | 9/27 at 100.00 | A- | 3,260,830 | ||
| 2,430 | Niagara Area Development Corporation, New York, Solid Waste Disposal Facility Revenue Refunding Bonds, Covanta Energy Project, Series 2018A, 4.750%, 11/01/42 (AMT), 144A | 7/23 at 100.00 | B1 | 2,412,771 | ||
| 2,055 | Suffolk County Industrial Development Agency, New York, Revenue Bonds, Nissequogue Cogeneration Partners Facility, Series 1998, 5.500%, 1/01/23 (AMT) | 3/19 at 100.00 | N/R | 2,055,452 | ||
| 10,000 | Utility Debt Securitization Authority, New York, Restructuring Bonds, Refunding Series 2015, 5.000%, 12/15/36 | 12/25 at 100.00 | AAA | 11,500,400 | ||
| 5,095 | Utility Debt Securitization Authority, New York, Restructuring Bonds, Series 2013TE, 5.000%, 12/15/41 | 12/23 at 100.00 | AAA | 5,707,215 | ||
| Utility Debt Securitization Authority, New York, Restructuring Bonds, Series 2017: | ||||||
| 15,500 | 5.000%, 12/15/38 | 12/27 at 100.00 | AAA | 18,053,470 | ||
| 3,000 | 5.000%, 12/15/39 | 12/27 at 100.00 | AAA | 3,482,970 | ||
| 60,300 | Total Utilities | 65,722,114 | ||||
| Water and Sewer – 8.1% | ||||||
| 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+ | 11,094,700 | ||
| 4,465 | New York City Municipal Water Finance Authority, New York, Water and Sewer System Second General Resolution Revenue Bonds, Fiscal 2017 Series CC-1, 5.000%, 6/15/46 | 6/26 at 100.00 | AA+ | 5,004,238 | ||
| 5,000 | New York City Municipal Water Finance Authority, New York, Water and Sewer System Second General Resolution Revenue Bonds, Fiscal 2017 Series DD, 5.000%, 6/15/47 | 12/26 at 100.00 | AA+ | 5,635,900 | ||
| 3,000 | New York City Municipal Water Finance Authority, New York, Water and Sewer System Second General Resolution Revenue Bonds, Fiscal 2018 Series CC-1, 5.000%, 6/15/48 | 6/27 at 100.00 | AA+ | 3,386,280 |
71
Nuveen New York Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Water and Sewer(continued) | ||||||
| $10,905 | New York City Municipal Water Finance Authority, New York, Water and Sewer System Second General Resolution Revenue Bonds, Fiscal 2018 Series EE, 5.000%, 6/15/40 | 12/27 at 100.00 | AA+ | $12,543,476 | ||
| 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 | 574,510 | ||
| 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 2015A, 5.000%, 6/15/34 | 6/25 at 100.00 | AAA | 7,712,562 | ||
| 6,810 | 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 Bonds, Series 2016A, 5.000%, 6/15/41 | 6/26 at 100.00 | AAA | 7,723,902 | ||
| 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 Bonds, Subordinated SRF Series 2017A: | ||||||
| 2,000 | 5.000%, 6/15/42 | 6/27 at 100.00 | AAA | 2,288,420 | ||
| 2,000 | 5.000%, 6/15/46 | 6/27 at 100.00 | AAA | 2,276,920 | ||
| 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 Bonds, Subordinated SRF Series 2017E: | ||||||
| 1,710 | 5.000%, 6/15/38 | 6/27 at 100.00 | AAA | 1,980,676 | ||
| 8,800 | 5.000%, 6/15/47 | 6/27 at 100.00 | AAA | 10,009,736 | ||
| 1,000 | New York State Environmental Facilities Corporation, State Clean Water and Drinking Water Revolving Funds Revenue Bonds, New York City Municipal Water Finance Authority Projects-Second Resolution Bonds, Subordinated SRF Series 2018B, 5.000%, 6/15/43 | 6/28 at 100.00 | AAA | 1,157,120 | ||
| 3,065 | New York State Environmental Facilities Corporation, State Revolving Funds Revenue Bonds, 2010 Master Financing Program, Green Series 2017C, 5.000%, 8/15/47 | 8/27 at 100.00 | AAA | 3,493,364 | ||
| 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- | 758,491 | ||
| 1,050 | 5.000%, 4/01/45 | 4/25 at 100.00 | AA- | 1,174,278 | ||
| 67,655 | Total Water and Sewer | 76,814,573 | ||||
| $956,490 | Total Long-Term Investments (cost $895,533,540) | 927,821,645 |
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| SHORT-TERM INVESTMENTS – 0.8% | ||||||
| MUNICIPAL BONDS – 0.8% | ||||||
| Water and Sewer – 0.8% | ||||||
| $2,200 | New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue Bonds, Second General Resolution, Variable Rate Demand Obligations, Series 2012B, 1.720%, 6/15/45 (8) | 4/19 at 100.00 | A-1+ | $2,200,000 |
72
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Water and Sewer (continued) | ||||||
| $5,045 | New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue Bonds, Second Generation Resolution, Variable Rate Demand Obligations, Series 2008BB-CC, 1.700%, 6/15/36 (8) | 4/19 at 100.00 | A-1 | $5,045,000 | ||
| $7,245 | Total Short-Term Investments (cost $7,245,000) | 7,245,000 | ||||
| Total Investments (cost $902,778,540) – 99.2% | 935,066,645 | |||||
| Floating Rate Obligations – (0.4)% | (4,125,000) | |||||
| Other Assets Less Liabilities – 1.2% | 11,376,810 | |||||
| Net Assets – 100% | $942,318,455 |
| (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. Optional Call Provisions are not covered by the report of independent registered public accounting firm. | |
| (3) | For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. 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. Ratings are not covered by the report of independent registered public accounting firm. | |
| (4) | Step-up coupon bond, a bond with a coupon that increases ("steps up"), usually at regular intervals, while the bond is outstanding. The rate shown is the coupon as of the end of the reporting period. | |
| (5) | Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions. | |
| (6) | 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. | |
| (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. | |
| (8) | Investment has a maturity of greater than one year, but has variable rate and/or demand features which qualify it as a short-term investment. The rate disclosed, as well as the reference rate and spread, where applicable, is that in effect as of the end of the reporting period. This rate changes periodically based on market conditions or a specified market index. | |
| 144A | Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers. | |
| AMT | Alternative Minimum Tax | |
| ETM | Escrowed to maturity | |
| 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.
73
Statement of Assets and Liabilities
February 28, 2019
| Connecticut | Massachusetts | New Jersey | New York | |
| Assets | ||||
| Long-term investments, at value (cost $212,302,403, $359,400,569, $319,380,732 and $895,533,540, respectively) | $218,360,262 | $368,867,983 | $329,913,688 | $927,821,645 |
| Short-term investments, at value (cost approximates value) | — | — | 2,000,000 | 7,245,000 |
| Cash | — | 14,840,479 | 417,929 | 1,677,121 |
| Cash collateral at brokers for investments in futures contracts(1) | — | — | 90,000 | — |
| Receivable for: | ||||
| Interest | 2,139,718 | 4,101,367 | 3,362,765 | 10,760,489 |
| Investments sold | — | 4,614,005 | 227,434 | — |
| Shares sold | 338,414 | 1,400,796 | 1,411,927 | 1,678,213 |
| Variation margin on futures contracts | — | — | 14,438 | — |
| Other assets | 48,353 | 14,600 | 18,284 | 122,964 |
| Total assets | 220,886,747 | 393,839,230 | 337,456,465 | 949,305,432 |
| Liabilities | ||||
| Cash overdraft | 75,270 | — | — | — |
| Floating rate obligations | — | — | 7,590,000 | 4,125,000 |
| Payable for: | ||||
| Dividends | 113,947 | 117,024 | 130,920 | 508,781 |
| Investments purchased | — | 685,372 | 3,009,000 | — |
| Shares redeemed | 289,592 | 567,211 | 478,916 | 1,543,881 |
| Accrued expenses: | ||||
| Management fees | 84,936 | 146,182 | 123,627 | 347,813 |
| Trustees fees | 44,776 | 9,194 | 16,221 | 121,619 |
| 12b-1 distribution and service fees | 31,555 | 32,887 | 46,327 | 108,515 |
| Other | 85,509 | 133,404 | 126,887 | 231,368 |
| Total liabilities | 725,585 | 1,691,274 | 11,521,898 | 6,986,977 |
| Net assets | $220,161,162 | $392,147,956 | $325,934,567 | $942,318,455 |
| Class A Shares | ||||
| Net assets | $138,187,668 | $149,468,288 | $173,965,236 | $432,790,993 |
| Shares outstanding | 13,295,625 | 15,057,911 | 15,537,829 | 40,089,059 |
| Net asset value ("NAV") per share | $10.39 | $9.93 | $11.20 | $10.80 |
| Offering price per share (NAV per share plus maximum sales charge of 4.20% of offering price) | $10.85 | $10.37 | $11.69 | $11.27 |
| Class C Shares | ||||
| Net assets | $4,914,116 | $6,792,330 | $14,536,145 | $37,514,657 |
| Shares outstanding | 473,752 | 689,915 | 1,304,491 | 3,479,347 |
| NAV and offering price per share | $10.37 | $9.85 | $11.14 | $10.78 |
| Class C2 Shares | ||||
| Net assets | $11,399,214 | $8,197,325 | $15,265,129 | $24,032,919 |
| Shares outstanding | 1,097,205 | 831,772 | 1,368,556 | 2,227,851 |
| NAV and offering price per share | $10.39 | $9.86 | $11.15 | $10.79 |
| Class I Shares | ||||
| Net assets | $65,660,164 | $227,690,013 | $122,168,057 | $447,979,886 |
| Shares outstanding | 6,300,065 | 22,948,811 | 10,872,594 | 41,457,630 |
| NAV and offering price per share | $10.42 | $9.92 | $11.24 | $10.81 |
| Fund level net assets consist of: | ||||
| Capital paid-in | $217,828,486 | $392,816,694 | $315,249,839 | $929,005,546 |
| Total distributable earnings | 2,332,676 | (668,738) | 10,684,728 | 13,312,909 |
| Fund level net assets | $220,161,162 | $392,147,956 | $325,934,567 | $942,318,455 |
| Authorized shares - per class | Unlimited | Unlimited | Unlimited | Unlimited |
| Par value per share | $0.01 | $0.01 | $0.01 | $0.01 |
| (1) | Cash pledged to collateralize the net payment obligations for investments in derivatives. |
See accompanying notes to financial statements.
74
Statement of Operations
Year Ended February 28, 2019
| Connecticut | Massachusetts | New Jersey | New York | |
| Investment Income | $8,942,643 | $14,611,145 | $13,440,673 | $37,047,070 |
| Expenses | ||||
| Management fees | 1,141,864 | 1,974,093 | 1,694,711 | 4,449,760 |
| 12b-1 service fees - Class A Shares | 278,553 | 325,654 | 358,351 | 829,698 |
| 12b-1 distibution and service fees - Class C Shares | 50,285 | 74,355 | 156,022 | 384,289 |
| 12b-1 distibution and service fees - Class C2 Shares | 122,381 | 84,429 | 154,144 | 253,596 |
| Shareholder servicing agent fees | 90,522 | 222,371 | 186,381 | 401,067 |
| Interest expense | 1,297 | 2,559 | 23,485 | 93,591 |
| Custodian fees | 48,739 | 72,225 | 73,393 | 119,390 |
| Trustees fees | 6,676 | 11,766 | 10,044 | 27,304 |
| Professional fees | 33,255 | 45,275 | 38,961 | 60,741 |
| Shareholder reporting expenses | 26,194 | 42,841 | 35,352 | 72,700 |
| Federal and state registration fees | 7,213 | 10,957 | 4,771 | 14,456 |
| Other | 12,212 | 19,022 | 33,924 | 42,175 |
| Total expenses | 1,819,191 | 2,885,547 | 2,769,539 | 6,748,767 |
| Net investment income (loss) | 7,123,452 | 11,725,598 | 10,671,134 | 30,298,303 |
| Realized and Unrealized Gain (Loss) | ||||
| Net realized gain (loss) from: | ||||
| Investments | 127,991 | (871,686) | 1,990,199 | (6,573,229) |
| Futures contracts | — | — | (46,152) | — |
| Change in net unrealized appreciation (depreciation) of: | ||||
| Investments | (407,779) | (1,008,422) | (319,581) | 5,674,805 |
| Futures contracts | — | — | 46,173 | — |
| Net realized and unrealized gain (loss) | (279,788) | (1,880,108) | 1,670,639 | (898,424) |
| Net increase (decrease) in net assets from operations | $6,843,664 | $9,845,490 | $12,341,773 | $29,399,879 |
See accompanying notes to financial statements.
75
Statement of Changes in Net Assets
| Connecticut | Massachusetts | ||||
| Year Ended 2/28/19 | Year Ended(1) 2/28/18 | Year Ended 2/28/19 | Year Ended(1) 2/28/18 | ||
| Operations | |||||
| Net investment income (loss) | $7,123,452 | $7,726,375 | $11,725,598 | $10,422,532 | |
| Net realized gain (loss) from: | |||||
| Investments | 127,991 | 429,401 | (871,686) | (307,226) | |
| Futures contracts | — | — | — | — | |
| Change in net unrealized appreciation (depreciation) of: | |||||
| Investments | (407,779) | (2,711,174) | (1,008,422) | (2,317,415) | |
| Futures contracts | — | — | — | — | |
| Net increase (decrease) in net assets from operations | 6,843,664 | 5,444,602 | 9,845,490 | 7,797,891 | |
| Distributions to Shareholders(2) | |||||
| Dividends(3) | |||||
| Class A Shares | (4,244,587) | (4,680,118) | (4,723,952) | (3,513,367) | |
| Class C Shares | (112,536) | (127,321) | (154,274) | (167,694) | |
| Class C2 Shares | (402,186) | (770,401) | (259,494) | (409,696) | |
| Class I Shares | (2,159,395) | (2,327,420) | (6,687,419) | (6,074,328) | |
| Decrease in net assets from distributions to shareholders | (6,918,704) | (7,905,260) | (11,825,139) | (10,165,085) | |
| Fund Share Transactions | |||||
| Proceeds from sale of shares | 33,769,435 | 42,132,939 | 198,873,611 | 135,640,967 | |
| Proceeds from shares issued to shareholders due to reinvestment of distributions | 5,436,937 | 6,068,378 | 10,468,041 | 9,025,874 | |
| 39,206,372 | 48,201,317 | 209,341,652 | 144,666,841 | ||
| Cost of shares redeemed | (55,906,439) | (71,961,060) | (202,458,483) | (71,813,342) | |
| Net increase (decrease) in net assets from Fund share transactions | (16,700,067) | (23,759,743) | 6,883,169 | 72,853,499 | |
| Net increase (decrease) in net assets | (16,775,107) | (26,220,401) | 4,903,520 | 70,486,305 | |
| Net assets at the beginning of period | 236,936,269 | 263,156,670 | 387,244,436 | 316,758,131 | |
| Net assets at the end of period | $220,161,162 | $236,936,269 | $392,147,956 | $387,244,436 | |
| (1) | Prior period amounts have been conformed to current year presentation. See Notes to Financial Statements, Note 9 - New Accounting Pronouncements for further details. |
| (2) | The composition and per share amounts of the Fund's distributions are presented in the Financial Highlights. The distribution information for the Fund as of its most recent tax year end is presented within the Notes to Financial Statements, Note 6 - Income Tax Information. |
| (3) | For the fiscal year ended February 28, 2018, Connecticut's, Massachusetts' and New York's distributions to shareholders were paid from net investment income, while New Jersey's distributions to shareholders were paid from net investment income and accumulated net realized gains. |
See accompanying notes to financial statements.
76
Statement of Changes in Net Assets(continued)
| New Jersey | New York | ||||
| Year Ended 2/28/19 | Year Ended(1) 2/28/18 | Year Ended 2/28/19 | Year Ended(1) 2/28/18 | ||
| Operations | |||||
| Net investment income (loss) | $10,671,134 | $10,354,814 | $30,298,303 | $27,922,181 | |
| Net realized gain (loss) from: | |||||
| Investments | 1,990,199 | (89,891) | (6,573,229) | 1,121,698 | |
| Futures contracts | (46,152) | — | — | — | |
| Change in net unrealized appreciation (depreciation) of: | |||||
| Investments | (319,581) | 1,858,661 | 5,674,805 | (6,318,943) | |
| Futures contracts | 46,173 | — | — | — | |
| Net increase (decrease) in net assets from operations | 12,341,773 | 12,123,584 | 29,399,879 | 22,724,936 | |
| Distributions to Shareholders(2) | |||||
| Dividends(3) | |||||
| Class A Shares | (6,836,520) | (5,957,785) | (12,887,828) | (11,791,232) | |
| Class C Shares | (471,162) | (464,125) | (880,861) | (953,992) | |
| Class C2 Shares | (635,160) | (972,708) | (862,557) | (1,527,001) | |
| Class I Shares | (5,074,408) | (4,615,706) | (14,397,662) | (14,407,951) | |
| Decrease in net assets from distributions to shareholders | (13,017,250) | (12,010,324) | (29,028,908) | (28,680,176) | |
| Fund Share Transactions | |||||
| Proceeds from sale of shares | 107,342,679 | 88,426,937 | 282,872,249 | 207,685,976 | |
| Proceeds from shares issued to shareholders due to reinvestment of distributions | 10,789,950 | 10,032,149 | 23,076,737 | 23,882,551 | |
| 118,132,629 | 98,459,086 | 305,948,986 | 231,568,527 | ||
| Cost of shares redeemed | (128,495,128) | (83,616,125) | (249,333,245) | (132,152,569) | |
| Net increase (decrease) in net assets from Fund share transactions | (10,362,499) | 14,842,961 | 56,615,741 | 99,415,958 | |
| Net increase (decrease) in net assets | (11,037,976) | 14,956,221 | 56,986,712 | 93,460,718 | |
| Net assets at the beginning of period | 336,972,543 | 322,016,322 | 885,331,743 | 791,871,025 | |
| Net assets at the end of period | $325,934,567 | $336,972,543 | $942,318,455 | $885,331,743 | |
| (1) | Prior period amounts have been conformed to current year presentation. See Notes to Financial Statements, Note 9 - New Accounting Pronouncements for further details. |
| (2) | The composition and per share amounts of the Fund's distributions are presented in the Financial Highlights. The distribution information for the Fund as of its most recent tax year end is presented within the Notes to Financial Statements, Note 6 - Income Tax Information. |
| (3) | For the fiscal year ended February 28, 2018, Connecticut's, Massachusetts' and New York's distributions to shareholders were paid from net investment income, while New Jersey's distributions to shareholders were paid from net investment income and accumulated net realized gains. |
See accompanying notes to financial statements.
77
Financial Highlights
Connecticut
Selected data for a share outstanding throughout each period:
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 (07/87) | |||||||||
| 2019 | $10.39 | $0.33 | $(0.01) | $0.32 | $(0.32) | $— | $(0.32) | $10.39 | |
| 2018 | 10.51 | 0.33 | (0.11) | 0.22 | (0.34) | — | (0.34) | 10.39 | |
| 2017 | 10.87 | 0.34 | (0.35) | (0.01) | (0.35) | — | (0.35) | 10.51 | |
| 2016 | 10.86 | 0.36 | 0.01 | 0.37 | (0.36) | — | (0.36) | 10.87 | |
| 2015 | 10.49 | 0.37 | 0.36 | 0.73 | (0.36) | — | (0.36) | 10.86 | |
| Class C (02/14) | |||||||||
| 2019 | 10.37 | 0.24 | (0.01) | 0.23 | (0.23) | — | (0.23) | 10.37 | |
| 2018 | 10.49 | 0.25 | (0.12) | 0.13 | (0.25) | — | (0.25) | 10.37 | |
| 2017 | 10.85 | 0.25 | (0.35) | (0.10) | (0.26) | — | (0.26) | 10.49 | |
| 2016 | 10.84 | 0.27 | 0.02 | 0.29 | (0.28) | — | (0.28) | 10.85 | |
| 2015 | 10.48 | 0.28 | 0.36 | 0.64 | (0.28) | — | (0.28) | 10.84 | |
| Class C2 (10/93) | |||||||||
| 2019 | 10.38 | 0.26 | 0.01 | 0.27 | (0.26) | — | (0.26) | 10.39 | |
| 2018 | 10.50 | 0.27 | (0.11) | 0.16 | (0.28) | — | (0.28) | 10.38 | |
| 2017 | 10.86 | 0.28 | (0.35) | (0.07) | (0.29) | — | (0.29) | 10.50 | |
| 2016 | 10.85 | 0.30 | 0.01 | 0.31 | (0.30) | — | (0.30) | 10.86 | |
| 2015 | 10.48 | 0.31 | 0.36 | 0.67 | (0.30) | — | (0.30) | 10.85 | |
| Class I (02/97) | |||||||||
| 2019 | 10.42 | 0.35 | (0.01) | 0.34 | (0.34) | — | (0.34) | 10.42 | |
| 2018 | 10.54 | 0.35 | (0.11) | 0.24 | (0.36) | — | (0.36) | 10.42 | |
| 2017 | 10.90 | 0.36 | (0.35) | 0.01 | (0.37) | — | (0.37) | 10.54 | |
| 2016 | 10.90 | 0.38 | 0.01 | 0.39 | (0.39) | — | (0.39) | 10.90 | |
| 2015 | 10.52 | 0.39 | 0.37 | 0.76 | (0.38) | — | (0.38) | 10.90 | |
78
| 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) |
| 3.09% | $138,188 | 0.80% | 0.80% | 3.15% | 7% |
| 2.07 | 139,320 | 0.81 | 0.81 | 3.12 | 12 |
| (0.15) | 154,143 | 0.79 | 0.79 | 3.14 | 22 |
| 3.50 | 166,511 | 0.79 | 0.79 | 3.34 | 12 |
| 7.06 | 176,461 | 0.79 | 0.79 | 3.45 | 16 |
| 2.26 | 4,914 | 1.60 | 1.60 | 2.34 | 7 |
| 1.26 | 4,994 | 1.61 | 1.61 | 2.33 | 12 |
| (0.93) | 5,782 | 1.59 | 1.59 | 2.33 | 22 |
| 2.70 | 4,646 | 1.59 | 1.59 | 2.53 | 12 |
| 6.13 | 2,295 | 1.59 | 1.59 | 2.61 | 16 |
| 2.59 | 11,399 | 1.35 | 1.35 | 2.54 | 7 |
| 1.49 | 24,798 | 1.36 | 1.36 | 2.57 | 12 |
| (0.71) | 35,338 | 1.34 | 1.34 | 2.59 | 22 |
| 2.93 | 39,682 | 1.34 | 1.34 | 2.80 | 12 |
| 6.47 | 43,580 | 1.34 | 1.34 | 2.91 | 16 |
| 3.32 | 65,660 | 0.60 | 0.60 | 3.34 | 7 |
| 2.29 | 67,824 | 0.61 | 0.61 | 3.32 | 12 |
| 0.07 | 67,894 | 0.59 | 0.59 | 3.35 | 22 |
| 3.63 | 72,697 | 0.59 | 0.59 | 3.54 | 12 |
| 7.37 | 64,625 | 0.59 | 0.59 | 3.65 | 16 |
| (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 and the interest expense and fees paid on borrowings, as described in Note 8 - Borrowing Arrangements. |
| (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. |
See accompanying notes to financial statements.
79
Financial Highlights(continued)
Massachusetts
Selected data for a share outstanding throughout each period:
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 (09/94) | |||||||||
| 2019 | $9.96 | $0.28 | $(0.02) | $0.26 | $(0.29) | $ — | $(0.29) | $9.93 | |
| 2018 | 10.01 | 0.29 | (0.05) | 0.24 | (0.29) | — | (0.29) | 9.96 | |
| 2017 | 10.26 | 0.30 | (0.24) | 0.06 | (0.31) | — | (0.31) | 10.01 | |
| 2016 | 10.24 | 0.34 | 0.03 | 0.37 | (0.35) | — | (0.35) | 10.26 | |
| 2015 | 9.89 | 0.36 | 0.36 | 0.72 | (0.37) | — | (0.37) | 10.24 | |
| Class C (02/14) | |||||||||
| 2019 | 9.88 | 0.20 | (0.03) | 0.17 | (0.20) | — | (0.20) | 9.85 | |
| 2018 | 9.92 | 0.21 | (0.05) | 0.16 | (0.20) | — | (0.20) | 9.88 | |
| 2017 | 10.17 | 0.21 | (0.23) | (0.02) | (0.23) | — | (0.23) | 9.92 | |
| 2016 | 10.15 | 0.25 | 0.03 | 0.28 | (0.26) | — | (0.26) | 10.17 | |
| 2015 | 9.81 | 0.27 | 0.36 | 0.63 | (0.29) | — | (0.29) | 10.15 | |
| Class C2 (10/94) | |||||||||
| 2019 | 9.89 | 0.23 | (0.03) | 0.20 | (0.23) | — | (0.23) | 9.86 | |
| 2018 | 9.93 | 0.24 | (0.05) | 0.19 | (0.23) | — | (0.23) | 9.89 | |
| 2017 | 10.18 | 0.24 | (0.24) | — | (0.25) | — | (0.25) | 9.93 | |
| 2016 | 10.15 | 0.28 | 0.04 | 0.32 | (0.29) | — | (0.29) | 10.18 | |
| 2015 | 9.81 | 0.30 | 0.35 | 0.65 | (0.31) | — | (0.31) | 10.15 | |
| Class I (12/86) | |||||||||
| 2019 | 9.95 | 0.30 | (0.02) | 0.28 | (0.31) | — | (0.31) | 9.92 | |
| 2018 | 10.00 | 0.31 | (0.05) | 0.26 | (0.31) | — | (0.31) | 9.95 | |
| 2017 | 10.25 | 0.32 | (0.24) | 0.08 | (0.33) | — | (0.33) | 10.00 | |
| 2016 | 10.22 | 0.36 | 0.04 | 0.40 | (0.37) | — | (0.37) | 10.25 | |
| 2015 | 9.88 | 0.38 | 0.35 | 0.73 | (0.39) | — | (0.39) | 10.22 | |
80
| Ratios/Supplemental Data | |||||
| Ratios 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) |
| 2.64% | $149,468 | 0.80% | 0.80% | 2.86% | 24% |
| 2.38 | 149,056 | 0.81 | 0.81 | 2.91 | 10 |
| 0.56 | 117,805 | 0.80 | 0.80 | 2.93 | 15 |
| 3.68 | 86,136 | 0.81 | 0.81 | 3.32 | 12 |
| 7.42 | 84,367 | 0.81 | 0.81 | 3.52 | 11 |
| 1.79 | 6,792 | 1.60 | 1.60 | 2.07 | 24 |
| 1.65 | 8,661 | 1.61 | 1.61 | 2.11 | 10 |
| (0.27) | 7,682 | 1.60 | 1.60 | 2.10 | 15 |
| 2.86 | 5,769 | 1.61 | 1.61 | 2.51 | 12 |
| 6.50 | 2,382 | 1.61 | 1.61 | 2.65 | 11 |
| 2.03 | 8,197 | 1.35 | 1.35 | 2.30 | 24 |
| 1.89 | 16,156 | 1.36 | 1.36 | 2.36 | 10 |
| (0.03) | 20,013 | 1.35 | 1.35 | 2.37 | 15 |
| 3.20 | 22,641 | 1.36 | 1.36 | 2.78 | 12 |
| 6.74 | 25,254 | 1.36 | 1.36 | 2.97 | 11 |
| 2.83 | 227,690 | 0.60 | 0.60 | 3.08 | 24 |
| 2.56 | 213,372 | 0.61 | 0.61 | 3.11 | 10 |
| 0.73 | 171,258 | 0.60 | 0.60 | 3.12 | 15 |
| 3.97 | 151,925 | 0.61 | 0.61 | 3.52 | 12 |
| 7.52 | 143,304 | 0.62 | 0.62 | 3.72 | 11 |
| (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. See Note 7 - Management Fees and Other Transactions with Affiliates, Management Fees for more information. |
| (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 and the interest expense and fees paid on borrowings, as described in Note 8 - Borrowing Arrangements. |
| (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. |
See accompanying notes to financial statements.
81
Financial Highlights(continued)
New Jersey
Selected data for a share outstanding throughout each period:
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 (09/94) | |||||||||
| 2019 | $11.20 | $0.35 | $0.08 | $0.43 | $(0.35) | $(0.08) | $(0.43) | $11.20 | |
| 2018 | 11.19 | 0.35 | 0.07 | 0.42 | (0.37) | (0.04) | (0.41) | 11.20 | |
| 2017 | 11.54 | 0.36 | (0.31) | 0.05 | (0.38) | (0.02) | (0.40) | 11.19 | |
| 2016 | 11.50 | 0.39 | 0.05 | 0.44 | (0.40) | —* | (0.40) | 11.54 | |
| 2015 | 11.10 | 0.41 | 0.38 | 0.79 | (0.39) | — | (0.39) | 11.50 | |
| Class C (02/14) | |||||||||
| 2019 | 11.15 | 0.26 | 0.07 | 0.33 | (0.26) | (0.08) | (0.34) | 11.14 | |
| 2018 | 11.14 | 0.26 | 0.07 | 0.33 | (0.28) | (0.04) | (0.32) | 11.15 | |
| 2017 | 11.49 | 0.27 | (0.31) | (0.04) | (0.29) | (0.02) | (0.31) | 11.14 | |
| 2016 | 11.45 | 0.30 | 0.05 | 0.35 | (0.31) | —* | (0.31) | 11.49 | |
| 2015 | 11.06 | 0.32 | 0.37 | 0.69 | (0.30) | — | (0.30) | 11.45 | |
| Class C2 (09/94) | |||||||||
| 2019 | 11.16 | 0.29 | 0.06 | 0.35 | (0.28) | (0.08) | (0.36) | 11.15 | |
| 2018 | 11.14 | 0.29 | 0.07 | 0.36 | (0.30) | (0.04) | (0.34) | 11.16 | |
| 2017 | 11.49 | 0.30 | (0.31) | (0.01) | (0.32) | (0.02) | (0.34) | 11.14 | |
| 2016 | 11.46 | 0.33 | 0.04 | 0.37 | (0.34) | —* | (0.34) | 11.49 | |
| 2015 | 11.07 | 0.35 | 0.37 | 0.72 | (0.33) | — | (0.33) | 11.46 | |
| Class I (02/92) | |||||||||
| 2019 | 11.24 | 0.37 | 0.08 | 0.45 | (0.37) | (0.08) | (0.45) | 11.24 | |
| 2018 | 11.22 | 0.38 | 0.07 | 0.45 | (0.39) | (0.04) | (0.43) | 11.24 | |
| 2017 | 11.58 | 0.39 | (0.32) | 0.07 | (0.41) | (0.02) | (0.43) | 11.22 | |
| 2016 | 11.54 | 0.41 | 0.06 | 0.47 | (0.43) | —* | (0.43) | 11.58 | |
| 2015 | 11.14 | 0.44 | 0.38 | 0.82 | (0.42) | — | (0.42) | 11.54 | |
82
| 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) |
| 3.92% | $173,965 | 0.82% | 0.81% | 3.13% | 22% |
| 3.77 | 174,582 | 0.81 | 0.81 | 3.12 | 11 |
| 0.46 | 154,595 | 0.80 | 0.80 | 3.14 | 15 |
| 3.99 | 142,413 | 0.81 | 0.81 | 3.42 | 16 |
| 7.22 | 130,664 | 0.81 | 0.81 | 3.60 | 11 |
| 3.01 | 14,536 | 1.62 | 1.61 | 2.34 | 22 |
| 2.96 | 16,282 | 1.61 | 1.61 | 2.32 | 11 |
| (0.35) | 16,453 | 1.60 | 1.60 | 2.35 | 15 |
| 3.18 | 9,912 | 1.60 | 1.60 | 2.61 | 16 |
| 6.31 | 6,690 | 1.61 | 1.61 | 2.81 | 11 |
| 3.23 | 15,265 | 1.37 | 1.36 | 2.62 | 22 |
| 3.27 | 29,035 | 1.36 | 1.36 | 2.57 | 11 |
| (0.09) | 35,993 | 1.35 | 1.35 | 2.59 | 15 |
| 3.37 | 41,354 | 1.36 | 1.36 | 2.88 | 16 |
| 6.59 | 46,892 | 1.36 | 1.36 | 3.05 | 11 |
| 4.12 | 122,168 | 0.62 | 0.61 | 3.33 | 22 |
| 4.06 | 117,074 | 0.61 | 0.61 | 3.32 | 11 |
| 0.58 | 114,975 | 0.60 | 0.60 | 3.35 | 15 |
| 4.19 | 109,699 | 0.61 | 0.61 | 3.62 | 16 |
| 7.42 | 104,578 | 0.61 | 0.61 | 3.81 | 11 |
| (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 and the interest expense and fees paid on borrowings, as described in Note 8 - Borrowing Arrangements. |
| (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. |
| * | Rounds to less than $.01 per share. |
See accompanying notes to financial statements.
83
Financial Highlights(continued)
New York
Selected data for a share outstanding throughout each period:
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 (09/94) | |||||||||
| 2019 | $10.79 | $0.35 | $(0.01) | $0.34 | $(0.33) | $ — | $(0.33) | $10.80 | |
| 2018 | 10.85 | 0.36 | (0.05) | 0.31 | (0.37) | — | (0.37) | 10.79 | |
| 2017 | 11.17 | 0.37 | (0.30) | 0.07 | (0.39) | — | (0.39) | 10.85 | |
| 2016 | 11.14 | 0.39 | 0.05 | 0.44 | (0.41) | — | (0.41) | 11.17 | |
| 2015 | 10.71 | 0.41 | 0.43 | 0.84 | (0.41) | — | (0.41) | 11.14 | |
| Class C (02/14) | |||||||||
| 2019 | 10.78 | 0.26 | (0.01) | 0.25 | (0.25) | — | (0.25) | 10.78 | |
| 2018 | 10.83 | 0.27 | (0.04) | 0.23 | (0.28) | — | (0.28) | 10.78 | |
| 2017 | 11.16 | 0.28 | (0.31) | (0.03) | (0.30) | — | (0.30) | 10.83 | |
| 2016 | 11.13 | 0.30 | 0.05 | 0.35 | (0.32) | — | (0.32) | 11.16 | |
| 2015 | 10.70 | 0.31 | 0.45 | 0.76 | (0.33) | — | (0.33) | 11.13 | |
| Class C2 (09/94) | |||||||||
| 2019 | 10.78 | 0.29 | (0.01) | 0.28 | (0.27) | — | (0.27) | 10.79 | |
| 2018 | 10.84 | 0.30 | (0.05) | 0.25 | (0.31) | — | (0.31) | 10.78 | |
| 2017 | 11.17 | 0.31 | (0.31) | — | (0.33) | — | (0.33) | 10.84 | |
| 2016 | 11.14 | 0.33 | 0.05 | 0.38 | (0.35) | — | (0.35) | 11.17 | |
| 2015 | 10.71 | 0.35 | 0.43 | 0.78 | (0.35) | — | (0.35) | 11.14 | |
| Class I (12/86) | |||||||||
| 2019 | 10.80 | 0.37 | —* | 0.37 | (0.36) | — | (0.36) | 10.81 | |
| 2018 | 10.86 | 0.39 | (0.05) | 0.34 | (0.40) | — | (0.40) | 10.80 | |
| 2017 | 11.19 | 0.40 | (0.32) | 0.08 | (0.41) | — | (0.41) | 10.86 | |
| 2016 | 11.16 | 0.42 | 0.04 | 0.46 | (0.43) | — | (0.43) | 11.19 | |
| 2015 | 10.73 | 0.43 | 0.43 | 0.86 | (0.43) | — | (0.43) | 11.16 | |
84
| Ratios/Supplemental Data | |||||
| Ratios 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) |
| 3.25% | $432,791 | 0.78% | 0.77% | 3.25% | 37% |
| 2.87 | 383,306 | 0.79 | 0.77 | 3.30 | 16 |
| 0.56 | 320,116 | 0.78 | 0.77 | 3.35 | 24 |
| 4.03 | 287,008 | 0.78 | 0.77 | 3.56 | 25 |
| 7.95 | 269,664 | 0.78 | 0.78 | 3.76 | 23 |
| 2.32 | 37,515 | 1.58 | 1.57 | 2.45 | 37 |
| 2.13 | 41,221 | 1.59 | 1.57 | 2.50 | 16 |
| (0.34) | 32,296 | 1.58 | 1.57 | 2.55 | 24 |
| 3.20 | 19,044 | 1.58 | 1.57 | 2.72 | 25 |
| 7.13 | 7,209 | 1.58 | 1.58 | 2.83 | 23 |
| 2.58 | 24,033 | 1.32 | 1.31 | 2.69 | 37 |
| 2.41 | 47,981 | 1.34 | 1.32 | 2.76 | 16 |
| (0.07) | 62,247 | 1.33 | 1.32 | 2.80 | 24 |
| 3.47 | 69,616 | 1.33 | 1.32 | 3.01 | 25 |
| 7.36 | 74,707 | 1.33 | 1.33 | 3.20 | 23 |
| 3.47 | 447,980 | 0.58 | 0.57 | 3.45 | 37 |
| 3.09 | 412,823 | 0.59 | 0.57 | 3.50 | 16 |
| 0.68 | 377,212 | 0.58 | 0.57 | 3.55 | 24 |
| 4.25 | 359,843 | 0.58 | 0.57 | 3.76 | 25 |
| 8.16 | 347,696 | 0.58 | 0.58 | 3.94 | 23 |
| (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. See Note 7 - Management Fees and Other Transactions with Affiliates, Management Fees for more information. |
| (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 and the interest expense and fees paid on borrowings, as described in Note 8 - Borrowing Arrangements. |
| (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. |
| * | Rounds to less than $.01 per share. |
See accompanying notes to financial statements.
85
Notes to Financial Statements
1. General Information and Significant Accounting Policies
General Information
Trust and Fund Information
The Nuveen Multistate Trust II (the “Trust”) is an open-end investment company registered under the Investment Company Act of 1940, as amended (the "1940 Act"). 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 February 28, 2019, and the period covered by these Notes to Financial Statements is the fiscal year ended February 28, 2019 (the "current fiscal period").
Investment Adviser
The Funds' investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a subsidiary of Nuveen, LLC (“Nuveen”). Nuveen is the investment management arm of Teachers Insurance and Annuity Association of America (TIAA). The Adviser has overall responsibility for management of the Funds, oversees the management of the Funds' portfolios, manages the Funds' business affairs and provides certain clerical, bookkeeping and other administrative services, and, if necessary, asset allocation decisions. The Adviser has entered into sub-advisory agreements with Nuveen Asset Management, LLC, (the “Sub-Adviser”), a subsidiary of the Adviser, under which the Sub-Adviser manages the investment portfolios of the Funds.
Investment Objectives
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.
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 each Fund in the preparation of their financial statements in accordance with U.S generally accepted accounting principles (“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 following Funds' outstanding when-issued/delayed delivery purchase commitments were as follows:
| Massachusetts | New Jersey | |
| Outstanding when-issued/delayed delivery purchase commitments | $685,372 | $3,009,000 |
Investment Income
Investment income is comprised of interest income, which reflects the amortization of premiums and accretion of discounts for financial reporting purposes and, is recorded on an accrual basis. Investment income also reflects payment-in-kind (“PIK”) interest and paydown gains and losses, if any. PIK interest represents income received in the form of securities in lieu of cash.
86
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, if any, 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 $250,000 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”) of 1% 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 incur 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 C and Class C2 Shares automatically convert to Class A Shares ten years after 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.
Compensation
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 Funds' Board of Trustees (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.
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 Derivatives Association, Inc. (ISDA) master agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows each Fund to offset certain securities and derivatives with a specific counterparty, when applicable, as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, each Fund manages its cash collateral and securities collateral on a counterparty basis.
The Funds' investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 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 current fiscal period. Actual results may differ from those estimates.
87
Notes to Financial Statements(continued)
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, credit spreads, 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 an independent pricing service (“pricing service”) approved by 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 observability of the significant inputs.
Futures contracts are valued using the closing settlement price or, in the absence of such a price, the last traded price and are generally classified as Level 1.
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 an independent pricing service ("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 observability 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:
| Connecticut | Level 1 | Level 2 | Level 3 | Total |
| Long-Term Investments*: | ||||
| Municipal Bonds | $ — | $218,360,262 | $ — | $218,360,262 |
| Massachusetts | Level 1 | Level 2 | Level 3 | Total |
| Long-Term Investments*: | ||||
| Municipal Bonds | $ — | $368,867,983 | $ — | $368,867,983 |
88
| New Jersey | Level 1 | Level 2 | Level 3 | Total |
| Long-Term Investments*: | ||||
| Municipal Bonds | $ — | $329,913,688 | $ — | $329,913,688 |
| Short-Term Investments*: | ||||
| Municipal Bonds | — | 2,000,000 | — | 2,000,000 |
| Investments in Derivatives: | ||||
| Futures Contracts** | 46,173 | — | — | 46,173 |
| Total | $46,173 | $331,913,688 | $ — | $331,959,861 |
| New York | Level 1 | Level 2 | Level 3 | Total |
| Long-Term Investments*: | ||||
| Municipal Bonds | $ — | $927,821,645 | $ — | $927,821,645 |
| Short-Term Investments*: | ||||
| Municipal Bonds | — | 7,245,000 | — | 7,245,000 |
| Total | $ — | $935,066,645 | $ — | $935,066,645 |
| * | 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. |
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 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.
89
Notes to Financial Statements(continued)
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 | $ — | $ — | $7,590,000 | $4,125,000 |
| Floating rate obligations: externally-deposited Inverse Floaters | — | 1,600,000 | — | — |
| Total | $ — | $1,600,000 | $7,590,000 | $4,125,000 |
During the current fiscal period, the average amount of Floaters (including any borrowings from a Liquidity Provider) outstanding, and the average annual interest rates 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 | $ — | $ — | $1,039,726 | $4,125,000 |
| Average annual interest rate and fees | —% | —% | 1.97% | 2.00% |
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 are not sufficient to pay the purchase price of the Floaters.
The size of the commitment under the loan facility for a given TOB Trust is at least equal to the balance of that TOB Trust’s outstanding Floaters plus any accrued interest. In consideration of the loan facility, fee schedules are in place and are charged by the Liquidity Provider(s). Any loans made by the Liquidity Provider will be secured by the purchased Floaters held by the TOB Trust. Interest paid on any outstanding loan balances will be effectively borne by the Fund that owns the Inverse Floaters of the TOB Trust that has incurred the borrowing and may be at a rate that is greater than the rate that would have been paid had the Floaters been successfully remarketed.
As described above, any amounts outstanding under a liquidity facility are recognized as a component of “Floating rate obligations” on the Statement of Assets and Liabilities by the Fund holding the corresponding Inverse Floaters issued by the borrowing TOB Trust. As of the end of the reporting period, there were no loans outstanding under any such facility.
Each Fund may also enter into shortfall and forbearance agreements (sometimes referred to as a “recourse arrangement”) (TOB Trusts involving such agreements are referred to herein as “Recourse Trusts”), under which a Fund agrees to reimburse the Liquidity Provider for the Trust’s Floaters, in certain circumstances, for the amount (if any) by which the liquidation value of the Underlying Bond held by the TOB Trust may fall short of the sum of the liquidation value of the Floaters issued by the TOB Trust plus any amounts borrowed by the TOB Trust from the Liquidity Provider, plus any shortfalls in interest cash flows. Under these agreements, a Fund’s potential exposure to losses related to or on an Inverse Floater may increase beyond the value of the Inverse Floater as a Fund may potentially be liable to fulfill all amounts owed to holders of the Floaters or the Liquidity Provider. Any such shortfall amount in the aggregate is recognized as “Unrealized depreciation on Recourse Trusts” on the Statement of Assets and Liabilities.
As of the end of the reporting period, each Fund’s maximum exposure to the Floaters issued by Recourse Trusts for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as follows:
| Floating Rate Obligations - Recourse Trusts | Connecticut | Massachusetts | New Jersey | New York |
| Maximum exposure to Recourse Trusts: self-deposited Inverse Floaters | $ — | $ — | $7,590,000 | $4,125,000 |
| Maximum exposure to Recourse Trusts: externally-deposited Inverse Floaters | — | 1,600,000 | — | — |
| Total | $ — | $1,600,000 | $7,590,000 | $4,125,000 |
90
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 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.
Futures Contracts
Upon execution of a futures contract, 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 futures contracts, if any, is recognized as “Cash collateral at brokers for investments in future contracts” on the Statement of Assets and Liabilities. Investments in futures contracts 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 open contracts. If a Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to appreciation and conversely if a Fund has unrealized depreciation the clearing broker would debit the Fund’s account with an amount equal to 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 futures contracts” on the Statement of Assets and Liabilities.
During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by “marking-to- market” on a daily basis to reflect the changes in market value of the contract, which is recognized as a component of “Change in net unrealized appreciation (depreciation) of futures contracts” on the Statement of Operations. When the contract is closed or expired, a Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and value of the contract when originally entered into, which is recognized as a component of “Net realized gain (loss) from futures contracts” on the Statement of Operations.
Risks of investments in futures contracts include the possible adverse movement in the price of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and/or that a change in the value of the contract may not correlate with a change in the value of the underlying securities or indices.
During the current fiscal period, New Jersey used U.S. Treasury futures as part of an overall portfolio construction strategy to manage portfolio duration and yield curve exposure.
The average notional amount of futures contracts outstanding during the current fiscal period was as follows:
| New Jersey | |
| Average notional amount of futures contracts outstanding* | $962,728 |
| * | The average notional amount is calculated based on the absolute aggregate notional amount of contracts outstanding at the beginning of the current fiscal period and at the the end of each fiscal quarter within the current fiscal period. |
The following table presents the fair value of all futures contracts held by the Fund as of 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 Risk Exposure | Derivative Instrument | Location | Value | Location | Value | |
| New Jersey | ||||||
| Interest rate | Futures contracts | Receivable for variation margin on futures contracts* | $46,173 | — | $ — | |
* Value represents unrealized appreciation (depreciation) of futures contracts as reported on the Fund’s Portfolio of Investments and not the asset and/or liability derivatives location as described in the table above.
91
Notes to Financial Statements(continued)
The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on futures 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 Futures Contracts | Change in net Unrealized Appreciation (Depreciation) of Futures Contracts |
| New Jersey | Interest rate | Futures contracts | $(46,152) | $46,173 |
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:
| Year Ended 2/28/19 | Year Ended 2/28/18 | ||||
| Connecticut | Shares | Amount | Shares | Amount | |
| Shares sold: | |||||
| Class A | 1,355,632 | $14,041,858 | 1,604,722 | $16,980,231 | |
| Class A – automatic conversion of Class C Shares | 1,049 | 10,899 | — | — | |
| Class A – automatic conversion of Class C2 Shares | 149,577 | 1,554,106 | — | — | |
| Class C | 82,317 | 849,194 | 76,615 | 807,306 | |
| Class C2 | 4,591 | 47,438 | 16,372 | 172,023 | |
| Class I | 1,665,817 | 17,265,940 | 2,285,297 | 24,173,379 | |
| Shares issued to shareholders due to reinvestment of distributions: | |||||
| Class A | 317,647 | 3,284,127 | 341,484 | 3,604,183 | |
| Class C | 8,890 | 91,715 | 9,603 | 101,145 | |
| Class C2 | 27,186 | 281,172 | 53,085 | 559,829 | |
| Class I | 171,640 | 1,779,923 | 170,337 | 1,803,221 | |
| 3,784,346 | 39,206,372 | 4,557,515 | 48,201,317 | ||
| Shares redeemed: | |||||
| Class A | (1,935,612) | (19,993,478) | (3,206,175) | (33,913,175) | |
| Class C | (98,020) | (1,008,440) | (155,853) | (1,644,375) | |
| Class C – automatic conversion to Class A Shares | (1,051) | (10,899) | — | — | |
| Class C2 | (1,173,053) | (12,158,559) | (1,046,969) | (11,080,536) | |
| Class C2 – automatic conversion to Class A Shares | (149,721) | (1,554,106) | — | — | |
| Class I | (2,044,728) | (21,180,957) | (2,388,314) | (25,322,974) | |
| (5,402,185) | (55,906,439) | (6,797,311) | (71,961,060) | ||
| Net increase (decrease) | (1,617,839) | $(16,700,067) | (2,239,796) | $(23,759,743) | |
92
| Year Ended 2/28/19 | Year Ended 2/28/18 | ||||
| Massachusetts | Shares | Amount | Shares | Amount | |
| Shares sold: | |||||
| Class A | 10,447,146 | $103,274,230 | 6,040,085 | $60,933,359 | |
| Class A – automatic conversion of Class C2 Shares | 136,297 | 1,361,609 | — | — | |
| Class C | 129,736 | 1,270,263 | 208,553 | 2,088,088 | |
| Class C2 | 2,839 | 27,917 | 4,548 | 45,561 | |
| Class I | 9,397,379 | 92,939,592 | 7,203,304 | 72,573,959 | |
| Shares issued to shareholders due to reinvestment of distributions: | |||||
| Class A | 445,114 | 4,408,104 | 316,297 | 3,193,263 | |
| Class C | 13,348 | 131,079 | 13,971 | 139,883 | |
| Class C2 | 19,662 | 193,551 | 30,912 | 309,887 | |
| Class I | 579,431 | 5,735,307 | 533,493 | 5,382,841 | |
| 21,170,952 | 209,341,652 | 14,351,163 | 144,666,841 | ||
| Shares redeemed: | |||||
| Class A | (10,934,256) | (107,351,195) | (3,164,833) | (31,790,651) | |
| Class C | (330,045) | (3,237,604) | (119,960) | (1,203,065) | |
| Class C2 | (687,264) | (6,797,298) | (416,858) | (4,189,510) | |
| Class C2 – automatic conversion to Class A Shares | (137,259) | (1,361,609) | — | — | |
| Class I | (8,462,141) | (83,710,777) | (3,430,978) | (34,630,116) | |
| (20,550,965) | (202,458,483) | (7,132,629) | (71,813,342) | ||
| Net increase (decrease) | 619,987 | $6,883,169 | 7,218,534 | $72,853,499 | |
| Year Ended 2/28/19 | Year Ended 2/28/18 | ||||
| New Jersey | Shares | Amount | Shares | Amount | |
| Shares sold: | |||||
| Class A | 5,552,661 | $61,901,665 | 4,701,802 | $53,522,594 | |
| Class A – automatic conversion of Class C2 Shares | 96,898 | 1,090,454 | — | — | |
| Class C | 265,215 | 2,948,453 | 352,991 | 3,997,991 | |
| Class C2 | 7,426 | 82,153 | 17,245 | 193,988 | |
| Class I | 3,691,058 | 41,319,954 | 2,708,117 | 30,712,364 | |
| Shares issued to shareholders due to reinvestment of distributions: | |||||
| Class A | 547,810 | 6,088,718 | 458,687 | 5,212,915 | |
| Class C | 32,167 | 355,511 | 31,125 | 352,205 | |
| Class C2 | 41,808 | 463,622 | 68,578 | 776,170 | |
| Class I | 347,931 | 3,882,099 | 323,614 | 3,690,859 | |
| 10,582,974 | 118,132,629 | 8,662,159 | 98,459,086 | ||
| Shares redeemed: | |||||
| Class A | (6,244,880) | (69,181,303) | (3,396,385) | (38,400,562) | |
| Class C | (453,265) | (5,014,112) | (401,300) | (4,521,902) | |
| Class C2 | (1,185,936) | (13,256,665) | (715,000) | (8,084,022) | |
| Class C2 – automatic conversion to Class A Shares | (97,244) | (1,090,454) | — | — | |
| Class I | (3,580,541) | (39,952,594) | (2,860,517) | (32,609,639) | |
| (11,561,866) | (128,495,128) | (7,373,202) | (83,616,125) | ||
| Net increase (decrease) | (978,892) | $(10,362,499) | 1,288,957 | $14,842,961 | |
93
Notes to Financial Statements(continued)
| Year Ended 2/28/19 | Year Ended 2/28/18 | ||||
| New York | Shares | Amount | Shares | Amount | |
| Shares sold: | |||||
| Class A | 13,344,033 | $142,941,230 | 10,121,515 | $111,164,655 | |
| Class A – automatic conversion of Class C2 Shares | 289,747 | 3,137,578 | — | — | |
| Class C | 510,906 | 5,477,362 | 1,414,677 | 15,523,800 | |
| Class C2 | 20,617 | 221,710 | 60,639 | 659,564 | |
| Class I | 12,209,411 | 131,094,369 | 7,317,190 | 80,337,957 | |
| Shares issued to shareholders due to reinvestment of distributions: | |||||
| Class A | 1,000,528 | 10,751,296 | 899,165 | 9,864,274 | |
| Class C | 62,801 | 674,158 | 67,032 | 734,278 | |
| Class C2 | 63,755 | 685,502 | 109,594 | 1,201,755 | |
| Class I | 1,019,315 | 10,965,781 | 1,099,906 | 12,082,244 | |
| 28,521,113 | 305,948,986 | 21,089,718 | 231,568,527 | ||
| Shares redeemed: | |||||
| Class A | (10,062,652) | (107,654,575) | (5,010,149) | (54,897,658) | |
| Class C | (919,251) | (9,845,216) | (638,232) | (6,999,972) | |
| Class C2 | (2,015,547) | (21,737,606) | (1,462,371) | (16,086,750) | |
| Class C2 – automatic conversion to Class A Shares | (290,015) | (3,137,578) | — | — | |
| Class I | (9,979,626) | (106,958,270) | (4,933,794) | (54,168,189) | |
| (23,267,091) | (249,333,245) | (12,044,546) | (132,152,569) | ||
| Net increase (decrease) | 5,254,022 | $56,615,741 | 9,045,172 | $99,415,958 | |
5. Investment Transactions
Long-term purchases and sales (including maturities but excluding derivative transactions, where applicable) during the current fiscal period were as follows:
| Connecticut | Massachusetts | New Jersey | New York | |
| Purchases | $16,415,746 | $90,868,879 | $75,692,292 | $395,451,085 |
| Sales and maturities | 30,984,983 | 92,202,082 | 80,866,815 | 340,204,021 |
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.
The tables below present the cost and unrealized appreciation (depreciation) of each Fund's investment portfolio, as determined on a federal income tax basis, as of February 28, 2019.
For purposes of this disclosure, derivative tax cost is generally the sum of any upfront fees or premiums exchanged and any amounts unrealized for in-come statement reporting but realized in income and/or capital gains for tax reporting. If a particular derivative category does not disclose any tax unrealized appreciation or depreciation, the change in value of those derivatives have generally been fully realized for tax purposes.
94
| Connecticut | Massachusetts | New Jersey | New York | |
| Tax cost of investments | $212,037,732 | $359,576,383 | $313,611,054 | $898,692,381 |
| Gross unrealized: | ||||
| Appreciation | $6,826,729 | $10,103,517 | $12,898,336 | $36,639,006 |
| Depreciation | (504,199) | (811,917) | (2,185,677) | (4,389,769) |
| Net unrealized appreciation (depreciation) of investments | $6,322,530 | $9,291,600 | $10,712,659 | $32,249,237 |
| New Jersey | |
| Tax cost of futures contracts | $46,173 |
| Net unrealized appreciation (depreciation) of futures contracts | — |
Permanent differences, primarily due to taxable market discount and distribution reallocations, resulted in reclassifications among the Funds’ components of net assets as of February 28, 2019, the Funds' tax year end.
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains as of February 28, 2019, the Funds' tax year end, were as follows:
| Connecticut | Massachusetts | New Jersey | New York | |
| Undistributed net tax-exempt income1 | $664,916 | $918,813 | $1,282,208 | $3,005,855 |
| Undistributed net ordinary income2 | 199,392 | 201,357 | — | 23,817 |
| 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, 2019 through February 28, 2019, and paid on March 1, 2019. |
| 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’ tax years ended February 28, 2019 and February 28, 2018 was designated for purposes of the dividends paid deduction as follows:
| 2019 | Connecticut | Massachusetts | New Jersey | New York |
| Distributions from net tax-exempt income3 | $6,895,939 | $11,768,840 | $10,306,397 | $28,932,129 |
| Distributions from net ordinary income2 | 91,653 | 36,777 | 335,346 | 83,427 |
| Distributions from net long-term capital gains4 | — | — | 2,405,932 | — |
| 2018 | Connecticut | Massachusetts | New Jersey | New York |
| Distributions from net tax-exempt income | $7,785,664 | $9,992,049 | $10,498,017 | $28,391,768 |
| Distributions from net ordinary income2 | 178,867 | — | 228,043 | 171,767 |
| Distributions from net long-term capital gains | — | — | 1,276,827 | — |
| 2 | Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. |
| 3 | The Funds hereby designate these amounts paid during the fiscal year ended February 28, 2019, as Exempt Interest Dividends. |
| 4 | The Funds hereby designate as long-term capital gain dividend, pursuant to the Internal Revenue Code 852(b)(3), the amount necessary to reduce earnings and profits of the Funds related to net capital gain to zero for the tax year ended February 28, 2019. |
As of February 28, 2019, the Funds’ tax year end, the following Funds had unused capital losses carrying forward available for federal income tax purposes to be applied against future capital gains, if any. The capital losses are not subject to expiration.
| Connecticut | Massachusetts | New York | |
| Not subject to expiration: | |||
| Short-term | $4,301,122 | $3,681,538 | $18,107,503 |
| Long-term | — | 6,446,166 | 1,420,229 |
| Total | $4,301,122 | $10,127,704 | $19,527,732 |
During the Funds’ tax year ended February 28, 2019, the following Funds utilized capital loss carryforwards as follows:
| Connecticut | New Jersey | |
| Utilized capital loss carryforwards | $127,943 | $79,950 |
95
Notes to Financial Statements(continued)
The Funds have elected to defer late-year losses in accordance with federal income tax rules. These losses are treated as having arisen on the first day of the following fiscal year. The following Fund has elected to defer losses as follows:
| New Jersey | |
| Post-October capital losses5 | $468,921 |
| Late-year ordinary losses6 | — |
| 5 | Capital losses incurred from November 1, 2018 through February 28, 2019, the Funds’ tax year end. |
| 6 | Ordinary losses incurred from January 1, 2019 through February 28, 2019 and/or specified losses incurred from November 1, 2018 through February 28, 2019. |
7. Management Fees and Other Transactions with Affiliates
Management Fees
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 the next $5 billion | 0.2500 | 0.2500 | 0.2500 | 0.2500 |
| For net assets over $10 billion | 0.2375 | 0.2375 | 0.2375 | 0.2375 |
The annual complex-level fee, payable monthly, for each Fund is calculated according to the following schedule:
| Complex-Level Eligible Asset Breakpoint Level* | Effective Complex-Level Fee 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 open-end and closed-end funds. Eligible assets do not include assets attributable to investments in other Nuveen funds or assets in excess of a determined amount (originally $2 billion) added to the Nuveen fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January 1, 2011. 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 February 28, 2019, the complex-level fee rate for each Fund was 0.1591%.
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. These expense limitations may be terminated or modified only with the approval of shareholders of the Funds.
96
Other Transactions with Affiliates
Each Fund is permitted to purchase or sell securities from or to certain other funds managed by the Adviser (“inter-fund trade”) under specified conditions outlined in procedures adopted by the Board. These procedures have been designed to ensure that any inter-fund trade of securities by the Fund from or to another fund that is, or could be, considered an affiliate of the Fund under certain limited circumstances by virtue of having a common investment adviser (or affiliated investment adviser), common officer and/or common trustee complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each inter-fund trade is effected at the current market price as provided by an independent pricing service. Unsettled inter-fund trades as of the end of the reporting period are recognized as a component of “Receivable for investments sold” and/or “Payable for investments purchased” on the Statement of Assets and Liabilities, when applicable.
During the current fiscal period, the following Funds engaged in inter-fund trades pursuant to these procedures as follows:
| Inter-Fund Trades | Connecticut | Massachusetts | New York |
| Purchases | $1,068,020 | $11,582,071 | $63,750,368 |
| Sales | 8,181,685 | 23,983,906 | 63,940,864 |
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 (Unaudited) | $66,914 | $145,560 | $73,749 | $449,008 |
| Paid to financial intermediaries (Unaudited) | 61,636 | 139,953 | 68,481 | 432,598 |
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:
| Connecticut | Massachusetts | New Jersey | New York | |
| Commission advances (Unaudited) | $34,508 | $113,847 | $57,124 | $365,614 |
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 (Unaudited) | $7,069 | $12,671 | $29,327 | $86,390 |
The remaining 12b-1 fees charged to each Fund 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 (Unaudited) | $5,241 | $9,857 | $6,568 | $34,455 |
8. Borrowing Arrangements
Committed Line of Credit
The Funds, along with certain other funds managed by the Adviser (“Participating Funds”), have established a 364-day, approximately $2.65 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. Each Participating Fund is allocated a designated proportion of the facility’s capacity (and its associated costs, as described below) based upon a multi-factor assessment of the likelihood and frequency of its need to draw on the facility, the size of the Fund and its anticipated draws, and the potential importance of such draws to the operations and well-being of the Fund, relative to those of the other Funds. A Fund may effect draws on the facility in excess of its designated capacity if and to the extent that other Participating Funds have undrawn capacity. The credit facility expires in July 2019 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 1.00% per annum or (b) the Fed Funds rate plus 1.00% per annum on amounts borrowed. Par-
97
Notes to Financial Statements(continued)
ticipating Funds paid administration, legal and arrangement fees, which are recognized as a component of “Interest expense” on the Statement of Operations, and along with commitment fees, have been allocated among such Participating Funds based upon the relative proportions of the facility’s aggregate capacity reserved for them and other factors deemed relevant by the Adviser and the Board of each Participating Fund.
During the current fiscal period, the Funds utilized this facility. The Funds' maximum outstanding balance during the utilization period was as follows:
| Connecticut | Massachusetts | New Jersey | New York | |
| Maximum outstanding balance | $893,398 | $2,683,132 | $6,445,946 | $5,881,361 |
During each Fund's utilization period(s) during the current fiscal period, the average daily balance outstanding and average annual interest rate on the Borrowings were as follows:
| Connecticut | Massachusetts | New Jersey | New York | |
| Average daily balance outstanding | $893,398 | $2,683,132 | $6,445,946 | $3,868,395 |
| Average annual interest rate | 3.50% | 3.50% | 3.50% | 3.33% |
Borrowings outstanding as of the end of the reporting period, if any, are recognized as "Borrowings" on the Statement of Assets and Liabilities, where applicable.
9. New Accounting Pronouncements
Disclosure Update and Simplification
During August 2018, the Securities and Exchange Commission (the “SEC”) issued Final Rule Release No. 33-10532,Disclosure Update and Simplification (“Final Rule Release No. 33-10532”). Final Rule Release No. 33-10532 amends certain financial statement disclosure requirements to conform to U.S. GAAP. The amendments to Rule 6-04.17 of Regulation S-X (balance sheet) remove the requirement to separately state the book basis components of net assets: undistributed (over-distribution of) net investment income (“UNII”), accumulated undistributed net realized gains (losses), and net unrealized appreciation (depreciation) at the balance sheet date. Instead, consistent with U.S. GAAP, funds will be required to disclose total distributable earnings. The amendments to Rule 6-09 of Regulation S-X (statement of changes in net assets) remove the requirement to separately state the sources of distributions paid. Instead, consistent with U.S. GAAP, funds will be required to disclose the total amount of distributions paid, except that any tax return of capital must be separately disclosed. The amendments also remove the requirement to parenthetically state the book basis amount of UNII on the statement of changes in net assets.
The requirements of Final Rule Release No. 33-10532 are effective November 5, 2018, and the Funds’ Statement of Assets and Liabilities and Statement of Changes in Net Assets for the current reporting period have been modified accordingly. In addition, certain amounts within each Fund’s Statement of Changes in Net Assets for the prior fiscal period have been modified to conform to Final Rule Release No. 33-10532.
The Funds' distributions from the prior fiscal period were paid from net investment income unless indicated in the following table.
| New Jersey | |
| Distributions to Shareholders | |
| From net investment income: | |
| Class A Shares | $(5,313,876) |
| Class C Shares | (400,247) |
| Class C2 Shares | (856,260) |
| Class I Shares | (4,164,633) |
| From accumulated net realized gains: | |
| Class A Shares | (643,909) |
| Class C Shares | (63,878) |
| Class C2 Shares | (116,448) |
| Class I Shares | (451,073) |
| Total distributions to shareholders: | |
| Class A Shares | (5,957,785) |
| Class C Shares | (464,125) |
| Class C2 Shares | (972,708) |
| Class I Shares | (4,615,706) |
In addition, as of February 28, 2018, the Funds’ Statement of Changes in Net Assets reflected the following UNII balances.
| Connecticut | Massachusetts | New Jersey | New York | |
| UNII at the end of period | $438,183 | $349,480 | $617,833 | $342,143 |
98
Fair Value Measurement: Disclosure Framework
During August 2018, the FASB issued ASU 2018-13 (“ASU 2018-13”), Fair Value Measurement: Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurements. ASU 2018-13 modifies the disclosures required by Topic 820, Fair Value Measurements. The amendments in ASU 2018-13 are effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. During the current reporting period, management early implemented this guidance. This implementation did not have a material impact on the Fund’s financial statements.
99
Additional Fund Information
(Unaudited)
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
Public Accounting Firm
KPMG LLP
200 East Randolph Street
Chicago, IL 60601
Custodian
State Street Bank & Trust Company
One Lincoln Street
Boston, MA 02111
Legal Counsel
Chapman and Cutler LLP
Chicago, IL 60603
Transfer Agent and
Shareholder Services
DST Asset Manager
Solutions, Inc. (DST)
P.O. Box 219140
Kansas City, MO 64121-9140
(800) 257-8787
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 as an exhibit to its report on Form N-PORT. You may obtain this information on the SEC's website at http://www.sec.gov.
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 toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com and (ii) a description of the policies and procedures that each fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen toll-free at (800) 257-8787. You may also obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov.
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.
100
Glossary of Terms Used in this Report
(Unaudited)
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. The calculation of the Effective Leverage Ratio reflects borrowings effected on a long-term basis for investment purposes, but excludes borrowings that may occur, on a transient basis, in connection with a Fund’s day-to-day operations primarily in connection with the need to pay cash out to redeeming shareholders or to settle portfolio trades.
Gross Domestic Product (GDP): The total market value of all final goods and services produced in a country/region in a given year, equal to total consumer, investment and government spending, plus the value of exports, minus the value of imports.
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.
101
Glossary of Terms Used in this Report(Unaudited) (continued)
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.
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.
102
Annual Investment Management Agreement Approval Process
(Unaudited)
At a meeting held on May 22-24, 2018 (the “May Meeting”), the Board of Trustees (the “Board,” and each Trustee, a “Board Member”) of the Funds, including the Board Members who are not “interested persons” (as defined under the Investment Company Act of 1940 (the “1940 Act”)) (the “Independent Board Members”), approved, for each Fund, the renewal of the management agreement (the “Investment Management Agreement”) with Nuveen Fund Advisors, LLC (the “Adviser”) pursuant to which the Adviser serves as investment adviser to such Fund and the sub-advisory agreement (the “Sub-Advisory Agreement”) with Nuveen Asset Management, LLC (the “Sub-Adviser”) pursuant to which the Sub-Adviser serves as investment sub-adviser to such Fund. Following an initial two-year period, the Board, including the Independent Board Members, is required under the 1940 Act to review and approve each Investment Management Agreement and Sub-Advisory Agreement on behalf of the applicable Fund on an annual basis. The Investment Management Agreements and Sub-Advisory Agreements are collectively referred to as the “Advisory Agreements” and the Adviser and the Sub-Adviser are collectively, the “Fund Advisers” and each, a “Fund Adviser.”
In response to a request on behalf of the Independent Board Members by independent legal counsel, the Board received and reviewed prior to the May Meeting extensive materials specifically prepared for the annual review of Advisory Agreements by the Adviser as well as by Broadridge Financial Solutions, Inc. (“Broadridge” or “Lipper”), an independent provider of investment company data. The materials provided in connection with the annual review covered a breadth of subject matter including, but not limited to, a description of the nature, extent and quality of services provided by each Fund Adviser; a review of the Sub-Adviser and the applicable investment team(s); an analysis of fund performance in absolute terms and as compared to the performance of certain peer funds and benchmarks with a focus on any performance outliers; an analysis of the fees and expense ratios of the Nuveen funds in absolute terms and as compared to those of certain peer funds with a focus on any expense outliers; a description of portfolio manager compensation; a review of the performance of various service providers; a description of various initiatives Nuveen had undertaken or continued during the year for the benefit of particular Nuveen fund(s) and/or the complex; a description of the profitability or financial data of Nuveen and the various sub-advisers to the Nuveen funds; and a description of indirect benefits received by the Fund Advisers as a result of their relationships with the Nuveen funds. The Independent Board Members also received a memorandum from independent legal counsel outlining their fiduciary duties and legal standards in reviewing the Advisory Agreements. The Board Members held an in-person meeting on April 10-11, 2018 (the “April Meeting”), in part, to review and discuss the performance of the Nuveen funds and the Adviser’s evaluation of the various sub-advisers to the Nuveen funds. Prior to the May Meeting, the Board Members also received and reviewed supplemental information provided in response to questions posed by the Board Members.
The information prepared specifically for the annual review of the Advisory Agreements supplemented the information provided to the Board and its committees throughout the year. The Board and its committees met regularly during the year and the information provided and topics discussed were relevant to the review of the Advisory Agreements. Some of these reports and other data included, among other things, materials that outlined the investment performance of the Nuveen funds; strategic plans of the Adviser which may impact the services it provides to the Nuveen funds; the review of the Nuveen funds and applicable investment teams; compliance, regulatory and risk management matters; the trading practices of the various sub-advisers; valuation of securities; fund expenses; payments to financial intermediaries, including 12b-1 fees and sub-transfer agency fees; and overall market and regulatory developments. The Board further continued its practice of seeking to meet periodically with the various sub-advisers to the Nuveen funds and their investment teams, when feasible. As a result, the Independent Board Members considered the review of the Advisory Agreements to be an ongoing process and employed the accumulated information, knowledge, and experience the Board Members had gained during their tenure on the boards governing the Nuveen funds and working with the Fund Advisers in their review of the Advisory Agreements. Throughout the year and during the annual review of Advisory Agreements, the Independent Board Members met in executive sessions with independent legal counsel and had the benefit of counsel’s advice.
In deciding to renew the Advisory Agreements, the Independent Board Members did not identify a particular factor as determinative, but rather the decision reflected the comprehensive consideration of all the information provided, and each Board Member may have attributed different levels of importance to the various factors and information considered in connection with the approval process. The following summarizes the principal factors, but not all the factors, the Board considered in deciding to renew the Advisory Agreements and its conclusions.
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 the respective Fund and the resulting performance of each Fund. With respect to the Adviser, the Board recognized the comprehensive set of management, oversight and administrative services the Adviser and its affiliates provided to manage and operate the Nuveen funds in a highly regulated industry. As illustrative, these services included, but were not limited to, product management; investment oversight, risk management and securities valuation services; fund accounting and administration services; board support and administration services; compliance and regulatory oversight services; and legal support.
103
Annual Investment Management Agreement Approval Process(Unaudited) (continued)
In addition to the services necessary to operate and maintain the Nuveen funds, the Board recognized the Adviser’s continued program of improvements and innovations to make the Nuveen fund complex more relevant and attractive to existing and new investors and to accommodate the new and changing regulatory requirements in an increasingly complex regulatory environment. The Board noted that some of the initiatives the Adviser had taken over recent years to benefit the complex and particular Nuveen funds included, among other things:
| • | Fund Rationalizations – continuing efforts to rationalize the product line through mergers, liquidations and repositionings in seeking to enhance shareholder value over the years through increased efficiency, reduced costs, improved performance and revised investment approaches more relevant to current shareholder needs; |
| • | Product Innovations – developing product innovations and launching new products that will help the Nuveen fund complex offer a variety of products that will attract new investors and retain existing investors, such as launching the target term funds, exchange-traded funds (“ETFs”) and multi-asset class funds; |
| • | Risk Management Enhancements – continuing efforts to enhance risk management, including enhancing reporting to increase the efficiency of risk monitoring, implementing programs to strengthen the ability to detect and mitigate operational risks, dedicating resources and staffing necessary to create standards to help ensure compliance with new liquidity requirements, and implementing a price verification system; |
| • | Additional Compliance Services – the continuing investment of significant resources, time and additional staffing to meet the various new regulatory requirements affecting the Nuveen funds over the past several years, the further implementation of unified compliance policies and processes, the development of additional compliance training modules, and the reorganization of the compliance team adding further depth to its senior leadership; and |
| • | Expanded Dividend Management Services – as the Nuveen fund complex has grown, the additional services necessary to manage the distributions of the varied funds offered and investing in automated systems to assist in this process. |
In addition to the services provided by the Adviser, the Board also noted the business related risks the Adviser incurred in managing the Nuveen funds, including entrepreneurial, legal and litigation risks.
The Board further considered the division of responsibilities between the Adviser and the Sub-Adviser and the investment and compliance oversight over the Sub-Adviser provided by the Adviser. The Board recognized that the Sub-Adviser generally provided the portfolio advisory services for the Funds. The Board reviewed the Adviser’s analysis of the Sub-Adviser which evaluated, among other things, the investment team, the members’ experience and any changes to the team during the year, the team’s assets under management, the stability and history of the organization, the team’s investment approach and the performance of the Funds over various periods. The Board noted that the Adviser recommended the renewal of the Sub-Advisory Agreements.
Based on its review, the Board determined, in the exercise of its reasonable business judgment, that it was satisfied with the nature, extent and quality of services provided to the respective Funds under each applicable Advisory Agreement.
B. The Investment Performance of the Funds and Fund Advisers
As part of its evaluation of the services provided by the Fund Advisers, the Board considered the investment performance of each Fund. In this regard, the Board reviewed fund performance over the quarter, one-, three- and five-year periods ending December 31, 2017 as well as performance data for the first quarter of 2018 ending March 31, 2018. For open-end Nuveen funds with multiple classes, the performance data was based on Class A shares and the performance of other classes should be substantially similar as they invest in the same portfolio of securities and differences in performance among the classes would be principally attributed to the variations in the expense structures of the classes. The Independent Board Members noted that they reviewed and discussed fund performance over various time periods with management at their quarterly meetings throughout the year and their review and analysis of performance during the annual review of Advisory Agreements incorporated such discussions.
The Board reviewed performance on an absolute basis and in comparison to the performance of peer funds (the “Performance Peer Group”) and recognized and/or customized benchmarks (i.e., generally benchmarks derived from multiple recognized benchmarks). The Board considered the Adviser’s analysis of each Nuveen fund’s performance, including, in particular, an analysis of the Nuveen funds determined to be performance outliers and the factors contributing to their underperformance.
In reviewing performance data, the Independent Board Members appreciated some of the inherent limitations of such data. In this regard, the Independent Board Members recognized that there may be limitations with the comparative data of certain peer groups or benchmarks as they may pursue objective(s), strategies or have other characteristics that are different from the respective Nuveen fund and therefore the performance results necessarily are different and limit the value of the comparisons. As an example, some funds may utilize leverage which may add to or detract from performance compared to an unlevered benchmark. The Independent Board Members also noted that management had ranked the relevancy of the peer group as low, medium or high to help the Board evaluate the value of the comparative peer performance data. The Board was aware that the performance data was measured as of a specific date and a different time period may reflect significantly different results and a period of
104
underperformance can significantly impact long-term performance figures. The Board further recognized that a shareholder’s experience in a Fund depends on his or her own holding period which may differ from that reviewed by the Independent Board Members.
In their review of performance, the Independent Board Members focused, in particular, on the Adviser’s analysis of Nuveen funds determined to be underperforming performance outliers. The Independent Board Members noted that only a limited number of the Nuveen funds appeared to be underperforming performance outliers at the end of 2017 and considered the factors contributing to the respective fund’s performance and whether there were any performance concerns that needed to be addressed. The Board recognized that some periods of underperformance may only be temporary while other periods of underperformance may indicate a broader issue that may require a corrective action. Accordingly, with respect to any Nuveen funds for which the Board had identified performance issues, the Board monitors such funds closely until performance improves, discusses with the Adviser the reasons for such results, considers whether any steps are necessary or appropriate to address such issues, and reviews the results of any efforts undertaken.
For Nuveen Connecticut Municipal Bond Fund (the “Connecticut Fund”), the Board considered that although the Fund’s performance was below its benchmark in the one-, three- and five-year periods, the Fund ranked in the second quartile of its Performance Peer Group over such periods. The Board was satisfied with the Fund’s overall performance.
For Nuveen Massachusetts Municipal Bond Fund (the “Massachusetts Fund”), the Board noted that the Fund ranked in the first quartile of its Performance Peer Group in the one-, three- and five-year periods. Although the Fund’s performance was below its benchmark in the five-year period, the Fund outperformed its benchmark in the one- and three-year periods. The Board was satisfied with the Fund’s overall performance.
For Nuveen New Jersey Municipal Bond Fund (the “New Jersey Fund”), the Board noted that the Fund ranked in the first quartile of its Performance Peer Group in the one-, three- and five-year periods and outperformed its benchmark over such periods. The Board was satisfied with the Fund’s overall performance.
For Nuveen New York Municipal Bond Fund (the “New York Fund”), the Board noted that the Fund ranked in the first quartile of its Performance Peer Group in the one-, three- and five-year periods and outperformed its benchmark over such periods. The Board was satisfied with the Fund’s overall performance.
C. Fees, Expenses and Profitability
1. Fees and Expenses
In its annual review, the Board considered the fees paid to the Fund Advisers and the total operating expense ratio of each Fund, before and after any undertaking by Nuveen to limit the Fund’s total annual operating expenses to certain levels. More specifically, the Independent Board Members reviewed, among other things, each Fund’s gross and net management fee rates (i.e., before and after expense reimbursements and/or fee waivers, if any) and net total expense ratio in relation to those of a comparable universe of funds (the “Peer Universe”) and to a more focused subset of comparable funds (the “Peer Group”) established by Broadridge. The Independent Board Members reviewed the methodology Broadridge employed to establish its Peer Universe and Peer Group and recognized that differences between the applicable fund and its respective Peer Universe and/or Peer Group may limit some of the value of the comparative data. The Independent Board Members also considered a fund’s operating expense ratio as it more directly reflected the shareholder’s costs in investing in the respective fund. In their review, the Independent Board Members considered, in particular, each fund with a net expense ratio of six basis points or higher compared to that of its peer average (each an “Expense Outlier Fund”). The Board noted that the number of Nuveen funds classified as an Expense Outlier Fund pursuant to the foregoing criteria had decreased over the past few years with only a limited number of the Nuveen funds identified as Expense Outlier Funds in 2017. The Independent Board Members reviewed an analysis as to the factors contributing to each such fund’s higher relative net expense ratio. Accordingly, in reviewing the comparative data between a fund and its peers, the Board generally considered the fund’s net expense ratio and fees to be higher if they were over 10 basis points higher, slightly higher if they were 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 their review of the fee arrangements for the Nuveen funds, the Independent Board Members considered the management fee schedules, including the complex-wide and fund-level breakpoint schedules, and the expense reimbursements and/or fee waivers provided by Nuveen for each fund, as applicable. The Independent Board Members noted that the management fees and/or expense caps of various open-end funds had been reduced in 2016 and the fund-level breakpoint schedules also had been revised in 2017 for certain open-end funds resulting in the addition of more breakpoints in the management fee schedules of such funds. The Board considered that across the Nuveen fund complex, the complex-wide fee breakpoints reduced fees by $47.4 million and fund-level breakpoints reduced fees by $54.6 million in 2017. Further, fee caps and waivers for all applicable Nuveen funds saved an additional $16.7 million in fees for shareholders in 2017.
The Board considered the sub-advisory fees paid to the Sub-Adviser, including any breakpoint schedule, and as described below, comparative data of the fees the Sub-Adviser charges to other clients.
105
Annual Investment Management Agreement Approval Process(Unaudited) (continued)
The Independent Board Members noted that: (a) 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; (b) the Massachusetts Fund and the New Jersey Fund each had a net management fee and a net expense ratio in line with its respective peer averages; and (c) the New York Fund had a net management fee in line with its peer average, but a net expense ratio below its peer average.
Based on their review of the information provided, the Board 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
In determining the appropriateness of fees, the Board also reviewed information regarding the fee rates the respective Fund Advisers charged for certain other types of clients and the type of services provided to these other clients. With respect to the Adviser and/or affiliated sub-advisers to the municipal funds, such other clients may include retail and institutional managed accounts, passively managed ETFs sub-advised by the Sub-Adviser but that are offered by another fund complex and municipal managed accounts offered by an unaffiliated adviser.
The Board recognized that each Fund had an affiliated sub-adviser and reviewed, among other things, the range of fees and average fee rates assessed for managed accounts. In addition to the comparative fee data, the Board also reviewed, among other things, a description of the different levels of services provided to other clients compared to the services provided to the Nuveen funds as well as the differences in portfolio investment policies, investor profiles, account sizes and regulatory requirements, all of which contribute to the variations in the fee schedules. In general, the Board noted that the higher fee levels reflect higher levels of services provided by Nuveen, increased investment management complexity, greater product management requirements and higher levels of business risk or some combination of these factors. The Board further considered that the Sub-Adviser’s fee is essentially for portfolio management services and therefore more comparable to the fees it receives for retail wrap accounts and other external sub-advisory mandates. The Board concluded the varying levels of fees were justified given, among other things, the inherent differences in the products and the level of services provided to the Nuveen funds versus other clients, the differing regulatory requirements and legal liabilities and the entrepreneurial risks incurred in sponsoring and advising a registered investment company.
3. Profitability of Fund Advisers
In conjunction with their review of fees, the Independent Board Members considered Nuveen’s level of profitability for its advisory services to the Nuveen funds for the calendar years 2017 and 2016. In considering profitability, the Independent Board Members reviewed the level of profitability realized by Nuveen including and excluding any distribution expenses incurred by Nuveen from its own resources. The Independent Board Members also reviewed a description of the expense allocation methodology employed to develop the financial information and a summary of the history of changes to the methodology over the years. For comparability purposes, the Board recognized that a prior year’s profitability would be restated to reflect any refinements to the methodology. The Independent Board Members were aware of the inherent limitations in calculating profitability as the use of different reasonable allocation methodologies may lead to significantly different results and in reviewing profitability margins over extended periods given the refinements to the methodology over time. The Board noted that two Independent Board Members, along with independent counsel, serve as the Board’s liaisons to review and discuss any proposed changes to the methodology prior to the full Board’s review.
In their review, the Independent Board Members evaluated, among other things, Nuveen’s adjusted operating margins, gross and net revenue margins (pre-tax and after-tax) for advisory activities for the Nuveen funds, and the revenues, expenses, and net income (pre-tax and after-tax and before distribution) of Nuveen for fund advisory services for each of the last two calendar years. The Independent Board Members also reviewed an analysis of the key drivers behind the changes in revenues and expenses that impacted profitability in 2017 versus 2016. The Board noted that Nuveen recently launched its ETF product line in 2016 and reviewed the revenues, expenses and operating margin from this product line.
In addition to reviewing Nuveen’s profitability in absolute terms, the Independent Board Members also examined comparative profitability data reviewing, among other things, the revenues, expenses and adjusted total company margins of other advisory firms that had publicly available information and comparable assets under management (based on asset size and asset composition) for 2017 and as compared to their adjusted operating margins for 2016. The Independent Board Members, however, recognized the difficulty in comparing the profitability of various fund managers given the limited public information available and the subjective nature of calculating profitability which may be affected by numerous factors including the fund manager’s organizational structure, types of funds, other lines of business, methodology used to allocate expenses and cost of capital. Nevertheless, considering such limitations and based on the information provided, the Board noted that Nuveen’s adjusted operating margins appeared reasonable when compared to the adjusted margins of the peers.
Aside from Nuveen’s profitability, the Board recognized that the Adviser is a subsidiary of Nuveen, LLC, the investment management arm of Teachers Insurance and Annuity Association of America (“TIAA”). As such, the Board also reviewed a balance sheet for TIAA reflecting its assets, liabilities and capital and contingency reserves for the 2017 and 2016 calendar years to consider the financial strength of TIAA.
106
In reviewing profitability, the Independent Board Members also considered the profitability of the various sub-advisers from their relationships with the respective Nuveen fund(s). 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, 2017. The Independent Board Members also reviewed a profitability analysis reflecting the revenues, expenses and revenue margin (pre- and post-tax) by asset type for the Sub-Adviser for the calendar year ending December 31, 2017 and the pre- and post-tax revenue margin from 2017 and 2016.
In evaluating the reasonableness of the compensation, the Independent Board Members also considered any other ancillary benefits derived by the respective Fund Adviser from its relationship with the Nuveen funds as discussed in further detail below.
Based on a consideration of all the information provided, the Board noted that Nuveen’s and the Sub-Adviser’s level of profitability was acceptable and not unreasonable in light of the services provided.
D. Economies of Scale and Whether Fee Levels Reflect These Economies of Scale
The Independent Board Members considered the extent to which economies of scale may be achieved as a Fund grows and whether these economies of scale have been shared with shareholders. Although the Board recognized that economies of scale are difficult to measure, the Independent Board Members noted that there are several methods that may be used in seeking to share economies of scale, including through breakpoints in the management fee schedule reducing the fee rates as asset levels grow, fee waivers and/or expense limitation agreements and the Adviser’s investment in its business which can enhance the services provided to the Nuveen funds. With respect to breakpoint schedules, because the Board had previously recognized that economies of scale may occur not only when the assets of a particular fund grow but also when the assets in the complex grow, the Nuveen funds generally pay the Adviser a management fee comprised of a fund-level component and a complex-level component each with its own breakpoint schedule, subject to certain exceptions. In general terms, the breakpoint schedule at the fund level reduces fees as assets in the particular fund pass certain thresholds and the breakpoint schedule at the complex level reduces fees on certain funds as the eligible assets in the complex pass certain thresholds. Subject to exceptions for certain Nuveen funds, the Independent Board Members reviewed the fund-level and complex-level fee schedules and any resulting savings in fees. The Board also recognized that the fund-level breakpoint schedule for certain Nuveen funds had been revised in 2016.
Aside from the breakpoint schedules, the Independent Board Members also reviewed the temporary and/or permanent expense caps applicable to certain Nuveen funds (including, for each of the Massachusetts Fund and the New York Fund, its permanent expense cap) which may also serve as a means to share economies of scale. Based on the information provided, the Independent Board Members noted that the combination of fund-level breakpoints, complex-level breakpoints and fund-specific fee waivers reflected a total of $118.6 million in fee reductions in 2017. In addition, the Independent Board Members recognized the Adviser’s continued reinvestment in its business through, among other things, improvements in technology, additional staffing, product innovations and other organizational changes designed to expand or enhance the services provided to the benefit of all of the Nuveen funds.
Based on its review, the Board concluded that the current fee arrangements together with the Adviser’s reinvestment in its business appropriately shared any economies of scale with shareholders.
E. Indirect Benefits
The Independent Board Members received and considered information regarding other benefits the respective Fund Adviser or its affiliates may receive as a result of their relationship with the Nuveen funds. The Independent Board Members reviewed the revenues that an affiliate of the Adviser received in 2017 as a result of serving as principal underwriter to the open-end funds from 12b-1 distribution and shareholder servicing fees (except for Nuveen’s Nushares ETFs which currently do not incur 12b-1 fees).
In addition to the above, the Independent Board Members considered whether the Sub-Adviser uses commissions paid by the Funds on portfolio transactions to obtain research products and other services (“soft dollar transactions”). The Board recognized that the Sub-Adviser may benefit from research received from broker-dealers that execute Fund portfolio transactions. The Board, however, noted that the benefits for sub-advisers transacting in fixed-income securities may be more limited as such securities generally trade on a principal basis and therefore do not generate brokerage commissions. Further, the Board noted that although the Sub-Adviser may benefit from the receipt of research and other services that it may otherwise have to pay for out of its own resources, the research may also benefit the Funds to the extent it enhances the ability of the Sub-Adviser to manage the Funds or is acquired through the commissions paid on portfolio transactions of other funds or clients.
Based on their review, the Board 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 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.
107
Trustees and Officers
(Unaudited)
The management of the Funds, including general supervision of the duties performed for the Funds by the Adviser, is the responsibility of the Board of Trustees of the Funds. The number of Trustees of the Funds is currently set at ten. None of the Trustees who are not “interested” persons of the Funds (referred to herein as “Independent Trustees”) has ever been a Trustee or employee of, or consultant to, Nuveen or its affiliates. The names and business addresses of the Trustees and officers of the Funds, their principal occupations and other affiliations during the past five years, the number of portfolios each oversees and other directorships they hold are set forth below.
The Funds’ Statement of Additional Information (“SAI”) includes more information about the Trustees. To request a free copy, call Nuveen Investments at (800) 257-8787 or visit the Funds’ website at www.nuveen.com.
| Name, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed (1) | Principal Occupation(s) Including other Directorships During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee |
| Independent Trustees: | ||||
| Terence J. Toth 1959 333 W. Wacker Drive Chicago, IL 60606 | Chairman and Trustee | 2008 | Formerly, a Co-Founding Partner, Promus Capital (2008-2017); Director, Fulcrum IT Service LLC (since 2010) and Quality Control Corporation (since 2012); member: Catalyst Schools of Chicago Board (since 2008) and Mather Foundation Board (since 2012), and chair of its investment committee; formerly, Director, Legal & General Investment Management America, Inc. (2008-2013); formerly, CEO and President, Northern Trust Global Investments (2004-2007); Executive Vice President, Quantitative Management & Securities Lending (2000-2004); prior thereto, various positions with Northern Trust Company (since 1994); formerly, Member, Northern Trust Mutual Funds Board (2005-2007), Northern Trust Global Investments Board (2004-2007), Northern Trust Japan Board (2004-2007), Northern Trust Securities Inc. Board (2003- 2007) and Northern Trust Hong Kong Board (1997-2004). | 168 |
| Jack B. Evans 1948 333 W. Wacker Drive Chicago, IL 60606 | Trustee | 1999 | Chairman (since 2019), formerly, President (1996-2019), The Hall-Perrine Foundation, a private philanthropic corporation; Director and Chairman, United Fire Group, a publicly held company; Director, Public member, American Board of Orthopaedic Surgery (since 2015); Life Trustee of Coe College and the Iowa College Foundation; formerly, President Pro-Tem of the Board of Regents for the State of Iowa University System; formerly, Director, Alliant Energy and The Gazette Company; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm. | 168 |
108
| Name, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed (1) | Principal Occupation(s) Including other Directorships During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee |
| William C. Hunter 1948 333 W. Wacker Drive Chicago, IL 60606 | Trustee | 2003 | Dean Emeritus, formerly, Dean, Tippie College of Business, University of Iowa (2006-2012); Director of Wellmark, Inc. (since 2009); past Director (2005-2015), and past President (2010- 2014) Beta Gamma Sigma, Inc., The International Business Honor Society; formerly, Director (2004-2018) of Xerox Corporation; Dean and Distinguished Professor of Finance, School of Business at the University of Connecticut (2003-2006); previously, Senior Vice President and Director of Research at the Federal Reserve Bank of Chicago (1995-2003); formerly, Director (1997-2007), Credit Research Center at Georgetown University. | 168 |
| Albin F. Moschner 1952 333 W. Wacker Drive Chicago, IL 60606 | Trustee | 2016 | Founder and Chief Executive Officer, Northcroft Partners, LLC, a management consulting firm (since 2012); Chairman (since 2019), and Director (since 2012), USA Technologies, Inc., a provider of solutions and services to facilitate electronic payment transactions (since 2012); formerly, Director, Wintrust Financial Corporation (1996-2016); previously, held positions at Leap Wireless International, Inc., including Consultant (2011-2012), Chief Operating Officer (2008-2011), and Chief Marketing Officer (2004-2008); formerly, President, Verizon Card Services division of Verizon Communications, Inc. (2000-2003); formerly, President, One Point Services at One Point Communications (1999-2000); formerly, Vice Chairman of the Board, Diba, Incorporated (1996-1997); formerly, various executive positions (1991-1996) and Chief Executive Officer (1995-1996) of Zenith Electronics Corporation. | 168 |
| John K. Nelson 1962 333 W. Wacker Drive Chicago, IL 60606 | Trustee | 2013 | Member of Board of Directors of Core12 LLC (since 2008), a private firm which develops branding, marketing and communications strategies for clients; serves on The President's Council, Fordham University (since 2010); and previously was a Director of The Curran Center for Catholic American Studies (2009-2018) formerly, senior external advisor to the financial services practice of Deloitte Consulting LLP (2012-2014); formerly, Chairman of the Board of Trustees of Marian University (2010 as trustee, 2011- 2014 as Chairman); formerly, Chief Executive Officer of ABN AMRO N.V. North America, and Global Head of its Financial Markets Division (2007-2008); prior senior positions held at ABN AMRO include Corporate Executive Vice President and Head of Global Markets-the Americas (2006-2007), CEO of Wholesale Banking-North America and Global Head of Foreign Exchange and Futures Markets (2001-2006), and Regional Commercial Treasurer and Senior Vice President Trading-North America (1996-2001); formerly, Trustee at St. Edmund Preparatory School in New York City. | 168 |
| Judith M. Stockdale 1947 333 W. Wacker Drive Chicago, IL 60606 | Trustee | 1997 | Board Member, Land Trust Alliance (since 2013) and U.S. Endowment for Forestry and Communities (since 2013); formerly, Executive Director (1994-2012), Gaylord and Dorothy Donnelley Foundation; prior thereto, Executive Director, Great Lakes Protection Fund (1990-1994). | 168 |
| Carole E. Stone 1947 333 W. Wacker Drive Chicago, IL 60606 | Trustee | 2007 | Former Director, Chicago Board Options Exchange (2006-2017), and C2 Options Exchange, Incorporated (2009-2017); Director, Cboe L.C. Global Markets, Inc., formerly, CBOE Holdings, Inc. (since 2010); formerly, Commissioner, New York State Commission on Public Authority Reform (2005-2010). | 168 |
109
Trustees and Officers(Unaudited) (continued)
| Name, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed (1) | Principal Occupation(s) Including other Directorships During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee |
| Margaret L. Wolff 1955 333 W. Wacker Drive Chicago, IL 60606 | Trustee | 2016 | Formerly, member of the Board of Directors (2013-2017) of Travelers Insurance Company of Canada and The Dominion of Canada General Insurance Company (each, a part of Travelers Canada, the Canadian operation of The Travelers Companies, Inc.); formerly, Of Counsel, Skadden, Arps, Slate, Meagher & Flom LLP (Mergers & Acquisitions Group) (2005-2014); Member of the Board of Trustees of New York-Presbyterian Hospital (since 2005); Member (since 2004) and Chair (since 2015) of the Board of Trustees of The John A. Hartford Foundation (a philanthropy dedicated to improving the care of older adults); formerly, Member (2005-2015) and Vice Chair (2011-2015) of the Board of Trustees of Mt. Holyoke College. | 168 |
| Robert L. Young(2) 1963 333 W. Wacker Drive Chicago, IL 60606 | Trustee | 2017 | Formerly, Chief Operating Officer and Director, J.P. Morgan Investment Management Inc. (2010-2016); formerly, President and Principal Executive Officer (2013-2016), and Senior Vice President and Chief Operating Officer (2005-2010), of J.P. Morgan Funds; formerly, Director and various officer positions for J.P. Morgan Investment Management Inc. (formerly, JPMorgan Funds Management, Inc. and formerly, One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly, One Group Dealer Services, Inc.) (1999-2017). | 166 |
| Name, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed (1) | Principal Occupation(s) Including other Directorships During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee |
| Interested Trustee: | ||||
| Margo L. Cook(3) 1964 333 W. Wacker Drive Chicago, IL 60606 | Trustee | 2016 | President (since 2017), formerly, Co-Chief Executive Officer and Co-President (2016-2017), formerly, Senior Executive Vice President of Nuveen Investments, Inc; Executive Vice President (since 2017) of Nuveen, LLC; President, Global Products and Solutions (since 2017), and Co-Chief Executive Officer (since 2015), formerly, Executive Vice President (2013-2015) of Nuveen Securities, LLC; President (since 2017), formerly, Co-President (2016-2017), formerly Senior Executive Vice President (2015-2016) of Nuveen Fund Advisors, LLC (Executive Vice President 2011-2015); President (since 2017), Nuveen Alternative Investments, LLC; Chartered Financial Analyst. | 168 |
| Name, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed (4) | Principal Occupation(s) During Past 5 Years | |
| Officers of the Funds: | ||||
| Greg A. Bottjer 1971 333 W. Wacker Drive Chicago, IL 60606 | Chief Administrative Officer | 2016 | Senior (since 2017) Managing Director (since 2011), formerly, Senior Vice President (2007-2010) of Nuveen; Senior (since 2017) Managing Director (since 2016) of Nuveen Fund Advisors, LLC; Chartered Financial Analyst. | |
| Mark J. Czarniecki 1979 901 Marquette Avenue Minneapolis, MN 55402 | Vice President and Assistant Secretary | 2013 | Vice President and Assistant Secretary of Nuveen Securities, LLC (since 2016) and Nuveen Fund Advisors (since 2017); Vice President and Associate General Counsel of Nuveen (since 2013) and Vice President, Assistant Secretary and Associate General Counsel of Nuveen Asset Management (since March 2018). |
110
| Name, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed (4) | Principal Occupation(s) During Past 5 Years | |
| Diana R. Gonzalez 1978 333 West Wacker Drive Chicago, IL 60606 | Vice President and Assistant Secretary | 2017 | Vice President and Assistant Secretary of Nuveen Fund Advisors, LLC (since 2017); Vice President and Associate General Counsel of Nuveen (since 2017); Associate General Counsel of Jackson National Asset Management (2012-2017). | |
| Nathaniel T. Jones 1979 333 W. Wacker Drive Chicago, IL 60606 | Vice President and Treasurer | 2016 | Managing Director (since 2017), formerly, Senior Vice President (2016-2017), formerly, Vice President (2011- 2016) of Nuveen; Managing Director of Nuveen Fund Advisors, LLC; Chartered Financial Analyst. | |
| Walter M. Kelly 1970 333 W. Wacker Drive Chicago, IL 60606 | Chief Compliance Officer and Vice President | 2003 | Managing Director (since 2017), formerly, Senior Vice President (2008-2017) of Nuveen Investments Holdings, Inc. | |
| Tina M. Lazar 1961 333 W. Wacker Drive Chicago, IL 60606 | Vice President | 2002 | Managing Director (since 2017), formerly, Senior Vice President (2014-2017) of Nuveen Securities, LLC. | |
| Kevin J. McCarthy 1966 333 W. Wacker Drive Chicago, IL 60606 | Vice President and Assistant Secretary | 2007 | Senior Managing Director (since 2017) and Secretary and General Counsel (since 2016) of Nuveen Investments, Inc., formerly, Executive Vice President (2016-2017) and Managing Director and Assistant Secretary (2008-2016); Senior Managing Director (since 2017) and Assistant Secretary (since 2008) of Nuveen Securities, LLC, formerly Executive Vice President (2016-2017) and Managing Director (2008-2016); Senior Managing Director (since 2017), Secretary (since 2016) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC, formerly, Executive Vice President (2016-2017), Managing Director (2008-2016) and Assistant Secretary (2007-2016); Senior Managing Director (since 2017), Secretary (since 2016) and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC, formerly Executive Vice President (2016-2017) and Managing Director and Assistant Secretary (2011-2016); Senior Managing Director (since 2017) and Secretary (since 2016) of Nuveen Investments Advisers, LLC, formerly Executive Vice President (2016-2017); Vice President (since 2007) and Secretary (since 2016), formerly, Assistant Secretary, of NWQ Investment Management Company, LLC, Symphony Asset Management, LLC, Santa Barbara Asset Management, LLC and Winslow Capital Management, LLC (since 2010). Senior Managing Director (since 2017) and Secretary (since 2016) of Nuveen Alternative Investments, LLC. | |
| Christopher M. Rohrbacher 1971 333 W. Wacker Drive Chicago, IL 60606 | Vice President and Secretary | 2008 | Managing Director (since 2017) and Assistant Secretary of Nuveen Securities, LLC; Managing Director (since 2017), formerly, Senior Vice President (2016-2017) and Assistant Secretary (since 2016) of Nuveen Fund Advisors, LLC. | |
| William A. Siffermann 1975 333 W. Wacker Drive Chicago, IL 60606 | Vice President | 2017 | Managing Director (since 2017), formerly Senior Vice President (2016-2017) and Vice President (2011-2016) of Nuveen. | |
| Joel T. Slager 1978 333 W. Wacker Drive Chicago, IL 60606 | Vice President and Assistant Secretary | 2013 | Fund Tax Director for Nuveen Funds (since 2013); previously, Vice President of Morgan Stanley Investment Management, Inc., Assistant Treasurer of the Morgan Stanley Funds (from 2010 to 2013). | |
| E. Scott Wickerham 1973 TIAA 730 Third Avenue New York, NY 10017 | Vice President and Controller | 2019 | Senior Managing Director, Head of Fund Administration at Nuveen, LLC (since 2019), formerly, Managing Director; Principal Financial Officer, Principal Accounting Officer and Treasurer (since 2017) to the TIAA-CREF Funds, the TIAA-CREF Life Funds, the TIAA Separate Account VA-1 and the Treasurer (since 2017) to the CREF Accounts; Senior Director, TIAA-CREF Fund Administration (2014-2015); has help various positions with TIAA since 2006. |
111
Trustees and Officers(Unaudited) (continued)
| Name, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed (4) | Principal Occupation(s) During Past 5 Years | |
| Gifford R. Zimmerman 1956 333 W. Wacker Drive Chicago, IL 60606 | Vice President and Assistant Secretary | 1988 | Managing Director (since 2002), and Assistant Secretary of Nuveen Securities, LLC; Managing Director (since 2004) and Assistant Secretary (since 1994) of Nuveen Investments, Inc.; Managing Director (since 2002), Assistant Secretary (since 1997) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel of Nuveen Asset Management, LLC (since 2011); Vice President (since 2017), formerly, Managing Director (2003-2017) and Assistant Secretary (since 2003) of Symphony Asset Management LLC ; Managing Director and Assistant Secretary (since 2002) of Nuveen Investments Advisers, LLC; Vice President and Assistant Secretary of NWQ Investment Management Company, LLC (since 2002), Santa Barbara Asset Management, LLC (since 2006) and of Winslow Capital Management, LLC, (since 2010); Chartered Financial Analyst. |
(1) Trustees serve an indefinite term until his/her successor is elected or appointed. The year first elected or appointed represents the year in which the director was first elected or appointed to any fund in the Nuveen Fund Complex.
(2) On May 25, 2017, Mr. Young was appointed as a Board Member, effective July 1, 2017. He is a Board Member of each of the Nuveen Funds, except Nuveen Diversified Dividend and Income Fund and Nuveen Real Estate Income Fund.
(3) “Interested person” of the Trust, as defined in the 1940 Act, by reason of her position with Nuveen, LLC. and certain of its subsidiaries.
(4) Officers serve one year terms through August of each year. The year first elected or appointed represents the year in which the officer was first elected or appointed to any fund in the Nuveen Fund Complex.
112
Notes
113
Notes
114
Notes
115
Nuveen:
Serving Investors for Generations
Serving Investors for Generations
Since 1898, financial advisors and their clients have relied on Nuveen to provide dependable investment solutions through continued adherence to proven, long-term investing principles. Today, we offer a range of high quality solutions designed to be integral components of a well-diversified core portfolio.
Focused on meeting investor needs.
Nuveen is the investment manager of TIAA. We have grown into one of world’s premier global asset managers, with specialist knowledge across all major asset classes and particular strength in solutions that provide income for investors and that draw on our expertise in alternatives and responsible investing. Nuveen is driven not only by the independent investment processes across the firm, but also the insights, risk management, analytics and other tools and resources that a truly world-class platform provides. As a global asset manager, our mission is to work in partnership with our clients to create solutions which help them secure their financial future.
Find out how we can help you.
To learn more about how the products and services of Nuveen 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, 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/mutual-funds
Nuveen Securities, LLC, member FINRA and SIPC | 333 West Wacker Drive | Chicago, IL 60606 | www.nuveen.com MAN-MS3-0219D803984-INV-Y-04/20
Mutual Funds
28 February 2019
Nuveen Municipal
Bond Funds
Bond Funds
| Fund Name | Class A | Class C | Class C2 | Class I |
| Nuveen California High Yield Municipal Bond Fund | NCHAX | NAWSX | NCHCX | NCHRX |
| Nuveen California Municipal Bond Fund | NCAAX | NAKFX | NCACX | NCSPX |
| Nuveen California Intermediate Municipal Bond Fund | NUCAX | NUCCX | — | NUCIX |
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.nuveen.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting the financial intermediary (such as a broker-dealer or bank) through which you hold your Fund shares or, if you are a direct investor, by enrolling at www.nuveen.com/e-reports.
You may elect to receive all future shareholder reports in paper free of charge at any time by contacting your financial intermediary or, if you are a direct investor, by calling 800-257-8787 and selecting option #1. Your election to receive reports in paper will apply to all funds held in your account with your financial intermediary or, if you are a direct investor, to all your directly held Nuveen Funds and any other directly held funds within the same group of related investment companies.
Annual Report
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/client-access
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 NO BANK GUARANTEE
Table
of Contents
3
Chairman’s Letter to Shareholders
Dear Shareholders,
Financial markets rallied in the early months of 2019, in sharp contrast to the downturn at the end of 2018, leaving investors to wonder whether such bullishness is warranted or sustainable. By the close of 2018, economic softness in China, Europe and Japan had proven more persistent than expected. The temporary boost to the U.S. economy from tax law changes appeared to be fading. Corporate earnings and profits were slowing, and some corporate managements, especially at high-profile technology companies, were downgrading their outlooks. Politics remained unpredictable, most notably with the Brexit and U.S.-China trade talks ongoing. The European Central Bank (ECB) ended its crisis-era monetary stimulus program with pledges to keep interest rates low for an extended period, while the U.S. Federal Reserve (Fed) planned to continue raising interest rates into 2019.
As the new year began, economic data have remained a mixed bag, and investors will be closely watching the first quarter 2019 corporate earnings reports. However, market sentiment shifted significantly after both the Fed and ECB turned remarkably more dovish in their interest rate projections and lowered their growth forecasts. The U.S. and China appear to be making progress on trade talks, such that President Trump did not increase tariffs as initially planned in March 2019. While these events did reduce some of the markets’ uncertainty, downside risks still appear to be rising.
Nevertheless, we believe the likelihood of a near-term recession remains low. Global growth is indeed slowing, but it’s still positive. The U.S. economy remains strong, even in the face of late-cycle pressures. Low unemployment and firming wages should continue to support consumer spending, and the November mid-term elections resulted in change, but no major surprises. In China, the government remains committed to using fiscal stimulus to offset softening exports. Europe also remains vulnerable to trade policy as well as Brexit uncertainty, but underlying strengths in European economies, including low unemployment that drives domestic demand, remain supportive of a mild expansion. In a slower growth environment, there are opportunities for investors who seek them more selectively.
We expect volatility and challenging conditions to persist in 2019 but also think there is potential for upside. You can prepare your investment portfolio by working with your financial advisor to review your goals, timeline 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,
Terence J. Toth
Chairman of the Board
April 23, 2019
4
Portfolio Managers’
Comments
Nuveen California High Yield Municipal Bond Fund
Nuveen California Municipal Bond Fund
Nuveen California Intermediate Municipal Bond Fund
These Funds feature portfolio management by Nuveen Asset Management, LLC (NAM), an affiliate of Nuveen, LLC. Portfolio managers John V. Miller, CFA, and Scott R. Romans, PhD, review economic and market conditions, key investment strategies, and the Funds’ performance during the twelve-month period ended February 28, 2019.
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 and the Nuveen California Intermediate Municipal Bond Fund since its inception in 2016.
What factors affected the U.S. economy and the national municipal bond market during the twelve-month reporting period ended February 28, 2019?
The U.S. economy continued to grow at a solid pace during the reporting period. Gross domestic product (GDP), which measures the value of goods and services produced by the nation’s economy less the value of the goods and services used up in production, adjusted for price changes, grew at an annualized rate of 2.2% in the fourth quarter of 2018, according to the Bureau of Economic Analysis “third” estimate. Consumer and business spending supported growth in the final months of 2018, while a weaker housing market and a larger trade deficit subtracted from GDP. For the full year 2018, U.S. GDP growth came in at 2.9%, as economic activity cooled over the second half of 2018 after peaking at 4.2% (annualized) in the second quarter of 2018.
Consumer spending, the largest driver of the economy, remained well supported by low unemployment, wage gains and tax cuts. As reported by the Bureau of Labor Statistics, the unemployment rate fell to 3.8% in February 2019 from 4.1% in February 2018 and job gains averaged around 209,000 per month for the past twelve months. As the jobs market has tightened, average hourly earnings grew at an annualized rate of 3.4% in February 2019. However, falling energy prices led to a slower rate of inflation over the past twelve months. The Consumer Price Index (CPI) increased 1.5% over the twelve-month reporting period ended February 28, 2019 before seasonal adjustment, as reported by the Bureau of Labor Statistics.
Low mortgage rates and low inventory drove home prices higher during this recovery cycle. But the pace of price increases has slowed as mortgage rates drifted higher and homes have become less affordable. The S&P CoreLogic Case-Shiller U.S. National Home Price Index, which covers all nine U.S. census divisions, was up 4.3% year-over-year in January 2019 (most recent data available at the time this report was prepared). The 10-City and 20-City Composites reported year-over-year increases of 3.2% and 3.6%, respectively.
This material is not intended to be a recommendation or investment advice, does not constitute a solicitation to buy, sell or hold a security or an investment strategy and is not provided in a fiduciary capacity. The information provided does not take into account the specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions should be made based on an investor’s objectives and circumstances and in consultation with his or her advisors.
Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein.
For financial reporting purposes, the ratings disclosed are the highest rating (except for Nuveen California High Yield Municipal Bond Fund, which uses the lowest 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). This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.
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.
5
Portfolio Managers’ Comments(continued)
As some data began pointing to slower momentum in the overall economy, the Federal Reserve (Fed) notably shifted its stance. From December 2015 through December 2018, the Fed had gradually lifted its main policy interest rate to prevent the economy from overheating. In its final meeting of 2018, the Fed indicated that two more rate hikes might be forthcoming in 2019, roiling the markets, which had expected a more dovish tone. However, as more recent data revealed a mixed picture of the economy, the Fed said it would adopt a more “patient” approach, signaling the possibility of no rate hikes in 2019. As expected, the Fed held rates steady at its January 2019 committee meeting. Subsequent to the end of the reporting period, at its March 2019 meeting, the Fed again kept rates unchanged and further clarified that it will discontinue rolling assets off its balance sheet in September 2019, sooner than many observers expected.
During the twelve-month reporting period, geopolitical news remained a prominent market driver. The U.S. moved forward with tariffs on imported goods from China, as well as on steel and aluminum from Canada, Mexico and Europe. These countries announced retaliatory measures in kind, intensifying concerns about a trade war, although there have been some positive developments. In July 2018, the U.S. and the European Union announced they would refrain from further tariffs while they negotiate trade terms, and in October 2018, the U.S., Mexico and Canada agreed to a new trade deal to replace the North American Free Trade Agreement. At the November 2018 G-20 summit, the U.S. and China settled on a 90-day trade truce and after the countries resumed trade talks in early 2019, President Trump said he would not increase the tariffs in March 2019 as planned. Brexit negotiations continued to be uncertain, and Prime Minister Theresa May faced significant difficulty getting a plan approved in Parliament. (Subsequent to the end of the reporting period, the European Union approved a conditional delay, allowing the U.K. more time to approve a plan.) Europe also contended with Italy’s new euroskeptic coalition government, the “yellow vest” protests in France, immigration policy concerns and political risk in Turkey. The U.S. Treasury issued additional sanctions on Russia in April 2018 and re-imposed sanctions on Iran following the U.S. withdrawal from the 2015 nuclear agreement. Bearish crude oil supply news, along with heightened tensions between the U.S. and Saudi Arabia after the disappearance of a Saudi journalist, drove oil price volatility. On the Korean peninsula, the leaders of South Korea and North Korea met during April 2018 and jointly announced a commitment toward peace, while the U.S. and North Korea held a denuclearization summit in June 2018 and a second summit in February 2019 without securing an agreement. In late December 2018, the U.S. government entered a 35-day partial shutdown due to an impasse on border security funding. Concerns about a second shutdown were alleviated after the government passed a funding bill in February 2019.
Municipal bonds delivered positive performance in this reporting period. Interest rates were increasing through much of the reporting period, as a strong economic backdrop kept the Fed on its course of monetary tightening. The 10-year U.S. Treasury yield peaked at 3.24% in November 2018. However, in December 2018, market volatility spiked as uncertain trade policy, Brexit negotiations, and weak macro data in Europe and China weighed on the U.S. growth outlook. Equities and riskier segments of the bond market sold off sharply in the fourth quarter of 2018. Following the Fed’s December meeting, investor expectations for a pause in rate increases drove repricing in the markets, driving long-term interest meaningfully lower through the end of the reporting period. While the U.S. Treasury yield curve flattened over this reporting period, the municipal yield curve “twisted” by flattening at the short end and steepening at the long end of the curve. For the twelve-month period overall, municipal bond yields were marginally lower, belying larger intra-period swings.
Supply and demand conditions in the municipal bond market were favorable to performance in this reporting period, particularly in the latter three months. Issuance has been subdued since the passage of the Tax Cuts and Jobs Act of 2017. Because new issue advance refunding bonds are no longer tax exempt under the new tax law, the total supply of municipal bonds has decreased, boosting the scarcity value of existing municipal bonds. Municipal bond issuance nationwide totaled $347.3 billion in this reporting period, a 19.0% decrease from the issuance for the twelve-month reporting period ended February 28, 2018. Nevertheless, the overall low level of interest rates encouraged issuers to continue to actively refund their outstanding debt. In these transactions the issuers are issuing new bonds and taking the bond proceeds and redeeming (calling) old bonds. These refunding transactions have ranged from 40% to 60% of total issuance over the past few years. Thus, the net issuance (all bonds issued less bonds redeemed) is actually much lower than the gross issuance. So, while gross issuance volume has been strong, the net has not, and this was an overall positive technical factor on municipal bond investment performance in recent years. Although the pace of refundings is slowing, net negative issuance is expected to continue.
6
Low global interest rates have continued to drive investors toward higher after-tax yielding assets, including U.S. municipal bonds. The Fed’s pivot to a more dovish stance in early 2019 also brought investors back to fixed income markets, including municipal bonds, driving large inflows into the asset class in the early months of 2019. Additionally, as tax payers have begun to assess the impact of the 2017 tax law, which caps the state and local tax (SALT) deduction for individuals, demand for tax-exempt municipal bonds, especially in states with high income and/or property taxes, is expected to increase.
How were the economic and market environments in California during the twelve-month reporting period ended February 28, 2019?
California’s $2.7 trillion economy is the largest in the United States and ranks fifth in the world, according to the International Monetary Fund. California job growth continues to outpace the national average, but at a slower pace as the economy enters late state expansion. California’s economy is driven by high technology, international trade and tourism but is also supplemented by better residential construction and real estate conditions. As a result, the state’s unemployment rate was 4.2% as of February 2019, up from 4.1% the year prior, and the gap between California and the nation’s 3.8% unemployment rate widened. According to the S&P CoreLogic Case-Shiller Index, home prices in San Diego, Los Angeles and San Francisco rose 1.3%, 2.9% and 1.8%, respectively, over the twelve months ended January 2019 (most recent data available at the time this report was prepared) compared with an average increase of 4.3% nationally. The enacted Fiscal Year 2019 General Fund budget totals $138.7 billion, which is 9.2% higher than the revised Fiscal Year 2018 budget. Strong revenue growth due to a strengthening economy and stock market have enhanced the state’s fiscal position. For Fiscal Year 2019-2020, the proposed General Fund Governor’s Budget totals $144.2 billion, 4% higher than the $138.7 billion enacted budget for Fiscal Year 2019 and approximately 50% higher than the Fiscal Year 2013’s budget. The Governor’s Budget Proposal includes a $1.8 billion transfer to the Rainy Day Fund increasing it to $15.3 billion (or 10.6% of General Fund revenues) for Fiscal Year 2020, and continues to pay down debts and long term liabilities; including prefunding state retiree health care benefits, supplement pension payment to CalPERS, and pay down a portion of the unfunded CalSTRS liability. The May 2019 Revision to the budget will include projected effects of the federal Tax Cuts and Jobs Act on the state’s General Fund. As of February 2019, Standard & Poor’s affirmed its “AA-/Stable” rating and outlook on California general obligation (GO) debt and Moody’s Investors Service affirmed its state GO rating of “Aa3 with a Positive” outlook. During the twelve months ended February 28, 2019, municipal issuance in California totaled $50.9 billion, a gross issuance decrease of 19.6% from the twelve months ended February 28, 2018.
How did the Funds perform during the twelve-month reporting period ended February 28, 2019?
The tables in the Fund Performance, Expense Ratios and Effective Leverage Ratios section of this report provide total returns for the Funds for the one-year, five-year, ten-year and since inception periods ended February 28, 2019. 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 reporting period, each Fund underperformed its respective national benchmark index: the S&P Municipal Yield Index (Nuveen California High Yield Municipal Bond Fund), the S&P Municipal Bond Index (Nuveen California Municipal Bond Fund) and the S&P Municipal Bond Intermediate Index (Nuveen California Intermediate Municipal Bond Fund). Meanwhile, the Nuveen California High Yield Municipal Bond Fund and the Nuveen California Municipal Bond Fund underperformed their respective Lipper classification averages to varying degrees, while the Nuveen California Intermediate Municipal Bond Fund outperformed its Lipper classification average.
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 NAM. Our municipal bond portfolios are managed with a value-oriented approach and close input from NAM’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 Class A Shares of the Nuveen California High Yield Municipal Bond Fund underperformed the S&P Municipal Yield Index for the twelve-month reporting period ended February 28, 2019.
7
Portfolio Managers’ Comments(continued)
In a volatile market environment characterized by relatively stable credit spreads, interest rate positioning, rather than credit quality positioning, primarily drove the Fund’s absolute performance. Meanwhile, relative to the S&P index, our biggest performance detractors were our underweights in two debt categories prominently represented in the index: Puerto Rico and tobacco-securitization bonds.
Debt of the U.S. territory of Puerto Rico generally enjoyed a strong recovery this reporting period, as the island continued to bounce back from Hurricane Maria in 2017. In the first half of the reporting period, we lacked any exposure to Puerto Rico debt. In the second half of the reporting period, however, given what we saw as attractive bond valuations relative to certain issuers’ credit risk, we took advantage of opportunities to buy bonds of Puerto Rico Aqueducts and Sewers Authority, Puerto Rico Electric Power Authority, and the Puerto Rico Sales Tax Financing Corporation (commonly known as COFINA). None of these issuers are facing financial restructuring, and all of them are current with their debt payments. Reflecting Puerto Rico’s broader financial challenges, however, these bonds were priced lower than we believed was warranted. As of the end of the reporting period, the Fund’s exposure to Puerto Rico was just 2% of the portfolio.
The Fund was also hampered by our underweight in California tobacco debt. Our decision to limit exposure to this category reflected our desire to maintain a broader level of portfolio diversification, as well as our concern about gradually deteriorating credit trends in the sector. During the reporting period, the State of California refinanced many of its tobacco bonds, calling them away and replacing them with lower yielding, more highly rated issues. Although we actively participated in this new issue, we did allow our allocation to the sector to decline during the reporting period. Overall, the Fund’s weighting in tobacco debt moved from about 9.4% of the portfolio at the start of the reporting period to roughly 8.7% on February 28, 2019.
Looking at individual credit positions, various Fund holdings combined to produce a positive relative performance impact. Our top contributors included a strong performing school district bond issue, as well as a land-secured bond issue that experienced spread tightening due to relatively tight supply coupled with strong demand for the securities. Other notable individual performers included certain higher yielding California tobacco bonds that benefited from their scarcity value; bonds of Loma Linda University Medical Center, which continues to make progress building its new, seismically compliant hospital facility; and bonds of the Foothill/Eastern and San Joaquin Hills toll roads, whose issuers are experiencing stabilized credit quality in line with a solid economy and higher toll collections. All of these securities are among our core long-term holdings and some of the Fund’s better performers this reporting period.
Although individual credit problems affecting the Fund’s holdings were rare, we did experience challenges with two issuers. First, we saw negative performance from our position in hospital provider Verity Health (formerly Daughters of Charity Health System), which is currently in bankruptcy reorganization. Our long-term optimism about this investment remained intact. A second detractor was our allocation to Einstein Academy charter school bonds. This issuer has been experiencing operational challenges, and we opted to sell our small holding at a loss.
The Fund’s interest rate hedges modestly detracted from the Fund's total return performance. We maintained these Treasury futures contracts to maintain the portfolio’s duration (interest rate exposure) at our desired level without having to sell longer-duration securities we otherwise found attractive. As interest rates modestly declined during the reporting period, these hedges detracted a bit from the Fund’s result. The Fund's interest rate swaps performed as intended, reducing the Fund's duration and limiting its vulnerability to rising rates. The interest rate swaps impact on total return performance was positive during the reporting period.
During the reporting period, we experienced modest net shareholder outflows from the Fund. Our purchases over the twelve-month timeframe continued to include a variety of land-secured, or special-taxing-district bonds; this is a particularly common type of bond issuance in the California municipal bond market and an area that we have long favored for the sector’s favorable underlying fundamentals.
Other areas of investment included adding to our position in Foothill/Eastern toll road bonds and purchasing certain hospital and student housing project bonds. We also took advantage of a new opportunity that came to market: we purchased bonds for LINXS, a new automated people-mover system at Los Angeles International Airport. Our enthusiasm for these bonds reflected our view that LINXS could eventually become an integral part of the airport and thus we believe has good potential for strong underlying credit quality.
8
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 benchmarks 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 may provide opportunities for additional income and total returns, particularly in the recent market environment where short-term market rates are 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 the Fund uses leverage, it will experience a greater increase in its 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 when short-term interest rates increase and increase when short-term interest rates decrease. Leverage would also 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. As of February 28, 2019, the effective leverage was 21.3%, which is within our expected range and regularly monitored.
The Fund’s use of leverage through inverse floating rate securities was positive to the total return performance of the Fund during this reporting period.
Nuveen California Municipal Bond Fund
The Class A Shares of the Nuveen California Municipal Bond Fund underperformed the national S&P Municipal Bond Index for the twelve-month reporting period ended February 28, 2019. The Fund also underperformed the state-specific S&P Municipal Bond California Index for the same time frame.
Relative to the S&P Municipal Bond Index, unfavorable sector allocation modestly hurt the Fund’s results. A slight overweight in pre-refunded bonds detracted, as generally rising short-term interest rates hurt these securities, which have very short average lives. A slight overweight in the public power category also detracted. This sector’s decline appeared to reflect investors’ concern about power companies’ potential financial liabilities related to deferred maintenance.
Our allocation to airport bonds, and specifically those subject to the alternative minimum tax (AMT), also hampered performance. We were adding to these securities throughout the reporting period, as we saw them as attractively priced relative to their underlying credit quality. We believed that spreads on these AMT bonds could narrow over time as California investors more fully come to terms with the effects of the 2017 federal tax reform law, which minimized the negative impact of AMT. During this reporting period, however, these bonds did not perform in line with our expectations, making our exposure to the sector a negative performance factor. Although these bonds’ performance did not meet our expectation during the reporting period, we remained hopeful about their longer-term opportunity.
On the positive side, duration and yield curve positioning added value. Throughout the reporting period, the portfolio’s duration was longer than that of the market, meaning the Fund was more sensitive to changes in interest rates. In a market environment in which longer-duration bonds tended to outperform and shorter-duration bonds tended to underperform, our overweight on the longer end of the yield curve proved beneficial. A secondary positive performance factor was our credit quality positioning, which provided a modest benefit to the portfolio.
During the reporting period, and especially in its first half, we experienced new investment inflows into the Fund. When these inflows coincided with periods of narrowing credit spreads, we often purchased relatively higher quality securities that we believed would more likely hold their value should market conditions deteriorate. These included water and electric utility issues that we saw as effective placeholders in the portfolio while we waited for new, better yielding opportunities to emerge in the marketplace.
9
Portfolio Managers’ Comments(continued)
Although we were less frequent buyers of lower quality, higher yielding securities, we did find selected opportunities to add these types of securities at various times during the reporting period, including some health care, local development and desalination project bonds.
Another purchase theme included selling some of the Fund’s bonds offering coupons around 5% and then using the proceeds to buy bonds with coupons in the 4% range. This exchange reflected our view that the latter securities were providing better long-term value for shareholders.
During the reporting period, the State of California refinanced its tobacco-securitization bonds. We were active participants in the replacement bond issue, even as we were not able to match the Fund’s prior exposure. Accordingly, we took advantage of opportunities to buy the new California tobacco issues in the secondary municipal bond market, allowing us to finish the reporting period with a tobacco bond allocation close to its starting point. To finance our municipal bond purchases this reporting period, we primarily relied on the proceeds from new shareholder investments. We also sold various bonds with shorter-call dates, particularly general obligation bonds, which were benefiting from elevated demand on the part of California municipal bond investors.
Nuveen California Intermediate Municipal Bond Fund
The Class A Shares of the Nuveen California Intermediate Municipal Bond Fund underperformed the S&P Municipal Bond Intermediate Index for the twelve-month reporting period ended February 28, 2019.
Sector positioning was the primary factor behind the Fund’s relative underperformance. The biggest challenge was our large underweight among tax-supported bonds, a category that outperformed the index. The primary way for us to gain exposure to this category is through California state general obligation (GOs) bonds. The index includes a very large allocation to California GOs, and our decision to underweight this category reflected our desire to maintain broader portfolio diversification.
Another challenge for relative performance included our underweighting in tobacco-securitization debt, an outperforming category. Another challenge included a significant overweight in the health care sector. In contrast, we saw some modest outperformance from the Fund’s pre-refunded bond holdings.
On the positive side, we benefited from having a longer duration than the index, meaning that the portfolio was more sensitive to interest rate changes. Because we were emphasizing bonds with maturities at the longer end of our investment universe, the Fund was able to benefit to a greater extent as longer-term rates fell during the reporting period. Credit quality positioning was a secondary favorable influence on the Fund’s results.
Our purchase activity was relatively limited during the reporting period. When possible, we added suitable lower rated opportunities that we believed offered our shareholders an attractive risk/reward balance. New purchases on this theme included some tobacco-securitization bonds, as well as some higher education, land-secured and health care issues.
When we had cash in the portfolio requiring investment and at times of less attractive bond valuations, we often added “placeholder” bonds. By placeholder, we mean highly liquid securities, often local GOs and utility bonds, that would allow us to remain fully invested and that we believed we would be able to sell relatively easily should market conditions weaken and higher yielding, lower rated opportunities begin to offer better value.
Another theme behind some of our purchases was to take advantage of attractive spreads among highly rated airport bonds subject to the alternative minimum tax (AMT). We believed these bonds were favorably priced relative to their credit risk and had the potential for spread narrowing over time as the effects of the 2017 tax reform law become more apparent and investors begin to realize more value in the securities. Although these bonds’ performance did not meet our expectation during the reporting period, we remained hopeful about their longer-term opportunity.
At various times during the reporting period, when receiving cash into the Fund that we were not able to immediately reinvest in longer-term debt, we sometimes purchased variable rate demand notes (VRDNs), short-term cash equivalent securities whose interest rate is reset every seven days. These securities provided a ready source of funds as we prepared for longer term opportunities for purchase.
10
Risk Considerations 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.
Nuveen California Intermediate 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 each Fund to maintain a more stable monthly dividend, the Fund may pay dividends at a rate that may be more or less than the amount of net income actually earned by the Fund during the period. Distributions to shareholders are determined on a tax basis, which may differ from amounts recorded in the accounting records. In instances where the monthly dividend exceeds the earned net investment income, the Fund would report a negative undistributed net ordinary income. Refer to Note 6 – Income Tax Information for additional information regarding the amounts of undistributed net ordinary income and undistributed net long-term capital gains and the character of the actual distributions paid by the Fund during the period.
All monthly dividends paid by each Fund during the current reporting period were paid from net investment income. If a portion of the Fund’s monthly distributions is sourced or comprised of elements other than net investment income, including capital gains and/or a return of capital, shareholders will be notified of those sources. For financial reporting purposes, the per share amounts of each Fund’s distributions for the reporting period are presented in this report’s Financial Highlights. For income tax purposes, distribution information for each Fund as of its most recent tax year end is presented in Note 6 – Income Tax Information within the Notes to Financial Statements of this report.
11
THIS PAGE INTENTIONALLY LEFT BLANK
12
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. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. Current performance may be higher or lower than the performance shown. Total returns for a period of less than one year are not annualized. Returns at net asset value (NAV) would be lower if the sales charge were included. Returns assume reinvestment of dividends and capital gains. For performance, current to the most recent month-end visit nuveen.com or call (800) 257-8787.
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 fee waivers and/or expense reimbursements by the investment adviser 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.
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 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 its investment capital. The effective leverage ratio shown for each Fund is the amount of investment exposure created either directly 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. A Fund may from time to time borrow on a typically transient basis in connection with its day-to-day operations, primarily in connection with the need to pay cash out to redeeming shareholders or to settle portfolio trades. Such incidental borrowings, described generally in Notes to Financial Statements, Note 8—Borrowing Arrangements, are excluded from the calculation of a Fund’s effective leverage ratio.
13
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 February 28, 2019
| Average Annual | |||
| 1-Year | 5-Year | 10-Year | |
| Class A Shares at NAV | 3.15% | 5.95% | 9.21% |
| Class A Shares at maximum Offering Price | (1.18)% | 5.05% | 8.74% |
| S&P Municipal Yield Index | 6.08% | 5.63% | 8.03% |
| Lipper California Municipal Debt Funds Classification Average | 3.23% | 3.75% | 5.26% |
| Class C2 Shares | 2.57% | 5.37% | 8.62% |
| Class I Shares | 3.35% | 6.18% | 9.44% |
| Average Annual | |||
| 1-Year | 5-Year | Since Inception | |
| Class C Shares | 2.20% | 5.11% | 5.43% |
Average Annual Total Returns as of March 31, 2019 (Most Recent Calendar Quarter)
| Average Annual | |||
| 1-Year | 5-Year | 10-Year | |
| Class A Shares at NAV | 4.98% | 6.24% | 9.65% |
| Class A Shares at maximum Offering Price | 0.60% | 5.33% | 9.18% |
| Class C2 Shares | 4.51% | 5.67% | 9.05% |
| Class I Shares | 5.19% | 6.48% | 9.86% |
| Average Annual | |||
| 1-Year | 5-Year | Since Inception | |
| Class C Shares | 4.24% | 5.42% | 5.88% |
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 $250,000 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) of 1% 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 total returns. Class C and Class C2 Shares automatically convert to Class A Shares ten years after purchase. 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 | 1.05% | 1.85% | 1.60% | 0.85% |
Effective Leverage Ratio as of February 28, 2019
| Effective Leverage Ratio | 21.28% |
14
Growth of an Assumed $10,000 Investment as of February 28, 2019 – Class A Shares
The graphs do not reflect the deduction of taxes, such as state and local income taxes or capital gains taxes that a shareholder may pay on Fund distributions or the redemptions of Fund shares.
15
Fund Performance, Expense Ratios and Effective Leverage Ratios(continued)
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 February 28, 2019
| Average Annual | |||
| 1-Year | 5-Year | 10-Year | |
| Class A Shares at NAV | 2.77% | 4.35% | 6.18% |
| Class A Shares at maximum Offering Price | (1.52)% | 3.46% | 5.73% |
| S&P Municipal Bond Index | 4.03% | 3.45% | 4.77% |
| S&P Municipal Bond California Index | 3.70% | 3.72% | 5.22% |
| Lipper California Municipal Debt Funds Classification Average | 3.23% | 3.75% | 5.26% |
| Class C2 Shares | 2.16% | 3.77% | 5.59% |
| Class I Shares | 2.93% | 4.54% | 6.38% |
| Average Annual | |||
| 1-Year | 5-Year | Since Inception | |
| Class C Shares | 1.94% | 3.50% | 3.71% |
Average Annual Total Returns as of March 31, 2019 (Most Recent Calendar Quarter)
| Average Annual | |||
| 1-Year | 5-Year | 10-Year | |
| Class A Shares at NAV | 4.17% | 4.63% | 6.44% |
| Class A Shares at maximum Offering Price | (0.17)% | 3.75% | 5.99% |
| Class C2 Shares | 3.65% | 4.05% | 5.86% |
| Class I Shares | 4.43% | 4.86% | 6.66% |
| Average Annual | |||
| 1-Year | 5-Year | Since Inception | |
| Class C Shares | 3.33% | 3.80% | 4.02% |
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 $250,000 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) of 1% 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 total returns. Class C and Class C2 Shares automatically convert to Class A Shares ten years after purchase. 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 | 0.75% | 1.55% | 1.30% | 0.55% |
16
Effective Leverage Ratio as of February 28, 2019
| Effective Leverage Ratio | 0.00% |
Growth of an Assumed $10,000 Investment as of February 28, 2019 – Class A Shares
The graphs do not reflect the deduction of taxes, such as state and local income taxes or capital gains taxes that a shareholder may pay on Fund distributions or the redemptions of Fund shares.
17
Fund Performance, Expense Ratios and Effective Leverage Ratios(continued)
Nuveen California Intermediate 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 February 28, 2019
| Average Annual | ||
| 1-Year | Since Inception | |
| Class A Shares at NAV | 4.21% | 2.06% |
| Class A Shares at maximum Offering Price | 1.09% | 0.75% |
| S&P Municipal Bond Intermediate Index | 4.53% | 2.12% |
| S&P Municipal Bond California Index | 3.70% | 2.10% |
| Lipper California Intermediate Municipal Debt Funds Classification Average | 3.25% | 1.50% |
| Class C Shares | 3.61% | 1.27% |
| Class I Shares | 4.50% | 2.28% |
Average Annual Total Returns as of March 31, 2019 (Most Recent Calendar Quarter)
| Average Annual | ||
| 1-Year | Since Inception | |
| Class A Shares at NAV | 5.44% | 2.61% |
| Class A Shares at maximum Offering Price | 2.27% | 1.34% |
| Class C Shares | 4.73% | 1.78% |
| Class I Shares | 5.62% | 2.84% |
Since inception returns are from 10/19/16. Indexes and Lipper averages are not available for direct investment.
Class A Shares have a maximum 3.00% sales charge (Offering Price). Class A Share purchases of $250,000 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) of 1% if redeemed within eighteen months of purchase. Class C Shares have a 1% CDSC for redemptions within less than twelve months, which is not reflected in the total returns. Class C Shares automatically convert to Class A Shares ten years after purchase. 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 I | |
| Gross Expense Ratios | 2.05% | 2.85% | 1.85% |
| Net Expense Ratios | 0.77% | 1.56% | 0.57% |
The Fund’s investment adviser has contractually agreed to waive fees and/or reimburse other Fund expenses through July 31, 2020 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 0.60% of the average daily net assets of any class of Fund shares. This expense limitation may be terminated or modified prior to that date only with the approval of the Board of Trustees of the Fund.
Effective Leverage Ratio as of February 28, 2019
| Effective Leverage Ratio | 0.00% |
18
Growth of an Assumed $10,000 Investment as of February 28, 2019 – Class A Shares
The graphs do not reflect the deduction of taxes, such as state and local income taxes or capital gains taxes that a shareholder may pay on Fund distributions or the redemptions of Fund shares.
19
Yields as of February 28, 2019
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. If the fund did not receive a fee waiver/expense reimbursement during the period under its most recent agreement, subsidized and unsubsidized yields will be equal. Refer to the Notes to Financial Statements, Note 7 – Management Fees and Other Transactions with Affiliates 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 an assumed tax rate. Your actual combined federal and state income tax rates may differ from the assumed rate. Taxable-Equivalent Yield also takes into account the percentage of the Fund’s income generated and paid by the Fund (based on payments made during the previous calendar year) that was either exempt from federal income tax but not from state income tax (e.g., income from an out-of-state municipal bond), or was exempt from neither federal nor state income tax. Separately, if the comparison were instead to investments that generate qualified dividend income, which is taxable at a rate lower than an individual’s ordinary graduated tax rate, the fund’s Taxable-Equivalent Yield would be lower.
Nuveen California High Yield Municipal Bond Fund
| Share Class | ||||
| Class A1 | Class C | Class C2 | Class I | |
| Dividend Yield | 3.69% | 3.03% | 3.28% | 4.04% |
| SEC 30-Day Yield - Subsidized | 3.44% | 2.80% | 3.04% | 3.79% |
| SEC 30-Day Yield - Unsubsidized | 3.44% | 2.80% | 3.04% | 3.79% |
| Taxable-Equivalent Yield - Subsidized (32.6%)2 | 5.10% | 4.15% | 4.51% | 5.62% |
| Taxable-Equivalent Yield - Unsubsidized (32.6%)2 | 5.10% | 4.15% | 4.51% | 5.62% |
Nuveen California Municipal Bond Fund
| Share Class | ||||
| Class A1 | Class C | Class C2 | Class I | |
| Dividend Yield | 3.15% | 2.47% | 2.69% | 3.45% |
| SEC 30-Day Yield - Subsidized | 2.24% | 1.55% | 1.79% | 2.54% |
| SEC 30-Day Yield - Unsubsidized | 2.24% | 1.55% | 1.79% | 2.54% |
| Taxable-Equivalent Yield - Subsidized (33.3%)2 | 3.36% | 2.32% | 2.68% | 3.81% |
| Taxable-Equivalent Yield - Unsubsidized (33.3%)2 | 3.36% | 2.32% | 2.68% | 3.81% |
20
Nuveen California Intermediate Municipal Bond Fund
| Share Class | |||
| Class A1 | Class C | Class I | |
| Dividend Yield | 1.55% | 0.83% | 1.78% |
| SEC 30-Day Yield - Subsidized | 1.13% | 0.49% | 1.36% |
| SEC 30-Day Yield - Unsubsidized | 0.42% | 0.26% | 0.61% |
| Taxable-Equivalent Yield - Subsidized (33.3%)2 | 1.69% | 0.73% | 2.04% |
| Taxable-Equivalent Yield - Unsubsidized (33.3%)2 | 0.63% | 0.39% | 0.91% |
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 shown in the respective table above.
21
Holding Summaries as of February 28, 2019
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.
For financial reporting purposes, the ratings disclosed are the highest rating (except for Nuveen California High Yield Municipal Bond Fund, which uses lowest rating) given by one of the following national rating agencies: Standard & Poor’s, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.
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 | 114.6% |
| Common Stocks | 0.4% |
| Other Assets Less Liabilities | 2.3% |
| Net Assets Plus Floating Rate Obligations | 117.3% |
| Floating Rate Obligations | (17.3)% |
| Net Assets | 100% |
| States and Territories (% of total municipal bonds) | |
| California | 95.7% |
| Puerto Rico | 1.8% |
| Guam | 1.4% |
| Virgin Islands | 0.7% |
| Virginia | 0.2% |
| Illinois | 0.1% |
| Wisconsin | 0.1% |
| Tennessee | 0.0% |
| Florida | 0.0% |
| Missouri | 0.0% |
| Ohio | 0.0% |
| Louisiana | 0.0% |
| Total | 100% |
| Portfolio Composition (% of total investments) | |
| Tax Obligation/Limited | 30.1% |
| Health Care | 16.0% |
| Education and Civic Organizations | 12.4% |
| Tax Obligation/General | 10.9% |
| Transportation | 9.6% |
| Consumer Staples | 7.4% |
| Other | 13.6% |
| Total | 100% |
| Bond Credit Quality (% of total investment exposure) | |
| U.S. Guaranteed | 2.0% |
| AA | 26.3% |
| A | 13.8% |
| BBB | 11.1% |
| BB or Lower | 16.4% |
| N/R (not rated) | 30.1% |
| N/A (not applicable) | 0.3% |
| Total | 100% |
22
Nuveen California Municipal Bond Fund
| Fund Allocation (% of net assets) | |
| Long-Term Municipal Bonds | 98.1% |
| Other Assets Less Liabilities | 1.9% |
| Net Assets | 100% |
| States and Territories (% of total investments) | |
| California | 98.3% |
| Guam | 1.7% |
| Total | 100% |
| Portfolio Composition (% of total investments) | |
| Tax Obligation/General | 18.1% |
| Tax Obligation/Limited | 17.9% |
| Transportation | 13.1% |
| Water and Sewer | 10.2% |
| U.S. Guaranteed | 10.2% |
| Health Care | 9.9% |
| Utilities | 9.0% |
| Consumer Staples | 6.0% |
| Other | 5.6% |
| Total | 100% |
| Bond Credit Quality (% of total investment exposure) | |
| U.S. Guaranteed | 10.2% |
| AAA | 7.5% |
| AA | 47.6% |
| A | 15.6% |
| BBB | 4.9% |
| BB or Lower | 8.0% |
| N/R (not rated) | 6.2% |
| Total | 100% |
23
Holding Summaries as of February 28, 2019 (continued)
Nuveen California Intermediate Municipal Bond Fund
| Fund Allocation (% of net assets) | |
| Long-Term Municipal Bonds | 93.5% |
| Other Assets Less Liabilities | 6.5% |
| Net Assets | 100% |
| States and Territories (% of total investments) | |
| California | 100.0% |
| Total | 100% |
| Portfolio Composition (% of total investments) | |
| Tax Obligation/Limited | 21.3% |
| Water and Sewer | 17.4% |
| Health Care | 14.8% |
| Education and Civic Organizations | 14.3% |
| Tax Obligation/General | 9.7% |
| Transportation | 8.4% |
| Utilities | 6.6% |
| Other | 7.5% |
| Total | 100% |
| Bond Credit Quality (% of total investment exposure) | |
| U.S. Guaranteed | 3.1% |
| AAA | 14.9% |
| AA | 39.1% |
| A | 13.3% |
| BBB | 21.6% |
| BB or Lower | 2.0% |
| N/R (not rated) | 6.0% |
| Total | 100% |
24
Expense 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 do not include the interest are related expenses from inverse floaters that are reflected in the financial statements later within this report, when applicable.
The Examples below are based on an investment of $1,000 invested at the beginning of the period and held through the period ended February 28, 2019.
The beginning of the period is September 1, 2018.
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 | $1,005.80 | $1,001.70 | $1,002.90 | $1,006.80 |
| Expenses Incurred During the Period | $4.28 | $8.24 | $7.00 | $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 | $1,020.53 | $1,016.56 | $1,017.80 | $1,021.52 |
| Expenses Incurred During the Period | $4.31 | $8.30 | $7.05 | $3.31 |
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.86%, 1.66%, 1.41% and 0.66% for Classes A, C, C2 and I, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
25
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 | $1,008.40 | $1,005.10 | $1,006.20 | $1,009.20 |
| Expenses Incurred During the Period | $3.83 | $7.81 | $6.57 | $2.84 |
| 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 | $1,020.98 | $1,017.01 | $1,018.25 | $1,021.97 |
| Expenses Incurred During the Period | $3.86 | $7.85 | $6.61 | $2.86 |
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 181/365 (to reflect the one-half year period).
Nuveen California Intermediate Municipal Bond Fund
| Share Class | |||
| Class A | Class C | Class I | |
| Actual Performance | |||
| Beginning Account Value | $1,000.00 | $1,000.00 | $1,000.00 |
| Ending Account Value | $1,027.40 | $1,024.50 | $1,028.30 |
| Expenses Incurred During the Period | $3.97 | $7.88 | $2.97 |
| Hypothetical Performance (5% annualized return before expenses) | |||
| Beginning Account Value | $1,000.00 | $1,000.00 | $1,000.00 |
| Ending Account Value | $1,020.88 | $1,017.01 | $1,021.87 |
| Expenses Incurred During the Period | $3.96 | $7.85 | $2.96 |
For each class of the Fund, expenses are equal to the Fund's annualized net expense ratio of 0.79%, 1.57%, and 0.59% for Classes A, C, and I, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
26
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
Nuveen Multistate Trust II:
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Nuveen California High Yield Municipal Bond Fund, Nuveen California Municipal Bond Fund, and Nuveen California Intermediate Municipal Bond Fund (three of the funds comprising Nuveen Multistate Trust II) (the “Funds”), including the portfolios of investments, as of February 28, 2019, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, the statement of cash flows (Nuveen California High Yield Municipal Bond Fund) for the year then ended, and the related notes (collectively, the “financial statements”) and the financial highlights for each of the years or periods in the three-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of February 28, 2019, the results of their operations and their cash flows (as applicable) for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the three-year period then ended, in conformity with U.S. generally accepted accounting principles. The financial highlights of Nuveen California High Yield Municipal Bond Fund and Nuveen California Municipal Bond Fund for the periods presented through February 29, 2016 were audited by other independent registered public accountants whose report dated April 27, 2016, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of February 28, 2019, by correspondence with custodians and brokers or other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
/s/ KPMG LLP
We have served as the auditor of one or more Nuveen investment companies since 2014.
Chicago, Illinois
April 26, 2019
April 26, 2019
27
Nuveen California High Yield Municipal Bond Fund
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| LONG-TERM INVESTMENTS – 115.0% | ||||||
| MUNICIPAL BONDS – 114.6% | ||||||
| Consumer Discretionary – 0.0% | ||||||
| $15 | Louisiana Local Government Environmental Facilities and Community Development Authority, Revenue Bonds, Southgate Suites Retail Project, Series 2007B, 9.000%, 12/15/14 (4) | No Opt. Call | N/R | $ — | ||
| Consumer Staples – 8.5% | ||||||
| 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 | 2/19 at 14.88 | N/R | 3,539,970 | ||
| 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 | 2/19 at 100.00 | N/R | 1,128,805 | ||
| California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Los Angeles County Securitization Corporation, Series 2006A: | ||||||
| 25 | 5.600%, 6/01/36 | 2/19 at 100.00 | B2 | 25,013 | ||
| 1,000 | 5.650%, 6/01/41 | 2/19 at 100.00 | B2 | 1,000,450 | ||
| 1,205 | 5.700%, 6/01/46 | 2/19 at 100.00 | B2 | 1,205,362 | ||
| 10,000 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Los Angeles County Securitization Corporation, Turbo Series 2006B, 0.000%, 6/01/46 | 2/19 at 19.38 | N/R | 1,871,600 | ||
| 1,860 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Merced County Tobacco Funding Corporation, Series 2005A, 5.125%, 6/01/38 | 3/19 at 100.00 | Ba3 | 1,864,334 | ||
| 50 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Sonoma County Tobacco Securitization Corporation, Series 2005, 5.250%, 6/01/45 | 3/19 at 100.00 | BB- | 50,117 | ||
| 20,000 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Stanislaus County Tobacco Funding Corporation, Series 2006A, 0.000%, 6/01/46 | 2/19 at 21.39 | N/R | 3,286,800 | ||
| 14,900 | Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Senior Convertible Series 2007A-2, 5.300%, 6/01/37 | 6/22 at 100.00 | B3 | 14,962,729 | ||
| 3,800 | Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Series 2018A-1, 5.000%, 6/01/47 | 6/22 at 100.00 | N/R | 3,668,216 | ||
| 15,000 | Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Series 2018A-2, 5.000%, 6/01/47 | 6/22 at 100.00 | N/R | 14,479,800 | ||
| 33,705 | Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Revenue Bonds, First Subordinate Series 2007B-1, 0.000%, 6/01/47 | 2/19 at 19.40 | CCC+ | 5,416,393 | ||
| 3,460 | Guam Economic Development & Commerce Authority, Tobacco Settlement Asset-Backed Bonds, Series 2007A, 5.625%, 6/01/47 | 2/19 at 100.00 | N/R | 3,191,642 | ||
| 22,000 | Inland Empire Tobacco Securitization Authority, California, Tobacco Settlement Asset-Backed Bonds, Series 2007C-2. Turbo Capital Appreciation, 0.000%, 6/01/47 | 2/19 at 15.38 | N/R | 3,010,480 |
28
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Consumer Staples(continued) | ||||||
| Silicon Valley Tobacco Securitization Authority, California, Tobacco Settlement Asset-Backed Bonds, Santa Clara County Tobacco Securitization Corporation, Series 2007A: | ||||||
| $1,000 | 0.000%, 6/01/36 | 3/19 at 38.59 | N/R | $362,670 | ||
| 7,500 | 0.000%, 6/01/47 | 3/19 at 20.53 | N/R | 1,318,950 | ||
| 7,195 | Tobacco Securitization Authority of Northern California, Tobacco Settlement Asset-Backed Bonds, Refunding Series 2005B, 0.000%, 6/01/45 | 2/19 at 21.79 | CCC+ | 1,324,384 | ||
| Tobacco Securitization Authority of Northern California, Tobacco Settlement Asset-Backed Bonds, Series 2005A-1: | ||||||
| 2,800 | 5.375%, 6/01/38 | 2/19 at 100.00 | B- | 2,812,516 | ||
| 460 | 5.500%, 6/01/45 | 2/19 at 100.00 | B- | 462,056 | ||
| 5,000 | Tobacco Securitization Authority of Southern California, Tobacco Settlement Asset-Backed Bonds, San Diego County Tobacco Asset Securitization Corporation, First Subordinate CABs, Series 2006B, 0.000%, 6/01/46 | 2/19 at 18.75 | CCC+ | 732,150 | ||
| Tobacco Securitization Authority of Southern California, Tobacco Settlement Asset-Backed Bonds, San Diego County Tobacco Asset Securitization Corporation, Senior Series 2006A: | ||||||
| 3,295 | 5.000%, 6/01/37 | 2/19 at 100.00 | B2 | 3,295,099 | ||
| 10,330 | 5.125%, 6/01/46 | 2/19 at 100.00 | B2 | 10,330,310 | ||
| 192,740 | Total Consumer Staples | 79,339,846 | ||||
| Education and Civic Organizations – 14.3% | ||||||
| 2,000 | California Infrastructure and Economic Development Bank, Revenue Bonds, Academy of Motion Picture Arts and Sciences Obligated Group, Series 2015A, 5.000%, 11/01/41 | 11/23 at 100.00 | A | 2,217,460 | ||
| 5,615 | California Municipal Finance Authority Charter School Revenue Bonds, John Adams Academies - El Dorado Hills Project, Series 2018A, 5.500%, 10/01/38, 144A | 10/22 at 105.00 | N/R | 5,509,213 | ||
| California Municipal Finance Authority Charter School Revenue Bonds, John Adams Academies, Inc. Project, Series 2015A: | ||||||
| 900 | 5.000%, 10/01/35 | 10/22 at 102.00 | BB+ | 909,999 | ||
| 500 | 5.250%, 10/01/45 | 10/22 at 102.00 | BB+ | 505,030 | ||
| 1,335 | 5.250%, 10/01/45 | 10/22 at 102.00 | BB+ | 1,348,430 | ||
| 4,255 | California Municipal Finance Authority Charter School Revenue Bonds, John Adams Academies, Inc. Project, Series 2017A, 5.000%, 10/01/47, 144A | 10/22 at 102.00 | BB+ | 4,216,492 | ||
| 250 | California Municipal Finance Authority Charter School Revenue Bonds, River Charter Schools Project, Series 2018A, 5.500%, 6/01/53, 144A | 6/26 at 100.00 | BB | 258,263 | ||
| California Municipal Finance Authority, Revenue Bonds, Creative Center of Los Altos Project, Pinewood & Oakwood Schools, Series 2016B: | ||||||
| 500 | 4.000%, 11/01/36, 144A | 11/26 at 100.00 | N/R | 485,165 | ||
| 2,200 | 4.500%, 11/01/46, 144A | 11/26 at 100.00 | N/R | 2,199,890 | ||
| 820 | California Municipal Finance Authority, Charter School Lease Revenue Bonds, Bella Mente Montessori Academy Project, Series 2018A, 5.000%, 6/01/38, 144A | 6/28 at 100.00 | Ba1 | 858,245 | ||
| California Municipal Finance Authority, Charter School Lease Revenue Bonds, Nova Academy Project, Series 2016A: | ||||||
| 825 | 5.000%, 6/15/36, 144A | 6/26 at 100.00 | BB | 848,760 | ||
| 1,000 | 5.000%, 6/15/46, 144A | 6/26 at 100.00 | BB | 1,015,780 |
29
Nuveen California High Yield Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations(continued) | ||||||
| $970 | 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 | $1,021,788 | ||
| California Municipal Finance Authority, Charter School Lease Revenue Bonds, Santa Rosa Academy Project, Series 2015: | ||||||
| 400 | 5.125%, 7/01/35, 144A | 7/25 at 100.00 | BB+ | 419,208 | ||
| 425 | 5.375%, 7/01/45, 144A | 7/25 at 100.00 | BB+ | 445,243 | ||
| 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 | BB+ | 1,418,284 | ||
| 465 | 5.000%, 10/01/44 | 10/22 at 102.00 | BB+ | 462,987 | ||
| 1,145 | California Municipal Finance Authority, Charter School Revenue Bonds, Palmdale Aerospace Academy Project, Series 2016A, 5.000%, 7/01/46, 144A | 7/26 at 100.00 | BB | 1,183,930 | ||
| California Municipal Finance Authority, Charter School Revenue Bonds, Partnerships to Uplift Communities Project, Series 2012A: | ||||||
| 1,330 | 5.000%, 8/01/32 | 8/22 at 100.00 | BB | 1,346,971 | ||
| 4,580 | 5.250%, 8/01/42 | 8/22 at 100.00 | BB | 4,641,006 | ||
| 1,795 | 5.300%, 8/01/47 | 8/22 at 100.00 | BB | 1,818,891 | ||
| 2,245 | 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 | 2,484,990 | ||
| California Municipal Finance Authority, Charter School Revenue Bonds, Urban Discovery Academy Project, Series 2014A: | ||||||
| 875 | 5.500%, 8/01/34, 144A | 8/24 at 100.00 | BB- | 877,599 | ||
| 1,650 | 6.000%, 8/01/44, 144A | 8/24 at 100.00 | BB- | 1,670,361 | ||
| 1,335 | California Municipal Finance Authority, Educational Facilities Revenue Bonds, OCEAA Project, Series 2008A, 7.000%, 10/01/39 | 3/19 at 100.00 | N/R | 1,335,587 | ||
| California Municipal Finance Authority, Revenue Bonds, Azusa Pacific University Project, Refunding Series 2015B: | ||||||
| 1,435 | 5.000%, 4/01/35 | 4/25 at 100.00 | Ba1 | 1,511,672 | ||
| 8,640 | 5.000%, 4/01/41 | 4/25 at 100.00 | Ba1 | 8,997,523 | ||
| 7,880 | California Municipal Finance Authority, Revenue Bonds, California Baptist University, Series 2016A, 5.000%, 11/01/46, 144A | 11/26 at 100.00 | N/R | 8,437,904 | ||
| 235 | California Municipal Finance Authority, Revenue Bonds, Emerson College, Series 2011, 5.000%, 1/01/28 | 1/22 at 100.00 | Baa2 | 252,200 | ||
| 300 | California Municipal Finance Authority, Revenue Bonds, Goodwill Industries of Sacramento Valley & Northern Nevada Project, Series 2012A, 6.625%, 1/01/32, 144A | 1/22 at 100.00 | N/R | 315,654 | ||
| 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 | 3,387,424 | ||
| California Municipal Finance Authority, Revenue Bonds, Touro College and University System, Series 2014A: | ||||||
| 1,245 | 5.250%, 1/01/34 | 7/24 at 100.00 | BBB- | 1,343,679 | ||
| 250 | 5.250%, 1/01/40 | 7/24 at 100.00 | BBB- | 267,190 | ||
| 700 | California Public Finance Authority, Charter School Lease Revenue Bonds, Multicultural Learning Center Project, Series 2017A, 6.250%, 6/15/47 | 6/27 at 100.00 | N/R | 688,968 |
30
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations(continued) | ||||||
| $1,075 | California School Finance Authority Charter School Facility Revenue Bonds, Grimmway Schools-Obligated Group, Series 2016A, 5.000%, 7/01/46, 144A | 7/26 at 100.00 | BB+ | $1,084,105 | ||
| California School Finance Authority Charter School Revenue Bonds, Bright Star Schools - Obligated Group, Series 2017: | ||||||
| 2,000 | 5.000%, 6/01/27, 144A | No Opt. Call | N/R | 2,114,960 | ||
| 1,755 | 5.000%, 6/01/37, 144A | 6/27 at 100.00 | N/R | 1,803,789 | ||
| 1,565 | 5.000%, 6/01/47, 144A | 6/27 at 100.00 | N/R | 1,593,452 | ||
| 1,430 | 5.000%, 6/01/54, 144A | 6/27 at 100.00 | N/R | 1,446,259 | ||
| 1,020 | California School Finance Authority Charter School Revenue Bonds, California, ACE Charter Schools, Obligated Group, Series 2016A, 5.000%, 6/01/52, 144A | 6/26 at 100.00 | N/R | 1,003,670 | ||
| 1,000 | California School Finance Authority Charter School Revenue Bonds, Ednovate, Obligated Group, Series 2018, 5.000%, 6/01/48, 144A | 6/27 at 100.00 | N/R | 1,025,040 | ||
| 305 | California School Finance Authority School Facility Revenue Bonds, Green Dot Public Schools California Projects, Series 2018A, 5.000%, 8/01/48, 144A | 8/28 at 100.00 | BBB- | 332,706 | ||
| 1,100 | California School Finance Authority, California, Charter School Revenue Bonds, Aspire Public Schools, Refunding Series 2015A, 5.000%, 8/01/45, 144A | 8/25 at 100.00 | BBB | 1,170,015 | ||
| 1,100 | California School Finance Authority, California, Charter School Revenue Bonds, Encore Education Obligated Group, Series 2016A, 5.000%, 6/01/52, 144A | 6/26 at 100.00 | N/R | 928,455 | ||
| 1,300 | California School Finance Authority, California, Charter School Revenue Bonds, TEACH Public Schools Obligated Group, Series 2016A, 5.875%, 6/01/52 | 6/26 at 100.00 | N/R | 1,211,392 | ||
| California School Finance Authority, Charter School Revenue Bonds, CIty Charter School Obligated Group, Series 2016A: | ||||||
| 2,520 | 5.000%, 6/01/42, 144A | 6/26 at 100.00 | N/R | 2,533,482 | ||
| 2,930 | 5.000%, 6/01/52, 144A | 6/26 at 100.00 | N/R | 2,925,048 | ||
| 805 | California School Finance Authority, Charter School Revenue Bonds, Classical Academies Project, Series 2017A, 5.000%, 10/01/44, 144A | 10/27 at 100.00 | BB+ | 832,185 | ||
| 600 | California School Finance Authority, Charter School Revenue Bonds, Coastal Academy Project, Series 2013A, 5.000%, 10/01/42, 144A | 10/22 at 100.00 | BBB- | 620,190 | ||
| California School Finance Authority, Charter School Revenue Bonds, Downtown College Prep - Obligated Group, Series 2016: | ||||||
| 1,500 | 4.750%, 6/01/36, 144A | 6/26 at 100.00 | N/R | 1,521,000 | ||
| 1,180 | 5.000%, 6/01/46, 144A | 6/26 at 100.00 | N/R | 1,201,429 | ||
| 675 | California School Finance Authority, Charter School Revenue Bonds, Kepler Neighborhood School, Series 2017A, 5.750%, 5/01/37, 144A | 5/27 at 100.00 | N/R | 635,809 | ||
| 915 | California School Finance Authority, Charter School Revenue Bonds, Larchmont Charter School Project , Series 2018A, 5.000%, 6/01/43, 144A | 6/27 at 100.00 | N/R | 947,428 | ||
| 2,500 | California School Finance Authority, Charter School Revenue Bonds, Rocketship Education, Obligated Group, Series 2016A, 5.000%, 6/01/46, 144A | 6/25 at 100.00 | N/R | 2,548,100 | ||
| California School Finance Authority, Charter School Revenue Bonds, Rocketship Education, Obligated Group, Series 2017A: | ||||||
| 950 | 5.125%, 6/01/47, 144A | 6/26 at 100.00 | N/R | 977,407 | ||
| 1,000 | 5.250%, 6/01/52, 144A | 6/26 at 100.00 | N/R | 1,030,260 |
31
Nuveen California High Yield Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations(continued) | ||||||
| California School Finance Authority, Charter School Revenue Bonds, Rocketship Public Schools, Obligated Group, Series 2017G: | ||||||
| $360 | 5.000%, 6/01/37, 144A | 6/27 at 100.00 | N/R | $372,254 | ||
| 750 | 5.000%, 6/01/47, 144A | 6/27 at 100.00 | N/R | 767,745 | ||
| 250 | 5.000%, 6/01/53, 144A | 6/27 at 100.00 | N/R | 254,033 | ||
| 1,220 | California School Finance Authority, Educational Facilities Revenue Bonds, Tri-Valley Learning Corporation, Series 2012A, 7.000%, 6/01/47 (4) | 6/20 at 102.00 | N/R | 908,900 | ||
| California School Finance Authority, Educational Facility Revenue Bonds, New Designs Charter School Project, Series 2014A: | ||||||
| 1,000 | 5.750%, 6/01/34, 144A | 6/24 at 100.00 | BB+ | 1,063,470 | ||
| 1,500 | 6.000%, 6/01/44, 144A | 6/24 at 100.00 | BB+ | 1,593,825 | ||
| California School Finance Authority, Educational Facility Revenue Bonds, Partnerships to Uplift Communities Valley Project, Series 2014: | ||||||
| 1,605 | 6.400%, 8/01/34, 144A | 2/24 at 100.00 | BB- | 1,693,789 | ||
| 2,040 | 6.750%, 8/01/44, 144A | 2/24 at 100.00 | BB- | 2,165,338 | ||
| California School Finance Authority, Educational Facility Revenue Bonds, River Springs Charter School Project, Series 2017A: | ||||||
| 1,725 | 5.000%, 7/01/47, 144A | 7/27 at 100.00 | Ba1 | 1,778,182 | ||
| 1,340 | 5.000%, 7/01/52, 144A | 7/27 at 100.00 | Ba1 | 1,371,986 | ||
| 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 | 608,591 | ||
| 1,000 | 5.875%, 10/01/44 | 10/24 at 100.00 | BB | 1,051,000 | ||
| 520 | 6.000%, 10/01/49 | 10/24 at 100.00 | BB | 548,366 | ||
| California School Finance Authority, School Facility Revenue Bonds, Alliance for College-Ready Public Schools Project, Series 2015A: | ||||||
| 1,000 | 4.125%, 7/01/35, 144A | 7/25 at 100.00 | BBB | 1,020,650 | ||
| 1,000 | 5.000%, 7/01/45, 144A | 7/25 at 100.00 | BBB | 1,065,860 | ||
| 1,015 | California School Finance Authority, School Facility Revenue Bonds, Alta Public Schools Project, Series 2014A, 6.500%, 11/01/34, 144A | 11/24 at 100.00 | N/R | 1,055,996 | ||
| California School Finance Authority, School Facility Revenue Bonds, Granada Hills Charter High School Obligated Group, Series 2017A: | ||||||
| 1,000 | 5.000%, 7/01/37, 144A | 7/21 at 105.00 | BBB- | 1,071,750 | ||
| 1,735 | 5.000%, 7/01/48, 144A | 7/21 at 105.00 | BBB- | 1,844,131 | ||
| 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 | 647,022 | ||
| 250 | California School Finance Authority, School Facility Revenue Bonds, KIPP LA Projects, Series 2017A, 5.000%, 7/01/47, 144A | 7/27 at 100.00 | BBB | 271,143 | ||
| 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+ | 1,372,462 | ||
| 1,355 | California School Finance Authority, School Facility Revenue Bonds, Value Schools, Series 2016A, 6.000%, 7/01/51, 144A | 7/26 at 100.00 | BB+ | 1,451,693 |
32
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations(continued) | ||||||
| $990 | 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 | $1,102,860 | ||
| 1,000 | California Statewide Communities Development Authority, Revenue Bonds, Buck Institute for Research on Aging, Tender Option Bond Trust 2015-XF1035, 17.120%, 11/15/49, 144A (IF) (5) | 11/24 at 100.00 | AA | 1,570,120 | ||
| 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- | 1,108,297 | ||
| 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+ | 885,017 | ||
| 2,745 | California Statewide Community Development Authority, Revenue Bonds, Bentley School, Series 2010A, 7.000%, 7/01/40 | 7/20 at 101.00 | N/R | 2,900,998 | ||
| 4,015 | University of California, General Revenue Bonds, Limited Project Series 2018O, 4.000%, 5/15/48 (UB) (5) | 5/28 at 100.00 | AA- | 4,119,069 | ||
| 1,250 | University of California, General Revenue Bonds, Tender Option Bond Trust 2016-XL0001, 14.770%, 5/15/39, 144A (IF) (5) | 5/23 at 100.00 | AA | 1,779,787 | ||
| 1,000 | University of Puerto Rico, University System Revenue Bonds, Refunding Series 2006P, 5.000%, 6/01/24 | 3/19 at 100.00 | C | 960,000 | ||
| 128,370 | Total Education and Civic Organizations | 132,592,301 | ||||
| Health Care – 18.4% | ||||||
| Antelope Valley Healthcare District, California, Revenue Bonds, Series 2016A: | ||||||
| 1,460 | 5.000%, 3/01/26 | No Opt. Call | Ba3 | 1,582,742 | ||
| 1,225 | 5.000%, 3/01/31 | 3/26 at 100.00 | Ba3 | 1,293,661 | ||
| 3,520 | 5.250%, 3/01/36 | 3/26 at 100.00 | Ba3 | 3,669,670 | ||
| 3,280 | 5.000%, 3/01/41 | 3/26 at 100.00 | Ba3 | 3,314,735 | ||
| 5,600 | 5.000%, 3/01/46 | 3/26 at 100.00 | Ba3 | 5,643,512 | ||
| 2,000 | California Health Facilities Financing Authority, California, Revenue Bonds, Sutter Health, Refunding Series 2016B, 4.000%, 11/15/41 (UB) (5) | 11/26 at 100.00 | A+ | 2,057,220 | ||
| 2,000 | California Health Facilities Financing Authority, California, Revenue Bonds, Sutter Health, Refunding Series 2017A, 5.000%, 11/15/48 (UB) (5) | 11/27 at 100.00 | A+ | 2,242,220 | ||
| 8,750 | California Health Facilities Financing Authority, California, Revenue Bonds, Sutter Health, Series 2016A, 5.000%, 11/15/46 (UB) (5) | 11/25 at 100.00 | A+ | 9,660,875 | ||
| 1,570 | California Health Facilities Financing Authority, Revenue Bonds, El Camino Hospital, Series 2017, 5.000%, 2/01/47 (UB) (5) | 2/27 at 100.00 | A1 | 1,752,167 | ||
| 625 | California Health Facilities Financing Authority, Revenue Bonds, Kaiser Permanante System, Tender Option Bond Trust 2015-XF1002, 14.020%, 4/01/42, 144A (IF) (5) | 4/22 at 100.00 | AA- | 805,425 | ||
| 17,500 | California Health Facilities Financing Authority, Revenue Bonds, Kaiser Permanente System, Series 2017A-2, 4.000%, 11/01/44 (UB) (5) | 11/27 at 100.00 | AA- | 17,902,850 | ||
| 3,675 | California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children's Hospital at Stanford, Series 2017A, 5.000%, 11/15/56 (UB) (5) | 11/27 at 100.00 | A+ | 4,048,049 | ||
| 1,220 | California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children's Hospital, Series 2012A, 5.000%, 8/15/51 (UB) | 8/22 at 100.00 | A+ | 1,314,196 | ||
| 7,800 | California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children's Hospital, Series 2016B, 5.000%, 8/15/55 (UB) (5) | 8/26 at 100.00 | A+ | 8,519,550 |
33
Nuveen California High Yield Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Health Care(continued) | ||||||
| California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children's Hospital, Tender Option Bond Trust 2015-XF0152: | ||||||
| $260 | 14.630%, 8/15/43, 144A (IF) (5) | 8/24 at 100.00 | A+ | $354,029 | ||
| 695 | 14.650%, 8/15/51, 144A (IF) (5) | 8/22 at 100.00 | A+ | 909,644 | ||
| 80 | California Health Facilities Financing Authority, Revenue Bonds, Providence Health & Services, Tender Option Bond Trust 2015-XF0120, 17.739%, 10/01/38, 144A (IF) (5) | 10/24 at 100.00 | AA- | 129,860 | ||
| California Health Facilities Financing Authority, Revenue Bonds, Providence Health & Services, Tender Option Bond Trust 2015-XF1034: | ||||||
| 3,600 | 17.955%, 10/01/44, 144A (IF) (5) | 10/24 at 100.00 | AA- | 5,547,024 | ||
| 795 | 17.894%, 10/01/44, 144A (IF) (5) | 10/24 at 100.00 | AA- | 1,223,346 | ||
| California Health Facilities Financing Authority, Revenue Bonds, Stanford Hospitals and Clinics, Tender Option Bond Trust 2015-XF0131: | ||||||
| 200 | 17.739%, 8/15/51, 144A (IF) (5) | 8/22 at 100.00 | AA- | 275,502 | ||
| 200 | 17.730%, 8/15/51, 144A (IF) (5) | 8/22 at 100.00 | AA- | 275,460 | ||
| California Health Facilities Financing Authority, Revenue Bonds, Stanford Hospitals and Clinics, Tender Option Bond Trust 2016-XG0049: | ||||||
| 1,000 | 14.706%, 8/15/51, 144A (IF) (5) | 8/22 at 100.00 | AA | 1,301,920 | ||
| 250 | 14.710%, 8/15/51, 144A (IF) (5) | 8/22 at 100.00 | AA | 325,500 | ||
| 1,000 | California Municipal Finance Authority, Revenue Bonds, Community Medical Centers, Series 2015A, 5.000%, 2/01/46 | 2/25 at 100.00 | Baa1 | 1,087,400 | ||
| California Municipal Finance Authority, Revenue Bonds, NorthBay Healthcare Group, Series 2015: | ||||||
| 200 | 5.000%, 11/01/35 | 11/24 at 100.00 | BBB- | 214,378 | ||
| 1,000 | 5.000%, 11/01/40 | 11/24 at 100.00 | BBB- | 1,057,970 | ||
| 1,250 | 5.000%, 11/01/44 | 11/24 at 100.00 | BBB- | 1,318,075 | ||
| California Municipal Finance Authority, Revenue Bonds, NorthBay Healthcare Group, Series 2017A: | ||||||
| 4,210 | 5.250%, 11/01/36 | 11/26 at 100.00 | BBB- | 4,598,625 | ||
| 2,955 | 5.250%, 11/01/41 | 11/26 at 100.00 | BBB- | 3,166,283 | ||
| 6,100 | 5.250%, 11/01/47 | 11/26 at 100.00 | BBB- | 6,516,020 | ||
| 8,950 | 5.000%, 11/01/47 | 11/26 at 100.00 | BBB- | 9,373,335 | ||
| 1,780 | California Public Finance Authority, Revenue Bonds, Henry Mayo Newhall Hospital, Series 2017, 5.000%, 10/15/47 | 10/26 at 100.00 | BBB- | 1,906,878 | ||
| 1,000 | California Statewide Communities Development Authority, California, Redlands Community Hospital, Revenue Bonds, Series 2016, 4.000%, 10/01/41 | 10/26 at 100.00 | BBB+ | 1,013,220 | ||
| California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda University Medical Center, Series 2014A: | ||||||
| 4,300 | 5.250%, 12/01/44 | 12/24 at 100.00 | BB- | 4,584,875 | ||
| 9,800 | 5.500%, 12/01/54 | 12/24 at 100.00 | BB- | 10,543,624 | ||
| California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda University Medical Center, Series 2016A: | ||||||
| 415 | 5.000%, 12/01/46, 144A | 6/26 at 100.00 | BB- | 435,858 | ||
| 1,795 | 5.250%, 12/01/56, 144A | 6/26 at 100.00 | BB- | 1,909,377 |
34
| 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 2018A: | ||||||
| $315 | 5.250%, 12/01/48, 144A | 6/28 at 100.00 | BB- | $340,326 | ||
| 2,000 | 5.500%, 12/01/58, 144A | 6/28 at 100.00 | BB- | 2,187,480 | ||
| 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 | A2 | 2,795,905 | ||
| 1,625 | 5.250%, 10/01/43 – AGM Insured | 10/24 at 100.00 | A2 | 1,786,119 | ||
| 1,015 | California Statewide Communities Development Authority, Revenue Bonds, Huntington Memorial Hospital, Series 2018, 4.000%, 7/01/48 | 7/28 at 100.00 | A- | 1,017,598 | ||
| 9,000 | California Statewide Communities Development Authority, Revenue Bonds, John Muir Health, Series 2016A, 5.000%, 8/15/51 (UB) (5) | 8/26 at 100.00 | A+ | 9,962,910 | ||
| 1,035 | California Statewide Communities Development Authority, Revenue Bonds, Marin General Hospital, Green Series 2018A, 4.000%, 8/01/45 (UB) (5) | 8/23 at 100.00 | A- | 1,042,524 | ||
| California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005A: | ||||||
| 2,550 | 5.750%, 7/01/24 | 3/19 at 100.00 | CC | 2,295,842 | ||
| 2,055 | 5.750%, 7/01/30 | 3/19 at 100.00 | CC | 1,849,747 | ||
| 2,220 | 5.750%, 7/01/35 | 3/19 at 100.00 | CC | 1,998,155 | ||
| 9,280 | 5.500%, 7/01/39 | 3/19 at 100.00 | CC | 8,352,464 | ||
| 185 | California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005H, 5.750%, 7/01/25 | 3/19 at 100.00 | CC | 166,548 | ||
| 1,060 | Oak Valley Hospital District, Stanislaus County, California, Revenue Bonds, Series 2010A, 7.000%, 11/01/35 | 11/20 at 100.00 | BB | 1,087,571 | ||
| 4,425 | Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2017, 4.000%, 11/01/47 | 11/27 at 100.00 | Ba1 | 4,257,735 | ||
| Palomar Pomerado Health System, California, Revenue Bonds, Refunding Series 2016: | ||||||
| 1,085 | 5.000%, 11/01/36 | 11/26 at 100.00 | Ba1 | 1,174,046 | ||
| 2,090 | 5.000%, 11/01/39 | 11/26 at 100.00 | Ba1 | 2,233,249 | ||
| San Buenaventura, California, Revenue Bonds, Community Memorial Health System, Series 2011: | ||||||
| 1,000 | 8.000%, 12/01/26 | 12/21 at 100.00 | BB | 1,139,540 | ||
| 600 | 7.500%, 12/01/41 | 12/21 at 100.00 | BB | 654,258 | ||
| 2,500 | Tulare Local Health Care District, California, Revenue Bonds, Series 2007, 5.200%, 11/01/32 (4) | 3/19 at 100.00 | N/R | 1,825,000 | ||
| Upland, California, Certificates of Participation, San Antonio Regional Hospital, Series 2017: | ||||||
| 1,000 | 4.000%, 1/01/42 | 1/28 at 100.00 | Baa2 | 993,330 | ||
| 1,630 | 5.000%, 1/01/47 | 1/28 at 100.00 | Baa2 | 1,752,837 | ||
| 200 | Washington Township Health Care District, California, Revenue Bonds, Series 2017A, 5.000%, 7/01/42 | 7/27 at 100.00 | Baa1 | 217,140 | ||
| 161,470 | Total Health Care | 171,005,399 |
35
Nuveen California High Yield Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Housing/Multifamily – 3.0% | ||||||
| $2,000 | California Housing Finance Agency, Multifamily Housing Revenue Bonds, Series 2014A-III, 4.600%, 8/01/39 | 2/24 at 100.00 | A1 | $2,112,020 | ||
| California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Affordable Housing Inc. Projects, Senior Series 2014A: | ||||||
| 1,515 | 5.250%, 8/15/39 | 8/24 at 100.00 | BBB+ | 1,643,851 | ||
| 575 | 5.250%, 8/15/49 | 8/24 at 100.00 | BBB+ | 620,655 | ||
| 1,270 | California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Affordable Housing Inc. Projects, Series 2014B, 5.875%, 8/15/49 | 8/24 at 100.00 | N/R | 1,359,789 | ||
| 480 | California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects Series 2012B, 7.250%, 8/15/47 | 8/22 at 100.00 | N/R | 523,723 | ||
| 1,750 | California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Windsor Mobile Country Club, Refunding Series 2017A, 4.000%, 11/15/48 | 11/27 at 100.00 | A- | 1,755,022 | ||
| 2,000 | California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Windsor Mobile Country Club, Subordinate Series 2013B, 7.000%, 11/15/48 | 11/23 at 100.00 | N/R | 2,210,240 | ||
| 3,085 | California Municipal Finance Authority, Student Housing Revenue Bonds, West Village Student Housing Project, Series 2018, 4.000%, 5/15/48 – BAM Insured | 11/28 at 100.00 | Baa3 | 3,113,197 | ||
| California Public Finance Authority, University Housing Revenue Bonds, National Campus Community Development - Claremont Properties LLC Claremont Colleges Project, Series 2017A: | ||||||
| 890 | 5.000%, 7/01/37, 144A | 7/27 at 100.00 | B1 | 913,096 | ||
| 1,975 | 5.000%, 7/01/47, 144A | 7/27 at 100.00 | B1 | 1,999,016 | ||
| 450 | California Statewide Communities Development Authority, College Housing Revenue Bonds, National Campus Community Development - Hooper Street LLC Project, Series 2019, 5.250%, 7/01/52, 144A | 7/29 at 100.00 | BB+ | 473,418 | ||
| California Statewide Communities Development Authority, Revenue Bonds, Lancer Educational Student Housing Project, Refunding Series 2016A: | ||||||
| 1,000 | 5.000%, 6/01/36, 144A | 6/26 at 100.00 | N/R | 1,075,290 | ||
| 2,090 | 5.000%, 6/01/46, 144A | 6/26 at 100.00 | N/R | 2,208,043 | ||
| 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+ | 775,934 | ||
| 1,010 | 5.000%, 5/15/47 | 5/22 at 100.00 | A+ | 1,054,682 | ||
| 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 | 1,059,910 | ||
| 1,340 | Independent Cities Finance Authority, California, Mobile Home Park Revenue Bonds, Rancho Feliz and Las Casitas De Sonoma, Refunding Series 2012, 5.000%, 10/15/47 | 10/22 at 100.00 | BBB | 1,394,685 | ||
| 315 | La Verne, California, Mobile Home Park Revenue Bonds, Copacabana Mobile Home Park, Refunding Series 2014, 5.000%, 6/15/49 | 6/24 at 100.00 | A | 336,477 | ||
| 2,110 | Palmdale Housing Authority, California, Multifamily Housing Revenue Bonds, Impression, La Quinta, Park Vista & Summerwood Apartments, Series 2015, 5.250%, 6/01/45 | 6/25 at 100.00 | N/R | 2,152,538 | ||
| 445 | Santa Clara County Housing Authority, California, Multifamily Housing Revenue Bonds, Blossom River Project, Series 1998A, 6.500%, 9/01/39 (AMT) | 3/19 at 100.00 | N/R | 445,365 | ||
| 470 | Wilson County Health and Educational Facilities Board, Tennessee, Senior Living Revenue Bonds, Rutland Place Inc. Project, Series 2015A, 5.500%, 1/01/46 | 3/19 at 100.00 | N/R | 414,968 | ||
| 26,510 | Total Housing/Multifamily | 27,641,919 |
36
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Industrials – 0.3% | ||||||
| $2,830 | California Pollution Control Financing Authority, Solid Waste Disposal Revenue Bonds, Aemerge Redpak Services, LLC., Series 2016, 7.000%, 12/01/27 (AMT), 144A | 12/23 at 102.00 | N/R | $2,736,497 | ||
| 750 | Western Reserve Port Authority, Ohio, Solid Waste Facility Revenue Bonds, Central Waste Inc., Series 2007A, 6.350%, 7/01/27 (AMT) (4) | 3/19 at 101.00 | N/R | 7 | ||
| 3,580 | Total Industrials | 2,736,504 | ||||
| Long-Term Care – 0.9% | ||||||
| 3,000 | ABAG Finance Authority for Nonprofit Corporations, California, Revenue Bonds, Episcopal Senior Communities, Refunding Series 2012A, 5.000%, 7/01/47 | 7/22 at 100.00 | A- | 3,141,450 | ||
| 3,700 | California Statewide Communities Development Authority, Revenue Bonds, 899 Charleston Project, Refunding Series 2014A, 5.250%, 11/01/44, 144A | 11/24 at 100.00 | N/R | 3,861,431 | ||
| 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+ | 532,168 | ||
| 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 | 1,054,960 | ||
| 8,220 | Total Long-Term Care | 8,590,009 | ||||
| Tax Obligation/General – 12.5% | ||||||
| 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 | 601,850 | ||
| Bakersfield City School District, Kern County, California, General Obligation Bonds, Series 2012C: | ||||||
| 1,700 | 0.000%, 5/01/37 (6) | No Opt. Call | A+ | 1,071,748 | ||
| 6,925 | 0.000%, 5/01/42 (6) | 5/40 at 100.00 | A+ | 4,493,009 | ||
| 5,500 | 0.000%, 5/01/47 (6) | 5/40 at 100.00 | A+ | 3,540,240 | ||
| 1,250 | California State, General Obligation Bonds, Tender Option Bond Trust 2015-XF1039, 14.620%, 10/01/44, 144A (IF) (5) | 10/24 at 100.00 | Aa3 | 1,797,587 | ||
| 1,630 | California State, General Obligation Bonds, Various Purpose Series 2013, 5.000%, 4/01/43 | 4/23 at 100.00 | AA- | 1,781,166 | ||
| 1,500 | California State, General Obligation Bonds, Various Purpose Series 2015, 5.000%, 3/01/45 (UB) (5) | 3/25 at 100.00 | AA- | 1,665,285 | ||
| 5,000 | California State, General Obligation Bonds, Various Purpose Series 2017, 5.000%, 8/01/46 (UB) | 8/26 at 100.00 | AA- | 5,641,000 | ||
| California State, General Obligation Bonds, Various Purpose, Tender Option Bond Trust 2015-XF1041: | ||||||
| 750 | 10.658%, 11/01/44, 144A (IF) (5) | 11/24 at 100.00 | Aa3 | 843,938 | ||
| 545 | 10.178%, 11/01/44, 144A (IF) (5) | 11/24 at 100.00 | Aa3 | 613,261 | ||
| 1,250 | 10.178%, 11/01/44, 144A (IF) (5) | 11/24 at 100.00 | Aa3 | 1,406,562 | ||
| 1,005 | 10.167%, 11/01/44, 144A (IF) (5) | 11/24 at 100.00 | Aa3 | 1,130,726 | ||
| 4,610 | Central Unified School District, Fresno County, California, General Obligation Bonds, Election 2008 Series 2013B, 0.000%, 8/01/37 | 8/22 at 44.31 | A2 | 1,901,164 | ||
| 11,090 | Cupertino Union School District, Santa Clara County, California, General Obligation Bonds, Election 2012, Series 2016C, 4.000%, 8/01/40 (UB) (5) | 8/26 at 100.00 | AA+ | 11,543,581 | ||
| 1,115 | Denair Unified School District, Stanislaus County, California, General Obligation Bonds, Series 2002A, 0.000%, 8/01/26 – FGIC Insured | No Opt. Call | Baa2 | 905,101 |
37
Nuveen California High Yield Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/General(continued) | ||||||
| $5,000 | Fresno Unified School District, Fresno County, California, General Obligation Bonds, Crossover Refunding Series 2016B, 4.000%, 8/01/46 (UB) (5) | 8/26 at 100.00 | Aa3 | $5,114,900 | ||
| 4,560 | Hartnell Community College District, Monterey County, California, General Obligation Bonds, Election 2016 Series 2017A, 4.000%, 8/01/47 (UB) (5) | 8/27 at 100.00 | AA | 4,722,883 | ||
| 1,000 | Illinois State, General Obligation Bonds, November Series 2017D, 5.000%, 11/01/27 | No Opt. Call | BBB- | 1,087,420 | ||
| 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 | Baa2 | 895,881 | ||
| 3,795 | Lake Tahoe Unified School District, El Dorado County, California, General Obligation Bonds, Series 2010, 0.000%, 8/01/45 – AGM Insured (6) | No Opt. Call | A1 | 2,788,680 | ||
| 6,235 | Long Beach Community College District, California, General Obligation Bonds, Capital Appreciation, Election 2008 Series 2008A, 0.000%, 6/01/30 – AGM Insured | No Opt. Call | AA | 4,515,823 | ||
| 10,900 | Marin Healthcare District, Marin County, California, General Obligation Bonds, 2013 Election, Series 2017A, 4.000%, 8/01/47 (UB) (5) | 8/27 at 100.00 | Aa2 | 11,233,213 | ||
| 1,000 | Montebello Unified School District, Los Angeles County, California, General Obligation Bonds, Election 1998 Series 2004, 0.000%, 8/01/26 – FGIC Insured | No Opt. Call | Baa2 | 812,350 | ||
| 5,000 | Montebello Unified School District, Los Angeles County, California, General Obligation Bonds, Election 2016 Series 2016A, 4.000%, 8/01/46 (UB) (5) | 8/26 at 100.00 | A1 | 5,092,100 | ||
| 650 | Newman-Crows Landing Unified School District, Stanislaus County, California, General Obligation Bonds, 2008 Election, Series 2010B, 0.000%, 8/01/49 – AGM Insured | No Opt. Call | A1 | 478,465 | ||
| 2,000 | Northern Inyo County Local Hospital District, California, General Obligation Bonds, Election 2005 Series 2009, 0.000%, 11/01/38 – AGC Insured | No Opt. Call | AA | 795,020 | ||
| 2,250 | Orland Joint Unified School District, Glenn and Tehama Counties, California, General Obligation Bonds, 2008 Election, Series 2012B, 0.000%, 8/01/51 | 8/37 at 100.00 | AA | 1,418,580 | ||
| 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 | 786,551 | ||
| 5,000 | Pittsburg Unified School District, Contra Costa County, California, General Obligation Bonds, Refunding Series 2016, 4.000%, 8/01/40 (UB) (5) | 8/26 at 100.00 | Aa3 | 5,164,700 | ||
| 4,725 | River Delta Unified School District, School Faciliteis Improvement District 2, Sacramento and Solano Counties, California, General Obligation Bonds, Election 2004 Series 2008, 0.000%, 4/01/48 – AGM Insured | No Opt. Call | AA | 1,460,923 | ||
| 10,000 | San Diego Unified School District, San Diego County, California, General Obligation Bonds, Election of 2012 Series 2013C, 4.000%, 7/01/42 (UB) (5) | 7/23 at 100.00 | AA- | 10,263,700 | ||
| 5,000 | San Diego Unified School District, San Diego County, California, General Obligation Bonds, Refunding Series 2012R-2, 0.000%, 7/01/41 (6) | 7/40 at 100.00 | AA- | 4,156,450 | ||
| 1,980 | San Diego Unified School District, San Diego County, California, General Obligation Bonds, Tender Option Bond Trust 2016-XF2355, 10.810%, 7/01/38, 144A (IF) (5) | 7/23 at 100.00 | AA- | 2,245,815 | ||
| 7,655 | Savanna Elementary School District, Orange County, California, General Obligation Bonds, Election 2008 Series 2012B, 0.000%, 2/01/52 – AGM Insured (6) | No Opt. Call | A2 | 5,810,222 | ||
| Southwestern Community College District, San Diego County, California, General Obligation Bonds, Election of 2008, Series 2011C: | ||||||
| 1,500 | 0.000%, 8/01/41 | No Opt. Call | AA- | 634,065 | ||
| 5,730 | 0.000%, 8/01/46 | No Opt. Call | AA- | 1,861,906 | ||
| 2,145 | Turlock Unified School District, Stanislaus and Merced Counties, California, General Obligation Bonds, Elementary School Facilities Improvement District 1, 2016 Election Series 2017, 4.000%, 8/01/46 – AGM Insured | 8/26 at 100.00 | Aa3 | 2,216,836 |
38
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/General(continued) | ||||||
| $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 | AA- | $1,488,716 | ||
| 2,250 | West Hills Community College District, California, General Obligation Bonds, School Facilities Improvement District 3, 2008 Election Series 2011, 0.000%, 8/01/38 – AGM Insured (6) | 8/31 at 100.00 | A2 | 2,083,005 | ||
| 137,680 | Total Tax Obligation/General | 116,064,422 | ||||
| Tax Obligation/Limited – 34.6% | ||||||
| 1,000 | Adelanto Community Facilities District Number 2006-2, San Bernadino County, California, Special Tax Bonds, Series 2015A, 5.000%, 9/01/45 | 9/25 at 100.00 | N/R | 1,063,730 | ||
| Anaheim Public Financing Authority, California, Lease Revenue Bonds, Public Improvement Project, Series 1997C: | ||||||
| 330 | 0.000%, 9/01/28 – AGM Insured | No Opt. Call | A2 | 247,480 | ||
| 240 | 0.000%, 9/01/30 – AGM Insured | No Opt. Call | A2 | 164,136 | ||
| 4,475 | 0.000%, 9/01/34 – AGM Insured | No Opt. Call | A2 | 2,536,788 | ||
| 4,305 | 0.000%, 9/01/35 – AGM Insured | No Opt. Call | A2 | 2,331,201 | ||
| 435 | Arvin Community Redevelopment Agency, California, Tax Allocation Bonds, Arvin Redevelopment Project, Series 2005, 5.125%, 9/01/35 | 3/19 at 100.00 | N/R | 427,296 | ||
| 910 | Azusa, California, Special Tax Bonds, Community Facilities District 2005-1 Rosedale Improvement Area 1, Series 2007, 5.000%, 9/01/37 | 9/19 at 100.00 | N/R | 918,499 | ||
| 1,030 | 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 | 1,102,543 | ||
| 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 | 1,082,940 | ||
| 2,590 | 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 | 2,756,589 | ||
| Beaumont, California, Special Tax Bonds, Community Facilities District 93-1 Improvement Area 17C, Series 2018: | ||||||
| 750 | 5.000%, 9/01/43 | 9/25 at 103.00 | N/R | 818,513 | ||
| 1,115 | 5.000%, 9/01/48 | 9/25 at 103.00 | N/R | 1,212,116 | ||
| Beaumont, California, Special Tax Bonds, Community Facilities District 93-1 Improvement Area 8D, Series 2018A: | ||||||
| 750 | 5.000%, 9/01/43 | 9/25 at 103.00 | N/R | 818,513 | ||
| 1,035 | 5.000%, 9/01/48 | 9/25 at 103.00 | N/R | 1,125,149 | ||
| 1,900 | Blythe Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Redevelopment Project 1, Refunding Series 2015, 5.000%, 5/01/38 | 11/25 at 100.00 | N/R | 2,015,710 | ||
| 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- | 1,153,035 | ||
| 2,300 | 0.000%, 8/01/29 – AMBAC Insured | No Opt. Call | AA- | 1,691,581 | ||
| 6,710 | 0.000%, 8/01/30 – AMBAC Insured | No Opt. Call | AA- | 4,694,383 | ||
| 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 | 1,903,473 | ||
| 5,600 | California Community College Financing Authority, Lease Revenue Bonds, Refunding Series 2003, 0.000%, 6/01/33 – AMBAC Insured | No Opt. Call | AA+ | 3,247,664 |
39
Nuveen California High Yield Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited(continued) | ||||||
| $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+ | $2,211,900 | ||
| 2,000 | California Statewide Communities Development Authority, Community Facilities District No. 2015-01, Improvement Area No. 2 University District, Special Tax Bonds, Series 2017, 5.000%, 9/01/47 | 9/27 at 100.00 | N/R | 2,162,240 | ||
| 2,500 | California Statewide Communities Development Authority, Special Tax Bonds, Community Facilities District 15-2 Rio Bravo, Series 2015A, 5.625%, 9/01/45 | 9/25 at 100.00 | N/R | 2,538,650 | ||
| 915 | California Statewide Communities Development Authority, Special Tax Bonds, Community Facilities District 2007-1 Orinda Wilder Project, Refunding Series 2015, 5.000%, 9/01/37 | 9/25 at 100.00 | N/R | 982,536 | ||
| 1,000 | California Statewide Communities Development Authority, Special Tax Bonds, Community Facilities District 2012-01, Fancher Creek, Series 2013A, 5.700%, 9/01/43 | 9/22 at 100.00 | N/R | 1,048,240 | ||
| California Statewide Communities Development Authority, Special Tax Bonds, Community Facilities District 2012-02, Manteca Lifestyle Center, Series 2013A: | ||||||
| 1,000 | 5.000%, 9/01/33 | 9/23 at 100.00 | N/R | 1,066,130 | ||
| 2,000 | 5.125%, 9/01/42 | 9/23 at 100.00 | N/R | 2,128,000 | ||
| 5,250 | California Statewide Communities Development Authority, Special Tax Bonds, Community Facilities District 2017-01 Horse Creek, Series 2018, 5.000%, 9/01/48 | 9/28 at 100.00 | N/R | 5,669,842 | ||
| California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Refunding Series 2015R-1: | ||||||
| 3,605 | 5.000%, 9/02/35 | 9/25 at 100.00 | N/R | 3,792,532 | ||
| 1,180 | 5.000%, 9/02/40 | 9/25 at 100.00 | N/R | 1,229,761 | ||
| 990 | 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 | 1,016,829 | ||
| 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 | 2,372,620 | ||
| 2,060 | California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2014B, 5.000%, 9/02/44 | 9/24 at 100.00 | N/R | 2,136,014 | ||
| 2,250 | California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2016A, 5.000%, 9/02/45 | 9/26 at 100.00 | N/R | 2,344,140 | ||
| California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2016B: | ||||||
| 1,690 | 5.000%, 9/02/36 | 9/26 at 100.00 | N/R | 1,810,936 | ||
| 3,310 | 5.000%, 9/02/46 | 9/26 at 100.00 | N/R | 3,498,372 | ||
| 480 | California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2017A, 5.000%, 9/02/46 | 9/27 at 100.00 | N/R | 503,698 | ||
| 400 | California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2017B, 5.000%, 9/02/47 | 9/27 at 100.00 | N/R | 423,544 | ||
| 1,775 | California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2017C, 5.000%, 9/02/47 | 9/27 at 100.00 | N/R | 1,920,355 | ||
| 605 | California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2018A, 5.000%, 9/02/47 | 9/28 at 100.00 | N/R | 642,577 | ||
| 650 | Cathedral City Public Financing Authority, California, Tax Allocation Bonds, Merged Redevelopment Project Area, Series 2007A, 4.500%, 8/01/35 – AMBAC Insured | 3/19 at 100.00 | Ba1 | 650,410 | ||
| 850 | Cathedral City Public Financing Authority, California, Tax Allocation Bonds, Merged Redevelopment Project Area, Series 2007C, 4.500%, 8/01/35 | 3/19 at 100.00 | BBB- | 850,221 |
40
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited(continued) | ||||||
| $315 | Chino Public Financing Authority, California, Revenue Bonds, Refunding Series 2012, 5.000%, 9/01/38 | 9/22 at 100.00 | N/R | $332,205 | ||
| 1,540 | Chino, California, Special Tax Bonds, Community Facilities District 2016-3, Series 2017, 5.000%, 9/01/47 | 9/24 at 103.00 | N/R | 1,662,784 | ||
| Chula Vista, California, Special Tax Bonds, Community Facilities District 16-I Millenia Improvement Area 1, Series 2018: | ||||||
| 1,000 | 5.000%, 9/01/43 | 9/25 at 103.00 | N/R | 1,094,390 | ||
| 1,250 | 5.000%, 9/01/48 | 9/25 at 103.00 | N/R | 1,365,700 | ||
| 320 | City of Dublin, California, Community Facilities District No. 2015-1, Dublin Crossing, Improvement Area No. 1, Special Tax Bonds, Series 2017, 5.000%, 9/01/47 | 9/27 at 100.00 | N/R | 346,438 | ||
| 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 | 1,033,350 | ||
| 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 | 518,950 | ||
| Compton Public Finance Authority, California, Lease Revenue Bonds, Refunding & Various Capital Projects, Series 2008: | ||||||
| 415 | 5.000%, 9/01/22 – AMBAC Insured | 3/19 at 100.00 | N/R | 415,880 | ||
| 500 | 5.250%, 9/01/27 – AMBAC Insured | 3/19 at 100.00 | N/R | 500,930 | ||
| 210 | 5.000%, 9/01/32 – AMBAC Insured | 3/19 at 100.00 | N/R | 210,284 | ||
| 670 | Corona, California, Special Tax Bonds, Community Facilities District 2002-1 Dos Lagos Improvement Area 1, Refunding Series 2017, 5.000%, 9/01/37 | 9/24 at 103.00 | N/R | 725,858 | ||
| 855 | Corona, California, Special Tax Bonds, Community Facilities District 2002-1 Dos Lagos, Refunding Series 2017, 5.000%, 9/01/34 | 9/24 at 103.00 | N/R | 930,753 | ||
| Corona, California, Special Tax Bonds, Community Facilities District 2018-1 Bedford, Series 2018A: | ||||||
| 1,000 | 5.000%, 9/01/43 | 9/24 at 103.00 | N/R | 1,076,620 | ||
| 1,250 | 5.000%, 9/01/48 | 9/24 at 103.00 | N/R | 1,341,112 | ||
| Corona-Norco Unified School District, Riverside County, California, Special Tax Bonds, Community Facilities District 05-1, Series 2016: | ||||||
| 1,500 | 5.000%, 9/01/36 | 9/26 at 100.00 | N/R | 1,646,115 | ||
| 1,000 | 4.000%, 9/01/45 | 9/26 at 100.00 | N/R | 1,003,210 | ||
| Dana Point, California, Special Tax Bonds, Community Facilities District 2006-1 Series 2014: | ||||||
| 250 | 5.000%, 9/01/38 | 9/23 at 100.00 | N/R | 261,335 | ||
| 1,250 | 5.000%, 9/01/45 | 9/23 at 100.00 | N/R | 1,305,100 | ||
| 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+ | 1,127,066 | ||
| 250 | El Dorado County, California, Special Tax Bonds, Community Facilities District 2005-2, Series 2006, 5.100%, 9/01/36 | 9/19 at 100.00 | N/R | 251,870 | ||
| 1,050 | Elk Grove Finance Authority, California, Special Tax Revenue Bonds, Series 2018, 5.000%, 9/01/43 | 9/26 at 100.00 | N/R | 1,129,349 | ||
| 430 | Fairfield, California, Community Facilities District 2007-1 Special Tax Bonds, Fairield Commons Project, Series 2008, 6.875%, 9/01/38 | 9/19 at 100.00 | N/R | 440,591 |
41
Nuveen California High Yield Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited(continued) | ||||||
| Fillmore, California, Special Tax Bonds, Community Facilities District 5, Improvement Area, Series 2015A: | ||||||
| $1,500 | 5.000%, 9/01/40 | 9/23 at 102.00 | N/R | $1,606,755 | ||
| 2,530 | 5.000%, 9/01/45 | 9/23 at 102.00 | N/R | 2,704,595 | ||
| Folsom, California, Special Tax Bonds, Community Facilities District 16 Islands at Parkshore Improvement Area 1, Series 2018: | ||||||
| 500 | 4.000%, 9/01/43 | 3/19 at 103.00 | N/R | 500,390 | ||
| 1,545 | 4.000%, 9/01/48 | 3/19 at 103.00 | N/R | 1,534,401 | ||
| 1,135 | Fontana, California, Special Tax Bonds, Community Facilities District 31 Citrus Heights North, Series 2018, 5.000%, 9/01/36 | 9/25 at 103.00 | N/R | 1,260,281 | ||
| 1,350 | Fontana, California, Special Tax Bonds, Sierra Hills South Community Facilities District 22, Refunding Series 2014, 5.000%, 9/01/34 | 9/24 at 100.00 | N/R | 1,458,067 | ||
| 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 | 2,403,723 | ||
| Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement Asset-Backed Revenue Bonds, Refunding Series 2015A: | ||||||
| 5,000 | 5.000%, 6/01/40 (UB) (5) | 6/25 at 100.00 | A+ | 5,530,400 | ||
| 2,000 | 5.000%, 6/01/45 (UB) (5) | 6/25 at 100.00 | A+ | 2,197,860 | ||
| 3,750 | Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Tender Option Bond Trust 2015-XF1038, 14.049%, 6/01/45, 144A (IF) (5) | 6/25 at 100.00 | A+ | 5,233,912 | ||
| 500 | Government of Guam, Business Privilege Tax Bonds, Series 2012B-1, 5.000%, 1/01/42 | 1/22 at 100.00 | BB | 511,260 | ||
| 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+ | 900,715 | ||
| 1,175 | 6.875%, 12/01/40 | 12/20 at 100.00 | B+ | 1,205,832 | ||
| Hercules Redevelopment Agency, California, Tax Allocation Bonds, Merged Project Area, Series 2005: | ||||||
| 1,000 | 5.000%, 8/01/25 – AMBAC Insured | 3/19 at 100.00 | N/R | 1,014,950 | ||
| 1,000 | 5.000%, 8/01/35 – AMBAC Insured | 3/19 at 100.00 | N/R | 1,010,610 | ||
| Hercules Redevelopment Agency, California, Tax Allocation Bonds, Merged Project Area, Series 2007A: | ||||||
| 365 | 4.625%, 8/01/37 – AMBAC Insured | 3/19 at 100.00 | N/R | 366,978 | ||
| 745 | 4.750%, 8/01/42 – AMBAC Insured | 3/19 at 100.00 | N/R | 749,038 | ||
| 150 | 5.000%, 8/01/42 – AMBAC Insured | 3/19 at 100.00 | N/R | 150,813 | ||
| 1,990 | Hesperia, California, Special Tax Bonds, Community Facilities District 2005-1 Belgate Development Restructuring Series 2014, 5.000%, 9/01/35 | 9/24 at 100.00 | N/R | 2,132,822 | ||
| 1,035 | Imperial, California, Special Tax Bonds, Community Facilities District 2005-1 Springfield, Series 2015A, 5.000%, 9/01/36 | 9/25 at 100.00 | N/R | 1,115,109 | ||
| 155 | Indio Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Subordinate Lien Refunding Series 2008A, 5.250%, 8/15/28 | 3/19 at 100.00 | A | 155,425 | ||
| 620 | 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 | 658,781 |
42
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited(continued) | ||||||
| Inglewood Public Financing Authority, California, Lease Revenue Bonds, Refunding Series 2012: | ||||||
| $2,530 | 0.000%, 8/01/23 | 8/22 at 93.78 | A2 | $2,200,518 | ||
| 1,600 | 0.000%, 8/01/25 | 8/22 at 82.01 | A2 | 1,214,608 | ||
| 1,050 | 0.000%, 8/01/28 | 8/22 at 66.37 | A2 | 643,755 | ||
| 2,430 | 0.000%, 8/01/33 | 8/22 at 45.44 | A2 | 1,016,663 | ||
| 1,650 | 0.000%, 8/01/35 | 8/22 at 38.78 | A2 | 588,374 | ||
| 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 | 857,988 | ||
| 745 | 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 | 800,882 | ||
| 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 | 533,060 | ||
| 900 | Irvine, California, Special Tax Bonds, Community Facilities District 2013-3 Great Park, Improvement Area 4, Series 2016, 4.000%, 9/01/49 | 9/23 at 103.00 | N/R | 901,503 | ||
| 500 | Jurupa Community Services District, California, Special Tax Bonds, Community Facilities District 37 Eastvale Improvement Area 1,Series 2016, 3.250%, 9/01/46 | 9/21 at 103.00 | N/R | 435,540 | ||
| 700 | Jurupa Community Services District, California, Special Tax Bonds, Community Facilities District 37 Eastvale Improvement Area 2,Series 2016A, 3.250%, 9/01/46 | 9/21 at 103.00 | N/R | 602,427 | ||
| 1,400 | Jurupa Community Services District, California, Special Tax Bonds, Community Facilities District 43, Series 2016, 5.000%, 9/01/45 | 9/26 at 100.00 | N/R | 1,509,578 | ||
| 1,000 | Jurupa Unified School District, California, Special Tax Bonds, Community Facilities District 11 Improvement Area B, Series 2017A, 4.000%, 9/01/47 | 9/24 at 103.00 | N/R | 989,920 | ||
| 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 | 3,597,402 | ||
| 335 | Lake Elsinore Public Financing Authority, California, Local Agency Revenue Bonds, Canyon Hills Improvement Area C, Series 2012C, 5.000%, 9/01/37 | 9/22 at 100.00 | N/R | 352,393 | ||
| 1,135 | 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 | 1,226,254 | ||
| Lake Elsinore Redevelopment Agency, California, Special Tax Bonds, Community Facilities District 13-1, Series 2017: | ||||||
| 800 | 4.000%, 9/01/42 | 9/24 at 103.00 | N/R | 803,432 | ||
| 1,000 | 4.000%, 9/01/47 | 9/24 at 103.00 | N/R | 1,000,710 | ||
| 1,220 | Lake Elsinore Unified School District, California, Special Tax Bonds, Community Facilities District 2004-2, Series 2005, 5.350%, 9/01/35 | 9/19 at 100.00 | N/R | 1,231,261 | ||
| 1,000 | Lake Elsinore Unified School District, California, Special Tax Bonds, Community Facilities District 2006-2 Improvement Area B, Series 2018, 4.000%, 9/01/48 | 9/24 at 100.00 | N/R | 999,970 | ||
| 2,995 | Lammersville Joint Unified School District, San Joaquin County, California, Special Tax Bonds, Community Facilities District 2002 Mountain House, Series 2013, 5.000%, 9/01/37 | 9/22 at 100.00 | N/R | 3,139,449 | ||
| 2,000 | Lammersville School District, California, Special Tax Refunding Bonds, Community Facilities District 2002 Mountain House, Series 2012, 5.375%, 9/01/32 | 9/22 at 100.00 | N/R | 2,083,360 | ||
| 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 | 1,069,080 |
43
Nuveen California High Yield Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| 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: | ||||||
| $785 | 5.125%, 9/01/28 | 9/23 at 100.00 | N/R | $836,253 | ||
| 395 | 5.250%, 9/01/32 | 9/23 at 100.00 | N/R | 419,533 | ||
| 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 | 642,444 | ||
| 935 | 5.000%, 9/01/39 | 9/24 at 100.00 | N/R | 992,998 | ||
| 1,825 | 5.000%, 9/01/43 | 9/24 at 100.00 | N/R | 1,934,482 | ||
| 2,615 | Los Alamitos Unified School District, Orange County, California, Certificates of Participation, Series 2012, 0.000%, 8/01/42 (6) | 8/29 at 100.00 | AA- | 2,432,787 | ||
| 1,690 | Lower Magnolia Green Community Development Authority, Virginia, Special Assessment Bonds, Series 2015, 5.000%, 3/01/45, 144A | 3/25 at 100.00 | N/R | 1,691,724 | ||
| 1,275 | Lynwood Redevelopment Agency, California, Tax Allocation Revenue Bonds, Project Area A, Subordinate Lien Series 2011A, 7.250%, 9/01/38 | 9/21 at 100.00 | A | 1,442,624 | ||
| 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 | Baa2 | 1,210,470 | ||
| 450 | Marina Redevelopment Agency Successor Agency, California, Housing Tax Allocation Bonds, Series 2018B, 5.000%, 9/01/38 | 9/25 at 103.00 | N/R | 485,987 | ||
| Menifee Union School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2006-1, Series 2014: | ||||||
| 500 | 4.125%, 9/01/39 | 9/19 at 103.00 | N/R | 505,760 | ||
| 500 | 4.250%, 9/01/44 | 9/19 at 103.00 | N/R | 507,340 | ||
| 1,000 | Menifee Union School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2014-2, Series 2017, 5.000%, 9/01/47 | 9/24 at 103.00 | N/R | 1,079,210 | ||
| Menifee Union School District, Riverside County, California, Special Tax Bonds, Community Facilties District 2011-1, Improvement Area 1, Series 2015: | ||||||
| 2,000 | 5.000%, 9/01/39 | 9/24 at 100.00 | N/R | 2,138,400 | ||
| 500 | 4.250%, 9/01/44 | 9/24 at 100.00 | N/R | 508,325 | ||
| 1,000 | 5.000%, 9/01/44 | 9/24 at 100.00 | N/R | 1,066,630 | ||
| 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 | 1,782,837 | ||
| 1,055 | 0.000%, 12/01/23 – AMBAC Insured | No Opt. Call | N/R | 941,883 | ||
| 835 | 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 | 894,928 | ||
| 1,000 | Moreno Valley, California, Special Tax Bonds, Community Facilities District 5, Series 2007, 5.000%, 9/01/37 | 9/19 at 100.00 | N/R | 1,005,640 | ||
| 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 | 1,383,203 | ||
| 825 | Murrieta, California, Special Tax Bonds, Community Facilities District 2005-5 Golden City Improvement Area A, Series 2017, 5.000%, 9/01/46 | 9/27 at 100.00 | N/R | 891,305 | ||
| 330 | Novato Redevelopment Agency, California, Tax Allocation Bonds, Hamilton Field Redevelopment Project, Series 2011, 6.750%, 9/01/40 | 9/21 at 100.00 | A- | 362,132 |
44
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited(continued) | ||||||
| $2,500 | Oakley Public Financing Authority, Contra Costa County, California, Revenue Bonds, Refundinf Series 2014, 5.000%, 9/02/36 – BAM Insured | 9/24 at 100.00 | AA | $2,836,150 | ||
| 1,250 | Oceanside, California, Special Tax Bonds, Community Facilities District 2006-1, Pacific Coast Business Park, Series 2017, 5.000%, 9/01/38 | 9/25 at 102.00 | N/R | 1,374,162 | ||
| 1,000 | Ontario, California, Special Tax Bonds, Community Facilities District 24 Park Place Facilities Phase I, Series 2016, 5.000%, 9/01/41 | 9/26 at 100.00 | N/R | 1,083,020 | ||
| 1,200 | Ontario, California, Special Tax Bonds, Community Facilities District 28 New Haven Facilities - Area A, Series 2017, 5.000%, 9/01/47 | 9/24 at 103.00 | N/R | 1,294,428 | ||
| 1,170 | Ontario, California, Special Tax Bonds, Community Facilities District 30 New Haven Facilities - Area B, Series 2017, 4.000%, 9/01/48 | 9/24 at 103.00 | N/R | 1,163,974 | ||
| 2,000 | Orange County, California, Special Tax Bonds, Community Facilities District 2015-1 Esencia Village, Series 2015A, 5.250%, 8/15/45 | 8/25 at 100.00 | N/R | 2,170,360 | ||
| 3,530 | Palm Desert, California, Limited Obligation Improvement Bonds, Section 29 Assessment District 2004-02, Series 2007, 5.100%, 9/02/37 | 9/19 at 100.00 | N/R | 3,560,711 | ||
| Palm Desert, California, Special Tax Bonds, Community Facilities District 2005-1 University Park, Series 2006: | ||||||
| 145 | 5.000%, 9/01/21 | 9/19 at 100.00 | N/R | 144,330 | ||
| 285 | 5.300%, 9/01/32 | 9/19 at 100.00 | N/R | 282,560 | ||
| 740 | 5.450%, 9/01/32 | 9/19 at 100.00 | N/R | 740,207 | ||
| 1,095 | 5.500%, 9/01/36 | 9/19 at 100.00 | N/R | 1,093,774 | ||
| 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 | 3/19 at 102.00 | CCC+ | 1,518,512 | ||
| 1,395 | Palm Drive Health Care District, Sonoma County, California, Parcel Tax Revenue Bonds, Series 2005, 5.250%, 4/01/30 | 3/19 at 100.00 | CCC+ | 1,342,799 | ||
| 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 | AA- | 847,519 | ||
| 1,160 | Palmdale, California, Special Tax Bonds, Community Facilities District 2005-1, Series 2005, 6.750%, 9/01/35 | 9/19 at 100.00 | N/R | 1,160,963 | ||
| 980 | 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 | 1,063,702 | ||
| 985 | 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 | 1,005,803 | ||
| 1,075 | 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 | 1,135,071 | ||
| 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 | 2,340,213 | ||
| 2,500 | 0.000%, 8/01/28 – AMBAC Insured | No Opt. Call | A | 1,886,400 | ||
| 1,275 | 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+ | 1,324,087 | ||
| 4,000 | Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Restructured Bonds, 2019A-1, 5.000%, 7/01/58 | 7/28 at 100.00 | N/R | 3,802,200 | ||
| 1,200 | Rancho Cardova, California, Special Tax Bonds, Community Facilities District 2005-1 Sunridge North Douglas Series 2015, 5.000%, 9/01/40 | 9/25 at 100.00 | N/R | 1,287,144 |
45
Nuveen California High Yield Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited(continued) | ||||||
| $1,190 | Rancho Cardova, California, Special Tax Bonds, Community Facilities District 2005-1 Sunridge North Douglas Series 2018, 4.000%, 9/01/42 | 9/24 at 103.00 | N/R | $1,193,403 | ||
| 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 | 3/19 at 100.00 | N/R | 3,004,470 | ||
| 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 | 1,289,100 | ||
| 1,260 | 0.000%, 7/15/31 – AMBAC Insured | No Opt. Call | A | 833,906 | ||
| 1,185 | Rio Vista, California, Special Tax Bonds, Community Facilites District 2018-1 Liberty Community, Series 2018-1, 5.000%, 9/01/48 | 9/25 at 103.00 | N/R | 1,286,069 | ||
| 1,250 | Riverside County Asset Leasing Corporation, California, Lease Revenue Bonds, Capital Project, Tender Option Bond Trust 2015-XF1020, 15.138%, 11/01/45, 144A (IF) (5) | 11/25 at 100.00 | AA- | 2,049,625 | ||
| 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 | A1 | 1,072,092 | ||
| 3,155 | 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 | 3,265,520 | ||
| 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 | 2,288,726 | ||
| 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 | 911,664 | ||
| Riverside County, California, Special Tax Bonds, Community Facilities District 05-8 Scott Road, Series 2013: | ||||||
| 660 | 5.000%, 9/01/32 | 9/22 at 100.00 | N/R | 692,492 | ||
| 2,000 | 5.000%, 9/01/42 | 9/22 at 100.00 | N/R | 2,084,420 | ||
| Riverside County, California, Special Tax Bonds, Community Facilities District 07-2 Clinton Keith, Series 2017: | ||||||
| 1,000 | 5.000%, 9/01/42 | 9/27 at 100.00 | N/R | 1,085,640 | ||
| 535 | 5.000%, 9/01/45 | 9/27 at 100.00 | N/R | 578,399 | ||
| 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 | Baa2 | 566,489 | ||
| 1,155 | 0.000%, 9/01/35 – NPFG Insured | No Opt. Call | Baa2 | 618,399 | ||
| 840 | 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 | 900,001 | ||
| 935 | Rohnert Park Community Development Agency, California, Tax Allocation Bonds, Series 1999, 0.000%, 8/01/33 | No Opt. Call | Baa2 | 559,598 | ||
| 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 | 3,987,570 | ||
| 1,120 | Romoland School District, California, Special Tax Bonds, Community Facilities District 2006-1, Series 2017, 5.000%, 9/01/44 | 9/27 at 100.00 | N/R | 1,215,077 | ||
| 820 | Romoland School District, California, Special Tax Bonds, Community Facilities District 91-1, Series 2017, 5.000%, 9/01/41 | 9/27 at 100.00 | N/R | 891,463 | ||
| 840 | Roseville, California, Special Tax Bonds, Community Facilities District 1 Diamond Creek, Series 2007, 5.000%, 9/01/37 | 9/19 at 100.00 | N/R | 849,366 |
46
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited(continued) | ||||||
| $1,050 | Roseville, California, Special Tax Bonds, Community Facilities District 1 Hewlett Parkard Campus Oaks, Series 2016, 5.500%, 9/01/46 | 9/26 at 100.00 | N/R | $1,140,468 | ||
| 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 | 1,178,375 | ||
| 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 | 541,405 | ||
| 1,500 | Roseville, California, Special Tax Bonds, Community Facilities District 5 Fiddyment Ranch Public Facilities, Series 2017, 5.000%, 9/01/47, 144A | 9/27 at 100.00 | N/R | 1,587,165 | ||
| 230 | Sabal Palm Community Development District, Florida, Special Assessment Bonds, Series 2016, 5.500%, 11/01/46 | 11/26 at 100.00 | N/R | 238,018 | ||
| 1,510 | Sacramento City Financing Authority California, Lease Revenue Bonds, Master Lease Program Facilities Projects, Tender Option Bond Trust 2016-XG0100, 15.048%, 12/01/33, 144A (IF) (5) | No Opt. Call | A+ | 3,063,322 | ||
| 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 | Baa2 | 2,804,893 | ||
| 4,435 | 0.000%, 12/01/32 – FGIC Insured | No Opt. Call | Baa2 | 2,744,156 | ||
| 1,950 | Sacramento County, California, Special Tax Bonds, Community Facilities District 2016-2 Florin Vineyard 1, Series 2018, 4.000%, 9/01/48 | 9/25 at 103.00 | N/R | 1,939,957 | ||
| 320 | Sacramento, California, Special Tax Bonds, Community Facilities District 05-1 College Square, Series 2007, 5.900%, 9/01/37 | 9/19 at 100.00 | N/R | 324,163 | ||
| Sacramento, California, Special Tax Bonds, North Natomas Community Facilities District 7, Series 2017-01: | ||||||
| 710 | 5.000%, 9/01/37, 144A | 9/24 at 103.00 | N/R | 755,958 | ||
| 1,900 | 5.000%, 9/01/47, 144A | 9/24 at 103.00 | N/R | 2,014,589 | ||
| 428 | Saint Louis, Missouri, Tax Increment Financing Revenue Bonds, Grace Lofts Redevelopment Projects, Series 2007A, 6.000%, 12/31/26 | No Opt. Call | N/R | 149,800 | ||
| 505 | San Bernardino County Financing Authority, California, Revenue Bonds, Courthouse Facilities Project, Series 2007, 5.500%, 6/01/37 – NPFG Insured | No Opt. Call | Baa2 | 540,254 | ||
| 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 | 588,308 | ||
| 1,200 | San Bernardino County, California, Special Tax Bonds, Community Facilities District 2006-1 Lytle Creek North Improvement Area 5, Series 2017, 4.000%, 9/01/48 | 9/24 at 103.00 | N/R | 1,195,872 | ||
| 345 | San Clemente, California, Special Tax Revenue Bonds, Community Facilities District 2006-1 Marblehead Coastal, Series 2015, 5.000%, 9/01/46 | 9/25 at 100.00 | N/R | 368,619 | ||
| 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 | 8/24 at 100.00 | N/R | 1,053,630 | ||
| 1,250 | San Francisco City and County Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Mission Bay South Redevelopment Project, Series 2014A, 5.000%, 8/01/43 | 8/24 at 100.00 | A- | 1,389,812 | ||
| 22,610 | San Francisco City and County Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Mission Bay South Redevelopment Project, Subordinate Series 2016D, 0.000%, 8/01/43, 144A | 8/21 at 33.74 | N/R | 6,741,171 | ||
| 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 | 435,812 |
47
Nuveen California High Yield Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited(continued) | ||||||
| $1,000 | San Jacinto Unified School District, California, Community Facilities District 2003-1 Infrastructure Projects, Series 2016, 3.375%, 9/01/46 | 9/19 at 103.00 | N/R | $875,110 | ||
| 250 | Santa Ana Financing Authority, California, Lease Revenue Bonds, Police Administration and Housing Facility, Series 1994A, 6.250%, 7/01/24 | No Opt. Call | Baa2 | 285,188 | ||
| 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 | 1,042,500 | ||
| 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 | AA | 5,600,350 | ||
| 1,335 | Sulphur Springs Union School District, California, Special Tax Bonds, Community Facilities District 2006-1, Series 2018, 5.000%, 9/01/43 | 9/24 at 103.00 | N/R | 1,442,828 | ||
| 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 | 1,763,903 | ||
| 500 | 5.500%, 9/01/33 | 9/22 at 100.00 | N/R | 537,020 | ||
| 2,000 | Tejon Ranch Public Facilities Financing Authority, California, Special Tax Bonds, Community Facilities District 2008-1 Tejon Industrial Complex East 2012B, 5.250%, 9/01/42 | 3/23 at 100.00 | N/R | 2,105,700 | ||
| 2,000 | Tejon Ranch Public Facilities Financing Authority, California, Special Tax Bonds, Community Facilities District 2008-1, Tejon Industrial Complex Public Improvements-East, Series 2015A, 5.000%, 9/01/45 | 9/25 at 100.00 | N/R | 2,140,480 | ||
| 1,055 | Temecula Public Financing Authority, California, Special Tax Bonds, Community Facilities District 16-01, Series 2017, 6.250%, 9/01/47, 144A | 9/27 at 100.00 | N/R | 1,068,842 | ||
| 400 | Temecula Valley Unified School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2011-1, Series 2014, 4.250%, 9/01/44 | 9/19 at 103.00 | N/R | 406,268 | ||
| 605 | Tustin, California, Special Tax Bonds, Community Facilities District 06-1 Tustin Legacy/Columbus Villages, Refunding Series 2015A, 5.000%, 9/01/37 | 9/25 at 100.00 | A- | 679,603 | ||
| 900 | Tustin, California, Special Tax Bonds, Community Facilities District 14-1 Tustin Legacy/Standard Pacific, Refunding Series 2015A, 5.000%, 9/01/45 | 9/25 at 100.00 | N/R | 970,200 | ||
| 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 | 737,044 | ||
| 1,000 | Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Subordinate Lien Series 2010B, 5.250%, 10/01/29 | 10/20 at 100.00 | Caa3 | 962,500 | ||
| Virgin Islands Public Finance Authority, Matching Fund Revenue Loan Note - Diageo Project, Series 2009A: | ||||||
| 2,000 | 6.625%, 10/01/29 | 10/19 at 100.00 | Caa3 | 1,951,000 | ||
| 1,800 | 6.750%, 10/01/37 | 10/19 at 100.00 | Caa3 | 1,755,900 | ||
| 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- | 680,544 | ||
| West Patterson Financing Authority, California, Special Tax Bonds, Community Facilities District 2015-1 Arambel-KDN, Refunding Series 2015: | ||||||
| 350 | 5.250%, 9/01/35 | 9/25 at 100.00 | N/R | 363,437 | ||
| 785 | 5.250%, 9/01/45 | 9/25 at 100.00 | N/R | 801,870 | ||
| 3,680 | West Sacramento Financing Authority, California, Special Tax Revenue Bonds, Series 2014, 5.500%, 9/01/31 | 9/22 at 102.00 | N/R | 4,029,821 |
48
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited(continued) | ||||||
| $2,805 | West Sacramento, California, Special Tax Bonds, Community Facilities District 27 Bridge District, Refunding Series 2016, 5.000%, 9/01/40 | 9/26 at 100.00 | N/R | $3,047,408 | ||
| 5,605 | West Sacramento, California, Special Tax Bonds, Community Facilities District 27 Bridge District, Series 2017, 5.000%, 9/01/47 | 9/27 at 100.00 | N/R | 6,089,272 | ||
| 2,155 | Western Placer Unified School District, Placer County, California, Certificates of Participation, Refinancing Project, Series 2017, 4.000%, 8/01/49 – AGM Insured (UB) (5) | 8/27 at 100.00 | AA | 2,226,417 | ||
| 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+ | 550,180 | ||
| 1,445 | William S. Hart Union High School District, Los Angeles County, California, Special Tax Bonds, Community Facilities District 2015-1, Series 2017, 5.000%, 9/01/47 | 9/26 at 100.00 | N/R | 1,546,425 | ||
| 1,995 | Woodland, California, Special Tax Bonds, Community Facilities District 2004-1 Spring Lake, Refunding & Capital Projects Series 2016, 4.000%, 9/01/45 | 9/26 at 100.00 | N/R | 1,972,476 | ||
| 290 | Yorkville United City Business District, Illinois, Storm Water and Water Improvement Project Revenue Bonds, Series 2007, 6.000%, 1/01/27 (7) | 2/19 at 100.00 | N/R | 153,700 | ||
| 135 | Yuba County, California, Special Tax Bonds, Community Facilities District 2004-1 Edgewater, Series 2005, 5.125%, 9/01/35 | 9/19 at 100.00 | N/R | 133,784 | ||
| 341,625 | Total Tax Obligation/Limited | 320,785,610 | ||||
| Transportation – 11.0% | ||||||
| 4,000 | Bay Area Toll Authority, California, Revenue Bonds, San Francisco Bay Area Toll Bridge, Subordinate Fixed Rate Series 2017S-7, 4.000%, 4/01/49 (UB) (5) | 4/27 at 100.00 | A1 | 4,078,800 | ||
| 1,125 | Bay Area Toll Authority, California, Revenue Bonds, San Francisco Bay Area Toll Bridge, Tender Option Bond Trust 2015-XF2179, 14.477%, 4/01/39, 144A (IF) (5) | No Opt. Call | AA | 1,137,375 | ||
| California Municipal Finance Authority, Revenue Bonds, LINXS APM Project, Senior Lien Series 2018A: | ||||||
| 3,250 | 5.000%, 12/31/43 (AMT) | 6/28 at 100.00 | BBB+ | 3,603,990 | ||
| 8,595 | 4.000%, 12/31/47 (AMT) | 6/28 at 100.00 | BBB+ | 8,600,845 | ||
| 2,000 | 5.000%, 12/31/47 (AMT) | 6/28 at 100.00 | BBB+ | 2,208,200 | ||
| 3,000 | Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Bonds, Refunding Junior Lien Series 2013C, 6.250%, 1/15/33 | 1/24 at 100.00 | BB+ | 3,459,870 | ||
| Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Bonds, Refunding Senior Lien Series 2015A: | ||||||
| 6,255 | 0.000%, 1/15/33 | No Opt. Call | Baa3 | 3,710,966 | ||
| 3,000 | 0.000%, 1/15/35 – AGM Insured | No Opt. Call | BBB- | 1,698,570 | ||
| Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Bonds, Refunding Series 2013A: | ||||||
| 5,000 | 0.000%, 1/15/37 – AGM Insured | No Opt. Call | BBB- | 2,575,050 | ||
| 1,775 | 5.000%, 1/15/42 – AGM Insured | 1/24 at 100.00 | BBB- | 1,951,062 | ||
| 1,030 | 5.750%, 1/15/46 | 1/24 at 100.00 | Baa3 | 1,157,483 | ||
| 8,505 | Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Bonds, Refunding Term Rate Sub-Series 2013B-1, 3.950%, 1/15/53 | 7/27 at 100.00 | Baa3 | 8,519,033 | ||
| Guam International Airport Authority, Revenue Bonds, Series 2013C: | ||||||
| 745 | 6.250%, 10/01/34 (AMT) | 10/23 at 100.00 | Baa2 | 849,062 | ||
| 500 | 6.125%, 10/01/43 – AGM Insured (AMT) | 10/23 at 100.00 | A2 | 571,180 |
49
Nuveen California High Yield Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Transportation(continued) | ||||||
| Guam Port Authority, Port Revenue Bonds, Private Activity Series 2018B: | ||||||
| $250 | 5.000%, 7/01/36 (AMT) | 7/28 at 100.00 | Baa2 | $271,010 | ||
| 400 | 5.000%, 7/01/37 (AMT) | 7/28 at 100.00 | Baa2 | 432,024 | ||
| 23,890 | Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Subordinate Lien Series 2016A, 5.000%, 5/15/42 (AMT) (UB) (5) | 5/26 at 100.00 | AA- | 26,462,714 | ||
| 10,000 | Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Subordinate Lien Series 2018A, 5.000%, 5/15/44 (AMT) (UB) (5) | 5/28 at 100.00 | AA- | 11,271,800 | ||
| Palm Springs Financing Authority, California, Palm Springs International Airport Revenue Bonds, Series 2006: | ||||||
| 15 | 5.450%, 7/01/20 (AMT) | 3/19 at 100.00 | N/R | 15,006 | ||
| 30 | 5.550%, 7/01/28 (AMT) | 3/19 at 100.00 | N/R | 30,009 | ||
| Palm Springs, California, Airport Passenger Facility Charge Subordinate Refunding Revenue Bonds, Palm Springs International Airport, Series 2008: | ||||||
| 250 | 6.400%, 7/01/23 (AMT) | 3/19 at 100.00 | N/R | 250,270 | ||
| 170 | 6.500%, 7/01/27 (AMT) | 3/19 at 100.00 | N/R | 170,139 | ||
| 1,290 | San Francisco Airports Commission, California, Revenue Bonds, San Francisco International Airport, Tender Option Bond Trust 2015-XF1032, 14.128%, 5/01/44, 144A (IF) (5) | 5/24 at 100.00 | A+ | 1,814,798 | ||
| 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 | BBB- | 5,393,100 | ||
| 2,000 | 5.250%, 1/15/49 | 1/25 at 100.00 | BBB- | 2,150,820 | ||
| San Joaquin Hills Transportation Corridor Agency, Orange County, California, Toll Road Revenue Bonds, Refunding Senior Lien Series 2014A: | ||||||
| 7,250 | 5.000%, 1/15/44 | 1/25 at 100.00 | BBB | 7,820,358 | ||
| 1,650 | 5.000%, 1/15/50 | 1/25 at 100.00 | BBB | 1,773,074 | ||
| 50 | San Joaquin Hills Transportation Corridor Agency, Orange County, California, Toll Road Revenue Bonds, Refunding Series 1997A, 0.000%, 1/15/31 – NPFG Insured | No Opt. Call | Baa2 | 32,482 | ||
| Stockton Public Financing Authority, California, Lease Revenue Bonds, Parking & Capital Projects, Series 2004: | ||||||
| 305 | 5.125%, 9/01/30 – FGIC Insured | 3/19 at 100.00 | Baa2 | 305,003 | ||
| 235 | 5.250%, 9/01/34 – FGIC Insured | 3/19 at 100.00 | Baa2 | 235,002 | ||
| 101,565 | Total Transportation | 102,549,095 | ||||
| U.S. Guaranteed – 2.5% (8) | ||||||
| 715 | Antelope Valley Healthcare District, California, Revenue Bonds, Series 2011A, 6.875%, 3/01/26 (Pre-refunded 3/01/21) | 3/21 at 100.00 | N/R | 771,271 | ||
| 85 | California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects Series 2010A, 6.400%, 8/15/45 (Pre-refunded 8/15/20) | 8/20 at 100.00 | BBB | 90,257 | ||
| 1,355 | California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects Series 2010B, 7.250%, 8/15/45 (Pre-refunded 8/15/20) | 8/20 at 100.00 | N/R | 1,454,999 | ||
| 750 | California Municipal Finance Authority, Revenue Bonds, Eisenhower Medical Center, Series 2010A, 5.750%, 7/01/40 (Pre-refunded 7/01/20) | 7/20 at 100.00 | Baa2 | 791,437 |
50
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| U.S. Guaranteed (8) (continued) | ||||||
| California Municipal Finance Authority, Revenue Bonds, Harbor Regional Center Project, Series 2009: | ||||||
| $500 | 8.000%, 11/01/29 (Pre-refunded 11/01/19) | 11/19 at 100.00 | A3 | $520,925 | ||
| 1,040 | 8.500%, 11/01/39 (Pre-refunded 11/01/19) | 11/19 at 100.00 | A3 | 1,086,914 | ||
| 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 | 1,105,670 | ||
| 1,295 | 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 | 1,411,628 | ||
| Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010: | ||||||
| 1,000 | 5.250%, 7/01/25 (Pre-refunded 7/01/20) | 7/20 at 100.00 | BBB- | 1,047,100 | ||
| 1,000 | 5.500%, 7/01/30 (Pre-refunded 7/01/20) | 7/20 at 100.00 | BBB- | 1,050,360 | ||
| Guam Government, General Obligation Bonds, 2009 Series A: | ||||||
| 1,000 | 6.750%, 11/15/29 (Pre-refunded 11/15/19) | 11/19 at 100.00 | N/R | 1,036,180 | ||
| 1,500 | 7.000%, 11/15/39 (Pre-refunded 11/15/19) | 11/19 at 100.00 | N/R | 1,556,430 | ||
| Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Redevelopment Project Areas Housing Programs, Series 2009: | ||||||
| 955 | 6.875%, 8/01/39 (Pre-refunded 8/01/19) | 8/19 at 100.00 | N/R | 975,953 | ||
| 710 | 6.875%, 8/01/39 (Pre-refunded 8/01/19) | 8/19 at 100.00 | BBB | 725,577 | ||
| March Joint Powers Redevelopment Agency, California, Tax Allocation Revenue Bonds, March Air Force Base Redevelopment Project, Series 2011A: | ||||||
| 300 | 7.250%, 8/01/31 (Pre-refunded 8/01/21) | 8/21 at 100.00 | N/R | 340,110 | ||
| 1,550 | 7.500%, 8/01/41 (Pre-refunded 8/01/21) | 8/21 at 100.00 | N/R | 1,766,364 | ||
| 500 | March Joint Powers Redevelopment Agency, California, Tax Allocation Revenue Bonds, March Air Force Base Redevelopment Project, Series 2011B, 7.500%, 8/01/41 (Pre-refunded 8/01/21) | 8/21 at 100.00 | N/R | 570,435 | ||
| Marysville, California, Revenue Bonds, Fremont-Rideout Health Group, Series 2011: | ||||||
| 500 | 5.125%, 1/01/33 (Pre-refunded 1/01/21) | 1/21 at 100.00 | N/R | 532,965 | ||
| 650 | 5.250%, 1/01/42 (Pre-refunded 1/01/21) | 1/21 at 100.00 | N/R | 694,317 | ||
| Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2009: | ||||||
| 10 | 5.500%, 11/01/19 (ETM) | No Opt. Call | N/R | 10,259 | ||
| 500 | 6.750%, 11/01/39 (Pre-refunded 11/01/19) | 11/19 at 100.00 | N/R | 516,985 | ||
| 500 | Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2010, 6.000%, 11/01/41 (Pre-refunded 11/01/20) | 11/20 at 100.00 | Ba1 | 536,535 | ||
| 500 | Riverside County Redevelopment Agency, California, Tax Allocation Bonds, Interstate 215 Corridor Redevelopment Project Area, Series 2010E, 6.500%, 10/01/40 (Pre-refunded 10/01/20) | 10/20 at 100.00 | A- | 539,335 | ||
| 205 | Riverside County Redevelopment Agency, California, Tax Allocation Housing Bonds, Series 2011A, 7.125%, 10/01/42 (Pre-refunded 10/01/21) | 10/21 at 100.00 | A3 | 233,905 | ||
| 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 | Baa2 | 288,380 |
51
Nuveen California High Yield Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| U.S. Guaranteed (8) (continued) | ||||||
| $530 | Turlock Public Financing Authority, California, Tax Allocation Revenue Bonds, Series 2011, 7.250%, 9/01/29 (Pre-refunded 3/01/21) | 3/21 at 100.00 | A- | $590,134 | ||
| 650 | Twentynine Palms Redevelopment Agency, California, Tax Allocation Bonds, Four Corners Project Area, Series 2011A, 7.650%, 9/01/42 (Pre-refunded 9/01/21) | 9/21 at 100.00 | BBB+ | 747,058 | ||
| 500 | Union City Community Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Project, Subordinate Lien Series 2011, 6.875%, 12/01/33 (Pre-refunded 12/01/21) | 12/21 at 100.00 | A+ | 572,925 | ||
| 995 | Wisconsin Public Finance Authority, Revenue Bonds, SearStone Retirement Community of Cary North Carolina, Series 2012A, 8.625%, 6/01/47 (Pre-refunded 6/01/22) | 6/22 at 100.00 | N/R | 1,193,493 | ||
| 21,045 | Total U.S. Guaranteed | 22,757,901 | ||||
| Utilities – 5.5% | ||||||
| 25 | Long Beach Bond Finance Authority, California, Natural Gas Purchase Revenue Bonds, Series 2007A, 5.500%, 11/15/28 | No Opt. Call | A- | 30,871 | ||
| 700 | Long Beach Bond Finance Authority, California, Natural Gas Purchase Revenue Bonds, Series 2007B, 3.228%, 11/15/26 (3-Month LIBOR * 67% Reference Rate + 1.430%Spread) (9) | No Opt. Call | A- | 705,257 | ||
| Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2016B: | ||||||
| 1,790 | 5.000%, 7/01/42 (UB) (5) | 1/26 at 100.00 | AA | 2,010,653 | ||
| 2,240 | 5.000%, 7/01/45 (UB) (5) | 1/26 at 100.00 | AA | 2,501,766 | ||
| Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2017A: | ||||||
| 7,565 | 5.000%, 7/01/42 (UB) (5) | 1/27 at 100.00 | AA | 8,596,412 | ||
| 25,000 | 5.000%, 7/01/47 (UB) (5) | 1/27 at 100.00 | AA | 28,287,250 | ||
| 50 | M-S-R Energy Authority, California, Gas Revenue Bonds, Citigroup Prepay Contracts, Series 2009A, 6.500%, 11/01/39 | No Opt. Call | BBB+ | 69,794 | ||
| 1,000 | M-S-R Energy Authority, California, Gas Revenue Bonds, Citigroup Prepay Contracts, Series 2009B, 6.500%, 11/01/39 | No Opt. Call | BBB+ | 1,395,890 | ||
| 1,600 | Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2007TT, 5.000%, 7/01/32 | 7/19 at 100.00 | D | 1,098,000 | ||
| 3,000 | Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2010AAA, 5.250%, 7/01/27 | 7/20 at 100.00 | D | 2,058,750 | ||
| Southern California Public Power Authority, Natural Gas Project 1 Revenue Bonds, Series 2007A: | ||||||
| 1,000 | 5.000%, 11/01/29 | �� | No Opt. Call | BBB+ | 1,159,390 | |
| 720 | 5.000%, 11/01/33 | No Opt. Call | BBB+ | 840,269 | ||
| 2,000 | Virgin Islands Water and Power Authority, Electric System Revenue Bonds, BANS Series 2018B, 7.000%, 7/01/20, 144A | No Opt. Call | N/R | 2,000,000 | ||
| 115 | Virgin Islands Water and Power Authority, Electric System Revenue Bonds, Refunding Series 2007A, 5.000%, 7/01/22 | 3/19 at 100.00 | Caa2 | 107,956 | ||
| 46,805 | Total Utilities | 50,862,258 |
52
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Water and Sewer – 3.1% | ||||||
| California Pollution Control Financing Authority, Water Furnishing Revenue Bonds, Poseidon Resources Channelside LP Desalination Project, Series 2012: | ||||||
| $200 | 5.000%, 7/01/37 (AMT), 144A | 7/22 at 100.00 | Baa3 | $209,778 | ||
| 3,000 | 5.000%, 11/21/45 (AMT), 144A | 7/22 at 100.00 | Baa3 | 3,123,660 | ||
| 500 | Dinuba Financing Authority, California, Wastewater System Revenue Bonds, Series 2007, 5.375%, 9/01/38 | 3/19 at 100.00 | N/R | 503,145 | ||
| Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2013: | ||||||
| 500 | 5.250%, 7/01/33 | 7/23 at 100.00 | BBB- | 536,275 | ||
| 1,000 | 5.500%, 7/01/43 | 7/23 at 100.00 | BBB- | 1,070,290 | ||
| 500 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2016, 5.000%, 1/01/46 | 7/26 at 100.00 | BBB- | 532,265 | ||
| 2,000 | Los Angeles Department of Water and Power, California, Waterworks Revenue Bonds, Series 2017A, 4.000%, 7/01/47 (UB) (5) | 1/27 at 100.00 | Aa2 | 2,067,240 | ||
| 2,000 | Los Angeles Department of Water and Power, California, Waterworks Revenue Bonds, Tender Option Bond Trust 2015-XF2053, 17.698%, 7/01/44, 144A (IF) (5) | 7/24 at 100.00 | AA+ | 3,110,240 | ||
| 1,500 | Pico Rivera Water Authority, California, Revenue Bonds, Refunding Water System Project, Series 1999A, 5.500%, 5/01/29 – NPFG Insured | No Opt. Call | Baa2 | 1,750,515 | ||
| Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A: | ||||||
| 2,500 | 6.000%, 7/01/38 | 3/19 at 100.00 | C | 2,506,250 | ||
| 7,120 | 6.000%, 7/01/44 | 3/19 at 100.00 | C | 7,137,800 | ||
| 1,500 | Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2012A, 5.250%, 7/01/42 | 7/22 at 100.00 | C | 1,477,500 | ||
| San Joaquin County, California, Revenue Bonds, CSA County Service Area 31, Refunding Series 2018A: | ||||||
| 1,250 | 5.000%, 8/01/38 | 8/28 at 100.00 | N/R | 1,355,675 | ||
| 1,500 | 5.000%, 8/01/42 | 8/28 at 100.00 | N/R | 1,611,525 | ||
| 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 | A3 | 1,472,950 | ||
| 26,320 | Total Water and Sewer | 28,465,108 | ||||
| $1,195,945 | Total Municipal Bonds (cost $1,034,741,157) | 1,063,390,372 |
| Shares | Description (1) | Value | ||||
| COMMON STOCKS – 0.4% | ||||||
| Airlines – 0.4% | ||||||
| 94,060 | American Airlines Group Inc., (10) | $3,351,358 | ||||
| Total Common Stocks (cost $2,851,418) | 3,351,358 | |||||
| Total Long-Term Investments (cost $1,037,592,575) | 1,066,741,730 | |||||
| Floating Rate Obligations – (17.3)% | (160,080,000) | |||||
| Other Assets Less Liabilities – 2.3% (11) | 21,321,545 | |||||
| Net Assets – 100% | $927,983,275 |
53
Nuveen California High Yield Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
Investments in Derivatives
| Futures Contracts | |||||||
| Description | Contract Position | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable/ (Payable) |
| U.S. Treasury 5-year Note | Short | (683) | 6/19 | $(78,411,424) | $(78,246,188) | $165,237 | $80,039 |
| U.S. Treasury 10-year Note | Short | (792) | 6/19 | (97,073,164) | (96,624,000) | 449,164 | 173,250 |
| Total | $(175,484,588) | $(174,870,188) | $614,401 | $253,289 | |||
| Total receivable for variation margin on futures contracts | $253,289 |
| (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. Optional Call Provisions are not covered by the report of independent registered public accounting firm. | |
| (3) | The ratings disclosed are the lowest 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. Ratings are not covered by the report of independent registered public accounting firm. | |
| (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) | Step-up coupon bond, a bond with a coupon that increases ("steps up"), usually at regular intervals, while the bond is outstanding. The rate shown is the coupon as of the end of the reporting period. | |
| (7) | On July 1, 2014, 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 6.000% to 4.200%. | |
| (8) | 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. | |
| (9) | Variable rate security. The rate shown is the coupon as of the end of the reporting period. | |
| (10) | 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. | |
| (11) | Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the counter ("OTC") derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC cleared and exchange-traded derivatives is recognized as part of cash collateral at brokers and/or the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable. | |
| 144A | Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers. | |
| AMT | Alternative Minimum Tax | |
| ETM | Escrowed to maturity | |
| IF | Inverse floating rate security issued by a tender option bond (“TOB”) trust, the interest rate on which varies inversely with the Securities Industry Financial Markets Association (SIFMA) short-term rate, which resets weekly, or a similar short-term rate, and is reduced by the expenses related to the TOB trust. | |
| LIBOR | London Inter-Bank Offered Rate | |
| 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.
54
Nuveen California Municipal Bond Fund
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| LONG-TERM INVESTMENTS – 98.1% | ||||||
| MUNICIPAL BONDS – 98.1% | ||||||
| Consumer Staples – 5.9% | ||||||
| $1,105 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Alameda County Tobacco Asset Securitization Corporation, Series 2002, 5.750%, 6/01/29 | 3/19 at 100.00 | A3 | $1,115,951 | ||
| 8,000 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Gold Country Settlement Funding Corporation, Refunding Series 2006, 5.250%, 6/01/46 | 2/19 at 100.00 | CCC | 7,904,400 | ||
| California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Los Angeles County Securitization Corporation, Series 2006A: | ||||||
| 2,480 | 5.600%, 6/01/36 | 2/19 at 100.00 | B2 | 2,481,314 | ||
| 3,500 | 5.650%, 6/01/41 | 2/19 at 100.00 | B2 | 3,501,575 | ||
| 5,000 | 5.700%, 6/01/46 | 2/19 at 100.00 | B2 | 5,001,500 | ||
| California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Sonoma County Tobacco Securitization Corporation, Series 2005: | ||||||
| 60 | 4.250%, 6/01/21 | 3/19 at 100.00 | A | 60,140 | ||
| 2,315 | 5.125%, 6/01/38 | 3/19 at 100.00 | BB | 2,320,394 | ||
| 8,000 | Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Senior Convertible Series 2007A-2, 5.300%, 6/01/37 | 6/22 at 100.00 | B+ | 8,033,680 | ||
| 30,520 | Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Series 2018A-1, 5.250%, 6/01/47 | 6/22 at 100.00 | N/R | 30,589,586 | ||
| 5,805 | Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Series 2018A-2, 5.000%, 6/01/47 | 6/22 at 100.00 | N/R | 5,603,683 | ||
| Tobacco Securitization Authority of Northern California, Tobacco Settlement Asset-Backed Bonds, Series 2005A-1: | ||||||
| 9,835 | 5.375%, 6/01/38 | 2/19 at 100.00 | B- | 9,878,962 | ||
| 3,105 | 5.500%, 6/01/45 | 2/19 at 100.00 | B- | 3,118,879 | ||
| 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 | 2/19 at 100.00 | BB+ | 3,700,111 | ||
| 83,425 | Total Consumer Staples | 83,310,175 | ||||
| Education and Civic Organizations – 4.6% | ||||||
| 5,000 | California Educational Facilities Authority, Revenue Bonds, Chapman University, Series 2015, 5.000%, 4/01/40 | 4/25 at 100.00 | A2 | 5,594,750 | ||
| 3,915 | California Educational Facilities Authority, Revenue Bonds, Pepperdine University, Series 2015, 5.000%, 9/01/40 | 9/25 at 100.00 | AA | 4,473,670 | ||
| 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 | 3,426,360 |
55
Nuveen California Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations(continued) | ||||||
| California Infrastructure and Economic Development Bank, Revenue Bonds, The Walt Disney Family Museum, Refunding Series 2016: | ||||||
| $250 | 5.000%, 2/01/30 | 2/26 at 100.00 | A+ | $293,970 | ||
| 250 | 5.000%, 2/01/31 | 2/26 at 100.00 | A+ | 291,613 | ||
| 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- | 1,647,975 | ||
| 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 | 1,247,546 | ||
| California Municipal Finance Authority, Educational Facilities Revenue Bonds, OCEAA Project, Series 2008A: | ||||||
| 755 | 6.750%, 10/01/28 | 3/19 at 100.00 | N/R | 755,619 | ||
| 1,500 | 7.000%, 10/01/39 | 3/19 at 100.00 | N/R | 1,500,660 | ||
| 625 | California Municipal Finance Authority, Revenue Bonds, Goodwill Industries of Sacramento Valley & Northern Nevada Project, Series 2012A, 5.750%, 1/01/22, 144A | No Opt. Call | N/R | 647,381 | ||
| 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 | 1,213,838 | ||
| California School Finance Authority, Charter School Revenue Bonds, Downtown College Prep - Obligated Group, Series 2016: | ||||||
| 410 | 5.000%, 6/01/46, 144A | 6/26 at 100.00 | N/R | 417,446 | ||
| 500 | 5.000%, 6/01/51, 144A | 6/26 at 100.00 | N/R | 506,020 | ||
| 375 | California School Finance Authority, Charter School Revenue Bonds, Kepler Neighborhood School, Series 2017A, 5.750%, 5/01/37, 144A | 5/27 at 100.00 | N/R | 353,227 | ||
| 285 | California School Finance Authority, Charter School Revenue Bonds, Rocketship Education ? Obligated Group, Series 2016A, 5.000%, 6/01/36, 144A | 6/25 at 100.00 | N/R | 293,442 | ||
| 750 | California School Finance Authority, School Facility Revenue Bonds, Alliance for College-Ready Public Schools Project, Series 2015A, 5.000%, 7/01/45, 144A | 7/25 at 100.00 | BBB | 799,395 | ||
| 830 | California School Finance Authority, School Facility Revenue Bonds, Alliance for College-Ready Public Schools Project, Series 2016A, 5.000%, 7/01/46, 144A | 7/25 at 100.00 | BBB | 884,440 | ||
| 5,235 | California School Finance Authority, School Facility Revenue Bonds, Alliance for College-Ready Public Schools Project, Series 2016C, 5.250%, 7/01/52 | 7/25 at 101.00 | BBB | 5,663,118 | ||
| 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+ | 2,188,220 | ||
| 4,040 | 7.000%, 7/01/48 | 7/23 at 100.00 | BB+ | 4,427,598 | ||
| 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 | 518,115 | ||
| 1,035 | California State Public Works Board, Lease Revenue Refunding Bonds, Community College Projects, Series 2004B, 5.500%, 6/01/19 | 3/19 at 100.00 | A+ | 1,038,084 | ||
| 2,650 | California State University, Systemwide Revenue Bonds, Refunding Series 2015A, 5.000%, 11/01/35 | 11/25 at 100.00 | Aa2 | 3,061,598 | ||
| 3,445 | California State University, Systemwide Revenue Bonds, Series 2016A, 4.000%, 11/01/38 | 5/26 at 100.00 | Aa2 | 3,602,368 | ||
| 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- | 1,811,639 |
56
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations(continued) | ||||||
| $1,115 | San Diego County, California, Limited Revenue Obligations, Sanford Burnham Prebys Medical Discovery Institute, Series 2015A, 5.000%, 11/01/28 | 11/25 at 100.00 | A1 | $1,303,100 | ||
| 14,740 | University of California, General Revenue Bonds, Series 2018AZ, 5.000%, 5/15/48 | 5/28 at 100.00 | AA | 16,820,109 | ||
| 58,805 | Total Education and Civic Organizations | 64,781,301 | ||||
| Health Care – 9.7% | ||||||
| 2,430 | California Health Facilities Financing Authority, California, Revenue Bonds, Sutter Health, Refunding Series 2015A, 5.000%, 8/15/43 | 8/25 at 100.00 | AA- | 2,685,004 | ||
| 13,140 | California Health Facilities Financing Authority, California, Revenue Bonds, Sutter Health, Refunding Series 2016B, 5.000%, 11/15/46 | 11/26 at 100.00 | AA- | 14,640,588 | ||
| 10,065 | California Health Facilities Financing Authority, California, Revenue Bonds, Sutter Health, Refunding Series 2017A, 5.000%, 11/15/48 | 11/27 at 100.00 | AA- | 11,283,972 | ||
| 10,845 | California Health Facilities Financing Authority, California, Revenue Bonds, Sutter Health, Series 2016A, 5.000%, 11/15/41 | 11/25 at 100.00 | AA- | 12,053,675 | ||
| California Health Facilities Financing Authority, California, Revenue Bonds, Sutter Health, Series 2018A: | ||||||
| 1,500 | 5.000%, 11/15/35 | 11/27 at 100.00 | AA- | 1,742,250 | ||
| 14,805 | 5.000%, 11/15/48 | 11/27 at 100.00 | AA- | 16,598,034 | ||
| 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+ | 501,335 | ||
| 960 | California Health Facilities Financing Authority, Revenue Bonds, Catholic Healthcare West, Series 2008G, 5.500%, 7/01/25 | 3/19 at 100.00 | A | 963,082 | ||
| 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 | 3,036,120 | ||
| 455 | California Health Facilities Financing Authority, Revenue Bonds, Cedars-Sinai Medical Center, Refunding Series 2015, 5.000%, 11/15/32 | 11/25 at 100.00 | Aa3 | 531,399 | ||
| 1,000 | California Health Facilities Financing Authority, Revenue Bonds, Children's Hospital Los Angeles, Series 2012A, 5.000%, 11/15/29 | 11/22 at 100.00 | BBB+ | 1,093,090 | ||
| 3,000 | California Health Facilities Financing Authority, Revenue Bonds, Children's Hospital Los Angeles, Series 2017A, 5.000%, 8/15/47 | 8/27 at 100.00 | BBB+ | 3,295,290 | ||
| 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 | AA- | 1,029,920 | ||
| 3,940 | California Health Facilities Financing Authority, Revenue Bonds, El Camino Hospital, Refunding Series 2015A, 5.000%, 2/01/40 | 2/25 at 100.00 | AA | 4,329,114 | ||
| 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- | 905,156 | ||
| 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- | 2,022,410 | ||
| 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 | 6,447,420 | ||
| 250 | California Municipal Finance Authority, Revenue Bonds, Eisenhower Medical Center, Refunding Series 2017A, 5.000%, 7/01/42 | 7/27 at 100.00 | Baa2 | 274,233 |
57
Nuveen California Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Health Care(continued) | ||||||
| California Municipal Finance Authority, Revenue Bonds, NorthBay Healthcare Group, Series 2017A: | ||||||
| $1,810 | 5.250%, 11/01/36 | 11/26 at 100.00 | BBB- | $1,977,081 | ||
| 5,310 | 5.250%, 11/01/47 | 11/26 at 100.00 | BBB- | 5,672,142 | ||
| 2,000 | California Public Finance Authority, Revenue Bonds, Henry Mayo Newhall Hospital, Series 2017, 5.000%, 10/15/47 | 10/26 at 100.00 | BBB- | 2,142,560 | ||
| 2,500 | California Statewide Communities Development Authority, California, Redlands Community Hospital, Revenue Bonds, Series 2016, 5.000%, 10/01/46 | 10/26 at 100.00 | A- | 2,724,125 | ||
| 5,295 | California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda University Medical Center, Series 2014A, 5.250%, 12/01/34 | 12/24 at 100.00 | BB | 5,749,576 | ||
| California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda University Medical Center, Series 2016A: | ||||||
| 2,400 | 5.000%, 12/01/41, 144A | 6/26 at 100.00 | BB | 2,536,752 | ||
| 17,650 | 5.250%, 12/01/56, 144A | 6/26 at 100.00 | BB | 18,774,658 | ||
| 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+ | 1,475,107 | ||
| 1,000 | 5.000%, 3/01/45 | 3/26 at 100.00 | A+ | 1,111,170 | ||
| 25 | California Statewide Communities Development Authority, Revenue Bonds, Huntington Memorial Hospital, Refunding Series 2014B, 5.000%, 7/01/25 | 7/24 at 100.00 | A- | 28,705 | ||
| California Statewide Communities Development Authority, Revenue Bonds, John Muir Health, Series 2016A: | ||||||
| 100 | 5.000%, 8/15/46 | 8/26 at 100.00 | A+ | 111,048 | ||
| 235 | 5.000%, 8/15/51 | 8/26 at 100.00 | A+ | 260,143 | ||
| 1,000 | California Statewide Community Development Authority, Health Facility Revenue Bonds, Catholic Healthcare West, Series 2008C, 5.625%, 7/01/35 | 3/19 at 100.00 | A | 1,003,420 | ||
| California Statewide Community Development Authority, Health Revenue Bonds, Enloe Medical Center, Refunding Series 2008A: | ||||||
| 125 | 5.250%, 8/15/19 | 3/19 at 100.00 | AA- | 126,225 | ||
| 500 | 5.500%, 8/15/23 | 3/19 at 100.00 | AA- | 501,490 | ||
| California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005A: | ||||||
| 2,235 | 5.750%, 7/01/30 | 3/19 at 100.00 | CC | 2,011,768 | ||
| 155 | 5.750%, 7/01/35 | 3/19 at 100.00 | CC | 139,511 | ||
| 2,240 | California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005G, 5.500%, 7/01/22 | 3/19 at 100.00 | CC | 2,017,254 | ||
| 3,000 | Kaweah Delta Health Care District, California, Revenue Bonds, Series 2015B, 5.000%, 6/01/40 | 6/25 at 100.00 | A3 | 3,226,530 | ||
| 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- | 1,382,913 | ||
| 1,580 | Oak Valley Hospital District, Stanislaus County, California, Revenue Bonds, Series 2010A, 7.000%, 11/01/35 | 11/20 at 100.00 | BB | 1,621,096 | ||
| 127,345 | Total Health Care | 138,025,366 |
58
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Housing/Multifamily – 0.8% | ||||||
| California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Affordable Housing Inc. Projects, Senior Series 2014A: | ||||||
| $170 | 5.250%, 8/15/39 | 8/24 at 100.00 | BBB+ | $184,459 | ||
| 455 | 5.250%, 8/15/49 | 8/24 at 100.00 | BBB+ | 491,127 | ||
| 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 | 1,678,086 | ||
| 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 | N/R | 1,091,090 | ||
| 3,905 | California Statewide Community Development Authority, Multifamily Housing Revenue Senior Bonds, Westgate Courtyards Apartments, Series 2001X-1, 5.420%, 12/01/34 – AMBAC Insured (AMT) | 3/19 at 100.00 | N/R | 3,907,499 | ||
| 1,625 | Independent Cities Finance Authority, California, Mobile Home Park Revenue Bonds, Palomar Estates West, Refunding Series 2015, 5.000%, 9/15/25 | No Opt. Call | N/R | 1,742,894 | ||
| 1,485 | San Dimas Housing Authority, California, Mobile Home Park Revenue Bonds, Charter Oak Mobile Home Estates Acquisition Project, Series 1998A, 5.700%, 7/01/28 | 3/19 at 100.00 | N/R | 1,487,138 | ||
| 810 | San Jose, California, Multifamily Housing Senior Lien Revenue Bonds, Fallen Leaves Apartments, Series 2002J1, 4.950%, 12/01/22 – AMBAC Insured (AMT) | 3/19 at 100.00 | N/R | 810,721 | ||
| 11,030 | Total Housing/Multifamily | 11,393,014 | ||||
| Long-Term Care – 0.1% | ||||||
| 1,275 | California Health Facilities Financing Authority, Revenue Bonds, Northern California Presbyterian Homes & Services Inc., Refunding Series 2015, 5.000%, 7/01/44 | 7/25 at 100.00 | AA- | 1,435,140 | ||
| 560 | California Statewide Community Development Authority, Revenue Bonds, Los Angeles Jewish Home for the Aging, Series 2008, 4.500%, 11/15/19 | 3/19 at 100.00 | AA- | 561,249 | ||
| 1,835 | Total Long-Term Care | 1,996,389 | ||||
| Tax Obligation/General – 17.8% | ||||||
| 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 | 848,180 | ||
| 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 | Aa3 | 4,608,520 | ||
| 8,310 | Antelope Valley Community College District, Los Angeles County, California, General Obligation Bonds, Election 2016 Series 2017A, 5.250%, 8/01/42 | 2/27 at 100.00 | AA | 9,673,588 | ||
| 5,570 | Bakersfield City School District, Kern County, California, General Obligation Bonds, Series 2012C, 0.000%, 5/01/42 (4) | 5/40 at 100.00 | Aa3 | 3,613,872 | ||
| 3,565 | California State, General Obligation Bonds, Refunding Various Purpose Series 2016, 5.000%, 9/01/32 | 9/26 at 100.00 | AA- | 4,173,332 | ||
| 1,205 | California State, General Obligation Bonds, Various Purpose Refunding Series 2014, 5.000%, 8/01/33 | 8/24 at 100.00 | AA- | 1,368,289 | ||
| 21,830 | California State, General Obligation Bonds, Various Purpose Refunding Series 2015, 5.000%, 8/01/33 | 2/25 at 100.00 | AA- | 24,844,941 | ||
| 5,000 | California State, General Obligation Bonds, Various Purpose Refunding Series 2016, 5.000%, 9/01/34 | 9/26 at 100.00 | AA- | 5,809,250 |
59
Nuveen California Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/General(continued) | ||||||
| California State, General Obligation Bonds, Various Purpose Series 2009: | ||||||
| $600 | 5.625%, 4/01/26 | 4/19 at 100.00 | AA- | $601,824 | ||
| 5,000 | 5.500%, 11/01/34 | 11/19 at 100.00 | AA- | 5,125,750 | ||
| 4,060 | 6.000%, 11/01/39 | 11/19 at 100.00 | AA- | 4,175,588 | ||
| California State, General Obligation Bonds, Various Purpose Series 2010: | ||||||
| 5,000 | 5.250%, 3/01/30 | 3/20 at 100.00 | AA- | 5,161,750 | ||
| 10,000 | 5.500%, 3/01/40 | 3/20 at 100.00 | AA- | 10,324,900 | ||
| 4,000 | 5.250%, 11/01/40 | 11/20 at 100.00 | AA- | 4,200,880 | ||
| 2,000 | California State, General Obligation Bonds, Various Purpose Series 2011, 5.250%, 10/01/32 | 10/21 at 100.00 | AA- | 2,168,660 | ||
| California State, General Obligation Bonds, Various Purpose Series 2013: | ||||||
| 5,860 | 5.000%, 2/01/38 | 2/23 at 100.00 | AA- | 6,420,392 | ||
| 1,430 | 5.000%, 2/01/43 | 2/23 at 100.00 | AA- | 1,557,270 | ||
| California State, General Obligation Bonds, Various Purpose Series 2014: | ||||||
| 15,000 | 5.000%, 10/01/37 | 10/24 at 100.00 | AA- | 16,914,600 | ||
| 2,470 | 5.000%, 5/01/44 | 5/24 at 100.00 | AA- | 2,721,446 | ||
| California State, General Obligation Bonds, Various Purpose Series 2015: | ||||||
| 3,000 | 5.000%, 3/01/45 | 3/25 at 100.00 | AA- | 3,330,570 | ||
| 3,000 | 5.000%, 8/01/45 | 8/25 at 100.00 | AA- | 3,352,500 | ||
| 4,375 | California State, General Obligation Bonds, Various Purpose Series 2016, 5.000%, 9/01/46 | 9/26 at 100.00 | AA- | 4,941,300 | ||
| 7,200 | California State, General Obligation Bonds, Various Purpose Series 2017, 5.000%, 8/01/46 | 8/26 at 100.00 | AA- | 8,123,040 | ||
| 18,340 | California State, General Obligation Bonds, Various Purpose Series 2018, 5.000%, 10/01/47 | 4/26 at 100.00 | AA- | 20,578,397 | ||
| 5,230 | California State, General Obligation Bonds, Various Purpose Series 2018. Bid Group A/B, 5.000%, 10/01/48 | 10/28 at 100.00 | AA- | 6,034,112 | ||
| 2,880 | Claremont Unified School District, Los Angeles County, California, General Obligation Bonds, Election of 2016, Series 2018, 5.000%, 8/01/48 | 8/28 at 100.00 | Aa2 | 3,331,872 | ||
| 500 | Corona-Norco Unified School District, Riverside County, California, General Obligation Bonds, Capital Appreciation, Election 2006 Refunding Series 2009C, 6.800%, 8/01/39 – AGM Insured | 8/27 at 100.00 | AA | 655,370 | ||
| Fontana Unified School District, San Bernardino County, California, General Obligation Bonds, Refunding Series 2012: | ||||||
| 11,200 | 0.000%, 8/01/40 | 8/22 at 36.36 | Aa3 | 3,754,352 | ||
| 19,700 | 0.000%, 8/01/41 | 8/22 at 34.18 | Aa3 | 6,204,121 | ||
| 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 | Baa2 | 362,685 | ||
| 345 | 5.800%, 8/01/23 – NPFG Insured | No Opt. Call | Baa2 | 402,643 | ||
| 7,000 | Hacienda La Puente Unified School District, Los Angeles County, California, General Obligation Bonds, 2016 Election, Series 2017, 4.000%, 8/01/47 | 8/27 at 100.00 | AAA | 7,193,480 |
60
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/General(continued) | ||||||
| $180 | Jefferson Union High School District, San Mateo County, California, General Obligation Bonds, Series 2000A, 6.250%, 8/01/20 – NPFG Insured | No Opt. Call | A+ | $187,853 | ||
| 30 | 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 | 30,470 | ||
| 5,000 | Los Angeles Unified School District, Los Angeles County, California, General Obligation Bonds, Election 2008 Series 2018B-1, 5.000%, 7/01/38 | 1/28 at 100.00 | AAA | 5,815,250 | ||
| 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 | 151,558 | ||
| 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 | 112,838 | ||
| 2,745 | Palomar Community College District, San Diego County, California, General Obligation Bonds, Election 2006 Series 2017D, 4.000%, 8/01/46 | 8/27 at 100.00 | Aa1 | 2,823,397 | ||
| 9,440 | Paramount Unified School District, Los Angeles County, California, General Obligation Bonds, Election 2006 Series 2011, 0.000%, 8/01/45 | 2/33 at 100.00 | A+ | 9,916,531 | ||
| 3,125 | Rosemead School District, Los Angeles County, California, General Obligation Bonds, Election 2008 Series 2013B, 5.850%, 8/01/43 – AGM Insured | 8/23 at 100.00 | AA | 3,587,937 | ||
| 1,935 | San Benito High School District, San Benito and Santa Clara Counties, California, General Obligation Bonds, 2016 Election Series 2017, 5.250%, 8/01/42 | 8/27 at 100.00 | Aa3 | 2,268,691 | ||
| 2,000 | San Diego Community College District, California, General Obligation Bonds, Refunding Series 2016, 5.000%, 8/01/41 | 8/26 at 100.00 | AAA | 2,300,840 | ||
| 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 | 1,294,527 | ||
| 10,280 | San Mateo County Community College District, California, General Obligation Bonds, Election 2014 Series 2018B, 5.000%, 9/01/45 | 9/28 at 100.00 | AAA | 11,949,061 | ||
| 5,580 | Santa Monica Community College District, Los Angeles County, California, General Obligation Bonds, 2016 Election Series 2018A, 4.000%, 8/01/47 | 8/28 at 100.00 | AA+ | 5,813,021 | ||
| 2,345 | Temecula Valley Unified School District, Riverside County, California, General Obligation Bonds, Election 2012 Series 2018C, 5.250%, 8/01/44 | 2/26 at 100.00 | Aa3 | 2,677,849 | ||
| Tulare Local Health Care District, Tulare County, California, General Obligation Bonds, Series 2009B-1: | ||||||
| 500 | 6.375%, 8/01/25 | 8/19 at 100.00 | Ba3 | 508,150 | ||
| 1,005 | 6.500%, 8/01/26 | 8/19 at 100.00 | Ba3 | 1,021,422 | ||
| 2,000 | Victor Valley Union High School District, San Bernardino County, California, General Obligation Bonds, Series 2009A, 0.000%, 8/01/31 – AGC Insured (4) | 8/26 at 100.00 | AA | 2,290,660 | ||
| 1,395 | Walnut Valley Unified School District, Los Angeles County, California, General Obligation Bonds, Election 2007 Measure S, Series 2014C, 5.000%, 8/01/39 | 8/24 at 100.00 | Aa1 | 1,596,243 | ||
| 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 | 750,129 | ||
| 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 | AA- | 1,351,757 | ||
| 770 | West Covina Unified School District, Los Angeles County, California, General Obligation Bonds, Series 2002A Refunding, 5.350%, 2/01/20 – NPFG Insured | No Opt. Call | A+ | 796,349 | ||
| 12,060 | Westminster School District, Orange County, California, General Obligation Bonds, Election 2008 Series 2013A, 0.000%, 8/01/52 – BAM Insured | 8/39 at 100.00 | AA | 7,191,740 |
61
Nuveen California Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/General(continued) | ||||||
| $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- | $384,770 | ||
| 3,500 | Yosemite Community College District, California, General Obligation Bonds, Capital Appreciation, Election 2004, Series 2010D, 0.000%, 8/01/42 (4) | No Opt. Call | Aa2 | 2,430,855 | ||
| 1,700 | Yosemite Community College District, California, General Obligation Bonds, Refunding Series 2015, 5.000%, 8/01/32 | 8/25 at 100.00 | Aa2 | 1,987,215 | ||
| 259,110 | Total Tax Obligation/General | 251,816,587 | ||||
| Tax Obligation/Limited – 17.5% | ||||||
| 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 | 1,071,500 | ||
| 995 | 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 | 1,082,809 | ||
| 1,655 | Bell Community Housing Authority, California, Lease Revenue Bonds, Series 2005, 5.000%, 10/01/36 – AMBAC Insured | 3/19 at 100.00 | N/R | 1,647,271 | ||
| 2,250 | Brea and Olinda Unified School District, Orange County, California, Certificates of Participation Refunding, Series 2002A, 5.125%, 8/01/26 – AGM Insured | 3/19 at 100.00 | AA | 2,256,322 | ||
| 2,725 | California Community College Financing Authority, Lease Revenue Bonds, Refunding Series 2003, 0.000%, 6/01/33 – AMBAC Insured | No Opt. Call | AA+ | 1,580,336 | ||
| 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 | 3/19 at 100.00 | AA+ | 1,965,037 | ||
| 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+ | 2,239,300 | ||
| 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+ | 5,839,258 | ||
| 2,600 | 5.000%, 10/01/33 | 10/24 at 100.00 | A+ | 2,957,968 | ||
| 3,820 | 5.000%, 10/01/34 | 10/24 at 100.00 | A+ | 4,335,242 | ||
| 2,000 | 5.000%, 10/01/39 | 10/24 at 100.00 | A+ | 2,242,020 | ||
| 1,000 | California State Public Works Board, Lease Revenue Bonds, Judicial Council of California, Various Projects Series 2013A, 5.000%, 3/01/30 | 3/23 at 100.00 | A+ | 1,110,400 | ||
| 745 | 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 | 765,190 | ||
| 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 | AA- | 2,187,217 | ||
| 2,165 | 5.500%, 9/01/29 | 9/23 at 100.00 | AA- | 2,454,807 | ||
| 1,520 | 5.500%, 9/01/30 | 9/23 at 100.00 | AA- | 1,717,159 | ||
| 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 | 682,011 | ||
| 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 | 1,466,567 | ||
| 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+ | 1,206,757 |
62
| 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 | $1,707,330 | ||
| Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement Asset-Backed Revenue Bonds, Refunding Series 2015A: | ||||||
| 38,300 | 5.000%, 6/01/40 | 6/25 at 100.00 | A+ | 42,362,864 | ||
| 22,230 | 5.000%, 6/01/45 | 6/25 at 100.00 | A+ | 24,429,214 | ||
| Government of Guam, Business Privilege Tax Bonds, Refunding Series 2015D: | ||||||
| 7,500 | 5.000%, 11/15/28 | 11/25 at 100.00 | BB | 8,237,775 | ||
| 6,375 | 5.000%, 11/15/29 | 11/25 at 100.00 | BB | 6,966,919 | ||
| 3,725 | 5.000%, 11/15/39 | 11/25 at 100.00 | BB | 3,918,253 | ||
| 1,660 | Highland, California, Special Tax Bonds, Communitiy Facilities District 01-1, Refunding, Series 2011, 5.500%, 9/01/28 | 9/21 at 100.00 | A- | 1,806,528 | ||
| 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 | 1,080,330 | ||
| 620 | 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 | 658,781 | ||
| 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 | 776,275 | ||
| 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 | 1,176,361 | ||
| 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 | 533,060 | ||
| 750 | 5.000%, 9/01/44 | 9/24 at 100.00 | N/R | 797,288 | ||
| 150 | Jurupa Public Financing Authority, California, Special Tax Revenue Bonds, Series 2015A, 5.000%, 9/01/23 | No Opt. Call | A+ | 170,681 | ||
| 790 | Lake Elsinore Public Financing Authority, California, Local Agency Revenue Bonds, Canyon Hills Improvement Area A & C, Series 2014C, 5.000%, 9/01/40 | 9/24 at 100.00 | N/R | 840,615 | ||
| 1,620 | 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 | 1,750,248 | ||
| Lammersville Joint Unified School District, California, Special Tax Bonds, Community Facilities District 2007-1 Mountain House - Shea Homes Improvement Area 1, Series 2013: | ||||||
| 1,000 | 6.000%, 9/01/38 | 9/23 at 100.00 | N/R | 1,119,390 | ||
| 1,750 | 6.000%, 9/01/43 | 9/23 at 100.00 | N/R | 1,972,967 | ||
| 1,870 | Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Area Sheriff's Facilities Projects, Refunding Series 2004, 5.000%, 12/01/23 – SYNCORA GTY Insured | 3/19 at 100.00 | A | 1,874,301 | ||
| 1,120 | Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Fire Protection Facilities Project, Refunding Series 2004, 5.000%, 12/01/23 – SYNCORA GTY Insured | 3/19 at 100.00 | A | 1,122,554 | ||
| 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 | 1,069,080 | ||
| 1,875 | Los Angeles County Metropolitan Transportation Authority, California, Measure R Sales Tax Revenue Bonds, Senior Series 2016A, 5.000%, 6/01/36 | 6/26 at 100.00 | AAA | 2,172,975 |
63
Nuveen California Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited(continued) | ||||||
| Los Angeles County Metropolitan Transportation Authority, California, Proposition C Sales Tax Revenue Bonds, Senior Lien Series 2017A: | ||||||
| $15,075 | 5.000%, 7/01/39 | 7/27 at 100.00 | AAA | $17,572,475 | ||
| 5,075 | 5.000%, 7/01/42 | 7/27 at 100.00 | AAA | 5,858,326 | ||
| 100 | 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 | 3/19 at 100.00 | Aa2 | 100,347 | ||
| Menifee Union School District Public Financing Authority, California, Special Tax Revenue Bonds, Series 2016A: | ||||||
| 435 | 5.000%, 9/01/23 | No Opt. Call | N/R | 490,763 | ||
| 760 | 5.000%, 9/01/33 – BAM Insured | 9/25 at 100.00 | AA | 867,479 | ||
| 1,600 | 5.000%, 9/01/35 – BAM Insured | 9/25 at 100.00 | AA | 1,810,960 | ||
| 115 | 5.000%, 9/01/36 – BAM Insured | 9/25 at 100.00 | AA | 129,581 | ||
| 1,455 | Modesto, California, Speical Tax Bonds, Community Faclities District 2004-1 Village One 2, Refunding Series 2014, 5.000%, 9/01/28 | 9/24 at 100.00 | BBB+ | 1,649,766 | ||
| 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 | A- | 4,449,835 | ||
| Oakland Redevelopment Successor Agency, California, Tax Allocation Bonds, Refunding Subordinated Series 2015-TE: | ||||||
| 3,250 | 5.000%, 9/01/35 – AGM Insured | 9/25 at 100.00 | AA | 3,720,047 | ||
| 3,215 | 5.000%, 9/01/36 – AGM Insured | 9/25 at 100.00 | AA | 3,669,665 | ||
| 260 | Orange County, California, Special Tax Bonds, Community Facilities District 2015-1 Esencia Village, Series 2015A, 5.250%, 8/15/45 | 8/25 at 100.00 | N/R | 282,147 | ||
| 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 | 3/19 at 102.00 | CCC+ | 2,372,675 | ||
| Patterson Public Finance Authority, California, Revenue Bonds, Community Facilities District 2001-1, Senior Series 2013A: | ||||||
| 2,665 | 5.250%, 9/01/30 | 9/23 at 100.00 | N/R | 2,880,305 | ||
| 2,385 | 5.750%, 9/01/39 | 9/23 at 100.00 | N/R | 2,588,703 | ||
| 415 | 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 | 452,574 | ||
| 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+ | 1,838,160 | ||
| 2,800 | 5.000%, 9/01/31 | 9/24 at 100.00 | AA+ | 3,202,724 | ||
| 2,400 | 5.000%, 9/01/32 | 9/24 at 100.00 | AA+ | 2,734,536 | ||
| 780 | Rancho Cucamonga, California, Limited Obligation Improvement Bonds, Masi Plaza Assessment District 93-1, Series 1997, 6.250%, 9/02/22 | 9/19 at 100.00 | N/R | 789,422 | ||
| 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 | 1,227,871 | ||
| 100 | Riverside County Redevelopment Agency, California, Tax Allocation Bonds, Jurupa Valley Project Area, Series 2011B, 6.500%, 10/01/25 | 10/21 at 100.00 | A | 111,588 |
64
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited(continued) | ||||||
| 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 | $1,104,760 | ||
| 1,000 | 5.000%, 9/01/29 | 9/25 at 100.00 | N/R | 1,097,990 | ||
| 1,000 | 5.000%, 9/01/30 | 9/25 at 100.00 | N/R | 1,094,940 | ||
| 6,960 | Sacramento Area Flood Control Agency, California, Consolidated Capital Assessment District 2 Bonds, Series 2016A, 5.000%, 10/01/41 | 10/26 at 100.00 | AA | 7,913,381 | ||
| 630 | Sacramento City Financing Authority, California, Lease Revenue Refunding Bonds, Series 1993A, 5.400%, 11/01/20 – AMBAC Insured | No Opt. Call | A+ | 654,753 | ||
| 185 | Sacramento City Financing Authority, California, Lease Revenue Refunding Bonds, Series 1993B, 5.400%, 11/01/20 | No Opt. Call | AAA | 192,269 | ||
| 200 | San Clemente, California, Special Tax Revenue Bonds, Community Facilities District 2006-1 Marblehead Coastal, Series 2015, 5.000%, 9/01/40 | 9/25 at 100.00 | N/R | 214,286 | ||
| 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 | 8/24 at 100.00 | N/R | 474,134 | ||
| 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 | 2,099,123 | ||
| 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+ | 5,519,274 | ||
| 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 | 195,892 | ||
| 2,235 | Stockton Public Financing Authority, California, Revenue Bonds, Arch Road East Community Facility District 99-02, Series 2018A, 5.000%, 9/01/43 | 9/25 at 103.00 | N/R | 2,370,173 | ||
| 105 | Temecula Public Financing Authority, California, Special Tax Bonds, Community Facilities District 16-01, Series 2017, 6.125%, 9/01/37, 144A | 9/27 at 100.00 | N/R | 106,280 | ||
| Tustin, California, Special Tax Bonds, Community Facilities District 06-1 Tustin Legacy/Columbus Villages, Refunding Series 2015A: | ||||||
| 500 | 5.000%, 9/01/35 | 9/25 at 100.00 | A- | 564,745 | ||
| 395 | 5.000%, 9/01/37 | 9/25 at 100.00 | A- | 443,707 | ||
| 100 | Tustin, California, Special Tax Bonds, Community Facilities District 14-1 Tustin Legacy/Standard Pacific, Refunding Series 2015A, 5.000%, 9/01/45 | 9/25 at 100.00 | N/R | 107,800 | ||
| 50 | Tustin, California,Special Tax Bonds, Community Facilities District 14-1 Tustin Legacy/Standard Pacific, Refunding Series 2015A, 5.000%, 9/01/40 | 9/25 at 100.00 | N/R | 54,050 | ||
| 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+ | 1,150,796 | ||
| 25 | Vernon Redevelopment Agency, California, Tax Allocation Bonds, Industrial Redevelopment Project, Series 2005, 5.000%, 9/01/35 – NPFG Insured | 3/19 at 100.00 | Baa2 | 25,015 | ||
| Vista Community Development Commission Taxable Non-Housing Tax Allocation Revenue Bonds, California, Vista Redevlopment Project, Series 2011: | ||||||
| 7,600 | 6.000%, 9/01/33 | 9/21 at 100.00 | AA- | 8,388,424 | ||
| 7,920 | 6.125%, 9/01/37 | 9/21 at 100.00 | AA- | 8,757,461 | ||
| 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+ | 1,694,554 | ||
| 226,265 | Total Tax Obligation/Limited | 248,374,716 |
65
Nuveen California Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Transportation – 12.9% | ||||||
| Alameda Corridor Transportation Authority, California, Revenue Bonds, Refunding Second Subordinate Lien Series 2016B: | ||||||
| $2,000 | 5.000%, 10/01/34 | 10/26 at 100.00 | BBB+ | $2,230,140 | ||
| 2,570 | 5.000%, 10/01/37 | 10/26 at 100.00 | BBB+ | 2,834,145 | ||
| 50 | Alameda Corridor Transportation Authority, California, Revenue Bonds, Refunding Subordinate Lien Series 2016A, 5.000%, 10/01/25 | No Opt. Call | BBB+ | 57,529 | ||
| 8,000 | Bay Area Toll Authority, California, Revenue Bonds, San Francisco Bay Area Toll Bridge, Subordinate Series 2019S-H, 5.000%, 4/01/44 | 4/29 at 100.00 | AA- | 9,219,040 | ||
| 3,780 | Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Bonds, Refunding Junior Lien Series 2013C, 6.500%, 1/15/43 | 1/24 at 100.00 | BBB+ | 4,355,089 | ||
| Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Bonds, Refunding Series 2013A: | ||||||
| 8,335 | 5.750%, 1/15/46 | 1/24 at 100.00 | A- | 9,366,623 | ||
| 8,415 | 6.000%, 1/15/53 | 1/24 at 100.00 | A- | 9,632,819 | ||
| 4,000 | Guam International Airport Authority, Revenue Bonds, Series 2013C, 5.000%, 10/01/21 (AMT) | No Opt. Call | BBB+ | 4,123,720 | ||
| Long Beach, California, Harbor Revenue Bonds, Series 2015D: | ||||||
| 1,000 | 5.000%, 5/15/33 | 5/25 at 100.00 | AA | 1,162,600 | ||
| 2,785 | 5.000%, 5/15/34 | 5/25 at 100.00 | AA | 3,227,341 | ||
| 3,135 | Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Senior Lien Series 2015D, 5.000%, 5/15/35 (AMT) | 5/25 at 100.00 | AA | 3,515,244 | ||
| Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Senior Lien Series 2015E: | ||||||
| 250 | 5.000%, 5/15/32 | 5/25 at 100.00 | AA | 288,300 | ||
| 600 | 5.000%, 5/15/33 | 5/25 at 100.00 | AA | 689,304 | ||
| 1,305 | 5.000%, 5/15/35 | 5/25 at 100.00 | AA | 1,489,553 | ||
| 355 | 5.000%, 5/15/41 | 5/25 at 100.00 | AA | 399,134 | ||
| 2,255 | Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Subordinate Lien Series 2016B, 5.000%, 5/15/46 (AMT) | 5/26 at 100.00 | AA- | 2,489,543 | ||
| 15,650 | Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Subordinate Lien Series 2017A, 5.000%, 5/15/47 (AMT) | 5/27 at 100.00 | AA- | 17,435,978 | ||
| Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Subordinate Lien Series 2018A: | ||||||
| 10,800 | 5.000%, 5/15/44 (AMT) | 5/28 at 100.00 | AA- | 12,173,544 | ||
| 6,995 | 5.250%, 5/15/48 (AMT) | 5/28 at 100.00 | AA- | 8,030,330 | ||
| Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Subordinate Lien Series 2018C: | ||||||
| 1,935 | 5.000%, 5/15/36 (AMT) | 11/27 at 100.00 | AA- | 2,217,007 | ||
| 1,800 | 5.000%, 5/15/38 (AMT) | 11/27 at 100.00 | AA- | 2,043,198 | ||
| 12,665 | 5.000%, 5/15/44 (AMT) | 11/27 at 100.00 | AA- | 14,220,642 |
66
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Transportation(continued) | ||||||
| Palm Springs Financing Authority, California, Palm Springs International Airport Revenue Bonds, Series 2006: | ||||||
| $150 | 5.450%, 7/01/20 (AMT) | 3/19 at 100.00 | N/R | $150,058 | ||
| 125 | 5.550%, 7/01/28 (AMT) | 3/19 at 100.00 | N/R | 125,037 | ||
| 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 | 3,816,365 | ||
| 8,250 | 5.750%, 6/01/48 | 6/23 at 100.00 | BBB | 8,982,105 | ||
| 2,300 | San Francisco Airports Commission, California, Revenue Bonds, San Francisco International Airport, Governmental Purpose Second Series 2017B, 5.000%, 5/01/47 | 5/27 at 100.00 | A+ | 2,596,447 | ||
| 6,500 | San Francisco Airports Commission, California, Revenue Bonds, San Francisco International Airport, Second Governmental Purpose Series 2016C, 5.000%, 5/01/46 | 5/26 at 100.00 | A+ | 7,260,760 | ||
| 10,000 | San Francisco Airports Commission, California, Revenue Bonds, San Francisco International Airport, Second Series 2016B, 5.000%, 5/01/46 (AMT) | 5/26 at 100.00 | A+ | 11,015,500 | ||
| San Francisco Airports Commission, California, Revenue Bonds, San Francisco International Airport, Second Series 2017A: | ||||||
| 7,500 | 5.250%, 5/01/42 (AMT) | 5/27 at 100.00 | A+ | 8,552,925 | ||
| 10,955 | 5.000%, 5/01/47 (AMT) | 5/27 at 100.00 | A+ | 12,192,258 | ||
| San Francisco Airports Commission, California, Revenue Bonds, San Francisco International Airport, Second Series 2018D: | ||||||
| 5,000 | 5.000%, 5/01/48 (AMT) | 5/28 at 100.00 | A+ | 5,610,450 | ||
| 5,000 | 5.250%, 5/01/48 (AMT) | 5/28 at 100.00 | A+ | 5,729,100 | ||
| 5,000 | San Francisco Airports Commission, California, Revenue Bonds, San Francisco International Airport, Second Series 2018E, 5.000%, 5/01/48 | 5/28 at 100.00 | A+ | 5,698,950 | ||
| 162,960 | Total Transportation | 182,930,778 | ||||
| U.S. Guaranteed – 10.0% (5) | ||||||
| Antelope Valley Healthcare District, California, Revenue Bonds, Series 2011A: | ||||||
| 1,810 | 7.000%, 3/01/31 (Pre-refunded 3/01/21) | 3/21 at 100.00 | N/R | 2,000,846 | ||
| 2,000 | 7.250%, 3/01/36 (Pre-refunded 3/01/21) | 3/21 at 100.00 | N/R | 2,220,640 | ||
| 2,665 | Brea Redevelopment Agency, Orange County, California, Tax Allocation Bonds, Project Area AB, Series 2011A, 0.000%, 8/01/34 (Pre-refunded 8/01/21) | 8/21 at 36.61 | AA- | 938,586 | ||
| 1,000 | California Educational Facilities Authority, Revenue Bonds, Pitzer College, Refunding Series 2009, 5.375%, 4/01/34 (Pre-refunded 4/01/20) | 4/20 at 100.00 | A | 1,042,030 | ||
| 2,025 | California Health Facilities Financing Authority, Refunding Revenue Bonds, Stanford Hospital and Clinics, Series 2010B, 5.750%, 11/15/31 (Pre-refunded 11/15/20) | 11/20 at 100.00 | AA | 2,171,468 | ||
| 2,000 | California Health Facilities Financing Authority, Revenue Bonds, Sutter Health, Series 2011B, 6.000%, 8/15/42 (Pre-refunded 8/15/20) | 8/20 at 100.00 | AA- | 2,130,740 | ||
| 1,410 | California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects Series 2010A, 6.400%, 8/15/45 (Pre-refunded 8/15/20) | 8/20 at 100.00 | BBB | 1,497,209 | ||
| 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 | 1,041,850 | ||
| 1,500 | California Municipal Finance Authority, Revenue Bonds, University of La Verne, Series 2010A, 6.125%, 6/01/30 (Pre-refunded 6/01/20) | 6/20 at 100.00 | A3 | 1,586,520 |
67
Nuveen California Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| U.S. Guaranteed (5) (continued) | ||||||
| $2,000 | California Municipal Finance Authority, Senior Living Revenue Bonds, Pilgrim Place at Claremont, Series 2009A, 6.125%, 5/15/39 (Pre-refunded 5/15/19) | 5/19 at 100.00 | AA- | $2,018,480 | ||
| 695 | California State Public Works Board, Lease Revenue Bonds, California State University, J. Paul Leonard & Sutro Library, Series 2009J, 5.500%, 11/01/26 (Pre-refunded 11/01/19) | 11/19 at 100.00 | A+ | 713,689 | ||
| California State Public Works Board, Lease Revenue Bonds, California State University, Various University Projects, Series 2012D: | ||||||
| 3,000 | 5.000%, 9/01/33 (Pre-refunded 9/01/22) | 9/22 at 100.00 | A+ | 3,367,860 | ||
| 4,000 | 5.000%, 9/01/34 (Pre-refunded 9/01/22) | 9/22 at 100.00 | A+ | 4,490,480 | ||
| 2,500 | California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Series 2009G-1, 5.750%, 10/01/30 (Pre-refunded 10/01/19) | 10/19 at 100.00 | A+ | 2,562,625 | ||
| 2,000 | California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Series 2009-I, 6.375%, 11/01/34 (Pre-refunded 11/01/19) | 11/19 at 100.00 | A+ | 2,065,200 | ||
| 3,000 | California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Series 2010A-1, 6.000%, 3/01/35 (Pre-refunded 3/01/20) | 3/20 at 100.00 | A+ | 3,136,650 | ||
| 2,000 | California Statewide Communities Development Authority, Health Facility Revenue Bonds, Community Hospital of the Monterey Peninsula, Series 2011A, 6.000%, 6/01/33 (Pre-refunded 6/01/21) | 6/21 at 100.00 | N/R | 2,199,020 | ||
| 2,010 | California Statewide Community Development Authority, Revenue Bonds, Methodist Hospital Project, Series 2009, 6.750%, 2/01/38 (Pre-refunded 8/01/19) | 8/19 at 100.00 | N/R | 2,053,094 | ||
| 855 | Central Unified School District, Fresno County, California, General Obligation Bonds, Election 2008 Series 2009A, 5.625%, 8/01/33 (Pre-refunded 8/01/19) – AGC Insured | 8/19 at 100.00 | AA | 869,638 | ||
| 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 (Pre-refunded 8/01/19) – AGC Insured | 8/19 at 100.00 | AA | 1,015,600 | ||
| 1,705 | Cupertino Union School District, Santa Clara County, California, General Obligation Bonds, Series 2010D, 0.000%, 8/01/30 (Pre-refunded 8/01/20) | 8/20 at 52.75 | AA+ | 879,507 | ||
| 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 (Pre-refunded 6/01/20) | 6/20 at 100.00 | N/R | 1,055,510 | ||
| 950 | Grossmont Union High School District, San Diego County, California, General Obligation Bonds, Election of 2008 Series 2009A, 5.500%, 8/01/31 (Pre-refunded 8/01/19) | 8/19 at 100.00 | Aa2 | 965,789 | ||
| Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Redevelopment Project Areas Housing Programs, Series 2009: | ||||||
| 285 | 6.875%, 8/01/39 (Pre-refunded 8/01/19) | 8/19 at 100.00 | N/R | 291,253 | ||
| 215 | 6.875%, 8/01/39 (Pre-refunded 8/01/19) | 8/19 at 100.00 | BBB | 219,717 | ||
| 470 | Long Beach Unified School District, Los Angeles County, California, General Obligation Bonds, Election of 2008, Series 2009A, 5.500%, 8/01/29 (Pre-refunded 8/01/19) | 8/19 at 100.00 | N/R | 477,811 | ||
| Los Angeles, California, Wastewater System Revenue Bonds, Refunding Series 2009A: | ||||||
| 2,080 | 5.750%, 6/01/26 (Pre-refunded 6/01/19) | 6/19 at 100.00 | N/R | 2,101,320 | ||
| 1,665 | 5.750%, 6/01/26 (Pre-refunded 6/01/19) | 6/19 at 100.00 | AA+ | 1,682,483 |
68
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| U.S. Guaranteed (5) (continued) | ||||||
| Marysville, California, Revenue Bonds, Fremont-Rideout Health Group, Series 2011: | ||||||
| $2,040 | 5.250%, 1/01/27 (Pre-refunded 1/01/21) | 1/21 at 100.00 | N/R | $2,179,087 | ||
| 515 | 5.125%, 1/01/33 (Pre-refunded 1/01/21) | 1/21 at 100.00 | N/R | 548,954 | ||
| 1,260 | 5.200%, 1/01/34 (Pre-refunded 1/01/21) | 1/21 at 100.00 | N/R | 1,344,773 | ||
| 4,125 | 5.250%, 1/01/35 (Pre-refunded 1/01/21) | 1/21 at 100.00 | N/R | 4,406,243 | ||
| 275 | 5.250%, 1/01/37 (Pre-refunded 1/01/21) | 1/21 at 100.00 | N/R | 293,750 | ||
| 4,580 | 5.250%, 1/01/42 (Pre-refunded 1/01/21) | 1/21 at 100.00 | N/R | 4,892,264 | ||
| National City Community Development Commission, California, Tax Allocation Bonds, National City Redevelopment Project, Series 2011: | ||||||
| 625 | 6.500%, 8/01/24 (Pre-refunded 8/01/21) | 8/21 at 100.00 | A | 699,825 | ||
| 3,455 | 7.000%, 8/01/32 (Pre-refunded 8/01/21) | 8/21 at 100.00 | A | 3,905,912 | ||
| 10,000 | Newport-Mesa Unified School District, Orange County, California, General Obligation Bonds, Election of 2005, Series 2011, 0.000%, 8/01/41 (Pre-refunded 8/01/21) | 8/21 at 24.49 | Aaa | 2,358,300 | ||
| 1,000 | Norco Redevelopment Agency, California, Tax Allocation Refunding Bonds, Project Area 1, Refunding Series 2010, 6.000%, 3/01/36 (Pre-refunded 3/01/20) | 3/20 at 100.00 | N/R | 1,044,530 | ||
| 805 | Oakdale Irrigation District, California, Certificates of Participation, Water Facilities Project, Series 2009, 5.500%, 8/01/34 (Pre-refunded 8/01/19) | 8/19 at 100.00 | AA | 818,379 | ||
| 7,600 | Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2009, 6.750%, 11/01/39 (Pre-refunded 11/01/19) | 11/19 at 100.00 | N/R | 7,858,172 | ||
| 3,625 | Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2010, 6.000%, 11/01/41 (Pre-refunded 11/01/20) | 11/20 at 100.00 | Ba1 | 3,889,879 | ||
| 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 (Pre-refunded 9/01/21) – AGM Insured | 9/21 at 27.77 | AA | 1,065,760 | ||
| 1,045 | Rancho Santa Fe CSD Financing Authority, California, Revenue Bonds, Superior Lien Series 2011A, 5.750%, 9/01/30 (Pre-refunded 9/01/21) | 9/21 at 100.00 | A- | 1,154,035 | ||
| Riverside County Redevelopment Agency, California, Tax Allocation Bonds, Interstate 215 Corridor Redevelopment Project Area, Series 2010E: | ||||||
| 2,950 | 6.250%, 10/01/30 (Pre-refunded 10/01/20) | 10/20 at 100.00 | A- | 3,171,103 | ||
| 480 | 6.500%, 10/01/40 (Pre-refunded 10/01/20) | 10/20 at 100.00 | A- | 517,762 | ||
| 6,470 | Riverside County Transportation Commission, California, Sales Tax Revenue Bonds, Limited Tax Series 2013A, 5.250%, 6/01/39 (Pre-refunded 6/01/23) | 6/23 at 100.00 | AA+ | 7,471,944 | ||
| 2,000 | San Diego Unified School District, San Diego County, California, General Obligation Bonds, Series 2009A, 0.000%, 7/01/33 (Pre-refunded 7/01/24) (4) | 7/24 at 100.00 | Aa2 | 2,387,120 | ||
| 525 | San Francisco Redevelopment Finance Authority, California, Tax Allocation Revenue Bonds, Mission Bay North Redevelopment Project, Series 2009C, 6.375%, 8/01/32 (Pre-refunded 8/01/19) | 8/19 at 100.00 | A- | 535,694 | ||
| 1,185 | San Francisco Redevelopment Finance Authority, California, Tax Allocation Revenue Bonds, Mission Bay North Redevelopment Project, Series 2011C, 6.750%, 8/01/41 (Pre-refunded 2/01/21) | 2/21 at 100.00 | A- | 1,303,713 | ||
| San Francisco Redevelopment Financing Authority, California, Tax Allocation Revenue Bonds, Mission Bay South Redevelopment Project, Series 2011D: | ||||||
| 80 | 7.000%, 8/01/33 (Pre-refunded 2/01/21) | 2/21 at 100.00 | BBB+ | 88,326 | ||
| 105 | 7.000%, 8/01/41 (Pre-refunded 2/01/21) | 2/21 at 100.00 | BBB+ | 115,927 |
69
Nuveen California Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| U.S. Guaranteed (5) (continued) | ||||||
| $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 (Pre-refunded 8/01/20) | 8/20 at 100.00 | AA | $3,698,380 | ||
| 1,000 | San Lorenzo Unified School District, Alameda County, California, General Obligation Bonds, Election of 2008 Series 2011B, 6.000%, 8/01/41 (Pre-refunded 8/01/21) | 8/21 at 100.00 | A+ | 1,108,040 | ||
| 2,140 | Santa Ana Community Redevelopment Agency, California, Tax Allocation Bonds, Merged Project Area, Series 2011A, 6.750%, 9/01/28 (Pre-refunded 3/01/21) | 3/21 at 100.00 | AA+ | 2,361,426 | ||
| 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 (Pre-refunded 9/01/19) | 9/19 at 100.00 | N/R | 1,906,891 | ||
| 2,805 | 7.000%, 9/01/36 (Pre-refunded 9/01/19) | 9/19 at 100.00 | N/R | 2,880,286 | ||
| 3,500 | Santee Community Development Commission, California, Santee Redevelopment Project Tax Allocation Bonds, Series 2011A, 6.500%, 8/01/26 (Pre-refunded 2/01/21) | 2/21 at 100.00 | A | 3,834,215 | ||
| 500 | Temecula Redevelopment Agency, California, Redevelopment Project 1 Tax Allocation Housing Bonds Series 2011A, 6.750%, 8/01/31 (Pre-refunded 8/01/21) | 8/21 at 100.00 | BBB+ | 562,105 | ||
| 1,225 | Turlock Public Financing Authority, California, Tax Allocation Revenue Bonds, Series 2011, 7.000%, 9/01/25 (Pre-refunded 3/01/21) | 3/21 at 100.00 | A- | 1,357,998 | ||
| 240 | Union City Community Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Project, Subordinate Lien Series 2011, 6.375%, 12/01/23 (Pre-refunded 12/01/21) | 12/21 at 100.00 | A+ | 271,860 | ||
| University of California, General Revenue Bonds, Series 2009O: | ||||||
| 925 | 5.250%, 5/15/39 (Pre-refunded 5/15/19) | 5/19 at 100.00 | N/R | 932,058 | ||
| 1,620 | 5.250%, 5/15/39 (Pre-refunded 5/15/19) | 5/19 at 100.00 | N/R | 1,632,361 | ||
| 3,145 | 5.250%, 5/15/39 (Pre-refunded 5/15/19) | 5/19 at 100.00 | AA | 3,168,996 | ||
| 3,040 | Upland, California, Certificates of Participation, San Antonio Community Hospital, Series 2011, 6.500%, 1/01/41 (Pre-refunded 1/01/21) | 1/21 at 100.00 | BBB+ | 3,311,958 | ||
| 1,555 | Victor Valley Community College District, San Bernardino County, California, General Obligation Bonds, Election of 2008 Series 2009A, 5.000%, 8/01/31 (Pre-refunded 8/01/19) | 8/19 at 100.00 | Aa2 | 1,578,014 | ||
| Westminster Redevelopment Agency, California, Tax Allocation Bonds, Commercial Redevelopment Project 1, Police Facility Subordinate Series 2009: | ||||||
| 10,710 | 6.250%, 11/01/39 (Pre-refunded 11/01/19) | 11/19 at 100.00 | N/R | 11,043,188 | ||
| 2,395 | 5.750%, 11/01/45 (Pre-refunded 11/01/19) | 11/19 at 100.00 | N/R | 2,461,701 | ||
| 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 (Pre-refunded 9/01/21) | 9/21 at 100.00 | N/R | 359,155 | ||
| 146,065 | Total U.S. Guaranteed | 141,315,699 | ||||
| Utilities – 8.8% | ||||||
| 15,435 | Department of Water and Power of the City of Los Angeles, California, Power System Revenue Bonds, Series 2018D, 5.000%, 7/01/38 | 7/28 at 100.00 | AA | 18,117,448 | ||
| 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 | 2,203,350 |
70
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Utilities(continued) | ||||||
| Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2016A: | ||||||
| $3,300 | 5.000%, 7/01/40 | 1/26 at 100.00 | AA | $3,715,635 | ||
| 6,445 | 5.000%, 7/01/46 | 1/26 at 100.00 | AA | 7,204,608 | ||
| 4,165 | Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2016B, 5.000%, 7/01/37 | 1/26 at 100.00 | AA | 4,748,850 | ||
| 29,905 | Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2017A, 5.000%, 7/01/42 | 1/27 at 100.00 | AA | 33,982,248 | ||
| 40,800 | Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2017C, 5.000%, 7/01/47 | 7/27 at 100.00 | AA | 46,465,896 | ||
| 7,000 | Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2018A, 5.000%, 7/01/38 | 1/28 at 100.00 | AA | 8,159,200 | ||
| 109,035 | Total Utilities | 124,597,235 | ||||
| Water and Sewer – 10.0% | ||||||
| California Pollution Control Financing Authority, Water Furnishing Revenue Bonds, Poseidon Resources Channelside LP Desalination Project, Series 2012: | ||||||
| 5,000 | 5.000%, 7/01/37 (AMT), 144A | 7/22 at 100.00 | Baa3 | 5,244,450 | ||
| 5,060 | 5.000%, 11/21/45 (AMT), 144A | 7/22 at 100.00 | Baa3 | 5,268,573 | ||
| 2,565 | California Pollution Control Financing Authority, Water Furnishing Revenue Bonds, San Diego County Water Authoriity Desalination Project Pipeline, Refunding Series 2019, 5.000%, 7/01/39, 144A | 1/29 at 100.00 | Baa3 | 2,875,622 | ||
| 355 | California Statewide Community Development Authority, Water and Wastewater Revenue Bonds, Pooled Financing Program, Series 2003A, 5.250%, 10/01/23 – AGM Insured | 3/19 at 100.00 | AA | 356,033 | ||
| 650 | Compton, California, Sewer Revenue Bonds, Series 1998 Refunding, 5.375%, 9/01/23 – NPFG Insured | 2/19 at 100.00 | Baa2 | 651,840 | ||
| East Bay Municipal Utility District, Alameda and Contra Costa Counties, California, Water System Revenue Bonds, Green Series 2017A: | ||||||
| 8,750 | 5.000%, 6/01/42 | 6/27 at 100.00 | AAA | 10,090,237 | ||
| 5,000 | 5.000%, 6/01/45 | 6/27 at 100.00 | AAA | 5,742,550 | ||
| 8,000 | 4.000%, 6/01/45 | 6/27 at 100.00 | AAA | 8,321,200 | ||
| 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 | 6,526,071 | ||
| 13,740 | East Bay Municipal Utility District, Alameda and Contra Costa Counties, California, Water System Revenue Bonds, Series 2015C, 4.000%, 6/01/45 | 6/25 at 100.00 | AAA | 14,171,573 | ||
| 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+ | 1,716,435 | ||
| 6,000 | Irvine Ranch Water District, California, Certificates of Participation, Irvine Ranch Water District Series 2016, 5.000%, 3/01/41 | 9/26 at 100.00 | AAA | 6,877,920 | ||
| Los Angeles Department of Water and Power, California, Waterworks Revenue Bonds, Refunding Series 2016B: | ||||||
| 3,460 | 5.000%, 7/01/33 | 1/26 at 100.00 | AA+ | 4,020,866 | ||
| 4,955 | 5.000%, 7/01/35 | 1/26 at 100.00 | AA+ | 5,709,399 |
71
Nuveen California Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Water and Sewer(continued) | ||||||
| Los Angeles Department of Water and Power, California, Waterworks Revenue Bonds, Series 2017A: | ||||||
| $10,545 | 5.000%, 7/01/44 | 1/27 at 100.00 | AA+ | $11,957,714 | ||
| 5,000 | 5.250%, 7/01/44 | 1/27 at 100.00 | AA+ | 5,778,850 | ||
| 10,000 | Los Angeles, California, Wastewater System Revenue Bonds, Green Series 2015C, 5.000%, 6/01/45 | 6/25 at 100.00 | AA+ | 11,292,600 | ||
| Los Angeles, California, Wastewater System Revenue Bonds, Refunding Green Series 2015A: | ||||||
| 5,000 | 5.000%, 6/01/31 | 6/25 at 100.00 | AA+ | 5,820,850 | ||
| 5,000 | 5.000%, 6/01/32 | 6/25 at 100.00 | AA+ | 5,798,650 | ||
| 2,600 | Los Angeles, California, Wastewater System Revenue Bonds, Refunding Subordinate Lien Series 2013A, 5.000%, 6/01/35 | 6/23 at 100.00 | AA | 2,898,012 | ||
| 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 | 1,021,590 | ||
| San Diego Public Facilities Financing Authority, California, Water Utility Revenue Bonds, Refunding Subordinate Lien Series 2016B: | ||||||
| 7,330 | 5.000%, 8/01/32 | 8/26 at 100.00 | Aa3 | 8,630,342 | ||
| 2,000 | 5.000%, 8/01/39 | 8/26 at 100.00 | Aa3 | 2,282,120 | ||
| 9,235 | San Francisco City and County Public Utilities Commission, California, Wastewater Revenue Bonds, Green Series 2018A, 4.000%, 10/01/43 | 4/28 at 100.00 | AA | 9,534,214 | ||
| 128,440 | Total Water and Sewer | 142,587,711 | ||||
| $1,314,315 | Total Long-Term Investments (cost $1,333,188,081) | 1,391,128,971 | ||||
| Other Assets Less Liabilities – 1.9% | 26,832,350 | |||||
| Net Assets – 100% | $1,417,961,321 |
| (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. Optional Call Provisions are not covered by the report of independent registered public accounting firm. | |
| (3) | For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. 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. Ratings are not covered by the report of independent registered public accounting firm. | |
| (4) | Step-up coupon bond, a bond with a coupon that increases ("steps up"), usually at regular intervals, while the bond is outstanding. The rate shown is the coupon as of the end of the reporting period. | |
| (5) | Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. | |
| 144A | Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers. | |
| AMT | Alternative Minimum Tax |
See accompanying notes to financial statements.
72
Nuveen California Intermediate Municipal Bond Fund
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| LONG-TERM INVESTMENTS – 93.5% | ||||||
| MUNICIPAL BONDS – 93.5% | ||||||
| Consumer Staples – 4.1% | ||||||
| $445 | Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Series 2018A-1, 5.000%, 6/01/31 | 6/28 at 100.00 | BBB | $504,056 | ||
| Education and Civic Organizations – 13.4% | ||||||
| 150 | California Educational Facilities Authority, Revenue Bonds, Art Center College of Design, Series 2018A, 5.000%, 12/01/28 | No Opt. Call | Baa1 | 182,214 | ||
| 35 | California Educational Facilities Authority, Revenue Bonds, Chapman University, Series 2015, 5.000%, 4/01/27 | 4/25 at 100.00 | A2 | 41,015 | ||
| 220 | California Educational Facilities Authority, Revenue Bonds, University of Southern California Series 2012A, 5.000%, 10/01/23 | No Opt. Call | Aa1 | 254,804 | ||
| 150 | California Health Facilities Financing Authority, Revenue Bonds, Los Angeles BioMedical, Series 2018, 5.000%, 9/01/28 | No Opt. Call | Baa2 | 179,622 | ||
| 175 | California Infrastructure and Economic Development Bank, Revenue Bonds, Salvation Army Western Territory, Refunding Series 2016, 5.000%, 9/01/27 | 9/26 at 100.00 | A1 | 210,793 | ||
| 150 | California Municipal Finance Authority, Revenue Bonds, California Lutheran University, Series 2018, 5.000%, 10/01/28 | No Opt. Call | Baa1 | 180,003 | ||
| 100 | California School Finance Authority, School Facility Revenue Bonds, Alliance for College-Ready Public Schools Project, Series 2016C, 5.000%, 7/01/21 | No Opt. Call | BBB | 106,200 | ||
| 400 | University of California, General Revenue Bonds, Series 2017AY, 5.000%, 5/15/30 | 5/27 at 100.00 | AA | 482,704 | ||
| 1,380 | Total Education and Civic Organizations | 1,637,355 | ||||
| Health Care – 13.9% | ||||||
| 150 | California Health Facilities Financing Authority, Revenue Bonds, El Camino Hospital, Series 2017, 5.000%, 2/01/26 | No Opt. Call | AA | 179,745 | ||
| 175 | California Health Facilities Financing Authority, Revenue Bonds, Stanford Health Care, Refunding Series 2017A, 5.000%, 11/15/28 | 11/27 at 100.00 | AA | 216,442 | ||
| 100 | California Municipal Finance Authority, Revenue Bonds, Eisenhower Medical Center, Refunding Series 2017A, 5.000%, 7/01/27 | No Opt. Call | Baa2 | 117,866 | ||
| 60 | California Municipal Finance Authority, Revenue Bonds, NorthBay Healthcare Group, Series 2015, 5.000%, 11/01/22 | No Opt. Call | BBB- | 65,419 | ||
| 100 | California Municipal Finance Authority, Revenue Bonds, NorthBay Healthcare Group, Series 2017A, 5.000%, 11/01/25 | No Opt. Call | BBB- | 114,212 | ||
| 100 | California Public Finance Authority, Revenue Bonds, Henry Mayo Newhall Hospital, Series 2017, 5.000%, 10/15/23 | No Opt. Call | BBB- | 110,191 | ||
| 125 | California Statewide Communities Development Authority, California, Redlands Community Hospital, Revenue Bonds, Series 2016, 5.000%, 10/01/25 | No Opt. Call | A- | 144,231 | ||
| 100 | California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda University Medical Center, Series 2016A, 5.000%, 12/01/28, 144A | 6/26 at 100.00 | BB | 111,194 | ||
| 50 | California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda University Medical Center, Series 2018A, 5.000%, 12/01/28, 144A | 6/28 at 100.00 | BB | 56,713 |
73
Nuveen California Intermediate Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Health Care(continued) | ||||||
| $200 | California Statewide Communities Development Authority, Revenue Bonds, Huntington Memorial Hospital, Refunding Series 2014B, 5.000%, 7/01/25 | 7/24 at 100.00 | A- | $229,642 | ||
| 150 | California Statewide Community Development Authority, Certificates of Participation, Methodist Hospital of Southern California, Series 2018, 5.000%, 1/01/29 | 1/28 at 100.00 | BBB+ | 175,246 | ||
| 70 | California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005A, 5.750%, 7/01/24 | 3/19 at 100.00 | CC | 63,023 | ||
| 100 | Upland, California, Certificates of Participation, San Antonio Regional Hospital, Series 2017, 5.000%, 1/01/29 | 1/28 at 100.00 | BBB+ | 116,661 | ||
| 1,480 | Total Health Care | 1,700,585 | ||||
| Tax Obligation/General – 9.0% | ||||||
| 100 | Alhambra Unified School District, Los Angeles County, California, General Obligation Bonds, Series 2018A, 5.000%, 8/01/29 | 8/28 at 100.00 | Aa2 | 125,184 | ||
| 150 | California State, General Obligation Bonds, Refunding Various Purpose Series 2017, 5.000%, 8/01/26 | No Opt. Call | AA- | 181,586 | ||
| 50 | Desert Sands Unified School District, Riverside County, California, General Obligation Bonds, Election 2014, Series 2019, 5.000%, 8/01/29 | 8/27 at 100.00 | AA | 61,582 | ||
| 200 | Los Angeles Unified School District, Los Angeles County, California, General Obligation Bonds, Election 2008 Series 2018B-1, 5.000%, 7/01/28 | 1/28 at 100.00 | AAA | 246,190 | ||
| 150 | Sacramento City Unified School District, Sacramento County, California, General Obligation Bonds, Measure Q Election 2012, Series 2017E, 5.000%, 8/01/28 | 8/27 at 100.00 | AAA | 175,599 | ||
| 250 | San Mateo County Community College District, California, General Obligation Bonds, Election 2014 Series 2018B, 5.000%, 9/01/29 | 9/28 at 100.00 | AAA | 314,970 | ||
| 900 | Total Tax Obligation/General | 1,105,111 | ||||
| Tax Obligation/Limited – 19.9% | ||||||
| 75 | City of Dublin, California, Community Facilities District No. 2015-1, Dublin Crossing, Improvement Area No. 1, Special Tax Bonds, Series 2017, 5.000%, 9/01/27 | No Opt. Call | N/R | 83,588 | ||
| 100 | Indian Wells Redevelopment Agency Sucessor Agency, California, Tax Allocation Bonds, Consolidated Whitewater Project Area, Refunding Subordinate Series 2015A, 5.000%, 9/01/23 – AGM Insured | No Opt. Call | AA | 114,066 | ||
| 50 | Indio, California, Special Tax Bonds, Community Facilities District 2004-3 Terra Lago, Improvement Area 1, Series 2015, 5.000%, 9/01/25 | No Opt. Call | N/R | 55,671 | ||
| 100 | Jurupa Public Financing Authority, California, Special Tax Revenue Bonds, Series 2015A, 5.000%, 9/01/23 | No Opt. Call | A+ | 113,787 | ||
| 150 | Lammersville Joint Unified School District, San Joaquin County, California, Special Tax Bonds, Community Facilities District 2002 Mountain House, Series 2017, 5.000%, 9/01/26 | No Opt. Call | N/R | 172,053 | ||
| 200 | Long Beach, California, Marina Revenue Bonds, Alamitos Bay Marina Project, Series 2015, 5.000%, 5/15/21 | No Opt. Call | BBB | 210,970 | ||
| 300 | Los Angeles County Metropolitan Transportation Authority, California, Proposition C Sales Tax Revenue Bonds, Green Senior Lien Series 2019A, 5.000%, 7/01/29 | 7/28 at 100.00 | AAA | 376,362 | ||
| 300 | Orange County Local Transportation Authority, California, Measure M2 Sales Tax Revenue Bonds, Limited Tax Series 2019, 5.000%, 2/15/29 | No Opt. Call | AA+ | 383,160 | ||
| 100 | Poway Unified School District Public Financing Authority, California, Special Tax Revenue Bonds, Refunding Series 2017A, 5.000%, 9/01/24 | No Opt. Call | AA | 117,895 |
74
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited(continued) | ||||||
| $275 | San Diego Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Refunding Series 2016A, 5.000%, 9/01/25 | No Opt. Call | AA | $333,245 | ||
| 100 | 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%, 8/01/26 | 8/24 at 100.00 | N/R | 110,229 | ||
| 65 | San Francisco City and County Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Mission Bay North Redevelopment Project, Refunding Series 2016A, 5.000%, 8/01/26 | No Opt. Call | A | 78,787 | ||
| 25 | San Mateo Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Refunding Series 2015A, 5.000%, 8/01/27 | 8/25 at 100.00 | A | 29,013 | ||
| 100 | Saugus/Hart School Facilities Financing Authority, California, Special Tax Bonds, Community Facilities District 2006-1, Series 2016, 5.000%, 9/01/26 | 3/26 at 100.00 | N/R | 113,678 | ||
| 135 | Stockton Public Financing Authority, California, Revenue Bonds, Arch Road East Community Facility District 99-02, Series 2018A, 5.000%, 9/01/28 | 9/25 at 103.00 | N/R | 149,483 | ||
| 2,075 | Total Tax Obligation/Limited | 2,441,987 | ||||
| Transportation – 7.9% | ||||||
| 100 | Alameda Corridor Transportation Authority, California, Revenue Bonds, Refunding Subordinate Lien Series 2016A, 5.000%, 10/01/25 | No Opt. Call | BBB+ | 115,058 | ||
| 35 | Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Private Activity, Senior Series 2012A, 5.000%, 5/15/19 (AMT) | No Opt. Call | AA | 35,222 | ||
| 235 | Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Subordinate Lien Series 2018C, 5.000%, 5/15/28 (AMT) | No Opt. Call | AA- | 284,865 | ||
| 100 | Peninsula Corridor Joint Powers Board, California, Farebox Revenue Bonds, Series 2019A, 5.000%, 10/01/29 | No Opt. Call | A+ | 126,484 | ||
| 250 | Port of Oakland, California, Revenue Bonds, Refunding Intermediate Lien Series 2017D. Private Activitiy/AMT, 5.000%, 11/01/23 (AMT) | No Opt. Call | A | 283,060 | ||
| 100 | San Jose, California, Airport Revenue Bonds, Refunding Series 2017A, 5.000%, 3/01/26 (AMT) | No Opt. Call | A | 117,514 | ||
| 820 | Total Transportation | 962,203 | ||||
| U.S. Guaranteed – 2.9% (4) | ||||||
| Marysville, California, Revenue Bonds, Fremont-Rideout Health Group, Series 2011: | ||||||
| 100 | 5.250%, 1/01/28 (Pre-refunded 1/01/21) | 1/21 at 100.00 | N/R | 106,818 | ||
| 30 | 5.000%, 1/01/31 (Pre-refunded 1/01/21) | 1/21 at 100.00 | N/R | 31,911 | ||
| 200 | Ohlone Community College District, Alameda County, California, General Obligation Bonds, Election 2010 Series 2011A-1, 5.250%, 8/01/41 (Pre-refunded 8/01/21) | 8/21 at 100.00 | Aa1 | 218,320 | ||
| 330 | Total U.S. Guaranteed | 357,049 | ||||
| Utilities – 6.1% | ||||||
| 40 | Banning Financing Authority, California, Revenue Bonds, Electric System Project, Refudning Series 2015, 5.000%, 6/01/27 – AGM Insured | 6/25 at 100.00 | AA | 46,847 | ||
| 110 | California Department of Water Resources, Power Supply Revenue Bonds, Series 2015O, 5.000%, 5/01/22 | No Opt. Call | Aa1 | 122,097 | ||
| 250 | City of Riverside California Refunding Electric Revenue Bonds, Series 2019A, 5.000%, 10/01/29 | 4/29 at 100.00 | AA- | 317,035 |
75
Nuveen California Intermediate Municipal Bond Fund(continued)
Portfolio of Investments February 28, 2019
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Utilities(continued) | ||||||
| $100 | Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2018A, 5.000%, 7/01/30 | 1/28 at 100.00 | AA | $122,362 | ||
| 100 | Northern California Energy Authority, Commodity Supply Revenue Bonds, Series 2018A, 5.000%, 7/01/24 | No Opt. Call | A | 111,894 | ||
| 30 | Roseville Natural Gas Financing Authority, California, Gas Revenue Bonds, Series 2007, 5.000%, 2/15/23 | No Opt. Call | A+ | 33,109 | ||
| 630 | Total Utilities | 753,344 | ||||
| Water and Sewer – 16.3% | ||||||
| 250 | California Department of Water Resources, Central Valley Project Water System Revenue Bonds, Series 2018AZ, 5.000%, 12/01/29 | 12/28 at 100.00 | AAA | 315,075 | ||
| 220 | California Infrastructure and Economic Development Bank. Clean Water State Revolving Fund Revenue Bonds, Green Series 2018, 5.000%, 10/01/28 | 4/28 at 100.00 | AAA | 278,408 | ||
| 250 | California Pollution Control Financing Authority, Water Furnishing Revenue Bonds, San Diego County Water Authoriity Desalination Project Pipeline, Refunding Series 2019, 5.000%, 7/01/29 | No Opt. Call | Baa3 | 299,755 | ||
| 100 | Central Basin Municipal Water District, California, Revenue Bonds, Refunding Series 2016A, 5.000%, 8/01/24 – AGM Insured, 144A | No Opt. Call | AA | 117,552 | ||
| 150 | Public Utilities Commission of the City and County of San Francisco, California, Wastewater Revenue Bonds, Series 2018B, 5.000%, 10/01/28 | 4/28 at 100.00 | AA | 188,536 | ||
| 220 | Santa Clara Valley Water District, California, Certificates of Participation, Refunding & Improvement Series 2017A, 5.000%, 2/01/27 | 2/26 at 100.00 | Aa1 | 265,476 | ||
| 300 | Stockton Public Financing Authority, California, Water Revenue Bonds, Refunding Green Series 2018A, 5.000%, 10/01/30 – BAM Insured | 10/28 at 100.00 | AA | 357,267 | ||
| 160 | Upper Santa Clara Valley Joint Powers Authority, California, Revenue Bonds, Santa Clara Water Division, Refunding Series 2017A, 5.000%, 8/01/21 | No Opt. Call | AA+ | 173,602 | ||
| 1,650 | Total Water and Sewer | 1,995,671 | ||||
| $9,710 | Total Long-Term Investments (cost $11,217,764) | 11,457,361 | ||||
| Other Assets Less Liabilities – 6.5% | 797,159 | |||||
| Net Assets – 100% | $12,254,520 |
| (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. Optional Call Provisions are not covered by the report of independent registered public accounting firm. | |
| (3) | For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. 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. Ratings are not covered by the report of independent registered public accounting firm. | |
| (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. | |
| 144A | Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers. | |
| AMT | Alternative Minimum Tax |
See accompanying notes to financial statements.
76
Statement of Assets and Liabilities
February 28, 2019
| California High Yield | California | California Intermediate | |
| Assets | |||
| Long-term investments, at value (cost $1,037,592,575, $1,333,188,081 and $11,217,764, respectively) | $1,066,741,730 | $1,391,128,971 | $11,457,361 |
| Cash | 10,675,142 | 8,768,498 | 724,931 |
| Cash collateral at brokers for investments in futures contracts(1) | 1,454,628 | — | — |
| Receivable for: | |||
| Interest | 13,465,926 | 17,261,106 | 123,276 |
| Investments sold | 2,782,550 | 10,000 | — |
| From Adviser | — | — | 2,386 |
| Shares sold | 2,813,941 | 4,807,061 | — |
| Variation margin on futures contracts | 253,289 | — | — |
| Other assets | 53,856 | 102,884 | 6,533 |
| Total assets | 1,098,241,062 | 1,422,078,520 | 12,314,487 |
| Liabilities | |||
| Floating rate obligations | 160,080,000 | — | — |
| Payable for: | |||
| Dividends | 467,724 | 885,591 | 7,483 |
| Investments purchased | 5,877,009 | — | — |
| Shares redeemed | 3,023,114 | 2,173,589 | 6,611 |
| Accrued expenses: | |||
| Custodian fees | 69,227 | 65,749 | 10,015 |
| Management fees | 375,401 | 512,148 | — |
| Professional fees | 52,115 | 63,095 | 27,841 |
| Shareholder reporting expenses | 34,014 | 41,449 | 5,362 |
| Trustees fees | 34,193 | 102,467 | 45 |
| 12b-1 distribution and service fees | 130,224 | 139,999 | 296 |
| Other | 114,766 | 133,112 | 2,314 |
| Total liabilities | 170,257,787 | 4,117,199 | 59,967 |
| Net assets | $927,983,275 | $1,417,961,321 | $12,254,520 |
See accompanying notes to financial statements.
77
Statement of Assets and Liabilities(continued)
| California High Yield | California | California Intermediate | |
| Class A Shares | |||
| Net assets | $417,134,450 | $506,037,880 | $1,470,424 |
| Shares outstanding | 43,868,499 | 46,167,056 | 145,112 |
| Net asset value ("NAV") per share | $9.51 | $10.96 | $10.13 |
| Offering price per share (NAV per share plus maximum sales charge of 4.20%, 4.20% and 3.00%, respectively, of offering price) | $9.93 | $11.44 | $10.44 |
| Class C Shares | |||
| Net assets | $66,757,629 | $66,304,792 | $98,365 |
| Shares outstanding | 7,024,558 | 6,072,676 | 9,720 |
| NAV and offering price per share | $9.50 | $10.92 | $10.12 |
| Class C2 Shares | |||
| Net assets | $28,100,535 | $24,030,158 | $ — |
| Shares outstanding | 2,958,449 | 2,196,404 | — |
| NAV and offering price per share | $9.50 | $10.94 | $ — |
| Class I Shares | |||
| Net assets | $415,990,661 | $821,588,491 | $10,685,731 |
| Shares outstanding | 43,786,569 | 74,873,394 | 1,054,044 |
| NAV and offering price per share | $9.50 | $10.97 | $10.14 |
| Fund level net assets consist of: | |||
| Capital paid-in | $911,703,347 | $1,382,324,404 | $12,072,951 |
| Total distributable earnings | 16,279,928 | 35,636,917 | 181,569 |
| Fund level net assets | $927,983,275 | $1,417,961,321 | $12,254,520 |
| Authorized shares - per class | Unlimited | Unlimited | Unlimited |
| Par value per share | $0.01 | $0.01 | $0.01 |
| (1) | Cash pledged to collateralize the net payment obligations for investments in derivatives. |
See accompanying notes to financial statements.
78
Statement of Operations
Year Ended February 28, 2019
| California High Yield | California | California Intermediate | |
| Investment Income | $48,580,619 | $56,259,775 | $209,930 |
| Expenses | |||
| Management fees | 5,025,946 | 6,787,153 | 43,886 |
| 12b-1 service fees - Class A Shares | 833,599 | 951,519 | 2,596 |
| 12b-1 distibution and service fees - Class C Shares | 692,792 | 698,294 | 1,225 |
| 12b-1 distibution and service fees - Class C2 Shares | 241,617 | 231,540 | — |
| Shareholder servicing agent fees | 420,371 | 536,685 | 3,377 |
| Interest expense | 3,204,255 | 185,232 | 29 |
| Custodian fees | 168,327 | 175,027 | 27,505 |
| Trustees fees | 27,765 | 42,065 | 249 |
| Professional fees | 86,799 | 94,912 | 26,636 |
| Shareholder reporting expenses | 64,663 | 80,470 | 10,583 |
| Federal and state registration fees | 38,280 | 12,397 | 11,989 |
| Other | 56,784 | 59,353 | 6,780 |
| Total expenses before fee waiver/expense reimbursement | 10,861,198 | 9,854,647 | 134,855 |
| Fee waiver/expense reimbursement | — | — | (81,173) |
| Net expenses | 10,861,198 | 9,854,647 | 53,682 |
| Net investment income (loss) | 37,719,421 | 46,405,128 | 156,248 |
| Realized and Unrealized Gain (Loss) | |||
| Net realized gain (loss) from: | |||
| Investments | 1,866,408 | (10,183,427) | (24,157) |
| Futures contracts | (4,463,758) | — | — |
| Swaps | 3,315,831 | — | — |
| Change in net unrealized appreciation (depreciation) of: | |||
| Investments | (9,191,422) | 2,040,479 | 265,675 |
| Futures contracts | 523,920 | — | — |
| Swaps | (2,637,871) | — | — |
| Net realized and unrealized gain (loss) | (10,586,892) | (8,142,948) | 241,518 |
| Net increase (decrease) in net assets from operations | $27,132,529 | $38,262,180 | $397,766 |
See accompanying notes to financial statements.
79
Statement of Changes in Net Assets
| California High Yield | California | California Intermediate | ||||||
| Year Ended 2/28/19 | Year Ended(1) 2/28/18 | Year Ended 2/28/19 | Year Ended(1) 2/28/18 | Year Ended 2/28/19 | Year Ended(1) 2/28/18 | |||
| Operations | ||||||||
| Net investment income (loss) | $37,719,421 | $35,530,039 | $46,405,128 | $43,937,395 | $156,248 | $105,753 | ||
| Net realized gain (loss) from: | ||||||||
| Investments | 1,866,408 | 2,046,748 | (10,183,427) | 6,915,210 | (24,157) | (30,335) | ||
| Futures contracts | (4,463,758) | 1,713,021 | — | — | — | — | ||
| Swaps | 3,315,831 | 3,657,036 | — | — | — | — | ||
| Change in net unrealized appreciation (depreciation) of: | ||||||||
| Investments | (9,191,422) | 12,699,630 | 2,040,479 | (7,453,892) | 265,675 | 61,321 | ||
| Futures contracts | 523,920 | 90,481 | — | — | — | — | ||
| Swaps | (2,637,871) | (3,043,379) | — | — | — | — | ||
| Net increase (decrease) in net assets from operations | 27,132,529 | 52,693,576 | 38,262,180 | 43,398,713 | 397,766 | 136,739 | ||
| Distributions to Shareholders(2) | ||||||||
| Dividends(3) | ||||||||
| Class A Shares | (15,980,547) | (15,195,620) | (15,596,556) | (13,826,335) | (21,198) | (13,326) | ||
| Class C Shares | (2,092,071) | (2,147,565) | (1,723,483) | (1,977,309) | (1,035) | (975) | ||
| Class C2 Shares | (1,053,214) | (1,288,387) | (824,813) | (1,195,386) | — | — | ||
| Class I Shares | (17,062,409) | (15,635,716) | (28,973,498) | (25,845,858) | (130,632) | (82,615) | ||
| Decrease in net assets from distributions to shareholders | (36,188,241) | (34,267,288) | (47,118,350) | (42,844,888) | (152,865) | (96,916) | ||
| Fund Share Transactions | ||||||||
| Proceeds from sale of shares | 357,415,652 | 388,856,820 | 529,710,408 | 445,613,479 | 6,655,079 | 1,956,810 | ||
| Proceeds from shares issued to shareholders due to reinvestment of distributions | 30,906,839 | 29,574,586 | 36,486,685 | 33,335,491 | 63,141 | 16,431 | ||
| 388,322,491 | 418,431,406 | 566,197,093 | 478,948,970 | 6,718,220 | 1,973,241 | |||
| Cost of shares redeemed | (393,132,604) | (313,183,308) | (534,235,561) | (358,149,458) | (1,685,839) | (284,486) | ||
| Net increase (decrease) in net assets from Fund share transactions | (4,810,113) | 105,248,098 | 31,961,532 | 120,799,512 | 5,032,381 | 1,688,755 | ||
| Net increase (decrease) in net assets | (13,865,825) | 123,674,386 | 23,105,362 | 121,353,337 | 5,277,282 | 1,728,578 | ||
| Net assets at the beginning of period | 941,849,100 | 818,174,714 | 1,394,855,959 | 1,273,502,622 | 6,977,238 | 5,248,660 | ||
| Net assets at the end of period | $927,983,275 | $941,849,100 | $1,417,961,321 | $1,394,855,959 | $12,254,520 | $6,977,238 | ||
| (1) | Prior period amounts have been conformed to current year presentation. See Notes to Financial Statements, Note 9 - New Accounting Pronouncements for further details. |
| (2) | The composition and per share amounts of the Fund's distributions are presented in the Financial Highlights. The distribution information for the Fund as of its most recent tax year end is presented within the Notes to Financial Statements, Note 6 - Income Tax Information. |
| (3) | For the fiscal year ended February 28, 2018, the Fund’s distributions to shareholders were paid from net investment income. |
See accompanying notes to financial statements.
80
Statement of Cash Flows
Year Ended February 28, 2019
| California High Yield | |
| Cash Flows from Operating Activities: | |
| Net Increase (Decrease) in Net Assets from Operations | $27,132,529 |
| Adjustments to reconcile the net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities: | |
| Purchases of investments | (221,802,200) |
| Proceeds from sales and maturities of investments | 212,101,973 |
| Premiums received (paid) for interest rate swaps | 741 |
| Amortization (Accretion) of premiums and discounts, net | 418,333 |
| (Increase) Decrease in: | |
| Receivable for interest | 448,998 |
| Receivable for investments sold | (534,992) |
| Receivable for variation margin on futures contracts | (253,289) |
| Other assets | 2,455 |
| Increase (Decrease) in: | |
| Payable for investments purchased | 5,877,009 |
| Payable for variation margin on futures contracts | (112,750) |
| Payable for variation margin on swap contracts | (153,847) |
| Accrued custodian fees | 69,227 |
| Accrued management fees | (12,808) |
| Accrued professional fees | 52,115 |
| Accrued shareholder reporting expenses | 34,014 |
| Accrued Trustees fees | (3,286) |
| Accrued 12b-1 distribution and service fees | (8,974) |
| Accrued other expenses | (179,641) |
| Net realized (gain) loss from investments | (1,866,408) |
| Change in net unrealized (appreciation) depreciation of investments | 9,191,422 |
| Net cash provided by (used in) operating activities | 30,400,621 |
| Cash Flows from Financing Activities: | |
| Proceeds from borrowings | 74,054,269 |
| (Repayments) of borrowings | (74,054,269) |
| Increase (Decrease) in: | |
| Cash overdraft | (2,371,607) |
| Floating rate obligations | 23,110,000 |
| Cash distributions paid to common shareholders | (5,235,323) |
| Proceeds from sale of shares | 356,563,674 |
| Cost of shares redeemed | (393,009,370) |
| Net cash provided by (used in) financing activities | (20,942,626) |
| Net Increase (Decrease) in Cash and Cash Collateral at Brokers | 9,457,995 |
| Cash and cash collateral at brokers at the beginning of period | 2,671,775 |
| Cash and cash collateral at brokers at the end of period | $12,129,770 |
| Supplemental Disclosure of Cash Flow Information | California High Yield |
| Cash paid for interest (excluding amortization of offering costs) | $3,204,255 |
| Non-cash financing activities not included herein consists of reinvestments of share distributions | 30,906,839 |
See accompanying notes to financial statements.
81
Financial Highlights
California High Yield
Selected data for a share outstanding throughout each period:
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 (03/06) | |||||||||
| 2019 | $9.58 | $0.38 | $(0.08) | $0.30 | $(0.37) | $— | $(0.37) | $9.51 | |
| 2018 | 9.35 | 0.39 | 0.21 | 0.60 | (0.37) | — | (0.37) | 9.58 | |
| 2017 | 9.70 | 0.38 | (0.35) | 0.03 | (0.38) | — | (0.38) | 9.35 | |
| 2016 | 9.59 | 0.42 | 0.10 | 0.52 | (0.41) | — | (0.41) | 9.70 | |
| 2015 | 8.74 | 0.42 | 0.85 | 1.27 | (0.42) | — | (0.42) | 9.59 | |
| Class C (02/14) | |||||||||
| 2019 | 9.58 | 0.30 | (0.09) | 0.21 | (0.29) | — | (0.29) | 9.50 | |
| 2018 | 9.35 | 0.31 | 0.21 | 0.52 | (0.29) | — | (0.29) | 9.58 | |
| 2017 | 9.69 | 0.30 | (0.34) | (0.04) | (0.30) | — | (0.30) | 9.35 | |
| 2016 | 9.58 | 0.34 | 0.10 | 0.44 | (0.33) | — | (0.33) | 9.69 | |
| 2015 | 8.73 | 0.34 | 0.86 | 1.20 | (0.35) | — | (0.35) | 9.58 | |
| Class C2 (03/06) | |||||||||
| 2019 | 9.57 | 0.33 | (0.09) | 0.24 | (0.31) | — | (0.31) | 9.50 | |
| 2018 | 9.34 | 0.33 | 0.22 | 0.55 | (0.32) | — | (0.32) | 9.57 | |
| 2017 | 9.69 | 0.32 | (0.34) | (0.02) | (0.33) | — | (0.33) | 9.34 | |
| 2016 | 9.57 | 0.37 | 0.11 | 0.48 | (0.36) | — | (0.36) | 9.69 | |
| 2015 | 8.73 | 0.37 | 0.85 | 1.22 | (0.38) | — | (0.38) | 9.57 | |
| Class I (03/06) | |||||||||
| 2019 | 9.57 | 0.40 | (0.09) | 0.31 | (0.38) | — | (0.38) | 9.50 | |
| 2018 | 9.34 | 0.40 | 0.22 | 0.62 | (0.39) | — | (0.39) | 9.57 | |
| 2017 | 9.69 | 0.39 | (0.34) | 0.05 | (0.40) | — | (0.40) | 9.34 | |
| 2016 | 9.57 | 0.43 | 0.12 | 0.55 | (0.43) | — | (0.43) | 9.69 | |
| 2015 | 8.72 | 0.44 | 0.85 | 1.29 | (0.44) | — | (0.44) | 9.57 | |
82
| Ratios/Supplemental Data | |||||
| Ratios 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) |
| 3.15% | $417,134 | 1.17% | 0.83% | 3.99% | 20% |
| 6.46 | 402,777 | 1.01 | 0.81 | 4.00 | 5 |
| 0.25 | 413,223 | 0.93 | 0.84 | 3.85 | 22 |
| 5.59 | 384,498 | 0.85 | 0.85 | 4.36 | 9 |
| 14.83 | 294,922 | 0.85 | 0.85 | 4.56 | 10 |
| 2.20 | 66,758 | 1.97 | 1.63 | 3.19 | 20 |
| 5.61 | 71,740 | 1.85 | 1.65 | 3.17 | 5 |
| (0.44) | 68,189 | 1.73 | 1.64 | 3.08 | 22 |
| 4.75 | 48,447 | 1.65 | 1.65 | 3.52 | 9 |
| 13.96 | 21,791 | 1.64 | 1.64 | 3.65 | 10 |
| 2.57 | 28,101 | 1.71 | 1.37 | 3.44 | 20 |
| 5.87 | 37,003 | 1.60 | 1.40 | 3.43 | 5 |
| (0.30) | 41,673 | 1.48 | 1.39 | 3.32 | 22 |
| 5.12 | 49,296 | 1.41 | 1.41 | 3.84 | 9 |
| 14.14 | 52,873 | 1.40 | 1.40 | 4.05 | 10 |
| 3.35 | 415,991 | 0.96 | 0.62 | 4.19 | 20 |
| 6.66 | 430,330 | 0.85 | 0.65 | 4.16 | 5 |
| 0.44 | 295,089 | 0.73 | 0.64 | 4.04 | 22 |
| 5.91 | 301,832 | 0.65 | 0.65 | 4.56 | 9 |
| 15.08 | 233,408 | 0.65 | 0.65 | 4.75 | 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 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. See Note 7 - Management Fees and Other Transactions with Affiliates, Management Fees for more information. |
| (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 and the interest expense and fees paid on borrowings, as described in Note 8 - Borrowing Arrangements. |
| (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. |
See accompanying notes to financial statements.
83
Financial Highlights(continued)
California
Selected data for a share outstanding throughout each period:
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 (09/94) | |||||||||
| 2019 | $11.02 | $0.35 | $(0.05) | $0.30 | $(0.36) | $ — | $(0.36) | $10.96 | |
| 2018 | 11.00 | 0.37 | 0.01 | 0.38 | (0.36) | — | (0.36) | 11.02 | |
| 2017 | 11.32 | 0.36 | (0.31) | 0.05 | (0.37) | — | (0.37) | 11.00 | |
| 2016 | 11.17 | 0.40 | 0.17 | 0.57 | (0.42) | — | (0.42) | 11.32 | |
| 2015 | 10.55 | 0.44 | 0.62 | 1.06 | (0.44) | — | (0.44) | 11.17 | |
| Class C (02/14) | |||||||||
| 2019 | 10.98 | 0.26 | (0.05) | 0.21 | (0.27) | — | (0.27) | 10.92 | |
| 2018 | 10.96 | 0.28 | 0.01 | 0.29 | (0.27) | — | (0.27) | 10.98 | |
| 2017 | 11.27 | 0.26 | (0.30) | (0.04) | (0.27) | — | (0.27) | 10.96 | |
| 2016 | 11.13 | 0.31 | 0.16 | 0.47 | (0.33) | — | (0.33) | 11.27 | |
| 2015 | 10.52 | 0.35 | 0.61 | 0.96 | (0.35) | — | (0.35) | 11.13 | |
| Class C2 (09/94) | |||||||||
| 2019 | 11.00 | 0.29 | (0.06) | 0.23 | (0.29) | — | (0.29) | 10.94 | |
| 2018 | 10.97 | 0.31 | 0.01 | 0.32 | (0.29) | — | (0.29) | 11.00 | |
| 2017 | 11.29 | 0.29 | (0.31) | (0.02) | (0.30) | — | (0.30) | 10.97 | |
| 2016 | 11.14 | 0.34 | 0.16 | 0.50 | (0.35) | — | (0.35) | 11.29 | |
| 2015 | 10.52 | 0.38 | 0.62 | 1.00 | (0.38) | — | (0.38) | 11.14 | |
| Class I (07/86) | |||||||||
| 2019 | 11.03 | 0.37 | (0.05) | 0.32 | (0.38) | — | (0.38) | 10.97 | |
| 2018 | 11.01 | 0.39 | 0.01 | 0.40 | (0.38) | — | (0.38) | 11.03 | |
| 2017 | 11.32 | 0.38 | (0.31) | 0.07 | (0.38) | — | (0.38) | 11.01 | |
| 2016 | 11.17 | 0.42 | 0.17 | 0.59 | (0.44) | — | (0.44) | 11.32 | |
| 2015 | 10.55 | 0.47 | 0.61 | 1.08 | (0.46) | — | (0.46) | 11.17 | |
84
| Ratios/Supplemental Data | |||||
| Ratios 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) |
| 2.77% | $506,038 | 0.76% | 0.75% | 3.20% | 56% |
| 3.46 | 460,166 | 0.75 | 0.74 | 3.28 | 16 |
| 0.36 | 441,928 | 0.75 | 0.75 | 3.16 | 33 |
| 5.21 | 381,175 | 0.76 | 0.76 | 3.60 | 22 |
| 10.20 | 304,490 | 0.78 | 0.78 | 4.07 | 14 |
| 1.94 | 66,305 | 1.56 | 1.55 | 2.40 | 56 |
| 2.64 | 75,799 | 1.55 | 1.55 | 2.48 | 16 |
| (0.38) | 84,321 | 1.55 | 1.55 | 2.33 | 33 |
| 4.29 | 49,383 | 1.56 | 1.56 | 2.76 | 22 |
| 9.26 | 16,841 | 1.57 | 1.57 | 3.15 | 14 |
| 2.16 | 24,030 | 1.31 | 1.30 | 2.64 | 56 |
| 2.95 | 41,122 | 1.30 | 1.30 | 2.74 | 16 |
| (0.22) | 51,119 | 1.30 | 1.30 | 2.60 | 33 |
| 4.60 | 56,346 | 1.31 | 1.31 | 3.06 | 22 |
| 9.61 | 59,361 | 1.33 | 1.33 | 3.54 | 14 |
| 2.93 | 821,588 | 0.56 | 0.55 | 3.40 | 56 |
| 3.62 | 817,770 | 0.55 | 0.55 | 3.48 | 16 |
| 0.61 | 696,134 | 0.55 | 0.55 | 3.35 | 33 |
| 5.38 | 634,702 | 0.56 | 0.56 | 3.80 | 22 |
| 10.38 | 444,064 | 0.58 | 0.58 | 4.28 | 14 |
| (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. See Note 7 - Management Fees and Other Transactions with Affiliates, Management Fees for more information. |
| (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 and the interest expense and fees paid on borrowings, as described in Note 8 - Borrowing Arrangements. |
| (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. |
See accompanying notes to financial statements.
85
Financial Highlights(continued)
California Intermediate
Selected data for a share outstanding throughout each period:
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 (10/16) | |||||||||
| 2019 | $9.88 | $0.16 | $0.25 | $0.41 | $(0.16) | $ — | $(0.16) | $10.13 | |
| 2018 | 9.78 | 0.16 | 0.08 | 0.24 | (0.14) | — | (0.14) | 9.88 | |
| 2017(f) | 10.00 | 0.06 | (0.24) | (0.18) | (0.04) | — | (0.04) | 9.78 | |
| Class C (10/16) | |||||||||
| 2019 | 9.86 | 0.09 | 0.25 | 0.34 | (0.08) | — | (0.08) | 10.12 | |
| 2018 | 9.76 | 0.08 | 0.09 | 0.17 | (0.07) | — | (0.07) | 9.86 | |
| 2017(f) | 10.00 | 0.02 | (0.24) | (0.22) | (0.02) | — | (0.02) | 9.76 | |
| Class I (10/16) | |||||||||
| 2019 | 9.88 | 0.18 | 0.26 | 0.44 | (0.18) | — | (0.18) | 10.14 | |
| 2018 | 9.78 | 0.18 | 0.08 | 0.26 | (0.16) | — | (0.16) | 9.88 | |
| 2017(f) | 10.00 | 0.05 | (0.22) | (0.17) | (0.05) | — | (0.05) | 9.78 | |
86
| 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) | |
| 4.21% | $1,470 | 1.71% | 1.71% | 0.72% | 0.77% | 0.77% | 1.65% | 32% | |
| 2.48 | 1,242 | 2.05 | 2.05 | 0.28 | 0.77 | 0.76 | 1.57 | 14 | |
| (1.75) | 300 | 2.60* | 2.60* | (0.27)* | 0.76* | 0.76* | 1.57* | 19 | |
| 3.61 | 98 | 2.51 | 2.51 | (0.07) | 1.56 | 1.56 | 0.87 | 32 | |
| 1.90 | 234 | 2.85 | 2.85 | (0.51) | 1.56 | 1.56 | 0.78 | 14 | |
| (2.42) | 70 | 3.28* | 3.28* | (1.18)* | 1.56* | 1.56* | 0.55* | 19 | |
| 4.50 | 10,686 | 1.52 | 1.52 | 0.92 | 0.58 | 0.58 | 1.86 | 32 | |
| 2.67 | 5,502 | 1.85 | 1.85 | 0.48 | 0.57 | 0.57 | 1.77 | 14 | |
| (1.69) | 4,879 | 2.46* | 2.46* | (0.39)* | 0.56* | 0.56* | 1.51* | 19 | |
| (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, where applicable. See Note 7 – Management Fees and Other Transactions with Affiliates, Management Fees for more information. |
| (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 and the interest expense and fees paid on borrowings, as described in Note 8 - Borrowing Arrangements. |
| (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 October 19, 2016 (commencement of operations) through February 28, 2017. |
| * | Annualized. |
See accompanying notes to financial statements.
87
Notes to Financial Statements
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 "1940 Act"). The Trust is comprised of Nuveen California High Yield Municipal Bond Fund (“California High Yield”), Nuveen California Municipal Bond Fund (“California”), and Nuveen California Intermediate Municipal Bond Fund ("California Intermediate") (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 a predecessor trust prior to that date.
The end of the reporting period for the Funds is February 28, 2019, and the period covered by these Notes to Financial Statements is the fiscal year ended February 28, 2019 (the "current fiscal period”).
Investment Adviser
The Funds' investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a subsidiary of Nuveen, LLC (“Nuveen”). Nuveen is the investment management arm of Teachers Insurance and Annuity Association of America (TIAA). The Adviser has overall responsibility for management of the Funds, oversees the management of the Funds' portfolios, manages the Funds' business affairs and provides certain clerical, bookkeeping and other administrative services, and, if necessary, asset allocation decisions. The Adviser has entered into sub-advisory agreements with Nuveen Asset Management, LLC, (the “Sub-Adviser”), a subsidiary of the Adviser, under which the Sub-Adviser manages the investment portfolios of the Funds.
Investment Objectives
Each Fund'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. California High Yield’s secondary objective is total return, when consistent with the Fund’s primary objective.
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 each Fund in the preparation of their financial statements in accordance with U.S generally accepted accounting principles (“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 did not have any outstanding when-issued/delayed delivery purchase commitments.
Investment Income
Investment income is comprised of interest income, which reflects the amortization of premiums and accretion of discounts for financial reporting purposes and, is recorded on an accrual basis. Investment income also reflects payment-in-kind (“PIK”) interest and paydown gains and losses, if any. PIK interest represents income received in the form of securities in lieu of cash.
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.
88
Dividends and Distributions to Shareholders
Dividends from net investment income, if any, 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 $250,000 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”) of 1% 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 incur 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 C and Class C2 Shares automatically convert to Class A Shares ten years after 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.
Compensation
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 Funds' Board of Trustees (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.
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 Derivatives Association, Inc. (“ISDA”) master agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows each Fund to offset certain securities and derivatives with a specific counterparty, when applicable, as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, each Fund manages its cash collateral and securities collateral on a counterparty basis.
The Funds' investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 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 current fiscal 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
89
Notes to Financial Statements(continued)
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, credit spreads, 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 an independent pricing service (“pricing service”) approved by 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 observability of the significant inputs.
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.
Futures contracts are valued using the closing settlement price or, in the absence of such a price, the last traded price and are generally classified as Level 1.
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 observability 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 | $ — | $1,063,390,372 | $ — | $1,063,390,372 |
| Common Stocks | 3,351,358 | — | — | 3,351,358 |
| Investments in Derivatives**: | ||||
| Futures Contracts | 614,401 | — | — | 614,401 |
| Total | $3,965,759 | $1,063,390,372 | $ — | $1,067,356,131 |
| California | Level 1 | Level 2 | Level 3 | Total |
| Long-Term Investments*: | ||||
| Municipal Bonds | $ — | $1,391,128,971 | $ — | $1,391,128,971 |
90
| California Intermediate | Level 1 | Level 2 | Level 3 | Total |
| Long-Term Investments*: | ||||
| Municipal Bonds | $ — | $11,457,361 | $ — | $11,457,361 |
| * | 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. |
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 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:
91
Notes to Financial Statements(continued)
| Floating Rate Obligations Outstanding | California High Yield | California | California Intermediate |
| Floating rate obligations: self-deposited Inverse Floaters | $160,080,000 | $ — | $ — |
| Floating rate obligations: externally-deposited Inverse Floaters | 90,815,000 | — | — |
| Total | $250,895,000 | $ — | $ — |
During the current fiscal period, the average amount of Floaters (including any borrowings from a Liquidity Provider) outstanding, and the average annual interest rates and fees related to self-deposited Inverse Floaters, were as follows:
| Self-Deposited Inverse Floaters | California High Yield | California | California Intermediate |
| Average floating rate obligations outstanding | $143,240,740 | $ — | $ — |
| Average annual interest rate and fees | 2.04% | —% | —% |
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 are 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, California High Yield had outstanding borrowings under such liquidity facilities in the amount of $6,437,685, which is recognized as a component of “Floating rate obligations” on the Statement of Assets and Liabilities. There were no loans outstanding under such facilities for any of the other Funds as of the end of the reporting period.
Each Fund may also enter into shortfall and forbearance agreements (sometimes referred to as a “recourse arrangement”) (TOB Trusts involving such agreements are referred to herein as “Recourse Trusts”), under which a Fund agrees to reimburse the Liquidity Provider for the Trust’s Floaters, in certain circumstances, for the amount (if any) by which the liquidation value of the Underlying Bond held by the TOB Trust may fall short of the sum of the liquidation value of the Floaters issued by the TOB Trust plus any amounts borrowed by the TOB Trust from the Liquidity Provider, plus any shortfalls in interest cash flows. Under these agreements, a Fund’s potential exposure to losses related to or on an Inverse Floater may increase beyond the value of the Inverse Floater as a Fund may potentially be liable to fulfill all amounts owed to holders of the Floaters or the Liquidity Provider. Any such shortfall amount in the aggregate is recognized as “Unrealized depreciation on Recourse Trusts” on the Statement of Assets and Liabilities.
As of the end of the reporting period, each Fund’s maximum exposure to the Floaters issued by Recourse Trusts for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as follows:
| Floating Rate Obligations - Recourse Trusts | California High Yield | California | California Intermediate |
| Maximum exposure to Recourse Trusts: self-deposited Inverse Floaters | $132,320,000 | $ — | $ — |
| Maximum exposure to Recourse Trusts: externally-deposited Inverse Floaters | 90,815,000 | — | — |
| Total | $223,135,000 | $ — | $ — |
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.
92
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 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.
Futures Contracts
Upon execution of a futures contract, 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 futures contracts, if any, is recognized as “Cash collateral at brokers for investments in futures contracts” on the Statement of Assets and Liabilities. Investments in futures contracts 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 open contracts. If a Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to appreciation and conversely if a Fund has unrealized depreciation the clearing broker would debit the Fund’s account with an amount equal to 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 futures contracts” on the Statement of Assets and Liabilities.
During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by “marking-to- market” on a daily basis to reflect the changes in market value of the contract, which is recognized as a component of “Change in net unrealized appreciation (depreciation) of futures contracts” on the Statement of Operations. When the contract is closed or expired, a Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and value of the contract when originally entered into, which is recognized as a component of “Net realized gain (loss) from futures contracts” on the Statement of Operations.
Risks of investments in futures contracts include the possible adverse movement in the price of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and/or that a change in the value of the contract may not correlate with a change in the value of the underlying securities or indices.
During the current fiscal period, California High Yield used U.S. Treasury futures as part of an overall portfolio construction strategy to manage portfolio duration and yield curve exposure.
The average notional amount of futures contracts outstanding during the current fiscal period was as follows:
| California High Yield | |
| Average notional amount of futures contracts outstanding* | $102,647,987 |
| * | The average notional amount is calculated based on the absolute aggregate notional amount of contracts outstanding at the beginning of the current fiscal period and at the the end of each fiscal quarter within the current fiscal period. |
The following table presents the fair value of all futures contracts held by the Funds 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 Risk Exposure | Derivative Instrument | Location | Value | Location | Value | |
| California High Yield | ||||||
| Interest rate | Futures contracts | Receivable for variation margin on futures contracts* | $614,401 | — | $ — | |
* Value represents unrealized appreciation (depreciation) of futures contracts as reported on the Fund's Portfolio of Investments and not the asset and/or liability derivatives location as described in the table above.
The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on futures 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 Futures Contracts | Change in net Unrealized Appreciation (Depreciation) of Futures Contracts |
| California High Yield | Interest rate | Futures contracts | $(4,463,758) | $523,920 |
93
Notes to Financial Statements(continued)
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 begin at a specified date in the future (the “effective date”).
The amount of the payment obligation for an interest rate swap is based on the notional amount and the termination date of the contract. Interest rate 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), the 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 an over-the-counter (“OTC”) swap that is not cleared through a clearing house (“OTC Uncleared”), the amount recorded on these transactions is recognized on the Statement of Assets and Liabilities as a component of “Unrealized appreciation or depreciation on interest rate swaps."
Upon the execution of an OTC swap cleared through a clearing house (“OTC Cleared”), the 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 deposited by the Fund to cover initial margin requirements on open swap contracts, if any, is recognized as a component of “Cash collateral at brokers for investments in swaps” on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate the 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 the 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 for OTC Cleared swaps is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities. Upon the execution of an OTC Uncleared swap, neither the Fund nor the counterparty is required to deposit initial margin as the trades are recorded bilaterally between both parties to the swap contract, and the terms of the variation margin are subject to a predetermined threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is recognized as a component of “Unrealized appreciation or depreciation on interest rate swaps” as described in the preceding paragraph.
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 contracts 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” on the Statement of Operations. 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 received and/or paid” on the Statement of Assets and Liabilities.
During the current fiscal period, California High Yield invested in forward interest rate swap contracts to reduce the duration of its portfolio and limit its vulnearablilty 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* | $24,600,000 |
| * | The average notional amount is calculated based on the outstanding notional at the beginning of the current fiscal period and at the end of each fiscal quarter within the current fiscal period. |
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 | Interest rate | Swaps | $3,315,831 | $(2,637,871) |
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
94
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:
| Year Ended 2/28/19 | Year Ended 2/28/18 | ||||
| California High Yield | Shares | Amount | Shares | Amount | |
| Shares sold: | |||||
| Class A | 16,687,046 | $159,014,633 | 15,936,618 | $153,888,243 | |
| Class A – automatic conversion of Class C Shares | 5 | 44 | — | — | |
| Class A – automatic conversion of Class C2 Shares | 630 | 6,096 | — | — | |
| Class C | 1,401,118 | 13,331,447 | 1,915,145 | 18,425,682 | |
| Class C2 | 48,723 | 458,933 | 34,179 | 335,322 | |
| Class I | 19,397,268 | 184,604,499 | 22,615,748 | 216,207,573 | |
| Shares issued to shareholders due to reinvestment of distributions: | |||||
| Class A | 1,492,825 | 14,231,957 | 1,415,074 | 13,640,873 | |
| Class C | 188,957 | 1,800,231 | 191,881 | 1,847,706 | |
| Class C2 | 96,929 | 923,608 | 114,656 | 1,103,422 | |
| Class I | 1,464,366 | 13,951,043 | 1,347,403 | 12,982,585 | |
| 40,777,867 | 388,322,491 | 43,570,704 | 418,431,406 | ||
| Shares redeemed: | |||||
| Class A | (16,337,396) | (154,893,693) | (19,506,548) | (185,904,819) | |
| Class C | (2,056,249) | (19,507,931) | (1,912,989) | (18,372,114) | |
| Class C – automatic conversion to Class A Shares | (5) | (44) | — | — | |
| Class C2 | (1,052,152) | (10,028,341) | (744,819) | (7,132,420) | |
| Class C2 – automatic conversion to Class A Shares | (631) | (6,096) | — | — | |
| Class I | (22,019,485) | (208,696,499) | (10,605,597) | (101,773,955) | |
| (41,465,918) | (393,132,604) | (32,769,953) | (313,183,308) | ||
| Net increase (decrease) | (688,051) | $(4,810,113) | 10,800,751 | $105,248,098 | |
95
Notes to Financial Statements(continued)
| Year Ended 2/28/19 | Year Ended 2/28/18 | ||||
| California | Shares | Amount | Shares | Amount | |
| Shares sold: | |||||
| Class A | 18,929,534 | $207,249,688 | 13,471,171 | $150,453,546 | |
| Class A – automatic conversion of Class C2 Shares | 58,684 | 650,054 | — | — | |
| Class C | 1,039,379 | 11,348,997 | 1,316,856 | 14,659,910 | |
| Class C2 | 45,512 | 495,672 | 20,958 | 233,850 | |
| Class I | 28,260,410 | 309,965,997 | 25,120,002 | 280,266,173 | |
| Shares issued to shareholders due to reinvestment of distributions: | |||||
| Class A | 1,265,219 | 13,882,181 | 1,092,887 | 12,201,081 | |
| Class C | 135,472 | 1,480,911 | 152,041 | 1,690,996 | |
| Class C2 | 56,063 | 614,711 | 78,834 | 878,091 | |
| Class I | 1,867,588 | 20,508,882 | 1,662,124 | 18,565,323 | |
| 51,657,861 | 566,197,093 | 42,914,873 | 478,948,970 | ||
| Shares redeemed: | |||||
| Class A | (15,828,474) | (172,808,976) | (12,988,683) | (144,248,690) | |
| Class C | (2,005,307) | (21,900,575) | (2,259,601) | (25,147,219) | |
| Class C2 | (1,585,104) | (17,470,032) | (1,019,277) | (11,351,155) | |
| Class C2 – automatic conversion to Class A Shares | (58,792) | (650,054) | — | — | |
| Class I | (29,383,137) | (321,405,924) | (15,906,030) | (177,402,394) | |
| (48,860,814) | (534,235,561) | (32,173,591) | (358,149,458) | ||
| Net increase (decrease) | 2,797,047 | $31,961,532 | 10,741,282 | $120,799,512 | |
| Year Ended 2/28/19 | Year Ended 2/28/18 | ||||
| California Intermediate | Shares | Amount | Shares | Amount | |
| Shares sold: | |||||
| Class A | 58,721 | $588,699 | 110,699 | $1,101,206 | |
| Class C | — | — | 16,489 | 165,000 | |
| Class I | 607,952 | 6,066,380 | 69,218 | 690,604 | |
| Shares issued to shareholders due to reinvestment of distributions: | |||||
| Class A | 2,093 | 20,789 | 1,296 | 12,967 | |
| Class C | 83 | 826 | 81 | 811 | |
| Class I | 4,163 | 41,526 | 267 | 2,653 | |
| 673,012 | 6,718,220 | 198,050 | 1,973,241 | ||
| Shares redeemed: | |||||
| Class A | (41,397) | (412,020) | (16,992) | (168,221) | |
| Class C | (14,057) | (139,029) | — | — | |
| Class I | (114,628) | (1,134,790) | (11,805) | (116,265) | |
| (170,082) | (1,685,839) | (28,797) | (284,486) | ||
| Net increase (decrease) | 502,930 | $5,032,381 | 169,253 | $1,688,755 | |
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 | California Intermediate | |
| Purchases | $221,802,200 | $797,904,514 | $7,014,506 |
| Sales and maturities | 212,101,973 | 785,486,397 | 2,645,777 |
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.
96
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.
The tables below present the cost and unrealized appreciation (depreciation) of each Fund's investment portfolio, as determined on a federal income tax basis, as of February 28, 2019.
For purposes of this disclosure, derivative tax cost is generally the sum of any upfront fees or premiums exchanged and any amounts unrealized for income statement reporting but realized in income and/or capital gains for tax reporting. If a particular derivative category does not disclose any tax unrealized appreciation or depreciation, the change in value of those derivatives have generally been fully realized for tax purposes.
| California High Yield | California | California Intermediate | |
| Tax cost of investments | $876,524,729 | $1,333,889,374 | $11,217,764 |
| Gross unrealized: | |||
| Appreciation | $42,821,760 | $59,592,577 | $260,767 |
| Depreciation | (12,684,004) | (2,352,980) | (21,170) |
| Net unrealized appreciation (depreciation) of investments | $30,137,756 | $57,239,597 | $239,597 |
| California High Yield | |
| Tax cost of futures contracts | $614,401 |
| Net unrealized appreciation (depreciation) of futures contracts | — |
Permanent differences, primarily due to treatment of notional principal contracts and taxable market discount, resulted in reclassifications among the Funds’ components of net assets as of February 28, 2019, the Funds' tax year end.
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains as of February 28, 2019, the Funds' tax year end, were as follows:
| California High Yield | California | California Intermediate | |
| Undistributed net tax-exempt income1 | $4,716,374 | $4,081,336 | $31,539 |
| Undistributed net ordinary income2 | 62,027 | — | — |
| 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, 2019 through February 28, 2019, and paid on March 1, 2019. |
| 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’ tax years ended February 28, 2019 and February 28, 2018 was designated for purposes of the dividends paid deduction as follows:
| 2019 | California High Yield | California | California Intermediate |
| Distributions from net tax-exempt income3 | $35,659,976 | $47,049,459 | $145,960 |
| Distributions from net ordinary income2 | 579,844 | 1,078 | — |
| Distributions from net long-term capital gains | — | — | — |
| 2018 | California High Yield | California | California Intermediate |
| Distributions from net tax-exempt income | $33,553,751 | $41,859,428 | $93,084 |
| Distributions from net ordinary income2 | 338,908 | 553,362 | — |
| Distributions from net long-term capital gains | — | — | — |
97
Notes to Financial Statements(continued)
| 2 | Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. |
| 3 | The Funds hereby designate these amounts paid during the fiscal year ended February 28, 2019, as Exempt Interest Dividends. |
As of February 28, 2019, the Funds’ tax year end, the Funds had unused capital losses carrying forward available for federal income tax purposes to be applied against future capital gains, if any. The capital losses are not subject to expiration.
| California High Yield | California | California Intermediate | |
| Not subject to expiration: | |||
| Short-term | $15,679,449 | $21,815,081 | $72,225 |
| Long-term | — | — | — |
| Total | $15,679,449 | $21,815,081 | $72,225 |
During the Funds’ tax year ended February 28, 2019, California High Yield utilized $1,103,409 of its capital loss carryforward.
7. Management Fees and Other Transactions with Affiliates
Management Fees
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 | California High Yield | California | California Intermediate |
| For the first $125 million | 0.4000% | 0.3500% | 0.3500% |
| For the next $125 million | 0.3875 | 0.3375 | 0.3375 |
| For the next $250 million | 0.3750 | 0.3250 | 0.3250 |
| For the next $500 million | 0.3625 | 0.3125 | 0.3125 |
| For the next $1 billion | 0.3500 | 0.3000 | 0.3000 |
| For the next $3 billion | – | 0.2750 | 0.2750 |
| For the next $5 billion | – | 0.2500 | 0.2500 |
| For net assets over $10 billion | – | 0.2375 | 0.2375 |
| For the next $8 billion | 0.3250 | – | – |
| For the next $5 billion | 0.3125 | – | – |
| For the next $5 billion | 0.3000 | – | – |
| For net assets over $20 billion | 0.2875 | – | – |
The annual complex-level fee, payable monthly, for each Fund is calculated according to the following schedule:
98
| Complex-Level Eligible Asset Breakpoint Level* | Effective Complex-Level Fee 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 open-end and closed-end funds. Eligible assets do not include assets attributable to investments in other Nuveen funds or assets in excess of a determined amount (originally $2 billion) added to the Nuveen fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January 1, 2011. 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 February 28, 2019, the complex-level fee for each Fund was as follows:
| Fund | Complex-Level Fee |
| California High Yield | 0.1591% |
| California | 0.1617% |
| California Intermediate | 0.1591% |
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. The temporary expense limitations may be terminated or modified prior to expiration date only with the approval of the Board. The expense limitations in effect thereafter may be terminated or modified only with the approval of shareholders of the Funds.
| Fund | Temporary Expense Cap | Temporary Expense Cap Expiration Date | Permanent Expense Cap |
| California High Yield | N/A | N/A | 1.00% |
| California | N/A | N/A | 0.75% |
| California Intermediate | 0.60% | July 31, 2020 | N/A |
Other Transactions with Affiliates
Each Fund is permitted to purchase or sell securities from or to certain other funds managed by the Adviser (“inter-fund trade”) under specified conditions outlined in procedures adopted by the Board. These procedures have been designed to ensure that any inter-fund trade of securities by the Fund from or to another fund that is, or could be, considered an affiliate of the Fund under certain limited circumstances by virtue of having a common investment adviser (or affiliated investment adviser), common officer and/or common trustee complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each inter-fund trade is effected at the current market price as provided by an independent pricing service. Unsettled inter-fund trades as of the end of the reporting period are recognized as a component of “Receivable for investments sold” and/or “Payable for investments purchased” on the Statement of Assets and Liabilities, when applicable.
During the current fiscal period, the following Funds engaged in inter-fund trades pursuant to these procedures as follows:
| Inter-Fund Trades | California High Yield | California |
| Purchases | $ — | $ — |
| Sales | 7,495,953 | 5,862,837 |
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:
99
Notes to Financial Statements(continued)
| California High Yield | California | California Intermediate | |
| Sales charges collected (Unaudited) | $721,477 | $1,070,181 | $750 |
| Paid to financial intermediaries (Unaudited) | 698,157 | 1,046,677 | 750 |
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 | California Intermediate | |
| Commission advances (Unaudited) | $651,527 | $983,852 | $750 |
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 | California Intermediate | |
| 12b-1 fees retained (Unaudited) | $120,316 | $97,187 | $728 |
The remaining 12b-1 fees charged to each Fund 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 | California Intermediate | |
| CDSC retained (Unaudited) | $118,185 | $86,791 | $1,383 |
As of the end of the reporting period, Nuveen owned shares of the following Fund as follows:
| California Intermediate | |
| Class A Shares | 2,500 |
| Class C Shares | 2,500 |
| Class I Shares | 495,000 |
8. Borrowing Arrangements
Committed Line of Credit
The Funds, along with certain other funds managed by the Adviser (“Participating Funds”), have established a 364-day, approximately $2.65 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. Each Participating Fund is allocated a designated proportion of the facility’s capacity (and its associated costs, as described below) based upon a multi-factor assessment of the likelihood and frequency of its need to draw on the facility, the size of the Fund and its anticipated draws, and the potential importance of such draws to the operations and well-being of the Fund, relative to those of the other Funds. A Fund may effect draws on the facility in excess of its designated capacity if and to the extent that other Participating Funds have undrawn capacity. The credit facility expires in July 2019 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 1.00% per annum or (b) the Fed Funds rate plus 1.00% per annum on amounts borrowed. Participating Funds paid administration, legal and arrangement fees, which are recognized as a component of “Interest expense” 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.
100
During the current fiscal period, California High Yield and California utilized this facility. Each Fund's maximum outstanding balance during the utilization period was a follows:
| California High Yield | California | |
| Maximum Outstanding Balance | $42,200,000 | $28,204,675 |
During each Fund's utilization period(s) during the current fiscal period, the average daily balance outstanding and average annual interest rate on the borrowings were as follows:
| California High Yield | California | |
| Average daily balance outstanding | $21,653,696 | $14,524,499 |
| Average annual interest rate | 3.16% | 3.21% |
Borrowings outstanding as of the end of the reporting period, if any, are recognized as “Borrowings” on the Statement of Assets and Liabilities.
9. New Accounting Pronouncements
Disclosure Update and Simplification
During August 2018, the Securities and Exchange Commission (the “SEC”) issued Final Rule Release No. 33-10532,Disclosure Update and Simplification (“Final Rule Release No. 33-10532”). Final Rule Release No. 33-10532 amends certain financial statement disclosure requirements to conform to U.S. GAAP. The amendments to Rule 6-04.17 of Regulation S-X (balance sheet) remove the requirement to separately state the book basis components of net assets: undistributed (over-distribution of) net investment income (“UNII”), accumulated undistributed net realized gains (losses), and net unrealized appreciation (depreciation) at the balance sheet date. Instead, consistent with U.S. GAAP, funds will be required to disclose total distributable earnings. The amendments to Rule 6-09 of Regulation S-X (statement of changes in net assets) remove the requirement to separately state the sources of distributions paid. Instead, consistent with U.S. GAAP, funds will be required to disclose the total amount of distributions paid, except that any tax return of capital must be separately disclosed. The amendments also remove the requirement to parenthetically state the book basis amount of UNII on the statement of changes in net assets.
The requirements of Final Rule Release No. 33-10532 are effective November 5, 2018, and the Funds’ Statement of Assets and Liabilities and Statement of Changes in Net Assets for the current reporting period have been modified accordingly. In addition, certain amounts within each Fund’s Statement of Changes in Net Assets for the prior fiscal period have been modified to conform to Final Rule Release No. 33-10532.
For the prior fiscal period, the total amount of distributions paid to shareholders from net investment income and from accumulated net realized gains, if any, are recognized as “Dividends” on the Statement of Changes in Net Assets.
As of February 28, 2018, the Funds’ Statement of Changes in Net Assets reflected the following UNII balances.
| California High Yield | California | California Intermediate | |
| UNII at the end of period | $1,494,985 | $1,336,621 | $10,838 |
Fair Value Measurement: Disclosure Framework
During August 2018, the FASB issued ASU 2018-13 (“ASU 2018-13”),Fair Value Measurement: Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurements. ASU 2018-13 modifies the disclosures required by Topic 820, Fair Value Measurements. The amendments in ASU 2018-13 are effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. During the current reporting period, management early implemented this guidance. This implementation did not have a material impact on the Funds’ financial statements.
101
Additional Fund Information
(Unaudited)
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
Public Accounting Firm
KPMG LLP
200 East Randolph Street
Chicago, IL 60601
Custodian
State Street Bank & Trust Company
One Lincoln Street
Boston, MA 02111
Legal Counsel
Chapman and Cutler LLP
Chicago, IL 60603
Transfer Agent and
Shareholder Services
DST Asset Manager
Solutions, Inc. (DST)
P.O. Box 219140
Kansas City, MO 64121-9140
(800) 257-8787
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 as an exhibit to its report on Form N-PORT. You may obtain this information on the SEC's website at http://www.sec.gov.
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 toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com and (ii) a description of the policies and procedures that each fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen toll-free at (800) 257-8787. You may also obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov.
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.
102
Glossary of Terms Used in this Report
(Unaudited)
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. The calculation of the Effective Leverage Ratio reflects borrowings effected on a long-term basis for investment purposes, but excludes borrowings that may occur, on a transient basis, in connection with a Fund’s day-to-day operations primarily in connection with the need to pay cash out to redeeming shareholders or to settle portfolio trades.
Gross Domestic Product (GDP): The total market value of all final goods and services produced in a country/region in a given year, equal to total consumer, investment and government spending, plus the value of exports, minus the value of imports.
Industrial Development Revenue Bond (IDR): A unique type of revenue bond issued by a state or local government agency on behalf of a private sector company and intended to build or acquire factories or other heavy equipment and tools.
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.
103
Glossary of Terms Used in this Report(Unaudited) (continued)
Lipper California Intermediate Municipal Debt Funds Classification Average: Represents the average annualized total return for all reporting funds in the Lipper California Intermediate 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 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 result 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 Intermediate Index:An unleveraged, market value-weighted index containing all bonds in the S&P Municipal Bond Index that mature between 3 and 14.999 years. Index returns assume reinvestment of distributions but do not reflect any applicable sales charges or management fees.
S&P Municipal Bond Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade U.S. municipal bond market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees.
S&P Municipal Yield Index: Comprises all of the bonds in the S&P Municipal Bond Index that are non-rated or rated BB+ by S&P and/or Ba1 or lower by Moody’s. 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.
104
Annual Investment Management Agreement Approval Process
(Unaudited)
At a meeting held on May 22-24, 2018 (the “May Meeting”), the Board of Trustees (the “Board,” and each Trustee, a “Board Member”) of the Funds, including the Board Members who are not “interested persons” (as defined under the Investment Company Act of 1940 (the “1940 Act”)) (the “Independent Board Members”), approved, for each Fund, the renewal of the management agreement (the “Investment Management Agreement”) with Nuveen Fund Advisors, LLC (the “Adviser”) pursuant to which the Adviser serves as investment adviser to such Fund and the sub-advisory agreement (the “Sub-Advisory Agreement”) with Nuveen Asset Management, LLC (the “Sub-Adviser”) pursuant to which the Sub-Adviser serves as investment sub-adviser to such Fund. Following an initial two-year period, the Board, including the Independent Board Members, is required under the 1940 Act to review and approve each Investment Management Agreement and Sub-Advisory Agreement on behalf of the applicable Fund on an annual basis. The Investment Management Agreements and Sub-Advisory Agreements are collectively referred to as the “Advisory Agreements” and the Adviser and the Sub-Adviser are collectively, the “Fund Advisers” and each, a “Fund Adviser.”
In response to a request on behalf of the Independent Board Members by independent legal counsel, the Board received and reviewed prior to the May Meeting extensive materials specifically prepared for the annual review of Advisory Agreements by the Adviser as well as by Broadridge Financial Solutions, Inc. (“Broadridge” or “Lipper”), an independent provider of investment company data. The materials provided in connection with the annual review covered a breadth of subject matter including, but not limited to, a description of the nature, extent and quality of services provided by each Fund Adviser; a review of the Sub-Adviser and the applicable investment team(s); an analysis of fund performance in absolute terms and as compared to the performance of certain peer funds and benchmarks with a focus on any performance outliers; an analysis of the fees and expense ratios of the Nuveen funds in absolute terms and as compared to those of certain peer funds with a focus on any expense outliers; a description of portfolio manager compensation; a review of the performance of various service providers; a description of various initiatives Nuveen had undertaken or continued during the year for the benefit of particular Nuveen fund(s) and/or the complex; a description of the profitability or financial data of Nuveen and the various sub-advisers to the Nuveen funds; and a description of indirect benefits received by the Fund Advisers as a result of their relationships with the Nuveen funds. The Independent Board Members also received a memorandum from independent legal counsel outlining their fiduciary duties and legal standards in reviewing the Advisory Agreements. The Board Members held an in-person meeting on April 10-11, 2018 (the “April Meeting”), in part, to review and discuss the performance of the Nuveen funds and the Adviser’s evaluation of the various sub-advisers to the Nuveen funds. Prior to the May Meeting, the Board Members also received and reviewed supplemental information provided in response to questions posed by the Board Members.
The information prepared specifically for the annual review of the Advisory Agreements supplemented the information provided to the Board and its committees throughout the year. The Board and its committees met regularly during the year and the information provided and topics discussed were relevant to the review of the Advisory Agreements. Some of these reports and other data included, among other things, materials that outlined the investment performance of the Nuveen funds; strategic plans of the Adviser which may impact the services it provides to the Nuveen funds; the review of the Nuveen funds and applicable investment teams; compliance, regulatory and risk management matters; the trading practices of the various sub-advisers; valuation of securities; fund expenses; payments to financial intermediaries, including 12b-1 fees and sub-transfer agency fees; and overall market and regulatory developments. The Board further continued its practice of seeking to meet periodically with the various sub-advisers to the Nuveen funds and their investment teams, when feasible. As a result, the Independent Board Members considered the review of the Advisory Agreements to be an ongoing process and employed the accumulated information, knowledge, and experience the Board Members had gained during their tenure on the boards governing the Nuveen funds and working with the Fund Advisers in their review of the Advisory Agreements. Throughout the year and during the annual review of Advisory Agreements, the Independent Board Members met in executive sessions with independent legal counsel and had the benefit of counsel’s advice.
In deciding to renew the Advisory Agreements, the Independent Board Members did not identify a particular factor as determinative, but rather the decision reflected the comprehensive consideration of all the information provided, and each Board Member may have attributed different levels of importance to the various factors and information considered in connection with the approval process. The following summarizes the principal factors, but not all the factors, the Board considered in deciding to renew the Advisory Agreements and its conclusions.
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 the respective Fund and the resulting performance of each Fund. With respect to the Adviser, the Board recognized the comprehensive set of management, oversight and administrative services the Adviser and its affiliates provided to manage and operate the Nuveen funds in a highly regulated industry. As illustrative, these services included, but were not limited to, product management; investment oversight, risk management and securities valuation services; fund accounting and administration services; board support and administration services; compliance and regulatory oversight services; and legal support.
105
Annual Investment Management Agreement Approval Process(Unaudited) (continued)
In addition to the services necessary to operate and maintain the Nuveen funds, the Board recognized the Adviser’s continued program of improvements and innovations to make the Nuveen fund complex more relevant and attractive to existing and new investors and to accommodate the new and changing regulatory requirements in an increasingly complex regulatory environment. The Board noted that some of the initiatives the Adviser had taken over recent years to benefit the complex and particular Nuveen funds included, among other things:
| • | Fund Rationalizations - continuing efforts to rationalize the product line through mergers, liquidations and repositionings in seeking to enhance shareholder value over the years through increased efficiency, reduced costs, improved performance and revised investment approaches more relevant to current shareholder needs; |
| • | Product Innovations - developing product innovations and launching new products that will help the Nuveen fund complex offer a variety of products that will attract new investors and retain existing investors, such as launching the target term funds, exchange-traded funds (“ETFs”) and multi-asset class funds; |
| • | Risk Management Enhancements - continuing efforts to enhance risk management, including enhancing reporting to increase the efficiency of risk monitoring, implementing programs to strengthen the ability to detect and mitigate operational risks, dedicating resources and staffing necessary to create standards to help ensure compliance with new liquidity requirements, and implementing a price verification system; |
| • | Additional Compliance Services – the continuing investment of significant resources, time and additional staffing to meet the various new regulatory requirements affecting the Nuveen funds over the past several years, the further implementation of unified compliance policies and processes, the development of additional compliance training modules, and the reorganization of the compliance team adding further depth to its senior leadership; and |
| • | Expanded Dividend Management Services – as the Nuveen fund complex has grown, the additional services necessary to manage the distributions of the varied funds offered and investing in automated systems to assist in this process. |
In addition to the services provided by the Adviser, the Board also noted the business related risks the Adviser incurred in managing the Nuveen funds, including entrepreneurial, legal and litigation risks.
The Board further considered the division of responsibilities between the Adviser and the Sub-Adviser and the investment and compliance oversight over the Sub-Adviser provided by the Adviser. The Board recognized that the Sub-Adviser generally provided the portfolio advisory services for the Funds. The Board reviewed the Adviser’s analysis of the Sub-Adviser which evaluated, among other things, the investment team, the members’ experience and any changes to the team during the year, the team’s assets under management, the stability and history of the organization, the team’s investment approach and the performance of the Funds over various periods. The Board noted that the Adviser recommended the renewal of the Sub-Advisory Agreements.
Based on its review, the Board determined, in the exercise of its reasonable business judgment, that it was satisfied with the nature, extent and quality of services provided to the respective Funds under each applicable Advisory Agreement.
B. The Investment Performance of the Funds and Fund Advisers
As part of its evaluation of the services provided by the Fund Advisers, the Board considered the investment performance of each Fund. In this regard, the Board reviewed fund performance over the quarter, one-, three- and five-year periods ending December 31, 2017 as well as performance data for the first quarter of 2018 ending March 31, 2018 (or for shorter periods available for Nuveen California Intermediate Municipal Bond Fund (the “California Intermediate Fund”), which did not exist for part of the foregoing time frame). For open-end Nuveen funds with multiple classes, the performance data was based on Class A shares and the performance of other classes should be substantially similar as they invest in the same portfolio of securities and differences in performance among the classes would be principally attributed to the variations in the expense structures of the classes. The Independent Board Members noted that they reviewed and discussed fund performance over various time periods with management at their quarterly meetings throughout the year and their review and analysis of performance during the annual review of Advisory Agreements incorporated such discussions.
The Board reviewed performance on an absolute basis and in comparison to the performance of peer funds (the “Performance Peer Group”) and recognized and/or customized benchmarks (i.e., generally benchmarks derived from multiple recognized benchmarks). The Board considered the Adviser’s analysis of each Nuveen fund’s performance, including, in particular, an analysis of the Nuveen funds determined to be performance outliers and the factors contributing to their underperformance.
In reviewing performance data, the Independent Board Members appreciated some of the inherent limitations of such data. In this regard, the Independent Board Members recognized that there may be limitations with the comparative data of certain peer groups or benchmarks as they may pursue objective(s), strategies or have other characteristics that are different from the respective Nuveen fund and therefore the performance results necessarily are different and limit the value of the comparisons. As an example, some funds may utilize leverage which may add to or detract from performance compared to an unlevered benchmark. The Independent Board Members also noted that management had ranked the relevancy of the peer group as low, medium or high to help the Board evaluate the value of the comparative peer performance data. The Board was aware that the performance data
106
was measured as of a specific date and a different time period may reflect significantly different results and a period of underperformance can significantly impact long-term performance figures. The Board further recognized that a shareholder’s experience in a Fund depends on his or her own holding period which may differ from that reviewed by the Independent Board Members.
In their review of performance, the Independent Board Members focused, in particular, on the Adviser’s analysis of Nuveen funds determined to be underperforming performance outliers. The Independent Board Members noted that only a limited number of the Nuveen funds appeared to be underperforming performance outliers at the end of 2017 and considered the factors contributing to the respective fund’s performance and whether there were any performance concerns that needed to be addressed. The Board recognized that some periods of underperformance may only be temporary while other periods of underperformance may indicate a broader issue that may require a corrective action. Accordingly, with respect to any Nuveen funds for which the Board had identified performance issues, the Board monitors such funds closely until performance improves, discusses with the Adviser the reasons for such results, considers whether any steps are necessary or appropriate to address such issues, and reviews the results of any efforts undertaken.
For Nuveen California High Yield Municipal Bond Fund (the “California High Yield Fund”), the Board noted that the Fund ranked in the first quartile of its Performance Peer Group in the one-, three- and five-year periods and outperformed its benchmark over such periods. In its review, the Board, however, noted that the Performance Peer Group was classified as low for relevancy. The Board was satisfied with the Fund’s overall performance.
For Nuveen California Municipal Bond Fund (the “California Municipal Fund”), the Board noted that the Fund ranked in the second quartile of its Performance Peer Group in the one-year period and first quartile in the three- and five-year periods. The Fund also outperformed its benchmark in the one-, three- and five-year periods. The Board was satisfied with the Fund’s overall performance.
For the California Intermediate Fund, the Board noted that the Fund ranked in the first quartile of its Performance Peer Group in the one-year period and outperformed its benchmark during such period. The Board, however, recognized that the Fund was relatively new with a limited performance history, limiting the ability to make a meaningful assessment of performance. Nevertheless, the Board was satisfied with the Fund’s performance.
C. Fees, Expenses and Profitability
1. Fees and Expenses
In its annual review, the Board considered the fees paid to the Fund Advisers and the total operating expense ratio of each Fund, before and after any undertaking by Nuveen to limit the Fund’s total annual operating expenses to certain levels. More specifically, the Independent Board Members reviewed, among other things, each Fund’s gross and net management fee rates (i.e., before and after expense reimbursements and/or fee waivers, if any) and net total expense ratio in relation to those of a comparable universe of funds (the “Peer Universe”) and to a more focused subset of comparable funds (the “Peer Group”) established by Broadridge. The Independent Board Members reviewed the methodology Broadridge employed to establish its Peer Universe and Peer Group and recognized that differences between the applicable fund and its respective Peer Universe and/or Peer Group may limit some of the value of the comparative data. The Independent Board Members also considered a fund’s operating expense ratio as it more directly reflected the shareholder’s costs in investing in the respective fund. In their review, the Independent Board Members considered, in particular, each fund with a net expense ratio of six basis points or higher compared to that of its peer average (each an “Expense Outlier Fund”). The Board noted that the number of Nuveen funds classified as an Expense Outlier Fund pursuant to the foregoing criteria had decreased over the past few years with only a limited number of the Nuveen funds (including the California Intermediate Fund), identified as Expense Outlier Funds in 2017. The Independent Board Members reviewed an analysis as to the factors contributing to each such fund’s higher relative net expense ratio. Accordingly, in reviewing the comparative data between a fund and its peers, the Board generally considered the fund’s net expense ratio and fees to be higher if they were over 10 basis points higher, slightly higher if they were 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 their review of the fee arrangements for the Nuveen funds, the Independent Board Members considered the management fee schedules, including the complex-wide and fund-level breakpoint schedules, and the expense reimbursements and/or fee waivers provided by Nuveen for each fund, as applicable. The Independent Board Members noted that the management fees and/or expense caps of various open-end funds had been reduced in 2016 and the fund-level breakpoint schedules also had been revised in 2017 for certain open-end funds resulting in the addition of more breakpoints in the management fee schedules of such funds. The Board considered that across the Nuveen fund complex, the complex-wide fee breakpoints reduced fees by $47.4 million and fund-level breakpoints reduced fees by $54.6 million in 2017. Further, fee caps and waivers for all applicable Nuveen funds saved an additional $16.7 million in fees for shareholders in 2017.
The Board considered the sub-advisory fees paid to the Sub-Adviser, including any breakpoint schedule, and as described below, comparative data of the fees the Sub-Adviser charges to other clients.
The Independent Board Members noted that (a) the California High Yield Fund had a net management fee and a net expense ratio that were in line with the respective peer averages and (b) the California Municipal Fund had a net management fee that was in line with the peer average and a net expense ratio that was below the peer average. With respect to the California Intermediate Fund, the Independent Board Members noted that although such Fund had a net expense ratio that was higher than its peer average, it did not incur a management fee after fee waivers and expense
107
Annual Investment Management Agreement Approval Process(Unaudited) (continued)
reimbursements for the last fiscal year. The Independent Board Members further noted that the California Intermediate Fund’s net expense ratio was higher than the peer average due to, among other things, that the Fund was relatively new with a smaller size relative to the other funds in the Peer Group. The Fund’s net expense ratio, however, was consistent with the estimated expense ratio determined at the Fund’s launch in 2016.
Based on their review of the information provided, the Board 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
In determining the appropriateness of fees, the Board also reviewed information regarding the fee rates the respective Fund Advisers charged for certain other types of clients and the type of services provided to these other clients. With respect to the Adviser and/or affiliated sub-advisers to the municipal funds, such other clients may include retail and institutional managed accounts, passively managed ETFs sub-advised by the Sub-Adviser but that are offered by another fund complex and municipal managed accounts offered by an unaffiliated adviser.
The Board recognized that each Fund had an affiliated sub-adviser and reviewed, among other things, the range of fees and average fee rates assessed for managed accounts. In addition to the comparative fee data, the Board also reviewed, among other things, a description of the different levels of services provided to other clients compared to the services provided to the Nuveen funds as well as the differences in portfolio investment policies, investor profiles, account sizes and regulatory requirements, all of which contribute to the variations in the fee schedules. In general, the Board noted that the higher fee levels reflect higher levels of services provided by Nuveen, increased investment management complexity, greater product management requirements and higher levels of business risk or some combination of these factors. The Board further considered that the Sub-Adviser’s fee is essentially for portfolio management services and therefore more comparable to the fees it receives for retail wrap accounts and other external sub-advisory mandates. The Board concluded the varying levels of fees were justified given, among other things, the inherent differences in the products and the level of services provided to the Nuveen funds versus other clients, the differing regulatory requirements and legal liabilities and the entrepreneurial risks incurred in sponsoring and advising a registered investment company.
3. Profitability of Fund Advisers
In conjunction with their review of fees, the Independent Board Members considered Nuveen’s level of profitability for its advisory services to the Nuveen funds for the calendar years 2017 and 2016. In considering profitability, the Independent Board Members reviewed the level of profitability realized by Nuveen including and excluding any distribution expenses incurred by Nuveen from its own resources. The Independent Board Members also reviewed a description of the expense allocation methodology employed to develop the financial information and a summary of the history of changes to the methodology over the years. For comparability purposes, the Board recognized that a prior year’s profitability would be restated to reflect any refinements to the methodology. The Independent Board Members were aware of the inherent limitations in calculating profitability as the use of different reasonable allocation methodologies may lead to significantly different results and in reviewing profitability margins over extended periods given the refinements to the methodology over time. The Board noted that two Independent Board Members, along with independent counsel, serve as the Board’s liaisons to review and discuss any proposed changes to the methodology prior to the full Board’s review.
In their review, the Independent Board Members evaluated, among other things, Nuveen’s adjusted operating margins, gross and net revenue margins (pre-tax and after-tax) for advisory activities for the Nuveen funds, and the revenues, expenses, and net income (pre-tax and after-tax and before distribution) of Nuveen for fund advisory services for each of the last two calendar years. The Independent Board Members also reviewed an analysis of the key drivers behind the changes in revenues and expenses that impacted profitability in 2017 versus 2016. The Board noted that Nuveen recently launched its ETF product line in 2016 and reviewed the revenues, expenses and operating margin from this product line.
In addition to reviewing Nuveen’s profitability in absolute terms, the Independent Board Members also examined comparative profitability data reviewing, among other things, the revenues, expenses and adjusted total company margins of other advisory firms that had publicly available information and comparable assets under management (based on asset size and asset composition) for 2017 and as compared to their adjusted operating margins for 2016. The Independent Board Members, however, recognized the difficulty in comparing the profitability of various fund managers given the limited public information available and the subjective nature of calculating profitability which may be affected by numerous factors including the fund manager’s organizational structure, types of funds, other lines of business, methodology used to allocate expenses and cost of capital. Nevertheless, considering such limitations and based on the information provided, the Board noted that Nuveen’s adjusted operating margins appeared reasonable when compared to the adjusted margins of the peers.
Aside from Nuveen’s profitability, the Board recognized that the Adviser is a subsidiary of Nuveen, LLC, the investment management arm of Teachers Insurance and Annuity Association of America (“TIAA”). As such, the Board also reviewed a balance sheet for TIAA reflecting its assets, liabilities and capital and contingency reserves for the 2017 and 2016 calendar years to consider the financial strength of TIAA.
In reviewing profitability, the Independent Board Members also considered the profitability of the various sub-advisers from their relationships with the respective Nuveen fund(s). 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, 2017. The Independent Board Members also reviewed a profitability
108
analysis reflecting the revenues, expenses and revenue margin (pre- and post-tax) by asset type for the Sub-Adviser for the calendar year ending December 31, 2017 and the pre- and post-tax revenue margin from 2017 and 2016.
In evaluating the reasonableness of the compensation, the Independent Board Members also considered any other ancillary benefits derived by the respective Fund Adviser from its relationship with the Nuveen funds as discussed in further detail below.
Based on a consideration of all the information provided, the Board noted that Nuveen’s and the Sub-Adviser’s level of profitability was acceptable and not unreasonable in light of the services provided.
D. Economies of Scale and Whether Fee Levels Reflect These Economies of Scale
The Independent Board Members considered the extent to which economies of scale may be achieved as a Fund grows and whether these economies of scale have been shared with shareholders. Although the Board recognized that economies of scale are difficult to measure, the Independent Board Members noted that there are several methods that may be used in seeking to share economies of scale, including through breakpoints in the management fee schedule reducing the fee rates as asset levels grow, fee waivers and/or expense limitation agreements and the Adviser’s investment in its business which can enhance the services provided to the Nuveen funds. With respect to breakpoint schedules, because the Board had previously recognized that economies of scale may occur not only when the assets of a particular fund grow but also when the assets in the complex grow, the Nuveen funds generally pay the Adviser a management fee comprised of a fund-level component and a complex-level component each with its own breakpoint schedule, subject to certain exceptions. In general terms, the breakpoint schedule at the fund-level reduces fees as assets in the particular fund pass certain thresholds and the breakpoint schedule at the complex-level reduces fees on certain funds as the eligible assets in the complex pass certain thresholds. Subject to exceptions for certain Nuveen funds, the Independent Board Members reviewed the fund-level and complex-level fee schedules and any resulting savings in fees. The Board also recognized that the fund-level breakpoint schedule for certain Nuveen funds had been revised in 2016.
Aside from the breakpoint schedules, the Independent Board Members also reviewed the temporary and/or permanent expense caps applicable to certain Nuveen funds (including, for each Fund, its temporary or permanent expense cap) which may also serve as a means to share economies of scale. Based on the information provided, the Independent Board Members noted that the combination of fund-level breakpoints, complex-level breakpoints and fund-specific fee waivers reflected a total of $118.6 million in fee reductions in 2017. In addition, the Independent Board Members recognized the Adviser’s continued reinvestment in its business through, among other things, improvements in technology, additional staffing, product innovations and other organizational changes designed to expand or enhance the services provided to the benefit of all of the Nuveen funds.
Based on its review, the Board concluded that the current fee arrangements together with the Adviser’s reinvestment in its business appropriately shared any economies of scale with shareholders.
E. Indirect Benefits
The Independent Board Members received and considered information regarding other benefits the respective Fund Adviser or its affiliates may receive as a result of their relationship with the Nuveen funds. The Independent Board Members reviewed the revenues that an affiliate of the Adviser received in 2017 as a result of serving as principal underwriter to the open-end funds from 12b-1 distribution and shareholder servicing fees (except for Nuveen’s Nushares ETFs which currently do not incur 12b-1 fees).
In addition to the above, the Independent Board Members considered whether the Sub-Adviser uses commissions paid by the Funds on portfolio transactions to obtain research products and other services (“soft dollar transactions”). The Board recognized that the Sub-Adviser may benefit from research received from broker-dealers that execute Fund portfolio transactions. The Board, however, noted that the benefits for sub-advisers transacting in fixed-income securities may be more limited as such securities generally trade on a principal basis and therefore do not generate brokerage commissions. Further, the Board noted that although the Sub-Adviser may benefit from the receipt of research and other services that it may otherwise have to pay for out of its own resources, the research may also benefit the Funds to the extent it enhances the ability of the Sub-Adviser to manage the Funds or is acquired through the commissions paid on portfolio transactions of other funds or clients.
Based on their review, the Board 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 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.
109
Trustees and Officers
(Unaudited)
The management of the Funds, including general supervision of the duties performed for the Funds by the Adviser, is the responsibility of the Board of Trustees of the Funds. The number of Trustees of the Funds is currently set at ten. None of the Trustees who are not “interested” persons of the Funds (referred to herein as “Independent Trustees”) has ever been a Trustee or employee of, or consultant to, Nuveen or its affiliates. The names and business addresses of the Trustees and officers of the Funds, their principal occupations and other affiliations during the past five years, the number of portfolios each oversees and other directorships they hold are set forth below.
The Funds’ Statement of Additional Information (“SAI”) includes more information about the Trustees. To request a free copy, call Nuveen Investments at (800) 257-8787 or visit the Funds’ website at www.nuveen.com.
| Name, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed (1) | Principal Occupation(s) Including other Directorships During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee |
| Independent Trustees: | ||||
| Terence J. Toth 1959 333 W. Wacker Drive Chicago, IL 60606 | Chairman and Trustee | 2008 | Formerly, a Co-Founding Partner, Promus Capital (2008-2017); Director, Fulcrum IT Service LLC (since 2010) and Quality Control Corporation (since 2012); member: Catalyst Schools of Chicago Board (since 2008) and Mather Foundation Board (since 2012), and chair of its investment committee; formerly, Director, Legal & General Investment Management America, Inc. (2008-2013); formerly, CEO and President, Northern Trust Global Investments (2004-2007); Executive Vice President, Quantitative Management & Securities Lending (2000-2004); prior thereto, various positions with Northern Trust Company (since 1994); formerly, Member, Northern Trust Mutual Funds Board (2005-2007), Northern Trust Global Investments Board (2004-2007), Northern Trust Japan Board (2004-2007), Northern Trust Securities Inc. Board (2003- 2007) and Northern Trust Hong Kong Board (1997-2004). | 168 |
| Jack B. Evans 1948 333 W. Wacker Drive Chicago, IL 60606 | Trustee | 1999 | Chairman (since 2019), formerly, President (1996-2019), The Hall-Perrine Foundation, a private philanthropic corporation; Director and Chairman, United Fire Group, a publicly held company; Director, Public member, American Board of Orthopaedic Surgery (since 2015); Life Trustee of Coe College and the Iowa College Foundation; formerly, President Pro-Tem of the Board of Regents for the State of Iowa University System; formerly, Director, Alliant Energy and The Gazette Company; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm. | 168 |
110
| Name, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed (1) | Principal Occupation(s) Including other Directorships During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee |
| William C. Hunter 1948 333 W. Wacker Drive Chicago, IL 60606 | Trustee | 2003 | Dean Emeritus, formerly, Dean, Tippie College of Business, University of Iowa (2006-2012); Director of Wellmark, Inc. (since 2009); past Director (2005-2015), and past President (2010- 2014) Beta Gamma Sigma, Inc., The International Business Honor Society; formerly, Director (2004-2018) of Xerox Corporation; Dean and Distinguished Professor of Finance, School of Business at the University of Connecticut (2003-2006); previously, Senior Vice President and Director of Research at the Federal Reserve Bank of Chicago (1995-2003); formerly, Director (1997-2007), Credit Research Center at Georgetown University. | 168 |
| Albin F. Moschner 1952 333 W. Wacker Drive Chicago, IL 60606 | Trustee | 2016 | Founder and Chief Executive Officer, Northcroft Partners, LLC, a management consulting firm (since 2012); Chairman (since 2019), and Director (since 2012), USA Technologies, Inc., a provider of solutions and services to facilitate electronic payment transactions (since 2012); formerly, Director, Wintrust Financial Corporation (1996-2016); previously, held positions at Leap Wireless International, Inc., including Consultant (2011-2012), Chief Operating Officer (2008-2011), and Chief Marketing Officer (2004-2008); formerly, President, Verizon Card Services division of Verizon Communications, Inc. (2000-2003); formerly, President, One Point Services at One Point Communications (1999-2000); formerly, Vice Chairman of the Board, Diba, Incorporated (1996-1997); formerly, various executive positions (1991-1996) and Chief Executive Officer (1995-1996) of Zenith Electronics Corporation. | 168 |
| John K. Nelson 1962 333 W. Wacker Drive Chicago, IL 60606 | Trustee | 2013 | Member of Board of Directors of Core12 LLC (since 2008), a private firm which develops branding, marketing and communications strategies for clients; serves on The President's Council, Fordham University (since 2010); and previously was a Director of The Curran Center for Catholic American Studies (2009-2018) formerly, senior external advisor to the financial services practice of Deloitte Consulting LLP (2012-2014); formerly, Chairman of the Board of Trustees of Marian University (2010 as trustee, 2011- 2014 as Chairman); formerly, Chief Executive Officer of ABN AMRO N.V. North America, and Global Head of its Financial Markets Division (2007-2008); prior senior positions held at ABN AMRO include Corporate Executive Vice President and Head of Global Markets-the Americas (2006-2007), CEO of Wholesale Banking-North America and Global Head of Foreign Exchange and Futures Markets (2001-2006), and Regional Commercial Treasurer and Senior Vice President Trading-North America (1996-2001); formerly, Trustee at St. Edmund Preparatory School in New York City. | 168 |
| Judith M. Stockdale 1947 333 W. Wacker Drive Chicago, IL 60606 | Trustee | 1997 | Board Member, Land Trust Alliance (since 2013) and U.S. Endowment for Forestry and Communities (since 2013); formerly, Executive Director (1994-2012), Gaylord and Dorothy Donnelley Foundation; prior thereto, Executive Director, Great Lakes Protection Fund (1990-1994). | 168 |
| Carole E. Stone 1947 333 W. Wacker Drive Chicago, IL 60606 | Trustee | 2007 | Former Director, Chicago Board Options Exchange (2006-2017), and C2 Options Exchange, Incorporated (2009-2017); Director, Cboe L.C. Global Markets, Inc., formerly, CBOE Holdings, Inc. (since 2010); formerly, Commissioner, New York State Commission on Public Authority Reform (2005-2010). | 168 |
111
Trustees and Officers(Unaudited) (continued)
| Name, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed (1) | Principal Occupation(s) Including other Directorships During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee |
| Margaret L. Wolff 1955 333 W. Wacker Drive Chicago, IL 60606 | Trustee | 2016 | Formerly, member of the Board of Directors (2013-2017) of Travelers Insurance Company of Canada and The Dominion of Canada General Insurance Company (each, a part of Travelers Canada, the Canadian operation of The Travelers Companies, Inc.); formerly, Of Counsel, Skadden, Arps, Slate, Meagher & Flom LLP (Mergers & Acquisitions Group) (2005-2014); Member of the Board of Trustees of New York-Presbyterian Hospital (since 2005); Member (since 2004) and Chair (since 2015) of the Board of Trustees of The John A. Hartford Foundation (a philanthropy dedicated to improving the care of older adults); formerly, Member (2005-2015) and Vice Chair (2011-2015) of the Board of Trustees of Mt. Holyoke College. | 168 |
| Robert L. Young(2) 1963 333 W. Wacker Drive Chicago, IL 60606 | Trustee | 2017 | Formerly, Chief Operating Officer and Director, J.P. Morgan Investment Management Inc. (2010-2016); formerly, President and Principal Executive Officer (2013-2016), and Senior Vice President and Chief Operating Officer (2005-2010), of J.P. Morgan Funds; formerly, Director and various officer positions for J.P. Morgan Investment Management Inc. (formerly, JPMorgan Funds Management, Inc. and formerly, One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly, One Group Dealer Services, Inc.) (1999-2017). | 166 |
| Name, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed (1) | Principal Occupation(s) Including other Directorships During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee |
| Interested Trustee: | ||||
| Margo L. Cook(3) 1964 333 W. Wacker Drive Chicago, IL 60606 | Trustee | 2016 | President (since 2017), formerly, Co-Chief Executive Officer and Co-President (2016-2017), formerly, Senior Executive Vice President of Nuveen Investments, Inc; Executive Vice President (since 2017) of Nuveen, LLC; President, Global Products and Solutions (since 2017), and Co-Chief Executive Officer (since 2015), formerly, Executive Vice President (2013-2015) of Nuveen Securities, LLC; President (since 2017), formerly, Co-President (2016-2017), formerly Senior Executive Vice President (2015-2016) of Nuveen Fund Advisors, LLC (Executive Vice President 2011-2015); President (since 2017), Nuveen Alternative Investments, LLC; Chartered Financial Analyst. | 168 |
| Name, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed (4) | Principal Occupation(s) During Past 5 Years | |
| Officers of the Funds: | ||||
| Greg A. Bottjer 1971 333 W. Wacker Drive Chicago, IL 60606 | Chief Administrative Officer | 2016 | Senior (since 2017) Managing Director (since 2011), formerly, Senior Vice President (2007-2010) of Nuveen; Senior (since 2017) Managing Director (since 2016) of Nuveen Fund Advisors, LLC; Chartered Financial Analyst. | |
| Mark J. Czarniecki 1979 901 Marquette Avenue Minneapolis, MN 55402 | Vice President and Assistant Secretary | 2013 | Vice President and Assistant Secretary of Nuveen Securities, LLC (since 2016) and Nuveen Fund Advisors (since 2017); Vice President and Associate General Counsel of Nuveen (since 2013) and Vice President, Assistant Secretary and Associate General Counsel of Nuveen Asset Management (since March 2018). |
112
| Name, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed (4) | Principal Occupation(s) During Past 5 Years | |
| Diana R. Gonzalez 1978 333 West Wacker Drive Chicago, IL 60606 | Vice President and Assistant Secretary | 2017 | Vice President and Assistant Secretary of Nuveen Fund Advisors, LLC (since 2017); Vice President and Associate General Counsel of Nuveen (since 2017); Associate General Counsel of Jackson National Asset Management (2012-2017). | |
| Nathaniel T. Jones 1979 333 W. Wacker Drive Chicago, IL 60606 | Vice President and Treasurer | 2016 | Managing Director (since 2017), formerly, Senior Vice President (2016-2017), formerly, Vice President (2011- 2016) of Nuveen; Managing Director of Nuveen Fund Advisors, LLC; Chartered Financial Analyst. | |
| Walter M. Kelly 1970 333 W. Wacker Drive Chicago, IL 60606 | Chief Compliance Officer and Vice President | 2003 | Managing Director (since 2017), formerly, Senior Vice President (2008-2017) of Nuveen Investments Holdings, Inc. | |
| Tina M. Lazar 1961 333 W. Wacker Drive Chicago, IL 60606 | Vice President | 2002 | Managing Director (since 2017), formerly, Senior Vice President (2014-2017) of Nuveen Securities, LLC. | |
| Kevin J. McCarthy 1966 333 W. Wacker Drive Chicago, IL 60606 | Vice President and Assistant Secretary | 2007 | Senior Managing Director (since 2017) and Secretary and General Counsel (since 2016) of Nuveen Investments, Inc., formerly, Executive Vice President (2016-2017) and Managing Director and Assistant Secretary (2008-2016); Senior Managing Director (since 2017) and Assistant Secretary (since 2008) of Nuveen Securities, LLC, formerly Executive Vice President (2016-2017) and Managing Director (2008-2016); Senior Managing Director (since 2017), Secretary (since 2016) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC, formerly, Executive Vice President (2016-2017), Managing Director (2008-2016) and Assistant Secretary (2007-2016); Senior Managing Director (since 2017), Secretary (since 2016) and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC, formerly Executive Vice President (2016-2017) and Managing Director and Assistant Secretary (2011-2016); Senior Managing Director (since 2017) and Secretary (since 2016) of Nuveen Investments Advisers, LLC, formerly Executive Vice President (2016-2017); Vice President (since 2007) and Secretary (since 2016), formerly, Assistant Secretary, of NWQ Investment Management Company, LLC, Symphony Asset Management, LLC, Santa Barbara Asset Management, LLC and Winslow Capital Management, LLC (since 2010). Senior Managing Director (since 2017) and Secretary (since 2016) of Nuveen Alternative Investments, LLC. | |
| Christopher M. Rohrbacher 1971 333 W. Wacker Drive Chicago, IL 60606 | Vice President and Secretary | 2008 | Managing Director (since 2017) and Assistant Secretary of Nuveen Securities, LLC; Managing Director (since 2017), formerly, Senior Vice President (2016-2017) and Assistant Secretary (since 2016) of Nuveen Fund Advisors, LLC. | |
| William A. Siffermann 1975 333 W. Wacker Drive Chicago, IL 60606 | Vice President | 2017 | Managing Director (since 2017), formerly Senior Vice President (2016-2017) and Vice President (2011-2016) of Nuveen. | |
| Joel T. Slager 1978 333 W. Wacker Drive Chicago, IL 60606 | Vice President and Assistant Secretary | 2013 | Fund Tax Director for Nuveen Funds (since 2013); previously, Vice President of Morgan Stanley Investment Management, Inc., Assistant Treasurer of the Morgan Stanley Funds (from 2010 to 2013). | |
| E. Scott Wickerham 1973 TIAA 730 Third Avenue New York, NY 10017 | Vice President and Controller | 2019 | Senior Managing Director, Head of Fund Administration at Nuveen, LLC (since 2019), formerly, Managing Director; Principal Financial Officer, Principal Accounting Officer and Treasurer (since 2017) to the TIAA-CREF Funds, the TIAA-CREF Life Funds, the TIAA Separate Account VA-1 and the Treasurer (since 2017) to the CREF Accounts; Senior Director, TIAA-CREF Fund Administration (2014-2015); has help various positions with TIAA since 2006. |
113
Trustees and Officers(Unaudited) (continued)
| Name, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed (4) | Principal Occupation(s) During Past 5 Years | |
| Gifford R. Zimmerman 1956 333 W. Wacker Drive Chicago, IL 60606 | Vice President and Assistant Secretary | 1988 | Managing Director (since 2002), and Assistant Secretary of Nuveen Securities, LLC; Managing Director (since 2004) and Assistant Secretary (since 1994) of Nuveen Investments, Inc.; Managing Director (since 2002), Assistant Secretary (since 1997) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel of Nuveen Asset Management, LLC (since 2011); Vice President (since 2017), formerly, Managing Director (2003-2017) and Assistant Secretary (since 2003) of Symphony Asset Management LLC ; Managing Director and Assistant Secretary (since 2002) of Nuveen Investments Advisers, LLC; Vice President and Assistant Secretary of NWQ Investment Management Company, LLC (since 2002), Santa Barbara Asset Management, LLC (since 2006) and of Winslow Capital Management, LLC, (since 2010); Chartered Financial Analyst. |
(1) Trustees serve an indefinite term until his/her successor is elected or appointed. The year first elected or appointed represents the year in which the director was first elected or appointed to any fund in the Nuveen Fund Complex.
(2) On May 25, 2017, Mr. Young was appointed as a Board Member, effective July 1, 2017. He is a Board Member of each of the Nuveen Funds, except Nuveen Diversified Dividend and Income Fund and Nuveen Real Estate Income Fund.
(3) “Interested person” of the Trust, as defined in the 1940 Act, by reason of her position with Nuveen, LLC. and certain of its subsidiaries.
(4) Officers serve one year terms through August of each year. The year first elected or appointed represents the year in which the officer was first elected or appointed to any fund in the Nuveen Fund Complex.
114
Notes
115
Nuveen:
Serving Investors for Generations
Serving Investors for Generations
Since 1898, financial advisors and their clients have relied on Nuveen to provide dependable investment solutions through continued adherence to proven, long-term investing principles. Today, we offer a range of high quality solutions designed to be integral components of a well-diversified core portfolio.
Focused on meeting investor needs.
Nuveen is the investment manager of TIAA. We have grown into one of world’s premier global asset managers, with specialist knowledge across all major asset classes and particular strength in solutions that provide income for investors and that draw on our expertise in alternatives and responsible investing. Nuveen is driven not only by the independent investment processes across the firm, but also the insights, risk management, analytics and other tools and resources that a truly world-class platform provides. As a global asset manager, our mission is to work in partnership with our clients to create solutions which help them secure their financial future.
Find out how we can help you.
To learn more about how the products and services of Nuveen 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, 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/mutual-funds
Nuveen Securities, LLC, member FINRA and SIPC | 333 West Wacker Drive | Chicago, IL 60606 | www.nuveen.com MAN-CA-0219D803980-INV-Y-04/20
ITEM 2. CODE OF ETHICS.
As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There were no amendments to or waivers from the code during the period covered by this report. The registrant has posted the code of ethics on its website at www.nuveen.com/MutualFunds/ShareholderResources/FundGovernance.aspx. (To view the code, click on Code of Conduct.)
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
As of the end of the period covered by this report, the registrant’s Board of Directors or Trustees (“Board”) determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its Audit Committee. The registrant’s audit committee financial experts are Carole E. Stone, Jack B. Evans and William C. Hunter, who are “independent” for purposes of Item 3 of Form N-CSR.
Ms. Stone served for five years as Director of the New York State Division of the Budget. As part of her role as Director, Ms. Stone was actively involved in overseeing the development of the State’s operating, local assistance and capital budgets, its financial plan and related documents; overseeing the development of the State’s bond-related disclosure documents and certifying that they fairly presented the State’s financial position; reviewing audits of various State and local agencies and programs; and coordinating the State’s system of internal audit and control. Prior to serving as Director, Ms. Stone worked as a budget analyst/examiner with increasing levels of responsibility over a 30 year period, including approximately five years as Deputy Budget Director. Ms. Stone has also served as Chair of the New York State Racing Association Oversight Board, as Chair of the Public Authorities Control Board, as a Commissioner on the New York State Commission on Public Authority Reform and as a member of the Boards of Directors of several New York State public authorities. These positions have involved overseeing operations and finances of certain entities and assessing the adequacy of project/entity financing and financial reporting. Currently, Ms. Stone is on the Board of Directors of CBOE Holdings, Inc., of the Chicago Board Options Exchange, and of C2 Options Exchange. Ms. Stone’s position on the boards of these entities and as a member of both CBOE Holdings’ Audit Committee and its Finance Committee has involved, among other things, the oversight of audits, audit plans and preparation of financial statements.
Mr. Evans was formerly President and Chief Operating Officer of SCI Financial Group, Inc., a full service registered broker-dealer and registered investment adviser (“SCI”). As part of his role as President and Chief Operating Officer, Mr. Evans actively supervised the Chief Financial Officer (the “CFO”) and actively supervised the CFO’s preparation of financial statements and other filings with various regulatory authorities. In such capacity, Mr. Evans was actively involved in the preparation of SCI’s financial statements and the resolution of issues raised in connection therewith. Mr. Evans has also served on the audit committee of various reporting companies. At such companies, Mr. Evans was involved in the oversight of audits, audit plans, and the preparation of financial statements. Mr. Evans also formerly chaired the audit committee of the Federal Reserve Bank of Chicago.
Mr. Hunter was formerly a Senior Vice President at the Federal Reserve Bank of Chicago. As part of his role as Senior Vice President, Mr. Hunter was the senior officer responsible for all operations of each of the Economic Research, Statistics, and Community and Consumer Affairs units at the Federal Reserve Bank of Chicago. In such capacity, Mr. Hunter oversaw the subunits of the Statistics and Community and Consumer Affairs divisions responsible for the analysis and evaluation of bank and bank holding company financial statements and financial filings. Prior to serving as Senior Vice President at the Federal Reserve Bank of Chicago, Mr. Hunter was the Vice President of the Financial Markets unit at the Federal Reserve Bank of Atlanta where he supervised financial staff and bank holding company analysts who analyzed and evaluated bank and bank holding company financial statements. Mr. Hunter also currently serves on the Boards of Directors of Xerox Corporation and Wellmark, Inc. as well as on the Audit Committees of such Boards. As an Audit Committee member, Mr. Hunter’s responsibilities include, among other things, reviewing financial statements, internal audits and internal controls over financial reporting. Mr. Hunter also formerly was a Professor of Finance at the University of Connecticut School of Business and has authored numerous scholarly articles on the topics of finance, accounting and economics.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
The following tables show the amount of fees that KPMG LLP, the Funds’ auditor, billed to the Funds during the Funds’ last two full fiscal years. The Audit Committee approved in advance all audit services and non-audit services that KPMG LLP, provided to the Funds, except for those non-audit services that were subject to the pre-approval exception under Rule 2-01 of Regulation S-X (the “pre-approval exception”). The preapproval exception for services provided directly to the Funds waives the pre-approval requirement for services other than audit, review or attest services if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid by the Funds during the fiscal year in which the services are provided; (B) the Funds did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee’s attention, and the Committee (or its delegate) approves the services before the audit is completed.
The Audit Committee has delegated certain pre-approval responsibilities to its Chairman (or, in his absence, any other member of the Audit Committee).
Fiscal Year Ended February 28, 2019 | Audit Fees Billed to Funds1 | Audit-Related Fees Billed to Funds2 | Tax Fees Billed to Funds3 | All Other Fees Billed to Funds 4 | ||||||||||||
Fund Name | ||||||||||||||||
Nuveen Connecticut Municipal Bond Fund | 26,200 | 0 | 0 | 0 | ||||||||||||
Nuveen California Municipal Bond Fund | 26,200 | 0 | 0 | 0 | ||||||||||||
Nuveen California High Yield Municipal Bond Fund | 26,200 | 0 | 0 | 0 | ||||||||||||
Nuveen California Intermediate Municipal Bond Fund | 26,200 | 0 | 0 | 0 | ||||||||||||
Nuveen New Jersey Municipal Bond Fund | 26,200 | 0 | 0 | 0 | ||||||||||||
Nuveen New York Municipal Bond Fund | 26,200 | 0 | 0 | 0 | ||||||||||||
Nuveen Massachusetts Municipal Bond Fund | 26,200 | 0 | 0 | 0 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 183,400 | $ | 0 | $ | 0 | $ | 0 | ||||||||
| 1 | “Audit Fees” are the aggregate fees billed for professional services for the audit of the Fund’s annual financial statements and services provided in connection with statutory and regulatory filings or engagements. |
| 2 | “Audit-Related Fees” are the aggregate fees billed for assurance and related services reasonably related to the performance of the audit or review of financial statements that are not reported under “Audit Fees”. These fees include offerings related to the Fund’s common shares and leverage. |
| 3 | “Tax Fees” are the aggregate fees billed for professional services for tax advice, tax compliance, and tax planning. These fees include: all global withholding tax services; excise and state tax reviews; capital gain, tax equalization and taxable basis calculations performed by the principal accountant. |
| 4 | “All Other Fees” are the aggregate fees billed for products and services other than “Audit Fees”, “Audit-Related Fees” and “Tax Fees”. These fees represent all “Agreed-Upon Procedures” engagements pertaining to the Fund’s use of leverage. |
| Percentage Approved Pursuant to Pre-approval Exception | ||||||||||||||||
| Audit Fees Billed to Funds | Audit-Related Fees Billed to Funds | Tax Fees Billed to Funds | All Other Fees Billed to Funds | |||||||||||||
Fund Name | ||||||||||||||||
Nuveen Connecticut Municipal Bond Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Nuveen California Municipal Bond Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Nuveen California High Yield Municipal Bond Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Nuveen California Intermediate Municipal Bond Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Nuveen New Jersey Municipal Bond Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Nuveen New York Municipal Bond Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Nuveen Massachusetts Municipal Bond Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Fiscal Year Ended February 28, 2018 | Audit Fees Billed to Funds1 | Audit-Related Fees Billed to Funds2 | Tax Fees Billed to Funds 3 | All Other Fees Billed to Funds 4 | ||||||||||||
Fund Name | ||||||||||||||||
Nuveen Connecticut Municipal Bond Fund | 26,200 | 985 | 0 | 0 | ||||||||||||
Nuveen California Municipal Bond Fund | 26,200 | 985 | 0 | 0 | ||||||||||||
Nuveen California High Yield Municipal Bond Fund | 26,200 | 985 | 0 | 0 | ||||||||||||
Nuveen California Intermediate Municipal Bond Fund | 26,200 | 0 | 0 | 0 | ||||||||||||
Nuveen New Jersey Municipal Bond Fund | 26,200 | 985 | 0 | 0 | ||||||||||||
Nuveen New York Municipal Bond Fund | 26,200 | 985 | 0 | 0 | ||||||||||||
Nuveen Massachusetts Municipal Bond Fund | 26,200 | 985 | 0 | 0 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 183,400 | $ | 5,908 | $ | 0 | $ | 0 | ||||||||
| 1 | “Audit Fees” are the aggregate fees billed for professional services for the audit of the Fund’s annual financial statements and services provided in connection with statutory and regulatory filings or engagements. |
| 2 | “Audit-Related Fees” are the aggregate fees billed for assurance and related services reasonably related to the performance of the audit or review of financial statements that are not reported under “Audit Fees”. These fees include offerings related to the Fund’s common shares and leverage. |
| 3 | “Tax Fees” are the aggregate fees billed for professional services for tax advice, tax compliance, and tax planning. These fees include: all global withholding tax services; excise and state tax reviews; capital gain, tax equalization and taxable basis calculations performed by the principal accountant. |
| 4 | “All Other Fees” are the aggregate fees billed for products and services other than “Audit Fees”, “Audit-Related Fees” and “Tax Fees”. These fees represent all “Agreed-Upon Procedures” engagements pertaining to the Fund’s use of leverage. |
| Percentage Approved Pursuant to Pre-approval Exception | ||||||||||||||||
| Audit Fees Billed to Funds | Audit-Related Fees Billed to Funds | Tax Fees Billed to Funds | All Other Fees Billed to Funds | |||||||||||||
Fund Name | ||||||||||||||||
Nuveen Connecticut Municipal Bond Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Nuveen California Municipal Bond Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Nuveen California High Yield Municipal Bond Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Nuveen California Intermediate Municipal Bond Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Nuveen New Jersey Municipal Bond Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Nuveen New York Municipal Bond Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Nuveen Massachusetts Municipal Bond Fund | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
Fiscal Year Ended February 28, 2019 | Audit-Related Fees Billed to Adviser and Affiliated Fund Service Providers | Tax Fees Billed to Adviser and Affiliated Fund Service Providers | All Other Fees Billed to Adviser and Affiliated Fund Service Providers | |||||||||
Nuveen Multistate Trust II | $ | 0 | $ | 0 | $ | 0 | ||||||
| Percentage Approved Pursuant toPre-approval Exception | ||||||||||||
| Audit-Related Fees Billed to Adviser and Affiliated Fund Service Providers | Tax Fees Billed to Adviser and Affiliated Fund Service Providers | All Other Fees Billed to Adviser and Affiliated Fund Service Providers | ||||||||||
| 0 | % | 0 | % | 0 | % | |||||||
Fiscal Year Ended February 28, 2018 | Audit-Related Fees Billed to Adviser and Affiliated Fund Service Providers | Tax Fees Billed to Adviser and Affiliated Fund Service Providers | All Other Fees Billed to Adviser and Affiliated Fund Service Providers | |||||||||
Nuveen Multistate Trust II | $ | 0 | $ | 0 | $ | 0 | ||||||
| Percentage Approved Pursuant toPre-approval Exception | ||||||||||||
| Audit-Related Fees Billed to Adviser and Affiliated Fund Service Providers | Tax Fees Billed to Adviser and Affiliated Fund Service Providers | All Other Fees Billed to Adviser and Affiliated Fund Service Providers | ||||||||||
| 0 | % | 0 | % | 0 | % | |||||||
Fiscal Year Ended February 28, 2019 | Total Non-Audit Fees Billed to Trust | Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (engagements related directly to the operations and financial reporting of the Trust) | Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (all other engagements) | Total | ||||||||||||
Fund Name | ||||||||||||||||
Nuveen Connecticut Municipal Bond Fund | 0 | 0 | 0 | 0 | ||||||||||||
Nuveen California Municipal Bond Fund | 0 | 0 | 0 | 0 | ||||||||||||
Nuveen California High Yield Municipal Bond Fund | 0 | 0 | 0 | 0 | ||||||||||||
Nuveen California Intermediate Municipal Bond Fund | 0 | 0 | 0 | 0 | ||||||||||||
Nuveen New Jersey Municipal Bond Fund | 0 | 0 | 0 | 0 | ||||||||||||
Nuveen New York Municipal Bond Fund | 0 | 0 | 0 | 0 | ||||||||||||
Nuveen Massachusetts Municipal Bond Fund | 0 | 0 | 0 | 0 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
“Non-Audit Fees billed to Fund” for both fiscal year ends represent “Tax Fees” and “All Other Fees” billed to Fund in their respective amounts from the previous table.
Less than 50 percent of the hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
Fiscal Year Ended February 28, 2018 | Total Non-Audit Fees Billed to Trust | Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (engagements related directly to the operations and financial reporting of the Trust) | Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (all other engagements) | Total | ||||||||||||
Fund Name | ||||||||||||||||
Nuveen Connecticut Municipal Bond Fund | 0 | 0 | 0 | 0 | ||||||||||||
Nuveen California Municipal Bond Fund | 0 | 0 | 0 | 0 | ||||||||||||
Nuveen California High Yield Municipal Bond Fund | 0 | 0 | 0 | 0 | ||||||||||||
Nuveen California Intermediate Municipal Bond Fund | 0 | 0 | 0 | 0 | ||||||||||||
Nuveen New Jersey Municipal Bond Fund | 0 | 0 | 0 | 0 | ||||||||||||
Nuveen New York Municipal Bond Fund | 0 | 0 | 0 | 0 | ||||||||||||
Nuveen Massachusetts Municipal Bond Fund | 0 | 0 | 0 | 0 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
“Non-Audit Fees billed to Fund” for both fiscal year ends represent “Tax Fees” and “All Other Fees” billed to Fund in their respective amounts from the previous table.
Audit Committee Pre-Approval Policies and Procedures. Generally, the Audit Committee must approve (i) all non-audit services to be performed for the Funds by the Funds’ independent accountant and (ii) all audit and non-audit services to be performed by the Funds’ independent accountant for the Affiliated Fund Service Providers with respect to the operations and financial reporting of the Funds. Regarding tax and research projects conducted by the independent accountant for the Funds and Affiliated Fund Service Providers (with respect to operations and financial reports of the Trust), such engagements will be (i) pre-approved by the Audit Committee if they are expected to be for amounts greater than $10,000; (ii) reported to the Audit Committee Chairman for his verbal approval prior to engagement if they are expected to be for amounts under $10,000 but greater than $5,000; and (iii) reported to the Audit Committee at the next Audit Committee meeting if they are expected to be for an amount under $5,000.
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 FORCLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this registrant.
ITEM 8. PORTFOLIO MANAGERS OFCLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BYCLOSED-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 of Trustees 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 Rule30a-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 Rule30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules13a-15(b) or15d-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 Rule30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during 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. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. 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 because the code is posted on registrant’s website at www.nuveen.com/MutualFunds/ShareholderResources/FundGovernance.aspx and there were no amendments during the period covered by this report. (To view the code, click on Code of Conduct.) | |
| (a)(2) | A separate certification for each principal executive officer and principal financial officer of the registrant as required byRule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: SeeEX-99.CERT attached hereto. | |
| (a)(3) | Any written solicitation to purchase securities under Rule23c-1 under the 1940 Act (17 CFR270.23c-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. | |
| (a)(4) | Change in the registrant’s independent public accountant. Not applicable. | |
| (b) | If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)), Rule13a-14(b) or Rule15d-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: SeeEX-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/ Christopher M. Rohrbacher | |
| Christopher M. Rohrbacher | ||
| Vice President and Secretary | ||
Date: May 7, 2019
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/ Greg A. Bottjer | |
| Greg A. Bottjer | ||
| Chief Administrative Officer | ||
| (principal executive officer) | ||
Date: May 7, 2019
| By (Signature and Title) | /s/ E. Scott Wickerham | |
| E. Scott Wickerham | ||
| Vice President and Controller | ||
| (principal financial officer) | ||
Date: May 7, 2019