UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-07755
Nuveen Multistate Trust II
(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive, Chicago, IL 60606
(Address of principal executive offices) (Zip code)
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 29
Date of reporting period: August 31, 2020
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policy making roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss.3507.
| ITEM 1. | REPORTS TO STOCKHOLDERS. |
Mutual Funds
31 August 2020
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 |
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.
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Table
of Contents
3
Chair’s Letter to Shareholders
Dear Shareholders,
The COVID-19 crisis is taking an unprecedented toll on our health, societies, economies and financial markets. Our thoughts are with you during this time of significant disruption caused by the disease and its economic fallout.
A renewed increase in COVID-19 cases in some areas, including an outbreak affecting President Trump and White House staffers and contacts, showed that controlling the spread of the novel coronavirus remains an ongoing public health concern as economies reopen and social activities resume. In the meantime, medical knowledge is improving and some areas have been able to implement much narrower restrictions when infection clusters have recurred. This has helped an economic recovery gain traction, with a significant recovery in jobs, consumer spending, manufacturing and other indicators from their weakest levels. Additionally, progress toward a vaccine and treatments has been promising, while the timeline is unknown. Markets have recently taken an optimistic view, but the path of the economy from here and the upcoming U.S. presidential election are increasingly in the forefront.
While we do not want to understate the dampening effect on the global economy, it is important to differentiate short-term interruptions from the longer-lasting implications to the economy. Prior to the COVID-19 crisis, some areas of the global economy were showing signs of improvement after trade tensions had weighed on economic activity for much of 2019. More recently, countries that have reopened have seen marked improvement in some near-term economic indicators. Central banks and governments around the world have announced economic stimulus measures and pledged to continue doing what it takes to support their economies. In the U.S., the Federal Reserve has cut its benchmark interest rate to near zero and introduced similar programs that helped revive the U.S. economy after the 2008 financial crisis. The U.S. Government has approved three relief packages, including a $2 trillion-dollar package directly supporting businesses and individuals. The Coronavirus Aid, Relief and Economic Security Act, called the CARES Act, has provided direct payments and expanded unemployment benefits to individuals, loans and grants to small businesses, loans and other money to large corporations and funding for hospitals, public health, education and state and local governments. In the European Union, the European Central Bank recently increased the size of its Pandemic Emergency Purchase Program, known as PEPP, to $1.6 trillion from $882 billion and extended its duration to June 2021.
In the meantime, patience and a long-term perspective are key for investors. When market fluctuations are the leading headlines day after day, it’s tempting to “do something.” However, your long-term goals can’t be met with short-term thinking. We encourage you to talk to your financial professional, who can review your time horizon, risk tolerance and investment goals. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.
Sincerely,
Terence J. Toth
Chair of the Board
October 23, 2020
4
Portfolio Managers’
Comments
Nuveen California High Yield Municipal Bond Fund
Nuveen California Municipal Bond Fund
These Funds feature portfolio management by Nuveen Asset Management, LLC (NAM), an affiliate of Nuveen Fund Advisors, LLC, the Funds’ investment adviser. Portfolio managers John V. Miller, CFA, and Scott R. Romans, PhD, review key investment strategies and the Funds’ performance during the six-month reporting period ended August 31, 2020.
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.
An Update on COVID-19 Coronavirus and its Impact on the Securities Markets
Slowing COVID-19 coronavirus infection rates around the world encouraged authorities to loosen restrictions on business and social activity in recent months. While economic indicators have improved considerably from the depths of the shutdown, some regions, including the U.S. and Europe, have seen an uptick in infection rates after reopening, which prompted tightening coronavirus restrictions in some areas. Additionally, certain government programs supporting businesses and workers are expiring with little clarity on extensions or replacement options. Amid these challenges, the pace of recovery appeared to be moderating and short-term market volatility has picked up again.
The initial market response was severe, but the responses from central banks and governments to ease the strain on financial systems, businesses and individuals, as well as positive vaccine news, have helped markets bounce back from the depths of the crisis. Although the detection of the virus in China was made public in December 2019, markets did not start to fully acknowledge the risks and potential economic impact until the latter portion of February 2020, when outbreaks outside of China were first reported. Global stock markets sold off severely, with the S&P 500® index reaching a bear market (a 20% drop from the previous high) within three weeks, the fastest bear market decline in history. Even certain parts of the bond market suffered; below investment grade municipal and corporate bonds generally dropped the furthest, mostly out of concerns for the continued financial stability of lower quality issuers. Demand for safe-haven assets, along with mounting recession fears, drove the yield on the 10-year U.S. Treasury note to 0.5% in March 2020, an all-time low. Additionally, oil prices collapsed to an 18-year low on supply glut concerns, as shutdowns across the global economy sharply reduced oil demand, although oil prices have recovered to well above those lows.
While most markets have recovered most of their losses, volatility will likely remain elevated until the health crisis itself is under control (via fewer new cases, lower infection rates and/or verified treatments or vaccines). There are still many unknowns and new information is incoming daily, compounding the difficulty of modeling outcomes for epidemiologists and economists alike.
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)
Nuveen, LLC and our portfolio management teams are monitoring the situation carefully and continuously refining our views and approaches to managing the Funds to best pursue investment objectives while mitigating risks through all market environments.
How did the Funds perform during the six-month reporting period ended August 31, 2020?
The tables in the Fund Performance, Expense Ratios and Effective Leverage Ratios section of this report provide total returns for the Funds for the six-month, one-year, five-year, ten-year and since-inception periods ended August 31, 2020. 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, the Funds underperformed their respective national benchmark indexes, the S&P Municipal Yield Index (Nuveen California High Yield Municipal Bond Fund) and the S&P Municipal Bond Index (Nuveen California Municipal Bond Fund). The Nuveen California Municipal Bond Fund outperformed its respective Lipper classification averages, while the Nuveen California High Yield Municipal Bond Fund trailed its Lipper classification average.
What strategies were used to manage the Funds during the reporting period and how did these strategies influence performance?
Each Funds’ 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. The Nuveen California High Yield Municipal Bond Fund’s secondary objective is total return, when consistent with the Fund’s primary objective.
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 six-month reporting period ended August 31, 2020.
During the reporting period, the municipal bond market experienced extraordinary volatility for several weeks between mid-March and into April 2020. We attribute the market’s struggles to short-term technical factors triggering reduced demand for municipal bonds during this brief span, rather than long-term fundamental challenges weighing on the asset class. Concerns about the economic impact of the COVID-19 crisis led to significant near-term liquidity challenges for many institutional investors in the high yield municipal bond market. During March and April 2020, these investors were quick to sell bonds at unusually low prices to generate the cash they needed.
In this environment, credit spreads on California high yield municipal bonds quickly widened during this peak of market volatility. Investors gradually returned to the municipal bond market, encouraged by steep interest rate cuts from the Federal Reserve and federal economic support for businesses and individuals through the CARES Act. By the end of August 2020, higher rated municipal bonds had essentially regained their value lost during the market’s downturn, while credit spreads on lower rated bonds had considerably tightened.
Reviewing the Fund’s performance relative to the benchmark, underweightings in tobacco and Puerto Rico debt hampered results. We underweighted these categories because both sectors are heavily represented in the index and we believed that matching or exceeding that weighting would limit the portfolio’s diversification. We also believed other areas of the marketplace provided our shareholders with better long-term performance potential and less vulnerability to short-term market volatility. Accordingly, we maintained portfolio overweightings in such sectors as land-backed, tax-increment financing, education, health care and transportation.
6
The Fund’s interest rate hedges also hampered relative performance. We maintained these Treasury futures contracts to keep the portfolio’s interest rate sensitivity at our desired level without having to sell longer-duration securities we otherwise found attractive. As interest rates fell during the reporting period, these hedges lowered the Fund’s return.
One notable individual security that detracted from the Fund's performance included an investment in bonds of Foothill/Eastern Transportation Corridor Toll Road. These bonds lagged early in the reporting period, as California’s economic lockdown resulted in appreciably lower toll revenue for the highway. As the reporting period progressed and drivers returned to the roads, however, the bonds’ prices regained part of their lost value. The Fund also experienced notable underperformance from San Francisco International Airport bonds, United Airlines bonds backed by certain facilities at Los Angeles International Airport and multi-family housing bonds for the Serenity of Larkspur Apartments. In all these cases, we believed the issuers’ performance challenges were temporary and their underlying credit quality remained intact.
Positive contributions for the Fund included a position in Verity Health (formerly Daughters of Charity), which gained significantly. As Verity moved through the bankruptcy process, many of its bonds were called or redeemed at par with accrued income. Also in health care, Loma Linda University Medical Center bonds generated a strong total return for the Fund. The medical center continues to advance its extensive construction project to build a new, seismically compliant hospital facility. Other notable outperformers included land-secured bonds. This sector has long been a focus in the portfolio, reflecting our extensive credit research experience and resources in this market area. During the reporting period, land-secured debt continued to benefit from solid underlying credit fundamentals and remained steady performers.
During the reporting period, we maintained our consistent approach to portfolio management, continuing to focus on longer duration, higher yielding securities we believed offered our shareholders a favorable trade-off between risk and reward.
Throughout the reporting period our focus involved managing the Fund’s liquidity needs. At the height of market volatility in March and April 2020, high yield mutual funds experienced significant shareholder outflows. In this environment, our approach was to focus on selling bonds whose values had held up relatively well and that offered the lowest yields relative to their prices. The Fund's sales in March 2020, for example, included selling some of our holdings in tobacco-securitization and Puerto Rico sales tax bonds. Besides outperforming the market, these categories were relatively liquid and, compared to many other holdings in the Fund, more easily repurchased should we wish to add them back to the portfolio.
The Fund engaged in tax-loss swaps, which involved exchanging certain lower yielding bonds for similar higher yielding securities, often from the same issuer. With this strategy, we improved the Fund’s income and generated tax losses we can apply against future gains.
In May 2020, when municipal bond market conditions began to experience recovery, the backdrop of investment outflows switched to one of inflows. Our focus thus returned to buying bonds, and our selling activity became more limited. This approach remained in place for the remainder of the reporting period. When buying bonds, we prioritized sectors we have long emphasized in the Fund. We found land-secured and charter school debt as notable areas of opportunity this reporting period. Many of our purchases took place on the new issue market, where we often found more favorable pricing than on the secondary market.
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 provides opportunities for additional income. The opportunity arises when short-term rates that the Fund pays on its leveraging instruments are lower than the interest the Fund earns on its portfolio of long-term bonds that it has bought with the proceeds of that leverage. This has been particularly true in the recent market environment where short-term rates have been low by historical standards. However, use of leverage can expose 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 will also experience a correspondingly larger decline in its NAV if the bonds acquired through 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
7
Portfolio Managers’ Comments (continued)
decrease in comparison to unlevered funds when short-term interest rates increase and increase when short-term interest rates decrease. In recent quarters, fund leverage expenses have generally tracked the overall movement of short-term tax-exempt interest rates. While fund leverage expenses are somewhat higher than their all-time lows after the 2007-2009 financial crisis, which has contributed to a reduction in net income and long-term total return potential, leverage nevertheless continues to provide the opportunity for incremental income. Management believes that the potential benefits from leverage continue to outweigh the associated increase in risk and volatility previously described. As of August 31, 2020, the effective leverage was 26.41%, which is within our expected range and regularly monitored.
The Fund’s use of leverage through inverse floating rate securities contributed negatively to performance over this reporting period. The negative impact of leverage during the brief but severe COVID-19 induced market downturn in March 2020 was greater than the positive impact of leverage during the remainder of the reporting period. More specifically, this net negative contribution of leverage was amplified during the market downturn in part because the Fund used proceeds from portfolio sales to reduce its elevated leverage ratio, which rose as prices of portfolio securities, including those sold for de-levering purposes, declined. Conversely, as financial markets recovered and asset prices steadied, the Fund gradually increased leverage levels, using proceeds to purchase new portfolio securities at generally higher prices. Management believes, however, that the potential benefits from leverage continue to outweigh the associated increase in risk and total return variability previously described.
Nuveen California Municipal Bond Fund
The Class A Shares of the Nuveen California Municipal Bond Fund underperformed the S&P Municipal Bond Index for the six-month reporting period ended August 31, 2020.
Duration positioning had the strongest impact on the Fund’s underperformance relative to the national index. Specifically, the portfolio was overweighted in bonds with effective durations between roughly six and eight years. Because bonds in this duration segment underperformed, the Fund's higher exposure detracted from results. A positive factor, however, was the Fund's underweighting in bonds on the long end of the yield curve, which similarly lagged the overall market.
Credit quality positioning was another detrimental performance factor. Overweightings in BBB, BB and non-rated bonds detracted from the Fund's results, given that all three categories underperformed the market. Nearly this entire credit related underperformance came during those few weeks in March 2020, as market volatility surrounding the COVID-19 crisis triggered a liquidity crisis that weighed disproportionately on lower rated municipal bonds.
Sector exposure contributed positively to performance including pre-refunded bonds, which, due to their very short maturities and high credit quality, benefited disproportionately in March and April 2020. Other sector contributors included utilities, whose essential nature made these securities less vulnerable to the financial effects of the COVID-19 crisis, and state general obligation bonds, which benefited from investors’ anticipation of eventual financial support from the federal government. Tobacco bonds were also positive performers. By contrast, the transportation, health care and higher education sectors produced negative returns during this reporting period, as concern about the COVID-19 crisis led investors to reassess many bonds in these categories.
In managing the Fund during the six-month reporting period, we adapted our strategy to reflect evolving market conditions. At the beginning of March 2020, the municipal bond market continued to reflect low interest rates and tight credit spreads. As the Fund received new investment inflows with limited value among lower rated debt, we focused our bond purchases on those well structured, highly rated issues. In our view, securities with these characteristics would be easier to sell should market conditions turn challenging.
That situation soon came to pass, as investors’ concern about the COVID-19 crisis accelerated in the middle of March 2020. These conditions lasted for several weeks. Like most other municipal bond funds during this time, the Fund experienced significant shareholder redemptions. We were well positioned to handle this market shift, however, because of our higher-than-usual allocation in higher rated debt. Compared with lower rated bonds, these securities maintained much more of their value during the market’s decline, making them an effective source of proceeds to satisfy redemptions. This strategy enabled us to avoid selling lower rated, higher yielding bonds we continued to like but that were trading at depressed levels.
8
We also sold some higher rated “placeholder” bonds to fund new purchases of lower rated issues that were available at unusually wide credit spreads during this period of market volatility. We made these lower rated bond purchases across several market segments, including health care, charter school, land-secured, housing, airport and airport infrastructure, which were rated BBB and lower and offered relatively long maturities.
The Fund engaged in tax-loss swaps, which involved exchanging certain lower yielding bonds for similar higher yielding securities, often from the same issuer. With this strategy, we improved the Fund’s income and generated tax losses we can apply against future gains.
In the reporting period’s final four months, market conditions again began to resemble those in early March 2020, with tightening credit spreads and relative outperformance from lower rated issues. As municipal securities regained their footing, we were seeing fewer opportunities to purchase lower rated holdings. Accordingly, we again focused on adding higher grade bonds to serve as placeholders that we believe can be easily sold to fund future purchases.
One notable exception to this trend, however, was that we continued to find attractively valued credit opportunities in sectors investors perceived as most vulnerable in a post-COVID-19 crisis environment. Due to investors’ uncertainty about how to value bonds in such categories as health care, airports or public transportation, we took advantage of opportunities to purchase bonds in these areas when we believed they were sufficiently higher yielding to compensate for any added risk.
9
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.
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.
10
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.
Fund Performance
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 (i.e. cumulative returns). Since inception returns are shown for share classes that have less than 10-years of performance. 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.
Expense Ratios
The expense ratios shown are as of the Fund's most recent prospectus. The expense ratios shown reflect total operating expenses (before fee waivers and/or expense reimbursements, if any). The expense ratios include management fees and other fees and expenses.
Effective Leverage Ratios
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.
11
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 and Expense Ratios
| Total Retuns as of August 31, 2020* | |||||||
| Cumulative | Average Annual | ||||||
| Inception Date | 6-Month | 1-Year | 5-Year | 10-Year | Expense Ratios | ||
| Class A Shares at NAV | 3/28/06 | (4.12)% | 0.76% | 5.15% | 6.59% | 1.21% | |
| Class A Shares at maximum Offering Price | 3/28/06 | (8.18)% | (3.46)% | 4.26% | 6.13% | - | |
| S&P Municipal Yield Index | - | (2.63)% | 2.28% | 6.00% | 6.03% | - | |
| S&P Municipal Bond California Index | - | 0.34% | 3.25% | 4.04% | 4.53% | - | |
| Lipper California Municipal Debt Funds Classification Average | - | (1.61)% | 1.63% | 3.81% | 4.28% | - | |
| Class C2 Shares | 3/28/06 | (4.30)% | 0.22% | 4.60% | 6.01% | 1.76% | |
| Class I Shares | 3/28/06 | (3.94)% | 1.04% | 5.39% | 6.82% | 1.01% | |
| Total Returns as of August 31, 2020* | |||||||
| Cumulative | Average Annual | ||||||
| Inception Date | 6-Month | 1-Year | 5-Year | Since Inception | Expense Ratios | ||
| Class C Shares | 2/10/14 | (4.42)% | 0.05% | 4.33% | 5.67% | 2.01% | |
* 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.
Effective Leverage Ratio as of August 31, 2020
| Effective Leverage Ratio | 26.41% |
12
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 and Expense Ratios
| Total Retuns as of August 31, 2020* | |||||||
| Cumulative | Average Annual | ||||||
| Inception Date | 6-Month | 1-Year | 5-Year | 10-Year | Expense Ratios | ||
| Class A Shares at NAV | 9/07/94 | (0.89)% | 2.59% | 4.19% | 5.12% | 0.74% | |
| Class A Shares at maximum Offering Price | 9/07/94 | (5.07)% | (1.74)% | 3.31% | 4.66% | - | |
| S&P Municipal Bond Index | - | 0.29% | 3.15% | 3.95% | 4.03% | - | |
| S&P Municipal Bond California Index | - | 0.34% | 3.25% | 4.04% | 4.53% | - | |
| Lipper California Municipal Debt Funds Classification Average | - | (1.61)% | 1.63% | 3.81% | 4.28% | - | |
| Class C2 Shares | 9/19/94 | (1.17)% | 2.02% | 3.61% | 4.54% | 1.29% | |
| Class I Shares | 7/01/86 | (0.79)% | 2.80% | 4.39% | 5.33% | 0.54% | |
| Total Returns as of August 31, 2020* | |||||||
| Cumulative | Average Annual | ||||||
| Inception Date | 6-Month | 1-Year | 5-Year | Since Inception | Expense Ratios | ||
| Class C Shares | 2/10/14 | (1.29)% | 1.78% | 3.35% | 4.16% | 1.54% | |
* 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.
Effective Leverage Ratio as of August 31, 2020
| Effective Leverage Ratio | 0.00% |
13
Yields as of August 31, 2020
Dividend Yield is the most recent dividend per share (annualized) divided by the offering price per share.
The SEC 30-Day Yield is a standardized measure of a fund’s yield that accounts for the future amortization of premiums or discounts of bonds held in the fund’s portfolio. The SEC 30-Day Yield is computed under an SEC standardized formula and is based on the maximum offer price per share. Dividend Yield may differ from the SEC 30-Day Yield because the fund may be paying out more or less than it is earning and it may not include the effect of amortization of bond premium.
The Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis at 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 | 3.57% | 2.94% | 3.19% | 3.90% |
| SEC 30-Day Yield | 2.99% | 2.32% | 2.57% | 3.33% |
| Taxable-Equivalent Yield (54.1%)2 | 6.42% | 4.98% | 5.52% | 7.15% |
Nuveen California Municipal Bond Fund
| Share Class | ||||
| Class A1 | Class C | Class C2 | Class I | |
| Dividend Yield | 2.34% | 1.67% | 1.92% | 2.64% |
| SEC 30-Day Yield | 1.00% | 0.25% | 0.49% | 1.24% |
| Taxable-Equivalent Yield (54.1%)2 | 2.18% | 0.54% | 1.07% | 2.70% |
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.
14
Holding Summaries as of August 31, 2020
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 | 128.5% |
| Common Stocks | 0.1% |
| Other Assets Less Liabilities | 1.3% |
| Net Assets Plus Floating Rate Obligations and Borrowings | 129.9% |
| Floating Rate Obligations | (28.9)% |
| Borrowings | (1.0)% |
| Net Assets | 100% |
| States and Territories (% of total municipal bonds) | |
| California | 91.9% |
| Puerto Rico | 6.3% |
| Virgin Islands | 0.7% |
| Guam | 0.6% |
| Florida | 0.3% |
| Virginia | 0.1% |
| Illinois | 0.1% |
| Tennessee | 0.0% |
| Missouri | 0.0% |
| Total | 100% |
| Portfolio Composition (% of total investments) | |
| Tax Obligation/Limited | 27.3% |
| Tax Obligation/General | 20.8% |
| Health Care | 12.4% |
| Education and Civic Organizations | 10.6% |
| Transportation | 10.3% |
| Utilities | 5.2% |
| Other | 13.4% |
| Total | 100% |
| Bond Credit Quality (% of total investment exposure) | |
| U.S. Guaranteed | 1.9% |
| AA | 28.6% |
| A | 16.8% |
| BBB | 7.1% |
| BB or Lower | 16.0% |
| N/R (not rated) | 29.5% |
| N/A (not applicable) | 0.1% |
| Total | 100% |
15
Holding Summaries as of August 31, 2020 (continued)
Nuveen California Municipal Bond Fund
| Fund Allocation (% of net assets) | |
| Long-Term Municipal Bonds | 98.6% |
| Other Assets Less Liabilities | 1.4% |
| Net Assets | 100% |
| States and Territories (% of total municipal bonds) | |
| California | 95.7% |
| Puerto Rico | 3.2% |
| Guam | 1.1% |
| Total | 100% |
| Portfolio Composition (% of total investments) | |
| Tax Obligation/General | 18.5% |
| Tax Obligation/Limited | 16.6% |
| Water and Sewer | 14.9% |
| Transportation | 14.9% |
| Utilities | 11.3% |
| Health Care | 8.0% |
| Education and Civic Organizations | 5.7% |
| U.S. Guaranteed | 5.0% |
| Other | 5.1% |
| Total | 100% |
| Bond Credit Quality (% of total investment exposure) | |
| U.S. Guaranteed | 4.9% |
| AAA | 11.1% |
| AA | 52.2% |
| A | 12.1% |
| BBB | 6.2% |
| BB or Lower | 5.2% |
| N/R (not rated) | 8.3% |
| Total | 100% |
16
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 August 31, 2020.
The beginning of the period is March 1, 2020.
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 | $ 958.83 | $ 955.80 | $ 957.04 | $ 960.63 |
| Expenses Incurred During the Period | $ 4.05 | $ 8.04 | $ 6.81 | $ 3.06 |
| Hypothetical Performance (5% annualized return before expenses) | ||||
| Beginning Account Value | $1,000.00 | $1,000.00 | $1,000.00 | $1,000.00 |
| Ending Account Value | $1,021.07 | $1,016.99 | $1,018.25 | $1,022.08 |
| Expenses Incurred During the Period | $ 4.18 | $ 8.29 | $ 7.02 | $ 3.16 |
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.82%, 1.63%, 1.38% and 0.62% for Classes A, C, C2 and I, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
17
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 | $ 991.06 | $ 987.09 | $ 988.34 | $ 992.11 |
| Expenses Incurred During the Period | $ 3.66 | $ 7.66 | $ 6.41 | $ 2.66 |
| Hypothetical Performance (5% annualized return before expenses) | ||||
| Beginning Account Value | $1,000.00 | $1,000.00 | $1,000.00 | $1,000.00 |
| Ending Account Value | $1,021.53 | $1,017.49 | $1,018.75 | $1,022.53 |
| Expenses Incurred During the Period | $ 3.72 | $ 7.78 | $ 6.51 | $ 2.70 |
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.73%, 1.53%, 1.28% and 0.53% for Classes A, C, C2 and I, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
18
Nuveen California High Yield Municipal Bond Fund
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| LONG-TERM INVESTMENTS – 128.6% | ||||||
| MUNICIPAL BONDS – 128.5% | ||||||
| Consumer Staples – 5.9% | ||||||
| $ 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 | 9/20 at 16.30 | N/R | $4,392,090 | ||
| 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 | 9/20 at 100.00 | N/R | 1,155,208 | ||
| 1,770 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Merced County Tobacco Funding Corporation, Series 2005A, 5.125%, 6/01/38 | 10/20 at 100.00 | Ba3 | 1,774,779 | ||
| 50 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Sonoma County Tobacco Securitization Corporation, Series 2005, 5.250%, 6/01/45 | 10/20 at 100.00 | B- | 50,135 | ||
| 20,000 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Stanislaus County Tobacco Funding Corporation, Series 2006A, 0.000%, 6/01/46 | 9/20 at 23.28 | N/R | 4,646,800 | ||
| 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 | B- | 15,444,893 | ||
| 18,300 | 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 | 18,816,426 | ||
| 1,500 | 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 | 1,542,330 | ||
| 50,705 | Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Revenue Bonds, First Subordinate Series 2007B-1, 0.000%, 6/01/47 | 9/20 at 21.16 | CCC- | 10,705,347 | ||
| 3,460 | Guam Economic Development & Commerce Authority, Tobacco Settlement Asset-Backed Bonds, Series 2007A, 5.625%, 6/01/47 | 9/20 at 100.00 | N/R | 3,460,450 | ||
| 25,600 | Inland Empire Tobacco Securitization Authority, California, Tobacco Settlement Asset-Backed Bonds, Series 2007C-2 Turbo Capital Appreciation, 0.000%, 6/01/47 | 9/20 at 16.98 | CCC | 4,336,896 | ||
| 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 | 10/20 at 41.93 | N/R | 417,600 | ||
| 7,500 | 0.000%, 6/01/47 | 10/20 at 22.34 | N/R | 1,668,375 | ||
| 7,195 | Tobacco Securitization Authority of Northern California, Tobacco Settlement Asset-Backed Bonds, Refunding Series 2005B, 0.000%, 6/01/45 | 9/20 at 23.77 | CCC- | 1,706,510 | ||
| Tobacco Securitization Authority of Northern California, Tobacco Settlement Asset-Backed Bonds, Series 2005A-1: | ||||||
| 2,800 | 5.375%, 6/01/38 | 9/20 at 100.00 | B- | 2,811,536 | ||
| 460 | 5.500%, 6/01/45 | 9/20 at 100.00 | B- | 462,686 |
19
Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Consumer Staples (continued) | ||||||
| $ 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 | 9/20 at 20.55 | CCC- | $ 1,025,250 | ||
| 188,395 | Total Consumer Staples | 74,417,311 | ||||
| Education and Civic Organizations – 13.6% | ||||||
| California Enterprise Development Authority, Charter School Revenue Bonds, Academy for Academic Excellence Project, Series 2020A: | ||||||
| 700 | 5.000%, 7/01/50, 144A | 7/27 at 100.00 | Ba2 | 726,600 | ||
| 650 | 5.000%, 7/01/55, 144A | 7/27 at 100.00 | Ba2 | 671,593 | ||
| 2,240 | California Enterprise Development Authority, Charter School Revenue Bonds, Norton Science and Language Academy Project, Series 2020, 6.250%, 7/01/58, 144A | 7/27 at 102.00 | N/R | 2,297,792 | ||
| 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 | 6,025,681 | ||
| 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 | 935,631 | ||
| 500 | 5.250%, 10/01/45 | 10/22 at 102.00 | BB | 517,395 | ||
| 1,335 | 5.250%, 10/01/45 | 10/22 at 102.00 | BB | 1,381,445 | ||
| 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 | 4,360,439 | ||
| 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 | 260,208 | ||
| 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 | 487,180 | ||
| 2,200 | 4.500%, 11/01/46, 144A | 11/26 at 100.00 | N/R | 2,179,826 | ||
| 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 | 871,307 | ||
| 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 | 860,689 | ||
| 1,000 | 5.000%, 6/15/46, 144A | 6/26 at 100.00 | BB | 1,034,420 | ||
| 935 | 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 | 974,186 | ||
| 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+ | 421,544 | ||
| 425 | 5.375%, 7/01/45, 144A | 7/25 at 100.00 | BB+ | 446,033 | ||
| 1,000 | California Municipal Finance Authority, Charter School Revenue Bonds, John Adams Academies, Inc - Lincoln Project, Taxable Series 2019B, 5.000%, 10/01/57, 144A | 10/27 at 100.00 | N/R | 1,028,770 | ||
| 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 | 1,456,854 | ||
| 465 | 5.000%, 10/01/44 | 10/22 at 102.00 | BB | 477,220 |
20
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations (continued) | ||||||
| California Municipal Finance Authority, Charter School Revenue Bonds, Palmdale Aerospace Academy Project, Series 2016A: | ||||||
| $ 1,195 | 5.000%, 7/01/41, 144A | 7/26 at 100.00 | BB | $1,253,364 | ||
| 1,145 | 5.000%, 7/01/46, 144A | 7/26 at 100.00 | BB | 1,193,079 | ||
| 1,100 | California Municipal Finance Authority, Charter School Revenue Bonds, Palmdale Aerospace Academy Project, Series 2018A, 5.000%, 7/01/38, 144A | 7/28 at 100.00 | BB | 1,178,617 | ||
| 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 | 1,359,154 | ||
| 2,130 | 5.250%, 8/01/42 | 8/22 at 100.00 | BB | 2,167,488 | ||
| 1,795 | 5.300%, 8/01/47 | 8/22 at 100.00 | BB | 1,826,574 | ||
| 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 | 2,442,874 | ||
| 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- | 914,664 | ||
| 1,650 | 6.000%, 8/01/44, 144A | 8/24 at 100.00 | BB- | 1,730,602 | ||
| 1,715 | California Municipal Finance Authority, Education Revenue Bonds, American Heritage Foundation Project, Series 2016A, 5.000%, 6/01/46 | 6/26 at 100.00 | BBB- | 1,895,315 | ||
| 1,390 | California Municipal Finance Authority, Education Revenue Bonds, Literacy First Charter Schools Project, Series 2019A, 5.000%, 12/01/49 | 12/29 at 100.00 | BBB- | 1,604,102 | ||
| 1,335 | California Municipal Finance Authority, Educational Facilities Revenue Bonds, OCEAA Project, Series 2008A, 7.000%, 10/01/39 | 10/20 at 100.00 | N/R | 1,337,510 | ||
| 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 | 1,496,303 | ||
| 8,640 | 5.000%, 4/01/41 | 4/25 at 100.00 | Ba1 | 8,917,776 | ||
| 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 | 8,136,652 | ||
| California Municipal Finance Authority, Revenue Bonds, Claremont Graduate University, Refunding Series 2020B: | ||||||
| 1,000 | 5.000%, 10/01/49, 144A | 10/30 at 100.00 | N/R | 1,080,540 | ||
| 1,000 | 5.000%, 10/01/54, 144A | 10/30 at 100.00 | N/R | 1,076,240 | ||
| 235 | California Municipal Finance Authority, Revenue Bonds, Emerson College, Series 2011, 5.000%, 1/01/28 | 1/22 at 100.00 | Baa2 | 245,899 | ||
| 300 | California Municipal Finance Authority, Revenue Bonds, Goodwill Industries of Sacramento Valley & Northern Nevada Project, Series 2012A, 6.625%, 1/01/32, 144A (4) | 1/22 at 100.00 | N/R | 295,407 | ||
| 3,700 | California Municipal Finance Authority, Revenue Bonds, Goodwill Industries of Sacramento Valley & Northern Nevada Project, Series 2014A, 5.250%, 1/01/45 (4) | 1/25 at 100.00 | N/R | 3,044,730 | ||
| California Municipal Finance Authority, Revenue Bonds, The Master's University & Seminary, Series 2019: | ||||||
| 1,000 | 5.000%, 8/01/34 | 8/29 at 100.00 | BB+ | 1,072,000 | ||
| 2,000 | 5.000%, 8/01/48 | 8/29 at 100.00 | BB+ | 2,075,660 |
21
Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations (continued) | ||||||
| $ 250 | California Municipal Finance Authority, Revenue Bonds, Touro College and University System, Series 2014A, 5.250%, 1/01/40 | 7/24 at 100.00 | BBB- | $265,325 | ||
| 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 | 767,893 | ||
| 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+ | 1,112,259 | ||
| California School Finance Authority Charter School Revenue Bonds, Bright Star Schools - Obligated Group, Series 2017: | ||||||
| 1,830 | 5.000%, 6/01/27, 144A | No Opt. Call | N/R | 1,956,380 | ||
| 755 | 5.000%, 6/01/37, 144A | 6/27 at 100.00 | N/R | 814,962 | ||
| 1,000 | 5.000%, 6/01/47, 144A | 6/27 at 100.00 | N/R | 1,061,600 | ||
| 3,090 | 5.000%, 6/01/54, 144A | 6/27 at 100.00 | N/R | 3,267,211 | ||
| 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 | 1,052,283 | ||
| 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 | 1,051,320 | ||
| California School Finance Authority Charter School Revenue Bonds, Fenton Schools - Obligated Group, Series 2020A: | ||||||
| 750 | 5.000%, 7/01/50, 144A | 7/27 at 100.00 | BB+ | 795,780 | ||
| 1,000 | 5.000%, 7/01/58, 144A | 7/27 at 100.00 | BB+ | 1,054,920 | ||
| 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- | 350,945 | ||
| 1,000 | California School Finance Authority, California, Charter School Revenue Bonds, Alta Public Schools - Obligated Group, Series 2020A, 6.000%, 6/01/59, 144A | 6/28 at 102.00 | N/R | 1,046,460 | ||
| California School Finance Authority, California, Charter School Revenue Bonds, Aspire Public Schools, Refunding Series 2015A: | ||||||
| 1,045 | 5.000%, 8/01/40, 144A | 8/25 at 100.00 | BBB | 1,170,724 | ||
| 1,100 | 5.000%, 8/01/45, 144A | 8/25 at 100.00 | BBB | 1,223,266 | ||
| 500 | California School Finance Authority, California, Charter School Revenue Bonds, Aspire Public Schools, Refunding Series 2016, 5.000%, 8/01/46, 144A | 8/25 at 100.00 | BBB | 555,560 | ||
| 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 | 993,443 | ||
| 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 | 1,430,962 | ||
| California School Finance Authority, California, Charter School Revenue Bonds, TEACH Public Schools Obligated Group, Series 2019A: | ||||||
| 1,000 | 5.000%, 6/01/49, 144A | 6/26 at 100.00 | N/R | 1,045,080 | ||
| 1,600 | 5.000%, 6/01/58, 144A | 6/26 at 100.00 | N/R | 1,664,656 | ||
| California School Finance Authority, Charter School Revenue Bonds, Arts in Action Charter Schools - Obligated Group, Series 2020A: | ||||||
| 3,700 | 5.000%, 6/01/50, 144A | 6/27 at 100.00 | N/R | 3,892,104 | ||
| 7,200 | �� | 5.000%, 6/01/59, 144A | 6/27 at 100.00 | N/R | 7,534,944 |
22
| 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, CIty Charter School Obligated Group, Series 2016A: | ||||||
| $ 2,520 | 5.000%, 6/01/42, 144A | 6/26 at 100.00 | N/R | $2,632,291 | ||
| 2,930 | 5.000%, 6/01/52, 144A | 6/26 at 100.00 | N/R | 3,037,795 | ||
| 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+ | 841,169 | ||
| 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- | 625,842 | ||
| 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 | 1,564,215 | ||
| 1,180 | 5.000%, 6/01/46, 144A | 6/26 at 100.00 | N/R | 1,231,967 | ||
| 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 | 731,147 | ||
| 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 | 953,741 | ||
| 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 | 2,593,825 | ||
| 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 | 997,861 | ||
| 1,000 | 5.250%, 6/01/52, 144A | 6/26 at 100.00 | N/R | 1,054,100 | ||
| 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 | 384,595 | ||
| 750 | 5.000%, 6/01/47, 144A | 6/27 at 100.00 | N/R | 788,032 | ||
| 250 | 5.000%, 6/01/53, 144A | 6/27 at 100.00 | N/R | 261,780 | ||
| 500 | California School Finance Authority, Charter School Revenue Bonds, Summit Public Schools ? Obligated Group, Series 2017, 5.000%, 6/01/47, 144A | 6/27 at 100.00 | Baa3 | 559,775 | ||
| California School Finance Authority, Educational Facilities Revenue Bonds, New Designs Charter School Adams Campus Project, Series 2019A: | ||||||
| 750 | 5.000%, 6/01/40, 144A | 6/27 at 100.00 | BB+ | 786,232 | ||
| 1,060 | 5.000%, 6/01/50, 144A | 6/27 at 100.00 | BB+ | 1,098,584 | ||
| California School Finance Authority, Educational Facilities Revenue Bonds, New Designs Charter School Project, Series 2014A: | ||||||
| 1,000 | 5.750%, 6/01/34, 144A | 6/24 at 100.00 | BB+ | 1,079,040 | ||
| 1,500 | 6.000%, 6/01/44, 144A | 6/24 at 100.00 | BB+ | 1,623,960 | ||
| 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 | 1,747,556 | ||
| 2,040 | 6.750%, 8/01/44, 144A | 2/24 at 100.00 | BB | 2,233,637 |
23
Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations (continued) | ||||||
| California School Finance Authority, Educational Facility Revenue Bonds, River Springs Charter School Project, Series 2017A: | ||||||
| $ 3,710 | 5.000%, 7/01/47, 144A | 7/27 at 100.00 | Ba2 | $3,804,642 | ||
| 2,680 | 5.000%, 7/01/52, 144A | 7/27 at 100.00 | Ba2 | 2,740,488 | ||
| 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 | 616,320 | ||
| 1,000 | 5.875%, 10/01/44 | 10/24 at 100.00 | BB | 1,073,800 | ||
| 520 | 6.000%, 10/01/49 | 10/24 at 100.00 | BB | 560,810 | ||
| California School Finance Authority, School Facility Revenue Bonds, Alliance for College-Ready Public Schools Project, Series 2015A: | ||||||
| 3,000 | 4.125%, 7/01/35, 144A | 7/25 at 100.00 | BBB | 3,205,320 | ||
| 1,000 | 5.000%, 7/01/45, 144A | 7/25 at 100.00 | BBB | 1,107,940 | ||
| 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 | 1,106,086 | ||
| 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- | 1,067,530 | ||
| 1,735 | 5.000%, 7/01/48, 144A | 7/21 at 105.00 | BBB- | 1,847,393 | ||
| 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 | 664,110 | ||
| 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 | 287,188 | ||
| 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+ | 1,377,875 | ||
| California School Finance Authority, School Facility Revenue Bonds, Value Schools, Series 2016A: | ||||||
| 625 | 5.250%, 7/01/31, 144A | 7/26 at 100.00 | BB+ | 676,038 | ||
| 1,355 | 6.000%, 7/01/51, 144A | 7/26 at 100.00 | BB+ | 1,507,261 | ||
| 1,000 | California Statewide Communities Development Authority, Revenue Bonds, Buck Institute for Research on Aging, Tender Option Bond Trust 2015-XF1035, 21.235%, 11/15/49, 144A (IF) (5) | 11/24 at 100.00 | AA | 1,690,210 | ||
| 1,940 | California Statewide Communities Development Authority, School Facility Revenue Bonds, Children of Promise, Series 2015A, 6.250%, 7/01/45, 144A | 7/25 at 100.00 | CC | 1,649,000 | ||
| 975 | California Statewide Communitities Development Authority, Charter School Revenue Bonds, Rocketship 4 - Mosaic Elementary Charter School, Series 2011A, 8.500%, 12/01/41 | 12/21 at 100.00 | N/R | 1,040,461 | ||
| 790 | 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+ | 821,023 | ||
| 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- | 4,623,594 | ||
| 1,250 | University of California, General Revenue Bonds, Tender Option Bond Trust 2016-XL0001, 17.960%, 5/15/39, 144A (IF) (5) | 5/23 at 100.00 | AA | 1,828,225 |
24
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations (continued) | ||||||
| University of Puerto Rico, University System Revenue Bonds, Refunding Series 2006P: | ||||||
| $ 20 | 5.000%, 6/01/22 | 10/20 at 100.00 | C | $19,725 | ||
| 10 | 5.000%, 6/01/23 | 10/20 at 100.00 | C | 9,850 | ||
| 1,005 | 5.000%, 6/01/24 | 10/20 at 100.00 | C | 988,669 | ||
| 580 | 5.000%, 6/01/30 | 10/20 at 100.00 | C | 568,400 | ||
| University of Puerto Rico, University System Revenue Bonds, Series 2006Q: | ||||||
| 230 | 5.000%, 6/01/22 | 10/20 at 100.00 | C | 226,838 | ||
| 125 | 5.000%, 6/01/30 | 10/20 at 100.00 | C | 122,500 | ||
| 1,580 | 5.000%, 6/01/36 | 10/20 at 100.00 | C | 1,548,400 | ||
| 163,055 | Total Education and Civic Organizations | 171,474,280 | ||||
| Health Care – 16.0% | ||||||
| Antelope Valley Healthcare District, California, Revenue Bonds, Series 2016A: | ||||||
| 1,460 | 5.000%, 3/01/26 | No Opt. Call | Ba3 | 1,638,222 | ||
| 2,765 | 5.000%, 3/01/31 | 3/26 at 100.00 | Ba3 | 2,924,679 | ||
| 5,160 | 5.250%, 3/01/36 | 3/26 at 100.00 | Ba3 | 5,340,187 | ||
| 6,280 | 5.000%, 3/01/41 | 3/26 at 100.00 | Ba3 | 6,350,650 | ||
| 10,600 | 5.000%, 3/01/46 | 3/26 at 100.00 | Ba3 | 10,645,792 | ||
| 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+ | 2,221,880 | ||
| 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+ | 2,402,880 | ||
| 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+ | 10,166,975 | ||
| 420 | California Health Facilities Financing Authority, Revenue Bonds, Children's Hospital Los Angeles, Series 2017A, 5.000%, 8/15/42 | 8/27 at 100.00 | Baa2 | 478,351 | ||
| 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 | 1,837,402 | ||
| 625 | California Health Facilities Financing Authority, Revenue Bonds, Kaiser Permanante System, Tender Option Bond Trust 2015-XF1002, 17.257%, 4/01/42, 144A (IF) (5) | 4/22 at 100.00 | AA- | 758,088 | ||
| 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- | 19,609,450 | ||
| 1,220 | California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children's Hospital, Series 2012A, 5.000%, 8/15/51 (UB) (5) | 8/22 at 100.00 | A+ | 1,289,747 | ||
| 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+ | 9,026,472 | ||
| California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children's Hospital, Tender Option Bond Trust 2015-XF0152: | ||||||
| 260 | 18.134%, 8/15/43, 144A (IF) (5) | 8/24 at 100.00 | A+ | 379,119 | ||
| 695 | 17.861%, 8/15/51, 144A (IF) (5) | 8/22 at 100.00 | A+ | 853,926 | ||
| 3,675 | California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children's Hosptial at Stanford, Series 2017A, 5.000%, 11/15/56 (UB) (5) | 11/27 at 100.00 | A+ | 4,351,420 | ||
| 80 | California Health Facilities Financing Authority, Revenue Bonds, Providence Health & Services, Tender Option Bond Trust 2015-XF0120, 21.918%, 10/01/38, 144A (IF) (5) | 10/24 at 100.00 | AA- | 133,475 |
25
Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Health Care (continued) | ||||||
| California Health Facilities Financing Authority, Revenue Bonds, Providence Health & Services, Tender Option Bond Trust 2015-XF1034: | ||||||
| $ 3,600 | 22.742%, 10/01/44, 144A (IF) (5) | 10/24 at 100.00 | AA- | $5,922,792 | ||
| 795 | 22.658%, 10/01/44, 144A (IF) (5) | 10/24 at 100.00 | AA- | 1,306,010 | ||
| California Health Facilities Financing Authority, Revenue Bonds, Stanford Hospitals and Clinics, Tender Option Bond Trust 2015-XF0131: | ||||||
| 200 | 22.165%, 8/15/51, 144A (IF) (5) | 8/22 at 100.00 | AA- | 266,504 | ||
| 200 | 22.153%, 8/15/51, 144A (IF) (5) | 8/22 at 100.00 | AA- | 266,468 | ||
| California Health Facilities Financing Authority, Revenue Bonds, Stanford Hospitals and Clinics, Tender Option Bond Trust 2016-XG0049: | ||||||
| 1,000 | 17.924%, 8/15/51, 144A (IF) (5) | 8/22 at 100.00 | AA- | 1,265,940 | ||
| 250 | 17.929%, 8/15/51, 144A (IF) (5) | 8/22 at 100.00 | AA- | 316,505 | ||
| California Municipal Finance Authority, Revenue Bonds, Clinicas del Camino Real, Inc, Series 2020: | ||||||
| 2,535 | 4.000%, 3/01/40 | 3/30 at 100.00 | BBB | 2,781,579 | ||
| 5,750 | 4.000%, 3/01/50 | 3/30 at 100.00 | BBB | 6,194,762 | ||
| California Municipal Finance Authority, Revenue Bonds, NorthBay Healthcare Group, Series 2015: | ||||||
| 200 | 5.000%, 11/01/35 | 11/24 at 100.00 | BBB- | 216,710 | ||
| 1,000 | 5.000%, 11/01/40 | 11/24 at 100.00 | BBB- | 1,072,820 | ||
| 1,250 | 5.000%, 11/01/44 | 11/24 at 100.00 | BBB- | 1,331,813 | ||
| California Municipal Finance Authority, Revenue Bonds, NorthBay Healthcare Group, Series 2017A: | ||||||
| 4,210 | 5.250%, 11/01/36 | 11/26 at 100.00 | BBB- | 4,761,763 | ||
| 2,955 | 5.250%, 11/01/41 | 11/26 at 100.00 | BBB- | 3,289,181 | ||
| 2,270 | 5.250%, 11/01/47 | 11/26 at 100.00 | BBB- | 2,501,472 | ||
| 3,950 | 5.000%, 11/01/47 | 11/26 at 100.00 | BBB- | 4,298,311 | ||
| 1,000 | California Municipal Finance Authority, Reveue Bonds, Community Medical Centers, Series 2015A, 5.000%, 2/01/46 | 2/25 at 100.00 | A- | 1,107,910 | ||
| 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- | 1,959,744 | ||
| 5,000 | California Public Finance Authority, Revenue Bonds, Verity Health System, Series 2015B, 7.250%, 6/10/20 (4) | No Opt. Call | N/R | 4,900,000 | ||
| 19,800 | California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda University Medical Center, Series 2014A, 5.500%, 12/01/54 | 12/24 at 100.00 | BB- | 21,274,110 | ||
| 1,795 | California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda University Medical Center, Series 2016A, 5.250%, 12/01/56, 144A | 6/26 at 100.00 | BB- | 1,932,910 | ||
| 315 | California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda University Medical Center, Series 2018A, 5.250%, 12/01/48, 144A | 6/28 at 100.00 | BB- | 342,843 | ||
| 6,250 | California Statewide Communities Development Authority, Revenue Bonds, Emanate Health, Series 2020A, 3.000%, 4/01/50 (UB) (5) | 4/30 at 100.00 | A | 6,393,312 | ||
| 1,625 | California Statewide Communities Development Authority, Revenue Bonds, Henry Mayo Newhall Memorial Hospital, Series 2014, 5.250%, 10/01/43 – AGM Insured | 10/24 at 100.00 | A2 | 1,822,600 |
26
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Health Care (continued) | ||||||
| $ 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- | $1,128,873 | ||
| 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+ | 10,398,780 | ||
| 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- | 1,081,668 | ||
| 2,000 | California Statewide Community Development Authority, Certificates of Participation, Methodist Hospital of Southern California, Series 2018, 4.250%, 1/01/43 | 1/28 at 100.00 | BBB+ | 2,143,000 | ||
| California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005A: | ||||||
| 3,550 | 5.750%, 7/01/24 (4) | 10/20 at 100.00 | N/R | 3,263,586 | ||
| 2,055 | 5.750%, 7/01/30 (4) | 10/20 at 100.00 | N/R | 1,886,634 | ||
| 2,220 | 5.750%, 7/01/35 (4) | 10/20 at 100.00 | N/R | 2,036,606 | ||
| 9,280 | 5.500%, 7/01/39 (4) | 10/20 at 100.00 | N/R | 8,509,018 | ||
| 185 | California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005H, 5.750%, 7/01/25 (4) | 10/20 at 100.00 | N/R | 170,024 | ||
| 1,060 | Oak Valley Hospital District, Stanislaus County, California, Revenue Bonds, Series 2010A, 7.000%, 11/01/35 | 11/20 at 100.00 | BB | 1,071,692 | ||
| Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2017: | ||||||
| 875 | 4.000%, 11/01/38 | 11/27 at 100.00 | Ba1 | 902,738 | ||
| 5,925 | 4.000%, 11/01/47 | 11/27 at 100.00 | Ba1 | 6,016,541 | ||
| Palomar Pomerado Health System, California, Revenue Bonds, Refunding Series 2016: | ||||||
| 1,085 | 5.000%, 11/01/36 | 11/26 at 100.00 | Ba1 | 1,241,609 | ||
| 2,090 | 5.000%, 11/01/39 | 11/26 at 100.00 | Ba1 | 2,376,058 | ||
| San Buenaventura, California, Revenue Bonds, Community Memorial Health System, Series 2011: | ||||||
| 1,000 | 8.000%, 12/01/26 | 12/21 at 100.00 | BB | 1,072,900 | ||
| 600 | 7.500%, 12/01/41 | 12/21 at 100.00 | BB | 631,674 | ||
| 1,000 | Upland, California, Certificates of Participation, San Antonio Regional Hospital, Series 2017, 4.000%, 1/01/42 | 1/28 at 100.00 | Baa3 | 1,030,890 | ||
| 200 | Washington Township Health Care District, California, Revenue Bonds, Series 2017A, 5.000%, 7/01/42 | 7/27 at 100.00 | Baa2 | 227,392 | ||
| 184,765 | Total Health Care | 201,124,457 | ||||
| Housing/Multifamily – 3.4% | ||||||
| 9,460 | California Community Housing Agency, California, Essential Housing Revenue Bonds, Serenity at Larkspur Apartments, Series 2020A, 5.000%, 2/01/50, 144A | 2/30 at 100.00 | N/R | 10,719,221 | ||
| 1,000 | California Community Housing Agency, California, Essential Housing Revenue Bonds, Verdant at Green Valley Apartments, Series 2019A, 5.000%, 8/01/49, 144A | 8/29 at 100.00 | N/R | 1,127,040 | ||
| 2,000 | California Housing Finance Agency, Multifamily Housing Revenue Bonds, Series 2014A-III, 4.600%, 8/01/39 | 2/24 at 100.00 | A1 | 2,169,080 | ||
| 1,504 | California Housing Finance Agency, Municipal Certificate Revenue Bonds, Class A Series2019-1, 4.250%, 1/15/35 | No Opt. Call | BBB+ | 1,695,169 |
27
Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Housing/Multifamily (continued) | ||||||
| $ 240 | California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Affordable Housing Inc Projects, Senior Series 2014A, 5.250%, 8/15/49 | 8/24 at 100.00 | BBB+ | $262,982 | ||
| 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 | 1,376,515 | ||
| 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 | 515,563 | ||
| 2,375 | California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Royal York Estates Projects Series 2020A, 4.000%, 2/15/55 | 2/30 at 100.00 | N/R | 2,129,829 | ||
| 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 | 2,186,720 | ||
| 3,100 | California Municipal Finance Authority, Multifamily Housing Revenue Bonds, Casa Griffin Apartments, Series 2011A-1, 6.000%, 10/01/46 | 10/21 at 100.00 | BB | 3,146,717 | ||
| 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 | Caa2 | 747,600 | ||
| 1,975 | 5.000%, 7/01/47, 144A | 7/27 at 100.00 | Caa2 | 1,659,000 | ||
| 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+ | 440,761 | ||
| California Statewide Communities Development Authority, Revenue Bonds, Lancer Educational Student Housing Project, Refunding Series 2016A: | ||||||
| 4,600 | 5.000%, 6/01/36, 144A | 6/26 at 100.00 | N/R | 4,736,160 | ||
| 2,090 | 5.000%, 6/01/46, 144A | 6/26 at 100.00 | N/R | 2,117,964 | ||
| 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+ | 771,687 | ||
| 1,010 | 5.000%, 5/15/47 | 5/22 at 100.00 | A+ | 1,049,107 | ||
| 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 | 1,084,550 | ||
| 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 | 1,401,064 | ||
| 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 | 358,694 | ||
| 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 | 2,171,359 | ||
| 430 | Santa Clara County Housing Authority, California, Multifamily Housing Revenue Bonds, Blossom River Project, Series 1998A, 6.500%, 9/01/39 (AMT) | 10/20 at 100.00 | N/R | 430,490 | ||
| 465 | Wilson County Health and Educational Facilities Board, Tennessee, Senior Living Revenue Bonds, Rutland Place Inc Project, Series 2015A, 5.500%, 1/01/46 | 10/20 at 100.00 | N/R | 365,388 | ||
| 40,844 | Total Housing/Multifamily | 42,662,660 | ||||
| Industrials – 0.1% | ||||||
| 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 (4) | 12/23 at 102.00 | N/R | 1,415,000 |
28
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Long-Term Care – 0.8% | ||||||
| $ 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- | $3,114,510 | ||
| 2,575 | California Municipal Finance Authority, Revenue Bonds, HealthRIGHT 360, Social Bond Series 2019A, 5.000%, 11/01/49, 144A | 11/29 at 100.00 | N/R | 2,729,732 | ||
| 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 | 3,818,252 | ||
| 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 | A- | 1,045,320 | ||
| 10,275 | Total Long-Term Care | 10,707,814 | ||||
| Tax Obligation/General – 26.7% | ||||||
| 6,050 | Allan Hancock Joint Community College District, California, General Obligation Bonds, Election 2006 Series 2012C, 5.400%, 8/01/42 (UB) (5) | 8/35 at 100.00 | AA | 5,457,463 | ||
| 3,595 | Alvord Unified School District, Riverside County, California, General Obligation Bonds, 2007 Election Series 2011B, 0.000%, 8/01/43 – AGM Insured | No Opt. Call | A2 | 1,964,308 | ||
| 8,200 | Anaheim Elementary School District, Orange County, California, General Obligation Bonds, Election 2016, Series 2018A, 4.000%, 8/01/48 (UB) (5) | 8/27 at 100.00 | Aa3 | 9,316,840 | ||
| 10,000 | Antelope Valley Community College District, Los Angeles County, California, General Obligation Bonds, Election 2016 Series 2020B, 3.000%, 8/01/50 (UB) (5) | 8/30 at 100.00 | AA | 10,681,900 | ||
| 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 (6) | 8/37 at 100.00 | AA | 807,430 | ||
| Bakersfield City School District, Kern County, California, General Obligation Bonds, Series 2012C: | ||||||
| 1,700 | 0.000%, 5/01/37 (6) | No Opt. Call | A+ | 1,453,483 | ||
| 6,925 | 0.000%, 5/01/42 (6) | 5/40 at 100.00 | A+ | 6,494,680 | ||
| 5,500 | 0.000%, 5/01/47 (6) | 5/40 at 100.00 | A+ | 5,074,025 | ||
| 1,250 | California State, General Obligation Bonds, Tender Option Bond Trust 2015-XF1039, 18.277%, 10/01/44, 144A (IF) (5) | 10/24 at 100.00 | AA- | 2,060,537 | ||
| 1,500 | California State, General Obligation Bonds, Various Purpose Series 2015, 5.000%, 3/01/45 (UB) (5) | 3/25 at 100.00 | AA- | 1,758,150 | ||
| 5,000 | California State, General Obligation Bonds, Various Purpose Series 2017, 5.000%, 8/01/46 (UB) (5) | 8/26 at 100.00 | AA- | 6,093,200 | ||
| 3,500 | California State, General Obligation Bonds, Various Purpose Series 2020, 4.000%, 3/01/50 (UB) (5) | 3/30 at 100.00 | AA- | 4,140,780 | ||
| California State, General Obligation Bonds, Various Purpose, Tender Option Bond Trust 2015-XF1041: | ||||||
| 750 | 14.216%, 11/01/44, 144A (IF) (5) | 11/24 at 100.00 | AA- | 1,076,768 | ||
| 545 | 14.216%, 11/01/44, 144A (IF) (5) | 11/24 at 100.00 | AA- | 782,451 | ||
| 1,250 | 14.216%, 11/01/44, 144A (IF) (5) | 11/24 at 100.00 | AA- | 1,794,613 | ||
| 1,005 | 14.199%, 11/01/44, 144A (IF) (5) | 11/24 at 100.00 | AA- | 1,442,326 | ||
| 4,610 | Central Unified School District, Fresno County, California, General Obligation Bonds, 2008 Election Series 2013B, 0.000%, 8/01/37 | 8/22 at 44.31 | A2 | 1,984,513 | ||
| 3,800 | Central Unified School District, Fresno County, California, General Obligation Bonds, 2016 Election Series 2018B, 4.000%, 8/01/48 (UB) (5) | 8/26 at 100.00 | Aa3 | 4,246,766 |
29
Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/General (continued) | ||||||
| $ 3,405 | Coachella Valley Unified School District, Riverside County, California, General Obligation Bonds, Election 2005 Series 2012D, 0.000%, 8/01/39 – AGM Insured | No Opt. Call | A2 | $2,158,770 | ||
| 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+ | 12,525,822 | ||
| 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 | 1,042,915 | ||
| 2,640 | Elk Grove Unified School District, Sacramento County, California, General Obligation Bonds, Election of 2016, Series 2017, 4.000%, 8/01/46 (UB) (5) | 8/26 at 100.00 | Aa2 | 2,964,826 | ||
| 5,500 | Fontana Unified School District, San Bernardino County, California, General Obligation Bonds, Election 2006 Series 2020, 2.375%, 8/01/44 – AGM Insured (UB) (5) | 8/28 at 100.00 | Aa3 | 5,437,575 | ||
| 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 | 5,594,350 | ||
| 5,000 | Gilroy Unified School District, Santa Clara County, California, General Obligation Bonds, Election of 2008 & 2016, Series 2019, 4.000%, 8/01/48 (UB) (5) | 8/27 at 100.00 | Aa3 | 5,681,000 | ||
| 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 | 5,209,800 | ||
| 1,000 | Illinois State, General Obligation Bonds, November Series 2017D, 5.000%, 11/01/27 | No Opt. Call | BBB- | 1,130,090 | ||
| 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 | 1,069,329 | ||
| 9,175 | 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 | 9,469,150 | ||
| 2,000 | Livermore Valley Joint Unified School District, Alameda County, California, General Obligation Bonds, Election of 2016 Measure J, Series 2019, 4.000%, 8/01/46 (UB) (5) | 8/26 at 100.00 | Aa3 | 2,237,740 | ||
| 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 | 5,393,275 | ||
| 12,000 | Long Beach Community College District, California, General Obligation Bonds, Refunding 2008 Election Series 2012B, 0.000%, 8/01/49 (UB) (5) | 8/42 at 100.00 | AA | 10,997,400 | ||
| 12,075 | Long Beach Unified School District, Los Angeles County, California, General Obligation Bonds, Election of 2008, Series 2019F, 3.000%, 8/01/47 (UB) (5) | 8/29 at 100.00 | AA- | 12,595,191 | ||
| 2,625 | Magnolia School District, Orange County, California, General Obligation Bonds, Election 2010 Series 2011, 0.000%, 8/01/36 | No Opt. Call | A+ | 1,725,045 | ||
| 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 | 12,339,563 | ||
| 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 | 939,760 | ||
| 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 | 5,471,050 | ||
| 7,000 | Mount San Antonio Community College District, Los Angeles County, California, General Obligation Bonds, Election of 2018, Series 2019A, 4.000%, 8/01/49 (UB) (5) | 8/29 at 100.00 | AA | 8,206,940 | ||
| 6,060 | New Haven Unified School District, Alameda County, California, General Obligation Bonds, Election of 2014, Series 2020C, 3.000%, 8/01/49 (UB) (5) | 8/28 at 100.00 | Aa3 | 6,428,812 | ||
| 650 | Newman-Crows Landing Unified School District, Stanislaus County, California, General Obligation Bonds, 2008 Election, Series 2010B, 0.000%, 8/01/49 – AGM Insured (6) | No Opt. Call | A1 | 765,726 | ||
| 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 | 1,081,160 |
30
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/General (continued) | ||||||
| $ 9,365 | Norwalk La Mirada Unified School District, Los Angeles County, California, General Obligation Bonds, Election 2014 Series 2019D, 3.000%, 8/01/43 (UB) (5) | 8/29 at 100.00 | Aa3 | $10,088,259 | ||
| 15,000 | Oakland, California, General Obligation Bonds, Series 2020B-1, 3.000%, 1/15/50 (UB) (5) | 1/30 at 100.00 | AA | 15,939,750 | ||
| 2,250 | Orland Joint Unified School District, Glenn and Tehama Counties, California, General Obligation Bonds, 2008 Election, Series 2012B, 0.000%, 8/01/51 (6) | 8/37 at 100.00 | AA | 2,004,908 | ||
| 5,205 | Paramount Unified School District, Los Angeles County, California, General Obligation Bonds, Election 2006 Series 2011, 0.000%, 8/01/42 | No Opt. Call | A+ | 2,877,220 | ||
| 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 | 1,005,129 | ||
| 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 | 5,647,350 | ||
| 6,225 | Placentia-Yorba Linda Unified School District, Orange County, California, General Obligation Bonds, Series 2011D, 0.000%, 8/01/46 | No Opt. Call | AA- | 3,146,924 | ||
| 5,000 | Poway Unified School District, San Diego County, California, General Obligation Bonds, School Facilities Improvement District 2007-1, Series 2011A, 0.000%, 8/01/46 (UB) (5) | No Opt. Call | AA- | 2,387,750 | ||
| 1,500 | Puerto Rico, General Obligation Bonds, Public Improvement, Series 2014A, 3.180%, 7/01/35 (4) | 10/20 at 100.00 | D | 916,875 | ||
| 4,725 | River Delta Unified School District, Sacramento and Solano Counties, California, General Obligation Bonds, School Faciliteis Improvement District 2, Election 2004 Series 2008, 0.000%, 4/01/48 – AGM Insured | No Opt. Call | AA | 2,193,770 | ||
| 1,215 | Rohnerville School District, Humboldt County, California, General Obligation Bonds, Election 2010, Series 2012B, 0.000%, 8/01/47 – AGM Insured | No Opt. Call | AA | 565,947 | ||
| 3,000 | San Bernardino Community College District, California, General Obligation Bonds, Election of 2008 Series 2009B, 0.000%, 8/01/44 | No Opt. Call | AA | 1,520,160 | ||
| 4,400 | San Diego Unified School District, San Diego County, California, General Obligation Bonds, Dedicated Unlimited Ad Valorem Property Tax, 2018 Election Series 2019C-2, 3.000%, 7/01/44 (UB) (5) | 7/29 at 100.00 | Aa2 | 4,745,092 | ||
| 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- | 10,677,600 | ||
| San Diego Unified School District, San Diego County, California, General Obligation Bonds, Refunding Series 2012R-2: | ||||||
| 1,990 | 0.000%, 7/01/41 (6) | 7/40 at 100.00 | AA- | 2,303,206 | ||
| 15,000 | 0.000%, 7/01/41 (UB) (5) | 7/40 at 100.00 | AA- | 17,360,850 | ||
| 1,980 | San Diego Unified School District, San Diego County, California, General Obligation Bonds, Tender Option Bond 2016-XF2355, 13.903%, 7/01/38, 144A (IF) (5) | 7/23 at 100.00 | AA- | 2,551,210 | ||
| 5,500 | Sanger Unified School District, Fresno County, California, General Obligation Bonds, Election of 2018, Series 2020B, 3.000%, 8/01/48 (UB) (5) | 8/29 at 100.00 | AA | 5,813,555 | ||
| 2,500 | Santa Barbara Secondary High School District, Santa Barbara County, California,General Obligation Bonds, Election 2010 Series 2011A, 0.000%, 8/01/40 (UB) (5) | No Opt. Call | AA | 1,502,825 | ||
| 10,000 | Santa Clara Unified School District, Santa Clara County, California, General Obligation Bonds, Election of 2018, Series 2019, 4.000%, 7/01/48 (UB) (5) | 7/26 at 100.00 | AA+ | 11,248,700 | ||
| 7,655 | Savanna Elementary School District, Orange County, California, General Obligation Bonds, Election 2008 Series 2012B, 0.000%, 2/01/52 – AGM Insured (5), (6) | No Opt. Call | A2 | 7,963,420 | ||
| 4,955 | Selma Unified School District, Fresno County, California, General Obligation Bonds, Election 2016 Series 2020C, 3.000%, 8/01/49 (UB) (5) | 8/30 at 100.00 | AA | 5,256,759 |
31
Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/General (continued) | ||||||
| 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- | $917,115 | ||
| 5,730 | 0.000%, 8/01/46 | No Opt. Call | AA- | 2,754,182 | ||
| 13,000 | 0.000%, 8/01/46 (UB) (5) | No Opt. Call | AA- | 6,248,580 | ||
| 10,000 | Sunnyvale School District, Santa Clara County, California, General Obligation Bonds, Election 2013 Series 2019C, 3.000%, 9/01/44 (UB) (5) | 9/27 at 100.00 | Aa1 | 10,596,000 | ||
| 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- | 1,724,186 | ||
| 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 | 2,543,715 | ||
| Yosemite Community College District, California, General Obligation Bonds, Capital Appreciation, Election 2004, Series 2010D: | ||||||
| 1,690 | 0.000%, 8/01/37 | No Opt. Call | AA- | 1,137,539 | ||
| 5,155 | 0.000%, 8/01/42 (UB) (5) | No Opt. Call | AA- | 5,243,563 | ||
| 348,435 | Total Tax Obligation/General | 335,977,661 | ||||
| Tax Obligation/Limited – 35.1% | ||||||
| 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 | 1,099,980 | ||
| 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 | 299,297 | ||
| 240 | 0.000%, 9/01/30 – AGM Insured | No Opt. Call | A2 | 206,582 | ||
| 4,475 | 0.000%, 9/01/34 – AGM Insured | No Opt. Call | A2 | 3,430,222 | ||
| 1,985 | 0.000%, 9/01/35 – AGM Insured | No Opt. Call | AA | 1,473,466 | ||
| 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 | 1,110,144 | ||
| 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 | 1,069,900 | ||
| 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 | 2,861,639 | ||
| Beaumont, California, Special Tax Bonds, Community Facilities District 2016-1 Fairway Canyon, Series 2019: | ||||||
| 300 | 5.000%, 9/01/44 | 9/25 at 103.00 | N/R | 338,709 | ||
| 400 | 5.000%, 9/01/49 | 9/25 at 103.00 | N/R | 449,992 | ||
| 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 | 849,045 | ||
| 1,115 | 5.000%, 9/01/48 | 9/25 at 103.00 | N/R | 1,256,638 | ||
| 1,035 | Beaumont, California, Special Tax Bonds, Community Facilities District 93-1 Improvement Area 8D, Series 2018A, 5.000%, 9/01/48 | 9/25 at 103.00 | N/R | 1,166,476 | ||
| 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 | 2,127,221 |
32
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| 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- | $1,351,020 | ||
| 2,300 | 0.000%, 8/01/29 – AMBAC Insured | No Opt. Call | AA- | 2,020,228 | ||
| 6,710 | 0.000%, 8/01/30 – AMBAC Insured | No Opt. Call | AA- | 5,741,680 | ||
| 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 | 1,865,988 | ||
| 5,600 | California Community College Financing Authority, Lease Revenue Bonds, Refunding Series 2003, 0.000%, 6/01/33 – AMBAC Insured | No Opt. Call | AA+ | 3,757,880 | ||
| California Enterprise Development Authority, Lease Revenue Bonds, Riverside County Library Facilities Project, Series 2019: | ||||||
| 1,865 | 4.000%, 11/01/49 | 11/27 at 100.00 | A+ | 2,095,234 | ||
| 680 | 4.000%, 11/01/50 | 11/27 at 100.00 | A+ | 761,083 | ||
| 1,450 | California Municipal Finance Authority, Special Tax Revenue Bonds, Bold Program, Series 2020A, 4.000%, 9/01/45 | 9/26 at 103.00 | N/R | 1,519,266 | ||
| 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 | 2,249,480 | ||
| 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 | 2,653,325 | ||
| 670 | 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 | 736,397 | ||
| 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 | 1,052,750 | ||
| 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 | 1,074,090 | ||
| 2,000 | 5.125%, 9/01/42 | 9/23 at 100.00 | N/R | 2,125,140 | ||
| 3,000 | California Statewide Communities Development Authority, Special Tax Bonds, Community Facilities District 2016-02 Delta Coves, Series 2019, 5.000%, 9/01/49 | 9/29 at 100.00 | N/R | 3,364,260 | ||
| 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 | 5,971,612 | ||
| California Statewide Communities Development Authority, Special Tax Bonds, Community Facilities District 2018-01, Wagon Wheel, Series 2020: | ||||||
| 600 | 4.000%, 9/01/40 | 9/30 at 100.00 | N/R | 630,660 | ||
| 1,300 | 4.000%, 9/01/50 | 9/30 at 100.00 | N/R | 1,344,408 | ||
| 1,000 | California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Pacific Highlands Ranch Project, Series 2019, 5.000%, 9/02/49 | 9/29 at 100.00 | N/R | 1,128,050 | ||
| California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Refunding Series 2015R-1: | ||||||
| 3,510 | 5.000%, 9/02/35 | 9/25 at 100.00 | N/R | 3,795,187 | ||
| 1,120 | 5.000%, 9/02/40 | 9/25 at 100.00 | N/R | 1,190,997 |
33
Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| $ 960 | 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 | $929,741 | ||
| 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 | 2,374,827 | ||
| 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 | 2,175,957 | ||
| 2,240 | 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 | 2,476,566 | ||
| 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 | 1,914,584 | ||
| 3,310 | 5.000%, 9/02/46 | 9/26 at 100.00 | N/R | 3,680,852 | ||
| 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 | 524,702 | ||
| 375 | 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 | 420,536 | ||
| 3,550 | 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 | 3,950,333 | ||
| 3,750 | 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 | 4,282,875 | ||
| California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2019B: | ||||||
| 3,300 | 5.000%, 9/02/44 | 9/29 at 100.00 | N/R | 3,714,480 | ||
| 3,370 | 5.000%, 9/02/49 | 9/29 at 100.00 | N/R | 3,779,286 | ||
| California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2019C: | ||||||
| 725 | 5.000%, 9/02/44 | 9/29 at 100.00 | N/R | 816,060 | ||
| 2,310 | 5.000%, 9/02/49 | 9/29 at 100.00 | N/R | 2,590,549 | ||
| California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2020A: | ||||||
| 805 | 5.000%, 9/02/50 | 9/30 at 100.00 | N/R | 906,849 | ||
| 850 | 4.000%, 9/02/50 | 9/30 at 100.00 | N/R | 868,275 | ||
| Calimesa Community Facilities District No 2018-1, Riverside County, California, Special Tax Bonds, Summerwind Trails Improvement Series 2020: | ||||||
| 865 | 4.000%, 9/01/45 (WI/DD, Settling 9/02/20) | 9/27 at 103.00 | N/R | 935,359 | ||
| 820 | 4.000%, 9/01/50 (WI/DD, Settling 9/02/20) | 9/27 at 103.00 | N/R | 881,549 | ||
| 650 | Cathedral City Public Financing Authority, California, Tax Allocation Bonds, Merged Redevelopment Project Area, Series 2007A, 4.500%, 8/01/35 – AMBAC Insured | 10/20 at 100.00 | Baa2 | 651,599 | ||
| 850 | Cathedral City Public Financing Authority, California, Tax Allocation Bonds, Merged Redevelopment Project Area, Series 2007C, 4.500%, 8/01/35 | 10/20 at 100.00 | BBB | 852,015 | ||
| 315 | Chino Public Financing Authority, California, Revenue Bonds, Refunding Series 2012, 5.000%, 9/01/38 | 9/22 at 100.00 | N/R | 330,318 | ||
| 1,160 | Chino, California, Special Tax Bonds, Community Facilities District 2016-1 Bickmore 185, Series 2020, 4.000%, 9/01/50 | 9/27 at 103.00 | N/R | 1,240,887 |
34
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| $ 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 | $1,697,480 | ||
| 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 | 1,127,020 | ||
| 1,250 | 5.000%, 9/01/48 | 9/25 at 103.00 | N/R | 1,400,638 | ||
| 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 | 364,243 | ||
| 1,000 | Compton Community Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Projects, Housing Second Lien Series 2010A, 5.500%, 8/01/30 | 10/20 at 100.00 | N/R | 1,002,890 | ||
| 500 | Compton Community Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Projects, Second Lien Series 2010B, 5.750%, 8/01/26 | 10/20 at 100.00 | N/R | 501,715 | ||
| Compton Public Finance Authority, California, Lease Revenue Bonds, Refunding & Various Capital Projects, Series 2008: | ||||||
| 500 | 5.250%, 9/01/27 – AMBAC Insured | 10/20 at 100.00 | N/R | 500,335 | ||
| 210 | 5.000%, 9/01/32 – AMBAC Insured | 10/20 at 100.00 | N/R | 210,021 | ||
| 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 | 747,224 | ||
| Corona, California, Special Tax Bonds, Community Facilities District 2018-1 Bedford, Series 2018A: | ||||||
| 2,155 | 5.000%, 9/01/43 | 9/24 at 103.00 | N/R | 2,330,870 | ||
| 1,250 | 5.000%, 9/01/48 | 9/24 at 103.00 | N/R | 1,347,125 | ||
| 1,000 | Corona-Norco Unified School District, Riverside County, California, Special Tax Bonds, Community Facilities District 05-1, Series 2016, 4.000%, 9/01/45 | 9/26 at 100.00 | N/R | 1,060,730 | ||
| 500 | Corona-Norco Unified School District, Riverside County, California, Special Tax Bonds, Community Facilities District 17-1, Series 2020, 4.000%, 9/01/43 | 9/27 at 103.00 | N/R | 546,190 | ||
| Del Mar Union School District, San Diego County, California, Special Tax Bonds, Community Facilities District 99-1, Refunding Facilities Financing Series 2019: | ||||||
| 2,400 | 4.000%, 9/01/44 (UB) (5) | 9/29 at 100.00 | AA | 2,786,952 | ||
| 4,245 | 4.000%, 9/01/49 (UB) (5) | 9/29 at 100.00 | AA | 4,899,070 | ||
| 1,200 | Dixon, California, Special Tax Bonds, Community Facilities District 2013-1 Parklane, Series 2019, 5.000%, 9/01/49 | 9/26 at 103.00 | N/R | 1,343,208 | ||
| Dublin, California, Special Tax Bonds, Community Facilities District 2015-1 Improvement Area 2 Dublin Crossing, Series 2019: | ||||||
| 2,800 | 5.000%, 9/01/44 | 9/26 at 103.00 | N/R | 3,157,252 | ||
| 4,100 | 5.000%, 9/01/49 | 9/26 at 103.00 | N/R | 4,601,307 | ||
| 250 | El Dorado County, California, Special Tax Bonds, Community Facilities District 2005-2, Series 2006, 5.100%, 9/01/36 | 3/21 at 100.00 | N/R | 253,338 | ||
| 430 | Fairfield, California, Community Facilities District 2007-1 Special Tax Bonds, Fairield Commons Project, Series 2008, 6.875%, 9/01/38 | 3/21 at 100.00 | N/R | 443,463 | ||
| 2,530 | Fillmore, California, Special Tax Bonds, Community Facilities District 5, Improvement Area, Series 2015A, 5.000%, 9/01/45 | 9/23 at 102.00 | N/R | 2,723,343 |
35
Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| Folsom Ranch Financing Authority, California, Special Tax Revenue Bonds, Folsom Community Facilities District 19 Mangini Ranch, Series 2019: | ||||||
| $ 1,140 | 5.000%, 9/01/44 | 9/26 at 103.00 | N/R | $1,296,271 | ||
| 1,000 | 5.000%, 9/01/49 | 9/26 at 103.00 | N/R | 1,132,890 | ||
| 1,000 | Folsom Ranch Financing Authority, California, Special Tax Revenue Bonds, Folsom Community Facilities District 21 White Rock Springs Ranch, Series 2019, 5.000%, 9/01/49 | 9/26 at 103.00 | N/R | 1,131,700 | ||
| 2,785 | Folsom Ranch Financing Authority, California, Special Tax Revenue Bonds, Series 2017, 5.000%, 9/01/47 | 9/27 at 100.00 | N/R | 3,153,038 | ||
| Folsom, California, Special Tax Bonds, Community Facilities District 16 Islands at Parkshore Improvement Area 1, Series 2018: | ||||||
| 500 | 4.000%, 9/01/43 | 10/20 at 103.00 | N/R | 515,415 | ||
| 1,545 | 4.000%, 9/01/48 | 10/20 at 103.00 | N/R | 1,592,509 | ||
| 755 | Fontana, California, Special Tax Bonds, Community Facilities District 86 Etiwanda Ridge, Series 2020, 4.000%, 9/01/50 | 9/26 at 103.00 | N/R | 799,454 | ||
| 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+ | 5,820,300 | ||
| 2,000 | 5.000%, 6/01/45 (UB) (5) | 6/25 at 100.00 | A+ | 2,312,100 | ||
| 3,750 | Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Tender Option Bond Trust 2015-XF1038, 17.368%, 6/01/45, 144A (IF) (5) | 6/25 at 100.00 | A+ | 6,089,475 | ||
| 500 | Government of Guam, Business Privilege Tax Bonds, Series 2012B-1, 5.000%, 1/01/42 | 1/22 at 100.00 | BB | 512,155 | ||
| 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+ | 887,198 | ||
| 1,175 | 6.875%, 12/01/40 | 12/20 at 100.00 | B+ | 1,185,093 | ||
| Hercules Redevelopment Agency, California, Tax Allocation Bonds, Merged Project Area, Series 2005: | ||||||
| 1,000 | 5.000%, 8/01/25 – AMBAC Insured | 10/20 at 100.00 | N/R | 1,003,020 | ||
| 1,000 | 5.000%, 8/01/35 – AMBAC Insured | 10/20 at 100.00 | N/R | 1,000,720 | ||
| Hercules Redevelopment Agency, California, Tax Allocation Bonds, Merged Project Area, Series 2007A: | ||||||
| 365 | 4.625%, 8/01/37 – AMBAC Insured | 10/20 at 100.00 | N/R | 365,146 | ||
| 745 | 4.750%, 8/01/42 – AMBAC Insured | 10/20 at 100.00 | N/R | 745,291 | ||
| 150 | 5.000%, 8/01/42 – AMBAC Insured | 10/20 at 100.00 | N/R | 150,093 | ||
| 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 | 1,146,925 | ||
| 155 | Indio Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Subordinate Lien Refunding Series 2008A, 5.250%, 8/15/28 | 10/20 at 100.00 | A | 155,625 | ||
| 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 | 828,656 | ||
| 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 | 550,730 |
36
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| Jurupa Community Services District, California, Special Tax Bonds, Community Facilities District 45 Jurupoa Valley, Series 2020A: | ||||||
| $ 1,000 | 4.000%, 9/01/42 | 9/27 at 103.00 | N/R | $1,101,200 | ||
| 1,375 | 4.000%, 9/01/49 | 9/27 at 103.00 | N/R | 1,501,968 | ||
| 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 | 3,732,838 | ||
| 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 | 351,566 | ||
| 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 | 853,456 | ||
| 1,000 | 4.000%, 9/01/47 | 9/24 at 103.00 | N/R | 1,062,070 | ||
| 1,220 | Lake Elsinore Unified School District, California, Special Tax Bonds, Community Facilities District 2004-2, Series 2005, 5.350%, 9/01/35 | 3/21 at 100.00 | N/R | 1,238,129 | ||
| 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 | 1,035,110 | ||
| 1,000 | Lake Elsinore, California, Special Tax Bonds, Community Facilities District 2006-1 Summerly Improvement Area HH, Series 2019, 5.000%, 9/01/50 | 9/26 at 103.00 | N/R | 1,107,170 | ||
| 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 | 3,142,504 | ||
| 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 | 2,114,080 | ||
| 4,170 | Lathrop, California, Limited Obligation Improvement Bonds, Crossroads Assessment District, Series 2015, 5.000%, 9/02/40 | 9/25 at 100.00 | N/R | 4,637,791 | ||
| Lathrop, California, Special Tax Bonds, Community Facilities District 2018-1, Central Lathrop Specific Plan Improvement Areas 1-5 Special Tax Bonds, Series 2019: | ||||||
| 605 | 5.650%, 9/01/38 | 9/26 at 103.00 | N/R | 639,552 | ||
| 970 | 5.750%, 9/01/43 | 9/26 at 103.00 | N/R | 1,022,904 | ||
| 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 | 858,303 | ||
| 395 | 5.250%, 9/01/32 | 9/23 at 100.00 | N/R | 427,947 | ||
| Lincoln, California, Special Tax Bonds, Community Facilities District 2005-1 Sorrento Project, Series 2014A: | ||||||
| 925 | 5.000%, 9/01/39 | 9/24 at 100.00 | N/R | 1,013,661 | ||
| 1,815 | 5.000%, 9/01/43 | 9/24 at 100.00 | N/R | 1,973,595 | ||
| 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 | Aa3 | 2,893,419 | ||
| 1,680 | 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 | 1,647,442 | ||
| 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 | 1,339,872 | ||
| 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 | 1,561,206 |
37
Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| $ 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 | $507,191 | ||
| Menifee Union School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2006-1, Series 2014: | ||||||
| 500 | 4.125%, 9/01/39 | 3/21 at 103.00 | N/R | 518,305 | ||
| 500 | 4.250%, 9/01/44 | 3/21 at 103.00 | N/R | 518,195 | ||
| 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 | 1,107,890 | ||
| 1,560 | Menifee Union School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2014-3, Series 2019, 5.000%, 9/01/49 | 9/26 at 103.00 | N/R | 1,736,171 | ||
| 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 | 2,188,500 | ||
| 500 | 4.250%, 9/01/44 | 9/24 at 100.00 | N/R | 524,720 | ||
| 1,000 | 5.000%, 9/01/44 | 9/24 at 100.00 | N/R | 1,084,210 | ||
| 1,450 | Menifee Union School District, Riverside County, California, Special Tax Bonds, Community Facilties District 2011-1, Improvement Area 4, Series 2019, 5.000%, 9/01/48 | 9/26 at 103.00 | N/R | 1,623,956 | ||
| 1,110 | Menifee Union School District, Riverside County, California, Special Tax Bonds, Community Facilties District 2016-1, Improvement Area B, Series 2016, 4.000%, 9/01/49 | 9/27 at 103.00 | N/R | 1,205,183 | ||
| 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 | 1,874,464 | ||
| 1,055 | 0.000%, 12/01/23 – AMBAC Insured | No Opt. Call | N/R | 1,024,627 | ||
| 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 | 921,564 | ||
| 970 | Moreno Valley Unified School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2015-2, Series 2019, 5.000%, 9/01/48 | 9/25 at 103.00 | N/R | 1,073,916 | ||
| 1,085 | Moreno Valley Unified School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2015-3, Series 2019, 4.000%, 9/01/44 | 9/25 at 103.00 | N/R | 1,145,793 | ||
| 1,000 | Moreno Valley, California, Special Tax Bonds, Community Facilities District 5, Series 2007, 5.000%, 9/01/37 | 3/21 at 100.00 | N/R | 1,012,190 | ||
| 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 | 933,512 | ||
| Northstar Community Services District, California, Special Tax Bonds, Community Facilities District 1, Refunding Series 2005: | ||||||
| 995 | 5.450%, 9/01/28 | 3/21 at 100.00 | N/R | 477,600 | ||
| 2,970 | 5.550%, 9/01/36 | 3/21 at 100.00 | N/R | 1,425,600 | ||
| 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 | 2,901,300 | ||
| 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 | 1,412,413 | ||
| 880 | Ontario, California, Special Tax Bonds, Community Facilities District 26 Park Place Facilities III, Series 2019, 5.000%, 9/01/47 | 9/26 at 103.00 | N/R | 990,246 |
38
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| $ 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 | $1,326,564 | ||
| 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 | 1,247,676 | ||
| 3,530 | Palm Desert, California, Limited Obligation Improvement Bonds, Section 29 Assessment District 2004-02, Series 2007, 5.100%, 9/02/37 | 3/21 at 100.00 | N/R | 3,576,596 | ||
| Palm Desert, California, Special Tax Bonds, Community Facilities District 2005-1 University Park, Series 2006: | ||||||
| 55 | 5.000%, 9/01/21 | 3/21 at 100.00 | N/R | 55,422 | ||
| 285 | 5.300%, 9/01/32 | 3/21 at 100.00 | N/R | 286,887 | ||
| 740 | 5.450%, 9/01/32 | 3/21 at 100.00 | N/R | 745,476 | ||
| 1,095 | 5.500%, 9/01/36 | 3/21 at 100.00 | N/R | 1,100,409 | ||
| 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- | 1,048,366 | ||
| 1,080 | Palmdale, California, Special Tax Bonds, Community Facilities District 2005-1, Series 2005, 6.750%, 9/01/35 | 3/21 at 100.00 | N/R | 1,082,106 | ||
| 975 | 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 | 1,064,271 | ||
| 1,060 | 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 | 1,134,518 | ||
| 1,140 | Perris Joint Powers Authority, California, Local Agency Revenue Bonds, Community Facilities District 2007-2, Pacific Heritage, Series 2020, 4.000%, 9/01/48 | 9/27 at 103.00 | N/R | 1,196,567 | ||
| 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 | 2,733,069 | ||
| 2,500 | 0.000%, 8/01/28 – AMBAC Insured | No Opt. Call | A | 2,228,800 | ||
| 1,265 | 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+ | 1,404,858 | ||
| 2,750 | Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2005L, 5.250%, 7/01/38 (4) | No Opt. Call | C | 2,859,450 | ||
| Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Restructured 2018A-1: | ||||||
| 40,000 | 0.000%, 7/01/46 | 7/28 at 41.38 | N/R | 11,474,800 | ||
| 14,000 | 0.000%, 7/01/51 | 7/28 at 30.01 | N/R | 2,894,080 | ||
| 2,000 | Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Restructured Cofina Project Series 2018B-1, 4.750%, 7/01/53 | 7/28 at 100.00 | N/R | 2,102,080 | ||
| Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Taxable Restructured Cofina Project Series 2019A-2: | ||||||
| 10,605 | 4.329%, 7/01/40 | 7/28 at 100.00 | N/R | 11,135,356 | ||
| 1,000 | 4.784%, 7/01/58 | 7/28 at 100.00 | N/R | 1,053,310 | ||
| Rancho Cardova, California, Special Tax Bonds, Community Facilities District 2005-1 Sunridge North Douglas Series 2015: | ||||||
| 1,200 | 5.000%, 9/01/40 | 9/25 at 100.00 | N/R | 1,330,404 | ||
| 1,250 | 5.000%, 9/01/45 | 9/25 at 100.00 | N/R | 1,371,913 |
39
Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| 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 | $1,267,767 | ||
| 3,000 | Rancho Cordova, California, Special Tax Bonds, Community Facilities District 2003-1 Sunridge Anatolia Area, Junior Lien Series 2014, 5.650%, 10/01/38 | 10/20 at 100.00 | N/R | 3,007,410 | ||
| Rancho Cordova, California, Special Tax Bonds, Community Facilities District 2018-1 Grantline 208, Series 2019: | ||||||
| 410 | 5.000%, 9/01/44 | 9/26 at 103.00 | N/R | 455,358 | ||
| 530 | 5.000%, 9/01/49 | 9/26 at 103.00 | N/R | 586,169 | ||
| 500 | Rancho Mirage, California, Special Tax Bonds, Community Facilities District 4A Del Webb Project, Series 2019A, 5.000%, 9/01/44 | 9/25 at 103.00 | N/R | 562,250 | ||
| 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 | 1,533,519 | ||
| 1,260 | 0.000%, 7/15/31 – AMBAC Insured | No Opt. Call | A | 1,038,694 | ||
| 1,185 | Rio Vista, California, Special Tax Bonds, Community Faciliites District 2018-1 Liberty Community, Series 2018-1, 5.000%, 9/01/48 | 9/25 at 103.00 | N/R | 1,330,767 | ||
| 1,250 | Riverside County Asset Leasing Corporation, California, Lease Revenue Bonds, Capital Project, Tender Option Bond Trust 2015-XF1020, 18.269%, 11/01/45, 144A (IF) (5) | 11/25 at 100.00 | A+ | 2,226,337 | ||
| 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 | 1,217,857 | ||
| 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 | 2,364,887 | ||
| 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 | 914,779 | ||
| 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 | 696,293 | ||
| 3,410 | 5.000%, 9/01/42 | 9/22 at 100.00 | N/R | 3,565,632 | ||
| 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 | 1,143,070 | ||
| 535 | 5.000%, 9/01/45 | 9/27 at 100.00 | N/R | 607,145 | ||
| Riverside Unified School District, Riverside County, California, Special Tax Bonds, Community Facilities District 32, Series 2020: | ||||||
| 415 | 4.000%, 9/01/45 | 9/27 at 103.00 | N/R | 448,387 | ||
| 875 | 4.000%, 9/01/50 | 9/27 at 103.00 | N/R | 941,456 | ||
| 1,065 | Riverside, California, Special Tax Bonds, Community Facilities District 2015-1 Orangecrest Grove, Series 2020A, 4.000%, 9/01/49 | 9/27 at 103.00 | N/R | 1,143,938 | ||
| 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 | 748,875 | ||
| 1,155 | 0.000%, 9/01/35 – NPFG Insured | No Opt. Call | Baa2 | 828,585 | ||
| 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 | 935,273 |
40
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| $ 935 | Rohnert Park Community Development Agency, California, Tax Allocation Bonds, Series 1999, 0.000%, 8/01/33 | No Opt. Call | Baa2 | $713,330 | ||
| 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 | 4,026,717 | ||
| 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 | 1,277,091 | ||
| 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 | 940,261 | ||
| Roseville, California, Special Tax Bonds, Community Facilities District 1 Hewlett Parkard Campus Oaks, Series 2016: | ||||||
| 1,130 | 5.000%, 9/01/31 | 9/26 at 100.00 | N/R | 1,307,207 | ||
| 1,000 | 5.000%, 9/01/36 | 9/26 at 100.00 | N/R | 1,128,700 | ||
| 2,785 | 5.500%, 9/01/46 | 9/26 at 100.00 | N/R | 3,161,448 | ||
| Roseville, California, Special Tax Bonds, Community Facilities District 1 Sierra Vista Villages, Series 2020: | ||||||
| 490 | 4.000%, 9/01/45 | 9/27 at 103.00 | N/R | 517,303 | ||
| 650 | 4.000%, 9/01/50 | 9/27 at 103.00 | N/R | 682,806 | ||
| Roseville, California, Special Tax Bonds, Community Facilities District 1 SVSP Westpark-Federico, Series 2019: | ||||||
| 500 | 5.000%, 9/01/44 | 9/26 at 103.00 | N/R | 556,185 | ||
| 700 | 5.000%, 9/01/49 | 9/26 at 103.00 | N/R | 776,615 | ||
| Roseville, California, Special Tax Bonds, Community Facilities District 1 Westbrook, Series 2014: | ||||||
| 1,100 | 5.000%, 9/01/34 | 9/24 at 100.00 | N/R | 1,213,311 | ||
| 1,880 | 5.000%, 9/01/39 | 9/24 at 100.00 | N/R | 2,054,201 | ||
| 1,395 | 5.000%, 9/01/44 | 9/24 at 100.00 | N/R | 1,515,235 | ||
| 5,500 | 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 | 6,175,015 | ||
| 230 | Sabal Palm Community Development District, Florida, Special Assessment Bonds, Series 2016, 5.500%, 11/01/46 | 11/26 at 100.00 | N/R | 251,293 | ||
| 1,510 | Sacramento City Financing Authority California, Lease Revenue Bonds, Master Lease Program Facilities Projects, Tender Option Bond Trust 2016-XG0100, 18.262%, 12/01/33, 144A (IF) (5) | No Opt. Call | AA- | 4,015,105 | ||
| 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 | 3,343,486 | ||
| 4,435 | 0.000%, 12/01/32 – FGIC Insured | No Opt. Call | Baa2 | 3,327,714 | ||
| 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 | 2,087,728 | ||
| 310 | Sacramento, California, Special Tax Bonds, Community Facilities District 05-1 College Square, Series 2007, 5.900%, 9/01/37 | 3/21 at 100.00 | N/R | 315,304 |
41
Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| 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 | $793,276 | ||
| 1,900 | 5.000%, 9/01/47, 144A | 9/24 at 103.00 | N/R | 2,098,873 | ||
| 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 | 107,000 | ||
| 455 | San Bernardino County Financing Authority, California, Revenue Bonds, Courthouse Facilities Project, Series 2007, 5.500%, 6/01/37 – NPFG Insured | No Opt. Call | Baa2 | 468,887 | ||
| 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 | 608,416 | ||
| 14,815 | San Francisco Bay Area Rapid Transit District, California, Sales Tax Revenue Bonds, Series 2019A, 3.000%, 7/01/44 (UB) (5) | 7/27 at 100.00 | AA+ | 15,634,566 | ||
| 935 | 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 | 993,456 | ||
| 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- | 1,400,613 | ||
| 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 | 7,370,860 | ||
| 1,000 | San Jacinto Unified School District, California, Community Facilities District 2003-1 Infrastructure Projects, Series 2016, 3.375%, 9/01/46 | 3/21 at 103.00 | N/R | 1,012,270 | ||
| 205 | Santa Ana Financing Authority, California, Lease Revenue Bonds, Police Administration and Housing Facility, Series 1994A, 6.250%, 7/01/24 | No Opt. Call | Baa2 | 233,878 | ||
| 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 | 1,093,460 | ||
| 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 | 5,665,550 | ||
| 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 | 1,481,169 | ||
| 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 | 1,747,308 | ||
| 500 | 5.500%, 9/01/33 | 9/22 at 100.00 | N/R | 531,540 | ||
| 4,000 | 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 | 4,223,960 | ||
| 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 | 2,185,340 | ||
| 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 | 1,130,158 | ||
| 400 | Temecula Valley Unified School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2011-1, Series 2014, 4.250%, 9/01/44 | 3/21 at 103.00 | N/R | 414,456 |
42
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| Tracy, California, Special Tax Bonds, Community Facilities District 2016-1 Tracy Hills, Improvement Area 1, Series 2019: | ||||||
| $ 1,285 | 5.000%, 9/01/44 | 9/25 at 103.00 | N/R | $1,412,562 | ||
| 1,875 | 5.000%, 9/01/49 | 9/25 at 103.00 | N/R | 2,055,619 | ||
| Tracy, California, Special Tax Bonds, Community Facilities District 2016-2 ECFD, Improvement Area 1, Series 2019: | ||||||
| 825 | 5.000%, 9/01/44 | 9/26 at 103.00 | N/R | 941,045 | ||
| 1,235 | 5.000%, 9/01/49 | 9/26 at 103.00 | N/R | 1,402,787 | ||
| 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- | 707,602 | ||
| 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 | 746,676 | ||
| 1,000 | Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Refunding Series 2014C, 5.000%, 10/01/39 | 10/24 at 100.00 | N/R | 905,470 | ||
| 100 | Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Series 2012A, 5.000%, 10/01/27 | 10/22 at 100.00 | Caa2 | 98,721 | ||
| 2,000 | 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 | 1,965,940 | ||
| Virgin Islands Public Finance Authority, Matching Fund Revenue Loan Note - Diageo Project, Series 2009A: | ||||||
| 3,500 | 6.625%, 10/01/29 | 10/20 at 100.00 | Caa3 | 3,501,435 | ||
| 1,800 | 6.750%, 10/01/37 | 10/20 at 100.00 | Caa3 | 1,800,918 | ||
| 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- | 640,980 | ||
| 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 | 382,438 | ||
| 785 | 5.250%, 9/01/45 | 9/25 at 100.00 | N/R | 845,626 | ||
| 3,640 | West Sacramento Financing Authority, California, Special Tax Revenue Bonds, Series 2014, 5.500%, 9/01/31 | 9/22 at 102.00 | N/R | 3,954,023 | ||
| 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 | 3,110,324 | ||
| 7,760 | 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 | 8,629,663 | ||
| 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 | 2,408,493 | ||
| 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+ | 521,030 | ||
| 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 | 1,599,239 | ||
| 1,985 | 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 | 2,080,995 |
43
Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| $ 290 | Yorkville United City Business District, Illinois, Storm Water and Water Improvement Project Revenue Bonds, Series 2007, 4.800%, 1/01/27 (4) | 9/20 at 100.00 | N/R | $ 118,900 | ||
| 473,855 | Total Tax Obligation/Limited | 441,776,795 | ||||
| Transportation – 13.3% | ||||||
| 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 | 4,506,120 | ||
| 7,465 | Bay Area Toll Authority, California, Revenue Bonds, San Francisco Bay Area Toll Bridge, Subordinate Series 2019S-8, 3.000%, 4/01/54 (UB) (5) | 10/29 at 100.00 | A1 | 7,731,948 | ||
| 15,255 | California Municipal Finance Authority, Special Facility Revenue Bonds, United Airlines, Inc Los Angeles International Airport Project, Series 2019, 4.000%, 7/15/29 (AMT) | No Opt. Call | B+ | 15,265,678 | ||
| 5,000 | Florida Development Finance Corporation, Florida, Surface Transportation Facility Revenue Bonds, Virgin Trains USA Passenger Rail Project , Series 2019A, 6.375%, 1/01/49 (AMT) (Mandatory Put 1/01/26), 144A | 10/20 at 105.00 | N/R | 4,361,050 | ||
| 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 | BBB- | 3,410,430 | ||
| 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 | Baa2 | 4,371,244 | ||
| 3,000 | 0.000%, 1/15/35 – AGM Insured | No Opt. Call | BBB | 2,037,570 | ||
| 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 | 3,146,050 | ||
| 1,775 | 5.000%, 1/15/42 – AGM Insured | 1/24 at 100.00 | BBB | 1,962,990 | ||
| 1,030 | 5.750%, 1/15/46 | 1/24 at 100.00 | Baa2 | 1,146,781 | ||
| 6,095 | Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Bonds, Refunding Term Rate Series 2013B-2, 0.000%, 1/15/53 – AGM Insured (UB) (5) | 7/29 at 100.00 | A2 | 6,610,393 | ||
| 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 | Baa2 | 9,231,752 | ||
| Guam International Airport Authority, Revenue Bonds, Series 2013C: | ||||||
| 745 | 6.250%, 10/01/34 (AMT) | 10/23 at 100.00 | Baa2 | 770,956 | ||
| 500 | 6.125%, 10/01/43 – AGM Insured (AMT) | 10/23 at 100.00 | A2 | 548,685 | ||
| Guam Port Authority, Port Revenue Bonds, Private Activity Series 2018B: | ||||||
| 250 | 5.000%, 7/01/36 (AMT) | 7/28 at 100.00 | Baa2 | 286,825 | ||
| 400 | 5.000%, 7/01/37 (AMT) | 7/28 at 100.00 | Baa2 | 457,228 | ||
| 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 | A+ | 27,636,669 | ||
| 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 | A+ | 11,941,200 | ||
| 13,800 | Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Subordinate Lien Series 2019F, 4.000%, 5/15/49 (AMT) (UB) (5) | 5/29 at 100.00 | A+ | 15,335,664 | ||
| 5,000 | San Diego County Regional Airport Authority, California, Airport Revenue Bonds, Subordinate Series 2019B, 4.000%, 7/01/44 (AMT) (UB) (5) | 7/29 at 100.00 | A | 5,546,750 | ||
| 7,590 | San Francisco Airports Commission, California, Revenue Bonds, San Francisco International Airport, Second Series 2019A, 5.000%, 5/01/44 (AMT) (UB) (5) | 5/29 at 100.00 | A | 9,217,600 |
44
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Transportation (continued) | ||||||
| $ 20,460 | San Francisco Airports Commission, California, Revenue Bonds, San Francisco International Airport, Second Series 2019E, 4.000%, 5/01/50 (AMT) (UB) (5) | 5/29 at 100.00 | A | $22,909,471 | ||
| 1,290 | San Francisco Airports Commission, California, Revenue Bonds, San Francisco International Airport, Tender Option Bond Trust Series 2015-XF1032, 17.113%, 5/01/44, 144A (IF) (5) | 5/24 at 100.00 | A | 1,949,616 | ||
| 2,000 | San Joaquin Hills Transportation Corridor Agency, Orange County, California, Toll Road Revenue Bonds, Refunding Junior Lien Series 2014B, 5.250%, 1/15/49 | 1/25 at 100.00 | BBB- | 2,208,120 | ||
| San Joaquin Hills Transportation Corridor Agency, Orange County, California, Toll Road Revenue Bonds, Refunding Senior Lien Series 2014A: | ||||||
| 2,250 | 5.000%, 1/15/44 | 1/25 at 100.00 | BBB | 2,493,068 | ||
| 1,650 | 5.000%, 1/15/50 | 1/25 at 100.00 | BBB | 1,820,825 | ||
| 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 | 38,663 | ||
| 156,255 | Total Transportation | 166,943,346 | ||||
| U.S. Guaranteed – 2.6% (7) | ||||||
| 2,320 | Anaheim Public Financing Authority, California, Lease Revenue Bonds, Public Improvement Project, Series 1997C, 0.000%, 9/01/35 – AGM Insured (ETM) | No Opt. Call | AA | 1,829,529 | ||
| 625 | 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 | 645,400 | ||
| 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 | 1,023,490 | ||
| 1,215 | 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) | 10/20 at 100.00 | N/R | 1,243,953 | ||
| 1,040 | California Statewide Communities Development Authority, School Facility Revenue Bonds, Alliance College-Ready Public Schools, Series 2011A, 7.000%, 7/01/46 (Pre-refunded 7/01/21) | 7/21 at 100.00 | N/R | 1,097,751 | ||
| 1,250 | Dana Point, California, Special Tax Bonds, Community Facilities District 2006-1 Series 2014, 5.000%, 9/01/45 (Pre-refunded 9/01/23) | 9/23 at 100.00 | N/R | 1,423,963 | ||
| 990 | Davis Redevelopment Agency, California, Tax Allocation Bonds, Davis Redevelopment Project, Subordinate Series 2011A, 7.000%, 12/01/36 (Pre-refunded 12/01/21) | 12/21 at 100.00 | A+ | 1,072,893 | ||
| 8,285 | Fresno Unified School District, Fresno County, California, General Obligation Bonds, Election 2010 Series 2014D, 4.000%, 8/01/47 (Pre-refunded 8/01/24) (UB) (5) | 8/24 at 100.00 | Aa3 | 8,980,940 | ||
| Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2013: | ||||||
| 500 | 5.250%, 7/01/33 (Pre-refunded 7/01/23) | 7/23 at 100.00 | Baa2 | 567,270 | ||
| 1,000 | 5.500%, 7/01/43 (Pre-refunded 7/01/23) | 7/23 at 100.00 | Baa2 | 1,141,570 |
45
Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| U.S. Guaranteed (7) (continued) | ||||||
| Inglewood Public Financing Authority, California, Lease Revenue Bonds, Refunding Series 2012: | ||||||
| $ 2,530 | 0.000%, 8/01/23 (Pre-refunded 8/01/22) | 8/22 at 93.78 | A2 | $2,355,809 | ||
| 1,600 | 0.000%, 8/01/25 (Pre-refunded 8/01/22) | 8/22 at 82.01 | A2 | 1,302,960 | ||
| 1,050 | 0.000%, 8/01/28 (Pre-refunded 8/01/22) | 8/22 at 66.37 | A2 | 691,982 | ||
| 2,430 | 0.000%, 8/01/33 (Pre-refunded 8/01/22) | 8/22 at 45.44 | A2 | 1,096,489 | ||
| 1,650 | 0.000%, 8/01/35 (Pre-refunded 8/01/22) | 8/22 at 38.78 | A2 | 635,448 | ||
| 1,550 | March Joint Powers Redevelopment Agency, California, Tax Allocation Revenue Bonds, March Air Force Base Redevelopment Project, Series 2011A, 7.500%, 8/01/41 (Pre-refunded 8/01/21) | 8/21 at 100.00 | N/R | 1,651,618 | ||
| 500 | Marysville, California, Revenue Bonds, Fremont-Rideout Health Group, Series 2011, 5.125%, 1/01/33 (Pre-refunded 1/01/21) | 1/21 at 100.00 | N/R | 508,130 | ||
| 330 | Novato Redevelopment Agency, California, Tax Allocation Bonds, Hamilton Field Redevelopment Project, Series 2011, 6.750%, 9/01/40 (Pre-refunded 9/01/21) | 9/21 at 100.00 | A- | 351,420 | ||
| 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 | N/R | 502,560 | ||
| 205 | 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 | 233,128 | ||
| 1,250 | Stockton Public Financing Authority, California, Water Revenue Bonds, Delta Water Supply Project, Series 2010A, 6.250%, 10/01/40 (Pre-refunded 10/01/23) | 10/23 at 100.00 | A3 | 1,481,287 | ||
| 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 | N/R | 548,476 | ||
| 1,300 | 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+ | 1,394,939 | ||
| 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+ | 541,285 | ||
| 34,150 | Total U.S. Guaranteed | 32,322,290 | ||||
| Utilities – 6.8% | ||||||
| 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 | 208,702 | ||
| 5,000 | 5.000%, 11/21/45 (AMT), 144A | 7/22 at 100.00 | Baa3 | 5,196,600 | ||
| 25 | Long Beach Bond Finance Authority, California, Natural Gas Purchase Revenue Bonds, Series 2007A, 5.500%, 11/15/28 | No Opt. Call | A- | 32,574 | ||
| 700 | Long Beach Bond Finance Authority, California, Natural Gas Purchase Revenue Bonds, Series 2007B, 1.618%, 11/15/26 (3-Month LIBOR*67% Reference Rate + 1.430%Spread) (8) | No Opt. Call | A- | 709,800 | ||
| 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- | 9,232,931 | ||
| 25,000 | 5.000%, 7/01/47 (UB) (5) | 1/27 at 100.00 | AA- | 30,319,250 |
46
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Utilities (continued) | ||||||
| $ 50 | M-S-R Energy Authority, California, Gas Revenue Bonds, Citigroup Prepay Contracts, Series 2009A, 6.500%, 11/01/39 | No Opt. Call | BBB+ | $79,657 | ||
| 8,000 | Puerto Rico Electric Power Authority, Power Revenue Bonds, Federally Taxable Build America Bonds, Series 2010YY, 4.050%, 7/01/40 (4) | 10/20 at 100.00 | D | 5,520,000 | ||
| 25 | Puerto Rico Electric Power Authority, Power Revenue Bonds, Refunding Series 2005SS, 3.926%, 7/01/30 (4) | 10/20 at 100.00 | D | 17,125 | ||
| Puerto Rico Electric Power Authority, Power Revenue Bonds, Refunding Series 2010DDD: | ||||||
| 1,000 | 3.957%, 7/01/21 (4) | 10/20 at 100.00 | D | 690,000 | ||
| 1,030 | 3.844%, 7/01/21 (4) | 10/20 at 100.00 | D | 688,812 | ||
| Puerto Rico Electric Power Authority, Power Revenue Bonds, Refunding Series 2012A: | ||||||
| 1,415 | 3.941%, 7/01/29 (4) | 7/22 at 100.00 | D | 969,275 | ||
| 3,385 | 3.957%, 7/01/42 (4) | 7/22 at 100.00 | D | 2,335,650 | ||
| 2,925 | 3.961%, 7/01/42 (4) | 7/22 at 100.00 | D | 2,018,250 | ||
| 85 | Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2003NN, 3.999%, 7/01/20 (4) | No Opt. Call | D | 58,756 | ||
| 1,950 | Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2007TT, 3.957%, 7/01/32 (4) | 10/20 at 100.00 | D | 1,345,500 | ||
| 1,140 | Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2007VV, 5.250%, 7/01/34 – NPFG Insured (4) | No Opt. Call | D | 1,169,309 | ||
| Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2010AAA: | ||||||
| 500 | 3.978%, 7/01/24 (4) | 10/20 at 100.00 | D | 345,625 | ||
| 3,000 | 3.998%, 7/01/27 (4) | 10/20 at 100.00 | D | 2,073,750 | ||
| 1,020 | 3.978%, 7/01/31 (4) | 10/20 at 100.00 | D | 705,075 | ||
| Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2010CCC: | ||||||
| 135 | 3.957%, 7/01/24 (4) | 10/20 at 100.00 | D | 93,150 | ||
| 200 | 3.941%, 7/01/27 (4) | 10/20 at 100.00 | D | 137,000 | ||
| Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2010XX: | ||||||
| 1,445 | 3.926%, 7/01/25 (4) | 10/20 at 100.00 | D | 989,825 | ||
| 95 | 3.978%, 7/01/26 (4) | 10/20 at 100.00 | D | 65,669 | ||
| 1,000 | 3.978%, 7/01/35 (4) | 10/20 at 100.00 | D | 691,250 | ||
| Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2010ZZ: | ||||||
| 165 | 3.957%, 7/01/21 (4) | 10/20 at 100.00 | D | 113,850 | ||
| 1,695 | 3.957%, 7/01/22 (4) | 10/20 at 100.00 | D | 1,169,550 | ||
| 275 | 3.978%, 7/01/25 (4) | 10/20 at 100.00 | D | 190,094 | ||
| 1,000 | 3.978%, 7/01/26 (4) | 10/20 at 100.00 | D | 691,250 | ||
| Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2013A: | ||||||
| 220 | 4.143%, 7/01/30 (4) | 7/23 at 100.00 | D | 155,925 | ||
| 4,430 | 4.102%, 7/01/36 (4) | 7/23 at 100.00 | D | 3,123,150 | ||
| Puerto Rico Electric Power Authority, Power Revenue Bonds, Series WW: | ||||||
| 915 | 3.988%, 7/01/24 (4) | 10/20 at 100.00 | D | 633,637 | ||
| 1,000 | 5.250%, 7/01/33 (4) | 10/20 at 100.00 | D | 691,250 | ||
| 295 | 3.999%, 7/01/38 (4) | 10/20 at 100.00 | D | 204,656 |
47
Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Utilities (continued) | ||||||
| $ 2,380 | Puerto Rico Electric Power Authority, Power Revenue Bonds, Taxable Build America Bond Series 2010EE, 4.036%, 7/01/30 (4) | 10/20 at 100.00 | D | $1,630,300 | ||
| 2,000 | Puerto Rico Electric Power Authority, Power Revenue Bonds, Taxable Series 2010BBB, 3.990%, 7/01/28 (4) | 10/20 at 100.00 | D | 1,357,500 | ||
| Southern California Public Power Authority, Natural Gas Project 1 Revenue Bonds, Series 2007A: | ||||||
| 1,000 | 5.000%, 11/01/29 | No Opt. Call | BBB+ | 1,284,590 | ||
| 720 | 5.000%, 11/01/33 | No Opt. Call | BBB+ | 960,178 | ||
| 5,550 | 1.638%, 11/01/38 (3-Month LIBOR*67% Reference Rate + 1.470%Spread) (8) | No Opt. Call | BBB+ | 5,031,963 | ||
| 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 | 10/20 at 100.00 | Caa3 | 111,318 | ||
| 90,650 | Total Utilities | 85,042,746 | ||||
| Water and Sewer – 4.2% | ||||||
| 2,000 | Compton, California, Sewer Revenue Bonds, Series 2009, 6.000%, 9/01/39 | 10/20 at 100.00 | N/R | 2,004,240 | ||
| 500 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2016, 5.000%, 1/01/46 | 7/26 at 100.00 | Baa2 | 565,490 | ||
| 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 | 2,263,660 | ||
| 2,000 | Los Angeles Department of Water and Power, California, Waterworks Revenue Bonds, Tender Option Bond Trust 2015-XF2053, 21.873%, 7/01/44, 144A (IF) (5) | 7/24 at 100.00 | AA | 3,523,840 | ||
| 4,980 | Pico Rivera Water Authority, California, Revenue Bonds, Refunding Water System Project, Series 1999A, 5.500%, 5/01/29 – NPFG Insured | No Opt. Call | Baa2 | 5,958,371 | ||
| Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A: | ||||||
| 2,535 | 6.000%, 7/01/38 | 10/20 at 100.00 | CC | 2,576,194 | ||
| 7,335 | 6.000%, 7/01/44 | 10/20 at 100.00 | CC | 7,454,193 | ||
| Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2012A: | ||||||
| 1,000 | 5.250%, 7/01/24 | 7/22 at 100.00 | CC | 1,043,630 | ||
| 10,100 | 5.000%, 7/01/33 | 7/22 at 100.00 | CC | 10,390,375 | ||
| 2,800 | 5.750%, 7/01/37 | 7/22 at 100.00 | CC | 2,915,500 | ||
| 9,000 | 5.250%, 7/01/42 | 7/22 at 100.00 | CC | 9,258,750 | ||
| 2,000 | 6.000%, 7/01/47 | 7/22 at 100.00 | CC | 2,087,501 | ||
| 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 | 1,479,451 | ||
| 1,500 | 5.000%, 8/01/42 | 8/28 at 100.00 | N/R | 1,761,076 | ||
| 49,000 | Total Water and Sewer | 53,282,271 | ||||
| $ 1,742,509 | Total Municipal Bonds (cost $1,520,064,598) | 1,617,146,631 |
48
| Shares | Description (1) | Value | ||||
| COMMON STOCKS – 0.1% | ||||||
| Airlines – 0.1% | ||||||
| 94,060 | American Airlines Group Inc, (9), (10) | $ 1,227,483 | ||||
| Total Common Stocks (cost $2,851,418) | 1,227,483 | |||||
| Total Long-Term Investments (cost $1,522,916,016) | 1,618,374,114 | |||||
| Floating Rate Obligations – (28.9)% | (363,962,000) | |||||
| Borrowings – (1.0)% | (12,500,000) | |||||
| Other Assets Less Liabilities – 1.3% (11) | 16,132,326 | |||||
| Net Assets – 100% | $ 1,258,044,440 |
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 | (83) | 12/20 | $(10,445,956) | $(10,460,594) | $ (14,638) | $(3,242) |
| U.S. Treasury 10-Year Note | Short | (611) | 12/20 | (84,880,058) | (85,081,750) | (201,692) | (95,469) |
| Total | $(95,326,014) | $(95,542,344) | $(216,330) | $ (98,711) | |||
| Total receivable for variation margin on futures contracts | $ — | ||||||
| Total payable for variation margin on futures contracts | $(98,711) |
| (1) | All percentages shown in the Portfolio of Investments are based on net assets. | |
| (2) | Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. | |
| (3) | 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. | |
| (4) | Defaulted security. A security whose issuer has failed to fully pay principal and/or interest when due, or is under the protection of bankruptcy. | |
| (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) | 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) | Variable rate security. The rate shown is the coupon as of the end of the reporting period. | |
| (9) | 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. | |
| (10) | Non-income producing; issuer has not declared a dividend within the past twelve months. | |
| (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 the cash collateral at brokers and/or the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable. | |
| 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. | |
| UB | Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Note 4 – Portfolio Securities and Investments in Derivatives for more information. | |
| WI/DD | Purchased on a when-issued or delayed delivery basis. |
See accompanying notes to financial statements.
49
Nuveen California Municipal Bond Fund
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | Value | ||
| LONG-TERM INVESTMENTS – 98.6% | ||||||
| MUNICIPAL BONDS – 98.6% | ||||||
| Consumer Staples – 1.9% | ||||||
| $ 370 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Los Angeles County Securitization Corporation, Series 2020A, 4.000%, 6/01/49 | 6/30 at 100.00 | BBB+ | $416,032 | ||
| 2,315 | California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Sonoma County Tobacco Securitization Corporation, Series 2005, 5.125%, 6/01/38 | 10/20 at 100.00 | B- | 2,321,251 | ||
| 25,520 | 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 | 26,321,583 | ||
| Tobacco Securitization Authority of Northern California, Tobacco Settlement Asset-Backed Bonds, Series 2005A-1: | ||||||
| 9,835 | 5.375%, 6/01/38 | 9/20 at 100.00 | B- | 9,875,520 | ||
| 1,855 | 5.500%, 6/01/45 | 9/20 at 100.00 | B- | 1,865,833 | ||
| 39,895 | Total Consumer Staples | 40,800,219 | ||||
| Education and Civic Organizations – 5.7% | ||||||
| 5,000 | California Educational Facilities Authority, Revenue Bonds, Chapman University, Series 2015, 5.000%, 4/01/40 | 4/25 at 100.00 | A2 | 5,623,450 | ||
| 3,915 | California Educational Facilities Authority, Revenue Bonds, Pepperdine University, Series 2015, 5.000%, 9/01/40 | 9/25 at 100.00 | AA | 4,671,613 | ||
| 7,000 | California Educational Facilities Authority, Revenue Bonds, Stanford University, Series 2007, 5.000%, 3/15/39 | No Opt. Call | AAA | 10,574,410 | ||
| 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 | 3,440,790 | ||
| 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+ | 291,260 | ||
| 250 | 5.000%, 2/01/31 | 2/26 at 100.00 | A+ | 290,280 | ||
| 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 | 1,656,660 | ||
| 4,250 | California Municipal Finance Authority, Charter School Revenue Bonds, Partnerships to Uplift Communities Project, Series 2012A, 5.250%, 8/01/42 | 8/22 at 100.00 | BB | 4,324,800 | ||
| 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 | 1,223,640 | ||
| California Municipal Finance Authority, Educational Facilities Revenue Bonds, OCEAA Project, Series 2008A: | ||||||
| 630 | 6.750%, 10/01/28 | 10/20 at 100.00 | N/R | 631,411 | ||
| 1,500 | 7.000%, 10/01/39 | 10/20 at 100.00 | N/R | 1,502,820 | ||
| 625 | California Municipal Finance Authority, Revenue Bonds, Goodwill Industries of Sacramento Valley & Northern Nevada Project, Series 2012A, 5.750%, 1/01/22, 144A (3) | No Opt. Call | N/R | 623,444 |
50
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | Value | ||
| Education and Civic Organizations (continued) | ||||||
| $ 1,275 | California Municipal Finance Authority, Revenue Bonds, Goodwill Industries of Sacramento Valley & Northern Nevada Project, Series 2014A, 5.000%, 1/01/35 (3) | 1/25 at 100.00 | N/R | $1,103,946 | ||
| 1,245 | California Municipal Finance Authority, Revenue Bonds, Touro College and University System, Series 2014A, 5.250%, 1/01/34 | 7/24 at 100.00 | BBB- | 1,333,831 | ||
| 1,040 | California School Finance Authority, California, Charter School Revenue Bonds, Aspire Public Schools, Refunding Series 2015A, 5.000%, 8/01/40, 144A | 8/25 at 100.00 | BBB | 1,165,122 | ||
| 500 | California School Finance Authority, California, Charter School Revenue Bonds, Aspire Public Schools, Refunding Series 2016, 5.000%, 8/01/46, 144A | 8/25 at 100.00 | BBB | 555,560 | ||
| 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 | 428,056 | ||
| 500 | 5.000%, 6/01/51, 144A | 6/26 at 100.00 | N/R | 520,725 | ||
| 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 | 406,193 | ||
| 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 | 299,712 | ||
| 500 | California School Finance Authority, Charter School Revenue Bonds, Summit Public Schools ? Obligated Group, Series 2017, 5.000%, 6/01/47, 144A | 6/27 at 100.00 | Baa3 | 559,775 | ||
| 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 | 830,955 | ||
| 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 | 919,225 | ||
| 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 | 5,874,298 | ||
| 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+ | 2,194,060 | ||
| 4,040 | 7.000%, 7/01/48 | 7/23 at 100.00 | BB+ | 4,437,092 | ||
| 500 | California State Public Works Board, Lease Revenue Bonds, California State University, Various University Projects, Series 2010B-1, 5.400%, 3/01/26 | 10/20 at 100.00 | Aa3 | 501,695 | ||
| 2,650 | California State University, Systemwide Revenue Bonds, Refunding Series 2015A, 5.000%, 11/01/35 | 11/25 at 100.00 | Aa2 | 3,218,663 | ||
| 16,610 | California State University, Systemwide Revenue Bonds, Series 2016A, 5.000%, 11/01/41 | 5/26 at 100.00 | Aa2 | 20,289,613 | ||
| 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 | 1,363,768 | ||
| 14,740 | University of California, General Revenue Bonds, Series 2018AZ, 5.000%, 5/15/48 | 5/28 at 100.00 | AA | 18,349,531 | ||
| University of California, General Revenue Bonds, Series 2020BE: | ||||||
| 15,000 | 4.000%, 5/15/47 | 5/30 at 100.00 | AA | 17,624,100 | ||
| 4,000 | 4.000%, 5/15/50 | 5/30 at 100.00 | AA | 4,687,840 | ||
| 102,645 | Total Education and Civic Organizations | 121,518,338 | ||||
| Financials – 0.0% | ||||||
| 7 | Puerto Rico Urgent Interest Fund Corp (COFINA), National Custodial Taxable Trust Unit, Series 2007A Sr. Bond, 0.000%, 8/01/47 | No Opt. Call | N/R | 1,941 |
51
Nuveen California Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | Value | ||
| Health Care – 7.9% | ||||||
| $ 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 | A+ | $2,814,499 | ||
| 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 | A+ | 15,461,050 | ||
| 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 | A+ | 12,092,494 | ||
| 10,845 | California Health Facilities Financing Authority, California, Revenue Bonds, Sutter Health, Series 2016A, 5.000%, 11/15/41 | 11/25 at 100.00 | A+ | 12,682,251 | ||
| California Health Facilities Financing Authority, California, Revenue Bonds, Sutter Health, Series 2018A: | ||||||
| 1,500 | 5.000%, 11/15/35 | 11/27 at 100.00 | A+ | 1,845,765 | ||
| 14,805 | 5.000%, 11/15/48 | 11/27 at 100.00 | A+ | 17,787,319 | ||
| 3,000 | California Health Facilities Financing Authority, Revenue Bonds, Catholic Healthcare West, Series 2009F, 5.625%, 7/01/25 | 10/20 at 100.00 | BBB+ | 3,011,490 | ||
| 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 | 547,392 | ||
| 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+ | 1,072,020 | ||
| California Health Facilities Financing Authority, Revenue Bonds, Children's Hospital Los Angeles, Series 2017A: | ||||||
| 3,000 | 5.000%, 8/15/42 | 8/27 at 100.00 | BBB+ | 3,416,790 | ||
| 3,000 | 5.000%, 8/15/47 | 8/27 at 100.00 | BBB+ | 3,374,130 | ||
| 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 | 4,447,236 | ||
| 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- | 925,218 | ||
| 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- | 2,060,498 | ||
| 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 | 6,236,280 | ||
| 250 | California Municipal Finance Authority, Revenue Bonds, Eisenhower Medical Center, Refunding Series 2017A, 5.000%, 7/01/42 | 7/27 at 100.00 | Baa2 | 283,907 | ||
| California Municipal Finance Authority, Revenue Bonds, NorthBay Healthcare Group, Series 2017A: | ||||||
| 1,810 | 5.250%, 11/01/36 | 11/26 at 100.00 | BBB- | 2,047,219 | ||
| 10,310 | 5.250%, 11/01/47 | 11/26 at 100.00 | BBB- | 11,361,311 | ||
| 5,000 | 5.000%, 11/01/47 | 11/26 at 100.00 | BBB- | 5,440,900 | ||
| 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- | 2,201,960 | ||
| 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- | 2,777,450 |
52
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | Value | ||
| Health Care (continued) | ||||||
| California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda University Medical Center, Series 2014A: | ||||||
| $ 5,295 | 5.250%, 12/01/34 | 12/24 at 100.00 | BB | $5,790,135 | ||
| 6,000 | 5.250%, 12/01/44 | 12/24 at 100.00 | BB | 6,453,600 | ||
| 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 | 2,620,440 | ||
| 5,000 | 5.000%, 12/01/46, 144A | 6/26 at 100.00 | BB | 5,424,650 | ||
| 9,250 | 5.250%, 12/01/56, 144A | 6/26 at 100.00 | BB | 9,960,677 | ||
| 8,400 | California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda University Medical Center, Series 2018A, 5.500%, 12/01/58, 144A | 6/28 at 100.00 | BB | 9,249,240 | ||
| 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+ | 1,552,141 | ||
| 1,000 | 5.000%, 3/01/45 | 3/26 at 100.00 | A+ | 1,161,650 | ||
| 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- | 28,820 | ||
| California Statewide Communities Development Authority, Revenue Bonds, John Muir Health, Series 2016A: | ||||||
| 100 | 5.000%, 8/15/46 | 8/26 at 100.00 | A+ | 115,916 | ||
| 235 | 5.000%, 8/15/51 | 8/26 at 100.00 | A+ | 271,524 | ||
| California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005A: | ||||||
| 2,000 | 5.750%, 7/01/24 (3) | 10/20 at 100.00 | N/R | 1,838,640 | ||
| 2,380 | 5.750%, 7/01/30 (3) | 10/20 at 100.00 | N/R | 2,185,007 | ||
| 155 | 5.750%, 7/01/35 (3) | 10/20 at 100.00 | N/R | 142,195 | ||
| 2,240 | California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005G, 5.500%, 7/01/22 (3) | 10/20 at 100.00 | N/R | 2,060,979 | ||
| 3,390 | Kaweah Delta Health Care District, California, Revenue Bonds, Series 2015B, 5.000%, 6/01/40 | 6/25 at 100.00 | A3 | 3,823,039 | ||
| 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 | B+ | 1,346,748 | ||
| 1,580 | Oak Valley Hospital District, Stanislaus County, California, Revenue Bonds, Series 2010A, 7.000%, 11/01/35 | 11/20 at 100.00 | BB | 1,597,427 | ||
| 1,630 | Upland, California, Certificates of Participation, San Antonio Regional Hospital, Series 2017, 5.000%, 1/01/47 | 1/28 at 100.00 | BBB | 1,804,296 | ||
| 151,425 | Total Health Care | 169,314,303 | ||||
| Housing/Multifamily – 3.1% | ||||||
| 12,000 | California Community Housing Agency, California, Essential Housing Revenue Bonds, Serenity at Larkspur Apartments, Series 2020A, 5.000%, 2/01/50, 144A | 2/30 at 100.00 | N/R | 13,597,320 | ||
| 3,375 | California Community Housing Agency, California, Essential Housing Revenue Bonds, Verdant at Green Valley Apartments, Series 2019A, 5.000%, 8/01/49, 144A | 8/29 at 100.00 | N/R | 3,803,760 | ||
| 21,320 | California Community Housing Agency, Workforce Housing Revenue Bonds, Annadel Apartments, Series 2019A, 5.000%, 4/01/49, 144A | 4/29 at 100.00 | N/R | 23,940,868 |
53
Nuveen California Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | Value | ||
| Housing/Multifamily (continued) | ||||||
| $ 11,712 | California Housing Finance Agency, Municipal Certificate Revenue Bonds, Class A Series 2019-2, 4.000%, 3/20/33 | No Opt. Call | BBB+ | $12,941,059 | ||
| 1,577 | California Housing Finance Agency, Municipal Certificate Revenue Bonds, Class A Series2019-1, 4.250%, 1/15/35 | No Opt. Call | BBB+ | 1,778,538 | ||
| 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+ | 187,760 | ||
| 455 | 5.250%, 8/15/49 | 8/24 at 100.00 | BBB+ | 498,571 | ||
| 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 | 1,668,211 | ||
| 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 | 1,074,090 | ||
| 3,670 | California Statewide Community Development Authority, Multifamily Housing Revenue Senior Bonds, Westgate Courtyards Apartments, Series 2001X-1, 5.420%, 12/01/34 – AMBAC Insured (AMT) | 10/20 at 100.00 | N/R | 3,673,523 | ||
| 1,215 | 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 | 1,320,608 | ||
| 1,245 | San Dimas Housing Authority, California, Mobile Home Park Revenue Bonds, Charter Oak Mobile Home Estates Acquisition Project, Series 1998A, 5.700%, 7/01/28 | 10/20 at 100.00 | N/R | 1,247,540 | ||
| 525 | San Jose, California, Multifamily Housing Senior Lien Revenue Bonds, Fallen Leaves Apartments, Series 2002J1, 4.950%, 12/01/22 – AMBAC Insured (AMT) | 10/20 at 100.00 | N/R | 526,071 | ||
| 59,844 | Total Housing/Multifamily | 66,257,919 | ||||
| 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 | 1,459,760 | ||
| Tax Obligation/General – 18.2% | ||||||
| 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 | 954,820 | ||
| 4,475 | Alameda Unified School District, Alameda County, California, General Obligation Bonds, Election 2014 Series 2019C, 3.000%, 8/01/42 | 8/27 at 100.00 | AA | 4,669,349 | ||
| 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 | A1 | 4,561,600 | ||
| 2,585 | Anaheim Union High School District, Orange County, California, General Obligation Bonds, 2014 Election Series 2019, 3.000%, 8/01/40 | 8/27 at 100.00 | AAA | 2,727,149 | ||
| 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 | 10,170,858 | ||
| 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 | 5,223,880 | ||
| 3,565 | California State, General Obligation Bonds, Refunding Various Purpose Series 2016, 5.000%, 9/01/32 | 9/26 at 100.00 | Aa2 | 4,441,420 | ||
| 1,205 | California State, General Obligation Bonds, Various Purpose Refunding Series 2014, 5.000%, 8/01/33 | 8/24 at 100.00 | Aa2 | 1,407,139 | ||
| 21,830 | California State, General Obligation Bonds, Various Purpose Refunding Series 2015, 5.000%, 8/01/33 | 2/25 at 100.00 | Aa2 | 25,937,096 |
54
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | Value | ||
| Tax Obligation/General (continued) | ||||||
| $ 6,725 | California State, General Obligation Bonds, Various Purpose Refunding Series 2016, 5.000%, 9/01/34 | 9/26 at 100.00 | Aa2 | $8,342,699 | ||
| California State, General Obligation Bonds, Various Purpose Series 2010: | ||||||
| 5,000 | 5.250%, 3/01/30 | 10/20 at 100.00 | Aa2 | 5,019,800 | ||
| 4,000 | 5.250%, 11/01/40 | 11/20 at 100.00 | Aa2 | 4,031,120 | ||
| 2,000 | California State, General Obligation Bonds, Various Purpose Series 2011, 5.250%, 10/01/32 | 10/21 at 100.00 | Aa2 | 2,104,680 | ||
| California State, General Obligation Bonds, Various Purpose Series 2013: | ||||||
| 5,860 | 5.000%, 2/01/38 | 2/23 at 100.00 | Aa2 | 6,465,748 | ||
| 1,430 | 5.000%, 2/01/43 | 2/23 at 100.00 | Aa2 | 1,576,361 | ||
| California State, General Obligation Bonds, Various Purpose Series 2014: | ||||||
| 1,940 | 5.000%, 10/01/37 | 10/24 at 100.00 | Aa2 | 2,269,781 | ||
| 2,470 | 5.000%, 5/01/44 | 5/24 at 100.00 | Aa2 | 2,831,830 | ||
| California State, General Obligation Bonds, Various Purpose Series 2015: | ||||||
| 3,000 | 5.000%, 3/01/45 | 3/25 at 100.00 | Aa2 | 3,516,300 | ||
| 3,000 | 5.000%, 8/01/45 | 8/25 at 100.00 | Aa2 | 3,561,600 | ||
| 4,375 | California State, General Obligation Bonds, Various Purpose Series 2016, 5.000%, 9/01/46 | 9/26 at 100.00 | Aa2 | 5,341,525 | ||
| 7,200 | California State, General Obligation Bonds, Various Purpose Series 2017, 5.000%, 8/01/46 | 8/26 at 100.00 | Aa2 | 8,774,208 | ||
| 18,340 | California State, General Obligation Bonds, Various Purpose Series 2018, 5.000%, 10/01/47 | 4/26 at 100.00 | Aa2 | 22,113,272 | ||
| 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 | Aa2 | 6,540,481 | ||
| California State, General Obligation Bonds, Various Purpose Series 2019: | ||||||
| 3,725 | 5.000%, 4/01/30 | 4/29 at 100.00 | Aa2 | 4,983,864 | ||
| 6,580 | 5.000%, 4/01/32 | 4/29 at 100.00 | Aa2 | 8,668,558 | ||
| 5,000 | 5.000%, 4/01/33 | 4/29 at 100.00 | Aa2 | 6,548,150 | ||
| 5,000 | 5.000%, 4/01/45 | 4/29 at 100.00 | Aa2 | 6,334,150 | ||
| 5,895 | California State, General Obligation Bonds, Various Purpose Series 2020, 4.000%, 3/01/50 | 3/30 at 100.00 | Aa2 | 6,974,257 | ||
| 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 | 3,583,526 | ||
| 2,500 | Coast Community College District, Orange County, California, General Obligation Bonds, Election of 2012, Series 2019F, 3.000%, 8/01/38 | 2/29 at 100.00 | AA+ | 2,699,625 | ||
| 9,500 | Glendale Community College District, Los Angeles County, California, General Obligation Bonds, Election 2016 Taxable Refunding Series 2020B, 4.000%, 8/01/50 | 8/29 at 100.00 | Aa2 | 11,120,605 | ||
| 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 | 352,976 | ||
| 345 | 5.800%, 8/01/23 – NPFG Insured | No Opt. Call | Baa2 | 398,575 | ||
| 7,000 | Hacienda La Puente Unified School District, Los Angeles County, California, General Obligation Bonds, 2016 Election, Series 2017A, 4.000%, 8/01/47 | 8/27 at 100.00 | AAA | 7,958,440 |
55
Nuveen California Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | Value | ||
| Tax Obligation/General (continued) | ||||||
| $ 30 | Long Beach Unified School District, Los Angeles County, California, General Obligation Bonds, Election of 2008, Series 2009A, 5.500%, 8/01/29 | 10/20 at 100.00 | Aa2 | $30,129 | ||
| 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 | AA+ | 6,296,600 | ||
| 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 | 109,804 | ||
| 5,000 | Manhattan Beach Unified School District, Los Angeles County, California, General Obligation Bonds, Election 2016 Measure EE Series 2018A, 4.000%, 9/01/46 | 9/28 at 100.00 | Aa1 | 5,893,800 | ||
| Mount San Antonio Community College District, Los Angeles County, California, General Obligation Bonds, Election of 2018, Series 2019A: | ||||||
| 7,400 | 5.000%, 8/01/44 | 8/29 at 100.00 | Aa1 | 9,476,736 | ||
| 2,600 | 4.000%, 8/01/49 | 8/29 at 100.00 | Aa1 | 3,048,292 | ||
| 4,000 | Ontario-Montclair School District, San Bernardino County, California, General Obligation Bonds, Election of 2016, Series 2019B, 4.000%, 8/01/48 | 8/27 at 100.00 | Aa2 | 4,544,800 | ||
| 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 | AA | 3,123,014 | ||
| 9,440 | Paramount Unified School District, Los Angeles County, California, General Obligation Bonds, Election 2006 Series 2011, 0.000%, 8/01/45 (4) | 2/33 at 100.00 | Aa3 | 11,985,307 | ||
| 7,000 | Pittsburg Unified School District Financing Authority, Contra Costa County, California, General Obligation Bonds, Pittsburg Unified School District Bond Program, Series 2019, 5.000%, 9/01/47 – AGM Insured | 9/28 at 100.00 | AA | 8,756,300 | ||
| 7,345 | Pittsburg Unified School District, Contra Costa County, California, General Obligation Bonds, Election of 2014, Series 2018C, 5.000%, 8/01/47 | 8/26 at 100.00 | AAA | 8,853,002 | ||
| 5,000 | Redwood City School District, San Mateo County, California, General Obligation Bonds, Election 2015 Series 2018, 5.250%, 8/01/44 | 8/28 at 100.00 | AAA | 6,339,600 | ||
| 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 | 2,400,290 | ||
| 5,000 | San Bernardino Community College District, California, General Obligation Bonds, Election 2018 Series 2019A, 4.000%, 8/01/49 | 8/27 at 100.00 | Aa1 | 5,722,850 | ||
| 2,000 | San Diego Community College District, San Diego County, California, General Obligation Bonds, Refunding Series 2016, 5.000%, 8/01/41 | 8/26 at 100.00 | AAA | 2,439,840 | ||
| 12,695 | San Francisco Bay Area Rapid Transit District, California, General Obligation Bonds, Election of 2016, Green Series 2017A-1, 5.000%, 8/01/47 | 8/27 at 100.00 | AAA | 15,735,452 | ||
| San Jose, California, General Obligation Bonds, Disaster Preparedness, Public Safety & Infrastructure, Series 2019A-1: | ||||||
| 10,000 | 5.000%, 9/01/45 | 3/29 at 100.00 | AA+ | 12,773,500 | ||
| 15,820 | 5.000%, 9/01/47 | 3/29 at 100.00 | AA+ | 20,164,647 | ||
| 15,400 | 5.000%, 9/01/49 | 3/29 at 100.00 | AA+ | 19,613,594 | ||
| 1,535 | San Leandro Unified School District, Alameda County, California, General Obligation Bonds, Election 2006 Series 2010C, 0.000%, 8/01/39 – AGC Insured (4) | 8/28 at 100.00 | AA | 1,485,680 | ||
| 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 | 13,070,814 | ||
| 5,000 | Santa Monica Community College District, Los Angeles County, California, General Obligation Bonds, 2016 Election Series 2018A, 5.000%, 8/01/43 | 8/28 at 100.00 | AA+ | 6,259,900 |
56
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | Value | ||
| Tax Obligation/General (continued) | ||||||
| $ 1,740 | Sonoma County Junior College District, California, General Obligation Bonds, Election 2014 Series 2019B, 3.000%, 8/01/41 | 8/29 at 100.00 | AA | $1,861,817 | ||
| 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 | 2,833,464 | ||
| 2,000 | Victor Valley Union High School District, San Bernardino County, California, General Obligation Bonds, Series 2009A, 5.750%, 8/01/31 – AGC Insured | 8/26 at 100.00 | AA | 2,555,640 | ||
| 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 | A1 | 730,611 | ||
| 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- | 1,335,543 | ||
| 5,100 | Whittier City School District, Los Angeles County, California, General Obligation Bonds, 2012 Election Series 2018C, 5.250%, 8/01/46 | 8/27 at 100.00 | Aa3 | 6,288,453 | ||
| 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 | 3,560,130 | ||
| 1,700 | Yosemite Community College District, California, General Obligation Bonds, Refunding Series 2015, 5.000%, 8/01/32 | 8/25 at 100.00 | Aa2 | 2,040,068 | ||
| 325,310 | Total Tax Obligation/General | 391,535,119 | ||||
| Tax Obligation/Limited – 16.3% | ||||||
| 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 | 1,117,793 | ||
| 1,655 | Bell Community Housing Authority, California, Lease Revenue Bonds, Series 2005, 5.000%, 10/01/36 – AMBAC Insured | 10/20 at 100.00 | N/R | 1,665,261 | ||
| 1,910 | Brea and Olinda Unified School District, Orange County, California, Certificates of Participation Refunding, Series 2002A, 5.125%, 8/01/26 – AGM Insured | 10/20 at 100.00 | AA | 1,916,838 | ||
| 2,725 | California Community College Financing Authority, Lease Revenue Bonds, Refunding Series 2003, 0.000%, 6/01/33 – AMBAC Insured | No Opt. Call | AA+ | 1,828,611 | ||
| California Infrastructure and Economic Development Bank, Lease Revenue Bonds, California State Teachers? Retirement System Headquarters Expansion, Green Bond-Climate Bond Certified Series 2019: | ||||||
| 1,800 | 5.000%, 8/01/33 | 8/29 at 100.00 | AA | 2,371,860 | ||
| 650 | 5.000%, 8/01/34 | 8/29 at 100.00 | AA | 854,002 | ||
| 2,395 | 5.000%, 8/01/36 | 8/29 at 100.00 | AA | 3,120,014 | ||
| 1,100 | 5.000%, 8/01/37 | 8/29 at 100.00 | AA | 1,428,163 | ||
| 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 | 10/20 at 100.00 | AA+ | 1,967,644 | ||
| 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 | Aa3 | 2,320,860 | ||
| 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 | Aa3 | 5,990,349 | ||
| 2,600 | 5.000%, 10/01/33 | 10/24 at 100.00 | Aa3 | 3,039,686 | ||
| 3,820 | 5.000%, 10/01/34 | 10/24 at 100.00 | Aa3 | 4,460,958 | ||
| 2,000 | 5.000%, 10/01/39 | 10/24 at 100.00 | Aa3 | 2,326,840 |
57
Nuveen California Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| $ 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 | Aa3 | $1,111,590 | ||
| 720 | 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 | 697,306 | ||
| 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- | 2,181,587 | ||
| 2,165 | 5.500%, 9/01/29 | 9/23 at 100.00 | AA- | 2,456,972 | ||
| 1,520 | 5.500%, 9/01/30 | 9/23 at 100.00 | AA- | 1,720,731 | ||
| 660 | Compton Community Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Projects, Housing Second Lien Series 2010A, 5.500%, 8/01/30 | 10/20 at 100.00 | N/R | 661,907 | ||
| 1,425 | Compton Community Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Projects, Second Lien Series 2010B, 5.000%, 8/01/25 | 10/20 at 100.00 | N/R | 1,429,275 | ||
| 3,200 | Dublin, California, Special Tax Bonds, Community Facilities District 2015-1 Improvement Area 2 Dublin Crossing, Series 2019, 5.000%, 9/01/39 | 9/26 at 103.00 | N/R | 3,660,288 | ||
| 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 | 1,793,940 | ||
| 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 | Aa3 | 44,583,498 | ||
| 22,330 | 5.000%, 6/01/45 | 6/25 at 100.00 | Aa3 | 25,814,596 | ||
| Government of Guam, Business Privilege Tax Bonds, Refunding Series 2015D: | ||||||
| 7,500 | 5.000%, 11/15/28 | 11/25 at 100.00 | BB | 8,400,600 | ||
| 6,375 | 5.000%, 11/15/29 | 11/25 at 100.00 | BB | 7,119,536 | ||
| 3,725 | 5.000%, 11/15/39 | 11/25 at 100.00 | BB | 4,063,491 | ||
| 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 | 1,744,345 | ||
| 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 | 1,090,320 | ||
| 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 | 1,216,287 | ||
| 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 | 550,730 | ||
| 750 | 5.000%, 9/01/44 | 9/24 at 100.00 | N/R | 819,698 | ||
| 2,660 | Irwindale Community Redevelopment Agency, California, Tax Allocation Bonds, City Industrial Development Project, Refunding Series 2006, 5.250%, 7/15/21 – AGM Insured | No Opt. Call | AA | 2,738,869 | ||
| 3,260 | Jurupa Community Services District, California, Special Tax Bonds, Community Facilities District 33 Eastvale Area, Series 2014, 5.000%, 9/01/43 | 9/24 at 100.00 | N/R | 3,544,859 | ||
| 150 | Jurupa Public Financing Authority, California, Special Tax Revenue Bonds, Series 2015A, 5.000%, 9/01/23 | No Opt. Call | A+ | 170,037 | ||
| 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 | 862,388 |
58
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| $ 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 | $1,799,253 | ||
| 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 | 1,102,320 | ||
| 1,750 | 6.000%, 9/01/43 | 9/23 at 100.00 | N/R | 1,926,872 | ||
| 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 | 10/20 at 100.00 | AA | 1,876,844 | ||
| 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 | 10/20 at 100.00 | AA | 1,124,099 | ||
| 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 | 1,112,180 | ||
| 1,800 | Los Angeles County Metropolitan Transportation Authority, California, Measure R Sales Tax Revenue Bonds, Refunding Junior Subordinate Green Series 2020A, 4.000%, 6/01/35 | 6/30 at 100.00 | AA | 2,212,110 | ||
| 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 | 2,304,450 | ||
| 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 | 18,842,393 | ||
| 5,075 | 5.000%, 7/01/42 | 7/27 at 100.00 | AAA | 6,308,276 | ||
| Los Angeles County Public Works Financing Authority, California, Lease Revenue Bonds, Series 2019E-1: | ||||||
| 8,000 | 5.000%, 12/01/44 | 12/29 at 100.00 | AA+ | 10,159,680 | ||
| 3,495 | 5.000%, 12/01/49 | 12/29 at 100.00 | AA+ | 4,412,053 | ||
| 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 | 485,243 | ||
| 760 | 5.000%, 9/01/33 – BAM Insured | 9/25 at 100.00 | AA | 870,162 | ||
| 1,600 | 5.000%, 9/01/35 – BAM Insured | 9/25 at 100.00 | AA | 1,824,160 | ||
| 115 | 5.000%, 9/01/36 – BAM Insured | 9/25 at 100.00 | AA | 130,779 | ||
| 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+ | 1,668,638 | ||
| 595 | ndio, 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 | 668,429 | ||
| 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 | 3,816,735 | ||
| 3,215 | 5.000%, 9/01/36 – AGM Insured | 9/25 at 100.00 | AA | 3,765,987 | ||
| 255 | 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 | 284,840 |
59
Nuveen California Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| Patterson Public Finance Authority, California, Revenue Bonds, Community Facilities District 2001-1, Senior Series 2013A: | ||||||
| $ 2,645 | 5.250%, 9/01/30 | 9/23 at 100.00 | N/R | $2,897,465 | ||
| 2,365 | 5.750%, 9/01/39 | 9/23 at 100.00 | N/R | 2,581,539 | ||
| 395 | 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 | 432,580 | ||
| Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Restructured 2018A-1: | ||||||
| 6,940 | 0.000%, 7/01/33 | 7/28 at 86.06 | N/R | 4,704,140 | ||
| 6,112 | 4.500%, 7/01/34 | 7/25 at 100.00 | N/R | 6,468,819 | ||
| 672 | 4.550%, 7/01/40 | 7/28 at 100.00 | N/R | 715,667 | ||
| 35,191 | 5.000%, 7/01/58 | 7/28 at 100.00 | N/R | 37,573,431 | ||
| 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+ | 1,847,744 | ||
| 2,800 | 5.000%, 9/01/31 | 9/24 at 100.00 | AA+ | 3,224,116 | ||
| 2,400 | 5.000%, 9/01/32 | 9/24 at 100.00 | AA+ | 2,753,736 | ||
| 410 | Rancho Cucamonga, California, Limited Obligation Improvement Bonds, Masi Plaza Assessment District 93-1, Series 1997, 6.250%, 9/02/22 | 3/21 at 100.00 | N/R | 418,167 | ||
| 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 | 106,763 | ||
| 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 | 1,162,940 | ||
| 1,000 | 5.000%, 9/01/29 | 9/25 at 100.00 | N/R | 1,158,120 | ||
| 1,000 | 5.000%, 9/01/30 | 9/25 at 100.00 | N/R | 1,149,930 | ||
| 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 | 8,505,746 | ||
| Sacramento Area Flood Control Agency, California, Consolidated Capital Assessment District 2 Bonds, Series 2020: | ||||||
| 2,445 | 4.000%, 10/01/39 | 10/30 at 100.00 | AA | 2,936,298 | ||
| 2,000 | 4.000%, 10/01/47 | 10/30 at 100.00 | AA | 2,357,420 | ||
| 325 | Sacramento City Financing Authority, California, Lease Revenue Refunding Bonds, Series 1993A, 5.400%, 11/01/20 – AMBAC Insured | No Opt. Call | AA- | 327,694 | ||
| 95 | Sacramento City Financing Authority, California, Lease Revenue Refunding Bonds, Series 1993B, 5.400%, 11/01/20 | No Opt. Call | AAA | 95,788 | ||
| 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 | 222,526 | ||
| 5,000 | San Diego County Regional Transportation Commission, California, Sales Tax Revenue Bonds, Limited Tax Series 2016A, 5.000%, 4/01/48 | 4/26 at 100.00 | AAA | 6,007,700 | ||
| 2,000 | San Francisco Bay Area Rapid Transit District, California, Sales Tax Revenue Bonds, Series 2019A, 3.000%, 7/01/44 | 7/27 at 100.00 | AA+ | 2,110,640 |
60
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| $ 420 | 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 | $446,258 | ||
| 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 | 2,011,206 | ||
| 4,000 | San Francisco City and County, California, Certificates of Participation, 49 South Van Ness Avenue Project, Green Series 2019A, 4.000%, 4/01/35 | 4/27 at 100.00 | AA+ | 4,692,040 | ||
| 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+ | 5,275,232 | ||
| 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 | 185,846 | ||
| 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 | 2,466,725 | ||
| 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 | 113,459 | ||
| 3,120 | Transbay Joint Powers Authority, California, Tax Allocation Bonds, Senior Green Series 2020A, 5.000%, 10/01/45 | 4/30 at 100.00 | A- | 3,882,622 | ||
| Tustin, California, Special Tax Bonds, Community Facilities District 06-1 Tustin Legacy/Columbus Villages, Refunding Series 2015A: | ||||||
| 1,000 | 5.000%, 9/01/34 | 9/25 at 100.00 | A- | 1,178,530 | ||
| 1,715 | 5.000%, 9/01/35 | 9/25 at 100.00 | A- | 2,015,880 | ||
| 395 | 5.000%, 9/01/37 | 9/25 at 100.00 | A- | 461,988 | ||
| Tustin, California,Special Tax Bonds, Community Facilities District 14-1 Tustin Legacy/Standard Pacific, Refunding Series 2015A: | ||||||
| 50 | 5.000%, 9/01/40 | 9/25 at 100.00 | N/R | 55,657 | ||
| 100 | 5.000%, 9/01/45 | 9/25 at 100.00 | N/R | 110,538 | ||
| 25 | Vernon Redevelopment Agency, California, Tax Allocation Bonds, Industrial Redevelopment Project, Series 2005, 5.000%, 9/01/35 – NPFG Insured | 10/20 at 100.00 | Baa2 | 25,524 | ||
| Vista Community Development Commission Taxable Non-Housing Tax Allocation Revenue Bonds, California, Vista Redevelopment Project, Series 2011: | ||||||
| 7,600 | 6.000%, 9/01/33 | 9/21 at 100.00 | AA- | 7,907,724 | ||
| 7,920 | 6.125%, 9/01/37 | 9/21 at 100.00 | AA- | 8,234,741 | ||
| 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+ | 1,602,755 | ||
| 311,555 | Total Tax Obligation/Limited | 349,962,926 | ||||
| Transportation – 14.6% | ||||||
| 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+ | 2,337,700 | ||
| 2,570 | 5.000%, 10/01/37 | 10/26 at 100.00 | BBB+ | 2,978,784 | ||
| 50 | Alameda Corridor Transportation Authority, California, Revenue Bonds, Refunding Subordinate Lien Series 2016A, 5.000%, 10/01/25 | No Opt. Call | BBB+ | 59,708 | ||
| 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- | 9,985,200 |
61
Nuveen California Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | Value | ||
| Transportation (continued) | ||||||
| California Municipal Finance Authority, Revenue Bonds, Linxs APM Project, Senior Lien Series 2018A: | ||||||
| $ 4,750 | 5.000%, 12/31/43 (AMT) | 6/28 at 100.00 | BBB- | $5,458,130 | ||
| 8,595 | 4.000%, 12/31/47 (AMT) | 6/28 at 100.00 | A2 | 9,163,731 | ||
| 4,075 | 5.000%, 12/31/47 (AMT) | 6/28 at 100.00 | BBB- | 4,663,186 | ||
| 2,095 | California Municipal Finance Authority, Special Facility Revenue Bonds, United Airlines, Inc Los Angeles International Airport Project, Series 2019, 4.000%, 7/15/29 (AMT) | No Opt. Call | B+ | 2,096,467 | ||
| 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+ | 4,292,984 | ||
| 8,335 | Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Bonds, Refunding Series 2013A, 5.750%, 1/15/46 | 1/24 at 100.00 | A- | 9,280,022 | ||
| Long Beach, California, Harbor Revenue Bonds, Series 2015D: | ||||||
| 1,000 | 5.000%, 5/15/33 | 5/25 at 100.00 | AA | 1,173,650 | ||
| 2,785 | 5.000%, 5/15/34 | 5/25 at 100.00 | AA | 3,262,182 | ||
| 5,120 | Long Beach, California, Harbor Revenue Bonds, Series 2019A, 5.000%, 5/15/44 | 5/29 at 100.00 | Aa2 | 6,340,454 | ||
| Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Private Activity/AMT Subordinate Series 2019A: | ||||||
| 1,700 | 5.000%, 5/15/36 (AMT) | 5/29 at 100.00 | Aa3 | 2,107,422 | ||
| 4,800 | 5.000%, 5/15/37 (AMT) | 5/29 at 100.00 | Aa3 | 5,929,728 | ||
| 1,325 | Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Refunding Senior Lien Series 2018B, 5.000%, 5/15/32 (AMT) | 5/28 at 100.00 | Aa2 | 1,637,965 | ||
| 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 | Aa2 | 3,622,116 | ||
| 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 | Aa2 | 293,685 | ||
| 600 | 5.000%, 5/15/33 | 5/25 at 100.00 | Aa2 | 702,444 | ||
| 1,305 | 5.000%, 5/15/35 | 5/25 at 100.00 | Aa2 | 1,521,317 | ||
| 355 | 5.000%, 5/15/41 | 5/25 at 100.00 | Aa2 | 409,290 | ||
| 10,000 | Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Senior Lien Series 2020C, 5.000%, 5/15/40 (AMT) | 5/30 at 100.00 | Aa2 | 12,402,000 | ||
| 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 | Aa3 | 2,595,077 | ||
| 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 | Aa3 | 18,327,715 | ||
| 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 | Aa3 | 12,896,496 | ||
| 6,995 | 5.250%, 5/15/48 (AMT) | 5/28 at 100.00 | Aa3 | 8,439,957 |
62
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | Value | ||
| Transportation (continued) | ||||||
| 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 | Aa3 | $2,340,266 | ||
| 1,800 | 5.000%, 5/15/38 (AMT) | 11/27 at 100.00 | Aa3 | 2,164,932 | ||
| 12,665 | 5.000%, 5/15/44 (AMT) | 11/27 at 100.00 | Aa3 | 15,031,962 | ||
| Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Subordinate Lien Series 2019D: | ||||||
| 3,585 | 5.000%, 5/15/32 (AMT) | 11/28 at 100.00 | Aa3 | 4,486,126 | ||
| 1,025 | 5.000%, 5/15/34 (AMT) | 11/28 at 100.00 | Aa3 | 1,271,605 | ||
| 2,000 | 5.000%, 5/15/35 (AMT) | 11/28 at 100.00 | Aa3 | 2,472,260 | ||
| 2,500 | 5.000%, 5/15/36 (AMT) | 11/28 at 100.00 | Aa3 | 3,078,075 | ||
| 2,765 | 5.000%, 5/15/39 (AMT) | 11/28 at 100.00 | Aa3 | 3,374,157 | ||
| Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Subordinate Lien Series 2019F: | ||||||
| 5,675 | 5.000%, 5/15/34 (AMT) | 5/29 at 100.00 | Aa3 | 7,091,253 | ||
| 5,000 | 5.000%, 5/15/36 (AMT) | 5/29 at 100.00 | Aa3 | 6,198,300 | ||
| Riverside County Transportation Commission, California, Toll Revenue Senior Lien Bonds, Series 2013A: | ||||||
| 3,500 | 5.750%, 6/01/44 | 6/23 at 100.00 | A | 3,819,270 | ||
| 8,250 | 5.750%, 6/01/48 | 6/23 at 100.00 | A | 8,987,715 | ||
| San Diego County Regional Airport Authority, California, Airport Revenue Bonds, Refunding Subordinate Series 2019A: | ||||||
| 4,500 | 5.000%, 7/01/44 | 7/29 at 100.00 | A+ | 5,552,685 | ||
| 3,500 | 5.000%, 7/01/49 | 7/29 at 100.00 | A+ | 4,299,120 | ||
| 5,340 | San Diego County Regional Airport Authority, California, Airport Revenue Bonds, Subordinate Series 2019B, 5.000%, 7/01/49 (AMT) | 7/29 at 100.00 | A+ | 6,421,136 | ||
| 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 | A1 | 2,714,897 | ||
| 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 | A1 | 7,568,405 | ||
| 13,070 | 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 | A1 | 15,074,284 | ||
| San Francisco Airports Commission, California, Revenue Bonds, San Francisco International Airport, Second Series 2017A: | ||||||
| 10,000 | 5.250%, 5/01/42 (AMT) | 5/27 at 100.00 | A1 | 12,012,100 | ||
| 10,955 | 5.000%, 5/01/47 (AMT) | 5/27 at 100.00 | A | 12,864,128 | ||
| San Francisco Airports Commission, California, Revenue Bonds, San Francisco International Airport, Second Series 2018D: | ||||||
| 5,000 | 5.250%, 5/01/48 (AMT) | 5/28 at 100.00 | A1 | 6,047,800 | ||
| 5,000 | 5.000%, 5/01/48 (AMT) | 5/28 at 100.00 | A1 | 5,940,900 | ||
| 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 | A1 | 6,003,100 |
63
Nuveen California Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | Value | ||
| Transportation (continued) | ||||||
| $ 12,500 | San Francisco Airports Commission, California, Revenue Bonds, San Francisco International Airport, Second Series 2019A, 5.000%, 5/01/44 (AMT) | 5/29 at 100.00 | A1 | $15,180,500 | ||
| 9,300 | San Francisco Airports Commission, California, Revenue Bonds, San Francisco International Airport, Second Series 2019E, 5.000%, 5/01/50 (AMT) | 5/29 at 100.00 | A1 | 11,215,707 | ||
| San Joaquin Hills Transportation Corridor Agency, Orange County, California, Toll Road Revenue Bonds, Refunding Junior Lien Series 2014B: | ||||||
| 4,000 | 5.250%, 1/15/44 | 1/25 at 100.00 | BBB+ | 4,431,280 | ||
| 6,000 | 5.250%, 1/15/49 | 1/25 at 100.00 | BBB+ | 6,624,360 | ||
| 265,990 | Total Transportation | 314,243,733 | ||||
| U.S. Guaranteed – 4.9% (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 | 1,869,929 | ||
| 2,000 | 7.250%, 3/01/36 (Pre-refunded 3/01/21) | 3/21 at 100.00 | N/R | 2,068,700 | ||
| 1,000 | Beaumont Financing Authority, California, Local Agency Revenue Bonds, Improvement Area 17B, Series 2011A, 6.125%, 9/01/31 (Pre-refunded 9/01/21) | 9/21 at 100.00 | N/R | 1,058,480 | ||
| 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- | 972,752 | ||
| 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 | 2,048,065 | ||
| 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+ | 3,290,040 | ||
| 4,000 | 5.000%, 9/01/34 (Pre-refunded 9/01/22) | 9/22 at 100.00 | A+ | 4,386,720 | ||
| 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 | 2,086,100 | ||
| 1,700 | California Statewide Communities Development Authority, School Facility Revenue Bonds, Alliance College-Ready Public Schools, Series 2011A, 7.000%, 7/01/46 (Pre-refunded 7/01/21) | 7/21 at 100.00 | N/R | 1,794,401 | ||
| 500 | Corona-Norco Unified School District, Riverside County, California, General Obligation Bonds, Capital Appreciation, Election 2006 Refunding Series 2009C, 6.800%, 8/01/39 (Pre-refunded 8/01/27) – AGM Insured | 8/27 at 100.00 | AA | 705,085 | ||
| 1,060 | Davis Redevelopment Agency, California, Tax Allocation Bonds, Davis Redevelopment Project, Subordinate Series 2011A, 7.000%, 12/01/36 (Pre-refunded 12/01/21) | 12/21 at 100.00 | A+ | 1,148,754 | ||
| Fontana Unified School District, San Bernardino County, California, General Obligation Bonds, Refunding Series 2012: | ||||||
| 11,200 | 0.000%, 8/01/40 (Pre-refunded 8/01/22) | 8/22 at 36.36 | Aa3 | 4,047,680 | ||
| 19,700 | 0.000%, 8/01/41 (Pre-refunded 8/01/22) | 8/22 at 34.18 | Aa3 | 6,693,272 | ||
| 8,415 | Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Bonds, Refunding Series 2013A, 6.000%, 1/15/53 (Pre-refunded 1/15/24) | 1/24 at 100.00 | A- | 10,040,610 | ||
| 2,550 | Guam International Airport Authority, Revenue Bonds, Series 2013C, 5.000%, 10/01/21 (AMT) (ETM) | No Opt. Call | BBB+ | 2,544,160 |
64
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | 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 | $2,074,027 | ||
| 515 | 5.125%, 1/01/33 (Pre-refunded 1/01/21) | 1/21 at 100.00 | N/R | 523,374 | ||
| 1,260 | 5.200%, 1/01/34 (Pre-refunded 1/01/21) | 1/21 at 100.00 | N/R | 1,280,803 | ||
| 4,125 | 5.250%, 1/01/35 (Pre-refunded 1/01/21) | 1/21 at 100.00 | N/R | 4,193,805 | ||
| 275 | 5.250%, 1/01/37 (Pre-refunded 1/01/21) | 1/21 at 100.00 | N/R | 279,587 | ||
| 4,580 | 5.250%, 1/01/42 (Pre-refunded 1/01/21) | 1/21 at 100.00 | N/R | 4,656,394 | ||
| 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 | 660,862 | ||
| 3,455 | 7.000%, 8/01/32 (Pre-refunded 8/01/21) | 8/21 at 100.00 | A | 3,668,070 | ||
| 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 | 2,443,500 | ||
| 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 | 3,659,727 | ||
| 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 | 1,106,520 | ||
| 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- | 1,102,423 | ||
| 1,115 | Rio Elementary School District, California, Special Tax Bonds, Community Facilities District 1, Series 2013, 5.500%, 9/01/39 (Pre-refunded 9/01/23) | 9/23 at 100.00 | N/R | 1,288,594 | ||
| 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 | N/R | 2,964,484 | ||
| 480 | 6.500%, 10/01/40 (Pre-refunded 10/01/20) | 10/20 at 100.00 | N/R | 482,458 | ||
| 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+ | 7,370,430 | ||
| 3,125 | Rosemead School District, Los Angeles County, California, General Obligation Bonds, Election 2008 Series 2013B, 5.850%, 8/01/43 (Pre-refunded 8/01/23) – AGM Insured | 8/23 at 100.00 | AA | 3,635,750 | ||
| 2,000 | San Diego Unified School District, San Diego County, California, General Obligation Bonds, Series 2009A, 6.000%, 7/01/33 (Pre-refunded 7/01/24) | 7/24 at 100.00 | Aa2 | 2,438,140 | ||
| 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- | 1,217,196 | ||
| 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+ | 82,205 | ||
| 105 | 7.000%, 8/01/41 (Pre-refunded 2/01/21) | 2/21 at 100.00 | BBB+ | 107,894 | ||
| 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+ | 1,052,930 | ||
| 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 | N/R | 2,210,171 |
65
Nuveen California Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | Value | ||
| U.S. Guaranteed (5) (continued) | ||||||
| $ 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 | $3,591,455 | ||
| 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 | N/R | 529,505 | ||
| 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 | N/R | 1,266,184 | ||
| 1,045 | Ukiah Redevelopment Agency, California, Tax Allocation Bonds, Ukiah Redevelopment Project, Series 2011A, 6.500%, 12/01/28 (Pre-refunded 6/01/21) | 6/21 at 100.00 | A+ | 1,093,645 | ||
| 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+ | 258,420 | ||
| 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 | 3,097,760 | ||
| 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 (Pre-refunded 8/01/24) | 8/24 at 100.00 | Aa1 | 1,651,722 | ||
| 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 | 339,808 | ||
| 131,085 | Total U.S. Guaranteed | 105,082,591 | ||||
| Utilities – 11.2% | ||||||
| California Pollution Control Financing Authority, Water Furnishing Revenue Bonds, Poseidon Resources Channelside LP Desalination Project, Series 2012: | ||||||
| 8,500 | 5.000%, 7/01/37 (AMT), 144A | 7/22 at 100.00 | BBB | 8,869,835 | ||
| 21,560 | 5.000%, 11/21/45 (AMT), 144A | 7/22 at 100.00 | BBB | 22,407,739 | ||
| 3,565 | 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 | BBB | 4,152,655 | ||
| 2,750 | California Statewide Communities Development Authority, Pollution Control Revenue Bonds, Southern California Edison Company, Refunding Series 2006D, 2.625%, 11/01/33 (Mandatory Put 12/01/23) | No Opt. Call | A- | 2,894,375 | ||
| 10,725 | California Statewide Communities Development Authority, Pollution Control Revenue Bonds, Southern California Edison Company, Series 2006C, 2.625%, 11/01/33 (Mandatory Put 12/01/23) | No Opt. Call | A- | 11,288,062 | ||
| 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 | Aa2 | 2,283,504 | ||
| 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 | Aa2 | 3,982,209 | ||
| 6,445 | 5.000%, 7/01/46 | 1/26 at 100.00 | Aa2 | 7,714,407 | ||
| 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 | Aa2 | 5,052,562 | ||
| 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 | Aa2 | 36,498,454 |
66
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | Value | ||
| Utilities (continued) | ||||||
| $ 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 | Aa2 | $50,133,000 | ||
| 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 | Aa2 | 8,820,840 | ||
| 15,435 | Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2018D, 5.000%, 7/01/38 | 7/28 at 100.00 | Aa2 | 19,710,341 | ||
| Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2019A: | ||||||
| 8,000 | 5.000%, 7/01/45 | 1/29 at 100.00 | Aa2 | 10,115,760 | ||
| 5,000 | 5.250%, 7/01/49 | 1/29 at 100.00 | Aa2 | 6,419,150 | ||
| 9,555 | 5.000%, 7/01/49 | 1/29 at 100.00 | Aa2 | 12,038,918 | ||
| 5,000 | Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2019C, 5.000%, 7/01/49 | 7/29 at 100.00 | AA- | 6,372,300 | ||
| 10,030 | Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2020B, 5.000%, 7/01/40 | 7/30 at 100.00 | Aa2 | 13,198,377 | ||
| 500 | Northern California Energy Authority, California, Commodity Supply Revenue Bonds, Series 2018A, 4.000%, 7/01/49 (Mandatory Put 7/01/24) | No Opt. Call | A | 558,160 | ||
| 5,645 | Riverside, California, Electric Revenue Bonds, Refunding Series 2019A, 5.000%, 10/01/48 | 4/29 at 100.00 | AA- | 7,104,910 | ||
| 199,865 | Total Utilities | 239,615,558 | ||||
| Water and Sewer – 14.7% | ||||||
| 3,460 | California Department of Water Resources, Central Valley Project Water System Revenue Bonds, Series 2020BB, 5.000%, 12/01/34 | 12/30 at 100.00 | AAA | 4,770,994 | ||
| 290 | California Statewide Community Development Authority, Water and Wastewater Revenue Bonds, Pooled Financing Program, Series 2003A, 5.250%, 10/01/23 – AGM Insured | 10/20 at 100.00 | AA | 291,169 | ||
| 405 | Compton, California, Sewer Revenue Bonds, Refunding Series 1998, 5.375%, 9/01/23 – NPFG Insured | 9/20 at 100.00 | Baa2 | 406,754 | ||
| 9,315 | Contra Costa Water District, Contra Costa County, California, Water Revenue Bonds, Refunding Series 2019V, 5.000%, 10/01/49 | 10/29 at 100.00 | AA+ | 12,007,594 | ||
| 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 | 10,872,312 | ||
| 8,300 | 5.000%, 6/01/45 | 6/27 at 100.00 | AAA | 10,262,369 | ||
| 15,265 | East Bay Municipal Utility District, Alameda and Contra Costa Counties, California, Water System Revenue Bonds, Green Series 2019A, 5.000%, 6/01/44 | 6/29 at 100.00 | AAA | 19,886,784 | ||
| 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 | 6,797,210 | ||
| 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+ | 1,796,355 | ||
| 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 | 7,286,760 | ||
| 4,000 | Livermore Valley Water Financing Authority, California, Water Revenue Bonds, Series 2018A, 5.000%, 7/01/47 | 7/27 at 100.00 | AA+ | 4,825,480 |
67
Nuveen California Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | Value | ||
| Water and Sewer (continued) | ||||||
| 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+ | $4,245,904 | ||
| 4,955 | 5.000%, 7/01/35 | 1/26 at 100.00 | AA+ | 6,054,267 | ||
| 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+ | 12,861,631 | ||
| 5,000 | 5.250%, 7/01/44 | 1/27 at 100.00 | AA+ | 6,191,150 | ||
| 3,445 | Los Angeles Department of Water and Power, California, Waterworks Revenue Bonds, Series 2018B, 5.000%, 7/01/48 | 7/28 at 100.00 | AA+ | 4,330,227 | ||
| 4,930 | Los Angeles Department of Water and Power, California, Waterworks Revenue Bonds, Series 2020A, 5.000%, 7/01/50 | 7/30 at 100.00 | Aa2 | 6,392,485 | ||
| 10,000 | Los Angeles, California, Wastewater System Revenue Bonds, Green Series 2015C, 5.000%, 6/01/45 | 6/25 at 100.00 | AA+ | 11,777,000 | ||
| Los Angeles, California, Wastewater System Revenue Bonds, Green Subordinate Series 2018A: | ||||||
| 10,000 | 5.000%, 6/01/43 | 6/28 at 100.00 | AA | 12,565,300 | ||
| 1,300 | 5.000%, 6/01/48 | 6/28 at 100.00 | AA | 1,623,245 | ||
| Los Angeles, California, Wastewater System Revenue Bonds, Refunding Green Series 2015A: | ||||||
| 5,000 | 5.000%, 6/01/31 | 6/25 at 100.00 | AA+ | 6,048,100 | ||
| 5,000 | 5.000%, 6/01/32 | 6/25 at 100.00 | AA+ | 6,024,650 | ||
| 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 | 2,904,720 | ||
| Metropolitan Water District of Southern California, Water Revenue Bonds, Refunding Series 2020C: | ||||||
| 5,000 | 5.000%, 7/01/39 | 7/30 at 100.00 | AAA | 6,728,900 | ||
| 16,505 | 5.000%, 7/01/40 | 7/30 at 100.00 | AAA | 22,146,574 | ||
| Metropolitan Water District of Southern California, Water Revenue Bonds, Series 2020A: | ||||||
| 4,550 | 5.000%, 10/01/45 | 10/29 at 100.00 | AAA | 5,927,922 | ||
| 24,365 | 5.000%, 10/01/49 | 10/29 at 100.00 | AAA | 31,599,212 | ||
| 5,000 | Moulton Niguel Water District, California, Certificates of Participation, Series 2019, 3.000%, 9/01/44 | 3/29 at 100.00 | AAA | 5,252,800 | ||
| Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A: | ||||||
| 2,205 | 6.000%, 7/01/38 | 10/20 at 100.00 | CC | 2,240,831 | ||
| 1,775 | 6.000%, 7/01/44 | 10/20 at 100.00 | CC | 1,803,844 |
68
| Principal Amount (000) | Description | Optional Call Provisions (1) | Ratings (2) | Value | ||
| Water and Sewer (continued) | ||||||
| Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2012A: | ||||||
| $ 2,760 | 4.250%, 7/01/25 | 7/22 at 100.00 | CC | $2,790,194 | ||
| 740 | 5.500%, 7/01/28 | 7/22 at 100.00 | CC | 774,225 | ||
| 2,745 | 5.750%, 7/01/37 | 7/22 at 100.00 | CC | 2,858,231 | ||
| 6,000 | 5.250%, 7/01/42 | 7/22 at 100.00 | CC | 6,172,500 | ||
| 2,250 | 6.000%, 7/01/47 | 7/22 at 100.00 | CC | 2,348,438 | ||
| 16,520 | Sacramento County Sanitation Districts Financing Authority, California, Revenue Bonds, Sacramento Regional County Sanitation District, Series 2020A, 5.000%, 12/01/45 | 12/30 at 100.00 | AA | 22,002,658 | ||
| 6,750 | San Diego Public Facilities Financing Authority, California, Sewerage Revenue Bonds, Refunding Senior Lien Series 2016A, 5.000%, 5/15/39 | 5/26 at 100.00 | AA+ | 8,303,580 | ||
| 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 | 9,141,536 | ||
| 12,735 | 5.000%, 8/01/39 | 8/26 at 100.00 | Aa3 | 15,617,440 | ||
| Upper Santa Clara Valley Joint Powers Authority, California, Revenue Bonds, Series 2020A: | ||||||
| 3,000 | 4.000%, 8/01/45 | 8/25 at 100.00 | AA | 3,354,240 | ||
| 5,000 | 4.000%, 8/01/50 | 8/25 at 100.00 | AA | 5,572,500 | ||
| 254,445 | Total Water and Sewer | 314,858,085 | ||||
| $ 1,843,341 | Total Long-Term Investments (cost $1,959,643,147) | 2,114,650,492 | ||||
| Other Assets Less Liabilities – 1.4% | 29,400,857 | |||||
| Net Assets – 100% | $ 2,144,051,349 |
| (1) | 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. | |
| (2) | 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. | |
| (3) | Defaulted security. A security whose issuer has failed to fully pay principal and/or interest when due, or is under the protection of bankruptcy. | |
| (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 | |
| ETM | Escrowed to maturity |
See accompanying notes to financial statements.
69
Statement of Assets and Liabilities
August 31, 2020
(Unaudited)
| California High Yield | California | |
| Assets | ||
| Long-term investments, at value (cost $1,522,916,016 and $1,959,643,147, respectively) | $1,618,374,114 | $2,114,650,492 |
| Cash | — | 6,819,379 |
| Cash collateral at brokers for investments in futures contracts(1) | 1,805,602 | — |
| Receivable for: | ||
| Interest | 20,864,460 | 23,215,351 |
| Investments sold | 270,650 | 1,375,300 |
| Shares sold | 1,908,987 | 5,614,362 |
| Other assets | 182,311 | 142,433 |
| Total assets | 1,643,406,124 | 2,151,817,317 |
| Liabilities | ||
| Borrowings | 12,500,000 | — |
| Cash overdraft | 406,946 | — |
| Floating rate obligations | 363,962,000 | — |
| Payable for: | ||
| Dividends | 580,328 | 1,022,918 |
| Interest | 1,041,662 | — |
| Investments purchased - regular settlement | — | 2,213,110 |
| Investments purchased - when-issued/delayed-delivery settlement | 1,818,376 | — |
| Shares redeemed | 3,784,539 | 2,856,911 |
| Variation margin on futures contracts | 98,711 | — |
| Accrued expenses: | ||
| Custodian fees | 89,154 | 88,614 |
| Management fees | 569,627 | 845,020 |
| Professional fees | 18,400 | 30,405 |
| Trustees fees | 54,274 | 143,814 |
| 12b-1 distribution and service fees | 171,668 | 205,472 |
| Other | 265,999 | 359,704 |
| Total liabilities | 385,361,684 | 7,765,968 |
| Net assets | $1,258,044,440 | $2,144,051,349 |
See accompanying notes to financial statements.
70
Statement of Assets and Liabilities (Unaudited) (continued)
| California High Yield | California | |
| Class A Shares | ||
| Net assets | $ 584,559,164 | $ 797,673,805 |
| Shares outstanding | 58,488,270 | 69,004,735 |
| Net asset value ("NAV") per share | $ 9.99 | $ 11.56 |
| Offering price per share (NAV per share plus maximum sales charge of 4.20% of offering price) | $ 10.43 | $ 12.07 |
| Class C Shares | ||
| Net assets | $ 72,242,641 | $ 75,150,450 |
| Shares outstanding | 7,232,275 | 6,527,026 |
| NAV and offering price per share | $ 9.99 | $ 11.51 |
| Class C2 Shares | ||
| Net assets | $ 11,777,872 | $ 12,265,126 |
| Shares outstanding | 1,180,125 | 1,062,809 |
| NAV and offering price per share | $ 9.98 | $ 11.54 |
| Class I Shares | ||
| Net assets | $ 589,464,763 | $1,258,961,968 |
| Shares outstanding | 59,013,671 | 108,774,865 |
| NAV and offering price per share | $ 9.99 | $ 11.57 |
| Fund level net assets consist of: | ||
| Capital paid-in | $1,209,898,529 | $2,025,813,462 |
| Total distributable earnings | 48,145,911 | 118,237,887 |
| Fund level net assets | $1,258,044,440 | $2,144,051,349 |
| Authorized shares - per class | Unlimited | Unlimited |
| Par value per share | $ 0.01 | $ 0.01 |
| (1) | Cash pledged to collateralize the net payment obligations for investments in derivatives. |
See accompanying notes to financial statements.
71
Statement of Operations
Six Months Ended August 31, 2020
(Unaudited)
| California High Yield | California | |
| Investment Income | $ 31,815,977 | $ 33,215,018 |
| Expenses | ||
| Management fees | 3,237,116 | 4,629,509 |
| 12b-1 service fees - Class A Shares | 571,351 | 715,039 |
| 12b-1 distribution and service fees - Class C Shares | 369,474 | 383,243 |
| 12b-1 distribution and service fees - Class C2 Shares | 57,309 | 62,468 |
| Shareholder servicing agent fees | 242,359 | 331,621 |
| Interest expense | 2,384,251 | 23,609 |
| Custodian fees | 79,892 | 92,775 |
| Professional fees | 69,363 | 61,140 |
| Trustees fees | 17,844 | 29,195 |
| Shareholder reporting expenses | 26,657 | 33,907 |
| Federal and state registration fees | 21,377 | 23,640 |
| Other | 12,469 | 12,150 |
| Total expenses | 7,089,462 | 6,398,296 |
| Net investment income (loss) | 24,726,515 | 26,816,722 |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) from: | ||
| Investments | (18,933,070) | (19,078,160) |
| Futures contracts | (6,823,034) | — |
| Change in net unrealized appreciation (depreciation) of: | ||
| Investments | (74,073,629) | (26,063,578) |
| Futures contracts | 1,898,195 | — |
| Net realized and unrealized gain (loss) | (97,931,538) | (45,141,738) |
| Net increase (decrease) in net assets from operations | $(73,205,023) | $(18,325,016) |
See accompanying notes to financial statements.
72
Statement of Changes in Net Assets
(Unaudited)
| California High Yield | California | ||||
| Six Months Ended 8/31/20 | Year Ended 2/29/20 | Six Months Ended 8/31/20 | Year Ended 2/29/20 | ||
| Operations | |||||
| Net investment income (loss) | $ 24,726,515 | $ 43,004,427 | $ 26,816,722 | $ 49,074,462 | |
| Net realized gain (loss) from: | |||||
| Investments | (18,933,070) | 1,291,584 | (19,078,160) | 4,681,434 | |
| Futures contracts | (6,823,034) | (10,108,819) | — | — | |
| Change in net unrealized appreciation (depreciation) of: | |||||
| Investments | (74,073,629) | 140,382,572 | (26,063,578) | 123,130,033 | |
| Futures contracts | 1,898,195 | (2,728,926) | — | — | |
| Net increase (decrease) in net assets from operations | (73,205,023) | 171,840,838 | (18,325,016) | 176,885,929 | |
| Distributions to Shareholders | |||||
| Dividends: | |||||
| Class A Shares | (10,796,697) | (19,472,937) | (8,802,894) | (18,168,854) | |
| Class C Shares | (1,098,487) | (2,224,399) | (645,772) | (1,588,562) | |
| Class C2 Shares | (248,209) | (754,291) | (160,479) | (529,181) | |
| Class I Shares | (11,243,767) | (20,931,045) | (15,423,247) | (30,640,954) | |
| Decrease in net assets from distributions to shareholders | (23,387,160) | (43,382,672) | (25,032,392) | (50,927,551) | |
| Fund Share Transactions | |||||
| Proceeds from sale of shares | 301,609,321 | 616,681,751 | 458,167,564 | 665,573,340 | |
| Proceeds from shares issued to shareholders due to reinvestment of distributions | 16,615,784 | 36,761,135 | 16,032,024 | 39,159,347 | |
| 318,225,105 | 653,442,886 | 474,199,588 | 704,732,687 | ||
| Cost of shares redeemed | (424,555,907) | (248,916,902) | (276,180,619) | (259,262,598) | |
| Net increase (decrease) in net assets from Fund share transactions | (106,330,802) | 404,525,984 | 198,018,969 | 445,470,089 | |
| Net increase (decrease) in net assets | (202,922,985) | 532,984,150 | 154,661,561 | 571,428,467 | |
| Net assets at the beginning of period | 1,460,967,425 | 927,983,275 | 1,989,389,788 | 1,417,961,321 | |
| Net assets at the end of period | $1,258,044,440 | $1,460,967,425 | $2,144,051,349 | $1,989,389,788 | |
See accompanying notes to financial statements.
73
Statement of Cash Flows
Six Months Ended August 31, 2020
(Unaudited)
| California High Yield | |
| Cash Flows from Operating Activities: | |
| Net Increase (Decrease) in Net Assets from Operations | $ (73,205,023) |
| Adjustments to reconcile the net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities: | |
| Purchases of investments | (235,500,478) |
| Proceeds from sales and maturities of investments | 323,936,991 |
| Proceeds from (Purchases of) short-term investments, net | 5,500,000 |
| Amortization (Accretion) of premiums and discounts, net | 140,437 |
| (Increase) Decrease in: | |
| Receivable for interest | (1,800,727) |
| Receivable for investments sold | 21,995,760 |
| Other assets | (119,235) |
| Increase (Decrease) in: | |
| Payable for interest | 81,563 |
| Payable for investments purchased – when-issued/delayed-delivery settlement | 2,319,312 |
| Payable for variation margin on futures contracts | (1,334,883) |
| Accrued custodian fees | 6,886 |
| Accrued management fees | (13,978) |
| Accrued professional fees | (19,473) |
| Accrued Trustees fees | 10,149 |
| Accrued 12b-1 distribution and service fees | (8,155) |
| Accrued other expenses | 35,037 |
| Net realized (gain) loss from: | |
| Investments | 18,933,070 |
| Paydowns | 1,912 |
| Change in net unrealized (appreciation) depreciation of investments | 74,073,629 |
| Net cash provided by (used in) operating activities | 117,527,534 |
| Cash Flows from Financing Activities: | |
| Proceeds from borrowings | 132,300,000 |
| (Repayments) of borrowings | (119,800,000) |
| Increase (Decrease) in cash overdraft | 406,946 |
| Proceeds from floating rate obligations | 29,498,000 |
| (Repayments) of floating rate obligations | (32,920,000) |
| Cash distributions paid to shareholders | (6,835,297) |
| Proceeds from sale of shares | 305,663,657 |
| Cost of shares redeemed | (425,726,196) |
| Net cash provided by (used in) financing activities | (117,412,890) |
| Net Increase (Decrease) in Cash and Cash Collateral at Brokers | 114,644 |
| Cash and cash collateral at brokers at the beginning of period | 1,690,958 |
| Cash and cash collateral at brokers at the end of period | 1,805,602 |
| Supplemental Disclosure of Cash Flow Information | California High Yield |
| Cash paid for interest (excluding borrowing costs) | $ 2,302,688 |
| Non-cash financing activities not included herein consists of reinvestments of share distributions | 16,615,784 |
See accompanying notes to financial statements.
74
Financial Highlights
(Unaudited)
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) | |||||||||
| 2021(f) | $10.62 | $0.20 | $(0.64) | $(0.44) | $(0.19) | $ — | $(0.19) | $ 9.99 | |
| 2020 | 9.51 | 0.37 | 1.11 | 1.48 | (0.37) | — | (0.37) | 10.62 | |
| 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 | |
| Class C (02/14) | |||||||||
| 2021(f) | 10.61 | 0.16 | (0.63) | (0.47) | (0.15) | — | (0.15) | 9.99 | |
| 2020 | 9.50 | 0.29 | 1.11 | 1.40 | (0.29) | — | (0.29) | 10.61 | |
| 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 | |
| Class C2 (03/06) | |||||||||
| 2021(f) | 10.60 | 0.17 | (0.63) | (0.46) | (0.16) | — | (0.16) | 9.98 | |
| 2020 | 9.50 | 0.31 | 1.11 | 1.42 | (0.32) | — | (0.32) | 10.60 | |
| 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 | |
| Class I (03/06) | |||||||||
| 2021(f) | 10.61 | 0.21 | (0.63) | (0.42) | (0.20) | — | (0.20) | 9.99 | |
| 2020 | 9.50 | 0.39 | 1.11 | 1.50 | (0.39) | — | (0.39) | 10.61 | |
| 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 | |
76
| 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) |
| (4.12)% | $584,559 | 1.19%* | 0.82%* | 3.99%* | 14% |
| 15.84 | 659,621 | 1.21 | 0.80 | 3.64 | 2 |
| 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 |
| (4.42) | 72,243 | 2.00* | 1.63* | 3.19* | 14 |
| 14.94 | 86,897 | 2.01 | 1.60 | 2.85 | 2 |
| 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 |
| (4.30) | 11,778 | 1.75* | 1.38* | 3.43* | 14 |
| 15.13 | 19,054 | 1.76 | 1.35 | 3.13 | 2 |
| 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 |
| (3.94) | 589,465 | 0.99* | 0.62* | 4.18* | 14 |
| 16.06 | 695,396 | 1.01 | 0.60 | 3.84 | 2 |
| 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 |
| (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 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 4 – Portfolio Securities and Investments in Derivatives 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 4 – Portfolio Securities and Investments in Derivatives) divided by the average long-term market value during the period. |
| (f) | For the six months ended August 31, 2020. |
| * | Annualized. |
See accompanying notes to financial statements.
77
Financial Highlights (Unaudited) (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) | |||||||||
| 2021(f) | $11.81 | $0.15 | $(0.26) | $(0.11) | $(0.14) | $ — | $(0.14) | $11.56 | |
| 2020 | 10.96 | 0.32 | 0.87 | 1.19 | (0.34) | — | (0.34) | 11.81 | |
| 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 | |
| Class C (02/14) | |||||||||
| 2021(f) | 11.76 | 0.11 | (0.26) | (0.15) | (0.10) | — | (0.10) | 11.51 | |
| 2020 | 10.92 | 0.23 | 0.86 | 1.09 | (0.25) | — | (0.25) | 11.76 | |
| 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 | |
| Class C2 (09/94) | |||||||||
| 2021(f) | 11.79 | 0.12 | (0.26) | (0.14) | (0.11) | — | (0.11) | 11.54 | |
| 2020 | 10.94 | 0.26 | 0.86 | 1.12 | (0.27) | — | (0.27) | 11.79 | |
| 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 | |
| Class I (07/86) | |||||||||
| 2021(f) | 11.82 | 0.16 | (0.26) | (0.10) | (0.15) | — | (0.15) | 11.57 | |
| 2020 | 10.97 | 0.35 | 0.86 | 1.21 | (0.36) | — | (0.36) | 11.82 | |
| 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 | |
78
| 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) |
| (0.89)% | $ 797,674 | 0.73%* | 0.73%* | 2.65%* | 17% |
| 11.00 | 743,072 | 0.74 | 0.74 | 2.84 | 13 |
| 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 |
| (1.29) | 75,150 | 1.53* | 1.53* | 1.86* | 17 |
| 10.06 | 80,258 | 1.54 | 1.54 | 2.05 | 13 |
| 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 |
| (1.17) | 12,265 | 1.28* | 1.28* | 2.12* | 17 |
| 10.38 | 19,303 | 1.29 | 1.29 | 2.33 | 13 |
| 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 |
| (0.79) | 1,258,962 | 0.53* | 0.53* | 2.85* | 17 |
| 11.20 | 1,146,758 | 0.54 | 0.54 | 3.05 | 13 |
| 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 |
| (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 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 4 – Portfolio Securities and Investments in Derivatives 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 4 – Portfolio Securities and Investments in Derivatives) divided by the average long-term market value during the period. |
| (f) | For the six months ended August 31, 2020. |
| * | Annualized. |
See accompanying notes to financial statements.
79
Notes to Financial Statements
(Unaudited)
1. 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 (the "1940 Act"), as amended. The Trust is comprised of Nuveen California High Yield Municipal Bond Fund (“California High Yield”), and Nuveen California Municipal Bond Fund (“California”) (each a “Fund” and collectively the “Funds”), as diversified funds, among others. The Trust was organized as a Massachusetts business trust on July 1, 1996. California was organized as a series of a predecessor trust prior to that date.
The end of the reporting period for the Funds is August 31, 2020, and the period covered by these Notes to Financial Statements is the six months ended August 31, 2020 (the "current fiscal period”).
Investment Adviser and Sub-Adviser
The Funds' investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a subsidiary of Nuveen, LLC (“Nuveen”). Nuveen is the investment management arm of Teachers Insurance and Annuity Association of America (TIAA). The Adviser has overall responsibility for management of the Funds, oversees the management of the Funds' portfolios, manages the Funds' business affairs and provides certain clerical, bookkeeping and other administrative services, and, if necessary, asset allocation decisions. The Adviser has entered into sub-advisory agreements with Nuveen Asset Management, LLC, (the “Sub-Adviser”), a subsidiary of the Adviser, under which the Sub-Adviser manages the investment portfolios of the Funds.
Share Classes and Sales Charges
Class A Shares are generally sold with an up-front sales charge. Class A shares 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. 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 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 sold without an up-front sales charge.
Other Matters
The outbreak of the novel coronavirus (“COVID-19”) and subsequent global pandemic began significantly impacting the U.S. and global financial markets and economies during the calendar quarter ended March 31, 2020. The worldwide spread of COVID-19 has created significant uncertainty in the global economy. The duration and extent of COVID-19 over the long-term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds’ normal course of business, results of operations, investments, and cash flows will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
2. Significant Accounting Policies
The accompanying financial statements were prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require the use of estimates made by management and the evaluation of subsequent events. Actual results may differ from those estimates. Each Fund is an investment company and follows accounting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification 946, Financial Services — Investment Companies. The NAV for financial reporting purposes may differ from the NAV for processing security and shareholder transactions. The NAV for financial reporting purposes includes security and shareholder transactions through the date of the report. Total return is computed based on the NAV used for processing security and shareholder transactions. The following is a summary of the significant accounting policies consistently followed by the Funds.
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.
80
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The amount, character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications
Under the 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.
Investments and Investment Income
Securities transactions are accounted for as of the trade date for financial reporting purposes. Realized gains and losses on securities transactions are based upon the specific identification method. Investment income is comprised of interest income, which is recorded on an accrual basis and includes accretion of discounts and amortization of premiums for financial reporting purposes. Investment income also reflects payment-in-kind ("PIK") interest and paydown gains and losses, if any. PIK interest represents income received in the form of securities in lieu of cash.
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 value of the settled shares of each class. Expenses directly attributable to a class of shares are recorded to the specific class. 12b-1 distribution and service fees are allocated on a class-specific basis.
Realized and unrealized capital gains and losses of the Funds are prorated among the classes based on the relative net assets of each class.
Netting Agreements
In the ordinary course of business, the Funds may enter into transactions subject to enforceable International Swaps and Derivatives Association, Inc. (ISDA) master agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows each Fund to offset certain securities and derivatives with a specific counterparty, when applicable, as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, each Fund manages its cash collateral and securities collateral on a counterparty basis.
The Funds' investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 4 - Portfolio Securities and Investments in Derivatives.
New Accounting Pronouncements and Rule Issuances
Fair Value Measurement Disclosure Framework
During August 2018, the FASB issued Accounting Standards Update (“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. Management has early implemented this guidance and it did not have a material impact on the Funds’ financial statements.
Reference Rate Reform
In March 2020, FASB issued ASU 2020-04, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The main objective of the new guidance is to provide relief to companies that will be impacted by the expected change in benchmark interest rates at the end of 2021, when participating banks will no longer be required to submit London Interbank Offered Rate (LIBOR) quotes by the UK Financial Conduct Authority (FCA). The new guidance allows companies to, provided the only changes to existing contracts are a change to an approved benchmark interest rate, account for modifications as a continuance of the existing contract without additional analysis. For new and existing contracts, the Funds may elect to apply the optional expedients as of March 12, 2020 through December 31, 2022. Management has not yet elected to apply the optional expedients, but is currently assessing the impact of the ASU’s adoption to the Funds’ financial statements and various filings.
3. Investment Valuation and Fair Value Measurements
The fair valuation input levels as described below are for fair value measurement purposes.
The Funds' investments in securities are recorded at their estimated fair value. 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.
81
Notes to Financial Statements (Unaudited) (continued)
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.
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 | $ — | $1,617,146,631 | $ — | $1,617,146,631 |
| Common Stocks | 1,227,483 | — | — | 1,227,483 |
| Investments in Derivatives: | ||||
| Futures Contracts** | (216,330) | — | — | (216,330) |
| Total | $1,011,153 | $1,617,146,631 | $ — | $1,618,157,784 |
| California | Level 1 | Level 2 | Level 3 | Total |
| Long-Term Investments*: | ||||
| Municipal Bonds | $ — | $2,114,650,492 | $ — | $2,114,650,492 |
| * | 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. |
The table below presents the transfers in and out of the three valuation levels for the Fund as of the end of the reporting period when compared to the valuation levels as of the end of the previous fiscal year. Changes in valuation inputs or methodologies may result in transfers into or out of an assigned
82
level within the fair value hierarchy. Transfers in or out of levels are generally due to the availability of publicly available information and to the significance or extent the Adviser determines that the valuation inputs or methodologies may impact the valuation of those securities.
| Level 1 | Level 2 | Level 3 | ||||||
| California High Yield | Transfers In | (Transfers Out) | Transfers In | (Transfers Out) | Transfers In | (Transfers Out) | ||
| Municipal Bonds | $ — | $ — | $15,865,868 | $ — | $ — | $(15,865,868) | ||
4. Portfolio Securities and Investments in Derivatives
Portfolio Securities
Inverse Floating Rate Securities
Each Fund is authorized to invest in inverse floating rate securities. An inverse floating rate security is created by depositing a municipal bond (referred to as an “Underlying Bond”), typically with a fixed interest rate, into a special purpose tender option bond (“TOB”) trust (referred to as the “TOB Trust”) created by or at the direction of one or more Funds. In turn, the TOB Trust issues (a) floating rate certificates (referred to as “Floaters”), in face amounts equal to some fraction of the Underlying Bond’s par amount or market value, and (b) an inverse floating rate certificate (referred to as an “Inverse Floater”) that represents all remaining or residual interest in the TOB Trust. Floaters typically pay short-term tax-exempt interest rates to third parties who are also provided a right to tender their certificate and receive its par value, which may be paid from the proceeds of a remarketing of the Floaters, by a loan to the TOB Trust from a third party liquidity provider (“Liquidity Provider”), or by the sale of assets from the TOB Trust. The Inverse Floater is issued to a long term investor, such as one or more 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. Earnings due from the Underlying Bond and interest due to the holders of the Floaters as of the end of the reporting period are recognized as components of “Receivable for interest” and “Payable for interest” on the Statement of Assets and Liabilities, respectively.
In contrast, an investment in an externally-deposited Inverse Floater is accounted for as a purchase of the Inverse Floater and is identified in the Fund’s Portfolio of Investments as “(IF) – Inverse floating rate investment.” For an externally-deposited Inverse Floater, a Fund’s Statement of Assets and Liabilities recognizes the Inverse Floater and not the Underlying Bond as an asset, and the Fund does not recognize the Floaters, or any related borrowings from a Liquidity Provider, as a liability. Additionally, the Fund reflects in “Investment Income” only the net amount of earnings on the Inverse Floater (net of the interest paid to the holders of the Floaters or the Liquidity Provider as lender, and the expenses of the Trust), and does not show the amount of that interest paid or the expenses of the TOB Trust as described above as interest expense on the Statement of Operations.
Fees paid upon the creation of a TOB Trust for self-deposited Inverse Floaters and externally-deposited Inverse Floaters are recognized as part of the cost basis of the Inverse Floater and are capitalized over the term of the TOB Trust.
As of the end of the reporting period, the aggregate value of Floaters issued by each Fund’s TOB Trust for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as follows:
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Notes to Financial Statements (Unaudited) (continued)
| Floating Rate Obligations Outstanding | California High Yield | California |
| Floating rate obligations: self-deposited Inverse Floaters | $363,962,000 | $ — |
| Floating rate obligations: externally-deposited Inverse Floaters | 87,455,000 | — |
| Total | $451,417,000 | $ — |
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 |
| Average floating rate obligations outstanding | $361,315,201 | $ — |
| Average annual interest rate and fees | 1.24% | —% |
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 such facilities.
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 |
| Maximum exposure to Recourse Trusts: self-deposited Inverse Floaters | $332,202,000 | $ — |
| Maximum exposure to Recourse Trusts: externally-deposited Inverse Floaters | 87,455,000 | — |
| Total | $419,657,000 | $ — |
Securities Lending
Effective August 14, 2020, California High Yield may lend securities representing up to one-third of the value of its total assets to broker-dealers, banks, and other institutions in order to generate additional income. The Fund’s custodian, State Street Bank and Trust Company, serves as the securities lending agent (the “Agent”).
When the Fund loans its portfolio securities, it will receive, at the inception of each loan, cash collateral equal to an amount not less than 100% of the market value of the loaned securities. Collateral for the loaned securities is invested in a government money market fund maintained by the Agent for the purpose of investing cash collateral. The value of the loaned securities and the liability to return the cash collateral received are recognized on the Statement of Assets and Liabilities. If the market value of the loaned securities increases, the borrower must furnish additional collateral to the Fund, which is also recognized on the Statement of Assets and Liabilities. Securities out on loan are subject to termination at any time at the option of the borrower or the Fund. Upon termination, the borrower is required to return to the Fund securities identical to the securities loaned. During the term of
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the loan, the Fund bears the market risk with respect to the investment of collateral and the risk that the Agent may default on its contractual obligations to the Fund. The Agent bears the risk that the borrower may default on its obligation to return the loaned securities as the Agent is contractually obligated to indemnify the Fund if at the time of a default by a borrower some or all of the loan securities have not been returned.
Securities lending income recognized by the Fund consists of earnings on invested collateral and lending fees, net of any rebates to the borrower and compensation to the Agent. Such income is recognized on the Statements of Operations.
California High Yield did not engage in securities lending transactions during the period from August 14, 2020 through the end of the current fiscal period. As of the end of the reporting period, California High Yield did not have any securities out on loan.
Zero Coupon Securities
A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.
Investment Transactions
Long-term purchases and sales (including maturities but excluding derivative transactions, where applicable) during the current fiscal period were as follows:
| California High Yield | California | |
| Purchases | $235,500,478 | $529,440,763 |
| Sales and maturities | 323,936,991 | 330,308,500 |
The Funds may purchase securities on a when-issued or delayed-delivery basis. Securities purchased on a when-issued or delayed-delivery basis may have extended settlement periods; interest income is not accrued until settlement date. Any securities so purchased are subject to market fluctuation during this period. The Funds have earmarked securities in their portfolios with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. If a Fund has outstanding when-issued/delayed-delivery purchases commitments as of the end of the reporting period, such amounts are recognized on the Statement of Assets and Liabilities.
Investments in Derivatives
In addition to the inverse floating rate securities in which each Fund may invest, which are considered portfolio securities for financial reporting purposes, each Fund is authorized to invest in certain other derivative instruments. 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.
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Notes to Financial Statements (Unaudited) (continued)
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* | $132,069,188 |
| * | 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 | — | $ — | Payable for variation margin on futures contracts* | $(216,330) | |
* Value represents the cumulative unrealized appreciation (depreciation) of futures contracts as reported in 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 | $(6,823,034) | $1,898,195 |
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.
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5. Fund Shares
Transactions in Fund shares during the current and prior fiscal period were as follows:
| Six Months Ended 8/31/20 | Year Ended 2/29/20 | ||||
| California High Yield | Shares | Amount | Shares | Amount | |
| Shares sold: | |||||
| Class A | 13,757,141 | $ 132,835,971 | 27,355,697 | $ 276,189,147 | |
| Class C | 612,420 | 5,928,373 | 2,421,651 | 24,339,954 | |
| Class C2 | 5,615 | 55,379 | 2,412 | 24,335 | |
| Class I | 16,842,429 | 162,789,598 | 31,278,631 | 316,128,315 | |
| Shares issued to shareholders due to reinvestment of distributions: | |||||
| Class A | 825,332 | 7,996,434 | 1,702,924 | 17,262,552 | |
| Class C | 82,383 | 797,795 | 187,820 | 1,900,384 | |
| Class C2 | 18,489 | 178,440 | 65,634 | 660,684 | |
| Class I | 789,133 | 7,643,115 | 1,671,290 | 16,937,515 | |
| 32,932,942 | 318,225,105 | 64,686,059 | 653,442,886 | ||
| Shares redeemed: | |||||
| Class A | (18,216,096) | (173,775,888) | (10,805,227) | (109,140,888) | |
| Class C | (1,651,457) | (15,901,730) | (1,445,100) | (14,534,821) | |
| Class C2 | (640,925) | (6,275,570) | (1,229,549) | (12,443,001) | |
| Class I | (24,152,150) | (228,602,719) | (11,202,231) | (112,798,192) | |
| (44,660,628) | (424,555,907) | (24,682,107) | (248,916,902) | ||
| Net increase (decrease) | (11,727,686) | $(106,330,802) | 40,003,952 | $ 404,525,984 | |
| Six Months Ended 8/31/20 | Year Ended 2/29/20 | ||||
| California | Shares | Amount | Shares | Amount | |
| Shares sold: | |||||
| Class A | 15,118,632 | $ 172,757,003 | 23,519,120 | $ 268,019,212 | |
| Class A – automatic conversion of Class C2 Shares | 387 | 4,402 | 797 | 9,055 | |
| Class C | 941,655 | 10,558,960 | 1,782,441 | 20,199,082 | |
| Class C2 | 4,472 | 51,036 | 30,911 | 352,089 | |
| Class I | 24,230,651 | 274,796,163 | 33,100,323 | 376,993,902 | |
| Shares issued to shareholders due to reinvestment of distributions: | |||||
| Class A | 565,525 | 6,406,677 | 1,385,792 | 15,835,052 | |
| Class C | 42,565 | 479,884 | 121,123 | 1,377,393 | |
| Class C2 | 8,959 | 101,247 | 33,521 | 381,375 | |
| Class I | 797,380 | 9,044,216 | 1,885,062 | 21,565,527 | |
| 41,710,226 | 474,199,588 | 61,859,090 | 704,732,687 | ||
| Shares redeemed: | |||||
| Class A | (9,611,581) | (106,913,478) | (8,140,993) | (92,798,949) | |
| Class C | (1,280,806) | (14,306,716) | (1,152,628) | (13,070,588) | |
| Class C2 | (587,606) | (6,767,700) | (622,666) | (7,105,298) | |
| Class C2 – automatic conversion to Class A Shares | (387) | (4,402) | (799) | (9,055) | |
| Class I | (13,252,234) | (148,188,323) | (12,859,711) | (146,278,708) | |
| (24,732,614) | (276,180,619) | (22,776,797) | (259,262,598) | ||
| Net increase (decrease) | 16,977,612 | $ 198,018,969 | 39,082,293 | $ 445,470,089 | |
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.
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Notes to Financial Statements (Unaudited) (continued)
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 table below presents the cost and unrealized appreciation (depreciation) of each Fund's investment portfolio, as determined on a federal income tax basis, as of August 31, 2020.
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 | |
| Tax cost of investments | $1,156,727,644 | $1,960,320,751 |
| Gross unrealized: | ||
| Appreciation | $ 113,515,373 | $ 158,774,214 |
| Depreciation | (16,047,432) | (4,444,473) |
| Net unrealized appreciation (depreciation) of investments | $ 97,467,941 | $ 154,329,741 |
Permanent differences, primarily due to treatment of notional principal contracts, paydowns and taxable market discount, resulted in reclassifications among the Funds’ components of net assets as of February 29, 2020, the Funds' last tax year end.
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains as of February 29, 2020, the Funds' last tax year end, were as follows:
| California High Yield | California | |
| Undistributed net tax-exempt income1 | $5,350,610 | $2,751,723 |
| Undistributed net ordinary income2 | 166,446 | 81,081 |
| 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, 2020 through February 29, 2020, and paid on March 2, 2020. |
| 2 | Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. |
The tax character of distributions paid during the Funds' last tax year ended February 29, 2020 was designated for purposes of the dividends paid deduction as follows:
| California High Yield | California | |
| Distributions from net tax-exempt income | $41,665,531 | $50,161,111 |
| Distributions from net ordinary income2 | 453,459 | 13,455 |
| Distributions from net long-term capital gains | — | — |
| 2 | Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. |
As of February 29, 2020, the Funds’ last 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 | |
| Not subject to expiration: | ||
| Short-term | $20,675,061 | $16,964,902 |
| Long-term | 6,954,490 | — |
| Total | $27,629,551 | $16,964,902 |
During the Funds’ last tax year ended February 29, 2020, California utilized $4,850,179 of its capital loss carryforward.
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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 |
| For the first $125 million | 0.4000% | 0.3500% |
| For the next $125 million | 0.3875 | 0.3375 |
| For the next $250 million | 0.3750 | 0.3250 |
| For the next $500 million | 0.3625 | 0.3125 |
| For the next $1 billion | 0.3500 | 0.3000 |
| For the next $3 billion | – | 0.2750 |
| For the next $5 billion | – | 0.2500 |
| For net assets over $10 billion | – | 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, 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, but do include certain assets of certain Nuveen funds that were reorganized into funds advised by an affiliate of the Adviser during the 2019 calendar year. Eligible assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the closed-end funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining eligible assets in certain circumstances. As of August 31, 2020, the complex-level fee for each Fund was as follows:
| Fund | Complex-Level Fee |
| California High Yield | 0.1574% |
| California | 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:
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Notes to Financial Statements (Unaudited) (continued)
| Fund | Permanent Expense Cap |
| California High Yield | 1.00% |
| California | 0.75% |
Distribution and Service Fees
The Fund has adopted a distribution and service plan under rule 12b-1 under the 1940 Act. Class A Shares incur a 0.20% annual 12b-1 service fee. Class C Shares incur a 0.75% annual 12b-1 distribution fee and a 0.25% annual 12b-1 service fee. Class C2 Shares incur a 0.55% annual 12b-1 distribution fee and a 0.20% annual 12b-1 service fee. Class I Shares are not subject to 12b-1 distribution or service fees. The fees under this plan compensate Nuveen Securities, LLC, (the “Distributor”), a wholly-owned subsidiary of Nuveen, for services provided and expenses incurred in distributing shares of the Fund and establishing and maintaining shareholder accounts.
Other Transactions with Affiliates
Each Fund is permitted to purchase or sell securities from or to certain other funds or accounts managed by the Sub-Adviser (“Affiliated Entity”) under specified conditions outlined in procedures adopted by the Board ("cross-trade"). These procedures have been designed to ensure that any cross-trade of securities by the Fund from or to an Affiliated Entity by virtue of having a common investment adviser (or affiliated investment adviser), common officer and/or common trustee complies with Rule 17a-7 under the 1940 Act. These transactions are effected at the current market price (as provided by an independent pricing service) without incurring broker commissions.
During the current fiscal period, the Funds engaged in cross-trades pursuant to these procedures as follows:
| Cross-Trades | California High Yield | California |
| Purchases | $74,113,188 | $93,296,619 |
| Sales | 55,681,288 | 10,377,591 |
During the current fiscal period, the Distributor, collected sales charges on purchases of Class A Shares, the majority of which were paid out as concessions to financial intermediaries as follows:
| California High Yield | California | |
| Sales charges collected | $504,878 | $626,117 |
| Paid to financial intermediaries | 494,503 | 615,170 |
The Distributor also received 12b-1 service fees on Class A Shares, substantially all of which were paid to compensate financial intermediaries for providing services to shareholders relating to their investments.
During the current fiscal period, the Distributor compensated financial intermediaries directly with commission advances at the time of purchase as follows:
| California High Yield | California | |
| Commission advances | $473,373 | $604,931 |
To compensate for commissions advanced to financial intermediaries, all 12b-1 service and distribution fees collected on Class C and Class C2 Shares during the first year following a purchase are retained by the Distributor. During the current fiscal period, the Distributor retained such 12b-1 fees as follows:
| California High Yield | California | |
| 12b-1 fees retained | $91,514 | $88,125 |
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:
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| California High Yield | California | |
| CDSC retained | $121,374 | $223,247 |
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, $2.405 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 June 2021 unless extended or renewed.
The credit facility has the following terms: a 0.10% upfront fee, 0.15% per annum on unused commitment amounts and a drawn interest rate equal to the higher of (a) one-month LIBOR (London Inter-Bank Offered Rate) plus 1.25% (1.00% prior to June 24, 2020) per annum or (b) the Fed Funds rate plus 1.25% (1.00% prior to June 24, 2020) 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.
During the current fiscal period, the Funds utilized this facility. Each Fund's maximum outstanding balance during the utilization period was a follows:
| California High Yeild | California | |
| Maximum outstanding balance | $119,800,000 | $19,300,000 |
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 Yeild | California | |
| Utilization period (days outstanding) | 22 | 5 |
| Average daily balance outstanding | $55,840,909 | $16,300,000 |
| Average annual interest rate | 1.71% | 1.99% |
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.
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Additional Fund Information
Investment Adviser
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.
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Glossary of Terms Used in this Report
Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in NAV or offer price and reinvested dividends and capital gains distributions, if any) over the time period being considered.
Corporate-Backed Municipal Bond: A municipal bond issued by a state or local government agency and backed by a corporate entity.
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.
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.
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.
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Glossary of Terms Used in this Report (continued)
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 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.
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Annual Investment Management Agreement Approval Process
At a meeting held on May 19-21, 2020 (the “May Meeting”), the Board of Trustees (the “Board” and each Trustee, a “Board Member”) of the Funds, which is comprised entirely of 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 (each, an “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 (each, a “Sub-Advisory Agreement”) with Nuveen Asset Management, LLC (the “Sub-Adviser”) pursuant to which the Sub-Adviser serves as the investment sub-adviser to such Fund. Although the 1940 Act requires that continuances of the Advisory Agreements (as defined below) be approved by the in-person vote of a majority of the Independent Board Members, the May Meeting was held virtually through the internet in view of the health risks associated with holding an in-person meeting during the COVID-19 pandemic and governmental restrictions on gatherings. The May Meeting was held in reliance on an order issued by the Securities and Exchange Commission on March 13, 2020, as extended on March 25, 2020, which provided registered investment companies temporary relief from the in-person voting requirements of the 1940 Act with respect to the approval of a fund's advisory agreement in response to the challenges arising in connection with the COVID-19 pandemic.
Following up to an initial two-year period, the Board considers the renewal of 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.” Throughout the year, the Board and its committees meet regularly and, at these meetings, review an extensive array of topics and information that are relevant to its annual consideration of the renewal of the advisory agreements for the Nuveen funds. Such information may address, among other things, fund performance; the Adviser’s strategic plans; the review of the funds and investment teams; compliance, regulatory and risk management matters; the trading practices of the various sub-advisers to the funds; valuation of securities; fund expenses; payments to financial intermediaries, including 12b-1 fees and sub-transfer agency fees, if applicable; and overall market and regulatory developments.
In addition to the information and materials received during the year, the Board, in response to a request made on its behalf by independent legal counsel, received extensive materials and information prepared specifically for its annual consideration of the renewal of the advisory agreements for the Nuveen funds by the Adviser and by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data. The materials cover a wide range of topics including, but not limited to, a description of the nature, extent and quality of services provided by the Fund Advisers; a review of each sub-adviser to the Nuveen funds and the applicable investment teams; 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 fund(s) and/or the complex; a description of the profitability or financial data of Nuveen and the sub-advisers to the Nuveen funds; and a description of indirect benefits received by the Adviser and the sub-advisers as a result of their relationships with the Nuveen funds.
In continuing its practice, the Board met prior to the May Meeting to begin its considerations of the renewal of the Advisory Agreements. Accordingly, on April 27-28, 2020 (the “April Meeting”), the Board met to review and discuss, in part, the performance of the Nuveen funds and the Adviser’s evaluation of each sub-adviser to the Nuveen funds. In its review, the Board recognized the volatile market conditions occurring during the first half of 2020 arising, in part, from the public health crisis caused by the novel coronavirus known as COVID-19 and the resulting impact on fund performance. Accordingly, the Board reviewed, among other things, fund performance reflecting the more volatile periods, including for various time periods ended the first quarter of 2020 and for various time periods ended April 17, 2020. At the April Meeting, the Board Members asked questions and requested additional information that was provided for the May Meeting. In continuing its review of the Nuveen funds in light of the extraordinary market conditions experienced in early 2020, the Board received updated fund performance data reflecting various time periods ended May 8, 2020 for its May Meeting. The Board also continued its practice of seeking to meet periodically with the various sub-advisers to the Nuveen funds and their investment teams, when feasible.
The Independent Board Members considered the review of the advisory agreements for the Nuveen funds 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 Adviser and sub-advisers in their review of the advisory agreements. The contractual arrangements are a result of multiple years of review, negotiation and information provided in connection with the boards’ annual review of the Nuveen funds’ advisory arrangements and oversight of the Nuveen funds.
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Annual Investment Management Agreement Approval Process (continued)
The Independent Board Members were advised by independent legal counsel during the annual review process as well as throughout the year, including meeting in executive sessions with such counsel at which no representatives from the Adviser or the Sub-Adviser were present. In connection with their annual review, 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’s decision to renew the Advisory Agreements was not based on a single identified factor, but rather the decision reflected the comprehensive consideration of all the information provided throughout the year and at the April and May Meetings, 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 and information, 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 with particular focus on the services and enhancements to such services provided during the last year. The Independent Board Members considered the Investment Management Agreements and the Sub-Advisory Agreements separately in the course of their review. With this approach, they considered the respective roles of the Adviser and the Sub-Adviser in providing services to the Funds.
With respect to the Adviser, the Board recognized that the Adviser has provided a vast array of services the scope of which has expanded over the years in light of regulatory, market and other developments, such as the development of a liquidity management program and expanded compliance programs for the Nuveen funds. The Board also noted the extensive resources, tools and capabilities the Adviser and its affiliates devoted to the various operations of the Nuveen funds. These services include, but are not limited to: investment oversight, risk management and securities valuation services (such as analyzing investment performance and risk data; overseeing and reviewing the various sub-advisers to the Nuveen funds and their investment teams; overseeing trade execution, soft dollar practices and securities lending activities; providing daily valuation services and developing related valuation policies, procedures and methodologies; overseeing risk disclosure; periodic testing of investment and liquidity risks; participating in financial statement and marketing disclosures; participating in product development; and participating in leverage management and liquidity monitoring); product management (such as analyzing a fund’s position in the marketplace, setting dividends, preparing shareholder and intermediary communications and other due diligence support); fund administration (such as preparing fund tax returns and other tax compliance services, overseeing the funds’ independent public accountants and other service providers; managing fund budgets and expenses; and helping to fulfill the funds’ regulatory filing requirements); oversight of shareholder services and transfer agency functions (such as overseeing transfer agent service providers which include registered shareholder customer service and transaction processing; and overseeing proxy solicitation and tabulation services); Board relations services (such as organizing and administering Board and committee meetings, preparing various reports to the Board and committees and providing other support services); compliance and regulatory oversight services (such as devising compliance programs; managing compliance policies; monitoring compliance with applicable fund policies and laws and regulations; and evaluating the compliance programs of the various sub-advisers to the Nuveen funds and certain other service providers); and legal support and oversight of outside law firms (such as helping to prepare and file registration statements and proxy statements; overseeing fund activities and providing legal interpretations regarding such activities; and negotiating agreements with other fund service providers).
The Board also recognized that the Adviser and its affiliates have undertaken a number of initiatives over the previous year that benefited the complex and/or particular Nuveen funds including, but not limited to:
| • | Fund Improvements and Product Management Initiatives – continuing to proactively manage the Nuveen fund complex as a whole and at the individual fund level with an aim to enhance the shareholder outcomes through, among other things, rationalizing the product line and gaining efficiencies through mergers, repositionings and liquidations; launching new share classes; reviewing and updating investment policies and benchmarks; closing funds to new investments; rebranding the exchange-traded fund (“ETF”) product line; and integrating certain investment teams and changing the portfolio managers serving various funds; |
| • | Capital Initiatives – continuing to invest capital to support new Nuveen funds with initial capital as well as to facilitate modifications to the strategies or structure of existing funds; |
| • | Liquidity Management – implementing the liquidity risk management program which was designed to assess and manage the liquidity risk of the Nuveen funds. The Board noted that this program was particularly helpful in addressing the high volatility and liquidity challenges that arose in the market, particularly for the high yield municipal sector, during the first half of 2020; |
| • | Compliance Program Initiatives – continuing efforts to mitigate compliance risk, increase operating efficiencies, strengthen key compliance program elements and support international business growth and other objectives through, among other things, integrating various investment teams across affiliates, consolidating marketing review functions, enhancing compliance related technologies and establishing and maintaining shared broad-based compliance policies throughout the organization and its affiliates; |
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| • | Risk Management and Valuation Services – continuing efforts to provide Nuveen with a more disciplined and consistent approach to identifying and mitigating the firm’s operational risks through, among other things, enhancing the interaction and reporting between the investment risk management team and various affiliates and adopting a risk operational framework across the complex; |
| • | Regulatory Matters – continuing efforts to monitor regulatory trends and advocate on behalf of the Nuveen funds, to implement and comply with new or revised rules and mandates and to respond to regulatory inquiries and exams; |
| • | Government Relations – continuing efforts of various Nuveen teams and affiliates to develop policy positions on a broad range of issues that may impact the Nuveen funds, advocate and communicate these positions to lawmakers and other regulatory authorities and work with trade associations to ensure these positions are represented; |
| • | Business Continuity, Disaster Recovery and Information Services – continuing to periodically test business continuity and disaster recovery plans, maintain an information security program designed to identify and manage information security risks, and provide reports to the Board, at least annually, addressing, among other things, management’s security risk assessment, cyber risk profile, potential impact of new or revised laws and regulations, incident tracking and other relevant information technology risk-related reports; and |
| • | Expanded Dividend Management Services – continuing to manage the dividends among the varying types of Nuveen funds within the Nuveen complex to be consistent with the respective fund’s product design and investing resources to develop systems to assist in the process for newer products such as target term funds and ETFs. |
The Board also noted the benefits to shareholders of investing in a Nuveen fund, as each Nuveen fund is a part of a large fund complex with a variety of investment disciplines, capabilities, expertise and resources available to navigate and support the funds including during stressed times as occurred in the market in the first half of 2020. In addition to the services provided by the Adviser, the Board also considered the risks borne by the Adviser and its affiliates in managing the Nuveen funds, including entrepreneurial, operational, reputational, regulatory and litigation risks.
The Board further considered the division of responsibilities between the Adviser and the Sub-Adviser and recognized that the Sub-Adviser and its investment personnel generally are responsible for the management of each Fund’s portfolio under the oversight of the Adviser and the Board. The Board considered an analysis of the Sub-Adviser provided by the Adviser which included, among other things, the Sub-Adviser’s assets under management and changes thereto, a summary of the applicable investment team and changes thereto, the investment approach of the team and the performance of the funds sub-advised by the Sub-Adviser over various periods. The Board further considered at the May Meeting or prior meetings evaluations of the Sub-Adviser’s compliance program and trade execution. The Board also considered the structure of investment personnel compensation programs and whether this structure provides appropriate incentives to act in the best interests of the respective Nuveen funds. 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
In evaluating the quality of the services provided by the Fund Advisers, the Board also received and considered a variety of investment performance data of the Nuveen funds they advise. In this regard, the Board reviewed, among other things, Fund performance over the quarter, one-, three- and five-year periods ending December 31, 2019. The performance data was based on Class A shares; however, 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. Unless otherwise indicated, the performance data referenced below reflects the periods ended December 31, 2019. In general, the year 2019 was a period of strong market performance. However, as noted above, the Board recognized the unprecedented market volatility and decline that occurred in early 2020 and the significant impact it would have on fund performance. As a result, the Board reviewed performance data capturing more recent time periods, including performance data reflecting the first quarter of 2020 as well as performance data for various periods ended April 17, 2020 for its April Meeting and May 8, 2020 for its May Meeting.
The Board reviewed both absolute and relative fund performance during the annual review over the various time periods. With respect to the latter, the Board considered fund performance 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). For funds that had changes in portfolio managers, the Board considered performance data of such funds before and after such changes. In considering performance data, the Board is aware of certain inherent limitations with such data, including that differences between the objective(s), strategies and other characteristics of the Nuveen funds compared to the respective Performance Peer Group and/or benchmark(s) (such as differences in the use of leverage) as well as differences in the composition of the Performance Peer Group over time will necessarily contribute to differences in performance results and limit the value of the comparative information. To assist the Board in its review of the comparability of the relative performance, the Adviser has ranked the relevancy of the peer group to the funds as low, medium or high.
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Annual Investment Management Agreement Approval Process (continued)
As noted above, the Board reviewed fund performance over various periods ended December 31, 2019 as well as the first quarter of 2020 and various time periods ended April 17, 2020 and May 8, 2020. In light of the significant market decline in the early part of 2020, the Board noted that a shorter period of underperformance may significantly impact longer term performance. Further, the Board recognized that performance data may differ significantly depending on the ending date selected and accordingly, performance results for periods ended at the year-end of 2019 may vary significantly from performance results for periods ended in the first quarter of 2020, particularly given the extraordinary market conditions at that time as the impact of COVID-19 and other market developments unfolded. The Board considered a fund’s performance in light of the overall financial market conditions. In addition, the Board recognized that shareholders may evaluate performance based on their own holding periods which may differ from the periods reviewed by the Board and lead to differing results.
In addition to the performance data prepared in connection with the annual review of the advisory agreements of the Nuveen funds, the Board reviewed fund performance throughout the year at its quarterly meetings representing differing time periods and took into account the discussions that occurred at these Board meetings in evaluating a fund’s overall performance. The Board also considered, among other things, the Adviser’s analysis of each Nuveen fund’s performance, with particular focus on funds that were considered performance outliers (both overperformance and underperformance), the factors contributing to the performance and any steps taken to address any performance concerns. Given the volatile market conditions of early 2020, the Board considered the Adviser’s analysis of the impact of such conditions on the Nuveen funds’ performance.
The Board evaluated performance in light of various factors, including general market conditions, issuer-specific information, asset class information, fund cash flows and other factors. Accordingly, depending on the facts and circumstances, the Board may be satisfied with a fund’s performance notwithstanding that its performance may be below its benchmark or peer group for certain periods. However, 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.
The Board’s determinations with respect to each Fund are summarized below.
For Nuveen California High Yield Municipal Bond Fund (the “High Yield Fund”), the Board noted that although the Fund’s performance was below the performance of its benchmark for the three- and five-year periods ended December 31, 2019, the Fund outperformed its benchmark for the one-year period ended December 31, 2019. The Fund further ranked in the first quartile of its Performance Peer Group for the one-, three- and five-year periods ended December 31, 2019. With the market decline in the first quarter of 2020, although the Fund’s performance was below the performance of its benchmark for the five-year period ended March 31, 2020, the Fund outperformed its benchmark for the one- and three-year periods ended March 31, 2020. The Fund further ranked in the third quartile of its Performance Peer Group for the one-year period ended March 31, 2020 and the first quartile of its Performance Peer Group for the three- and five-year periods ended March 31, 2020. In its review, the Board noted that the Performance Peer Group was classified as low for relevancy. Given the turmoil, rate volatility, and liquidity stresses experienced in the high yield municipals market as well as the outflows during the first quarter of 2020, the Board was satisfied with the Adviser’s explanation of the factors affecting the Fund’s performance.
For Nuveen California Municipal Bond Fund (the “Municipal Fund”), the Board noted that the Fund outperformed its benchmark for the one-, three- and five-year periods ended December 31, 2019. The Fund further ranked in the third quartile of its Performance Peer Group for the one-year period ended December 31, 2019 and second quartile for the three- and five-year periods ended December 31, 2019. With the market decline in the first quarter of 2020, although the Fund’s performance was below the performance of its benchmark for the one- and three-year periods ended March 31, 2020, the Fund slightly outperformed its benchmark for the five-year period ended March 31, 2020. The Fund further ranked in the second quartile of its Performance Peer Group for the one-, three- and five-year periods ended March 31, 2020. The Board was satisfied with the Fund’s overall performance.
C. Fees, Expenses and Profitability
1. Fees and Expenses
As part of its annual review, the Board considered the contractual management fee and net management fee (the management fee after taking into consideration fee waivers and/or expense reimbursements, if any) paid by a Nuveen fund to the Adviser in light of the nature, extent and quality of the services provided. The Board also considered the total operating expense ratio of each Nuveen fund before and after any fee waivers and/or expense reimbursements. 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 as well as changes to the composition of the Peer Group and/or Peer Universe from year to year 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 Nuveen fund with a net expense ratio of six basis points or higher compared to that of its peer average (each, an “Expense Outlier Fund”) and 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
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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. The Independent Board Members also considered, in relevant part, a fund’s net management fee and net total expense ratio in light of its performance history.
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 Board noted that across the Nuveen fund complex, the complex-wide fee breakpoints reduced fees by $56.6 million and fund-level breakpoints reduced fees by $66.8 million in 2019. Further, fee caps and waivers for all applicable Nuveen funds saved approximately an additional $13.7 million in fees for shareholders in 2019.
With respect to the Sub-Adviser, the Board also considered the sub-advisory fee schedule paid to the Sub-Adviser in light of the sub-advisory services provided to the respective Fund, the breakpoint schedule and comparative data of the fees the Sub-Adviser charges to other clients, if any. In its review, the Board recognized that the compensation paid to the Sub-Adviser is the responsibility of the Adviser, not the Funds.
The Board noted that (i) the High Yield Fund had a net management fee that was slightly higher than its peer average, but a net expense ratio that was in line with its peer average; and (ii) the Municipal Fund had a net management fee that was in line with its peer average and a net expense ratio that was below its peer average.
Based on its 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 considered information regarding the fee rates the respective Fund Advisers charged to certain other types of clients and the type of services provided to these other clients. With respect to the Adviser and/or the Sub-Adviser, 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. With respect to the Sub-Adviser, the Board reviewed, among other things, the fee range and average fee of municipal retail wrap accounts and municipal institutional accounts.
In considering the fee data of other clients, the Board considered, among other things, the differences in the amount, type and level of services provided to the Nuveen funds relative to other clients 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. The Board recognized the complexity and myriad of services the Adviser had provided to the Nuveen funds compared to the other types of clients as the Adviser is principally responsible for all aspects of operating the funds, including complying with the increased regulatory requirements required when managing the funds as well as the increased entrepreneurial, legal and regulatory risks that the Adviser incurs in sponsoring and managing the funds. Further, with respect to ETFs, the Board considered that Nuveen ETFs are passively managed compared to the active management of the other Nuveen funds which contributed to the differences in fee levels between the Nuveen ETFs and other Nuveen funds. In general, higher fee levels reflect higher levels of service provided by the Adviser, 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, legal and regulatory risks incurred in sponsoring and advising a registered investment company.
3. Profitability of Fund Advisers
In their review, the Independent Board Members considered information regarding Nuveen’s level of profitability for its advisory services to the Nuveen funds for the calendar years 2019 and 2018. The Board reviewed, among other things, Nuveen’s net margins (pre-tax) (both including and excluding distribution expenses); gross and net revenue margins (pre- and post-tax); revenues, expenses, and net income (pre-tax and after-tax and before distribution) of Nuveen for fund advisory services; and comparative profitability data comparing the margins of Nuveen compared to the adjusted margins of certain peers with publicly available data and with the most comparable assets under management (based on asset size and asset composition) for each of the last two calendar years. The Board also reviewed the revenues and expenses the Adviser derived from its ETF product line for the 2018 and 2019 calendar years.
In reviewing the profitability data, the Independent Board Members recognized the subjective nature of calculating profitability as the information is not audited and is dependent on cost allocation methodologies to allocate expenses of Nuveen and its affiliates between the fund and non-fund businesses. The expenses to be allocated include direct expenses in servicing the Nuveen funds as well as indirect and/or shared costs (such as overhead, legal and compliance) some of which are attributed to the Nuveen funds pursuant to the cost allocation methodologies. The Independent Board Members reviewed a description of the cost allocation methodologies employed to develop the financial information and a summary of
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Annual Investment Management Agreement Approval Process (continued)
the history of changes to the methodology over the eleven-year period from 2008 to 2019. The Board had also appointed three Independent Board Members, along with the assistance of independent counsel, to serve as the Board’s liaisons to review the development of the profitability data and any proposed changes to the cost allocation methodology prior to incorporating any such changes and to report to the full Board. The Board recognized that other reasonable and valid allocation methodologies could be employed and could lead to significantly different results. Based on the data, the Independent Board Members noted that Nuveen’s net margins were higher in 2019 than the previous year and considered the key drivers behind the revenue and expense changes that impacted Nuveen’s net margins between the years. The Board also noted the reinvestments of some of the profits into the business through, among other things, the investment of seed capital in certain funds and continued investments in enhancements to information technology, internal infrastructure and data management improvements and global investment and innovation projects.
As noted above, the Independent Board Members also considered Nuveen’s margins from its relationship to the Nuveen funds compared to the adjusted margins of certain peers with publicly available data and with the most comparable assets under management (based on asset size and asset composition) to Nuveen for the calendar years 2019 and 2018. The Independent Board Members noted that Nuveen’s margins from its relationships with the Nuveen funds were on the low range compared to the adjusted margins of the peers. The Independent Board Members, however, recognized that it is difficult to make comparisons of profitability with other investment adviser peers given that comparative data is not generally public and the calculation of profitability is subjective and affected by numerous factors (such as types of funds a peer manages, its business mix, its cost of capital, the numerous assumptions underlying the methodology used to allocate expenses and other factors) which can have a significant impact on the results.
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 2019 and 2018 calendar years to consider the financial strength of TIAA. The Board recognized the benefit of having an investment adviser and its parent with significant resources, particularly during periods of market stress.
In addition to Nuveen, the Independent Board Members also considered the profitability of the Sub-Adviser from its relationships with the Nuveen funds. In this regard, the Independent Board Members reviewed, among other things, the Sub-Adviser’s revenues, expenses and net revenue margins (pre- and post-tax) for its advisory activities for the calendar year ended December 31, 2019 as well as its pre-tax and after-tax net revenue margins for 2019 compared to such margins for 2018. 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 ended December 31, 2019 and the pre- and post-tax revenue margins from 2019 and 2018.
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 Board considered whether there have been economies of scale with respect to the management of the Nuveen funds and whether these economies of scale have been appropriately shared with the funds. The Board recognized that although economies of scale are difficult to measure, there are several methods to help share the benefits of economies of scale, including breakpoints in the management fee schedule, fee waivers and/or expense limitations, the pricing of Nuveen funds at scale at inception and investments in Nuveen’s business which can enhance the services provided to the funds for the fees paid. The Board noted that Nuveen generally has employed these various methods. In this regard, the Board noted that the management fee of the Adviser is generally comprised of a fund-level component and a complex-level component each with its own breakpoint schedule, subject to certain exceptions. The Board reviewed the fund-level and complex-level fee schedules. The Board considered that the fund-level breakpoint schedules are designed to share economies of scale with shareholders if the particular fund grows, and the complex-level breakpoint schedule is designed to deliver the benefits of economies of scale to shareholders when the eligible assets in the complex pass certain thresholds even if the assets of a particular fund are unchanged or have declined. In the calculation of the complex-level component, the Board noted that it had approved the acquisition of several Nuveen funds by similar TIAA-CREF funds in 2019. However, to mitigate the loss of the assets of these Nuveen funds deemed eligible to be included in the calculation of the complex-wide fee when these Nuveen funds left the complex upon acquisition, Nuveen agreed to credit approximately $460 million to assets under management to the Nuveen complex in calculating the complex-wide component.
In addition to the fund-level and complex-level fee schedules, the Independent Board Members considered the temporary and/or permanent expense caps applicable to certain Nuveen funds (including the amounts of fees waived or amounts reimbursed to the respective funds in 2018 and 2019), including the permanent expense caps applicable to the Funds.
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The Independent Board Members also recognized the Adviser’s continued reinvestment in its business through, among other things, investments in its business infrastructure and information technology, portfolio accounting system and other systems and platforms that will, among other things, support growth, simplify and enhance information sharing, and enhance the investment process 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 recognized that an affiliate of the Adviser serves as principal underwriter providing distribution and/or shareholder services to the open-end funds. The Independent Board Members further noted that subject to certain exceptions, the Nuveen open-end funds pay 12b-1 fees and while a majority of such fees were paid to third party broker-dealers, the Board reviewed the amount retained by the Adviser’s affiliate. In addition, the Independent Board Members also noted that various sub-advisers (including the Sub-Adviser) may engage in soft dollar transactions pursuant to which they may receive the benefit of research products and other services provided by broker-dealers executing portfolio transactions on behalf of the applicable Nuveen funds, although the Board recognized that certain sub-advisers may be phasing out the use of soft dollars over time.
The Board, however, noted that the benefits for the Sub-Adviser when 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 considered 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 Nuveen funds to the extent it enhances the ability of the Sub-Adviser to manage such funds or is acquired through the commissions paid on portfolio transactions of other clients.
Based on its 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.
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Liquidity Risk Management Program
Discussion of the operation and effectiveness of the Funds’ liquidity risk management program
In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), each Fund covered in this Report (the “Funds”) has adopted and implemented a liquidity risk management program (the “Program”), which is designed to manage the Fund’s liquidity risk. The Program consists of various protocols for assessing and managing each Fund’s liquidity risk. The Funds’ Board of Trustees previously designated Nuveen Fund Advisors, LLC, the Funds’ investment adviser, as the Administrator of the Program. The adviser’s Liquidity Monitoring and Analysis Team (“LMAT”) carries out day-to-day Program management with oversight by the adviser’s Liquidity Oversight Sub-Committee (the LOSC”). The LOSC is composed of personnel from the adviser and Teachers Advisors, LLC, an affiliate of the adviser.
At a May 20, 2020 meeting of the Board, the Administrator provided the Board with a written report addressing the Program’s operation, adequacy and effectiveness of implementation for calendar year 2019 (the “Review Period”), as required under the Liquidity Rule. The report noted that the Program has been and continues to be adequately and effectively implemented to monitor and (as applicable) respond to each Fund’s liquidity developments.
In accordance with the Program, the LMAT assesses each Fund’s liquidity risk no less frequently than annually based on various factors, such as (i) the Fund’s investment strategy and the liquidity of portfolio investments, (ii) cash flow projections, and (iii) holdings of cash and cash equivalents, borrowing arrangements, and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions.
Each Fund portfolio investment is classified into one of four liquidity categories (including the most liquid, “Highly Liquid”, and the least liquid, “Illiquid”, discussed below). The classification is based on a determination of how long it is reasonably expected to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the market value of the investment. Liquidity classification determinations take into account various market, trading, and investment-specific considerations, as well as market depth, and use third-party vendor data.
Any Fund that does not primarily hold highly liquid investments must, among other things, determine a minimum percentage of Fund assets that must be invested in highly liquid investments (a “Highly Liquid Investment Minimum”). During the Review Period, Nuveen California High Yield Municipal Bond Fund determined that it would hold a minimum of 25% of its assets in highly liquid investments, and it maintained at least that amount during the Review period. Nuveen California Municipal Bond Fund, primarily held Highly Liquid investments and therefore was exempt from the requirement to adopt a Highly Liquid Investment Minimum and to comply with the related requirements under the Liquidity Rule.
The Liquidity Rule also limits a Fund’s investments in Illiquid investments. Specifically, the Liquidity Rule prohibits a Fund from acquiring Illiquid investments if doing so would result in the Fund holding more than 15% of its net assets in Illiquid investments, and requires certain reporting to the Fund Board and the Securities and Exchange Commission any time a Fund’s holdings of Illiquid investments exceeds 15% of net assets. During the Review Period, no Fund exceeded the 15% limit on Illiquid investments. However, the Nuveen California High Yield Municipal Bond Fund exceeded the 15% limit on Illiquid investments for two business days after the end of the Review Period, which will be discussed in next year’s annual shareholder report in connection with discussing the operations of that Fund’s liquidity risk management program during 2020.
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Nuveen:
Serving Investors for Generations
Serving Investors for Generations
Since 1898, financial professionals 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 professional, 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 MSA-CA-0820D1347338-INV-B-10/21
Mutual Funds
31 August 2020
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.
Semiannual Report
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Table
of Contents
3
Chair’s Letter to Shareholders
Dear Shareholders,
The COVID-19 crisis is taking an unprecedented toll on our health, societies, economies and financial markets. Our thoughts are with you during this time of significant disruption caused by the disease and its economic fallout.
A renewed increase in COVID-19 cases in some areas, including an outbreak affecting President Trump and White House staffers and contacts, showed that controlling the spread of the novel coronavirus remains an ongoing public health concern as economies reopen and social activities resume. In the meantime, medical knowledge is improving and some areas have been able to implement much narrower restrictions when infection clusters have recurred. This has helped an economic recovery gain traction, with a significant recovery in jobs, consumer spending, manufacturing and other indicators from their weakest levels. Additionally, progress toward a vaccine and treatments has been promising, while the timeline is unknown. Markets have recently taken an optimistic view, but the path of the economy from here and the upcoming U.S. presidential election are increasingly in the forefront.
While we do not want to understate the dampening effect on the global economy, it is important to differentiate short-term interruptions from the longer-lasting implications to the economy. Prior to the COVID-19 crisis, some areas of the global economy were showing signs of improvement after trade tensions had weighed on economic activity for much of 2019. More recently, countries that have reopened have seen marked improvement in some near-term economic indicators. Central banks and governments around the world have announced economic stimulus measures and pledged to continue doing what it takes to support their economies. In the U.S., the Federal Reserve has cut its benchmark interest rate to near zero and introduced similar programs that helped revive the U.S. economy after the 2008 financial crisis. The U.S. Government has approved three relief packages, including a $2 trillion-dollar package directly supporting businesses and individuals. The Coronavirus Aid, Relief and Economic Security Act, called the CARES Act, has provided direct payments and expanded unemployment benefits to individuals, loans and grants to small businesses, loans and other money to large corporations and funding for hospitals, public health, education and state and local governments. In the European Union, the European Central Bank recently increased the size of its Pandemic Emergency Purchase Program, known as PEPP, to $1.6 trillion from $882 billion and extended its duration to June 2021.
In the meantime, patience and a long-term perspective are key for investors. When market fluctuations are the leading headlines day after day, it’s tempting to “do something.” However, your long-term goals can’t be met with short-term thinking. We encourage you to talk to your financial professional, who can review your time horizon, risk tolerance and investment goals. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.
Sincerely,
Terence J. Toth
Chair of the Board
October 23, 2020
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 Fund Advisors, LLC, the Funds’ investment adviser. Portfolio managers Michael S. Hamilton, Paul L. Brennan, CFA, and Scott R. Romans, PhD, review key investment strategies, and the Funds’ performance during the six-month period ended August 31, 2020.
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.
An Update on COVID-19 Coronavirus and its Impact on the Securities Markets
Slowing COVID-19 coronavirus infection rates around the world encouraged authorities to loosen restrictions on business and social activity in recent months. While economic indicators have improved considerably from the depths of the shutdown, some regions, including the U.S. and Europe, have seen an uptick in infection rates after reopening, which prompted tightening coronavirus restrictions in some areas. Additionally, certain government programs supporting businesses and workers are expiring with little clarity on extensions or replacement options. Amid these challenges, the pace of recovery appeared to be moderating and short-term market volatility has picked up again.
The initial market response was severe, but the responses from central banks and governments to ease the strain on financial systems, businesses and individuals, as well as positive vaccine news, have helped markets bounce back from the depths of the crisis. Although the detection of the virus in China was made public in December 2019, markets did not start to fully acknowledge the risks and potential economic impact until the latter portion of February 2020, when outbreaks outside of China were first reported. Global stock markets sold off severely, with the S&P 500® index reaching a bear market (a 20% drop from the previous high) within three weeks, the fastest bear market decline in history. Even certain parts of the bond market suffered; below investment grade municipal and corporate bonds generally dropped the furthest, mostly out of concerns for the continued financial stability of lower quality issuers. Demand for safe-haven assets, along with mounting recession fears, drove the yield on the 10-year U.S. Treasury note to 0.5% in March 2020, an all-time low. Additionally, oil prices collapsed to an 18-year low on supply glut concerns, as shutdowns across the global economy sharply reduced oil demand, although oil prices have recovered to well above those lows.
While most markets have recovered most of their losses, volatility will likely remain elevated until the health crisis itself is under control (via fewer new cases, lower infection rates and/or verified treatments or vaccines). There are still many unknowns and new information is incoming daily, compounding the difficulty of modeling outcomes for epidemiologists and economists alike.
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 not rated by these national ratings 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)
Nuveen, LLC and our portfolio management teams are monitoring the situation carefully and continuously refining our views and approaches to managing the Funds to best pursue investment objectives while mitigating risks through all market environments.
How did the Funds perform during the six-month reporting period ended August 31, 2020?
The tables in the Fund Performance, Expense Ratios and Effective Leverage Ratios section of this report provide total returns for the Funds for the six-month, one-year, five-year, ten-year and/or since inception periods ended August 31, 2020. 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 Funds underperformed the S&P Municipal Bond Index and their respective Lipper classification averages.
What strategies were used to manage the Funds during the reporting period and how did these strategies influence performance?
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.
Below we highlight the specific factors influencing each Fund’s investment strategy, as well as how we managed each portfolio in light of recent market conditions.
Nuveen Connecticut Municipal Bond Fund
The Class A Shares of the Nuveen Connecticut Municipal Bond Fund underperformed the S&P Municipal Bond Index for the six-month reporting period ended August 31, 2020.
The Fund’s credit quality allocation was the main detractor from performance versus the index. Throughout the reporting period, the Fund remained overweight in bonds with lower investment grade and below investment grade credit ratings. This positioning hurt the Fund when higher yielding bonds suffered steep price declines as municipal mutual funds were forced to sell such holdings to meet redemptions. Although these same higher yielding bonds staged a strong rebound from May 2020 through the end of the reporting period and contributed to relative performance, they only partially reclaimed their earlier losses and therefore detracted for the reporting period overall. Our corresponding underweighting in securities rated AAA and A also detracted from performance for the reporting period, given the overall relative outperformance of these credit quality tiers.
The Fund's overweighting in longer-duration securities added value, as bonds with greater sensitivity to declining interest rates outperformed shorter-duration (less interest rate sensitive) securities throughout the reporting period.
The early months of the reporting period provided a favorable backdrop for executing tax-loss swaps. We sold some lower-yielding holdings and replaced them with similarly structured issues with better income characteristics. These transactions offered the combined benefit of increasing the Fund’s income profile and creating a tax loss. This strategy entailed selling depreciated bonds with lower yields and buying similarly structured but higher yielding bonds. We implemented this approach to enhance the Fund’s income-earning capability and seek to make the Fund more tax efficient. We also swapped some non-rated Puerto Rico sales-tax bonds, known as COFINAs. (Bonds of U.S. territories may include exemption from most federal, state and local taxes.)
From May 2020 through the end of the reporting period, we received significant shareholder inflows and, to a lesser extent, proceeds from bond calls and maturities. This situation, along with the proceeds from a few bond sales we made at the beginning of the reporting period, allowed us to purchase new investments we found attractive without requiring us to sell existing portfolio holdings we liked. We bought bonds across several sectors, including state GO, local GO, higher education, and water/sewer. Our purchases were focused on securities with comparatively high yields and longer durations.
6
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 six-month reporting period ended August 31, 2020.
Security selection was the largest detractor from relative performance. The main negative factors included the Fund's overweightings in bonds from sectors hardest hit by the COVID-19 crisis shutdown of the economy. Specifically, the Fund’s holdings in the airport, higher education and CCRC (continuing care retirement communities) categories materially lagged the index. Meanwhile, the Fund's overweightings in the utilities, water/sewer and dedicated-tax sectors were slightly offsetting positive performance factors. These sectors performed well due to the issuers’ comparatively stable revenue and the essential nature of the services they provide.
Credit quality allocation detracted overall from relative performance. The Fund was overweight lower investment grade and below investment grade bonds, which hindered performance early in the reporting period when higher yielding bonds (rated A and below) suffered steep price declines. Even though these higher yielding bonds rallied strongly from May through August 2020, the gains were insufficient to offset the losses they incurred in the spring. Our accompanying underweight in securities rated AAA and AA also hurt performance as these bonds outperformed as investors gravitated toward higher quality securities throughout much of the reporting period.
The Fund entered the reporting period with a notable position in cash, reflecting new shareholder investments into the Fund just prior to March 2020. When we could not find what we viewed as attractively valued bond opportunities, we purchased variable rate demand notes (VRDNs). VRDNs are shorter-term securities whose tax-exempt coupons are reset on a daily or weekly basis, holding these investments provided the Fund with a low-risk, income-producing alternative to holding cash.
In March and April, our cash position and VRDN holdings served a useful purpose. The municipal market sell-off in March triggered shareholder outflows for municipal bond funds, including the Fund. To meet these redemptions, we used cash and sold VRDNs rather than longer-dated bond holdings we still liked but that were trading at distressed prices. In doing so, we preserved the overall structure of the portfolio and maintained exposure to bonds we believed would rebound over the longer term.
March and April 2020 also provided a favorable backdrop for executing tax-loss swaps. This strategy entailed selling depreciated bonds with lower yields and buying similarly structured but higher yielding bonds. We implemented this approach to enhance the Fund’s income-earning capability and seek to make the Fund more tax efficient.
From May 2020 through the end of the reporting period, the Fund had substantial shareholder inflows, allowing us to become active buyers of municipal debt. Our purchases were focused on higher rated securities, more commonly from the utilities and dedicated-tax sectors. We also added some higher yielding bonds, however, given our view that the March 2020 market downturn had created select purchase opportunities among lower quality credits. We added bonds in the higher education and health care sectors. We also added to existing holdings in non-rated Puerto Rico Sales Tax Financing Corp., securities known as COFINA bonds. (Bonds of U.S. territories may include exemption from most federal, state and local taxes.) We purchased these securities when we believed they were attractively valued, with what we viewed as high enough yields commensurate with their risk.
Nuveen New Jersey Municipal Bond Fund
The Class A Shares of the Nuveen New Jersey Municipal Bond Fund underperformed the S&P Municipal Bond Index for the six-month reporting period ended August 31, 2020.
The Fund’s biggest performance challenge was unfavorable security selection during this reporting period. The Fund's overweighting in New Jersey state debt relative to the national index was detrimental because these bonds lagged after Fitch Ratings downgraded the state’s credit quality in April 2020. Other notable detractors included various bonds of higher education issuers, which struggled due to concern about the financial effects of the COVID-19 crisis. The Fund's investments in debt of smaller, lower rated private colleges, student residence halls and state student loan programs detracted from the Fund’s result. The health care sector posed another performance challenge. New Jersey was one of the hardest-hit states early in the COVID-19 crisis. Accordingly, many of our health care holdings, especially those involving senior-living facilities, struggled during this reporting period.
7
Portfolio Managers’ Comments (continued)
Security selection was, in contrast, favorable in other sector categories including local tax-supported debt, particularly at the county and school district levels, whose bonds benefited from their relatively higher credit quality. Security selection in the transportation sector, and especially our allocation to seasoned New Jersey Turnpike bonds, also contributed to results, as did certain industrial development revenue bond holdings.
Credit quality positioning detracted from the Fund's performance results. Overweightings in bonds with credit ratings of BBB and A detracted, as lower rated debt struggled disproportionately as markets turned volatile in March and April 2020 and credit spreads dramatically widened before narrowing most but not all the way back through the end of the reporting period in August 2020.
Duration (interest rate) positioning was modestly negative. The Fund’s duration was modestly longer than that of the index. Given that the municipal yield curve steepened during the reporting period (meaning that rates on short-term bonds declined more than on long-term bonds), the Fund’s increased sensitivity to the long end of the curve slightly detracted from results. In addition, we hedged portfolio duration in the form of a short U.S. Treasury position. This stance hurt results, considering the outperformance of Treasuries’. The hedge, however, performed as intended, as it allowed us to maintain the Fund’s duration at our desired level while avoiding the need to sell longer-maturity positions we otherwise found attractive.
The Fund benefited from exposure to sectors with substantial higher quality issuance, which generally held up the best to market volatility in March and April 2020. For example, overweightings in the pre-refunded bond category added value, as these securities’ very short durations and high credit quality were helpful factors. An overweighting in the outperforming housing bond sector also contributed to performance.
However, certain sector overweightings hampered the Fund's performance. The Fund had more exposure than the index to New Jersey state debt, which detracted, considering the state’s credit downgrade. An overweighting in higher education and student loan debt also hurt results, given the category’s subpar showing. Worries about the financial impact of the COVID-19 crisis limited the performance of our overweightings in health care and transportation, while economic and commodity-price weakness hurt industrial development revenue bonds. An overweighting in the tobacco bond sector also underperformed.
In managing the Fund, our approach evolved along with the market environment. During mid-March 2020, conditions in the municipal bond market turned sharply negative as concern about the COVID-19 crisis grew and states implemented economic lockdowns and other social distancing measures. In this environment, we, like most other mutual funds, began seeing significant shareholder redemptions. To satisfy these investment outflows, we were mostly selling higher quality bonds, which included pre-refunded and local tax-supported debt, while also using available cash and utilizing standby credit facilities. We also engaged in some select selling of holdings with lower investment grade credit ratings, such as New Jersey state debt and toll road bonds.
Starting in May 2020 and continuing through the end of the reporting period, the municipal bond market gained momentum, especially higher rated bonds. Lower rated bonds, meanwhile, regained most but not all the value they lost during the market downturn in March and April 2020. As conditions improved, the backdrop of investment outflows reverted to one of inflows. Our focus thus turned to adding highly rated debt to replace some of the positions we had sold earlier in the reporting period.
Notable new purchases during this portion of the reporting period included bonds of Atlantic City Electric, New Jersey Housing and Mortgage Finance Agency, New Jersey American Water, and various county and local municipalities. Proceeds for these purchases came from new investment inflows, bond maturities and redemptions, cash in the portfolio, and selective selling of high grade bonds.
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 six-month reporting period ended August 31, 2020. The Fund also underperformed the state-specific S&P Municipal Bond New York Index during the reporting period.
8
Credit quality positioning had the largest detrimental impact on the Fund’s result relative to the national S&P Municipal Bond Index. Overweightings in bonds with credit ratings of BBB and lower, as well as non-rated bonds, detracted from the Fund's performance results, given that all these categories underperformed the market. Nearly this entire credit related underperformance came during a few weeks in March 2020, as market volatility surrounding the COVID-19 crisis triggered a liquidity crisis that weighed disproportionately on lower rated municipal bonds.
Duration positioning also hampered the Fund’s performance relative to the national index. Specifically, the portfolio was overweighted in bonds on the longer end of the yield curve. Because these securities lagged the index overall, they detracted from the Fund’s performance during the reporting period.
In contrast, favorable sector exposures contributed to results. Positive performing categories included pre-refunded bonds, which, due to their very short maturities and high credit quality, benefited disproportionately in a market environment that rewarded these characteristics. Other positively performing sectors included utilities, whose essential nature made these securities less vulnerable to the financial effects of the COVID-19 crisis and tobacco bonds. On the negative side, the transportation, health care and higher education sectors produced negative returns this reporting period, as concern about the COVID-19 crisis led investors to reassess the value of many bonds in these categories.
In managing the Fund during the six-month reporting period, we adapted our strategy to reflect evolving market conditions. At the beginning of March 2020, the municipal bond market continued to reflect low interest rates and tight credit spreads. As we received new investment inflows and as we saw limited value among lower rated debt, we focused our bond purchases on well structured, highly rated issues that we believed would be highly liquid. In our view, securities with these characteristics would be easier to sell should market conditions turn challenging.
That situation soon came to pass, as investors’ concern about the COVID-19 crisis accelerated starting in the middle of March 2020. These conditions lasted for several weeks. Like most other municipal bond funds during this time, the Fund began experiencing significant shareholder redemptions. We were well positioned to handle this market shift, however, because of our higher-than-usual allocation in highly rated, liquid debt. Compared with lower rated bonds, these securities maintained much more of their value during the market’s decline, making them an effective source of proceeds to satisfy redemptions. This strategy enabled us to avoid selling lower rated, higher yielding bonds we continued to like but that were trading at depressed levels.
We also sold some higher rated “placeholder” bonds to fund new purchases of lower rated issues that were available at unusually wide credit spreads during this period of market volatility. Our focus during this environment was to rely on Nuveen’s extensive credit research capabilities to find issuers with the potential to remain financially viable over the long term, even in an extended economic downturn.
We made lower rated bond purchases across several market segments, which included bonds for the New York City Metropolitan Transit Authority, commercial office projects related to the World Trade Center redevelopment, ports, airport and airport-related issues backed by airline leases of Delta Air Lines and American Airlines. Generally, our purchases were bonds rated A and lower, that offered relatively long maturities and provided what we believed was compelling value for shareholders.
Another strategy we employed during the reporting period was a favorable backdrop for executing tax-loss swaps. This strategy entailed selling depreciated bonds with lower yields and buying similarly structured but higher yielding bonds. We implemented this approach to enhance the Fund’s income earning capability and seek to make the Fund more tax efficient.
In the reporting period’s final four months, market conditions again began to resemble those in early March 2020, with tightening credit spreads and relative outperformance from lower rated issues. As municipal securities regained their footing, we were seeing fewer opportunities to purchase lower rated holdings. Accordingly, we again focused on adding high grade bonds to serve as placeholders that we believe can be easily sold to fund future purchases.
9
Portfolio Managers’ Comments (continued)
One notable exception to this trend, however, was that we continued to find attractively valued credit opportunities in sectors investors perceived as most vulnerable in a post-COVID economic environment. Due to investors’ uncertainty about how to value bonds in various categories, such as airline-related debt, we took advantage of opportunities to purchase these types of securities when we believed they were sufficiently higher yielding to compensate for any added risk.
10
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.
11
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.
Fund Performance
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 (i.e. cumulative returns). Since inception returns are shown for share classes that have less than 10-years of performance. 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.
Expense Ratios
The expense ratios shown are as of the Fund's most recent prospectus. The expense ratios shown reflect total operating expenses (before fee waivers and/or expense reimbursements, if any). The expense ratios include management fees and other fees and expenses.
Effective Leverage Ratios
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 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 and Expense Ratios
Average Annual Total Returns as of August 31, 2020
| Total Retuns as of August 31, 2020* | |||||||
| Cumulative | Average Annual | ||||||
| Inception Date | 6-Month | 1-Year | 5-Year | 10-Year | Expense Ratios | ||
| Class A Shares at NAV | 7/13/87 | (0.64)% | 2.29% | 3.27% | 3.45% | 0.81% | |
| Class A Shares at maximum Offering Price | 7/13/87 | (4.80)% | (1.96)% | 2.38% | 3.01% | - | |
| S&P Municipal Bond Index | - | 0.29% | 3.15% | 3.95% | 4.03% | - | |
| Lipper Other States Municipal Debt Funds Classification Average | - | (0.34)% | 2.14% | 3.01% | 3.20% | - | |
| Class C2 Shares | 10/04/93 | (1.01)% | 1.72% | 2.69% | 2.87% | 1.35% | |
| Class I Shares | 2/25/97 | (0.53)% | 2.51% | 3.49% | 3.66% | 0.60% | |
| Total Returns as of August 31, 2020* | |||||||
| Cumulative | Average Annual | ||||||
| Inception Date | 6-Month | 1-Year | 5-Year | Since Inception | Expense Ratios | ||
| Class C Shares | 2/10/14 | (1.13)% | 1.50% | 2.44% | 2.88% | 1.60% | |
* 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.
Effective Leverage Ratio as of August 31, 2020
| Effective Leverage Ratio | 0.59% |
14
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 and Expense Ratios
Average Annual Total Returns as of August 31, 2020
| Total Retuns as of August 31, 2020* | |||||||
| Cumulative | Average Annual | ||||||
| Inception Date | 6-Month | 1-Year | 5-Year | 10-Year | Expense Ratios | ||
| Class A Shares at NAV | 9/07/94 | (1.15)% | 1.99% | 3.50% | 3.68% | 0.79% | |
| Class A Shares at maximum Offering Price | 9/07/94 | (5.33)% | (2.31)% | 2.62% | 3.23% | - | |
| S&P Municipal Bond Index | - | 0.29% | 3.15% | 3.95% | 4.03% | - | |
| Lipper Massachusetts Municipal Debt Funds Classification Average | - | (0.93)% | 1.86% | 3.04% | 3.25% | - | |
| Class C2 Shares | 10/06/94 | (1.45)% | 1.41% | 2.93% | 3.11% | 1.34% | |
| Class I Shares | 12/22/86 | (1.07)% | 2.16% | 3.70% | 3.88% | 0.59% | |
| Total Returns as of August 31, 2020* | |||||||
| Cumulative | Average Annual | ||||||
| Inception Date | 6-Month | 1-Year | 5-Year | Since Inception | Expense Ratios | ||
| Class C Shares | 2/10/14 | (1.57)% | 1.27% | 2.69% | 3.18% | 1.59% | |
* 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.
Effective Leverage Ratio as of August 31, 2020
| Effective Leverage Ratio | 0.00% |
15
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 and Expense Ratios
Average Annual Total Returns as of August 31, 2020
| Total Retuns as of August 31, 2020* | |||||||
| Cumulative | Average Annual | ||||||
| Inception Date | 6-Month | 1-Year | 5-Year | 10-Year | Expense Ratios | ||
| Class A Shares at NAV | 9/06/94 | (1.82)% | 1.26% | 4.12% | 4.21% | 0.83% | |
| Class A Shares at maximum Offering Price | 9/06/94 | (5.98)% | (3.02)% | 3.24% | 3.77% | - | |
| S&P Municipal Bond Index | - | 0.29% | 3.15% | 3.95% | 4.03% | - | |
| Lipper New Jersey Municipal Debt Funds Classification Average | - | (1.64)% | 1.35% | 3.79% | 3.56% | - | |
| Class C2 Shares | 9/21/94 | (2.02)% | 0.79% | 3.57% | 3.64% | 1.39% | |
| Class I Shares | 2/28/92 | (1.72)% | 1.47% | 4.32% | 4.41% | 0.63% | |
| Total Returns as of August 31, 2020* | |||||||
| Cumulative | Average Annual | ||||||
| Inception Date | 6-Month | 1-Year | 5-Year | Since Inception | Expense Ratios | ||
| Class C Shares | 2/10/14 | (2.23)% | 0.44% | 3.29% | 3.52% | 1.63% | |
* 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.
Effective Leverage Ratio as of August 31, 2020
| Effective Leverage Ratio | 1.77% |
16
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 and Expense Ratios
Average Annual Total Returns as of August 31, 2020
| Total Retuns as of August 31, 2020* | |||||||
| Cumulative | Average Annual | ||||||
| Inception Date | 6-Month | 1-Year | 5-Year | 10-Year | Expense Ratios | ||
| Class A Shares at NAV | 9/07/94 | (2.69)% | 0.56% | 3.41% | 3.61% | 0.76% | |
| Class A Shares at maximum Offering Price | 9/07/94 | (6.81)% | (3.69)% | 2.53% | 3.16% | - | |
| S&P Municipal Bond New York Index | - | (0.61)% | 1.94% | 3.52% | 3.73% | - | |
| S&P Municipal Bond Index | - | 0.29% | 3.15% | 3.95% | 4.03% | - | |
| Lipper New York Municipal Debt Funds Classification Average | - | (2.02)% | 0.95% | 3.43% | 3.44% | - | |
| Class C2 Shares | 9/14/94 | (2.96)% | 0.01% | 2.86% | 3.04% | 1.32% | |
| Class I Shares | 12/22/86 | (2.58)% | 0.77% | 3.64% | 3.81% | 0.56% | |
| Total Returns as of August 31, 2020* | |||||||
| Cumulative | Average Annual | ||||||
| Inception Date | 6-Month | 1-Year | 5-Year | Since Inception | Expense Ratios | ||
| Class C Shares | 2/10/14 | (3.01)% | (0.17)% | 2.60% | 3.23% | 1.56% | |
* 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.
Effective Leverage Ratio as of August 31, 2020
| Effective Leverage Ratio | 0.00% |
17
Yields as of August 31, 2020
Dividend Yield is the most recent dividend per share (annualized) divided by the offering price per share.
The SEC 30-Day Yield is a standardized measure of a fund’s yield that accounts for the future amortization of premiums or discounts of bonds held in the fund’s portfolio. The SEC 30-Day Yield is computed under an SEC standardized formula and is based on the maximum offer price per share. Dividend Yield may differ from the SEC 30-Day Yield because the fund may be paying out more or less than it is earning and it may not include the effect of amortization of bond premium.
The Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis at 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 | 2.78% | 2.12% | 2.34% | 3.11% |
| SEC 30-Day Yield | 0.87% | 0.11% | 0.36% | 1.11% |
| Taxable-Equivalent Yield (47.8%)2 | 1.59% | 0.20% | 0.66% | 2.02% |
Nuveen Massachusetts Municipal Bond Fund
| Share Class | ||||
| Class A1 | Class C | Class C2 | Class I | |
| Dividend Yield | 2.15% | 1.45% | 1.68% | 2.42% |
| SEC 30-Day Yield | 0.93% | 0.17% | 0.42% | 1.17% |
| Taxable-Equivalent Yield (45.8%)2 | 1.69% | 0.31% | 0.76% | 2.13% |
Nuveen New Jersey Municipal Bond Fund
| Share Class | ||||
| Class A1 | Class C | Class C2 | Class I | |
| Dividend Yield | 2.52% | 1.87% | 2.13% | 2.83% |
| SEC 30-Day Yield | 1.35% | 0.61% | 0.86% | 1.61% |
| Taxable-Equivalent Yield (51.6%)2 | 2.79% | 1.26% | 1.78% | 3.33% |
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Nuveen New York Municipal Bond Fund
| Share Class | ||||
| Class A1 | Class C | Class C2 | Class I | |
| Dividend Yield | 2.70% | 2.01% | 2.28% | 3.03% |
| SEC 30-Day Yield | 1.40% | 0.66% | 0.91% | 1.66% |
| Taxable-Equivalent Yield (49.6%)2 | 2.77% | 1.30% | 1.80% | 3.28% |
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.
19
Holding Summaries as of August 31, 2020
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 | 99.7% |
| Other Assets Less Liabilities | 0.9% |
| Net Assets Plus Floating Rate Obligations | 100.6% |
| Floating Rate Obligations | (0.6)% |
| Net Assets | 100% |
| States and Territories (% of total municipal bonds) | |
| Connecticut | 92.8% |
| Guam | 2.6% |
| Puerto Rico | 1.9% |
| Illinois | 1.7% |
| Ohio | 0.6% |
| New York | 0.4% |
| Total | 100% |
| Portfolio Composition (% of total investments) | |
| Tax Obligation/General | 25.7% |
| Health Care | 16.8% |
| U.S. Guaranteed | 16.2% |
| Tax Obligation/Limited | 15.4% |
| Education and Civic Organizations | 10.6% |
| Water and Sewer | 9.3% |
| Other | 6.0% |
| Total | 100% |
| Bond Credit Quality (% of total investment exposure) | |
| U.S. Guaranteed | 16.2% |
| AAA | 2.0% |
| AA | 27.3% |
| A | 42.9% |
| BBB | 5.8% |
| BB or Lower | 2.6% |
| N/R (not rated) | 3.2% |
| Total | 100% |
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Nuveen Massachusetts Municipal Bond Fund
| Fund Allocation (% of net assets) | |
| Long-Term Municipal Bonds | 96.8% |
| Other Assets Less Liabilities | 3.2% |
| Net Assets | 100% |
| States and Territories (% of total municipal bonds) | |
| Massachusetts | 94.3% |
| Guam | 2.7% |
| Puerto Rico | 2.5% |
| Washington | 0.5% |
| Total | 100% |
| Portfolio Composition (% of total investments) | |
| Education and Civic Organizations | 22.6% |
| Health Care | 22.0% |
| Tax Obligation/Limited | 20.9% |
| Tax Obligation/General | 14.8% |
| Water and Sewer | 6.5% |
| U.S. Guaranteed | 6.1% |
| Other | 7.1% |
| Total | 100% |
| Bond Credit Quality (% of total investment exposure) | |
| U.S. Guaranteed | 5.3% |
| AAA | 8.8% |
| AA | 50.9% |
| A | 19.2% |
| BBB | 10.6% |
| BB or Lower | 3.0% |
| N/R (not rated) | 2.2% |
| Total | 100% |
21
Holding Summaries as of August 31, 2020 (continued)
Nuveen New Jersey Municipal Bond Fund
| Fund Allocation (% of net assets) | |
| Long-Term Municipal Bonds | 100.6% |
| Other Assets Less Liabilities | 1.2% |
| Net Assets Plus Floating Rate Obligations | 101.8% |
| Floating Rate Obligations | (1.8)% |
| Net Assets | 100% |
| States and Territories (% of total municipal bonds) | |
| New Jersey | 90.9% |
| Pennsylvania | 3.8% |
| New York | 2.4% |
| Delaware | 1.6% |
| Puerto Rico | 1.0% |
| Guam | 0.3% |
| Total | 100% |
| Portfolio Composition (% of total investments) | |
| Tax Obligation/Limited | 21.5% |
| Education and Civic Organizations | 16.6% |
| Transportation | 13.3% |
| Health Care | 12.9% |
| Tax Obligation/General | 10.6% |
| Utilities | 6.7% |
| Housing/Multifamily | 5.9% |
| Other | 12.5% |
| Total | 100% |
| Bond Credit Quality (% of total investment exposure) | |
| U.S. Guaranteed | 4.5% |
| AAA | 8.1% |
| AA | 36.5% |
| A | 18.6% |
| BBB | 22.9% |
| BB or Lower | 5.5% |
| N/R (not rated) | 3.9% |
| Total | 100% |
22
Nuveen New York Municipal Bond Fund
| Fund Allocation (% of net assets) | |
| Long-Term Municipal Bonds | 99.4% |
| Other Assets Less Liabilities | 0.6% |
| Net Assets | 100% |
| States and Territories (% of total municipal bonds) | |
| New York | 95.8% |
| Puerto Rico | 3.3% |
| Guam | 0.5% |
| New Jersey | 0.4% |
| Total | 100% |
| Portfolio Composition (% of total investments) | |
| Tax Obligation/Limited | 26.5% |
| Transportation | 22.8% |
| Education and Civic Organizations | 15.8% |
| Water and Sewer | 7.9% |
| Tax Obligation/General | 7.1% |
| Utilities | 5.9% |
| Other | 14.0% |
| Total | 100% |
| Bond Credit Quality (% of total investment exposure) | |
| U.S. Guaranteed | 4.1% |
| AAA | 13.4% |
| AA | 42.7% |
| A | 14.0% |
| BBB | 9.8% |
| BB or Lower | 8.2% |
| N/R (not rated) | 7.8% |
| Total | 100% |
23
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 and 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 August 31, 2020.
The beginning of the period is March 1, 2020.
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 | $ 993.57 | $ 988.72 | $ 989.85 | $ 994.71 |
| Expenses Incurred During the Period | $ 3.97 | $ 7.97 | $ 6.72 | $ 2.97 |
| Hypothetical Performance (5% annualized return before expenses) | ||||
| Beginning Account Value | $1,000.00 | $1,000.00 | $1,000.00 | $1,000.00 |
| Ending Account Value | $1,021.22 | $1,017.19 | $1,018.45 | $1,022.23 |
| Expenses Incurred During the Period | $ 4.02 | $ 8.08 | $ 6.82 | $ 3.01 |
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.79%, 1.59%, 1.34% and 0.59% for Classes A, C, C2 and I, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
24
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 | $ 988.48 | $ 984.32 | $ 985.50 | $ 989.34 |
| Expenses Incurred During the Period | $ 3.91 | $ 7.90 | $ 6.66 | $ 2.91 |
| Hypothetical Performance (5% annualized return before expenses) | ||||
| Beginning Account Value | $1,000.00 | $1,000.00 | $1,000.00 | $1,000.00 |
| Ending Account Value | $1,021.27 | $1,017.24 | $1,018.50 | $1,022.28 |
| Expenses Incurred During the Period | $ 3.97 | $ 8.03 | $ 6.77 | $ 2.96 |
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.78%, 1.58%, 1.33% and 0.58% for Classes A, C, C2 and I, respectively, multiplied by the average account value over the period, multiplied by 184/365 (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 | $ 981.76 | $ 977.65 | $ 979.81 | $ 982.84 |
| Expenses Incurred During the Period | $ 3.90 | $ 7.88 | $ 6.64 | $ 2.90 |
| Hypothetical Performance (5% annualized return before expenses) | ||||
| Beginning Account Value | $1,000.00 | $1,000.00 | $1,000.00 | $1,000.00 |
| Ending Account Value | $1,021.27 | $1,017.24 | $1,018.50 | $1,022.28 |
| Expenses Incurred During the Period | $ 3.97 | $ 8.03 | $ 6.77 | $ 2.96 |
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.78%, 1.58%, 1.33% and 0.58% for Classes A, C, C2 and I, respectively, multiplied by the average account value over the period, multiplied by 184/365 (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 | $ 973.06 | $ 969.88 | $ 970.37 | $ 974.15 |
| Expenses Incurred During the Period | $ 3.73 | $ 7.70 | $ 6.46 | $ 2.74 |
| Hypothetical Performance (5% annualized return before expenses) | ||||
| Beginning Account Value | $1,000.00 | $1,000.00 | $1,000.00 | $1,000.00 |
| Ending Account Value | $1,021.42 | $1,017.39 | $1,018.65 | $1,022.43 |
| Expenses Incurred During the Period | $ 3.82 | $ 7.88 | $ 6.61 | $ 2.80 |
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.75%, 1.55%, 1.30% and 0.55% for Classes A, C, C2 and I, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
25
Nuveen Connecticut Municipal Bond Fund
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| LONG-TERM INVESTMENTS – 99.7% | ||||||
| MUNICIPAL BONDS – 99.7% | ||||||
| Consumer Staples – 0.6% | ||||||
| $ 1,500 | Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue Bonds, Refunding Senior Lien Series 2020A-2 Class 1, 3.000%, 6/01/48 | 6/30 at 100.00 | BBB+ | $ 1,485,990 | ||
| Education and Civic Organizations – 10.6% | ||||||
| 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+ | 1,076,730 | ||
| 500 | 5.000%, 7/01/32 | 7/22 at 100.00 | A+ | 538,080 | ||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, Choate Rosemary Hall, Series 2020F: | ||||||
| 380 | 4.000%, 7/01/39 | 7/30 at 100.00 | Aa2 | 462,620 | ||
| 1,100 | 4.000%, 7/01/42 | 7/30 at 100.00 | Aa2 | 1,328,822 | ||
| 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- | 2,142,887 | ||
| 1,500 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, Series 2020T, 4.000%, 7/01/55 (WI/DD, Settling 9/10/20) | 7/30 at 100.00 | A- | 1,660,380 | ||
| 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 | 1,110,092 | ||
| 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- | 5,644,954 | ||
| 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- | 2,013,882 | ||
| 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 | 4,744,748 | ||
| 3,300 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Trinity College, Series 2020R, 4.000%, 6/01/45 | 6/30 at 100.00 | A+ | 3,748,701 | ||
| 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 | 2,163,880 | ||
| 250 | 5.000%, 7/01/38 | 7/28 at 100.00 | BBB | 269,930 | ||
| 950 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Westminster School, Series 2014H, 3.250%, 7/01/32 | 7/24 at 100.00 | A | 1,007,076 | ||
| 24,870 | Total Education and Civic Organizations | 27,912,782 | ||||
| Health Care – 16.8% | ||||||
| 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+ | 5,210,374 |
26
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Health Care (continued) | ||||||
| $ 695 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Griffin Hospital, Series 2020G-1, 5.000%, 7/01/39, 144A | 7/29 at 100.00 | BB+ | $760,267 | ||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford HealthCare Issue, Series 2020A: | ||||||
| 2,700 | 4.000%, 7/01/38 | 1/30 at 100.00 | A+ | 3,104,892 | ||
| 1,685 | 4.000%, 7/01/40 | 1/30 at 100.00 | A+ | 1,926,241 | ||
| 500 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford HealthCare, Series 2014E, 5.000%, 7/01/42 | 7/24 at 100.00 | A+ | 555,740 | ||
| 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 | 2,250,161 | ||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, Nuvance Health Series 2019A: | ||||||
| 2,885 | 4.000%, 7/01/41 | 7/29 at 100.00 | A- | 3,158,931 | ||
| 6,020 | 4.000%, 7/01/49 | 7/29 at 100.00 | A- | 6,504,490 | ||
| 4,020 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2010-I, 5.000%, 7/01/30 | 7/21 at 100.00 | BBB+ | 4,112,983 | ||
| 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+ | 4,176,680 | ||
| 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+ | 1,923,755 | ||
| 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- | 2,759,487 | ||
| 1,195 | 5.000%, 12/01/45 | 6/26 at 100.00 | AA- | 1,396,142 | ||
| 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- | 2,727,312 | ||
| 2,520 | 5.000%, 7/01/33 | 7/24 at 100.00 | AA- | 2,856,092 | ||
| 830 | 5.000%, 7/01/34 | 7/24 at 100.00 | AA- | 939,303 | ||
| 40,210 | Total Health Care | 44,362,850 | ||||
| Housing/Multifamily – 1.0% | ||||||
| 2,475 | Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2019B-1, 3.300%, 11/15/39 | 11/28 at 100.00 | AAA | 2,685,103 | ||
| Long-Term Care – 1.3% | ||||||
| 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 | 1,142,273 | ||
| 1,200 | 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 | 1,233,132 | ||
| 1,000 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Mary Wade Home Issue, Series 2019A-1, 5.000%, 10/01/39, 144A | 10/24 at 104.00 | BB | 1,022,640 | ||
| 3,300 | Total Long-Term Care | 3,398,045 |
27
Nuveen Connecticut Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/General – 25.6% | ||||||
| Bridgeport, Connecticut, General Obligation Bonds, Series 2014A: | ||||||
| $ 600 | 5.000%, 7/01/32 – AGM Insured | 7/24 at 100.00 | AA | $676,794 | ||
| 1,000 | 5.000%, 7/01/33 – AGM Insured | 7/24 at 100.00 | AA | 1,125,000 | ||
| 1,065 | 5.000%, 7/01/34 – AGM Insured | 7/24 at 100.00 | AA | 1,196,357 | ||
| 2,000 | Bridgeport, Connecticut, General Obligation Bonds, Series 2016D, 5.000%, 8/15/41 – AGM Insured | 8/26 at 100.00 | AA | 2,327,980 | ||
| 2,425 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut State University System, Series 2016P-1, 5.000%, 11/01/28 | 11/26 at 100.00 | A1 | 2,905,732 | ||
| 650 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, McLean Affiliates, Series 2020A, 5.000%, 1/01/45, 144A | 1/26 at 102.00 | BB+ | 690,911 | ||
| 1,325 | Connecticut State, General Obligation Bonds, Refunding Series 2018C, 5.000%, 6/15/38 | 6/28 at 100.00 | A1 | 1,634,931 | ||
| 1,000 | Connecticut State, General Obligation Bonds, Series 2011D, 5.000%, 11/01/31 | 11/21 at 100.00 | A1 | 1,046,850 | ||
| 2,400 | Connecticut State, General Obligation Bonds, Series 2014A, 5.000%, 3/01/31 | 3/24 at 100.00 | A1 | 2,718,024 | ||
| 3,000 | Connecticut State, General Obligation Bonds, Series 2014F, 5.000%, 11/15/34 | 11/24 at 100.00 | A1 | 3,441,810 | ||
| 2,370 | Connecticut State, General Obligation Bonds, Series 2015F, 5.000%, 11/15/34 | 11/25 at 100.00 | A1 | 2,799,136 | ||
| Connecticut State, General Obligation Bonds, Series 2017A: | ||||||
| 1,000 | 5.000%, 4/15/34 | 4/27 at 100.00 | A1 | 1,219,400 | ||
| 3,270 | 5.000%, 4/15/35 | 4/27 at 100.00 | A1 | 3,975,928 | ||
| 1,510 | Connecticut State, General Obligation Bonds, Series 2018A, 5.000%, 4/15/37 | 4/28 at 100.00 | A1 | 1,862,087 | ||
| Connecticut State, General Obligation Bonds, Series 2019A: | ||||||
| 1,150 | 5.000%, 4/15/36 | 4/29 at 100.00 | A1 | 1,449,632 | ||
| 1,450 | 4.000%, 4/15/37 (UB) (4) | 4/29 at 100.00 | A1 | 1,689,598 | ||
| 650 | 5.000%, 4/15/39 (UB) (4) | 4/29 at 100.00 | A1 | 811,675 | ||
| Connecticut State, General Obligation Bonds, Series 2020A: | ||||||
| 2,000 | 4.000%, 1/15/37 | 1/30 at 100.00 | A1 | 2,349,460 | ||
| 2,250 | 5.000%, 1/15/40 | 1/30 at 100.00 | A1 | 2,841,502 | ||
| 750 | Connecticut State, General Obligation Bonds, Series 2020C, 5.000%, 6/01/40 | 6/30 at 100.00 | A1 | 953,363 | ||
| East Lyme, Connecticut, General Obligation Bonds, Series 2020: | ||||||
| 880 | 3.000%, 7/15/38 | 7/28 at 100.00 | AA | 939,550 | ||
| 500 | 3.000%, 7/15/39 | 7/28 at 100.00 | AA | 532,390 | ||
| 325 | 3.000%, 7/15/40 | 7/28 at 100.00 | AA | 345,176 | ||
| 500 | Hamden, Connecticut, General Obligation Bonds, Series 2016, 5.000%, 8/15/33 – BAM Insured | 8/24 at 100.00 | AA | 561,935 | ||
| Hartford County Metropolitan District, Connecticut, General Obligation Bonds, Refunding Series 2019C: | ||||||
| 925 | 4.000%, 7/15/38 | 7/29 at 100.00 | AA | 1,077,616 | ||
| 1,000 | 4.000%, 7/15/40 | 7/29 at 100.00 | AA | 1,158,400 | ||
| 1,035 | Hartford County Metropolitan District, Connecticut, General Obligation Bonds, Series 2018, 5.000%, 7/15/35 | 7/28 at 100.00 | AA | 1,283,876 |
28
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/General (continued) | ||||||
| Hartford County Metropolitan District, Connecticut, General Obligation Bonds, Series 2019A: | ||||||
| $ 1,000 | 4.000%, 7/15/38 | 7/29 at 100.00 | AA | $1,164,990 | ||
| 1,075 | 4.000%, 7/15/39 | 7/29 at 100.00 | AA | 1,248,698 | ||
| 1,000 | New Haven, Connecticut, General Obligation Bonds, Refunding Series 2016A, 5.000%, 8/15/36 – AGM Insured | 8/26 at 100.00 | AA | 1,173,780 | ||
| New Haven, Connecticut, General Obligation Bonds, Series 2014A: | ||||||
| 810 | 5.000%, 8/01/30 – AGM Insured | 8/24 at 100.00 | AA | 916,977 | ||
| 700 | 5.000%, 8/01/31 – AGM Insured | 8/24 at 100.00 | AA | 790,454 | ||
| 850 | 5.000%, 8/01/32 – AGM Insured | 8/24 at 100.00 | AA | 958,451 | ||
| 850 | 5.000%, 8/01/34 – AGM Insured | 8/24 at 100.00 | AA | 954,669 | ||
| New Haven, Connecticut, General Obligation Bonds, Series 2015: | ||||||
| 795 | 5.000%, 9/01/32 – AGM Insured | 9/25 at 100.00 | AA | 920,880 | ||
| 1,620 | 5.000%, 9/01/33 – AGM Insured | 9/25 at 100.00 | AA | 1,870,630 | ||
| 500 | 5.000%, 9/01/35 – AGM Insured | 9/25 at 100.00 | AA | 575,285 | ||
| 485 | North Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 7/15/24 | No Opt. Call | Aa1 | 573,231 | ||
| 1,035 | Oxford, Connecticut, General Obligation Bonds, Series 2019A, 4.000%, 8/01/39 | 8/29 at 100.00 | Aa2 | 1,215,784 | ||
| 600 | Stratford, Connecticut, General Obligation Bonds, Series 2014, 5.000%, 12/15/34 | 12/22 at 100.00 | AA- | 658,818 | ||
| 2,370 | Stratford, Connecticut, General Obligation Bonds, Series 2017, 4.000%, 1/01/39 – BAM Insured | 1/27 at 100.00 | AA | 2,671,274 | ||
| Waterbury, Connecticut, General Obligation Bonds, Lot A Series 2015: | ||||||
| 555 | 5.000%, 8/01/30 – BAM Insured | 8/25 at 100.00 | AA | 666,910 | ||
| 485 | 5.000%, 8/01/31 – BAM Insured | 8/25 at 100.00 | AA | 581,239 | ||
| 765 | 5.000%, 8/01/32 – BAM Insured | 8/25 at 100.00 | AA | 915,583 | ||
| 555 | 5.000%, 8/01/33 – BAM Insured | 8/25 at 100.00 | AA | 663,358 | ||
| 555 | 5.000%, 8/01/34 – BAM Insured | 8/25 at 100.00 | AA | 662,770 | ||
| 2,000 | West Haven, Connecticut, General Obligation Bonds, Series 2012, 5.000%, 8/01/24 – AGM Insured | 8/22 at 100.00 | AA | 2,158,780 | ||
| 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 | 1,300,608 | ||
| 1,415 | 7.000%, 12/01/25 – AGM Insured | 12/20 at 100.00 | AA | 1,437,781 | ||
| 58,330 | Total Tax Obligation/General | 67,696,063 | ||||
| Tax Obligation/Limited – 15.4% | ||||||
| 760 | Connecticut Higher Education Supplemental Loan Authority, Revenue Bonds, CHELSA Loan Program, Series 2010A, 4.000%, 11/15/30 | 11/20 at 100.00 | A1 | 765,898 | ||
| 2,000 | Connecticut Higher Education Supplemental Loan Authority, State Supported Revenue Bonds, CHESLA Loan Program, Series 2020B, 3.250%, 11/15/36 (AMT) | 11/29 at 100.00 | A1 | 2,002,620 | ||
| 2,500 | Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes Series 2013A, 5.000%, 10/01/33 | 10/23 at 100.00 | A+ | 2,807,750 | ||
| 1,390 | Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes Series 2015A, 5.000%, 8/01/33 | 8/25 at 100.00 | A+ | 1,648,874 |
29
Nuveen Connecticut Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes Series 2016A: | ||||||
| $ 1,000 | 5.000%, 9/01/32 | 9/26 at 100.00 | A+ | $1,215,110 | ||
| 3,500 | 5.000%, 9/01/33 | 9/26 at 100.00 | A+ | 4,237,135 | ||
| Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes Series 2018A: | ||||||
| 2,000 | 5.000%, 1/01/37 | 1/28 at 100.00 | A+ | 2,445,540 | ||
| 2,000 | 5.000%, 1/01/38 | 1/28 at 100.00 | A+ | 2,438,920 | ||
| 100 | Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes, Series 2020A, 4.000%, 5/01/39 | 5/30 at 100.00 | A+ | 116,116 | ||
| Government of Guam, Business Privilege Tax Bonds, Series 2011A: | ||||||
| 2,400 | 5.250%, 1/01/36 | 1/22 at 100.00 | BB | 2,475,024 | ||
| 600 | 5.125%, 1/01/42 | 1/22 at 100.00 | BB | 615,708 | ||
| 500 | Great Pond Improvement District, Connecticut, Special Obligation Revenue Bonds, Great Pond Phase 1 Project, Series 20019, 4.750%, 10/01/48, 144A | 10/26 at 102.00 | N/R | 484,895 | ||
| 2,720 | 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 | 2,923,129 | ||
| Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Restructured 2018A-1: | ||||||
| 2,950 | 4.550%, 7/01/40 | 7/28 at 100.00 | N/R | 3,141,691 | ||
| 1,860 | 0.000%, 7/01/46 | 7/28 at 41.38 | N/R | 533,578 | ||
| 1,300 | 4.750%, 7/01/53 | 7/28 at 100.00 | N/R | 1,366,352 | ||
| 2,500 | University of Connecticut, General Obligation Bonds, Series 2013A, 5.000%, 8/15/32 | 8/23 at 100.00 | A+ | 2,776,900 | ||
| 740 | University of Connecticut, General Obligation Bonds, Series 2014A, 5.000%, 2/15/31 | 2/24 at 100.00 | A+ | 831,827 | ||
| 1,590 | University of Connecticut, General Obligation Bonds, Series 2015A, 5.000%, 2/15/34 | 2/25 at 100.00 | A+ | 1,822,251 | ||
| 3,000 | University of Connecticut, General Obligation Bonds, Series 2017A, 5.000%, 1/15/36 | 1/27 at 100.00 | A+ | 3,587,520 | ||
| University of Connecticut, General Obligation Bonds, Series 2019A: | ||||||
| 1,000 | 5.000%, 11/01/36 | 11/28 at 100.00 | A+ | 1,243,540 | ||
| 1,000 | 4.000%, 11/01/38 | 11/28 at 100.00 | A+ | 1,136,590 | ||
| 37,410 | Total Tax Obligation/Limited | 40,616,968 | ||||
| Transportation – 1.2% | ||||||
| Connecticut Airport Authority, Connecticut, Customer Facility Charge Revenue Bonds, Ground Transportation Center Project, Series 2019A: | ||||||
| 1,500 | 4.000%, 7/01/49 (AMT) | 7/29 at 100.00 | A- | 1,631,670 | ||
| 1,250 | 5.000%, 7/01/49 (AMT) | 7/29 at 100.00 | A- | 1,481,250 | ||
| 2,750 | Total Transportation | 3,112,920 | ||||
| U.S. Guaranteed – 16.1% (5) | ||||||
| 1,185 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut College, Series 2011H, 5.000%, 7/01/41 (Pre-refunded 7/01/21) | 7/21 at 100.00 | A2 | 1,232,578 | ||
| 6,975 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford HealthCare, Series 2011A, 5.000%, 7/01/41 (Pre-refunded 7/01/21) | 7/21 at 100.00 | A+ | 7,246,118 |
30
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| U.S. Guaranteed (5) (continued) | ||||||
| $ 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 | $1,616,112 | ||
| 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 | 514,666 | ||
| 500 | 5.000%, 7/01/27 (Pre-refunded 7/01/21) | 7/21 at 100.00 | A3 | 519,865 | ||
| 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 | 1,041,190 | ||
| 2,500 | 5.625%, 7/01/41 (Pre-refunded 7/01/21) | 7/21 at 100.00 | A | 2,613,350 | ||
| 4,160 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011M, 5.375%, 7/01/41 (Pre-refunded 7/01/21) | 7/21 at 100.00 | A- | 4,338,214 | ||
| 2,000 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011N, 5.000%, 7/01/29 (Pre-refunded 7/01/21) | 7/21 at 100.00 | A- | 2,079,460 | ||
| Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Refunding Series 2014B: | ||||||
| 500 | 5.000%, 8/15/30 (Pre-refunded 8/15/24) | 8/24 at 100.00 | AA+ | 592,270 | ||
| 1,000 | 5.000%, 8/15/32 (Pre-refunded 8/15/24) | 8/24 at 100.00 | AA+ | 1,184,540 | ||
| 2,500 | Hartford County Metropolitan District, Connecticut, Clean Water Project Revenue Bonds, Series 2013A, 5.000%, 4/01/39 (Pre-refunded 4/01/22) | 4/22 at 100.00 | Aa2 | 2,688,025 | ||
| 660 | 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 (Pre-refunded 12/15/20) | 12/20 at 100.00 | N/R | 669,841 | ||
| South Central Connecticut Regional Water Authority Water System Revenue Bonds, Thirtieth Series 2014A: | ||||||
| 1,010 | 5.000%, 8/01/39 (Pre-refunded 8/01/24) | 8/24 at 100.00 | AA- | 1,194,567 | ||
| 1,055 | 5.000%, 8/01/44 (Pre-refunded 8/01/24) | 8/24 at 100.00 | AA- | 1,247,791 | ||
| 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- | 4,312,092 | ||
| 500 | South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twenty-Eighth Series 2013A, 5.000%, 8/01/38 (Pre-refunded 8/01/22) | 8/22 at 100.00 | AA- | 545,420 | ||
| 2,000 | South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twenty-Seventh Series 2012, 5.000%, 8/01/30 (Pre-refunded 8/01/22) – FGIC Insured | 8/22 at 100.00 | AA- | 2,181,680 | ||
| 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 | 1,787,097 | ||
| 3,000 | Waterbury, Connecticut, General Obligation Bonds, Series 2012A, 5.000%, 8/01/30 (Pre-refunded 8/01/22) | 8/22 at 100.00 | AA- | 3,266,460 | ||
| 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 | 1,753,704 | ||
| 40,170 | Total U.S. Guaranteed | 42,625,040 | ||||
| Utilities – 1.8% | ||||||
| 415 | Connecticut Municipal Electric Energy Cooperative, Power Supply System Revenue Bonds, Series 2013A, 5.000%, 1/01/38 | 1/23 at 100.00 | Aa3 | 453,114 |
31
Nuveen Connecticut Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Utilities (continued) | ||||||
| $ 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 | $3,335,220 | ||
| 1,000 | Guam Power Authority, Revenue Bonds, Series 2014A, 5.000%, 10/01/39 | 10/24 at 100.00 | AA | 1,112,400 | ||
| 4,585 | Total Utilities | 4,900,734 | ||||
| Water and Sewer – 9.3% | ||||||
| 2,000 | Connecticut, State Revolving Fund General Revenue Bonds, Green Bonds, Series 2019A, 5.000%, 2/01/39 | 2/29 at 100.00 | AAA | 2,570,520 | ||
| 60 | Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A, 5.000%, 8/15/35 – NPFG Insured | 10/20 at 100.00 | AA+ | 60,234 | ||
| 2,040 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Refunding Series 2017, 5.000%, 7/01/40 | 7/27 at 100.00 | A- | 2,368,481 | ||
| 295 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2020A, 5.000%, 1/01/50 | 7/30 at 100.00 | A- | 359,092 | ||
| 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 | 2,594,475 | ||
| 4,885 | 5.000%, 11/01/42 | 11/24 at 100.00 | Aa2 | 5,605,000 | ||
| 1,500 | Hartford County Metropolitan District, Connecticut, Clean Water Project Revenue Bonds, Series 2020A, 5.000%, 10/01/45 | 10/30 at 100.00 | Aa2 | 1,942,050 | ||
| 340 | 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+ | 344,689 | ||
| 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- | 3,709,290 | ||
| 2,915 | South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Thirty-Fourth Series 2019C, 5.000%, 8/01/44 | 8/29 at 100.00 | AA- | 3,658,733 | ||
| 500 | Stamford, Connecticut, Water Pollution Control System and Facility Revenue Bonds, Series 2013A, 5.250%, 8/15/43 | 8/23 at 100.00 | AA+ | 566,485 | ||
| 750 | Stamford, Connecticut, Water Pollution Control System and Facility Revenue Bonds, Series 2019, 4.000%, 4/01/44 | 4/29 at 100.00 | AA+ | 864,667 | ||
| 20,535 | Total Water and Sewer | 24,643,716 | ||||
| $ 236,135 | Total Long-Term Investments (cost $248,661,896) | 263,440,211 | ||||
| Floating Rate Obligations – (0.6)% | (1,570,000) | |||||
| Other Assets Less Liabilities – 0.9% | 2,275,339 | |||||
| Net Assets – 100% | $ 264,145,550 |
32
| (1) | All percentages shown in the Portfolio of Investments are based on net assets. | |
| (2) | Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. | |
| (3) | 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. | |
| (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. | |
| 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 | |
| UB | Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Note 4 – Portfolio Securities and Investments in Derivatives for more information. | |
| WI/DD | Purchased on a when-issued or delayed delivery basis. |
See accompanying notes to financial statements.
33
Nuveen Massachusetts Municipal Bond Fund
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| LONG-TERM INVESTMENTS – 96.8% | ||||||
| MUNICIPAL BONDS – 96.8% | ||||||
| Education and Civic Organizations – 21.9% | ||||||
| $ 1,315 | Lowell, Massachusetts, Collegiate Charter School Revenue Bonds, Series 2019, 5.000%, 6/15/39 | 6/26 at 100.00 | N/R | $1,351,452 | ||
| 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 | 1,454,305 | ||
| 5,165 | 5.000%, 10/01/46 | 10/26 at 100.00 | A | 5,895,434 | ||
| 3,000 | Massachusetts Development Finance Agency, Revenue Bonds, Boston College, Series 2013S, 5.000%, 7/01/32 | 7/23 at 100.00 | AA- | 3,336,840 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Boston College, Series 2017T: | ||||||
| 2,350 | 5.000%, 7/01/39 | 7/27 at 100.00 | AA- | 2,868,269 | ||
| 1,020 | 5.000%, 7/01/42 | 7/27 at 100.00 | AA- | 1,231,517 | ||
| 5,000 | Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2013X, 5.000%, 10/01/48 | 10/23 at 100.00 | AA- | 5,496,000 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Brandeis University Issue, Series 2018R: | ||||||
| 1,195 | 5.000%, 10/01/37 | 10/28 at 100.00 | A+ | 1,468,117 | ||
| 840 | 5.000%, 10/01/38 | 10/28 at 100.00 | A+ | 1,029,109 | ||
| 1,000 | 5.000%, 10/01/39 | 10/28 at 100.00 | A+ | 1,221,950 | ||
| 3,000 | Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2015, 5.000%, 1/01/35 | 1/25 at 100.00 | BBB+ | 3,293,220 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2016A: | ||||||
| 1,510 | 5.250%, 1/01/42 | 1/27 at 100.00 | BBB+ | 1,715,919 | ||
| 1,500 | 5.000%, 1/01/47 | 1/27 at 100.00 | BBB+ | 1,672,425 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2017A: | ||||||
| 1,600 | 5.000%, 1/01/37 | 1/28 at 100.00 | BBB+ | 1,846,832 | ||
| 6,020 | 5.000%, 1/01/40 | 1/28 at 100.00 | BBB+ | 6,892,358 | ||
| 2,000 | Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2018, 5.000%, 1/01/43 | 1/28 at 100.00 | BBB+ | 2,272,740 | ||
| 2,500 | Massachusetts Development Finance Agency, Revenue Bonds, Emmanuel College, Series 2016A, 5.000%, 10/01/43 | 10/26 at 100.00 | Baa2 | 2,779,975 | ||
| 1,665 | Massachusetts Development Finance Agency, Revenue Bonds, Harvard University, Series 2020A, 5.000%, 10/15/30 | No Opt. Call | AAA | 2,346,351 | ||
| 2,055 | Massachusetts Development Finance Agency, Revenue Bonds, Lesley University, Series 2016, 5.000%, 7/01/36 | 7/26 at 100.00 | A- | 2,347,118 |
34
| 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 | $593,929 | ||
| 235 | 5.000%, 7/01/37 | 7/25 at 100.00 | AA | 272,344 | ||
| 700 | Massachusetts Development Finance Agency, Revenue Bonds, Merrimack College, Series 2017, 5.000%, 7/01/37 | 7/26 at 100.00 | BBB- | 743,617 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Northeastern University, Series 2014A: | ||||||
| 1,125 | 5.000%, 3/01/39 | 3/24 at 100.00 | A1 | 1,253,452 | ||
| 1,850 | 5.000%, 3/01/44 | 3/24 at 100.00 | A1 | 2,049,430 | ||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, Northeastern University, Series 2020A, 5.000%, 10/01/35 | 10/30 at 100.00 | A1 | 1,326,100 | ||
| 1,550 | Massachusetts Development Finance Agency, Revenue Bonds, Phillips Academy , Series 2014A, 5.000%, 9/01/43 | 9/23 at 100.00 | AAA | 1,732,435 | ||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, Simmons College, Series 2013J, 5.250%, 10/01/39 | 10/23 at 100.00 | BBB+ | 1,091,590 | ||
| 1,680 | Massachusetts Development Finance Agency, Revenue Bonds, Simmons University Issue, Series 2020M, 5.000%, 10/01/39 | 10/30 at 100.00 | BBB+ | 2,018,957 | ||
| 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 | 2,935,991 | ||
| 2,415 | 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 | 2,703,931 | ||
| 610 | Massachusetts Development Finance Agency, Revenue Bonds, Suffolk University, Refunding Series 2019, 5.000%, 7/01/37 | 7/29 at 100.00 | Baa2 | 720,050 | ||
| 5,000 | Massachusetts Development Finance Agency, Revenue Bonds, Suffolk University, Refunding Series 2020A, 4.000%, 7/01/45 | 7/30 at 100.00 | Baa2 | 5,284,450 | ||
| 1,500 | Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2017, 5.000%, 4/01/36 | 10/27 at 100.00 | AA- | 1,865,055 | ||
| 875 | Massachusetts Development Finance Agency, Revenue Bonds, Tufts University, Series 2015Q, 5.000%, 8/15/38 | 8/25 at 100.00 | Aa2 | 1,018,054 | ||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, Wheaton College, Series 2017H, 5.000%, 1/01/37 | 1/28 at 100.00 | A3 | 1,184,220 | ||
| 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- | 1,250,350 | ||
| 1,000 | 5.000%, 6/01/38 | 6/28 at 100.00 | AA- | 1,247,720 | ||
| 2,400 | Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2012, 5.000%, 9/01/50 | 9/22 at 100.00 | A | 2,524,800 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2017B: | ||||||
| 5,000 | 5.000%, 9/01/42 | 9/27 at 100.00 | A | 5,864,700 | ||
| 5,000 | 5.000%, 9/01/45 | 9/27 at 100.00 | A | 5,836,350 |
35
Nuveen Massachusetts Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations (continued) | ||||||
| Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2019: | ||||||
| $ 745 | 5.000%, 9/01/33 | 9/29 at 100.00 | A | $923,197 | ||
| 3,500 | 5.000%, 9/01/49 | 9/29 at 100.00 | A | 4,163,600 | ||
| Massachusetts Development Finance Authority, Revenue Bonds, Suffolk University, Refunding Series 2017: | ||||||
| 700 | 5.000%, 7/01/35 | 7/27 at 100.00 | Baa2 | 803,684 | ||
| 500 | 5.000%, 7/01/36 | 7/27 at 100.00 | Baa2 | 573,145 | ||
| 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- | 2,823,919 | ||
| 2,100 | Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2002A, 5.750%, 1/01/42 – AMBAC Insured | No Opt. Call | AA- | 3,305,295 | ||
| 1,125 | Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Issue K, Series 2013, 5.250%, 7/01/29 (AMT) | 7/22 at 100.00 | AA | 1,187,584 | ||
| Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Issue K, Series 2017A: | ||||||
| 1,480 | 5.000%, 7/01/24 (AMT) | No Opt. Call | AA | 1,672,148 | ||
| 1,150 | 5.000%, 7/01/26 (AMT) | No Opt. Call | AA | 1,353,320 | ||
| 265 | Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Series 2009I, 6.000%, 1/01/28 | 9/20 at 100.00 | AA | 269,903 | ||
| 485 | Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Series 2011J, 5.625%, 7/01/33 (AMT) | 7/21 at 100.00 | AA | 498,658 | ||
| 1,620 | Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Series 2016J, 5.000%, 7/01/24 (AMT) | No Opt. Call | AA | 1,830,325 | ||
| 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 | 1,143,800 | ||
| 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 | 2,933,125 | ||
| University of Massachusetts Building Authority, Project Revenue Bonds, Senior Series 2020-1: | ||||||
| 4,000 | 5.000%, 11/01/37 | 11/29 at 100.00 | Aa2 | 5,160,880 | ||
| 545 | 5.000%, 11/01/39 | 11/29 at 100.00 | Aa2 | 698,973 | ||
| University of Massachusetts Building Authority, Revenue Bonds, Refunding Senior Series 2019-1: | ||||||
| 1,000 | 5.000%, 5/01/38 | 5/29 at 100.00 | Aa2 | 1,273,540 | ||
| 2,000 | 5.000%, 5/01/39 | 5/29 at 100.00 | Aa2 | 2,539,820 | ||
| 109,040 | Total Education and Civic Organizations | 127,192,372 | ||||
| Health Care – 21.3% | ||||||
| 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 | 6,594,693 | ||
| 2,160 | Massachusetts Development Finance Agency Revenue Bonds, South Shore Hospital, Series 2016I, 5.000%, 7/01/41 | 7/26 at 100.00 | BBB+ | 2,428,812 | ||
| 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 | AA- | 2,559,960 |
36
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Health Care (continued) | ||||||
| $ 6,000 | Massachusetts Development Finance Agency, Revenue Bonds, Atrius Health Issue, Series 2019A, 5.000%, 6/01/39 | 6/29 at 100.00 | BBB | $7,147,020 | ||
| 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+ | 3,540,320 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Berkshire Health Systems, Series 2012G: | ||||||
| 3,005 | 5.000%, 10/01/28 | 10/21 at 100.00 | AA- | 3,113,601 | ||
| 500 | 5.000%, 10/01/30 | 10/21 at 100.00 | AA- | 517,245 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Beth Israel Lahey Health Issue, Series 2019K: | ||||||
| 1,250 | 5.000%, 7/01/36 | 7/29 at 100.00 | A | 1,555,075 | ||
| 725 | 5.000%, 7/01/37 | 7/29 at 100.00 | A | 898,877 | ||
| 1,400 | 5.000%, 7/01/38 | 7/29 at 100.00 | A | 1,730,470 | ||
| 275 | 5.000%, 7/01/39 | 7/29 at 100.00 | A | 338,946 | ||
| 250 | 5.000%, 7/01/41 | 7/29 at 100.00 | A | 306,355 | ||
| 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 | 4,317,368 | ||
| 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 | 2,308,900 | ||
| 1,625 | 5.000%, 7/01/36 | 7/26 at 100.00 | BBB | 1,854,092 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, CareGroup Issue, Refunding Series 2016-I: | ||||||
| 3,800 | 5.000%, 7/01/21 | No Opt. Call | A | 3,933,760 | ||
| 1,675 | 5.000%, 7/01/30 | 7/26 at 100.00 | A | 2,014,489 | ||
| 1,500 | 5.000%, 7/01/37 | 7/26 at 100.00 | A | 1,762,650 | ||
| 1,935 | 5.000%, 7/01/38 | 7/26 at 100.00 | A | 2,268,962 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, CareGroup Issue, Series 2015H-1: | ||||||
| 900 | 5.000%, 7/01/30 | 7/25 at 100.00 | A | 1,054,449 | ||
| 1,000 | 5.000%, 7/01/32 | 7/25 at 100.00 | A | 1,162,710 | ||
| 500 | 5.000%, 7/01/33 | 7/25 at 100.00 | A | 579,455 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, CareGroup Issue, Series 2018J-2: | ||||||
| 5,000 | 5.000%, 7/01/43 | 7/28 at 100.00 | A | 6,023,800 | ||
| 4,100 | 5.000%, 7/01/48 | 7/28 at 100.00 | A | 4,892,776 | ||
| 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 | 2,256,966 | ||
| 6,100 | 5.000%, 12/01/46 | 12/26 at 100.00 | A1 | 7,102,657 |
37
Nuveen Massachusetts Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Health Care (continued) | ||||||
| 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 | $3,061,376 | ||
| 5,325 | 5.000%, 8/15/45 | 8/25 at 100.00 | A | 6,061,447 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Mass General Brigham, Series 2020A-2: | ||||||
| 3,535 | 4.000%, 7/01/40 | 1/30 at 100.00 | AA- | 4,089,323 | ||
| 1,365 | 4.000%, 7/01/41 | 1/30 at 100.00 | AA- | 1,573,736 | ||
| 1,545 | Massachusetts Development Finance Agency, Revenue Bonds, Milford Regional Medical Center Issue, Series 2014F, 5.750%, 7/15/43 | 7/23 at 100.00 | BB+ | 1,658,882 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Milford Regional Medical Center Issue, Series 2020G: | ||||||
| 100 | 5.000%, 7/15/30, 144A (WI/DD, Settling 9/03/20) | No Opt. Call | BB+ | 118,997 | ||
| 100 | 5.000%, 7/15/37, 144A (WI/DD, Settling 9/03/20) | 7/30 at 100.00 | BB+ | 114,919 | ||
| 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- | 1,384,037 | ||
| 2,250 | 5.000%, 7/01/41 | 7/26 at 100.00 | AA- | 2,656,395 | ||
| 4,950 | 5.000%, 7/01/47 | 7/26 at 100.00 | AA- | 5,802,588 | ||
| 6,330 | Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System Issue, Series 2017S-1, 4.000%, 7/01/41 | 1/28 at 100.00 | AA- | 7,134,100 | ||
| 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+ | 1,068,140 | ||
| 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+ | 4,010,406 | ||
| 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- | 1,020,501 | ||
| 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- | 411,816 | ||
| 1,855 | 5.000%, 7/01/44 | 7/27 at 100.00 | A- | 2,110,100 | ||
| 555 | Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health Care, Series 2016I, 5.000%, 7/01/36 | 7/26 at 100.00 | A- | 634,864 | ||
| 500 | Massachusetts Development Finance Agency, Revenue Bonds, Wellforce Issue, Series 2019A, 5.000%, 7/01/44 | 1/29 at 100.00 | BBB+ | 576,180 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Wellforce Issue, Series 2020C: | ||||||
| 1,335 | 4.000%, 10/01/45 – AGM Insured | 10/30 at 100.00 | AA | 1,531,659 | ||
| 3,355 | 3.000%, 10/01/45 – AGM Insured | 10/30 at 100.00 | AA | 3,439,848 | ||
| Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional Medical Center, Series 2007E: | ||||||
| 2,040 | 5.000%, 7/15/32 | 10/20 at 100.00 | BB+ | 2,044,100 | ||
| 1,000 | 5.000%, 7/15/37 | 10/20 at 100.00 | BB+ | 1,001,780 | ||
| 109,110 | Total Health Care | 123,769,602 |
38
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Housing/Multifamily – 0.8% | ||||||
| $ 2,250 | Massachusetts Housing Finance Agency, Housing Bonds, Series 2019B-1, 3.100%, 12/01/44 | 12/28 at 100.00 | AA | $2,369,700 | ||
| 2,000 | Massachusetts Housing Finance Agency, Housing Bonds, Series 2020A-1, 3.000%, 12/01/45 | 12/28 at 100.00 | AA | 2,088,560 | ||
| 4,250 | Total Housing/Multifamily | 4,458,260 | ||||
| Long-Term Care – 0.8% | ||||||
| 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+ | 1,931,602 | ||
| 275 | 5.000%, 10/01/47, 144A | 10/22 at 105.00 | BB+ | 294,016 | ||
| 560 | Massachusetts Development Finance Agency, Revenue Bonds, Berkshire Retirement Community Lennox, Series 2015, 5.000%, 7/01/31 | 7/25 at 100.00 | A+ | 631,697 | ||
| 525 | Massachusetts Development Finance Agency, Revenue Bonds, Carleton-Willard Village, Series 2019, 5.000%, 12/01/42 | 12/25 at 103.00 | A- | 582,267 | ||
| Massachusetts Development Finance Agency, Revenue Bonds, Loomis Communities, Series 2013A: | ||||||
| 240 | 5.250%, 1/01/26 | 1/23 at 100.00 | BBB | 255,278 | ||
| 790 | 5.750%, 1/01/28 | 1/23 at 100.00 | BBB | 847,607 | ||
| 400 | Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Inc, Refunding Series 2019, 5.000%, 10/01/39 | 10/24 at 104.00 | BBB+ | 433,132 | ||
| 4,700 | Total Long-Term Care | 4,975,599 | ||||
| Tax Obligation/General – 14.3% | ||||||
| 4,000 | Attleboro, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2019, 4.000%, 2/15/44 | 2/27 at 100.00 | AA | 4,517,160 | ||
| 1,045 | Boston, Massachusetts, General Obligation Bonds, Series 2013A, 4.000%, 3/01/25 | 3/23 at 100.00 | AAA | 1,142,948 | ||
| 5,725 | Boston, Massachusetts, General Obligation Bonds, Series 2018A, 5.000%, 5/01/36 | 5/28 at 100.00 | AAA | 7,306,073 | ||
| Central Berkshire Regional School District, Dalton, Massachusetts, General Obligation Bonds, State Qualified Series 2019: | ||||||
| 1,400 | 3.000%, 6/01/38 | 6/28 at 100.00 | AA | 1,525,328 | ||
| 1,440 | 3.000%, 6/01/39 | 6/28 at 100.00 | AA | 1,548,461 | ||
| 1,490 | 3.000%, 6/01/40 | 6/28 at 100.00 | AA | 1,592,661 | ||
| 2,000 | Higham, Massachusetts, General Obligation Bonds, Water Series 2020, 3.000%, 2/15/38 | 8/28 at 100.00 | AAA | 2,193,120 | ||
| 1,750 | Hudson, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2011, 5.000%, 2/15/32 | 10/20 at 100.00 | AA | 1,755,652 | ||
| 330 | Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21 | No Opt. Call | Aa1 | 341,213 | ||
| 10,000 | Massachusetts State, General Obligation Bonds, Consolidated Loan Series 2019C, 5.000%, 5/01/42 | 5/29 at 100.00 | Aa1 | 12,751,000 | ||
| 3,000 | Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2015C, 5.000%, 7/01/45 | 7/25 at 100.00 | Aa1 | 3,526,230 | ||
| 1,190 | Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2016A, 5.000%, 3/01/46 | 3/24 at 100.00 | Aa1 | 1,348,389 |
39
Nuveen Massachusetts Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/General (continued) | ||||||
| $ 3,000 | Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2017A, 5.000%, 4/01/42 | 4/27 at 100.00 | Aa1 | $3,664,890 | ||
| 5,000 | Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2017F, 5.000%, 11/01/46 | 11/27 at 100.00 | Aa1 | 6,157,350 | ||
| Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2018A: | ||||||
| 3,750 | 5.000%, 1/01/42 | 1/28 at 100.00 | Aa1 | 4,658,512 | ||
| 2,490 | 5.000%, 1/01/45 | 1/28 at 100.00 | Aa1 | 3,075,897 | ||
| 950 | 5.000%, 1/01/46 | 1/28 at 100.00 | Aa1 | 1,172,101 | ||
| 11,110 | Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2019A, 5.250%, 1/01/44 | 1/29 at 100.00 | Aa1 | 14,300,459 | ||
| 5,000 | Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2020C, 3.000%, 3/01/47 | 3/30 at 100.00 | Aa1 | 5,383,700 | ||
| 1,000 | North Reading, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2012, 5.000%, 5/15/35 | 5/22 at 100.00 | Aa2 | 1,072,140 | ||
| 2,010 | Pentucket Regional School District, Massachusetts, General Obligation Bonds, Series 2019, 3.000%, 9/01/43 | 9/27 at 100.00 | Aa2 | 2,111,063 | ||
| 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 | 2,021,840 | ||
| 69,680 | Total Tax Obligation/General | 83,166,187 | ||||
| Tax Obligation/Limited – 20.3% | ||||||
| Government of Guam, Business Privilege Tax Bonds, Refunding Series 2015D: | ||||||
| 1,355 | 5.000%, 11/15/27 | 11/25 at 100.00 | BB | 1,523,291 | ||
| 1,000 | 5.000%, 11/15/39 | 11/25 at 100.00 | BB | 1,090,870 | ||
| 2,505 | Government of Guam, Business Privilege Tax Bonds, Series 2011A, 5.125%, 1/01/42 | 1/22 at 100.00 | BB | 2,570,581 | ||
| 870 | Government of Guam, Business Privilege Tax Bonds, Series 2012B-1, 5.000%, 1/01/37 | 1/22 at 100.00 | BB | 893,316 | ||
| Guam Government, Limited Obligation Section 30 Revenue Bonds, Series 2016A: | ||||||
| 1,160 | 5.000%, 12/01/31 | 12/26 at 100.00 | BB | 1,313,874 | ||
| 2,000 | 5.000%, 12/01/46 | 12/26 at 100.00 | BB | 2,196,160 | ||
| 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 | 1,160,591 | ||
| 500 | Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, Refunding Green Series 2017, 5.000%, 5/01/36 | 5/27 at 100.00 | AA | 611,820 | ||
| 6,345 | Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2012A, 5.000%, 7/01/41 | 7/22 at 100.00 | AAA | 6,833,057 | ||
| 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 | 2,919,350 | ||
| 10,000 | Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Subordinated Series 2020B-1, 5.000%, 7/01/45 | 7/28 at 100.00 | AA | 12,387,700 | ||
| 5,570 | Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Subordinated Sustainability Series 2017A-1, 5.000%, 7/01/41 | 7/27 at 100.00 | AA | 6,835,281 |
40
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| Massachusetts College Building Authority, Project Revenue Bonds, Refunding Series 2003B: | ||||||
| $ 1,010 | 5.375%, 5/01/22 – SYNCORA GTY Insured | No Opt. Call | AA | $1,096,779 | ||
| 1,125 | 5.375%, 5/01/23 – SYNCORA GTY Insured | No Opt. Call | AA | 1,277,224 | ||
| 1,310 | Massachusetts College Building Authority, Revenue Bonds, Refunding Series 2011A, 5.000%, 5/01/24 | No Opt. Call | Aa2 | 1,532,910 | ||
| 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 | 1,978,218 | ||
| 1,475 | Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Senior Series 2013A, 5.000%, 5/15/38 | 5/23 at 100.00 | AA+ | 1,636,748 | ||
| 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+ | 8,769,040 | ||
| 8,000 | Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Subordinated Series 2019A, 5.000%, 2/15/44 | 2/29 at 100.00 | AA+ | 10,067,440 | ||
| 10,470 | Massachusetts School Building Authority, Senior Dedicated Sales Tax Revenue Bonds, 2020A, 5.000%, 8/15/45 | 8/30 at 100.00 | AAA | 13,555,718 | ||
| 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+ | 1,553,185 | ||
| 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+ | 3,350,284 | ||
| 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+ | 5,062,240 | ||
| 2,000 | Massachusetts State, Transportation Fund Revenue Bonds, Rail Enhancement & Accelerated Bridge Programs, Series 2019A, 5.000%, 6/01/49 | 6/29 at 100.00 | AA+ | 2,533,240 | ||
| 800 | Massachusetts State, Transportation Fund Revenue Bonds, Rail Enhancement Program, Series 2012A, 4.000%, 6/01/35 | 6/21 at 100.00 | AA+ | 816,224 | ||
| 3,500 | Massachusetts State, Transportation Fund Revenue Bonds, Rail Enhancement Program, Series 2015A, 5.000%, 6/01/45 | 6/25 at 100.00 | AA+ | 4,086,320 | ||
| 4,805 | Massachusetts State, Transportation Fund Revenue Bonds, Refunding Series 2017A, 5.000%, 6/01/43 | 12/27 at 100.00 | AA+ | 5,939,941 | ||
| Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Restructured 2018A-1: | ||||||
| 3,177 | 4.550%, 7/01/40 | 7/28 at 100.00 | N/R | 3,383,441 | ||
| 4,510 | 0.000%, 7/01/46 | 7/28 at 41.38 | N/R | 1,293,784 | ||
| 4,000 | 4.750%, 7/01/53 | 7/28 at 100.00 | N/R | 4,204,160 | ||
| 2,208 | 5.000%, 7/01/58 | 7/28 at 100.00 | N/R | 2,357,482 | ||
| 2,800 | Washington State Convention Center Public Facilities District, Lodging Tax Revenue Bonds, Series 2018, 5.000%, 7/01/58 | 7/28 at 100.00 | A1 | 3,107,580 | ||
| 102,725 | Total Tax Obligation/Limited | 117,937,849 | ||||
| Transportation – 4.8% | ||||||
| 1,250 | Massachusetts Department of Transportation, Metropolitan Highway System Revenue Bonds, Refunding Senior Lien Series 2019A, 5.000%, 1/01/37 | 1/29 at 100.00 | A+ | 1,572,600 | ||
| 1,500 | Massachusetts Port Authority, Revenue Bonds, Refunding Series 2017A, 5.000%, 7/01/42 (AMT) | 7/27 at 100.00 | Aa2 | 1,775,025 |
41
Nuveen Massachusetts Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Transportation (continued) | ||||||
| $ 1,780 | Massachusetts Port Authority, Revenue Bonds, Series 2014A, 5.000%, 7/01/34 | 7/24 at 100.00 | Aa2 | $2,041,660 | ||
| Massachusetts Port Authority, Revenue Bonds, Series 2015A: | ||||||
| 1,425 | 5.000%, 7/01/40 | 7/25 at 100.00 | Aa2 | 1,653,143 | ||
| 2,000 | 5.000%, 7/01/45 | 7/25 at 100.00 | Aa2 | 2,304,120 | ||
| 5,960 | Massachusetts Port Authority, Revenue Bonds, Series 2019B, 5.000%, 7/01/44 | 7/29 at 100.00 | Aa2 | 7,354,223 | ||
| 5,000 | Massachusetts Port Authority, Revenue Bonds, Series 2019C, 5.000%, 7/01/49 (AMT) | 7/29 at 100.00 | Aa2 | 6,065,400 | ||
| 3,500 | Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series 2019A, 5.000%, 7/01/49 (AMT) | 7/29 at 100.00 | A1 | 4,126,360 | ||
| 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 | A1 | 865,015 | ||
| 23,255 | Total Transportation | 27,757,546 | ||||
| U.S. Guaranteed – 5.9% (4) | ||||||
| 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 | 1,440,639 | ||
| 1,890 | Massachusetts College Building Authority, Project Revenue Bonds, Green Series 2014B, 5.000%, 5/01/44 (Pre-refunded 5/01/24) | 5/24 at 100.00 | Aa2 | 2,218,728 | ||
| 1,015 | Massachusetts College Building Authority, Project Revenue Bonds, Refunding Series 2003B, 5.375%, 5/01/22 – SYNCORA GTY Insured (ETM) | No Opt. Call | AA | 1,101,671 | ||
| 1,145 | Massachusetts College Building Authority, Revenue Bonds, Refunding Series 2012B, 5.000%, 5/01/37 (Pre-refunded 5/01/22) | 5/22 at 100.00 | Aa2 | 1,236,646 | ||
| 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 | 3,017,490 | ||
| 866 | 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 | 990,384 | ||
| 2,500 | Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series 2014M-4, 5.000%, 7/01/44 (Pre-refunded 7/01/23) | 7/23 at 100.00 | AA- | 2,833,975 | ||
| 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 | 1,040,150 | ||
| 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 | 3,603,740 | ||
| 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 | 306,089 | ||
| 2,750 | Massachusetts Port Authority, Revenue Bonds, Series 2012B, 5.000%, 7/01/32 (Pre-refunded 7/01/22) | 7/22 at 100.00 | Aa2 | 2,986,830 | ||
| 500 | Massachusetts Port Authority, Special Facilities Revenue Bonds, ConRac Project, Series 2011A, 5.125%, 7/01/41 (Pre-refunded 7/01/21) | 7/21 at 100.00 | A | 520,595 | ||
| 1,650 | Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Senior Series 2013A, 5.000%, 5/15/38 (Pre-refunded 5/15/23) | 5/23 at 100.00 | N/R | 1,863,378 | ||
| 1,650 | Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2011B, 5.000%, 10/15/41 (Pre-refunded 10/15/21) | 10/21 at 100.00 | AAA | 1,739,083 | ||
| 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 | 1,514,835 |
42
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| U.S. Guaranteed (4) (continued) | ||||||
| $ 7,500 | University of Massachusetts Building Authority, Project Revenue Bonds, Senior Lien Series 2013-1, 5.000%, 11/01/39 (Pre-refunded 11/01/22) | 11/22 at 100.00 | Aa2 | $ 8,259,675 | ||
| 32,196 | Total U.S. Guaranteed | 34,673,908 | ||||
| Utilities – 0.5% | ||||||
| 2,900 | Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2004PP, 5.000%, 7/01/22 – NPFG Insured (5) | 10/20 at 100.00 | Baa2 | 2,914,036 | ||
| Water and Sewer – 6.2% | ||||||
| 4,000 | Boston Water and Sewer Commission, Massachusetts, General Revenue Bonds, Senior Series 2018A, 4.000%, 11/01/40 | 5/26 at 100.00 | AAA | 4,506,160 | ||
| 2,805 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Refunding Series 2017, 5.000%, 7/01/40 | 7/27 at 100.00 | A- | 3,256,661 | ||
| 670 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2016, 5.000%, 1/01/46 | 7/26 at 100.00 | A- | 757,757 | ||
| 2,700 | Massachusetts Clean Water Trust, State Revolving Fund Bonds, Green 18 Series 2015, 5.000%, 2/01/45 | 2/24 at 100.00 | AAA | 3,048,300 | ||
| 60 | Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2003-9, 5.000%, 8/01/22 | 10/20 at 100.00 | AAA | 60,235 | ||
| 1,820 | Massachusetts Water Resources Authority, General Revenue Bonds, Refunding Green Series 2016C, 5.000%, 8/01/40 | 8/26 at 100.00 | AA+ | 2,226,479 | ||
| 1,000 | Massachusetts Water Resources Authority, General Revenue Bonds, Refunding Series 2016B, 5.000%, 8/01/40 | 8/26 at 100.00 | AA+ | 1,223,340 | ||
| Massachusetts Water Resources Authority, General Revenue Bonds, Series 2017B: | ||||||
| 1,000 | 5.000%, 8/01/39 | 8/27 at 100.00 | AA+ | 1,243,590 | ||
| 1,870 | 5.000%, 8/01/42 | 8/27 at 100.00 | AA+ | 2,309,843 | ||
| 8,000 | Massachusetts Water Resources Authority, General Revenue Bonds, Series 2019B, 5.000%, 8/01/44 | 8/29 at 100.00 | AA+ | 10,283,440 | ||
| 4,200 | Massachusetts Water Resources Authority, General Revenue Bonds, Series 2020B, 5.000%, 8/01/45 | 8/30 at 100.00 | AA+ | 5,505,066 | ||
| 1,010 | Springfield Water and Sewer Commission, Massachusetts, General Revenue Bonds, Series 2017C, 5.000%, 4/15/33 | 4/27 at 100.00 | AA | 1,253,087 | ||
| 625 | Springfield Water and Sewer Commission, Massachusetts, General Revenue Bonds, Series 2019E, 4.000%, 4/15/39 | 4/29 at 100.00 | AA | 734,706 | ||
| 29,760 | Total Water and Sewer | 36,408,664 | ||||
| $ 487,616 | Total Long-Term Investments (cost $530,928,889) | 563,254,023 | ||||
| Other Assets Less Liabilities – 3.2% | 18,414,355 | |||||
| Net Assets – 100% | $ 581,668,378 |
43
Nuveen Massachusetts Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| (1) | All percentages shown in the Portfolio of Investments are based on net assets. | |
| (2) | Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. | |
| (3) | 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. | |
| (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) | Defaulted security. A security whose issuer has failed to fully pay principal and/or interest when due, or is under the protection of bankruptcy. | |
| 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 | |
| WI/DD | Purchased on a when-issued or delayed delivery basis. |
See accompanying notes to financial statements.
44
Nuveen New Jersey Municipal Bond Fund
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| LONG-TERM INVESTMENTS – 100.6% | ||||||
| MUNICIPAL BONDS – 100.6% | ||||||
| Consumer Discretionary – 0.2% | ||||||
| Middlesex County Improvement Authority, New Jersey, Senior Revenue Bonds, Heldrich Center Hotel/Conference Center Project, Series 2005A: | ||||||
| $ 935 | 5.000%, 1/01/32 | 10/20 at 100.00 | Caa3 | $593,687 | ||
| 240 | 5.125%, 1/01/37 | 10/20 at 100.00 | Caa3 | 138,209 | ||
| 1,175 | Total Consumer Discretionary | 731,896 | ||||
| Consumer Staples – 2.9% | ||||||
| Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds, Series 2018A: | ||||||
| 4,310 | 4.000%, 6/01/37 | 6/28 at 100.00 | A- | 4,885,859 | ||
| 325 | 5.000%, 6/01/46 | 6/28 at 100.00 | BBB+ | 379,399 | ||
| 3,660 | 5.250%, 6/01/46 | 6/28 at 100.00 | BBB+ | 4,336,441 | ||
| 2,415 | Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds, Series 2018B, 5.000%, 6/01/46 | 6/28 at 100.00 | BB+ | 2,737,644 | ||
| 10,710 | Total Consumer Staples | 12,339,343 | ||||
| Education and Civic Organizations – 16.7% | ||||||
| Gloucester County Improvement Authority, New Jersey, Revenue Bonds, Rowan University Project, Series 2019: | ||||||
| 3,000 | 5.000%, 7/01/44 | 7/29 at 100.00 | Aa1 | 3,731,910 | ||
| 4,000 | 4.000%, 7/01/48 | 7/29 at 100.00 | Aa1 | 4,589,320 | ||
| 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- | 253,427 | ||
| 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- | 2,906,963 | ||
| 100 | 5.000%, 7/15/47 | 7/27 at 100.00 | BBB- | 110,316 | ||
| 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 | 102,809 | ||
| 870 | New Jersey Economic Development Authority, Revenue Bonds, The Seeing Eye Inc, Refunding Series 2015, 5.000%, 3/01/25 | No Opt. Call | A | 1,028,818 | ||
| 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 | 205,040 | ||
| 285 | 3.000%, 6/01/32 | 12/27 at 100.00 | A | 295,585 | ||
| 1,215 | New Jersey Educational Facilities Authority, Revenue Bonds, College of New Jersey, Refunding Series 2016F, 3.000%, 7/01/40 | 7/26 at 100.00 | A | 1,222,290 | ||
| 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 | 1,934,766 |
45
Nuveen New Jersey Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| 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 | A+ | $2,303,620 | ||
| 1,055 | 3.750%, 7/01/33 | 7/25 at 100.00 | A+ | 1,126,001 | ||
| New Jersey Educational Facilities Authority, Revenue Bonds, Ramapo College, Refunding Series 2012B: | ||||||
| 525 | 5.000%, 7/01/37 | 7/22 at 100.00 | A | 552,374 | ||
| 100 | 5.000%, 7/01/42 | 7/22 at 100.00 | A | 104,858 | ||
| New Jersey Educational Facilities Authority, Revenue Bonds, Rider University, Series 2012A: | ||||||
| 250 | 5.000%, 7/01/32 | 7/21 at 100.00 | BB+ | 251,135 | ||
| 230 | 5.000%, 7/01/37 | 7/21 at 100.00 | BB+ | 230,541 | ||
| New Jersey Educational Facilities Authority, Revenue Bonds, Rider University, Series 2017F: | ||||||
| 360 | 3.750%, 7/01/37 | 7/27 at 100.00 | BB+ | 312,527 | ||
| 1,370 | 4.000%, 7/01/42 | 7/27 at 100.00 | BB+ | 1,184,228 | ||
| 2,445 | 5.000%, 7/01/47 | 7/27 at 100.00 | BB+ | 2,444,829 | ||
| 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 | BBB+ | 1,344,450 | ||
| 710 | New Jersey Educational Facilities Authority, Revenue Bonds, Seton Hall University, Series 2013D, 5.000%, 7/01/38 | 7/23 at 100.00 | BBB+ | 745,628 | ||
| New Jersey Educational Facilities Authority, Revenue Bonds, Seton Hall University, Series 2016C: | ||||||
| 1,870 | 3.000%, 7/01/41 | 7/26 at 100.00 | BBB+ | 1,772,479 | ||
| 2,430 | 3.000%, 7/01/46 | 7/26 at 100.00 | BBB+ | 2,229,987 | ||
| 1,085 | 4.000%, 7/01/46 | 7/26 at 100.00 | BBB+ | 1,119,959 | ||
| 1,000 | New Jersey Educational Facilities Authority, Revenue Bonds, Seton Hall University, Series 2020C, 3.250%, 7/01/49 – AGM Insured | 7/30 at 100.00 | AA | 1,034,290 | ||
| New Jersey Educational Facilities Authority, Revenue Bonds, Stevens Institute of Technology Issue, Green Series 2020A: | ||||||
| 4,000 | 5.000%, 7/01/45 | 7/30 at 100.00 | BBB+ | 4,798,480 | ||
| 500 | 4.000%, 7/01/50 | 7/30 at 100.00 | BBB+ | 542,780 | ||
| New Jersey Educational Facilities Authority, Revenue Bonds, Stevens Institute of Technology, Series 2017A: | ||||||
| 1,000 | 5.000%, 7/01/42 | 7/27 at 100.00 | BBB+ | 1,155,800 | ||
| 1,310 | 5.000%, 7/01/47 | 7/27 at 100.00 | BBB+ | 1,505,753 | ||
| 500 | 4.000%, 7/01/47 | 7/27 at 100.00 | BBB+ | 532,000 | ||
| 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 | 1,601,036 | ||
| 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 | 3,175,890 | ||
| 420 | 4.000%, 12/01/35 (AMT) | 6/28 at 100.00 | Aaa | 446,401 |
46
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations (continued) | ||||||
| $ 1,400 | New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Refunding Senior Series 2019A, 2.375%, 12/01/29 | 6/28 at 100.00 | Aa1 | $1,386,434 | ||
| New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Senior Lien Series 2016-1A: | ||||||
| 2,315 | 3.500%, 12/01/32 (AMT) | 12/25 at 100.00 | Aaa | 2,369,703 | ||
| 525 | 4.000%, 12/01/39 (AMT) | 12/25 at 100.00 | Aaa | 543,165 | ||
| 1,640 | 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 | 1,701,828 | ||
| 1,470 | New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Senior Series 2019B, 3.250%, 12/01/39 (AMT) | 6/28 at 100.00 | Aa1 | 1,455,226 | ||
| 735 | New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Senior Series 2020B, 3.500%, 12/01/39 (AMT) | 12/28 at 100.00 | Aa1 | 742,174 | ||
| 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 | 514,636 | ||
| 625 | 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 | 656,794 | ||
| 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 | 428,708 | ||
| New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2013-1A: | ||||||
| 765 | 3.625%, 12/01/25 (AMT) | 12/22 at 100.00 | Aaa | 790,872 | ||
| 1,155 | 4.000%, 12/01/28 (AMT) | 12/22 at 100.00 | Aaa | 1,195,529 | ||
| 605 | 4.000%, 12/01/31 (AMT) | 12/22 at 100.00 | Aaa | 622,829 | ||
| 640 | 4.125%, 12/01/35 (AMT) | 12/22 at 100.00 | Aaa | 657,037 | ||
| New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2014-1A-1: | ||||||
| 825 | 4.250%, 12/01/32 (AMT) | 12/23 at 100.00 | Aaa | 863,709 | ||
| 830 | 4.500%, 12/01/36 (AMT) | 12/23 at 100.00 | Aaa | 869,657 | ||
| 1,910 | 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 | 2,020,341 | ||
| 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 | 1,813,955 | ||
| 1,285 | New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Subordinate Series 2019C, 3.625%, 12/01/49 (AMT) | 6/28 at 100.00 | A2 | 1,276,198 | ||
| 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 | 3,370,200 | ||
| 65,655 | Total Education and Civic Organizations | 70,175,285 | ||||
| Financials – 0.2% | ||||||
| New Jersey Economic Development Authority, Revenue Refunding Bonds, Kapkowski Road Landfill Project, Series 2002: | ||||||
| 375 | 5.750%, 10/01/21 | No Opt. Call | Ba2 | 379,219 | ||
| 500 | 6.500%, 4/01/28 | No Opt. Call | Ba2 | 547,930 | ||
| 875 | Total Financials | 927,149 |
47
Nuveen New Jersey Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Health Care – 13.0% | ||||||
| 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+ | $1,940,366 | ||
| 800 | 5.000%, 2/15/28 | 2/24 at 100.00 | BBB+ | 893,616 | ||
| 2,000 | 5.000%, 2/15/33 | 2/24 at 100.00 | BBB+ | 2,203,120 | ||
| 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+ | 864,416 | ||
| 195 | New Jersey Health Care Facilities Finance Authority, Revenue Bonds, AHS Hospital Corporation, Series 2008A, 5.000%, 7/01/27 | 10/20 at 100.00 | AA- | 195,618 | ||
| 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+ | 841,333 | ||
| 700 | 6.250%, 7/01/35 | 7/21 at 100.00 | BB+ | 722,841 | ||
| 1,545 | New Jersey Health Care Facilities Financing Authority, New Jersey, Revenue Bonds, Saint Peters University Hospital, Series 2007, 5.750%, 7/01/37 | 10/20 at 100.00 | BB+ | 1,549,882 | ||
| 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- | 431,156 | ||
| 560 | 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- | 619,965 | ||
| 2,000 | 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- | 2,212,700 | ||
| New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Hackensack Meridian Health Obligated Group, Refunding Series 2017A: | ||||||
| 3,160 | 5.000%, 7/01/28 | 7/27 at 100.00 | AA- | 3,957,521 | ||
| 2,040 | 5.000%, 7/01/57 | 7/27 at 100.00 | AA- | 2,390,452 | ||
| 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+ | 647,479 | ||
| 1,000 | 4.000%, 7/01/45 | 7/24 at 100.00 | A+ | 1,049,340 | ||
| 4,460 | 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 | AA- | 4,863,853 | ||
| 4,840 | 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 | AA- | 5,690,388 | ||
| 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- | 627,655 | ||
| 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 | 553,960 | ||
| 575 | 5.000%, 7/01/33 | 7/26 at 100.00 | AA | 689,764 | ||
| 600 | 5.000%, 7/01/34 | 7/26 at 100.00 | AA | 718,200 |
48
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Health Care (continued) | ||||||
| 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- | $2,226,340 | ||
| 630 | 5.000%, 7/01/43 | 7/24 at 100.00 | AA- | 697,744 | ||
| 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- | 901,415 | ||
| 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- | 2,773,333 | ||
| 235 | 4.000%, 7/01/34 | 7/26 at 100.00 | BBB- | 251,603 | ||
| 3,085 | 5.000%, 7/01/41 | 7/26 at 100.00 | BBB- | 3,430,181 | ||
| 1,685 | 4.000%, 7/01/48 | 7/26 at 100.00 | BBB- | 1,748,996 | ||
| 470 | 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- | 492,734 | ||
| 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 | 1,608,075 | ||
| 1,255 | 5.000%, 7/01/46 – AGM Insured | 7/25 at 100.00 | AA | 1,403,027 | ||
| New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Valley Health System Obligated Group, Series 2019: | ||||||
| 1,670 | 4.000%, 7/01/44 | 7/29 at 100.00 | A+ | 1,877,865 | ||
| 3,445 | 3.000%, 7/01/49 | 7/29 at 100.00 | A+ | 3,510,041 | ||
| 49,300 | Total Health Care | 54,584,979 | ||||
| Housing/Multifamily – 6.0% | ||||||
| 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 | B | 535,788 | ||
| 1,940 | 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 | BB+ | 1,843,718 | ||
| 2,120 | New Jersey Housing & Mortgage Finance Agency, Multifamily Conduit Revenue Bonds, Riverside Village Family Apartments Phase 1 Project, Series 2019F, 1.350%, 12/01/22 | No Opt. Call | Aaa | 2,175,120 | ||
| 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 | 1,855,367 | ||
| 1,015 | 4.600%, 11/01/38 (AMT) | 11/22 at 100.00 | AA | 1,062,543 | ||
| 1,010 | 4.750%, 11/01/46 (AMT) | 11/22 at 100.00 | AA | 1,055,137 | ||
| 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- | 1,651,759 | ||
| 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- | 1,208,798 | ||
| 2,105 | New Jersey Housing and Mortgage Finance Agency, Multifamily Revenue Bonds, Series 2016B, 3.600%, 11/01/40 | 11/25 at 100.00 | AA- | 2,227,953 |
49
Nuveen New Jersey Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Housing/Multifamily (continued) | ||||||
| $ 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- | $964,906 | ||
| 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- | 2,099,970 | ||
| 1,865 | 3.875%, 11/01/38 | 11/27 at 100.00 | AA- | 2,048,199 | ||
| 1,045 | 3.950%, 11/01/43 | 11/27 at 100.00 | AA- | 1,154,244 | ||
| 650 | 4.000%, 11/01/48 | 11/27 at 100.00 | AA- | 716,105 | ||
| 500 | 4.100%, 11/01/53 | 11/27 at 100.00 | AA- | 552,095 | ||
| New Jersey Housing and Mortgage Finance Agency, Multifamily Revenue Bonds, Series 2019A: | ||||||
| 1,750 | 2.900%, 11/01/39 | 11/28 at 100.00 | AA- | 1,859,497 | ||
| 515 | 3.000%, 11/01/44 | 11/28 at 100.00 | AA- | 538,412 | ||
| 870 | 3.050%, 11/01/49 | 11/28 at 100.00 | AA- | 917,476 | ||
| 465 | 3.150%, 5/01/53 | 11/28 at 100.00 | AA- | 489,050 | ||
| 23,705 | Total Housing/Multifamily | 24,956,137 | ||||
| Housing/Single Family – 3.3% | ||||||
| New Jersey Housing and Mortgage Finance Agency, Single Family Housing Revenue Bonds, Series 2018A: | ||||||
| 2,110 | 3.600%, 4/01/33 | 10/27 at 100.00 | AA | 2,325,558 | ||
| 1,380 | 3.750%, 10/01/35 | 10/27 at 100.00 | AA | 1,545,296 | ||
| 2,530 | 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 | 2,799,749 | ||
| 2,945 | New Jersey Housing and Mortgage Finance Agency, Single Family Housing Revenue Bonds, Series 2019C, 4.000%, 4/01/49 | 4/28 at 100.00 | AA | 3,163,519 | ||
| New Jersey Housing and Mortgage Finance Agency, Single Family Housing Revenue Bonds, Series 2020E: | ||||||
| 1,920 | 2.250%, 10/01/40 | 4/29 at 100.00 | AA | 1,905,638 | ||
| 2,000 | 3.500%, 4/01/51 | 4/29 at 102.44 | AA | 2,244,840 | ||
| 12,885 | Total Housing/Single Family | 13,984,600 | ||||
| Long-Term Care – 1.1% | ||||||
| 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 | 145,476 | ||
| 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- | 1,227,184 | ||
| New Jersey Economic Development Authority, Revenue Bonds, United Methodist Homes of New Jersey Obligated Group Issue, Refunding Series 2014A: | ||||||
| 315 | 3.750%, 7/01/24 | No Opt. Call | BBB- | 314,430 | ||
| 405 | 5.000%, 7/01/29 | 7/24 at 100.00 | BBB- | 419,956 | ||
| 2,170 | New Jersey Economic Development Authority, Revenue Bonds, White Horse HMT Urban Renewal LLC Project, Series 2020, 5.000%, 1/01/40, 144A | 1/28 at 102.00 | N/R | 2,073,023 |
50
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Long-Term Care (continued) | ||||||
| $ 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 | $ 454,990 | ||
| 4,745 | Total Long-Term Care | 4,635,059 | ||||
| Tax Obligation/General – 10.7% | ||||||
| 1,000 | Berkeley Heights Township, Union County, New Jersey, General Obligation Bonds, Bond Anticipation Note Series 2020, 0.500%, 3/09/21 | 1/21 at 100.00 | N/R | 1,000,610 | ||
| 735 | 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 | 798,563 | ||
| 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 | 914,579 | ||
| 15 | Flemington-Raritan Regional School District, Hunterdon County, New Jersey, General Obligation Bonds, Series 2019, 2.375%, 9/01/34 | 9/26 at 100.00 | AA | 15,301 | ||
| Gloucester Township, New Jersey, General Obligation Bonds, Series 2019: | ||||||
| 1,000 | 2.000%, 2/01/28 – BAM Insured | No Opt. Call | AA | 1,053,360 | ||
| 1,500 | 2.250%, 2/01/29 – BAM Insured | No Opt. Call | AA | 1,604,655 | ||
| 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 | 194,800 | ||
| 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 | 1,525,631 | ||
| 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 | 134,001 | ||
| 340 | 5.000%, 8/01/42 | 8/25 at 100.00 | AA | 402,070 | ||
| 5,000 | Mercer County, New Jersey, General Obligation Bonds, General Capital Improvement Open Space Farmland Notes, Series 2020A, 2.000%, 6/10/21 | No Opt. Call | N/R | 5,067,700 | ||
| 3,060 | Monmouth County Improvement Authority, New Jersey, Governmental Pooled Loan Revenue Bonds, Series 2020A, 2.000%, 7/12/21 | No Opt. Call | N/R | 3,105,104 | ||
| 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 | 353,638 | ||
| 220 | 5.000%, 1/01/37 | 1/24 at 100.00 | AAA | 252,468 | ||
| 610 | 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+ | 651,456 | ||
| 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 | 2,242,490 | ||
| 1,325 | 5.000%, 9/01/39 – BAM Insured | 9/26 at 100.00 | AA | 1,546,620 | ||
| 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 | 1,131,280 | ||
| 500 | Newark, New Jersey, General Obligation Notes, Series 2020, 3.500%, 7/27/21 | No Opt. Call | N/R | 509,365 | ||
| 1,750 | Ocean City, New Jersey, General Obligation Bonds, General Improvement Series 2019, 2.250%, 9/15/33 | 9/26 at 100.00 | AA | 1,827,140 | ||
| 2,625 | Passaic County, New Jersey, General Obligation Bonds, General Improvement Series 2019A, 1.000%, 12/01/34 | 12/27 at 100.00 | Aa1 | 2,270,074 |
51
Nuveen New Jersey Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/General (continued) | ||||||
| $ 1,145 | Somers Point, New Jersey, General Obligation Bonds, Improvement Sewer Utility Series 2019, 2.000%, 10/01/31 | 10/26 at 100.00 | AA- | $1,174,575 | ||
| 1,000 | Somerset County, New Jersey, General Obligation Bonds, Bond Anticipation Notes Series 2020, 4.000%, 9/09/21 (WI/DD, Settling 9/10/20) | No Opt. Call | N/R | 1,037,940 | ||
| 625 | South Orange Village Township, New Jersey, General Obligation Bonds, Refunding Series 2020, 4.000%, 1/15/24 | No Opt. Call | AA- | 700,331 | ||
| 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+ | 3,849,719 | ||
| 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 | 2,600,409 | ||
| 2,900 | Union County, New Jersey, General Obligation Bonds, Bond Anticipation Notes Series 2020, 4.000%, 6/18/21 | No Opt. Call | N/R | 2,984,883 | ||
| 4,000 | Union County, New Jersey, General Obligation Bonds, Refunding Series 2017, 3.000%, 3/01/27 | 9/25 at 100.00 | Aaa | 4,447,360 | ||
| 1,500 | Verona Township Board of Education, Essex County, New Jersey, General Obligation Bonds, Refunding Series 2020, 2.250%, 3/01/39 | 3/27 at 100.00 | AA- | 1,458,210 | ||
| 42,770 | Total Tax Obligation/General | 44,854,332 | ||||
| Tax Obligation/Limited – 21.6% | ||||||
| 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 | 824,681 | ||
| 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 | 4,009,974 | ||
| 1,795 | 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 | 2,265,488 | ||
| 1,050 | Government of Guam, Business Privilege Tax Bonds, Series 2011A, 5.250%, 1/01/36 | 1/22 at 100.00 | BB | 1,082,823 | ||
| 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 | 7,730,304 | ||
| 1,000 | 5.250%, 5/01/51 | 5/26 at 100.00 | AA | 1,200,430 | ||
| New Jersey Economic Development Authority, Cigarette Tax Revenue Refunding Bonds, Series 2012: | ||||||
| 350 | 5.000%, 6/15/21 | No Opt. Call | BBB+ | 356,125 | ||
| 2,870 | 5.000%, 6/15/25 | 6/22 at 100.00 | BBB+ | 2,965,600 | ||
| 485 | 5.000%, 6/15/28 | 6/22 at 100.00 | BBB+ | 497,605 | ||
| 2,985 | New Jersey Economic Development Authority, New Jersey, Transit Transportation Project Revenue Bonds, Series 2020A, 4.000%, 11/01/39 | 11/29 at 100.00 | BBB+ | 3,214,188 | ||
| 2,260 | New Jersey Economic Development Authority, Revenue Bonds, Motor Vehicle Surcharge, Refunding Series 2017A, 3.375%, 7/01/30 | 7/27 at 100.00 | BBB+ | 2,298,533 | ||
| 3,780 | New Jersey Economic Development Authority, School Facilities Construction Bonds, Series 2015WW, 5.250%, 6/15/40 | 6/25 at 100.00 | BBB+ | 4,191,340 | ||
| 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 | BBB+ | 1,676,175 | ||
| 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 | BBB+ | 2,329,880 |
52
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| 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+ | $261,700 | ||
| 125 | 5.000%, 6/15/30 | 6/26 at 100.00 | A+ | 144,376 | ||
| 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+ | 3,186,137 | ||
| 14,305 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Capital Appreciation Series 2010A, 0.000%, 12/15/30 | No Opt. Call | BBB+ | 10,618,315 | ||
| 1,900 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Refunding Series 2006A, 5.500%, 12/15/22 | No Opt. Call | BBB+ | 2,088,613 | ||
| New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Refunding Series 2006C: | ||||||
| 6,925 | 0.010%, 12/15/32 – AGM Insured | No Opt. Call | AA | 4,919,797 | ||
| 4,765 | 0.010%, 12/15/33 – AGM Insured | No Opt. Call | AA | 3,257,687 | ||
| 1,000 | 0.010%, 12/15/34 – AGM Insured | No Opt. Call | AA | 660,390 | ||
| 1,550 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2010D, 5.000%, 12/15/24 | No Opt. Call | BBB+ | 1,781,105 | ||
| New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2011B: | ||||||
| 2,575 | 5.500%, 6/15/31 | 6/21 at 100.00 | BBB+ | 2,642,877 | ||
| 2,470 | 5.250%, 6/15/36 | 6/21 at 100.00 | BBB+ | 2,526,514 | ||
| 8,080 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2012A, 5.000%, 6/15/42 | 6/22 at 100.00 | BBB+ | 8,420,734 | ||
| 95 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2013AA, 5.000%, 6/15/36 | 6/23 at 100.00 | BBB+ | 101,566 | ||
| 1,035 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2019A, 4.000%, 12/15/39 | 12/29 at 100.00 | BBB+ | 1,115,016 | ||
| New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2019BB: | ||||||
| 355 | 3.500%, 6/15/46 | 12/28 at 100.00 | BBB+ | 354,652 | ||
| 1,500 | 5.000%, 6/15/50 | 12/28 at 100.00 | BBB+ | 1,724,985 | ||
| 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 | 1,230,242 | ||
| 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 | Aa1 | 1,372,600 | ||
| 1,715 | 3.500%, 5/01/35 | 5/22 at 100.00 | Aa1 | 1,760,911 | ||
| 3,770 | Puerto Rico Public Finance Corporation, Commonwealth Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 – AMBAC Insured | No Opt. Call | Aaa | 4,064,814 | ||
| 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+ | 3,983,010 | ||
| 91,500 | Total Tax Obligation/Limited | 90,859,187 |
53
Nuveen New Jersey Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Transportation – 13.4% | ||||||
| $ 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 | $1,176,758 | ||
| 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 | 400,604 | ||
| 1,510 | 4.125%, 1/01/39 | 1/24 at 100.00 | A1 | 1,606,247 | ||
| 2,000 | 5.000%, 1/01/44 | 1/24 at 100.00 | A1 | 2,196,140 | ||
| 1,290 | Delaware River and Bay Authority, Delaware and New Jersey, Revenue Bonds, Series 2019, 4.000%, 1/01/44 | 1/29 at 100.00 | A1 | 1,454,294 | ||
| 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 | 1,807,280 | ||
| 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 | 1,218,150 | ||
| 3,115 | 5.000%, 7/01/47 | 7/27 at 100.00 | A1 | 3,768,963 | ||
| Delaware River Joint Toll Bridge Commission, New Jersey and Pennsylvania, Bridge System Revenue Bonds, Series 2019A: | ||||||
| 1,050 | 5.000%, 7/01/30 | 7/29 at 100.00 | A1 | 1,400,900 | ||
| 1,130 | 5.000%, 7/01/31 | 7/29 at 100.00 | A1 | 1,498,572 | ||
| 1,160 | 3.000%, 7/01/49 | 7/29 at 100.00 | A1 | 1,233,382 | ||
| 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+ | 1,958,510 | ||
| 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 | 1,076,640 | ||
| 1,095 | 5.000%, 1/01/26 | 1/23 at 100.00 | A | 1,172,088 | ||
| 1,070 | 5.000%, 1/01/27 | 1/23 at 100.00 | A | 1,141,112 | ||
| 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 | A2 | 1,391,935 | ||
| 1,490 | 5.000%, 1/01/31 – AGM Insured (AMT) | 1/24 at 100.00 | AA | 1,675,326 | ||
| 1,255 | 5.625%, 1/01/52 (AMT) | 1/24 at 100.00 | BBB+ | 1,387,591 | ||
| 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 | Ba3 | 410,208 | ||
| 1,025 | 5.250%, 9/15/29 (AMT) | 8/22 at 101.00 | Ba3 | 1,049,047 | ||
| 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 | Ba3 | 311,526 | ||
| 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 | 3,409,573 | ||
| 2,490 | 5.000%, 10/01/47 (AMT) | 10/27 at 100.00 | Ba1 | 2,701,252 |
54
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Transportation (continued) | ||||||
| $ 1,300 | New Jersey Turnpike Authority, Revenue Bonds, Series 2005A, 5.250%, 1/01/29 – AGM Insured | No Opt. Call | AA | $1,729,247 | ||
| 1,385 | New Jersey Turnpike Authority, Revenue Bonds, Series 2012B, 5.000%, 1/01/28 | 1/23 at 100.00 | A+ | 1,513,542 | ||
| 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 | Aa3 | 2,014,186 | ||
| Port Authority of New York and New Jersey, Consolidated Revenue Bonds, Two Hundred Twelfth Series 2019: | ||||||
| 3,000 | 4.000%, 9/01/38 | 9/29 at 100.00 | Aa3 | 3,510,960 | ||
| 3,000 | 4.000%, 9/01/39 | 9/29 at 100.00 | Aa3 | 3,500,640 | ||
| Port Authority of New York and New Jersey, Special Project Bonds, JFK International Air Terminal LLC, Sixth Series 1997: | ||||||
| 1,265 | 5.750%, 12/01/22 – NPFG Insured (AMT) | 10/20 at 100.00 | Baa1 | 1,281,989 | ||
| 3,150 | 5.750%, 12/01/25 – NPFG Insured (AMT) | 10/20 at 100.00 | Baa1 | 3,192,336 | ||
| South Jersey Transportation Authority, New Jersey, Transportation System Revenue Bonds, Refunding Series 2019A: | ||||||
| 1,750 | 5.000%, 11/01/31 – AGM Insured | 11/29 at 100.00 | AA | 2,255,067 | ||
| 500 | 5.000%, 11/01/32 – AGM Insured | 11/29 at 100.00 | AA | 639,295 | ||
| 1,000 | 5.000%, 11/01/33 – AGM Insured | 11/29 at 100.00 | AA | 1,269,360 | ||
| 49,740 | Total Transportation | 56,352,720 | ||||
| U.S. Guaranteed – 4.5% (5) | ||||||
| 1,940 | Cumberland County Improvement Authority, New Jersey, County General Obligation Revenue Bonds, Technical High School Project, Series 2014, 5.000%, 9/01/39 (Pre-refunded 9/01/24) – AGM Insured | 9/24 at 100.00 | AA | 2,301,170 | ||
| 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 | 5,576 | ||
| 220 | New Jersey Economic Development Authority, School Facilities Construction Bonds, Series 2015WW, 5.250%, 6/15/40 (Pre-refunded 6/15/25) | 6/25 at 100.00 | N/R | 272,182 | ||
| New Jersey Education Facilities Authority Revenue Bonds, The College of New Jersey Issue, Series 2013A: | ||||||
| 770 | 5.000%, 7/01/38 (Pre-refunded 7/01/23) | 7/23 at 100.00 | A | 871,694 | ||
| 1,015 | 5.000%, 7/01/43 (Pre-refunded 7/01/23) | 7/23 at 100.00 | A | 1,149,051 | ||
| New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Kennedy Health System Obligated Group Issue, Refunding Series 2012: | ||||||
| 195 | 3.750%, 7/01/27 (ETM) | No Opt. Call | N/R | 220,707 | ||
| 1,125 | 5.000%, 7/01/31 (Pre-refunded 7/01/22) | 7/22 at 100.00 | N/R | 1,221,885 | ||
| 1,095 | 5.000%, 7/01/42 (Pre-refunded 7/01/22) | 7/22 at 100.00 | N/R | 1,189,301 | ||
| 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 | 158,201 | ||
| 660 | 5.250%, 7/01/31 (Pre-refunded 7/01/23) | 7/23 at 100.00 | N/R | 752,816 | ||
| 80 | 5.500%, 7/01/43 (Pre-refunded 7/01/23) | 7/23 at 100.00 | N/R | 90,961 | ||
| 360 | 5.500%, 7/01/43 (Pre-refunded 7/01/23) | 7/23 at 100.00 | N/R | 413,165 |
55
Nuveen New Jersey Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| U.S. Guaranteed (5) (continued) | ||||||
| $ 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 | $376,013 | ||
| New Jersey Institute of Technology, New Jersey, General Obligation Bonds, Series 2012A: | ||||||
| 435 | 5.000%, 7/01/42 (Pre-refunded 7/01/22) | 7/22 at 100.00 | N/R | 472,462 | ||
| 990 | 5.000%, 7/01/42 (Pre-refunded 7/01/22) | 7/22 at 100.00 | A1 | 1,076,209 | ||
| New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2011A: | ||||||
| 155 | 6.000%, 6/15/35 (Pre-refunded 6/15/21) | 6/21 at 100.00 | BBB+ | 162,096 | ||
| 75 | 5.500%, 6/15/41 (Pre-refunded 6/15/21) | 6/21 at 100.00 | BBB+ | 78,151 | ||
| 3,150 | 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 | 3,427,357 | ||
| 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 | 617,903 | ||
| 930 | 5.000%, 6/01/27 (Pre-refunded 6/01/22) | 6/22 at 100.00 | A+ | 1,008,157 | ||
| 70 | 5.000%, 6/01/42 (Pre-refunded 6/01/22) | 6/22 at 100.00 | N/R | 75,883 | ||
| 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 | 891,100 | ||
| 875 | 5.250%, 1/15/30 (Pre-refunded 1/15/21) | 1/21 at 100.00 | AA | 891,511 | ||
| 1,175 | Rutgers State University, New Jersey, Revenue Bonds, Refunding Series 2013L, 5.000%, 5/01/43 (Pre-refunded 5/01/23) | 5/23 at 100.00 | Aa3 | 1,324,765 | ||
| 17,265 | Total U.S. Guaranteed | 19,048,316 | ||||
| Utilities – 6.7% | ||||||
| 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 | 527,270 | ||
| 1,000 | 5.125%, 6/15/43 (AMT) | 6/22 at 100.00 | Baa2 | 1,054,280 | ||
| 3,550 | New Jersey Economic Development Authority, Natural Gas Facilities Revenue Bonds, New Jersey Natural Gas Company Project, Refunding Series 2011A, 2.750%, 8/01/39 | 8/24 at 100.00 | A1 | 3,606,232 | ||
| 2,175 | New Jersey Economic Development Authority, Water Facilities Revenue Bonds, Middlesex Water Company, Series 2012C, 4.250%, 10/01/47 (AMT) | 10/22 at 100.00 | A+ | 2,253,887 | ||
| 4,195 | New Jersey Economic Development Authority, Water Facilities Revenue Bonds, Middlesex Water Company, Series 2019, 4.000%, 8/01/59 (AMT) | 8/29 at 100.00 | A+ | 4,694,876 | ||
| 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+ | 965,962 | ||
| 4,840 | New Jersey Economic Development Authority, Water Facilities Revenue Bonds, New Jersey-American Water Company Inc Project, Refunding Series 2019A, 2.200%, 10/01/39 (AMT) (Mandatory Put 12/03/29) | 12/29 at 100.00 | A+ | 5,144,533 | ||
| 3,150 | New Jersey Economic Development Authority, Water Facilities Revenue Bonds, New Jersey-American Water Company Inc Project, Refunding Series 2020B, 1.200%, 11/01/34 (AMT) (Mandatory Put 6/01/23) | No Opt. Call | A+ | 3,196,588 |
56
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Utilities (continued) | ||||||
| $ 695 | Passaic County Utilities Authority, New Jersey, Solid Waste Disposal Revenue Bonds, Refunding Series 2018, 5.000%, 3/01/37 | No Opt. Call | AA | $978,713 | ||
| 580 | 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 | 609,986 | ||
| 5,000 | Salem County Pollution Control Financing Authority, New Jersey, Revenue Bonds, Atlantic City Electric Company Project, Refunding Series 2020, 2.250%, 6/01/29 | No Opt. Call | A | 5,097,100 | ||
| 26,645 | Total Utilities | 28,129,427 | ||||
| Water and Sewer – 0.3% | ||||||
| 1,045 | New Jersey Economic Development Authority, Water Facilities Revenue Bonds, Middlesex Water Company, Series 2012C, 5.000%, 10/01/23 | No Opt. Call | A+ | 1,191,457 | ||
| $ 398,015 | Total Long-Term Investments (cost $398,250,321) | 422,769,887 | ||||
| Floating Rate Obligations – (1.8)% | (7,590,000) | |||||
| Other Assets Less Liabilities – 1.2% (6) | 5,083,161 | |||||
| Net Assets – 100% | $ 420,263,048 |
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 | (28) | 12/20 | $(4,920,842) | $(4,920,125) | $717 | $(18,679) |
| (1) | All percentages shown in the Portfolio of Investments are based on net assets. | |
| (2) | Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. | |
| (3) | 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. | |
| (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) | 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 the cash collateral at brokers and/or the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable. | |
| 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 4 – Portfolio Securities and Investments in Derivatives for more information. | |
| WI/DD | Purchased on a when-issued or delayed delivery basis. |
See accompanying notes to financial statements.
57
Nuveen New York Municipal Bond Fund
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| LONG-TERM INVESTMENTS – 99.4% | ||||||
| MUNICIPAL BONDS – 99.4% | ||||||
| Consumer Staples – 3.2% | ||||||
| $ 15,110 | Erie County Tobacco Asset Securitization Corporation, New York, Tobacco Settlement Asset-Backed Bonds, Series 2005A, 5.000%, 6/01/38 | 10/20 at 100.00 | B- | $15,119,519 | ||
| 76,105 | Erie County Tobacco Asset Securitization Corporation, New York, Tobacco Settlement Asset-Backed Bonds, Series 2005C, 0.000%, 6/01/50, 144A | 10/20 at 15.54 | N/R | 8,353,285 | ||
| New York Counties Tobacco Trust VI, New York, Tobacco Settlement Pass-Through Bonds, Series 2016A-1: | ||||||
| 1,760 | 5.625%, 6/01/35 | No Opt. Call | BBB | 1,891,138 | ||
| 6,885 | 5.750%, 6/01/43 | No Opt. Call | BB+ | 8,091,046 | ||
| 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 | 1,613,718 | ||
| 3,000 | TSASC Inc, New York, Tobacco Asset-Backed Bonds, Series 2006, 5.000%, 6/01/48 | 6/27 at 100.00 | N/R | 3,095,070 | ||
| 104,425 | Total Consumer Staples | 38,163,776 | ||||
| Education and Civic Organizations – 15.7% | ||||||
| Albany Industrial Development Agency, New York, Revenue Bonds, Brighter Choice Charter Schools, Series 2007A: | ||||||
| 1,000 | 5.000%, 4/01/27 | 10/20 at 100.00 | BB | 1,001,510 | ||
| 290 | 5.000%, 4/01/37 | 10/20 at 100.00 | BB | 290,125 | ||
| 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+ | 2,203,688 | ||
| 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- | 1,717,270 | ||
| 1,250 | 5.500%, 4/01/43 | 4/23 at 100.00 | BBB- | 1,318,175 | ||
| Build New York City Resource Corporation, New York, Revenue Bonds, Children's Aid Society Project, Series 2015 BUILD NYC CHILDRENS AID SOCIETY: | ||||||
| 2,500 | 5.000%, 7/01/40 | 7/25 at 100.00 | A+ | 2,786,625 | ||
| 2,500 | 5.000%, 7/01/45 | 7/25 at 100.00 | A+ | 2,766,250 | ||
| 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 | 1,155,260 | ||
| 4,050 | 5.000%, 6/01/43 | 6/24 at 100.00 | Aa2 | 4,657,743 | ||
| 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 | 2,332,870 | ||
| 2,200 | 5.500%, 11/01/44 | 11/24 at 100.00 | BB | 2,317,524 |
58
| 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, 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+ | $1,076,345 | ||
| 1,875 | 5.000%, 4/15/43 | 4/23 at 100.00 | BB+ | 1,902,919 | ||
| 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- | 663,401 | ||
| 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 | 1,947,754 | ||
| 735 | 5.250%, 7/01/34 – FGIC Insured | No Opt. Call | Baa2 | 866,256 | ||
| Dormitory Authority of the State of New York, Insured Revenue Bonds, Touro College and University System, Series 2014A: | ||||||
| 2,930 | 5.500%, 1/01/39 | 7/24 at 100.00 | BBB- | 3,121,505 | ||
| 3,065 | 5.500%, 1/01/44 | 7/24 at 100.00 | BBB- | 3,245,038 | ||
| 2,945 | Dormitory Authority of the State of New York, Master BOCES Program, Revenue Bonds, Onondaga, Cortland and Madison Issue, Series 2020, 4.000%, 8/15/41 | 8/28 at 100.00 | Aa2 | 3,289,918 | ||
| 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 | A2 | 1,808,496 | ||
| 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 | 7,938,841 | ||
| Dormitory Authority of the State of New York, Revenue Bonds, Fordham University, Series 2020: | ||||||
| 5,500 | 4.000%, 7/01/46 | 7/29 at 100.00 | A | 6,292,495 | ||
| 3,500 | 4.000%, 7/01/50 | 7/29 at 100.00 | A | 3,988,355 | ||
| 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- | 3,137,044 | ||
| 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- | 5,048,220 | ||
| 3,760 | Dormitory Authority of the State of New York, Revenue Bonds, New School University, Series 2016A, 5.000%, 7/01/46 | 1/27 at 100.00 | A- | 4,228,383 | ||
| 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 | 1,538,285 | ||
| 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 | 4,111,779 | ||
| 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 | 1,821,195 | ||
| Dormitory Authority of the State of New York, Revenue Bonds, New York University, Series 2019A: | ||||||
| 1,700 | 5.000%, 7/01/42 | 7/29 at 100.00 | Aa2 | 2,124,371 | ||
| 11,215 | 5.000%, 7/01/49 | 7/29 at 100.00 | Aa2 | 13,877,329 | ||
| 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 | 5,479,550 | ||
| 1,355 | Dormitory Authority of the State of New York, Revenue Bonds, Rochester Institute of Technology, Series 2019A, 5.000%, 7/01/49 | 7/29 at 100.00 | A1 | 1,681,609 |
59
Nuveen New York Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations (continued) | ||||||
| $ 13,665 | Dormitory Authority of the State of New York, Revenue Bonds, Rockefeller University, Green Series 2019B, 5.000%, 7/01/50 | 7/29 at 100.00 | Aa1 | $17,259,988 | ||
| 5,000 | Dormitory Authority of the State of New York, Revenue Bonds, Rockefeller University, Series 2020A, 5.000%, 7/01/53 | 7/30 at 100.00 | Aa1 | 6,425,900 | ||
| 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- | 3,476,875 | ||
| 7,500 | Glen Cove Local Economic Assistance Corporation, New York, Revenue Bonds, Garvies Point Public Improvement Project, Capital Appreciation Series 2016B, 0.000%, 1/01/45 | No Opt. Call | N/R | 2,293,200 | ||
| 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 | 2,822,366 | ||
| 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 | 812,432 | ||
| 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 | 10/20 at 100.00 | Baa3 | 4,000,640 | ||
| 1,060 | 5.000%, 1/01/39 – AMBAC Insured | 10/20 at 100.00 | Baa3 | 1,060,170 | ||
| 1,795 | 4.750%, 1/01/42 – AMBAC Insured | 10/20 at 100.00 | Baa3 | 1,795,108 | ||
| 5,170 | 5.000%, 1/01/46 – AMBAC Insured | 10/20 at 100.00 | Baa3 | 5,135,671 | ||
| New York City Industrial Development Authority, New York, PILOT Revenue Bonds, Yankee Stadium Project, Series 2006: | ||||||
| 720 | 5.000%, 3/01/31 – FGIC Insured | 10/20 at 100.00 | Baa1 | 720,209 | ||
| 2,500 | 5.000%, 3/01/36 – NPFG Insured | 10/20 at 100.00 | Baa1 | 2,500,825 | ||
| 2,140 | 4.500%, 3/01/39 – FGIC Insured | 10/20 at 100.00 | Baa1 | 2,140,621 | ||
| 1,150 | 4.750%, 3/01/46 – NPFG Insured | 10/20 at 100.00 | Baa1 | 1,150,322 | ||
| 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 | 748,887 | ||
| 6,500 | New York Liberty Development Corporation, New York, Liberty Revenue Bonds, Bank of America Tower at One Bryant Park Project, Second Priority Refunding Series 2019 Class 1, 2.450%, 9/15/69 | 3/29 at 100.00 | N/R | 6,458,075 | ||
| 3,740 | New York Liberty Development Corporation, New York, Liberty Revenue Bonds, Bank of America Tower at One Bryant Park Project, Second Priority Refunding Series 2019 Class 2, 2.625%, 9/15/69 | 3/29 at 100.00 | A2 | 3,789,630 | ||
| 2,810 | New York Liberty Development Corporation, New York, Liberty Revenue Bonds, Bank of America Tower at One Bryant Park Project, Second Priority Refunding Series 2019 Class 3, 2.800%, 9/15/69 | 3/29 at 100.00 | Baa2 | 2,703,051 | ||
| 750 | Oneida County Local Development Corporation, New York, Revenue Bonds, Utica College Project, Series 2019, 4.000%, 7/01/39 | 7/29 at 100.00 | BBB- | 756,038 | ||
| 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 | 1,046,340 | ||
| 1,745 | 5.000%, 7/01/42 | 7/22 at 100.00 | Baa2 | 1,810,001 | ||
| 10,000 | Onondaga County Trust For Cultural Resources, New York, Revenue Bonds, Syracuse University Project, Series 2019, 5.000%, 12/01/45 | 12/29 at 100.00 | AA- | 12,700,200 |
60
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Education and Civic Organizations (continued) | ||||||
| Yonkers Economic Development Corporation, New York, Educational Revenue Bonds, Charter School Educational Excellence Project, Series 2010A: | ||||||
| $ 1,090 | 6.000%, 10/15/30 | 10/20 at 100.00 | BB | $1,094,687 | ||
| 2,300 | 6.250%, 10/15/40 | 10/20 at 100.00 | BB | 2,308,671 | ||
| Yonkers Economic Development Corporation, New York, Educational Revenue Bonds, Lamartine/Warburton LLC-Charter School of Educational Excellence Project, Series 2019A: | ||||||
| 200 | 4.000%, 10/15/29 | No Opt. Call | N/R | 205,276 | ||
| 205 | 5.000%, 10/15/39 | 10/29 at 100.00 | N/R | 217,788 | ||
| 173,470 | Total Education and Civic Organizations | 187,169,099 | ||||
| Financials – 1.1% | ||||||
| 5,710 | Liberty Development Corporation, New York, Goldman Sachs Headquarter Revenue Bonds, Series 2005, 5.250%, 10/01/35 | No Opt. Call | A | 7,968,933 | ||
| 3,475 | Liberty Development Corporation, New York, Goldman Sachs Headquarters Revenue Bonds Series 2007, 5.500%, 10/01/37 | No Opt. Call | A | 5,043,650 | ||
| 9,185 | Total Financials | 13,012,583 | ||||
| Health Care – 2.5% | ||||||
| 550 | Dormitory Authority of the State of New York, Highland Hospital of Rochester Revenue Bonds, Series 2010, 5.200%, 7/01/32 | 10/20 at 100.00 | A | 551,595 | ||
| Dormitory Authority of the State of New York, Revenue Bonds, Montefiore Obligated Group, Series 2020A: | ||||||
| 1,500 | 4.000%, 9/01/45 | 3/30 at 100.00 | BBB | 1,630,950 | ||
| 3,885 | 4.000%, 9/01/50 | 3/30 at 100.00 | BBB | 4,200,579 | ||
| 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- | 2,574,183 | ||
| 2,500 | Dormitory Authority of the State of New York, Revenue Bonds, NYU Langone Hospitals Obligated Group, Series 2020A, 4.000%, 7/01/50 | 7/30 at 100.00 | A | 2,825,300 | ||
| 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- | 1,144,000 | ||
| 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- | 230,928 | ||
| 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- | 2,152,820 | ||
| 1,325 | 5.000%, 7/01/46 | 7/26 at 100.00 | A- | 1,503,199 | ||
| 375 | Monroe County Industrial Development Corporation Tax-Exempt Revenue Bonds, Highland Hospital of Rochester Project, Series 2015, 5.000%, 7/01/34 | 7/25 at 100.00 | A | 429,101 | ||
| Monroe County Industrial Development Corporation, New York, FHA Insured Mortgage Revenue Bonds, Unity Hospital of Rochester Project, Series 2010: | ||||||
| 2,720 | 5.750%, 8/15/35 | 2/21 at 100.00 | Aa1 | 2,772,632 | ||
| 5,000 | 5.500%, 8/15/40 | 2/21 at 100.00 | Aa1 | 5,085,000 | ||
| 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- | 1,478,658 |
61
Nuveen New York Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Health Care (continued) | ||||||
| $ 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- | $1,768,697 | ||
| 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 | 1,056,180 | ||
| 27,465 | Total Health Care | 29,403,822 | ||||
| Housing/Multifamily – 0.1% | ||||||
| 65 | East Syracuse Housing Authority, New York, FHA-Insured Section 8 Assisted Revenue Refunding Bonds, Bennet Project, Series 2001A, 6.700%, 4/01/21 | 10/20 at 100.00 | AA | 65,304 | ||
| 1,455 | New York State Housing Finance Agency, Multifamily Housing Revenue Bonds, Cannon Street Senior Housing Project, Series 2007A, 5.300%, 2/15/39 (AMT) | 10/20 at 100.00 | Aa1 | 1,458,317 | ||
| 1,520 | Total Housing/Multifamily | 1,523,621 | ||||
| Industrials – 2.6% | ||||||
| 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 | 2,295,408 | ||
| 19,020 | 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 | 20,186,116 | ||
| 7,550 | New York Liberty Development Corporation, New York, Liberty Revenue Bonds, 3 World Trade Center Project, Class 2 Series 2014, 5.150%, 11/15/34, 144A | 11/24 at 100.00 | N/R | 7,990,165 | ||
| 28,715 | Total Industrials | 30,471,689 | ||||
| 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 | 10/20 at 100.00 | A2 | 651,709 | ||
| 550 | Monroe County Industrial Development Corporation, New York, Revenue Bonds, Saint Ann's Community Project, Series 2019, 5.000%, 1/01/40 | 1/26 at 103.00 | N/R | 573,557 | ||
| New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Special Needs Facilities Pooled Program, Series 2008A-1: | ||||||
| 305 | 5.800%, 7/01/23 | 10/20 at 100.00 | N/R | 287,188 | ||
| 395 | 6.100%, 7/01/28 | 10/20 at 100.00 | N/R | 342,627 | ||
| 210 | 6.200%, 7/01/33 | 10/20 at 100.00 | N/R | 171,738 | ||
| 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- | 1,241,991 | ||
| 3,335 | Total Long-Term Care | 3,268,810 | ||||
| Materials – 0.1% | ||||||
| 955 | Build New York City Resource Corporation, New York, Solid Waste Disposal Revenue Bonds, Pratt Paper NY, Inc Project, Series 2014, 4.500%, 1/01/25 (AMT), 144A | No Opt. Call | N/R | 1,003,991 | ||
| Tax Obligation/General – 7.1% | ||||||
| 3,325 | Nassau County, New York, General Obligation Bonds, General Improvement Bonds Series 2019B, 5.000%, 4/01/37 – AGM Insured | 4/30 at 100.00 | AA | 4,288,020 |
62
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/General (continued) | ||||||
| Nassau County, New York, General Obligation Bonds, General Improvement Series 2016C: | ||||||
| $ 2,000 | 5.000%, 4/01/39 – BAM Insured | 4/26 at 100.00 | AA | $2,367,540 | ||
| 1,000 | 5.000%, 4/01/40 – BAM Insured | 4/26 at 100.00 | AA | 1,179,660 | ||
| 1,955 | Nassau County, New York, General Obligation Bonds, General Improvement Series 2019A, 5.000%, 4/01/37 – AGM Insured | 4/29 at 100.00 | AA | 2,466,350 | ||
| New York City, New York, General Obligation Bonds, Fiscal 2013 Series A-1: | ||||||
| 1,900 | 5.000%, 10/01/30 | 10/22 at 100.00 | Aa1 | 2,075,294 | ||
| 1,915 | 5.000%, 10/01/31 | 10/22 at 100.00 | Aa1 | 2,090,012 | ||
| 3,000 | 5.000%, 10/01/33 | 10/22 at 100.00 | Aa1 | 3,268,260 | ||
| 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 | Aa1 | 2,003,869 | ||
| 6,100 | 5.000%, 3/01/37 | 3/23 at 100.00 | Aa1 | 6,730,923 | ||
| 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 | Aa1 | 2,256,220 | ||
| 2,500 | New York City, New York, General Obligation Bonds, Fiscal 2015 Series A, 5.000%, 8/01/32 | 8/24 at 100.00 | Aa1 | 2,897,300 | ||
| 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 | Aa1 | 1,973,994 | ||
| 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 | Aa1 | 12,693,227 | ||
| 11,000 | 5.000%, 3/01/40 | 3/28 at 100.00 | Aa1 | 13,359,390 | ||
| New York City, New York, General Obligation Bonds, Fiscal 2018 Series F-1: | ||||||
| 14,420 | 5.000%, 4/01/40 | 4/28 at 100.00 | Aa1 | 17,541,353 | ||
| 5,000 | 5.000%, 4/01/45 | 4/28 at 100.00 | Aa1 | 6,018,300 | ||
| 820 | New York City, New York, General Obligation Bonds, Series 2011D-I, 5.000%, 10/01/34 | 10/21 at 100.00 | Aa1 | 857,966 | ||
| 70,815 | Total Tax Obligation/General | 84,067,678 | ||||
| Tax Obligation/Limited – 26.3% | ||||||
| 8,300 | Battery Park City Authority, New York, Revenue Bonds, Senior Sustainability Series 2019A, 5.000%, 11/01/49 | 11/29 at 100.00 | Aaa | 10,669,899 | ||
| Dormitory Authority of the State of New York, Residential Institutions for Children Revenue Bonds, Series 2008-A1: | ||||||
| 1,855 | 5.000%, 6/01/33 | 10/20 at 100.00 | Aa1 | 1,861,993 | ||
| 2,320 | 5.000%, 6/01/38 | 10/20 at 100.00 | Aa1 | 2,328,561 | ||
| 20 | Dormitory Authority of the State of New York, Revenue Bonds, School Districts Financing Program, Series 2009C, 5.125%, 10/01/36 – AGC Insured | 10/20 at 100.00 | AA | 20,076 | ||
| 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+ | 6,096,312 | ||
| 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+ | 1,058,060 | ||
| 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+ | 3,377,250 |
63
Nuveen New York Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| $ 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+ | $7,080,180 | ||
| 2,830 | 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+ | 3,320,354 | ||
| 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+ | 1,161,420 | ||
| 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+ | 8,446,830 | ||
| Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose, Series 2019A Bidding Group 2,3,4: | ||||||
| 4,150 | 5.000%, 3/15/38 | 3/29 at 100.00 | Aa1 | 5,177,789 | ||
| 3,850 | 5.000%, 3/15/40 | 3/29 at 100.00 | Aa1 | 4,777,273 | ||
| 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+ | 3,360,507 | ||
| 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+ | 3,295,089 | ||
| 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+ | 16,820,250 | ||
| 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+ | 12,336,600 | ||
| 9,000 | 5.000%, 3/15/45 | 9/28 at 100.00 | AA+ | 11,084,580 | ||
| Government of Guam, Business Privilege Tax Bonds, Refunding Series 2015D: | ||||||
| 2,000 | 5.000%, 11/15/28 | 11/25 at 100.00 | BB | 2,240,160 | ||
| 2,000 | 5.000%, 11/15/32 | 11/25 at 100.00 | BB | 2,220,140 | ||
| 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 | Aa2 | 5,981,850 | ||
| 5,710 | 5.000%, 2/15/42 | 2/27 at 100.00 | Aa2 | 6,787,077 | ||
| 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 | Aa2 | 11,700,662 | ||
| 8,335 | Metropolitan Transportation Authority, New York, Dedicated Tax Fund Bonds, Climate Bond Certified, Green Series 2017A, 5.000%, 11/15/42 | 5/27 at 100.00 | AA | 9,692,021 | ||
| 5,450 | Metropolitan Transportation Authority, New York, Dedicated Tax Fund Bonds, Climate Bond Certified, Green Series 2017B-1, 5.000%, 11/15/47 | 11/27 at 100.00 | AA | 6,357,425 | ||
| 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 | 4,469,680 | ||
| 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 | 5,075,560 | ||
| 4,200 | 5.250%, 7/15/36 | 7/28 at 100.00 | AA | 5,309,094 |
64
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Tax Obligation/Limited (continued) | ||||||
| New York City Transitional Finance Authority, New York, Building Aid Revenue Bonds, Fiscal 2019 Subseries S-1: | ||||||
| $ 14,300 | 5.000%, 7/15/43 | 7/28 at 100.00 | AA | $17,424,979 | ||
| 3,000 | 5.000%, 7/15/45 | 7/28 at 100.00 | AA | 3,643,140 | ||
| 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 | 3,451,453 | ||
| 18,500 | 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 | 21,754,890 | ||
| 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 | 4,364,987 | ||
| 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 | 2,841,361 | ||
| 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 | 6,499,612 | ||
| 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 | 11,592,700 | ||
| 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 | 6,077,250 | ||
| 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 | 1,704,409 | ||
| 10,000 | 5.000%, 8/01/40 | 8/28 at 100.00 | AAA | 12,333,800 | ||
| 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 | 9,061,650 | ||
| 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+ | 5,122,550 | ||
| 2,500 | New York State Urban Development Corporation, State Personal Income Tax Revenue Bonds, General Purpose, Series 2020A, 4.000%, 3/15/38 | 9/30 at 100.00 | Aa1 | 2,972,600 | ||
| Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Restructured 2018A-1: | ||||||
| 1,044 | 0.000%, 7/01/33 | 7/28 at 86.06 | N/R | 707,655 | ||
| 6,813 | 4.500%, 7/01/34 | 7/25 at 100.00 | N/R | 7,210,743 | ||
| 385 | 4.550%, 7/01/40 | 7/28 at 100.00 | N/R | 410,017 | ||
| 18,256 | 5.000%, 7/01/58 | 7/28 at 100.00 | N/R | 19,491,931 | ||
| 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 | 2,101,380 | ||
| 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 | BB | 5,312,827 | ||
| 1,930 | 5.000%, 1/01/32 (AMT) | 1/26 at 100.00 | BB | 1,721,579 | ||
| 1,250 | 5.000%, 1/01/34 (AMT) | 1/26 at 100.00 | BB | 1,092,488 | ||
| 5,430 | 5.000%, 1/01/36 (AMT) | 1/26 at 100.00 | BB | 4,651,175 | ||
| 275,438 | Total Tax Obligation/Limited | 313,651,868 |
65
Nuveen New York Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Transportation – 22.7% | ||||||
| $ 1,500 | Buffalo and Fort Erie Public Bridge Authority, New York, Toll Bridge System Revenue Bonds, Series 2017, 5.000%, 1/01/47 | 1/27 at 100.00 | A+ | $1,776,825 | ||
| 15,905 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Green Climate Bond Certified Series 2020A-1, 4.000%, 11/15/45 | 5/30 at 100.00 | A+ | 16,062,300 | ||
| 3,600 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Green Climate Bond Certified Series 2020C-1, 4.750%, 11/15/45 | 5/30 at 100.00 | A+ | 3,921,732 | ||
| 960 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Refunding Series 2012H, 5.000%, 11/15/31 | 11/22 at 100.00 | A+ | 995,434 | ||
| 7,500 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Refunding Series 2015D-1, 5.000%, 11/15/30 | 11/25 at 100.00 | A+ | 8,109,075 | ||
| 4,000 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Refunding Series 2017D, 4.000%, 11/15/46 | 5/28 at 100.00 | A+ | 4,031,000 | ||
| 2,500 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2013D, 5.000%, 11/15/38 | 11/23 at 100.00 | A2 | 2,620,200 | ||
| 2,500 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2013E, 5.000%, 11/15/32 | 11/23 at 100.00 | A+ | 2,629,925 | ||
| 1,800 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2014D-1, 5.000%, 11/15/39 | 11/24 at 100.00 | A+ | 1,902,654 | ||
| 8,450 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2015C-1, 5.250%, 11/15/30 | 11/25 at 100.00 | A+ | 9,316,378 | ||
| Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2016C-1: | ||||||
| 2,500 | 5.000%, 11/15/34 | 11/26 at 100.00 | A+ | 2,729,175 | ||
| 2,700 | 5.000%, 11/15/56 | 11/26 at 100.00 | A+ | 2,887,704 | ||
| New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Bronx Parking Development Company, LLC Project, Series 2007: | ||||||
| 2,800 | 0.000%, 10/01/37 (5) | 10/20 at 100.00 | N/R | 2,156,000 | ||
| 2,000 | 0.000%, 10/01/46 (5) | 10/20 at 100.00 | N/R | 1,540,000 | ||
| 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+ | 9,995,900 | ||
| 8,370 | 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 | 8,770,756 | ||
| 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 | 2,596,886 | ||
| 8,515 | 5.000%, 1/01/46 | 1/26 at 100.00 | A2 | 9,769,600 | ||
| 3,000 | New York State Thruway Authority, General Revenue Junior Indebtedness Obligations, Series 2019B, 4.000%, 1/01/53 | 1/30 at 100.00 | A2 | 3,416,910 | ||
| New York Transportation Development Corporation, New York, Special Facilities Bonds, LaGuardia Airport Terminal B Redevelopment Project, Series 2016A: | ||||||
| 500 | 4.000%, 7/01/31 (AMT) | 7/24 at 100.00 | BBB | 522,530 | ||
| 7,000 | 4.000%, 7/01/41 (AMT) | 7/24 at 100.00 | BBB | 7,179,900 | ||
| 13,685 | 5.250%, 1/01/50 (AMT) | 7/24 at 100.00 | BBB | 14,799,096 |
66
| 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, American Airlines, Inc John F Kennedy International Airport Project, Refunding Series 2016: | ||||||
| $ 10,435 | 5.000%, 8/01/26 (AMT) | 8/21 at 100.00 | BB- | $10,476,114 | ||
| 12,610 | 5.000%, 8/01/31 (AMT) | 8/21 at 100.00 | BB- | 12,598,903 | ||
| 1,745 | New York Transportation Development Corporation, New York, Special Facility Revenue Bonds, American Airlines, Inc John F Kennedy International Airport Project, Series 2020, 5.375%, 8/01/36 (AMT) | 8/30 at 100.00 | BB- | 1,810,193 | ||
| New York Transportation Development Corporation, Special Facility Revenue Bonds, Delta Air Lines, Inc - LaGuardia Airport Terminals C&D Redevelopment Project, Series 2018: | ||||||
| 1,300 | 5.000%, 1/01/27 (AMT) | No Opt. Call | Baa3 | 1,439,594 | ||
| 10,200 | 5.000%, 1/01/28 (AMT) | No Opt. Call | Baa3 | 11,384,934 | ||
| 10,035 | 5.000%, 1/01/31 (AMT) | 1/28 at 100.00 | Baa3 | 11,054,857 | ||
| Niagara Frontier Transportation Authority, New York, Airport Revenue Bonds, Buffalo International Airport, Series 2014A: | ||||||
| 2,000 | 5.000%, 4/01/25 (AMT) | 4/24 at 100.00 | A3 | 2,269,200 | ||
| 3,775 | 5.000%, 4/01/26 (AMT) | 4/24 at 100.00 | A3 | 4,274,583 | ||
| 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 | Aa3 | 3,781,315 | ||
| 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 | Aa3 | 2,907,601 | ||
| 480 | 5.000%, 5/01/45 | 5/25 at 100.00 | Aa3 | 551,266 | ||
| 8,675 | 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 | Aa3 | 10,321,255 | ||
| 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 | Aa3 | 11,685,600 | ||
| Port Authority of New York and New Jersey, Consolidated Revenue Bonds, Two Hundred Eighteen Series 2019: | ||||||
| 2,745 | 5.000%, 11/01/38 (AMT) | 11/29 at 100.00 | Aa3 | 3,396,279 | ||
| 1,225 | 5.000%, 11/01/39 (AMT) | 11/29 at 100.00 | Aa3 | 1,511,295 | ||
| 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 | Aa3 | 4,813,078 | ||
| 10,230 | 5.000%, 9/01/48 | 9/28 at 100.00 | Aa3 | 12,386,689 | ||
| 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 | Aa3 | 5,961,600 | ||
| 3,585 | Port Authority of New York and New Jersey, Special Project Bonds, JFK International Air Terminal LLC Project, Eighth Series 2010, 6.000%, 12/01/36 | 12/20 at 100.00 | Baa1 | 3,628,844 | ||
| 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) | 10/20 at 100.00 | Baa1 | 4,646,622 | ||
| 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- | 1,650,449 |
67
Nuveen New York Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Transportation (continued) | ||||||
| $ 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- | $4,433,893 | ||
| 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- | 23,630,295 | ||
| 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+ | 1,576,162 | ||
| 246,540 | Total Transportation | 269,920,601 | ||||
| U.S. Guaranteed – 4.1% (6) | ||||||
| 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 | 1,011,750 | ||
| 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 (Pre-refunded 7/01/23) | 7/23 at 100.00 | Aa3 | 1,703,580 | ||
| 750 | Dormitory Authority of the State of New York, Revenue Bonds, Convent of the Sacred Heart, Series 2011, 5.625%, 11/01/32 (Pre-refunded 5/01/21) – AGM Insured | 5/21 at 100.00 | AA | 777,135 | ||
| 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- | 2,580,075 | ||
| 5 | 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 (Pre-refunded 2/15/25) | 2/25 at 100.00 | N/R | 6,029 | ||
| Dutchess County Industrial Development Agency, New York, Civic Facility Revenue Bonds, Vassar Brothers Medical Center Facility, Series 2005: | ||||||
| 545 | 5.500%, 4/01/30 (Pre-refunded 10/01/20) | 10/20 at 100.00 | AA | 547,327 | ||
| 950 | 5.500%, 4/01/34 (Pre-refunded 10/01/20) | 10/20 at 100.00 | AA | 954,056 | ||
| 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 | 1,204,716 | ||
| 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 | Aa2 | 542,179 | ||
| 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 | 1,287,022 | ||
| 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 | A+ | 4,895,582 | ||
| 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 | A+ | 3,977,248 | ||
| 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 | A+ | 1,129,900 | ||
| 5,375 | New York City Trust for Cultural Resources, New York, Revenue Bonds, Wildlife Conservation Society, Series 2013A, 5.000%, 8/01/33 (Pre-refunded 8/01/23) | 8/23 at 100.00 | A+ | 6,117,449 | ||
| New York City Trust for Cultural Resources, New York, Revenue Bonds, Wildlife Conservation Society, Series 2014A: | ||||||
| 3,800 | 5.000%, 8/01/38 (Pre-refunded 8/01/23) | 8/23 at 100.00 | A+ | 4,324,894 | ||
| 10,000 | 5.000%, 8/01/43 (Pre-refunded 8/01/23) | 8/23 at 100.00 | A+ | 11,381,300 | ||
| 5,850 | New York City, New York, General Obligation Bonds, Series 2011D-I, 5.000%, 10/01/34 (Pre-refunded 10/01/21) | 10/21 at 100.00 | N/R | 6,149,637 |
68
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| U.S. Guaranteed (6) (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 | $ 301,322 | ||
| 44,825 | Total U.S. Guaranteed | 48,891,201 | ||||
| Utilities – 5.8% | ||||||
| 420 | Guam Power Authority, Revenue Bonds, Series 2012A, 5.000%, 10/01/34 | �� | 10/22 at 100.00 | BBB | 442,256 | |
| Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2000A: | ||||||
| 2,000 | 0.000%, 6/01/24 – AGM Insured | No Opt. Call | AA | 1,940,560 | ||
| 2,000 | 0.000%, 6/01/25 – AGM Insured | No Opt. Call | AA | 1,911,720 | ||
| 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 | 3,418,835 | ||
| 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 | 3,511,235 | ||
| 5,500 | New York State Power Authority, General Revenue Bonds, Series 2020A, 4.000%, 11/15/50 | 5/30 at 100.00 | Aa1 | 6,501,605 | ||
| 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 | 2,513,057 | ||
| 3,260 | Suffolk County Industrial Development Agency, New York, Revenue Bonds, Nissequogue Cogeneration Partners Facility, Series 1998, 5.500%, 1/01/23 (AMT) | 10/20 at 100.00 | N/R | 3,289,927 | ||
| 10,000 | Utility Debt Securitization Authority, New York, Restructuring Bonds, Refunding Series 2015, 5.000%, 12/15/36 | 12/25 at 100.00 | AAA | 12,082,400 | ||
| 1,795 | Utility Debt Securitization Authority, New York, Restructuring Bonds, Series 2013TE, 5.000%, 12/15/41 | 12/23 at 100.00 | AAA | 2,030,073 | ||
| Utility Debt Securitization Authority, New York, Restructuring Bonds, Series 2017: | ||||||
| 15,500 | 5.000%, 12/15/38 | 12/27 at 100.00 | AAA | 19,498,690 | ||
| 3,000 | 5.000%, 12/15/39 | 12/27 at 100.00 | AAA | 3,765,030 | ||
| 7,000 | 5.000%, 12/15/40 | 12/27 at 100.00 | AAA | 8,764,000 | ||
| 58,795 | Total Utilities | 69,669,388 | ||||
| Water and Sewer – 7.8% | ||||||
| 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+ | 11,232,400 | ||
| 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+ | 5,369,922 | ||
| 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+ | 6,093,050 | ||
| 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+ | 3,664,650 | ||
| 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+ | 13,661,784 |
69
Nuveen New York Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||
| Water and Sewer (continued) | ||||||
| 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: | ||||||
| $ 500 | 5.000%, 6/15/30 | 6/24 at 100.00 | AAA | $584,115 | ||
| 6,675 | 5.000%, 6/15/34 | 6/25 at 100.00 | AAA | 7,951,861 | ||
| 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,: | ||||||
| 1,710 | 5.000%, 6/15/38 | 6/27 at 100.00 | AAA | 2,133,447 | ||
| 6,810 | 5.000%, 6/15/41 | 6/26 at 100.00 | AAA | 8,245,071 | ||
| 2,000 | 5.000%, 6/15/42 | 6/27 at 100.00 | AAA | 2,471,460 | ||
| 1,000 | 5.000%, 6/15/43 | 6/28 at 100.00 | AAA | 1,256,800 | ||
| 2,000 | 5.000%, 6/15/46 | 6/27 at 100.00 | AAA | 2,456,520 | ||
| 8,800 | 5.000%, 6/15/47 | 6/27 at 100.00 | AAA | 10,800,768 | ||
| 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 | 3,777,766 | ||
| Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2008A: | ||||||
| 1,200 | 6.000%, 7/01/38 | 10/20 at 100.00 | CC | 1,219,500 | ||
| 900 | 6.000%, 7/01/44 | 10/20 at 100.00 | CC | 914,625 | ||
| Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2012A: | ||||||
| 1,000 | 4.250%, 7/01/25 | 7/22 at 100.00 | CC | 1,010,940 | ||
| 505 | 5.500%, 7/01/28 | 7/22 at 100.00 | CC | 528,356 | ||
| 1,875 | 5.750%, 7/01/37 | 7/22 at 100.00 | CC | 1,952,344 | ||
| 4,000 | 5.250%, 7/01/42 | 7/22 at 100.00 | CC | 4,115,000 | ||
| 1,530 | 6.000%, 7/01/47 | 7/22 at 100.00 | CC | 1,596,937 | ||
| Western Nassau County Water Authority, New York, Water System Revenue Bonds, Series 2015A: | ||||||
| 675 | 5.000%, 4/01/40 | 4/25 at 100.00 | AA- | 772,814 | ||
| 1,050 | 5.000%, 4/01/45 | 4/25 at 100.00 | AA- | 1,194,029 | ||
| 78,665 | Total Water and Sewer | 93,004,159 | ||||
| $ 1,124,148 | Total Long-Term Investments (cost $1,109,150,739) | 1,183,222,286 | ||||
| Other Assets Less Liabilities – 0.6% | 7,130,065 | |||||
| Net Assets – 100% | $ 1,190,352,351 |
70
| (1) | All percentages shown in the Portfolio of Investments are based on net assets. | |
| (2) | Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. | |
| (3) | 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. | |
| (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) | Defaulted security. A security whose issuer has failed to fully pay principal and/or interest when due, or is under the protection of bankruptcy. | |
| (6) | Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. | |
| 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.
71
Statement of Assets and Liabilities
August 31, 2020
(Unaudited)
| Connecticut | Massachusetts | New Jersey | New York | |
| Assets | ||||
| Long-term investments, at value (cost $248,661,896, $530,928,889, $398,250,321 and $1,109,150,739, respectively) | $263,440,211 | $563,254,023 | $422,769,887 | $1,183,222,286 |
| Cash | 1,371,121 | 20,352,730 | 3,307,209 | — |
| Cash collateral at brokers for investments in futures contracts(1) | — | — | 160,000 | — |
| Receivable for: | ||||
| Interest | 2,294,200 | 5,514,355 | 3,786,198 | 13,137,095 |
| Investments sold | — | — | — | 1,600,000 |
| Shares sold | 969,007 | 1,360,210 | 917,774 | 2,057,621 |
| Other assets | 58,207 | 19,317 | 24,382 | 156,602 |
| Total assets | 268,132,746 | 590,500,635 | 430,965,450 | 1,200,173,604 |
| Liabilities | ||||
| Cash overdraft | — | — | — | 3,792,837 |
| Floating rate obligations | 1,570,000 | — | 7,590,000 | — |
| Payable for: | ||||
| Dividends | 116,578 | 128,029 | 130,295 | 593,224 |
| Interest | 6,361 | — | 48,646 | 1,175 |
| Investments purchased - regular settlement | — | 6,667,936 | — | 2,083,061 |
| Investments purchased - when-issued/delayed-delivery settlement | 1,658,820 | 235,095 | 1,037,810 | — |
| Shares redeemed | 347,757 | 1,291,677 | 1,448,351 | 2,243,301 |
| Variation margin on futures contracts | — | — | 18,679 | — |
| Accrued expenses: | ||||
| Management fees | 111,591 | 239,146 | 176,745 | 483,307 |
| Trustees fees | 55,704 | 17,440 | 23,544 | 157,210 |
| 12b-1 distribution and service fees | 34,741 | 47,979 | 51,782 | 129,743 |
| Other | 85,644 | 204,955 | 176,550 | 337,395 |
| Total liabilities | 3,987,196 | 8,832,257 | 10,702,402 | 9,821,253 |
| Net assets | $264,145,550 | $581,668,378 | $420,263,048 | $1,190,352,351 |
| Class A Shares | ||||
| Net assets | $158,038,143 | $235,059,794 | $205,714,558 | $ 502,894,216 |
| Shares outstanding | 14,690,196 | 22,575,966 | 17,717,748 | 45,420,460 |
| Net asset value ("NAV") per share | $ 10.76 | $ 10.41 | $ 11.61 | $ 11.07 |
| Offering price per share (NAV per share plus maximum sales charge of 4.20% of offering price) | $ 11.23 | $ 10.87 | $ 12.12 | $ 11.56 |
| Class C Shares | ||||
| Net assets | $ 6,862,183 | $ 8,775,293 | $ 15,199,369 | $ 45,214,319 |
| Shares outstanding | 639,348 | 849,689 | 1,315,417 | 4,089,208 |
| NAV and offering price per share | $ 10.73 | $ 10.33 | $ 11.55 | $ 11.06 |
| Class C2 Shares | ||||
| Net assets | $ 3,667,916 | $ 2,282,553 | $ 5,298,023 | $ 8,552,580 |
| Shares outstanding | 341,098 | 220,753 | 457,961 | 773,103 |
| NAV and offering price per share | $ 10.75 | $ 10.34 | $ 11.57 | $ 11.06 |
| Class I Shares | ||||
| Net assets | $ 95,577,308 | $335,550,738 | $194,051,098 | $ 633,691,236 |
| Shares outstanding | 8,861,877 | 32,228,691 | 16,652,123 | 57,188,322 |
| NAV and offering price per share | $ 10.79 | $ 10.41 | $ 11.65 | $ 11.08 |
| Fund level net assets consist of: | ||||
| Capital paid-in | $253,878,508 | $562,087,343 | $396,936,850 | $1,155,229,145 |
| Total distributable earnings | 10,267,042 | 19,581,035 | 23,326,198 | 35,123,206 |
| Fund level net assets | $264,145,550 | $581,668,378 | $420,263,048 | $1,190,352,351 |
| 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.
72
Statement of Operations
Six Months Ended August 31, 2020
(Unaudited)
| Connecticut | Massachusetts | New Jersey | New York | |
| Investment Income | $ 4,458,248 | $ 8,374,789 | $ 7,089,322 | $ 21,242,408 |
| Expenses | ||||
| Management fees | 640,998 | 1,327,009 | 1,020,732 | 2,794,597 |
| 12b-1 service fees - Class A Shares | 153,965 | 204,052 | 201,998 | 491,003 |
| 12b-1 distribution and service fees - Class C Shares | 32,085 | 42,504 | 78,716 | 235,522 |
| 12b-1 distribution and service fees - Class C2 Shares | 21,897 | 14,062 | 33,419 | 47,627 |
| Shareholder servicing agent fees | 47,185 | 144,249 | 100,980 | 246,820 |
| Interest expense | 10,274 | 2,495 | 54,012 | 48,734 |
| Custodian fees | 24,170 | 36,571 | 34,545 | 60,207 |
| Professional fees | 18,259 | 26,958 | 23,175 | 46,925 |
| Trustees fees | 3,826 | 8,013 | 6,146 | 17,390 |
| Shareholder reporting expenses | 9,008 | 16,623 | 12,919 | 28,037 |
| Federal and state registration fees | 4,059 | 6,785 | 1,426 | 2,265 |
| Other | 5,622 | 6,750 | 7,022 | 9,189 |
| Total expenses | 971,348 | 1,836,071 | 1,575,090 | 4,028,316 |
| Net investment income (loss) | 3,486,900 | 6,538,718 | 5,514,232 | 17,214,092 |
| Realized and Unrealized Gain (Loss) | ||||
| Net realized gain (loss) from: | ||||
| Investments | (630,136) | (1,860,168) | (126,027) | (21,083,468) |
| Futures contracts | — | — | (436,724) | — |
| Change in net unrealized appreciation (depreciation) of: | ||||
| Investments | (4,698,609) | (12,393,088) | (13,330,270) | (32,003,814) |
| Futures contracts | — | — | 145,283 | — |
| Net realized and unrealized gain (loss) | (5,328,745) | (14,253,256) | (13,747,738) | (53,087,282) |
| Net increase (decrease) in net assets from operations | $(1,841,845) | $ (7,714,538) | $ (8,233,506) | $(35,873,190) |
See accompanying notes to financial statements.
73
Statement of Changes in Net Assets
(Unaudited)
| Connecticut | Massachusetts | ||||
| Six Months Ended 8/31/20 | Year Ended 2/29/20 | Six Months Ended 8/31/20 | Year Ended 2/29/20 | ||
| Operations | |||||
| Net investment income (loss) | $ 3,486,900 | $ 7,017,519 | $ 6,538,718 | $ 12,266,229 | |
| Net realized gain (loss) from: | |||||
| Investments | (630,136) | 293,065 | (1,860,168) | 176,012 | |
| Futures contracts | — | — | — | — | |
| Change in net unrealized appreciation (depreciation) of: | |||||
| Investments | (4,698,609) | 13,419,065 | (12,393,088) | 35,250,808 | |
| Futures contracts | — | — | — | — | |
| Net increase (decrease) in net assets from operations | (1,841,845) | 20,729,649 | (7,714,538) | 47,693,049 | |
| Distributions to Shareholders | |||||
| Dividends: | |||||
| Class A Shares | (2,247,255) | (4,269,908) | (2,450,375) | (4,602,015) | |
| Class C Shares | (68,468) | (114,294) | (68,380) | (139,933) | |
| Class C2 Shares | (68,899) | (206,354) | (34,760) | (141,553) | |
| Class I Shares | (1,402,327) | (2,575,933) | (4,188,579) | (8,103,143) | |
| Decrease in net assets from distributions to shareholders | (3,786,949) | (7,166,489) | (6,742,094) | (12,986,644) | |
| Fund Share Transactions | |||||
| Proceeds from sale of shares | 26,680,292 | 61,357,777 | 115,185,689 | 198,579,111 | |
| Proceeds from shares issued to shareholders due to reinvestment of distributions | 2,572,624 | 5,783,155 | 4,972,898 | 11,532,959 | |
| 29,252,916 | 67,140,932 | 120,158,587 | 210,112,070 | ||
| Cost of shares redeemed | (23,377,515) | (36,966,311) | (90,659,688) | (70,340,320) | |
| Net increase (decrease) in net assets from Fund share transactions | 5,875,401 | 30,174,621 | 29,498,899 | 139,771,750 | |
| Net increase (decrease) in net assets | 246,607 | 43,737,781 | 15,042,267 | 174,478,155 | |
| Net assets at the beginning of period | 263,898,943 | 220,161,162 | 566,626,111 | 392,147,956 | |
| Net assets at the end of period | $264,145,550 | $263,898,943 | $581,668,378 | $566,626,111 | |
See accompanying notes to financial statements.
74
Statement of Changes in Net Assets (Unaudited) (continued)
| New Jersey | New York | ||||
| Six Months Ended 8/31/20 | Year Ended 2/29/20 | Six Months Ended 8/31/20 | Year Ended 2/29/20 | ||
| Operations | |||||
| Net investment income (loss) | $ 5,514,232 | $ 10,928,158 | $ 17,214,092 | $ 32,503,821 | |
| Net realized gain (loss) from: | |||||
| Investments | (126,027) | 635,706 | (21,083,468) | 2,051,369 | |
| Futures contracts | (436,724) | (766,336) | — | — | |
| Change in net unrealized appreciation (depreciation) of: | |||||
| Investments | (13,330,270) | 27,316,880 | (32,003,814) | 73,787,256 | |
| Futures contracts | 145,283 | (190,739) | — | — | |
| Net increase (decrease) in net assets from operations | (8,233,506) | 37,923,669 | (35,873,190) | 108,342,446 | |
| Distributions to Shareholders | |||||
| Dividends: | |||||
| Class A Shares | (2,761,137) | (5,703,061) | (6,939,812) | (13,929,598) | |
| Class C Shares | (152,481) | (332,161) | (474,877) | (951,747) | |
| Class C2 Shares | (98,289) | (317,869) | (145,327) | (478,645) | |
| Class I Shares | (2,730,543) | (5,154,983) | (9,406,227) | (18,332,726) | |
| Decrease in net assets from distributions to shareholders | (5,742,450) | (11,508,074) | (16,966,243) | (33,692,716) | |
| Fund Share Transactions | |||||
| Proceeds from sale of shares | 57,472,929 | 136,143,233 | 139,728,258 | 382,399,024 | |
| Proceeds from shares issued to shareholders due to reinvestment of distributions | 4,133,641 | 9,880,656 | 11,205,501 | 26,676,227 | |
| 61,606,570 | 146,023,889 | 150,933,759 | 409,075,251 | ||
| Cost of shares redeemed | (66,613,769) | (59,127,848) | (169,875,319) | (163,910,092) | |
| Net increase (decrease) in net assets from Fund share transactions | (5,007,199) | 86,896,041 | (18,941,560) | 245,165,159 | |
| Net increase (decrease) in net assets | (18,983,155) | 113,311,636 | (71,780,993) | 319,814,889 | |
| Net assets at the beginning of period | 439,246,203 | 325,934,567 | 1,262,133,344 | 942,318,455 | |
| Net assets at the end of period | $420,263,048 | $439,246,203 | $1,190,352,351 | $1,262,133,344 | |
See accompanying notes to financial statements.
75
Financial Highlights
(Unaudited)
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) | |||||||||
| 2021(e) | $10.99 | $0.14 | $(0.21) | $(0.07) | $(0.16) | $ — | $(0.16) | $10.76 | |
| 2020 | 10.39 | 0.31 | 0.60 | 0.91 | (0.31) | — | (0.31) | 10.99 | |
| 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 | |
| Class C (02/14) | |||||||||
| 2021(e) | 10.97 | 0.10 | (0.23) | (0.13) | (0.11) | — | (0.11) | 10.73 | |
| 2020 | 10.37 | 0.22 | 0.61 | 0.83 | (0.23) | — | (0.23) | 10.97 | |
| 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 | |
| Class C2 (10/93) | |||||||||
| 2021(e) | 10.99 | 0.11 | (0.22) | (0.11) | (0.13) | — | (0.13) | 10.75 | |
| 2020 | 10.39 | 0.25 | 0.60 | 0.85 | (0.25) | — | (0.25) | 10.99 | |
| 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 | |
| Class I (02/97) | |||||||||
| 2021(e) | 11.02 | 0.15 | (0.21) | (0.06) | (0.17) | — | (0.17) | 10.79 | |
| 2020 | 10.42 | 0.33 | 0.61 | 0.94 | (0.34) | — | (0.34) | 11.02 | |
| 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 | |
76
| Ratios/Supplemental Data | |||||
| Ratios to Average Net Assets | |||||
| Total Return(b) | Ending Net Assets (000) | Expenses Including Interest(c) | Expenses Excluding Interest | Net Investment Income (Loss) | Portfolio Turnover Rate(d) |
| (0.64)% | $158,038 | 0.80%* | 0.79%* | 2.69%* | 6% |
| 8.90 | 159,680 | 0.81 | 0.80 | 2.87 | 11 |
| 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 |
| (1.13) | 6,862 | 1.60* | 1.59* | 1.89* | 6 |
| 8.07 | 6,529 | 1.60 | 1.59 | 2.05 | 11 |
| 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 |
| (1.01) | 3,668 | 1.35* | 1.34* | 2.15* | 6 |
| 8.29 | 6,951 | 1.35 | 1.34 | 2.32 | 11 |
| 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 |
| (0.53) | 95,577 | 0.60* | 0.59* | 2.89* | 6 |
| 9.12 | 90,739 | 0.60 | 0.59 | 3.06 | 11 |
| 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 |
| (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 4 – Portfolio Securities and Investments in Derivatives 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 4 – Portfolio Securities and Investments in Derivatives) divided by the average long-term market value during the period. |
| (e) | For the six months ended August 31, 2020. |
| * | Annualized. |
See accompanying notes to financial statements.
77
Financial Highlights (Unaudited) (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) | |||||||||
| 2021(f) | $10.66 | $0.12 | $(0.25) | $(0.13) | $(0.12) | $ — | $(0.12) | $10.41 | |
| 2020 | 9.93 | 0.25 | 0.75 | 1.00 | (0.27) | — | (0.27) | 10.66 | |
| 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 | |
| Class C (02/14) | |||||||||
| 2021(f) | 10.58 | 0.08 | (0.25) | (0.17) | (0.08) | — | (0.08) | 10.33 | |
| 2020 | 9.85 | 0.17 | 0.75 | 0.92 | (0.19) | — | (0.19) | 10.58 | |
| 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 | |
| Class C2 (10/94) | |||||||||
| 2021(f) | 10.59 | 0.09 | (0.25) | (0.16) | (0.09) | — | (0.09) | 10.34 | |
| 2020 | 9.86 | 0.20 | 0.74 | 0.94 | (0.21) | — | (0.21) | 10.59 | |
| 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 | |
| Class I (12/86) | |||||||||
| 2021(f) | 10.66 | 0.13 | (0.25) | (0.12) | (0.13) | — | (0.13) | 10.41 | |
| 2020 | 9.92 | 0.27 | 0.76 | 1.03 | (0.29) | — | (0.29) | 10.66 | |
| 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 | |
78
| 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) |
| (1.15)% | $235,060 | 0.78%* | 0.78%* | 2.31%* | 6% |
| 10.19 | 206,362 | 0.79 | 0.79 | 2.45 | 7 |
| 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 |
| (1.57) | 8,775 | 1.57* | 1.58* | 1.52* | 6 |
| 9.38 | 8,538 | 1.59 | 1.59 | 1.65 | 7 |
| 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 |
| (1.45) | 2,283 | 1.32* | 1.33* | 1.78* | 6 |
| 9.63 | 4,730 | 1.34 | 1.34 | 1.93 | 7 |
| 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 |
| (1.07) | 335,551 | 0.58* | 0.58* | 2.52* | 6 |
| 10.50 | 346,995 | 0.59 | 0.59 | 2.65 | 7 |
| 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 |
| (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 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 4 – Portfolio Securities and Investments in Derivatives 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 4 – Portfolio Securities and Investments in Derivatives) divided by the average long-term market value during the period. |
| (f) | For the six months ended August 31, 2020. |
| * | Annualized. |
See accompanying notes to financial statements.
79
Financial Highlights (Unaudited) (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) | |||||||||
| 2021(e) | $11.99 | $0.15 | $(0.37) | $(0.22) | $(0.16) | $ — | $(0.16) | $11.61 | |
| 2020 | 11.20 | 0.32 | 0.81 | 1.13 | (0.34) | — | (0.34) | 11.99 | |
| 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 | |
| Class C (02/14) | |||||||||
| 2021(e) | 11.93 | 0.10 | (0.37) | (0.27) | (0.11) | — | (0.11) | 11.55 | |
| 2020 | 11.14 | 0.23 | 0.81 | 1.04 | (0.25) | — | (0.25) | 11.93 | |
| 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 | |
| Class C2 (09/94) | |||||||||
| 2021(e) | 11.94 | 0.12 | (0.36) | (0.24) | (0.13) | — | (0.13) | 11.57 | |
| 2020 | 11.15 | 0.26 | 0.80 | 1.06 | (0.27) | — | (0.27) | 11.94 | |
| 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 | |
| Class I (02/92) | |||||||||
| 2021(e) | 12.03 | 0.16 | (0.37) | (0.21) | (0.17) | — | (0.17) | 11.65 | |
| 2020 | 11.24 | 0.35 | 0.80 | 1.15 | (0.36) | — | (0.36) | 12.03 | |
| 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 | |
80
| 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) |
| (1.82)% | $205,715 | 0.81%** | 0.78%** | 2.62%** | 9% |
| 10.22 | 213,869 | 0.83 | 0.79 | 2.78 | 13 |
| 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 |
| (2.23) | 15,199 | 1.61** | 1.58** | 1.82** | 9 |
| 9.39 | 17,094 | 1.63 | 1.59 | 1.98 | 13 |
| 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 |
| (2.02) | 5,298 | 1.36** | 1.33** | 2.09** | 9 |
| 9.64 | 11,179 | 1.39 | 1.35 | 2.25 | 13 |
| 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 |
| (1.72) | 194,051 | 0.61** | 0.58** | 2.82** | 9 |
| 10.41 | 197,104 | 0.63 | 0.59 | 2.97 | 13 |
| 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 |
| (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 4 – Portfolio Securities and Investments in Derivatives 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 4 – Portfolio Securities and Investments in Derivatives) divided by the average long-term market value during the period. |
| (e) | For the six months ended August 31, 2020. |
| * | Rounds to less than $.01 per share. |
| ** | Annualized. |
See accompanying notes to financial statements.
81
Financial Highlights (Unaudited) (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) | |||||||||
| 2021(f) | $11.54 | $0.16 | $(0.47) | $(0.31) | $(0.16) | $ — | $(0.16) | $11.07 | |
| 2020 | 10.80 | 0.32 | 0.75 | 1.07 | (0.33) | — | (0.33) | 11.54 | |
| 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 | |
| Class C (02/14) | |||||||||
| 2021(f) | 11.52 | 0.11 | (0.46) | (0.35) | (0.11) | — | (0.11) | 11.06 | |
| 2020 | 10.78 | 0.23 | 0.75 | 0.98 | (0.24) | — | (0.24) | 11.52 | |
| 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 | |
| Class C2 (09/94) | |||||||||
| 2021(f) | 11.53 | 0.13 | (0.47) | (0.34) | (0.13) | — | (0.13) | 11.06 | |
| 2020 | 10.79 | 0.26 | 0.75 | 1.01 | (0.27) | — | (0.27) | 11.53 | |
| 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 | |
| Class I (12/86) | |||||||||
| 2021(f) | 11.55 | 0.17 | (0.47) | (0.30) | (0.17) | — | (0.17) | 11.08 | |
| 2020 | 10.81 | 0.34 | 0.75 | 1.09 | (0.35) | — | (0.35) | 11.55 | |
| 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 | |
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) |
| (2.69)% | $502,894 | 0.76%** | 0.75%** | 2.88%** | 22% |
| 10.03 | 534,311 | 0.76 | 0.75 | 2.85 | 7 |
| 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 |
| (3.01) | 45,214 | 1.56** | 1.55** | 2.07** | 22 |
| 9.19 | 50,740 | 1.56 | 1.55 | 2.04 | 7 |
| 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 |
| (2.96) | 8,553 | 1.31** | 1.30** | 2.34** | 22 |
| 9.45 | 15,720 | 1.32 | 1.31 | 2.32 | 7 |
| 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 |
| (2.58) | 633,691 | 0.56** | 0.55** | 3.07** | 22 |
| 10.26 | 661,362 | 0.56 | 0.55 | 3.04 | 7 |
| 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 |
| (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 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 4 – Portfolio Securities and Investments in Derivatives 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 4 – Portfolio Securities and Investments in Derivatives) divided by the average long-term market value during the period. |
| (f) | For the six months ended August 31, 2020. |
| * | Rounds to less than $.01 per share. |
| ** | Annualized. |
See accompanying notes to financial statements.
83
Notes to Financial Statements
(Unaudited)
1. 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 (the "1940 Act"), as amended. The Trust is comprised of the Nuveen Connecticut Municipal Bond Fund (“Connecticut”), Nuveen Massachusetts Municipal Bond Fund (“Massachusetts”), Nuveen New Jersey Municipal Bond Fund (“New Jersey”) and Nuveen New York Municipal Bond Fund (“New York”) (each a “Fund” and collectively, the “Funds”), as diversified funds, among others. The Trust was organized as a Massachusetts business trust on July 1, 1996. The Funds were each organized as a series of predecessor trusts or corporations prior to that date.
The end of the reporting period for the Funds is August 31, 2020, and the period covered by these Notes to Financial Statements is the six months ended August 31, 2020 (the "current fiscal period").
Investment Adviser and Sub-Adviser
The Funds' investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a subsidiary of Nuveen, LLC (“Nuveen”). Nuveen is the investment management arm of Teachers Insurance and Annuity Association of America (TIAA). The Adviser has overall responsibility for management of the Funds, oversees the management of the Funds' portfolios, manages the Funds' business affairs and provides certain clerical, bookkeeping and other administrative services, and, if necessary, asset allocation decisions. The Adviser has entered into sub-advisory agreements with Nuveen Asset Management, LLC, (the “Sub-Adviser”), a subsidiary of the Adviser, under which the Sub-Adviser manages the investment portfolios of the Funds.
Share Classes and Sales Charges
Class A Shares are generally sold with an up-front sales charge. Class A shares 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. 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 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 sold without an up-front sales charge.
Other Matters
The outbreak of the novel coronavirus (“COVID-19”) and subsequent global pandemic began significantly impacting the U.S. and global financial markets and economies during the calendar quarter ended March 31, 2020. The worldwide spread of COVID-19 has created significant uncertainty in the global economy. The duration and extent of COVID-19 over the long-term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds' normal course of business, results of operations, investments, and cash flows will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
2. Significant Accounting Policies
The accompanying financial statements were prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require the use of estimates made by management and the evaluation of subsequent events. Actual results may differ from those estimates. Each Fund is an investment company and follows accounting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification 946, Financial Services — Investment Companies. The NAV for financial reporting purposes may differ from the NAV for processing security and shareholder transactions. The NAV for financial reporting purposes includes security and shareholder transactions through the date of the report. Total return is computed based on the NAV used for processing security and shareholder transactions. The following is a summary of the significant accounting policies consistently followed by the Funds.
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.
84
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The amount, character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications
Under the 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.
Investments and Investment Income
Securities transactions are accounted for as of the trade date for financial reporting purposes. Realized gains and losses on securities transactions are based upon the specific identification method. Investment income is comprised of interest income, which is recorded on an accrual basis and includes accretion of discounts and amortization of premiums for financial reporting purposes. Investment income also reflects payment-in-kind ("PIK") interest and paydown gains and losses, if any. PIK interest represents income received in the form of securities in lieu of cash.
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 value of the settled shares of each class. Expenses directly attributable to a class of shares are recorded to the specific class. 12b-1 distribution and service fees are allocated on a class-specific basis.
Realized and unrealized capital gains and losses of the Funds are prorated among the classes based on the relative net assets of each class.
Netting Agreements
In the ordinary course of business, the Funds may enter into transactions subject to enforceable International Swaps and Derivatives Association, Inc. (ISDA) master agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows each Fund to offset certain securities and derivatives with a specific counterparty, when applicable, as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, each Fund manages its cash collateral and securities collateral on a counterparty basis.
The Funds' investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 4 - Portfolio Securities and Investments in Derivatives.
New Accounting Pronouncements and Rule Issuances
Fair Value Measurement: Disclosure Framework
During August 2018, the FASB issued Accounting Standards Update ("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. Management has early implemented this guidance and it did not have a material impact on the Funds' financial statements.
Reference Rate Reform
In March 2020, FASB issued ASU 2020-04, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The main objective of the new guidance is to provide relief to companies that will be impacted by the expected change in benchmark interest rates at the end of 2021, when participating banks will no longer be required to submit London Interbank Offered Rate (LIBOR) quotes by the UK Financial Conduct Authority (FCA). The new guidance allows companies to, provided the only changes to existing contracts are a change to an approved benchmark interest rate, account for modifications as a continuance of the existing contract without additional analysis. For new and existing contracts, the Funds may elect to apply the optional expedients as of March 12, 2020 through December 31, 2022. Management has not yet elected to apply the optional expedients, but is currently assessing the impact of the ASU’s adoption to the Funds’ financial statements and various filings.
3. Investment Valuation and Fair Value Measurements
The fair valuation input levels as described below are for fair value measurement purposes.
The Funds' investments in securities are recorded at their estimated fair value. 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.
85
Notes to Financial Statements (Unaudited) (continued)
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 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:
| Connecticut | Level 1 | Level 2 | Level 3 | Total |
| Long-Term Investments*: | ||||
| Municipal Bonds | $ — | $263,440,211 | $ — | $263,440,211 |
| Massachusetts | Level 1 | Level 2 | Level 3 | Total |
| Long-Term Investments*: | ||||
| Municipal Bonds | $ — | $563,254,023 | $ — | $563,254,023 |
| New Jersey | Level 1 | Level 2 | Level 3 | Total |
| Long-Term Investments*: | ||||
| Municipal Bonds | $ — | $422,769,887 | $ — | $422,769,887 |
| Investments in Derivatives: | ||||
| Futures Contracts** | 717 | — | — | 717 |
| Total | $ 717 | $422,769,887 | $ — | $422,770,604 |
| New York | Level 1 | Level 2 | Level 3 | Total |
| Long-Term Investments*: | ||||
| Municipal Bonds | $ — | $1,183,222,286 | $ — | $1,183,222,286 |
| * | 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. |
86
4. Portfolio Securities and Investments in Derivatives
Portfolio Securities
Inverse Floating Rate Securities
Each Fund is authorized to invest in inverse floating rate securities. An inverse floating rate security is created by depositing a municipal bond (referred to as an “Underlying Bond”), typically with a fixed interest rate, into a special purpose tender option bond (“TOB”) trust (referred to as the “TOB Trust”) created by or at the direction of one or more Funds. In turn, the TOB Trust issues (a) floating rate certificates (referred to as “Floaters”), in face amounts equal to some fraction of the Underlying Bond’s par amount or market value, and (b) an inverse floating rate certificate (referred to as an “Inverse Floater”) that represents all remaining or residual interest in the TOB Trust. Floaters typically pay short-term tax-exempt interest rates to third parties who are also provided a right to tender their certificate and receive its par value, which may be paid from the proceeds of a remarketing of the Floaters, by a loan to the TOB Trust from a third party liquidity provider (“Liquidity Provider”), or by the sale of assets from the TOB Trust. The Inverse Floater is issued to a long term investor, such as one or more 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. Earnings due from the Underlying Bond and interest due to the holders of the Floaters as of the end of the reporting period are recognized as components of “Receivable for interest” and “Payable for interest” on the Statement of Assets and Liabilities, respectively.
In contrast, an investment in an externally-deposited Inverse Floater is accounted for as a purchase of the Inverse Floater and is identified in the Fund’s Portfolio of Investments as “(IF) – Inverse floating rate investment.” For an externally-deposited Inverse Floater, a Fund’s Statement of Assets and Liabilities recognizes the Inverse Floater and not the Underlying Bond as an asset, and the Fund does not recognize the Floaters, or any related borrowings from a Liquidity Provider, as a liability. Additionally, the Fund reflects in “Investment Income” only the net amount of earnings on the Inverse Floater (net of the interest paid to the holders of the Floaters or the Liquidity Provider as lender, and the expenses of the Trust), and does not show the amount of that interest paid or the expenses of the TOB Trust as described above as interest expense on the Statement of Operations.
Fees paid upon the creation of a TOB Trust for self-deposited Inverse Floaters and externally-deposited Inverse Floaters are recognized as part of the cost basis of the Inverse Floater and are capitalized over the term of the TOB Trust.
As of the end of the reporting period, the aggregate value of Floaters issued by each Fund’s TOB Trust for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as follows:
| Floating Rate Obligations Outstanding | Connecticut | Massachusetts | New Jersey | New York |
| Floating rate obligations: self-deposited Inverse Floaters | $1,570,000 | $ — | $7,590,000 | $ — |
| Floating rate obligations: externally-deposited Inverse Floaters | — | — | — | — |
| Total | $1,570,000 | $ — | $7,590,000 | $ — |
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:
87
Notes to Financial Statements (Unaudited) (continued)
| Self-Deposited Inverse Floaters | Connecticut | Massachusetts | New Jersey | New York |
| Average floating rate obligations outstanding | $1,570,000 | $ — | $7,590,000 | $717,391 |
| Average annual interest rate and fees | 1.18% | —% | 1.17% | 3.25% |
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 | $1,570,000 | $ — | $7,590,000 | $ — |
| Maximum exposure to Recourse Trusts: externally-deposited Inverse Floaters | — | — | — | — |
| Total | $1,570,000 | $ — | $7,590,000 | $ — |
Zero Coupon Securities
A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.
Investment Transactions
Long-term purchases and sales (including maturities but excluding derivative transactions, where applicable) during the current fiscal period were as follows:
| Connecticut | Massachusetts | New Jersey | New York | |
| Purchases | $25,379,374 | $69,817,757 | $37,667,699 | $252,009,995 |
| Sales and maturities | 15,737,101 | 33,725,828 | 45,506,804 | 288,715,542 |
The Funds may purchase securities on a when-issued or delayed-delivery basis. Securities purchased on a when-issued or delayed-delivery basis may have extended settlement periods; interest income is not accrued until settlement date. Any securities so purchased are subject to market fluctuation during this period. The Funds have earmarked securities in their portfolios with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. If a Fund has outstanding when-issued/delayed-delivery purchases commitments as of the end of the reporting period, such amounts are recognized on the Statement of Assets and Liabilities.
88
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, New Jersey used U.S. Treasury futures as part of an overall portfolio construction strategy to manage portfolio duration and yield curve.
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* | $4,061,577 |
| * | 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. |
| 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 | — | $ — | Payable for variation margin on futures contracts* | $717 | |
* Value represents the cumulative unrealized appreciation (depreciation) of futures contracts as reported on the Fund's Portfolio of Investments and not the daily 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 |
| New Jersey | Interest rate | Futures contracts | $(436,724) | $145,283 |
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
89
Notes to Financial Statements (Unaudited) (continued)
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.
5. Fund Shares
Transactions in Fund shares during the current and prior fiscal period were as follows:
| Six Months Ended 8/31/20 | Year Ended 2/29/20 | ||||
| Connecticut | Shares | Amount | Shares | Amount | |
| Shares sold: | |||||
| Class A | 903,031 | $ 9,651,311 | 2,445,189 | $ 26,190,622 | |
| Class A – automatic conversion of Class C2 Shares | 6,361 | 66,850 | 5,723 | 60,952 | |
| Class C | 135,737 | 1,444,212 | 195,770 | 2,086,608 | |
| Class C2 | 1,304 | 13,805 | 2,807 | 29,960 | |
| Class I | 1,462,966 | 15,504,114 | 3,098,555 | 32,989,635 | |
| Shares issued to shareholders due to reinvestment of distributions: | |||||
| Class A | 139,788 | 1,479,635 | 313,032 | 3,352,802 | |
| Class C | 4,424 | 46,736 | 8,607 | 92,059 | |
| Class C2 | 3,333 | 35,238 | 11,672 | 124,724 | |
| Class I | 95,210 | 1,011,015 | 205,973 | 2,213,570 | |
| 2,752,154 | 29,252,916 | 6,287,328 | 67,140,932 | ||
| Shares redeemed: | |||||
| Class A | (888,191) | (9,416,533) | (1,530,362) | (16,325,058) | |
| Class C | (96,231) | (1,020,046) | (82,711) | (868,310) | |
| Class C2 | (289,831) | (3,103,816) | (473,307) | (5,037,353) | |
| Class C2 – automatic conversion to Class A Shares | (6,361) | (66,850) | (5,724) | (60,952) | |
| Class I | (931,093) | (9,770,270) | (1,369,799) | (14,674,638) | |
| (2,211,707) | (23,377,515) | (3,461,903) | (36,966,311) | ||
| Net increase (decrease) | 540,447 | $ 5,875,401 | 2,825,425 | $ 30,174,621 | |
| Six Months Ended 8/31/20 | Year Ended 2/29/20 | ||||
| Massachusetts | Shares | Amount | Shares | Amount | |
| Shares sold: | |||||
| Class A | 6,423,875 | $ 66,102,806 | 6,028,529 | $ 62,113,372 | |
| Class C | 129,402 | 1,305,670 | 217,983 | 2,221,870 | |
| Class C2 | 916 | 9,288 | 2,277 | 23,264 | |
| Class I | 4,660,787 | 47,767,925 | 13,091,811 | 134,220,605 | |
| Shares issued to shareholders due to reinvestment of distributions: | |||||
| Class A | 182,521 | 1,868,592 | 412,825 | 4,263,150 | |
| Class C | 4,728 | 47,972 | 11,925 | 122,059 | |
| Class C2 | 1,885 | 19,131 | 9,404 | 96,030 | |
| Class I | 296,864 | 3,037,203 | 682,632 | 7,051,720 | |
| 11,700,978 | 120,158,587 | 20,457,386 | 210,112,070 | ||
| Shares redeemed: | |||||
| Class A | (3,383,339) | (34,075,373) | (2,146,356) | (22,155,485) | |
| Class C | (91,688) | (922,925) | (112,576) | (1,147,022) | |
| Class C2 | (228,797) | (2,355,592) | (396,704) | (4,080,098) | |
| Class I | (5,276,133) | (53,305,798) | (4,176,081) | (42,957,715) | |
| (8,979,957) | (90,659,688) | (6,831,717) | (70,340,320) | ||
| Net increase (decrease) | 2,721,021 | $ 29,498,899 | 13,625,669 | $139,771,750 | |
90
| Six Months Ended 8/31/20 | Year Ended 2/29/20 | ||||
| New Jersey | Shares | Amount | Shares | Amount | |
| Shares sold: | |||||
| Class A | 2,437,775 | $ 27,751,699 | 4,075,827 | $ 47,310,725 | |
| Class A – automatic conversion of Class C2 Shares | 949 | 10,553 | — | — | |
| Class C | 87,009 | 990,636 | 361,877 | 4,182,804 | |
| Class C2 | 1,869 | 21,186 | 6,338 | 73,168 | |
| Class I | 2,512,518 | 28,698,855 | 7,309,335 | 84,576,536 | |
| Shares issued to shareholders due to reinvestment of distributions: | |||||
| Class A | 182,226 | 2,076,472 | 442,030 | 5,146,859 | |
| Class C | 9,222 | 104,585 | 22,334 | 258,642 | |
| Class C2 | 4,809 | 54,527 | 18,233 | 211,030 | |
| Class I | 165,930 | 1,898,057 | 364,565 | 4,264,125 | |
| 5,402,307 | 61,606,570 | 12,600,539 | 146,023,889 | ||
| Shares redeemed: | |||||
| Class A | (2,745,631) | (31,069,612) | (2,213,257) | (25,752,952) | |
| Class C | (213,806) | (2,430,434) | (255,710) | (2,950,313) | |
| Class C2 | (483,844) | (5,558,612) | (457,048) | (5,296,267) | |
| Class C2 – automatic conversion to Class A Shares | (952) | (10,553) | — | — | |
| Class I | (2,410,294) | (27,544,558) | (2,162,525) | (25,128,316) | |
| (5,854,527) | (66,613,769) | (5,088,540) | (59,127,848) | ||
| Net increase (decrease) | (452,220) | $ (5,007,199) | 7,511,999 | $ 86,896,041 | |
| Six Months Ended 8/31/20 | Year Ended 2/29/20 | ||||
| New York | Shares | Amount | Shares | Amount | |
| Shares sold: | |||||
| Class A | 5,276,281 | $ 58,016,018 | 11,679,373 | $ 130,483,598 | |
| Class A – automatic conversion of Class C2 Shares | 21,382 | 231,231 | 10,024 | 112,192 | |
| Class C | 330,768 | 3,647,489 | 1,267,533 | 14,111,543 | |
| Class C2 | 14,335 | 156,549 | 22,709 | 253,306 | |
| Class I | 7,121,284 | 77,676,971 | 21,430,240 | 237,438,385 | |
| Shares issued to shareholders due to reinvestment of distributions: | |||||
| Class A | 447,118 | 4,872,982 | 1,052,149 | 11,775,181 | |
| Class C | 29,231 | 318,140 | 66,445 | 742,769 | |
| Class C2 | 8,325 | 90,533 | 31,928 | 356,114 | |
| Class I | 542,877 | 5,923,846 | 1,231,553 | 13,802,163 | |
| 13,791,601 | 150,933,759 | 36,791,954 | 409,075,251 | ||
| Shares redeemed: | |||||
| Class A | (6,631,215) | (71,274,637) | (6,523,711) | (72,803,455) | |
| Class C | (674,603) | (7,376,107) | (409,513) | (4,563,141) | |
| Class C2 | (591,788) | (6,523,057) | (908,822) | (10,145,037) | |
| Class C2 – automatic conversion to Class A Shares | (21,402) | (231,231) | (10,033) | (112,192) | |
| Class I | (7,745,539) | (84,470,287) | (6,849,723) | (76,286,267) | |
| (15,664,547) | (169,875,319) | (14,701,802) | (163,910,092) | ||
| Net increase (decrease) | (1,872,946) | $ (18,941,560) | 22,090,152 | $ 245,165,159 | |
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.
91
Notes to Financial Statements (Unaudited) (continued)
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 table below presents the cost and unrealized appreciation (depreciation) of each Fund's investment portfolio, as determined on a federal income tax basis, as of August 31, 2020.
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.
| Connecticut | Massachusetts | New Jersey | New York | |
| Tax cost of investments | $247,149,408 | $531,084,596 | $390,413,491 | $1,109,103,017 |
| Gross unrealized: | ||||
| Appreciation | $ 15,093,056 | $ 33,461,832 | $ 26,467,272 | $ 79,620,614 |
| Depreciation | (372,259) | (1,292,405) | (1,700,146) | (5,501,345) |
| Net unrealized appreciation (depreciation) of investments | $ 14,720,797 | $ 32,169,427 | $ 24,767,126 | $ 74,119,269 |
Permanent differences, primarily due to taxable market discount, resulted in reclassifications among the Funds’ components of net assets as of February 29, 2020, the Funds' last tax year end.
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains as of February 29, 2020, the Funds' last tax year end, were as follows:
| Connecticut | Massachusetts | New Jersey | New York | |
| Undistributed net tax-exempt income1 | $962,835 | $575,786 | $813,753 | $2,128,811 |
| Undistributed net ordinary income2 | 132,911 | — | — | 14 |
| 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, 2020 through February 29, 2020, and paid on March 2, 2020. |
| 2 | Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. |
The tax character of distributions paid during the Funds’ last tax year ended February 29, 2020 was designated for purposes of the dividends paid deduction as follows:
| Connecticut | Massachusetts | New Jersey | New York | |
| Distributions from net tax-exempt income | $6,754,945 | $12,596,306 | $11,351,915 | $33,122,924 |
| Distributions from net ordinary income2 | 340,235 | 201,357 | 1,243 | 116,827 |
| Distributions from net long-term capital gains | — | — | — | — |
| 2 | Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. |
As of February 29, 2020, the Funds’ last 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.
| Connecticut | Massachusetts | New Jersey | New York | |
| Not subject to expiration: | ||||
| Short-term | $4,004,376 | $3,681,669 | $ — | $17,376,521 |
| Long-term | — | 6,269,695 | 794,543 | — |
| Total | $4,004,376 | $9,951,364 | $794,543 | $17,376,521 |
During the Funds' last tax year ended February 29, 2020, the following Funds utilized capital loss carryforwards as follows:
| Connecticut | Massachusetts | New York | |
| Utilized capital loss carryforwards | $296,746 | $176,340 | $2,151,211 |
92
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, 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, but do include certain assets of certain Nuveen funds that were reorganized into funds advised by an affiliate of the Adviser during the 2019 calendar year. Eligible assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the closed-end funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining eligible assets in certain circumstances. As of August 31, 2020, the complex-level fee for each Fund was 0.1574%.
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.
Distribution and Service Fees
Each Fund has adopted a distribution and service plan under rule 12b-1 under the 1940 Act. Class A Shares incur a 0.20% annual 12b-1 service fee. Class C Shares incur a 0.75% annual 12b-1 distribution fee and a 0.25% annual 12b-1 service fee. Class C2 Shares incur a 0.55% annual 12b-1distribution fee and a 0.20% annual 12b-1 service fee. Class I Shares are not subject to 12b-1 distribution or service fees. The fees under this plan compensate Nuveen Securities, LLC, (the “Distributor”), a wholly-owned subsidiary of Nuveen, for services provided and expenses incurred in distributing shares of the Funds and establishing and maintaining shareholder accounts.
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Notes to Financial Statements (Unaudited) (continued)
Other Transactions with Affiliates
Each Fund is permitted to purchase or sell securities from or to certain other funds or accounts managed by the Sub-Adviser (“Affiliated Entity”) under specified conditions outlined in procedures adopted by the Board ("cross-trade"). These procedures have been designed to ensure that any cross-trade of securities by the Fund from or to an Affiliated Entity by virtue of having a common investment adviser (or affiliated investment adviser), common officer and/or common trustee complies with Rule 17a-7 under the 1940 Act. These transactions are effected at the current market price (as provided by an independent pricing service) without incurring broker commissions.
During the current fiscal period, the Funds engaged in cross trades pursuant to these procedures as follows:
| Cross-Trades | Connecticut | Massachusetts | New Jersey | New York |
| Purchases | $1,010,160 | $2,833,499 | $ — | $71,987,099 |
| Sales | 1,000,280 | 2,805,785 | 2,000,000 | 65,608,525 |
During the current fiscal period, the Distributor, 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 | $67,288 | $86,833 | $61,499 | $405,679 |
| Paid to financial intermediaries | 62,819 | 84,871 | 59,678 | 396,965 |
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 | $45,098 | $79,348 | $57,937 | $371,474 |
To compensate for commissions advanced to financial intermediaries, all 12b-1 service and distribution fees collected on Class C and Class C2 Shares during the first year following a purchase are retained by the Distributor. During the current fiscal period, the Distributor retained such 12b-1 fees as follows:
| Connecticut | Massachusetts | New Jersey | New York | |
| 12b-1 fees retained | $11,914 | $10,509 | $19,980 | $57,903 |
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 | $591 | $8,869 | $23,926 | $129,944 |
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, $2.405 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 June 2021 unless extended or renewed.
The credit facility has the following terms: a 0.10% upfront fee, 0.15% per annum on unused commitment amounts and a drawn interest rate equal to the higher of (a) one-month LIBOR (London Inter-Bank Offered Rate) plus 1.25% (1.00% prior to June 24, 2020) per annum or (b) the Fed Funds rate plus 1.25% (1.00% prior to June 24, 2020) per annum on amounts borrowed. Participating Funds paid administration, legal and arrangement fees,
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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 following Fund utilized this facility. The Fund's maximum outstanding balance during the utilization period was as follows:
| New York | |
| Maximum outstanding balance | $23,900,000 |
During the Fund's utilization period(s) during the current fiscal period, the average daily balance outstanding and average annual interest rate on the Borrowings were as follows:
| New York | |
| Utilization period (days outstanding) | 25 |
| Average daily balance outstanding | $17,288,000 |
| Average annual interest rate | 2.01% |
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.
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Additional Fund Information
Investment Adviser
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.
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Glossary of Terms Used in this Report
Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in NAV or offer price and reinvested dividends and capital gains distributions, if any) over the time period being considered.
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.
Inverse Floating Rate Securities: Inverse floating rate securities, also known as inverse floaters or tender option bonds (TOBs), are created by depositing a municipal bond, typically with a fixed interest rate, into a special purpose trust. This trust, in turn, (a) issues floating rate certificates typically paying short-term tax-exempt interest rates to third parties in amounts equal to some fraction of the deposited bond’s par amount or market value, and (b) issues an inverse floating rate certificate (sometimes referred to as an “inverse floater”) to an investor (such as a fund) interested in gaining investment exposure to a long-term municipal bond. The income received by the holder of the inverse floater varies inversely with the short-term rate paid to the floating rate certificates’ holders, and in most circumstances the holder of the inverse floater bears substantially all of the underlying bond’s downside investment risk. The holder of the inverse floater typically also benefits disproportionately from any potential appreciation of the underlying bond’s value. Hence, an inverse floater essentially represents an investment in the underlying bond on a leveraged basis.
Leverage: Leverage is created whenever a fund has investment exposure (both reward and/or risk) equivalent to more than 100% of the investment capital.
Lipper Massachusetts Municipal Debt Funds Classification Average: Represents the average annualized total return for all reporting funds in the Lipper Massachusetts Municipal Debt Funds Classification. Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charges.
Lipper New Jersey Municipal Debt Funds Classification Average: Represents the average annualized total return for all reporting funds in the Lipper New Jersey Municipal Debt Funds Classification. Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charges.
Lipper New York Municipal Debt Funds Classification Average: Represents the average annualized total return for all reporting funds in the Lipper New York Municipal Debt Funds Classification. Lipper returns account for the effects of management fees and assume reinvestment of distributions, but do not reflect any applicable sales charges.
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Glossary of Terms Used in this Report (continued)
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-Refunding, also known as advanced refundings or refinancings, is a procedure used by state and local governments to refinance municipal bonds to lower interest expenses. The issuer sells new bonds with a lower yield and uses the proceeds to buy U.S. Treasury securities, the interest from which is used to make payments on the higher-yielding bonds. Because of this collateral, pre-refunding generally raises a bond’s credit rating and thus its value.
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.
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Annual Investment Management Agreement Approval Process
At a meeting held on May 19-21, 2020 (the “May Meeting”), the Board of Trustees (the “Board” and each Trustee, a “Board Member”) of the Funds, which is comprised entirely of 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 (each, an “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 (each, a “Sub-Advisory Agreement”) with Nuveen Asset Management, LLC (the “Sub-Adviser”) pursuant to which the Sub-Adviser serves as the investment sub-adviser to such Fund. Although the 1940 Act requires that continuances of the Advisory Agreements (as defined below) be approved by the in-person vote of a majority of the Independent Board Members, the May Meeting was held virtually through the internet in view of the health risks associated with holding an in-person meeting during the COVID-19 pandemic and governmental restrictions on gatherings. The May Meeting was held in reliance on an order issued by the Securities and Exchange Commission on March 13, 2020, as extended on March 25, 2020, which provided registered investment companies temporary relief from the in-person voting requirements of the 1940 Act with respect to the approval of a fund's advisory agreement in response to the challenges arising in connection with the COVID-19 pandemic.
Following up to an initial two-year period, the Board considers the renewal of 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.” Throughout the year, the Board and its committees meet regularly and, at these meetings, review an extensive array of topics and information that are relevant to its annual consideration of the renewal of the advisory agreements for the Nuveen funds. Such information may address, among other things, fund performance; the Adviser’s strategic plans; the review of the funds and investment teams; compliance, regulatory and risk management matters; the trading practices of the various sub-advisers to the funds; valuation of securities; fund expenses; payments to financial intermediaries, including 12b-1 fees and sub-transfer agency fees, if applicable; and overall market and regulatory developments.
In addition to the information and materials received during the year, the Board, in response to a request made on its behalf by independent legal counsel, received extensive materials and information prepared specifically for its annual consideration of the renewal of the advisory agreements for the Nuveen funds by the Adviser and by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data. The materials cover a wide range of topics including, but not limited to, a description of the nature, extent and quality of services provided by the Fund Advisers; a review of each sub-adviser to the Nuveen funds and the applicable investment teams; 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 fund(s) and/or the complex; a description of the profitability or financial data of Nuveen and the sub-advisers to the Nuveen funds; and a description of indirect benefits received by the Adviser and the sub-advisers as a result of their relationships with the Nuveen funds.
In continuing its practice, the Board met prior to the May Meeting to begin its considerations of the renewal of the Advisory Agreements. Accordingly, on April 27-28, 2020 (the “April Meeting”), the Board met to review and discuss, in part, the performance of the Nuveen funds and the Adviser’s evaluation of each sub-adviser to the Nuveen funds. In its review, the Board recognized the volatile market conditions occurring during the first half of 2020 arising, in part, from the public health crisis caused by the novel coronavirus known as COVID-19 and the resulting impact on fund performance. Accordingly, the Board reviewed, among other things, fund performance reflecting the more volatile periods, including for various time periods ended the first quarter of 2020 and for various time periods ended April 17, 2020. At the April Meeting, the Board Members asked questions and requested additional information that was provided for the May Meeting. In continuing its review of the Nuveen funds in light of the extraordinary market conditions experienced in early 2020, the Board received updated fund performance data reflecting various time periods ended May 8, 2020 for its May Meeting. The Board also continued its practice of seeking to meet periodically with the various sub-advisers to the Nuveen funds and their investment teams, when feasible.
The Independent Board Members considered the review of the advisory agreements for the Nuveen funds 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 Adviser and sub-advisers in their review of the advisory agreements. The contractual arrangements are a result of multiple years of review, negotiation and information provided in connection with the boards’ annual review of the Nuveen funds’ advisory arrangements and oversight of the Nuveen funds.
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Annual Investment Management Agreement Approval Process (continued)
The Independent Board Members were advised by independent legal counsel during the annual review process as well as throughout the year, including meeting in executive sessions with such counsel at which no representatives from the Adviser or the Sub-Adviser were present. In connection with their annual review, 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’s decision to renew the Advisory Agreements was not based on a single identified factor, but rather the decision reflected the comprehensive consideration of all the information provided throughout the year and at the April and May Meetings, 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 and information, 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 with particular focus on the services and enhancements to such services provided during the last year. The Independent Board Members considered the Investment Management Agreements and the Sub-Advisory Agreements separately in the course of their review. With this approach, they considered the respective roles of the Adviser and the Sub-Adviser in providing services to the Funds.
With respect to the Adviser, the Board recognized that the Adviser has provided a vast array of services the scope of which has expanded over the years in light of regulatory, market and other developments, such as the development of a liquidity management program and expanded compliance programs for the Nuveen funds. The Board also noted the extensive resources, tools and capabilities the Adviser and its affiliates devoted to the various operations of the Nuveen funds. These services include, but are not limited to: investment oversight, risk management and securities valuation services (such as analyzing investment performance and risk data; overseeing and reviewing the various sub-advisers to the Nuveen funds and their investment teams; overseeing trade execution, soft dollar practices and securities lending activities; providing daily valuation services and developing related valuation policies, procedures and methodologies; overseeing risk disclosure; periodic testing of investment and liquidity risks; participating in financial statement and marketing disclosures; participating in product development; and participating in leverage management and liquidity monitoring); product management (such as analyzing a fund’s position in the marketplace, setting dividends, preparing shareholder and intermediary communications and other due diligence support); fund administration (such as preparing fund tax returns and other tax compliance services, overseeing the funds’ independent public accountants and other service providers; managing fund budgets and expenses; and helping to fulfill the funds’ regulatory filing requirements); oversight of shareholder services and transfer agency functions (such as overseeing transfer agent service providers which include registered shareholder customer service and transaction processing; and overseeing proxy solicitation and tabulation services); Board relations services (such as organizing and administering Board and committee meetings, preparing various reports to the Board and committees and providing other support services); compliance and regulatory oversight services (such as devising compliance programs; managing compliance policies; monitoring compliance with applicable fund policies and laws and regulations; and evaluating the compliance programs of the various sub-advisers to the Nuveen funds and certain other service providers); and legal support and oversight of outside law firms (such as helping to prepare and file registration statements and proxy statements; overseeing fund activities and providing legal interpretations regarding such activities; and negotiating agreements with other fund service providers).
The Board also recognized that the Adviser and its affiliates have undertaken a number of initiatives over the previous year that benefited the complex and/or particular Nuveen funds including, but not limited to:
| • | Fund Improvements and Product Management Initiatives – continuing to proactively manage the Nuveen fund complex as a whole and at the individual fund level with an aim to enhance the shareholder outcomes through, among other things, rationalizing the product line and gaining efficiencies through mergers, repositionings and liquidations; launching new share classes; reviewing and updating investment policies and benchmarks; closing funds to new investments; rebranding the exchange-traded fund (“ETF”) product line; and integrating certain investment teams and changing the portfolio managers serving various funds; |
| • | Capital Initiatives – continuing to invest capital to support new Nuveen funds with initial capital as well as to facilitate modifications to the strategies or structure of existing funds; |
| • | Liquidity Management – implementing the liquidity risk management program which was designed to assess and manage the liquidity risk of the Nuveen funds. The Board noted that this program was particularly helpful in addressing the high volatility and liquidity challenges that arose in the market, particularly for the high yield municipal sector, during the first half of 2020; |
| • | Compliance Program Initiatives – continuing efforts to mitigate compliance risk, increase operating efficiencies, strengthen key compliance program elements and support international business growth and other objectives through, among other things, integrating various investment teams across affiliates, consolidating marketing review functions, enhancing compliance related technologies and establishing and maintaining shared broad-based compliance policies throughout the organization and its affiliates; |
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| • | Risk Management and Valuation Services – continuing efforts to provide Nuveen with a more disciplined and consistent approach to identifying and mitigating the firm’s operational risks through, among other things, enhancing the interaction and reporting between the investment risk management team and various affiliates and adopting a risk operational framework across the complex; |
| • | Regulatory Matters – continuing efforts to monitor regulatory trends and advocate on behalf of the Nuveen funds, to implement and comply with new or revised rules and mandates and to respond to regulatory inquiries and exams; |
| • | Government Relations – continuing efforts of various Nuveen teams and affiliates to develop policy positions on a broad range of issues that may impact the Nuveen funds, advocate and communicate these positions to lawmakers and other regulatory authorities and work with trade associations to ensure these positions are represented; |
| • | Business Continuity, Disaster Recovery and Information Services – continuing to periodically test business continuity and disaster recovery plans, maintain an information security program designed to identify and manage information security risks, and provide reports to the Board, at least annually, addressing, among other things, management’s security risk assessment, cyber risk profile, potential impact of new or revised laws and regulations, incident tracking and other relevant information technology risk-related reports; and |
| • | Expanded Dividend Management Services – continuing to manage the dividends among the varying types of Nuveen funds within the Nuveen complex to be consistent with the respective fund’s product design and investing resources to develop systems to assist in the process for newer products such as target term funds and ETFs. |
The Board also noted the benefits to shareholders of investing in a Nuveen fund, as each Nuveen fund is a part of a large fund complex with a variety of investment disciplines, capabilities, expertise and resources available to navigate and support the funds including during stressed times as occurred in the market in the first half of 2020. In addition to the services provided by the Adviser, the Board also considered the risks borne by the Adviser and its affiliates in managing the Nuveen funds, including entrepreneurial, operational, reputational, regulatory and litigation risks.
The Board further considered the division of responsibilities between the Adviser and the Sub-Adviser and recognized that the Sub-Adviser and its investment personnel generally are responsible for the management of each Fund’s portfolio under the oversight of the Adviser and the Board. The Board considered an analysis of the Sub-Adviser provided by the Adviser which included, among other things, the Sub-Adviser’s assets under management and changes thereto, a summary of the applicable investment team and changes thereto, the investment approach of the team and the performance of the funds sub-advised by the Sub-Adviser over various periods. The Board further considered at the May Meeting or prior meetings evaluations of the Sub-Adviser’s compliance program and trade execution. The Board also considered the structure of investment personnel compensation programs and whether this structure provides appropriate incentives to act in the best interests of the respective Nuveen funds. 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
In evaluating the quality of the services provided by the Fund Advisers, the Board also received and considered a variety of investment performance data of the Nuveen funds they advise. In this regard, the Board reviewed, among other things, Fund performance over the quarter, one-, three- and five-year periods ending December 31, 2019. The performance data was based on Class A shares; however, 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. Unless otherwise indicated, the performance data referenced below reflects the periods ended December 31, 2019. In general, the year 2019 was a period of strong market performance. However, as noted above, the Board recognized the unprecedented market volatility and decline that occurred in early 2020 and the significant impact it would have on fund performance. As a result, the Board reviewed performance data capturing more recent time periods, including performance data reflecting the first quarter of 2020 as well as performance data for various periods ended April 17, 2020 for its April Meeting and May 8, 2020 for its May Meeting.
The Board reviewed both absolute and relative fund performance during the annual review over the various time periods. With respect to the latter, the Board considered fund performance 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). For funds that had changes in portfolio managers, the Board considered performance data of such funds before and after such changes. In considering performance data, the Board is aware of certain inherent limitations with such data, including that differences between the objective(s), strategies and other characteristics of the Nuveen funds compared to the respective Performance Peer Group and/or benchmark(s) (such as differences in the use of leverage) as well as differences in the composition of the Performance Peer Group over time will necessarily contribute to differences in performance results and limit the value of the comparative information. To assist the Board in its review of the comparability of the relative performance, the Adviser has ranked the relevancy of the peer group to the funds as low, medium or high.
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Annual Investment Management Agreement Approval Process (continued)
As noted above, the Board reviewed fund performance over various periods ended December 31, 2019 as well as the first quarter of 2020 and various time periods ended April 17, 2020 and May 8, 2020. In light of the significant market decline in the early part of 2020, the Board noted that a shorter period of underperformance may significantly impact longer term performance. Further, the Board recognized that performance data may differ significantly depending on the ending date selected and accordingly, performance results for periods ended at the year-end of 2019 may vary significantly from performance results for periods ended in the first quarter of 2020, particularly given the extraordinary market conditions at that time as the impact of COVID-19 and other market developments unfolded. The Board considered a fund’s performance in light of the overall financial market conditions. In addition, the Board recognized that shareholders may evaluate performance based on their own holding periods which may differ from the periods reviewed by the Board and lead to differing results.
In addition to the performance data prepared in connection with the annual review of the advisory agreements of the Nuveen funds, the Board reviewed fund performance throughout the year at its quarterly meetings representing differing time periods and took into account the discussions that occurred at these Board meetings in evaluating a fund’s overall performance. The Board also considered, among other things, the Adviser’s analysis of each Nuveen fund’s performance, with particular focus on funds that were considered performance outliers (both overperformance and underperformance), the factors contributing to the performance and any steps taken to address any performance concerns. Given the volatile market conditions of early 2020, the Board considered the Adviser’s analysis of the impact of such conditions on the Nuveen funds’ performance.
The Board evaluated performance in light of various factors, including general market conditions, issuer-specific information, asset class information, fund cash flows and other factors. Accordingly, depending on the facts and circumstances, the Board may be satisfied with a fund’s performance notwithstanding that its performance may be below its benchmark or peer group for certain periods. However, 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.
The Board’s determinations with respect to each Fund are summarized below.
For Nuveen Connecticut Municipal Bond Fund (the “Connecticut Fund”), the Board considered that although the Fund’s performance was below the performance of its benchmark for the one-, three- and five-year periods ended December 31, 2019, the Fund ranked in the second quartile of its Performance Peer Group for such periods. With the market decline in the first quarter of 2020, the Fund’s performance continued to be below the performance of its benchmark for the one-, three- and five-year periods ended March 31, 2020; however, the Fund ranked in the second quartile of its Performance Peer Group for 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 although the Fund’s performance was below the performance of its benchmark for the three- and five-year periods ended December 31, 2019, the Fund outperformed its benchmark for the one-year period ended December 31, 2019. The Fund further ranked in the first quartile of its Performance Peer Group for the one-, three- and five-year periods ended December 31, 2019. With the market decline in the first quarter of 2020, the Fund’s performance was below the performance of its benchmark for the one-, three- and five-year periods ended March 31, 2020. The Fund, however, ranked in the second quartile of its Performance Peer Group for the one-year period ended March 31, 2020 and in the first quartile of its Performance Peer Group for the three- and five-year periods ended March 31, 2020. 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 outperformed its benchmark for the one-, three- and five-year periods ended December 31, 2019. The Fund further ranked in the second quartile of its Performance Peer Group for the one-year period and first quartile for the three- and five-year periods ended December 31, 2019. With the market decline in the first quarter of 2020, although the Fund’s performance was below the performance of its benchmark for the one-year period ended March 31, 2020, the Fund outperformed its benchmark for the three- and five-year periods ended March 31, 2020. The Fund further ranked in the first quartile of its Performance Peer Group for the one-, three- and five-year periods ended March 31, 2020. 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 outperformed its benchmark and ranked in the second quartile of its Performance Peer Group for the one-, three- and five-year periods ended December 31, 2019. With the market decline in the first quarter of 2020, the Fund’s performance was below the performance of its benchmark for the one-, three- and five-year periods ended March 31, 2020. Although the Fund ranked in the fourth quartile of its Performance Peer Group for the one-year period ended March 31, 2020, the Fund ranked in the third quartile of its Performance Peer Group for the three-year period ended March 31, 2020 and second quartile of its Performance Peer Group for the five-year period ended March 31, 2020. The Board was satisfied with the Fund’s overall performance.
C. Fees, Expenses and Profitability
1. Fees and Expenses
As part of its annual review, the Board considered the contractual management fee and net management fee (the management fee after taking into consideration fee waivers and/or expense reimbursements, if any) paid by a Nuveen fund to the Adviser in light of the nature, extent and quality of the services provided. The Board also considered the total operating expense ratio of each Nuveen fund before and after any fee waivers and/or expense reimbursements. 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 com-
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parable 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 as well as changes to the composition of the Peer Group and/or Peer Universe from year to year 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 Nuveen fund with a net expense ratio of six basis points or higher compared to that of its peer average (each, an “Expense Outlier Fund”) and 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. The Independent Board Members also considered, in relevant part, a fund’s net management fee and net total expense ratio in light of its performance history.
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 Board noted that across the Nuveen fund complex, the complex-wide fee breakpoints reduced fees by $56.6 million and fund-level breakpoints reduced fees by $66.8 million in 2019. Further, fee caps and waivers for all applicable Nuveen funds saved approximately an additional $13.7 million in fees for shareholders in 2019.
With respect to the Sub-Adviser, the Board also considered the sub-advisory fee schedule paid to the Sub-Adviser in light of the sub-advisory services provided to the respective Fund, the breakpoint schedule and comparative data of the fees the Sub-Adviser charges to other clients, if any. In its review, the Board recognized that the compensation paid to the Sub-Adviser is the responsibility of the Adviser, not the Funds.
The Board noted that (i) the Connecticut Fund had a net management fee that was higher than its peer average, but a net expense ratio that was below its peer average; (ii) the Massachusetts Fund and the New Jersey Fund each had a net management fee and a net expense ratio that were in line with the respective peer averages; and (iii) the New York Fund had a net management fee that was in line with its peer average and a net expense ratio that was below its peer average.
Based on its 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 considered information regarding the fee rates the respective Fund Advisers charged to certain other types of clients and the type of services provided to these other clients. With respect to the Adviser and/or the Sub-Adviser, 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. With respect to the Sub-Adviser, the Board reviewed, among other things, the fee range and average fee of municipal retail wrap accounts and municipal institutional accounts.
In considering the fee data of other clients, the Board considered, among other things, the differences in the amount, type and level of services provided to the Nuveen funds relative to other clients 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. The Board recognized the complexity and myriad of services the Adviser had provided to the Nuveen funds compared to the other types of clients as the Adviser is principally responsible for all aspects of operating the funds, including complying with the increased regulatory requirements required when managing the funds as well as the increased entrepreneurial, legal and regulatory risks that the Adviser incurs in sponsoring and managing the funds. Further, with respect to ETFs, the Board considered that Nuveen ETFs are passively managed compared to the active management of the other Nuveen funds which contributed to the differences in fee levels between the Nuveen ETFs and other Nuveen funds. In general, higher fee levels reflect higher levels of service provided by the Adviser, 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, legal and regulatory risks incurred in sponsoring and advising a registered investment company.
3. Profitability of Fund Advisers
In their review, the Independent Board Members considered information regarding Nuveen’s level of profitability for its advisory services to the Nuveen funds for the calendar years 2019 and 2018. The Board reviewed, among other things, Nuveen’s net margins (pre-tax) (both including and excluding distribution expenses); gross and net revenue margins (pre- and post-tax); revenues, expenses, and net income (pre-tax and after-tax and
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Annual Investment Management Agreement Approval Process (continued)
before distribution) of Nuveen for fund advisory services; and comparative profitability data comparing the margins of Nuveen compared to the adjusted margins of certain peers with publicly available data and with the most comparable assets under management (based on asset size and asset composition) for each of the last two calendar years. The Board also reviewed the revenues and expenses the Adviser derived from its ETF product line for the 2018 and 2019 calendar years.
In reviewing the profitability data, the Independent Board Members recognized the subjective nature of calculating profitability as the information is not audited and is dependent on cost allocation methodologies to allocate expenses of Nuveen and its affiliates between the fund and non-fund businesses. The expenses to be allocated include direct expenses in servicing the Nuveen funds as well as indirect and/or shared costs (such as overhead, legal and compliance) some of which are attributed to the Nuveen funds pursuant to the cost allocation methodologies. The Independent Board Members reviewed a description of the cost allocation methodologies employed to develop the financial information and a summary of the history of changes to the methodology over the eleven-year period from 2008 to 2019. The Board had also appointed three Independent Board Members, along with the assistance of independent counsel, to serve as the Board’s liaisons to review the development of the profitability data and any proposed changes to the cost allocation methodology prior to incorporating any such changes and to report to the full Board. The Board recognized that other reasonable and valid allocation methodologies could be employed and could lead to significantly different results. Based on the data, the Independent Board Members noted that Nuveen’s net margins were higher in 2019 than the previous year and considered the key drivers behind the revenue and expense changes that impacted Nuveen’s net margins between the years. The Board also noted the reinvestments of some of the profits into the business through, among other things, the investment of seed capital in certain funds and continued investments in enhancements to information technology, internal infrastructure and data management improvements and global investment and innovation projects.
As noted above, the Independent Board Members also considered Nuveen’s margins from its relationship to the Nuveen funds compared to the adjusted margins of certain peers with publicly available data and with the most comparable assets under management (based on asset size and asset composition) to Nuveen for the calendar years 2019 and 2018. The Independent Board Members noted that Nuveen’s margins from its relationships with the Nuveen funds were on the low range compared to the adjusted margins of the peers. The Independent Board Members, however, recognized that it is difficult to make comparisons of profitability with other investment adviser peers given that comparative data is not generally public and the calculation of profitability is subjective and affected by numerous factors (such as types of funds a peer manages, its business mix, its cost of capital, the numerous assumptions underlying the methodology used to allocate expenses and other factors) which can have a significant impact on the results.
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 2019 and 2018 calendar years to consider the financial strength of TIAA. The Board recognized the benefit of having an investment adviser and its parent with significant resources, particularly during periods of market stress.
In addition to Nuveen, the Independent Board Members also considered the profitability of the Sub-Adviser from its relationships with the Nuveen funds. In this regard, the Independent Board Members reviewed, among other things, the Sub-Adviser’s revenues, expenses and net revenue margins (pre- and post-tax) for its advisory activities for the calendar year ended December 31, 2019 as well as its pre-tax and after-tax net revenue margins for 2019 compared to such margins for 2018. 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 ended December 31, 2019 and the pre- and post-tax revenue margins from 2019 and 2018.
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 Board considered whether there have been economies of scale with respect to the management of the Nuveen funds and whether these economies of scale have been appropriately shared with the funds. The Board recognized that although economies of scale are difficult to measure, there are several methods to help share the benefits of economies of scale, including breakpoints in the management fee schedule, fee waivers and/or expense limitations, the pricing of Nuveen funds at scale at inception and investments in Nuveen’s business which can enhance the services provided to the funds for the fees paid. The Board noted that Nuveen generally has employed these various methods. In this regard, the Board noted that the management fee of the Adviser is generally comprised of a fund-level component and a complex-level component each with its own breakpoint schedule, subject to certain exceptions. The Board reviewed the fund-level and complex-level fee schedules. The Board considered that the fund-level breakpoint schedules are designed to share economies of scale with shareholders if the particular fund grows, and the complex-level breakpoint schedule is designed to deliver the benefits of economies of scale to shareholders when the eligible assets in the complex pass certain thresholds even if the assets of a particular fund are unchanged or have declined. In the calculation of the complex-level component, the Board noted that it had approved the ac-
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quisition of several Nuveen funds by similar TIAA-CREF funds in 2019. However, to mitigate the loss of the assets of these Nuveen funds deemed eligible to be included in the calculation of the complex-wide fee when these Nuveen funds left the complex upon acquisition, Nuveen agreed to credit approximately $460 million to assets under management to the Nuveen complex in calculating the complex-wide component.
In addition to the fund-level and complex-level fee schedules, the Independent Board Members considered the temporary and/or permanent expense caps applicable to certain Nuveen funds (including the amounts of fees waived or amounts reimbursed to the respective funds in 2018 and 2019), including the permanent expense caps applicable to the Massachusetts Fund and the New York Fund.
The Independent Board Members also recognized the Adviser’s continued reinvestment in its business through, among other things, investments in its business infrastructure and information technology, portfolio accounting system and other systems and platforms that will, among other things, support growth, simplify and enhance information sharing, and enhance the investment process 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 recognized that an affiliate of the Adviser serves as principal underwriter providing distribution and/or shareholder services to the open-end funds. The Independent Board Members further noted that subject to certain exceptions, the Nuveen open-end funds pay 12b-1 fees and while a majority of such fees were paid to third party broker-dealers, the Board reviewed the amount retained by the Adviser’s affiliate. In addition, the Independent Board Members also noted that various sub-advisers (including the Sub-Adviser) may engage in soft dollar transactions pursuant to which they may receive the benefit of research products and other services provided by broker-dealers executing portfolio transactions on behalf of the applicable Nuveen funds, although the Board recognized that certain sub-advisers may be phasing out the use of soft dollars over time.
The Board, however, noted that the benefits for the Sub-Adviser when 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 considered 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 Nuveen funds to the extent it enhances the ability of the Sub-Adviser to manage such funds or is acquired through the commissions paid on portfolio transactions of other clients.
Based on its 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.
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Liquidity Risk Management Program
Discussion of the operation and effectiveness of the Funds’ liquidity risk management program
In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), each Fund covered in this Report (the “Funds”) has adopted and implemented a liquidity risk management program (the “Program”), which is designed to manage the Fund’s liquidity risk. The Program consists of various protocols for assessing and managing each Fund’s liquidity risk. The Funds’ Board of Trustees previously designated Nuveen Fund Advisors, LLC, the Funds’ investment adviser, as the Administrator of the Program. The adviser’s Liquidity Monitoring and Analysis Team (“LMAT”) carries out day-to-day Program management with oversight by the adviser’s Liquidity Oversight Sub-Committee (the LOSC”). The LOSC is composed of personnel from the adviser and Teachers Advisors, LLC, an affiliate of the adviser.
At a May 20, 2020 meeting of the Board, the Administrator provided the Board with a written report addressing the Program’s operation, adequacy and effectiveness of implementation for calendar year 2019 (the “Review Period”), as required under the Liquidity Rule. The report noted that the Program has been and continues to be adequately and effectively implemented to monitor and (as applicable) respond to each Fund’s liquidity developments.
In accordance with the Program, the LMAT assesses each Fund’s liquidity risk no less frequently than annually based on various factors, such as (i) the Fund’s investment strategy and the liquidity of portfolio investments, (ii) cash flow projections, and (iii) holdings of cash and cash equivalents, borrowing arrangements, and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions.
Each Fund portfolio investment is classified into one of four liquidity categories (including the most liquid, “Highly Liquid”, and the least liquid, “Illiquid”, discussed below). The classification is based on a determination of how long it is reasonably expected to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the market value of the investment. Liquidity classification determinations take into account various market, trading, and investment-specific considerations, as well as market depth, and use third-party vendor data.
Any Fund that does not primarily hold highly liquid investments must, among other things, determine a minimum percentage of Fund assets that must be invested in highly liquid investments (a “Highly Liquid Investment Minimum”). During the Review Period, each Fund primarily held Highly Liquid investments and therefore was exempt from the requirement to adopt a Highly Liquid Investment Minimum and to comply with the related requirements under the Liquidity Rule.
The Liquidity Rule also limits a Fund’s investments in Illiquid investments. Specifically, the Liquidity Rule prohibits a Fund from acquiring Illiquid investments if doing so would result in the Fund holding more than 15% of its net assets in Illiquid investments, and requires certain reporting to the Fund Board and the Securities and Exchange Commission any time a Fund’s holdings of Illiquid investments exceeds 15% of net assets. During the Review Period, no Fund exceeded the 15% limit on Illiquid investments.
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Nuveen:
Serving Investors for Generations
Serving Investors for Generations
Since 1898, financial professionals 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 professional, 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 MSA-MS3-0820D1347343-INV-B-10/21
Mutual Funds
31 August
2020
Nuveen Municipal Bond Fund
| Fund Name | Class A | Class C | Class I | |||
| 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.
Semiannual Report
Life is Complex.
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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 professional or brokerage account.
or
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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
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3
Chair’s Letter to Shareholders
Dear Shareholders,
The COVID-19 crisis is taking an unprecedented toll on our health, societies, economies and financial markets. Our thoughts are with you during this time of significant disruption caused by the disease and its economic fallout.
A renewed increase in COVID-19 cases in some areas, including an outbreak affecting President Trump and White House staffers and contacts, showed that controlling the spread of the novel coronavirus remains an ongoing public health concern as economies reopen and social activities resume. In the meantime, medical knowledge is improving and some areas have been able to implement much narrower restrictions when infection clusters have recurred. This has helped an economic recovery gain traction, with a significant recovery in jobs, consumer spending, manufacturing and other indicators from their weakest levels. Additionally, progress toward a vaccine and treatments has been promising, while the timeline is unknown. Markets have recently taken an optimistic view, but the path of the economy from here and the upcoming U.S. presidential election are increasingly in the forefront.
While we do not want to understate the dampening effect on the global economy, it is important to differentiate short-term interruptions from the longer-lasting implications to the economy. Prior to the COVID-19 crisis, some areas of the global economy were showing signs of improvement after trade tensions had weighed on economic activity for much of 2019. More recently, countries that have reopened have seen marked improvement in some near-term economic indicators. Central banks and governments around the world have announced economic stimulus measures and pledged to continue doing what it takes to support their economies. In the U.S., the Federal Reserve has cut its benchmark interest rate to near zero and introduced similar programs that helped revive the U.S. economy after the 2008 financial crisis. The U.S. Government has approved three relief packages, including a $2 trillion-dollar package directly supporting businesses and individuals. The Coronavirus Aid, Relief and Economic Security Act, called the CARES Act, has provided direct payments and expanded unemployment benefits to individuals, loans and grants to small businesses, loans and other money to large corporations and funding for hospitals, public health, education and state and local governments. In the European Union, the European Central Bank recently increased the size of its Pandemic Emergency Purchase Program, known as PEPP, to $1.6 trillion from $882 billion and extended its duration to June 2021.
In the meantime, patience and a long-term perspective are key for investors. When market fluctuations are the leading headlines day after day, it’s tempting to “do something.” However, your long-term goals can’t be met with short-term thinking. We encourage you to talk to your financial professional, who can review your time horizon, risk tolerance and investment goals. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.
Sincerely,
Terence J. Toth
Chair of the Board
October 23, 2020
4
Nuveen California Intermediate Municipal Bond Fund
The Fund features portfolio management by Nuveen Asset Management, LLC (NAM), an affiliate of Nuveen Fund Advisors, LLC, the Funds’ investment adviser. Portfolio manager Scott R. Romans, PhD, reviews key investment strategies and the Fund’s performance during the six-month reporting period ended August 31, 2020. Scott has managed the Nuveen California Intermediate Municipal Bond Fund since its inception on October 19, 2016.
On September 23, 2020 (subsequent to the close of the reporting period), it was announced that the Fund will be liquidated after the close of business on November 20, 2020. Effective October 23, 2020, the Fund will stop accepting purchases from new investors. Existing shareholders may continue to purchase Fund shares until November 6, 2020. Existing shareholders may continue to reinvest dividends and capital gains distributions received from the Fund. The Fund reserves the right to modify the extent to which sales of shares are limited prior to the Fund’s liquidation. After the close of business on November 20, 2020, the Fund will liquidate any remaining shareholder accounts and will send shareholders the proceeds of the liquidation.
An Update on COVID-19 Coronavirus and its Impact on the Securities Markets
Slowing COVID-19 coronavirus infection rates around the world encouraged authorities to loosen restrictions on business and social activity in recent months. While economic indicators have improved considerably from the depths of the shutdown, some regions, including the U.S. and Europe, have seen an uptick in infection rates after reopening, which prompted tightening coronavirus restrictions in some areas. Additionally, certain government programs supporting businesses and workers are expiring with little clarity on extensions or replacement options. Amid these challenges, the pace of recovery appeared to be moderating, and short-term market volatility has picked up again.
The initial market response was severe, but the responses from central banks and governments to ease the strain on financial systems, businesses and individuals, as well as positive vaccine news, have helped markets bounce back from the depths of the crisis. Although the detection of the virus in China was made public in December 2019, markets did not start to fully acknowledge the risks and potential economic impact until the latter portion of February 2020, when outbreaks outside of China were first reported. Global stock markets sold off severely, with the S&P 500® index reaching a bear market (a 20% drop from the previous high) within three weeks, the fastest bear market decline in history. Even certain parts of the bond market suffered; below investment grade municipal and corporate bonds generally dropped the furthest, mostly out of concerns for the continued financial stability of lower quality issuers. Demand for safe-haven assets, along with mounting recession fears, drove the yield on the 10-year U.S. Treasury note to 0.5% in March 2020, an all-time low. Additionally, oil prices collapsed to an 18-year low on supply glut concerns, as shutdowns across the global economy sharply reduced oil demand, although oil prices have recovered to well above those lows.
While most markets have recovered most of their losses, volatility will likely remain elevated until the health crisis itself is under control (via fewer new cases, lower infection rates and/or verified treatments or vaccines). There are still many unknowns and new information is incoming daily, compounding the difficulty of modeling outcomes for epidemiologists and economists alike.
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 manager 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 Fund disclaims 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 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 Manager’s Comments (continued)
Nuveen, LLC and our portfolio management teams are monitoring the situation carefully and continuously refining our views and approaches to managing the Funds to best pursue investment objectives while mitigating risks through all market environments.
How did the Fund perform during the six-month reporting period ended August 31, 2020?
The table in the Fund Performance, Expense Ratios and Effective Leverage Ratios section of this report provide total returns for the Fund for the six-month, one-year, five-year, ten-year and since-inception periods ended August 31, 2020. The 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. The Class A Shares of the Nuveen California Intermediate Municipal Bond Fund underperformed the S&P Municipal Bond Intermediate Index for the six-month reporting period ended August 31, 2020. The Fund also underperformed the state-specific S&P Municipal Bond California Index but outperformed its Lipper average.
The Fund 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.
What key strategies were used to manage the Fund during the six-month reporting period ended August 31, 2020?
The 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.
Compared with the S&P Municipal Bond Intermediate Index, credit quality positioning posed a material performance challenge for the Fund. This portfolio was notably overweighted in BBB rated and non-rated bonds, both of which significantly underperformed the index, detracting from the Fund’s performance in relative terms.
In contrast, the Fund benefited from favorable duration (interest rate) positioning. During the reporting period, to achieve the Fund’s overall portfolio duration, we maintained a “barbell” strategy. This entailed focusing on bonds with maturities of roughly nine to ten years while simultaneously overweighting the shortest maturity bonds. Given that short-term interest rates fell disproportionately during the reporting period, the Fund’s holdings in shorter-term municipal securities proved beneficial.
The Fund’s sector allocation in pre-refunded bonds contributed to performance. These securities benefited from their very short maturities and high credit quality, both of which were desirable characteristics during the volatile market environment in March and April 2020. Other sector contributors included utilities, which investors saw as resilient during challenging economic conditions, state general obligation bonds and tobacco debt. In contrast, transportation, health care and higher education bonds were negatively performing sectors, reflecting investors’ heightened concern about the issuers’ increased financial vulnerability amid economic weakness surrounding the COVID-19 crisis.
Our management priority throughout the reporting period focused on efficiently handling the shareholder redemptions the Fund was experiencing amid often volatile market conditions. With outflows significantly outpacing inflows, our focus was on selling bonds to generate the cash we needed to satisfy the redemptions.
Coming into the reporting period, we had prioritized purchases of highly rated, highly liquid bonds because we believed they offered a better risk/reward trade-off than many lower rated holdings in an environment of tight credit spreads. Having a substantial allocation to such highly liquid bonds thus proved beneficial as redemptions accelerated, as we had little trouble identifying bonds we were willing to sell to generate the needed proceeds.
6
Risk Considerations and Dividend Information
Risk Considerations
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
The 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 the 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 the 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 the 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.
7
Fund Performance, Expense Ratios and Effective Leverage Ratios
The Fund Performance, Expense Ratios and Effective Leverage Ratios for the Fund are shown within this section of the report.
Fund Performance
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 (i.e. cumulative returns). Since inception returns are shown for share classes that have less than 10-years of performance. 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.
Expense Ratios
The expense ratios shown are as of the Fund’s most recent prospectus. The expense ratios shown reflect total operating expenses (before fee waivers and/or expense reimbursements, if any). The expense ratios include management fees and other fees and expenses.
Effective Leverage Ratios
Leverage is created whenever the Fund has investment exposure (both reward and/or risk) equivalent to more than 100% of its investment capital. The effective leverage ratio shown for the 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. The 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 the Fund’s effective leverage ratio.
8
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 and Expense Ratios
| Total Returns as of August 31, 2020* | ||||||||||||||||||||||||
| Cumulative | Average Annual | Expense Ratios** | ||||||||||||||||||||||
| Inception Date | 6-Month | 1-Year | Since Inception | Gross | Net | |||||||||||||||||||
Class A Shares at NAV | 10/19/16 | (0.04)% | 1.70% | 3.28% | 1.27% | 0.76% | ||||||||||||||||||
Class A Shares at maximum Offering Price | 10/19/16 | (3.04)% | (1.35)% | 2.47% | — | — | ||||||||||||||||||
S&P Municipal Bond Intermediate Index | — | 0.88% | 3.43% | 3.58% | — | — | ||||||||||||||||||
S&P Municipal Bond California Index | — | 0.34% | 3.25% | 3.74% | — | — | ||||||||||||||||||
Lipper California Intermediate Municipal Debt Funds Classification Average | — | (0.46)% | 1.80% | 2.57% | — | — | ||||||||||||||||||
Class C Shares | 10/19/16 | (0.44)% | 0.90% | 2.42% | 2.07% | 1.56% | ||||||||||||||||||
Class I Shares | 10/19/16 | 0.05% | 1.87% | 3.48% | 1.07% | 0.56% | ||||||||||||||||||
| * | 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. |
| ** | The Fund’s investment adviser has contractually agreed to waive fees and/or reimburse other Fund expenses through July 31, 2022 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 August 31, 2020
Effective Leverage Ratio | 0.00% |
9
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. Unsubsidized yields do not reflect waivers and/or reimbursements from the investment adviser during the period. 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.
| Share Class | ||||||||||||
| Class A1 | Class C | Class I | ||||||||||
Dividend Yield | 1.53% | 0.79% | 1.74% | |||||||||
SEC 30-Day Yield – Subsidized | 0.50% | (0.30)% | 0.70% | |||||||||
SEC 30-Day Yield – Unsubsidized | (0.09)% | (0.88)% | 0.11% | |||||||||
Taxable-Equivalent Yield – Subsidized (54.1%)2 | 1.09% | (0.65)% | 1.53% | |||||||||
Taxable-Equivalent Yield – Unsubsidized (54.1%)2 | (0.20)% | (1.92)% | 0.24% | |||||||||
| 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. |
10
Holding Summaries as of August 31, 2020
This data relates to the securities held in the 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 California Intermediate Municipal Bond Fund
Fund Allocation
(% of net assets)
Long-Term Municipal Bonds | 94.9% | |||
Other Assets Less Liabilities | 5.1% | |||
Net Assets | 100% | |||
States and Territories
(% of total municipal bonds)
California | 100.0% | |||
Total | 100% | |||
Portfolio Composition
(% of total investments)
Tax Obligation/Limited | 26.8% | |||
Health Care | 15.5% | |||
Education and Civic Organizations | 12.5% | |||
Water and Sewer | 11.4% | |||
Utilities | 10.2% | |||
Transportation | 9.5% | |||
Tax Obligation/General | 8.7% | |||
Other | 5.4% | |||
Total | 100% | |||
Bond Credit Quality
(% of total investment exposure)
U.S. Guaranteed | 0.3% | |||
AAA | 8.6% | |||
AA | 31.4% | |||
A | 21.6% | |||
BBB | 22.7% | |||
BB or Lower | 1.7% | |||
N/R (not rated) | 13.7% | |||
Total | 100% | |||
11
As a shareholder of the Fund, 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 Fund 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 August 31, 2020.
The beginning of the period is March 1, 2020.
The information under “Actual Performance,” together with the amount you invested, allows you to estimate actual expenses incurred over the reporting period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.60) and multiply the result by the cost shown for your share class, in the row entitled “Expenses Incurred During Period” to estimate the expenses incurred on your account during this period.
The information under “Hypothetical Performance,” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense 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.
| 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 | $ | 999.62 | $ | 995.62 | $ | 1,000.48 | ||||||
Expenses Incurred During the Period | $ | 3.83 | $ | 7.85 | $ | 2.87 | ||||||
Hypothetical Performance (5% annualized return before expenses) | ||||||||||||
Beginning Account Value | $ | 1,000.00 | $ | 1,000.00 | $ | 1,000.00 | ||||||
Ending Account Value | $ | 1,021.37 | $ | 1,017.34 | $ | 1,022.33 | ||||||
Expenses Incurred During the Period | $ | 3.87 | $ | 7.93 | $ | 2.91 | ||||||
For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 0.76%, 1.56%, and 0.57% for Classes A, C and I, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
12
Nuveen California Intermediate Municipal Bond Fund
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
LONG-TERM INVESTMENTS – 94.9% |
| |||||||||||||||
MUNICIPAL BONDS – 94.9% |
| |||||||||||||||
| Consumer Staples – 4.6% | ||||||||||||||||
| $ | 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 | $ | 548,907 | ||||||||||
| Education and Civic Organizations – 11.9% | ||||||||||||||||
| 150 | California Educational Facilities Authority, Revenue Bonds, Art Center College of Design, Series 2018A, 5.000%, 12/01/28 | No Opt. Call | Baa1 | 180,069 | ||||||||||||
| 35 | California Educational Facilities Authority, Revenue Bonds, Chapman University, Series 2015, 5.000%, 4/01/27 | 4/25 at 100.00 | A2 | 40,783 | ||||||||||||
| 150 | California Health Facilities Financing Authority, Revenue Bonds, Los Angeles BioMedical, Series 2018, 5.000%, 9/01/28 | No Opt. Call | Baa2 | 183,541 | ||||||||||||
| 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 | 211,183 | ||||||||||||
| 150 | California Municipal Finance Authority, Revenue Bonds, California Lutheran University, Series 2018, 5.000%, 10/01/28 | No Opt. Call | Baa1 | 181,284 | ||||||||||||
| 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 | 103,545 | ||||||||||||
| 400 | University of California, General Revenue Bonds, Series 2017AY, 5.000%, 5/15/30 | 5/27 at 100.00 | AA | 511,236 | ||||||||||||
| 1,160 | Total Education and Civic Organizations | 1,411,641 | ||||||||||||||
| Health Care – 14.7% | ||||||||||||||||
| 150 | California Health Facilities Financing Authority, Revenue Bonds, El Camino Hospital, Series 2017, 5.000%, 2/01/26 | No Opt. Call | AA | 183,066 | ||||||||||||
| 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 | 226,740 | ||||||||||||
| 100 | California Municipal Finance Authority, Revenue Bonds, Eisenhower Medical Center, Refunding Series 2017A, 5.000%, 7/01/27 | No Opt. Call | Baa2 | 122,084 | ||||||||||||
| 60 | California Municipal Finance Authority, Revenue Bonds, NorthBay Healthcare Group, Series 2015, 5.000%, 11/01/22 | No Opt. Call | BBB– | 64,178 | ||||||||||||
| 100 | California Municipal Finance Authority, Revenue Bonds, NorthBay Healthcare Group, Series 2017A, 5.000%, 11/01/25 | No Opt. Call | BBB– | 114,568 | ||||||||||||
| 100 | California Public Finance Authority, Revenue Bonds, Henry Mayo Newhall Hospital, Series 2017, 5.000%, 10/15/23 | No Opt. Call | BBB– | 111,314 | ||||||||||||
| 125 | California Statewide Communities Development Authority, California, Redlands Community Hospital, Revenue Bonds, Series 2016, 5.000%, 10/01/25 | No Opt. Call | A– | 149,338 | ||||||||||||
| 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 | 113,329 | ||||||||||||
| 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 | 56,440 | ||||||||||||
13
Nuveen California Intermediate Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| 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– | $ | 230,562 | ||||||||||
| 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+ | 184,764 | ||||||||||||
| 70 | California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005A, 5.750%, 7/01/24 (4) | 10/20 at 100.00 | N/R | 64,352 | ||||||||||||
| 100 | Upland, California, Certificates of Participation, San Antonio Regional Hospital, Series 2017, 5.000%, 1/01/29 | 1/28 at 100.00 | BBB | 122,018 | ||||||||||||
| 1,480 | Total Health Care | 1,742,753 | ||||||||||||||
| Housing/Multifamily – 0.2% | ||||||||||||||||
| 20 | California Housing Finance Agency, Municipal Certificate Revenue Bonds, Class A Series 2019-1, 4.250%, 1/15/35 | No Opt. Call | BBB+ | 22,232 | ||||||||||||
| Tax Obligation/General – 8.2% | ||||||||||||||||
| 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 | 133,954 | ||||||||||||
| 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 | 64,876 | ||||||||||||
| 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 | AA+ | 261,886 | ||||||||||||
| 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 | AA | 185,284 | ||||||||||||
| 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 | 335,600 | ||||||||||||
| 750 | Total Tax Obligation/General | 981,600 | ||||||||||||||
| Tax Obligation/Limited – 25.4% | ||||||||||||||||
| 250 | California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Pacific Highlands Ranch Project, Series 2019, 5.000%, 9/02/29 | No Opt. Call | N/R | 310,150 | ||||||||||||
| 70 | 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 | 80,229 | ||||||||||||
| 150 | Dublin, California, Special Tax Bonds, Community Facilities District 2015-1 Improvement Area 2 Dublin Crossing, Series 2019, 5.000%, 9/01/29 | 9/26 at 103.00 | N/R | 179,712 | ||||||||||||
| 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 | 113,582 | ||||||||||||
| 100 | Jurupa Public Financing Authority, California, Special Tax Revenue Bonds, Series 2015A, 5.000%, 9/01/23 | No Opt. Call | A+ | 113,358 | ||||||||||||
| 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 | 179,774 | ||||||||||||
| 200 | Long Beach, California, Marina Revenue Bonds, Alamitos Bay Marina Project, Series 2015, 5.000%, 5/15/21 | No Opt. Call | BBB | 206,132 | ||||||||||||
| 50 | ndio, 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 | 58,889 | ||||||||||||
| 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+ | 403,572 | ||||||||||||
14
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Tax Obligation/Limited (continued) | ||||||||||||||||
| $ | 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 | $ | 118,729 | ||||||||||
Roseville, California, Special Tax Bonds, Community Facilities District 1 Diamond Creek, Refunding Series 2019: | ||||||||||||||||
| 100 | 5.000%, 9/01/28 | 9/26 at 103.00 | N/R | 120,970 | ||||||||||||
| 150 | 5.000%, 9/01/29 | 9/26 at 103.00 | N/R | 180,283 | ||||||||||||
| 400 | Sacramento, California, Special Assessment Revenue Bonds, Sacramento Tourism Infrastructure District Convention Center Ballroom, Series 2019, 5.000%, 6/01/29 | No Opt. Call | A2 | 476,156 | ||||||||||||
| 90 | 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 | 97,835 | ||||||||||||
| 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 | 81,235 | ||||||||||||
| 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 | 29,752 | ||||||||||||
| 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 | 119,076 | ||||||||||||
| 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 | 157,307 | ||||||||||||
| 2,535 | Total Tax Obligation/Limited | 3,026,741 | ||||||||||||||
| Transportation – 9.1% | ||||||||||||||||
| 100 | Alameda Corridor Transportation Authority, California, Revenue Bonds, Refunding Subordinate Lien Series 2016A, 5.000%, 10/01/25 | No Opt. Call | BBB+ | 119,415 | ||||||||||||
| 25 | California Municipal Finance Authority, Special Facility Revenue Bonds, United Airlines, Inc Los Angeles International Airport Project, Series 2019, 4.000%, 7/15/29 (AMT) | No Opt. Call | B+ | 25,017 | ||||||||||||
| 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 | Aa3 | 298,838 | ||||||||||||
| 100 | Peninsula Corridor Joint Powers Board, California, Farebox Revenue Bonds, Series 2019A, 5.000%, 10/01/29 | No Opt. Call | A | 127,131 | ||||||||||||
| 300 | San Diego County Regional Airport Authority, California, Airport Revenue Bonds, Subordinate Series 2019B, 5.000%, 7/01/29 (AMT) | No Opt. Call | A+ | 385,575 | ||||||||||||
| 100 | San Jose, California, Airport Revenue Bonds, Refunding Series 2017A, 5.000%, 3/01/26 (AMT) | No Opt. Call | A | 121,411 | ||||||||||||
| 860 | Total Transportation | 1,077,387 | ||||||||||||||
| U.S. Guaranteed – 0.3% (5) | ||||||||||||||||
| 30 | Marysville, California, Revenue Bonds, Fremont-Rideout Health Group, Series 2011, 5.000%, 1/01/31 (Pre-refunded 1/01/21) | 1/21 at 100.00 | N/R | 30,476 | ||||||||||||
| Utilities – 9.7% | ||||||||||||||||
| 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 | 47,853 | ||||||||||||
| 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, 144A | No Opt. Call | BBB | 299,148 | ||||||||||||
| 300 | California Statewide Communities Development Authority, Pollution Control Revenue Bonds, Southern California Edison Company, Series 2006C, 2.625%, 11/01/33 (Mandatory Put 12/01/23) | No Opt. Call | A– | 315,750 | ||||||||||||
15
Nuveen California Intermediate Municipal Bond Fund (continued)
Portfolio of Investments August 31, 2020
(Unaudited)
| Principal Amount (000) | Description (1) | Optional Call Provisions (2) | Ratings (3) | Value | ||||||||||||
| Utilities (continued) | ||||||||||||||||
| $ | 100 | Northern California Energy Authority, California, Commodity Supply Revenue Bonds, Series 2018A, 5.000%, 7/01/24 | No Opt. Call | A | $ | 116,516 | ||||||||||
| 250 | Riverside, California, Electric Revenue Bonds, Refunding Series 2019A, 5.000%, 10/01/29 | 4/29 at 100.00 | AA– | 339,010 | ||||||||||||
| 30 | Roseville Natural Gas Financing Authority, California, Gas Revenue Bonds, Series 2007, 5.000%, 2/15/23 | No Opt. Call | A+ | 33,095 | ||||||||||||
| 970 | Total Utilities | 1,151,372 | ||||||||||||||
| Water and Sewer – 10.8% | ||||||||||||||||
| 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 | 338,395 | ||||||||||||
| 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 | 293,135 | ||||||||||||
| 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 | 272,976 | ||||||||||||
| 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 | 385,353 | ||||||||||||
| 990 | Total Water and Sewer | 1,289,859 | ||||||||||||||
| $ | 9,240 | Total Long-Term Investments (cost $10,532,134) | 11,282,968 | |||||||||||||
Other Assets Less Liabilities – 5.1% | 609,589 | |||||||||||||||
Net Assets – 100% | $ | 11,892,557 | ||||||||||||||
| (1) | All percentages shown in the Portfolio of Investments are based on net assets. |
| (2) | Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. |
| (3) | 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. |
| (4) | Defaulted security. A security whose issuer has failed to fully pay principal and/or interest when due, or is under the protection of bankruptcy. |
| (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.
16
Statement of Assets and Liabilities
August 31, 2020
(Unaudited)
Assets | ||||
Long-term investments, at value (cost $10,532,134) | $ | 11,282,968 | ||
Cash | 536,423 | |||
Receivable for: | ||||
Interest | 137,888 | |||
Investments sold | 5,000 | |||
From Adviser | 927 | |||
Other assets | 5,888 | |||
Total assets | 11,969,094 | |||
Liabilities | ||||
Payable for: | ||||
Dividends | 1,945 | |||
Shares redeemed | 43,593 | |||
Accrued expenses: | ||||
Custodian fees | 13,757 | |||
Professional fees | 11,155 | |||
Trustees fees | 153 | |||
12b-1 distribution and service fees | 778 | |||
Other | 5,156 | |||
Total liabilities | 76,537 | |||
Net assets | $ | 11,892,557 | ||
Class A Shares | ||||
Net assets | $ | 3,923,208 | ||
Shares outstanding | 367,298 | |||
Net asset value (“NAV”) per share | $ | 10.68 | ||
Offering price per share (NAV per share plus maximum sales charge of 3.00% of offering price) | $ | 11.01 | ||
Class C Shares | ||||
Net assets | $ | 110,860 | ||
Shares outstanding | 10,396 | |||
NAV and offering price per share | $ | 10.66 | ||
Class I Shares | ||||
Net assets | $ | 7,858,489 | ||
Shares outstanding | 735,054 | |||
NAV and offering price per share | $ | 10.69 | ||
Fund level net assets consist of: | ||||
Capital paid-in | $ | 11,120,523 | ||
Total distributable earnings | 772,034 | |||
Fund level net assets | $ | 11,892,557 | ||
Authorized shares – per class | Unlimited | |||
Par value per share | $ | 0.01 | ||
See accompanying notes to financial statements.
17
Six Months Ended August 31, 2020
(Unaudited)
Investment Income | $ | 162,361 | ||
Expenses | ||||
Management fees | 34,581 | |||
12b-1 service fees – Class A Shares | 4,694 | |||
12b-1 distribution and service fees – Class C Shares | 547 | |||
Shareholder servicing agent fees | 4,209 | |||
Interest expense | 569 | |||
Custodian fees | 12,840 | |||
Professional fees | 10,847 | |||
Trustees fees | 220 | |||
Shareholder reporting expenses | 3,352 | |||
Federal and state registration fees | 4,509 | |||
Other | 3,599 | |||
Total expenses before fee waiver/expense reimbursement | 79,967 | |||
Fee waiver/expense reimbursement | (36,322 | ) | ||
Net expenses | 43,645 | |||
Net investment income (loss) | 118,716 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) from investments | 81,379 | |||
Change in net unrealized appreciation (depreciation) of investments | (394,115 | ) | ||
Net realized and unrealized gain (loss) | (312,736 | ) | ||
Net increase (decrease) in net assets from operations | $ | (194,020 | ) | |
See accompanying notes to financial statements.
18
Statement of Changes in Net Assets
(Unaudited)
| Six Months Ended 8/31/20 | Year Ended 2/29/20 | |||||||
Operations | ||||||||
Net investment income (loss) | $ | 118,716 | $ | 246,062 | ||||
Net realized gain (loss) from Investments | 81,379 | (717 | ) | |||||
Change in net unrealized appreciation (depreciation) of Investments | (394,115 | ) | 905,352 | |||||
Net increase (decrease) in net assets from operations | (194,020 | ) | 1,150,697 | |||||
Distributions to Shareholders | ||||||||
Dividends: | ||||||||
Class A Shares | (37,312 | ) | (29,584 | ) | ||||
Class C Shares | (436 | ) | (898 | ) | ||||
Class I Shares | (77,108 | ) | (220,874 | ) | ||||
Decrease in net assets from distributions to shareholders | (114,856 | ) | (251,356 | ) | ||||
Fund Share Transactions | ||||||||
Proceeds from sale of shares | 3,726,328 | 7,785,407 | ||||||
Proceeds from shares issued to shareholders due to reinvestment of distributions | 83,750 | 157,580 | ||||||
| 3,810,078 | 7,942,987 | |||||||
Cost of shares redeemed | (11,108,809 | ) | (1,596,684 | ) | ||||
Net increase (decrease) in net assets from Fund share transactions | (7,298,731 | ) | 6,346,303 | |||||
Net increase (decrease) in net assets | (7,607,607 | ) | 7,245,644 | |||||
Net assets at the beginning of period | 19,500,164 | 12,254,520 | ||||||
Net assets at the end of period | $ | 11,892,557 | $ | 19,500,164 | ||||
See accompanying notes to financial statements.
19
(Unaudited)
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) | ||||||||||||||||||||||||||||||||||||
2021(f) | $ | 10.77 | $ | 0.09 | $ | (0.10 | ) | $ | (0.01 | ) | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | 10.68 | ||||||||||||||||
2020 | 10.13 | 0.16 | 0.65 | 0.81 | (0.17 | ) | — | (0.17 | ) | 10.77 | ||||||||||||||||||||||||||
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(g) | 10.00 | 0.06 | (0.24 | ) | (0.18 | ) | (0.04 | ) | — | (0.04 | ) | 9.78 | ||||||||||||||||||||||||
Class C (10/16) | ||||||||||||||||||||||||||||||||||||
2021(f) | 10.75 | 0.04 | (0.09 | ) | (0.05 | ) | (0.04 | ) | — | (0.04 | ) | 10.66 | ||||||||||||||||||||||||
2020 | 10.12 | 0.08 | 0.63 | 0.71 | (0.08 | ) | — | (0.08 | ) | 10.75 | ||||||||||||||||||||||||||
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(g) | 10.00 | 0.02 | (0.24 | ) | (0.22 | ) | (0.02 | ) | — | (0.02 | ) | 9.76 | ||||||||||||||||||||||||
Class I (10/16) | ||||||||||||||||||||||||||||||||||||
2021(f) | 10.78 | 0.10 | (0.10 | ) | — | (0.09 | ) | — | (0.09 | ) | 10.69 | |||||||||||||||||||||||||
2020 | 10.14 | 0.18 | 0.64 | 0.82 | (0.18 | ) | — | (0.18 | ) | 10.78 | ||||||||||||||||||||||||||
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(g) | 10.00 | 0.05 | (0.22 | ) | (0.17 | ) | (0.05 | ) | — | (0.05 | ) | 9.78 | ||||||||||||||||||||||||
20
| Ratios/Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||
| Ratios to Average Net Assets Before Waiver/Reimbursement | Ratios to Average Net Assets After Waiver/Reimbursement(c) | |||||||||||||||||||||||||||||||||||||||||
| Total Return(b) | Ending Net Assets (000) | Expenses Including Interest(d) | Expenses Excluding Interest | Net Investment Income (Loss) | Expenses Including Interest(d) | Expenses Excluding Interest | Net Investment Income (Loss) | Portfolio Turnover Rate(e) | ||||||||||||||||||||||||||||||||||
| (0.04 | )% | $ | 3,923 | 1.30 | %* | 1.30 | %* | 1.11 | %* | 0.76 | %* | 0.76 | %* | 1.64 | %* | — | % | |||||||||||||||||||||||||
| 8.00 | 5,460 | 1.27 | 1.27 | 0.98 | 0.76 | 0.76 | 1.49 | 2 | ||||||||||||||||||||||||||||||||||
| 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 | |||||||||||||||||||||||||||
| (0.44 | ) | 111 | 2.10 | * | 2.10 | * | 0.29 | * | 1.56 | * | 1.56 | * | 0.82 | * | — | |||||||||||||||||||||||||||
| 6.96 | 111 | 2.07 | 2.07 | 0.20 | 1.56 | 1.56 | 0.73 | 2 | ||||||||||||||||||||||||||||||||||
| 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 | |||||||||||||||||||||||||||
| 0.05 | 7,858 | 1.10 | * | 1.10 | * | 1.28 | * | 0.57 | * | 0.57 | * | 1.81 | * | — | ||||||||||||||||||||||||||||
| 8.18 | 13,929 | 1.07 | 1.07 | 1.21 | 0.56 | 0.56 | 1.72 | 2 | ||||||||||||||||||||||||||||||||||
| 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 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. |
| (e) | Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 4 – Portfolio Securities and Investments in Derivatives) divided by the average long-term market value during the period. |
| (f) | For the six months ended August 31, 2020. |
| (g) | For the period October 19, 2016 (commencement of operations) through February 28, 2017. |
| * | Annualized. |
See accompanying notes to financial statements.
21
(Unaudited)
1. 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 (the “1940 Act”), as amended. The Trust is comprised of the Nuveen California Intermediate Municipal Bond Fund (the “Fund”), as a diversified fund, among others. The Trust was organized as a Massachusetts business trust on July 1, 1996.
The end of the reporting period for the Fund is August 31, 2020, and the period covered by these Notes to Financial Statements is the six months ended August 31, 2020 (the “current fiscal period”).
Investment Adviser and Sub-Adviser
The Fund’s 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 Fund, oversees the management of the Fund’s portfolio, manages the Fund’s business affairs and provides certain clerical, bookkeeping and other administrative services, and, if necessary, asset allocation decisions. The Adviser has entered into a sub-advisory agreement with Nuveen Asset Management, LLC, (the “Sub-Adviser”), a subsidiary of the Adviser, under which the Sub-Adviser manages the investment portfolio of the Fund.
Share Classes and Sales Charges
Class A Shares are generally sold with an up-front sales charge. Class A shares 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. Class C Shares are subject to a CDSC of 1% if redeemed within twelve months of purchase. Class C Shares automatically convert to Class A Shares ten years after purchase. Class I Shares are sold without an up-front sales charge.
Other Matters
The outbreak of the novel coronavirus (“COVID-19”) and subsequent global pandemic began significantly impacting the U.S. and global financial markets and economies during the calendar quarter ended March 31, 2020. The worldwide spread of COVID-19 has created significant uncertainty in the global economy. The duration and extent of COVID-19 over the long-term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund’s normal course of business, results of operations, investments, and cash flows will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
2. Significant Accounting Policies
The accompanying financial statements were prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require the use of estimates made by management and the evaluation of subsequent events. Actual results may differ from those estimates. The Fund is an investment company and follows accounting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification 946, Financial Services—Investment Companies. The NAV for financial reporting purposes may differ from the NAV for processing security and shareholder transactions. The NAV for financial reporting purposes includes security and shareholder transactions through the date of the report. Total return is computed based on the NAV used for processing security and shareholder transactions. The following is a summary of the significant accounting policies consistently followed by the Fund.
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 Fund’s 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.
22
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The amount, character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications
Under the 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.
Investments and Investment Income
Securities transactions are accounted for as of the trade date for financial reporting purposes. Realized gains and losses on securities transactions are based upon the specific identification method. Investment income is comprised of interest income, which is recorded on an accrual basis and includes accretion of discounts and amortization of premiums for financial reporting purposes. Investment income also reflects payment-in-kind (“PIK”) interest and paydown gains and losses, if any. PIK interest represents income received in the form of securities in lieu of cash.
Multiclass Operations and Allocations
Income and expenses of the Fund that are not directly attributable to a specific class of shares are prorated among the classes based on the relative value of the settled shares. Expenses directly attributable to a class of shares are recorded to the specific class. 12b-1 distribution and service fees are allocated on a class-specific basis.
Realized and unrealized capital gains and losses of the Fund are prorated among the classes based on the relative net assets of each class.
Netting Agreements
In the ordinary course of business, the Fund may enter into transactions subject to enforceable International Swaps and Derivative Association, Inc. (ISDA) master agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows the 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, the Fund manages its cash collateral and securities collateral on a counterparty basis.
The Fund’s investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 4 – Portfolio Securities and Investments in Derivatives.
New Accounting Pronouncements and Rule Issuances
Fair Value Measurement Disclosure Framework
During August 2018, the FASB issued Accounting Standards Update (“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. Management has early implemented this guidance and it did not have a material impact on the Fund’s financial statements.
Reference Rate Reform
In March 2020, FASB issued ASU 2020-04, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The main objective of the new guidance is to provide relief to companies that will be impacted by the expected change in benchmark interest rates at the end of 2021, when participating banks will no longer be required to submit London Interbank Offered Rate (LIBOR) quotes by the UK Financial Conduct Authority (FCA). The new guidance allows companies to, provided the only changes to existing contracts are a change to an approved benchmark interest rate, account for modifications as a continuance of the existing contract without additional analysis. For new and existing contracts, the Fund may elect to apply the optional expedients as of March 12, 2020 through December 31, 2022. Management has not yet elected to apply the optional expedients, but is currently assessing the impact of the ASU’s adoption to the Fund’s financial statements and various filings.
3. Investment Valuation and Fair Value Measurements
The fair valuation input levels as described below are for fair value measurement purposes.
The Fund’s investments in securities are recorded at their estimated fair value. 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
23
Notes to Financial Statements (Unaudited) (continued)
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.
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 pub-licly 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 the Fund’s fair value measurements as of the end of the reporting period:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Long-Term Investments*: | ||||||||||||||||
Municipal Bonds | $ | — | $ | 11,282,968 | $ | — | $ | 11,282,968 | ||||||||
| * | Refer to the Fund’s Portfolio of Investments for industry classifications. |
4. Portfolio Securities and Investments in Derivatives
Portfolio Securities
Zero Coupon Securities
A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.
Investment Transactions
Long-term purchases and sales (including maturities) during the current fiscal period aggregated $— and $3,247,821, respectively.
The Fund may purchase securities on a when-issued or delayed-delivery basis. Securities purchased on a when-issued or delayed-delivery basis may have extended settlement periods; interest income is not accrued until settlement date. Any securities so purchased are subject to market fluctuation during this period. The Fund has earmarked securities in its portfolio with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. If the Fund has outstanding when-issued/delayed-delivery purchases commitments as of the end of the reporting period, such amounts are recognized on the Statement of Assets and Liabilities.
24
Investments in Derivatives
The Fund is authorized to invest in certain derivative instruments. The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund’s investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.
Although the Fund is authorized to invest in derivative instruments and may do so in the future, it did not make any such investments during the current fiscal period.
Market and Counterparty Credit Risk
In the normal course of business the 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 the Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of the 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.
The 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 the Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when the Fund has an unrealized loss, the Fund has instructed the custodian to pledge assets of the Fund 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.
5. Fund Shares
Transactions in Fund shares during the current and prior fiscal period were as follows:
| Six Months Ended 8/31/20 | Year Ended 2/29/20 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
| Shares sold: | ||||||||||||||||
Class A | 10,763 | $ | 114,896 | 398,317 | $ | 4,220,361 | ||||||||||
Class C | 5 | 55 | 3,114 | 32,200 | ||||||||||||
Class I | 358,956 | 3,611,377 | 336,953 | 3,532,846 | ||||||||||||
| Shares issued to shareholders due to reinvestment of distributions: | ||||||||||||||||
Class A | 3,004 | 31,374 | 2,758 | 29,139 | ||||||||||||
Class C | 27 | 276 | 66 | 692 | ||||||||||||
Class I | 4,987 | 52,100 | 12,119 | 127,749 | ||||||||||||
| 377,742 | 3,810,078 | 753,327 | 7,942,987 | |||||||||||||
| Shares redeemed: | ||||||||||||||||
Class A | (153,331) | (1,604,861) | (39,325) | (409,386) | ||||||||||||
Class C | — | — | (2,536) | (27,003) | ||||||||||||
Class I | (921,089) | (9,503,948) | (110,916) | (1,160,295) | ||||||||||||
| (1,074,420) | (11,108,809) | (152,777) | (1,596,684) | |||||||||||||
| Net increase (decrease) | (696,678) | $ | (7,298,731) | 600,550 | $ | 6,346,303 | ||||||||||
6. Income Tax Information
The 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, the 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 Fund. Net realized capital gains and ordinary income distributions paid by the Fund are subject to federal taxation.
For all open tax years and all major taxing jurisdictions, management of the Fund 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 Fund 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.
25
Notes to Financial Statements (Unaudited) (continued)
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 Fund.
The table below presents the cost and unrealized appreciation (depreciation) of the Fund’s investment portfolio, as determined on a federal income tax basis, as of August 31, 2020.
| Tax cost of investments | $ | 10,532,134 | ||
| Gross unrealized: | ||||
Appreciation | $ | 799,258 | ||
Depreciation | (48,424 | ) | ||
| Net unrealized appreciation (depreciation) of investments | $ | 750,834 |
Permanent differences, primarily due to treatment of notional principal contracts, paydowns and taxable market discount, resulted in reclassifications among the Fund’s components of net assets as of February 29, 2020, the Fund’s last tax year end.
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains as of February 29, 2020, the Fund’s last tax year end, were as follows:
| Undistributed net tax-exempt income1 | $ | 34,968 | ||
Undistributed net ordinary income | — | |||
| 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, 2020 through February 29, 2020, and paid on March 2, 2020. |
The tax character of distributions paid during the Fund’s last tax year ended February 29, 2020 was designated for purposes of the dividends paid deduction as follows:
| Distributions from net tax-exempt income | $ | 242,654 | ||
Distributions from net ordinary income | — | |||
| Distributions from net long-term capital gains | — |
As of February 29, 2020, the Fund’s last tax year end, the Fund 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.
| Not subject to expiration: | ||||
Short-term | $ | 72,246 | ||
Long-term | 717 | |||
| Total | $ | 72,963 |
7. Management Fees and Other Transactions with Affiliates
Management Fees
The 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 Fund from the management fees paid to the Adviser.
The Fund’s management fee consists of two components – a fund-level fee, based only on the amount of assets within the Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables the Fund’s shareholders to benefit from growth in the assets within the Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.
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The annual fund-level fee, payable monthly, is calculated according to the following schedule:
| Average Daily Net Assets | Fund-Level Fee | |||
| For the first $125 million | 0.3500 | % | ||
| For the next $125 million | 0.3375 | |||
| For the next $250 million | 0.3250 | |||
| For the next $500 million | 0.3125 | |||
| For the next $1 billion | 0.3000 | |||
| For the next $3 billion | 0.2750 | |||
| For the next $5 billion | 0.2500 | |||
| For net assets over $10 billion | 0.2375 | |||
The annual complex-level fee, payable monthly, 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, but do not include certain assets of certain Nuveen funds that were reorganized into funds advised by an affiliate of the Adviser during the 2019 calendar year. Eligible assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the closed-end funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining eligible assets in certain circumstances. As of August 31, 2020, the complex-level fee for the Fund was 0.1574%. |
The Adviser has agreed to waive fees and/or reimburse expenses through July 31, 2022 so that total annual Fund operating expenses (excluding 12b- 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
Distribution and Service Fees
The Fund has adopted a distribution and service plan under rule 12b-1 under the 1940 Act. Class A Shares incur a 0.20% annual 12b-1 service fee. Class C Shares incur a 0.75% annual 12b-1 distribution fee and a 0.25% annual 12b-1 service fee. Class I Shares are not subject to 12b-1 distribution or service fees. The fees under this plan compensate Nuveen Securities, LLC, (the “Distributor”), a wholly-owned subsidiary of Nuveen, for services provided and expenses incurred in distributing shares of the Fund and establishing and maintaining shareholder accounts.
Other Transactions with Affiliates
The Fund is permitted to purchase or sell securities from or to certain other funds or accounts managed by the Sub-Adviser (“Affiliated Entity”) under specified conditions outlined in procedures adopted by the Board (“cross-trade”). These procedures have been designed to ensure that any cross-trade of securities by the Fund from or to an Affiliated Entity by virtue of having a common investment adviser (or affiliated investment adviser), common officer and/or common trustee complies with Rule 17a-7 under the 1940 Act. These transactions are effected at the current market price (as provided by an independent pricing service) without incurring broker commissions.
During the current fiscal period, the Fund did not engage in cross trades pursuant to these procedures.
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Notes to Financial Statements (Unaudited) (continued)
During the current fiscal period, the Distributor, collected sales charges on purchases of Class A Shares, the majority of which were paid out as concessions to financial intermediaries as follows:
| Sales charges collected | $ | — | ||
| Paid to financial intermediaries | — |
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:
| Commission advances | $ | — |
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:
| 12b-1 fees retained | $ | 201 |
The remaining 12b-1 fees charged to the 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:
| CDSC retained | $ | 148 |
As of the end of the reporting period, the percentage of Fund shares owned by Nuveen was as follows:
| Nuveen owned shares | 0.22% |
8. Borrowing Arrangements
Committed Line of Credit
The Fund, along with certain other funds managed by the Adviser (‘‘Participating Funds’’), have established a 364-day, $2.405 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 multifactor assessment of the likelihood and frequency of its need to draw on the facility, the size of the Fund and its anticipated draws, and the potential importance of such draws to the operations and well-being of the Fund, relative to those of the other Funds. A Fund may effect draws on the facility in excess of its designated capacity if and to the extent that other Participating Funds have undrawn capacity. The credit facility expires in June 2021 unless extended or renewed.
The credit facility has the following terms: a 0.10% upfront fee, 0.15% per annum on unused commitment amounts and a drawn interest rate equal to the higher of (a) one-month LIBOR (London Inter-Bank Offered Rate) plus 1.25% (1.00% prior to June 24, 2020) per annum or (b) the Fed Funds rate plus 1.25% (1.00% prior to June 24, 2020) 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.
During the current fiscal period, the Fund did not utilize this facility.
9. Subsequent Events
Fund Liquidation
During September 2020, the Adviser announced that the Fund will be liquidated after the close of business on November 20, 2020, as approved by the Board. Effective October 23, 2020, the Fund will stop accepting purchases from new investors. Existing shareholders may continue to purchase Fund shares until November 6, 2020. Existing shareholders may continue to reinvest dividends and capital gains distributions received from the Fund. The Fund reserves the right to modify the extent to which sales of shares are limited prior to the Fund’s liquidation. After the close of business on November 20, 2020, the Fund will liquidate any remaining shareholder accounts and will send shareholders the proceeds of the liquidation.
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Investment Adviser 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 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 DST Asset Manager Solutions, Inc. (DST) P.O. Box 219140 Kansas City, MO 64121-9140 (800) 257-8787 | |||||||
| ||||||||||||||
| Portfolio of Investments Information: The 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. | ||||||||||||||
29
Glossary of Terms Used in this Report
Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in NAV or offer price and reinvested dividends and capital gains distributions, if any) over the time period being considered.
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.
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.
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.
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-Refunding, also known as advanced refundings or refinancings, is a procedure used by state and local governments to refinance municipal bonds to lower interest expenses. The issuer sells new bonds with a lower yield
30
Glossary of Terms Used in this Report (continued)
and uses the proceeds to buy U.S. Treasury securities, the interest from which is used to make payments on the higher-yielding bonds. Because of this collateral, pre-refunding generally raises a bond’s credit rating and thus its value.
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.
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.
31
Annual Investment Management Agreement Approval Process
(Unaudited)
At a meeting held on May 19-21, 2020 (the “May Meeting”), the Board of Trustees (the “Board” and each Trustee, a “Board Member”) of the Fund, which is comprised entirely of Board Members who are not “interested persons” (as defined under the Investment Company Act of 1940 (the “1940 Act”)) (the “Independent Board Members”), approved 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 the 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 the investment sub-adviser to the Fund. Although the 1940 Act requires that continuances of the Advisory Agreements (as defined below) be approved by the in-person vote of a majority of the Independent Board Members, the May Meeting was held virtually through the internet in view of the health risks associated with holding an in-person meeting during the COVID-19 pandemic and governmental restrictions on gatherings. The May Meeting was held in reliance on an order issued by the Securities and Exchange Commission on March 13, 2020, as extended on March 25, 2020, which provided registered investment companies temporary relief from the in-person voting requirements of the 1940 Act with respect to the approval of a fund’s advisory agreement in response to the challenges arising in connection with the COVID-19 pandemic.
Following up to an initial two-year period, the Board considers the renewal of the Investment Management Agreement and Sub-Advisory Agreement on behalf of the Fund on an annual basis. The Investment Management Agreement and Sub-Advisory Agreement 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.” Throughout the year, the Board and its committees meet regularly and, at these meetings, review an extensive array of topics and information that are relevant to its annual consideration of the renewal of the advisory agreements for the Nuveen funds. Such information may address, among other things, fund performance; the Adviser’s strategic plans; the review of the funds and investment teams; compliance, regulatory and risk management matters; the trading practices of the various sub-advisers to the funds; valuation of securities; fund expenses; payments to financial intermediaries, including 12b-1 fees and sub-transfer agency fees, if applicable; and overall market and regulatory developments.
In addition to the information and materials received during the year, the Board, in response to a request made on its behalf by independent legal counsel, received extensive materials and information prepared specifically for its annual consideration of the renewal of the advisory agreements for the Nuveen funds by the Adviser and by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data. The materials cover a wide range of topics including, but not limited to, a description of the nature, extent and quality of services provided by the Fund Advisers; a review of each sub-adviser to the Nuveen funds and the applicable investment teams; 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 fund(s) and/or the complex; a description of the profitability or financial data of Nuveen and the sub-advisers to the Nuveen funds; and a description of indirect benefits received by the Adviser and the sub-advisers as a result of their relationships with the Nuveen funds.
In continuing its practice, the Board met prior to the May Meeting to begin its considerations of the renewal of the Advisory Agreements. Accordingly, on April 27-28, 2020 (the “April Meeting”), the Board met to review and discuss, in part, the performance of the Nuveen funds and the Adviser’s evaluation of each sub-adviser to the Nuveen funds. In its review, the Board recognized the volatile market conditions occurring during the first half of 2020 arising, in part, from the public health crisis caused by the novel coronavirus known as COVID-19 and the resulting impact on fund performance. Accordingly, the Board reviewed, among other things, fund performance reflecting the more volatile periods, including for various time periods ended the first quarter of 2020 and for various time periods ended April 17, 2020. At the April Meeting, the Board Members asked questions and requested additional information that was provided for the May Meeting. In continuing its review of the Nuveen funds in light of the extraordinary market conditions experienced in early 2020, the Board received updated fund performance data reflecting various time periods ended May 8, 2020 for its May Meeting. The Board also continued its practice of seeking to meet periodically with the various sub-advisers to the Nuveen funds and their investment teams, when feasible.
The Independent Board Members considered the review of the advisory agreements for the Nuveen funds 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 Adviser and sub-advisers in their review of the advisory agreements. The contractual arrangements are a result of multiple years of review, negotiation and information provided in connection with the boards’ annual review of the Nuveen funds’ advisory arrangements and oversight of the Nuveen funds.
32
The Independent Board Members were advised by independent legal counsel during the annual review process as well as throughout the year, including meeting in executive sessions with such counsel at which no representatives from the Adviser or the Sub-Adviser were present. In connection with their annual review, 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’s decision to renew the Advisory Agreements was not based on a single identified factor, but rather the decision reflected the comprehensive consideration of all the information provided throughout the year and at the April and May Meetings, 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 and information, 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 Fund with particular focus on the services and enhancements to such services provided during the last year. The Independent Board Members considered the Investment Management Agreement and the Sub-Advisory Agreement separately in the course of their review. With this approach, they considered the respective roles of the Adviser and the Sub-Adviser in providing services to the Fund.
With respect to the Adviser, the Board recognized that the Adviser has provided a vast array of services the scope of which has expanded over the years in light of regulatory, market and other developments, such as the development of a liquidity management program and expanded compliance programs for the Nuveen funds. The Board also noted the extensive resources, tools and capabilities the Adviser and its affiliates devoted to the various operations of the Nuveen funds. These services include, but are not limited to: investment oversight, risk management and securities valuation services (such as analyzing investment performance and risk data; overseeing and reviewing the various sub-advisers to the Nuveen funds and their investment teams; overseeing trade execution, soft dollar practices and securities lending activities; providing daily valuation services and developing related valuation policies, procedures and methodologies; overseeing risk disclosure; periodic testing of investment and liquidity risks; participating in financial statement and marketing disclosures; participating in product development; and participating in leverage management and liquidity monitoring); product management (such as analyzing a fund’s position in the marketplace, setting dividends, preparing shareholder and intermediary communications and other due diligence support); fund administration (such as preparing fund tax returns and other tax compliance services, overseeing the funds’ independent public accountants and other service providers; managing fund budgets and expenses; and helping to fulfill the funds’ regulatory filing requirements); oversight of shareholder services and transfer agency functions (such as overseeing transfer agent service providers which include registered shareholder customer service and transaction processing; and overseeing proxy solicitation and tabulation services); Board relations services (such as organizing and administering Board and committee meetings, preparing various reports to the Board and committees and providing other support services); compliance and regulatory oversight services (such as devising compliance programs; managing compliance policies; monitoring compliance with applicable fund policies and laws and regulations; and evaluating the compliance programs of the various sub-advisers to the Nuveen funds and certain other service providers); and legal support and oversight of outside law firms (such as helping to prepare and file registration statements and proxy statements; overseeing fund activities and providing legal interpretations regarding such activities; and negotiating agreements with other fund service providers).
The Board also recognized that the Adviser and its affiliates have undertaken a number of initiatives over the previous year that benefited the complex and/or particular Nuveen funds including, but not limited to:
| • | Fund Improvements and Product Management Initiatives – continuing to proactively manage the Nuveen fund complex as a whole and at the individual fund level with an aim to enhance the shareholder outcomes through, among other things, rationalizing the product line and gaining efficiencies through mergers, repositionings and liquidations; launching new share classes; reviewing and updating investment policies and benchmarks; closing funds to new investments; rebranding the exchange-traded fund (“ETF”) product line; and integrating certain investment teams and changing the portfolio managers serving various funds; |
| • | Capital Initiatives – continuing to invest capital to support new Nuveen funds with initial capital as well as to facilitate modifications to the strategies or structure of existing funds; |
| • | Liquidity Management – implementing the liquidity risk management program which was designed to assess and manage the liquidity risk of the Nuveen funds. The Board noted that this program was particularly helpful in addressing the high volatility and liquidity challenges that arose in the market, particularly for the high yield municipal sector, during the first half of 2020; |
| • | Compliance Program Initiatives – continuing efforts to mitigate compliance risk, increase operating efficiencies, strengthen key compliance program elements and support international business growth and other objectives through, among other things, integrating various investment teams across affiliates, consolidating marketing review functions, enhancing compliance related technologies and establishing and maintaining shared broad-based compliance policies throughout the organization and its affiliates; |
33
Annual Investment Management Agreement Approval Process (Unaudited) (continued)
| • | Risk Management and Valuation Services – continuing efforts to provide Nuveen with a more disciplined and consistent approach to identifying and mitigating the firm’s operational risks through, among other things, enhancing the interaction and reporting between the investment risk management team and various affiliates and adopting a risk operational framework across the complex; |
| • | Regulatory Matters – continuing efforts to monitor regulatory trends and advocate on behalf of the Nuveen funds, to implement and comply with new or revised rules and mandates and to respond to regulatory inquiries and exams; |
| • | Government Relations – continuing efforts of various Nuveen teams and affiliates to develop policy positions on a broad range of issues that may impact the Nuveen funds, advocate and communicate these positions to lawmakers and other regulatory authorities and work with trade associations to ensure these positions are represented; |
| • | Business Continuity, Disaster Recovery and Information Services – continuing to periodically test business continuity and disaster recovery plans, maintain an information security program designed to identify and manage information security risks, and provide reports to the Board, at least annually, addressing, among other things, management’s security risk assessment, cyber risk profile, potential impact of new or revised laws and regulations, incident tracking and other relevant information technology risk-related reports; and |
| • | Expanded Dividend Management Services – continuing to manage the dividends among the varying types of Nuveen funds within the Nuveen complex to be consistent with the respective fund’s product design and investing resources to develop systems to assist in the process for newer products such as target term funds and ETFs. |
The Board also noted the benefits to shareholders of investing in a Nuveen fund, as each Nuveen fund is a part of a large fund complex with a variety of investment disciplines, capabilities, expertise and resources available to navigate and support the funds including during stressed times as occurred in the market in the first half of 2020. In addition to the services provided by the Adviser, the Board also considered the risks borne by the Adviser and its affiliates in managing the Nuveen funds, including entrepreneurial, operational, reputational, regulatory and litigation risks.
The Board further considered the division of responsibilities between the Adviser and the Sub-Adviser and recognized that the Sub-Adviser and its investment personnel generally are responsible for the management of the Fund’s portfolio under the oversight of the Adviser and the Board. The Board considered an analysis of the Sub-Adviser provided by the Adviser which included, among other things, the Sub-Adviser’s assets under management and changes thereto, a summary of the applicable investment team and changes thereto, the investment approach of the team and the performance of the funds sub-advised by the Sub-Adviser over various periods. The Board further considered at the May Meeting or prior meetings evaluations of the Sub-Adviser’s compliance program and trade execution. The Board also considered the structure of investment personnel compensation programs and whether this structure provides appropriate incentives to act in the best interests of the respective Nuveen funds. The Board noted that the Adviser recommended the renewal of the Sub-Advisory Agreement.
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 Fund under each Advisory Agreement.
B. The Investment Performance of the Fund and Fund Advisers
In evaluating the quality of the services provided by the Fund Advisers, the Board also received and considered a variety of investment performance data of the Nuveen funds they advise. In this regard, the Board reviewed, among other things, Fund performance over the quarter, one- and three-year periods ending December 31, 2019. The performance data was based on Class A shares; however, 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. Unless otherwise indicated, the performance data referenced below reflects the periods ended December 31, 2019. In general, the year 2019 was a period of strong market performance. However, as noted above, the Board recognized the unprecedented market volatility and decline that occurred in early 2020 and the significant impact it would have on fund performance. As a result, the Board reviewed performance data capturing more recent time periods, including performance data reflecting the first quarter of 2020 as well as performance data for various periods ended April 17, 2020 for its April Meeting and May 8, 2020 for its May Meeting.
The Board reviewed both absolute and relative fund performance during the annual review over the various time periods. With respect to the latter, the Board considered fund performance 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). For funds that had changes in portfolio managers, the Board considered performance data of such funds before and after such changes. In considering performance data, the Board is aware of certain inherent limitations with such data, including that differences between the objective(s), strategies and other characteristics of the Nuveen funds compared to the respective Performance Peer Group and/or benchmark(s) (such as differences in the use of leverage) as well as differences in the composition of the Performance Peer Group over time will necessarily contribute to differences in performance results and limit the value of the comparative information. To assist the Board in its review of the comparability of the relative performance, the Adviser has ranked the relevancy of the peer group to the funds as low, medium or high.
34
As noted above, the Board reviewed fund performance over various periods ended December 31, 2019 as well as the first quarter of 2020 and various time periods ended April 17, 2020 and May 8, 2020. In light of the significant market decline in the early part of 2020, the Board noted that a shorter period of underperformance may significantly impact longer term performance. Further, the Board recognized that performance data may differ significantly depending on the ending date selected and accordingly, performance results for periods ended at the year-end of 2019 may vary significantly from performance results for periods ended in the first quarter of 2020, particularly given the extraordinary market conditions at that time as the impact of COVID-19 and other market developments unfolded. The Board considered a fund’s performance in light of the overall financial market conditions. In addition, the Board recognized that shareholders may evaluate performance based on their own holding periods which may differ from the periods reviewed by the Board and lead to differing results.
In addition to the performance data prepared in connection with the annual review of the advisory agreements of the Nuveen funds, the Board reviewed fund performance throughout the year at its quarterly meetings representing differing time periods and took into account the discussions that occurred at these Board meetings in evaluating a fund’s overall performance. The Board also considered, among other things, the Adviser’s analysis of each Nuveen fund’s performance, with particular focus on funds that were considered performance outliers (both overperformance and underperformance), the factors contributing to the performance and any steps taken to address any performance concerns. Given the volatile market conditions of early 2020, the Board considered the Adviser’s analysis of the impact of such conditions on the Nuveen funds’ performance.
The Board evaluated performance in light of various factors, including general market conditions, issuer-specific information, asset class information, fund cash flows and other factors. Accordingly, depending on the facts and circumstances, the Board may be satisfied with a fund’s performance notwithstanding that its performance may be below its benchmark or peer group for certain periods. However, 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.
The Board noted that the Fund outperformed its benchmark and ranked in the first quartile of its Performance Peer Group for the one- and three-year periods ended December 31, 2019. With the market decline in the first quarter of 2020, the Fund’s performance was below the performance of its benchmark for the one- and three-year periods ended March 31, 2020. The Fund, however, ranked in the second quartile of its Performance Peer Group for the one-year period ended March 31, 2020 and first quartile of its Performance Peer Group for the three-year period ended March 31, 2020. The Board was satisfied with the Fund’s overall performance.
C. Fees, Expenses and Profitability
1. Fees and Expenses
As part of its annual review, the Board considered the contractual management fee and net management fee (the management fee after taking into consideration fee waivers and/or expense reimbursements, if any) paid by a Nuveen fund to the Adviser in light of the nature, extent and quality of the services provided. The Board also considered the total operating expense ratio of each Nuveen fund before and after any fee waivers and/or expense reimbursements. 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 as well as changes to the composition of the Peer Group and/or Peer Universe from year to year 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 Nuveen fund with a net expense ratio of six basis points or higher compared to that of its peer average (each, an “Expense Outlier Fund”) and 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. The Independent Board Members also considered, in relevant part, a fund’s net management fee and net total expense ratio in light of its performance history.
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 Board noted that across the Nuveen fund complex, the complex-wide fee breakpoints reduced fees by $56.6 million and fund-level breakpoints reduced fees by $66.8 million in 2019. Further, fee caps and waivers for all applicable Nuveen funds saved approximately an additional $13.7 million in fees for shareholders in 2019.
35
Annual Investment Management Agreement Approval Process (Unaudited) (continued)
With respect to the Sub-Adviser, the Board also considered the sub-advisory fee schedule paid to the Sub-Adviser in light of the sub-advisory services provided to the Fund, the breakpoint schedule and comparative data of the fees the Sub-Adviser charges to other clients, if any. In its review, the Board recognized that the compensation paid to the Sub-Adviser is the responsibility of the Adviser, not the Fund.
The Board noted that the Fund had a net management fee and a net expense ratio that were below the respective peer averages. In addition, the Board noted that the Fund did not incur a management fee after fee waivers and expense reimbursements for the last fiscal year.
Based on its review of the information provided, the Board determined that the 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 considered information regarding the fee rates the respective Fund Advisers charged to certain other types of clients and the type of services provided to these other clients. With respect to the Adviser and/or the Sub-Adviser, 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. With respect to the Sub-Adviser, the Board reviewed, among other things, the fee range and average fee of municipal retail wrap accounts and municipal institutional accounts.
In considering the fee data of other clients, the Board considered, among other things, the differences in the amount, type and level of services provided to the Nuveen funds relative to other clients 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. The Board recognized the complexity and myriad of services the Adviser had provided to the Nuveen funds compared to the other types of clients as the Adviser is principally responsible for all aspects of operating the funds, including complying with the increased regulatory requirements required when managing the funds as well as the increased entrepreneurial, legal and regulatory risks that the Adviser incurs in sponsoring and managing the funds. Further, with respect to ETFs, the Board considered that Nuveen ETFs are passively managed compared to the active management of the other Nuveen funds which contributed to the differences in fee levels between the Nuveen ETFs and other Nuveen funds. In general, higher fee levels reflect higher levels of service provided by the Adviser, 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, legal and regulatory risks incurred in sponsoring and advising a registered investment company.
3. Profitability of Fund Advisers
In their review, the Independent Board Members considered information regarding Nuveen’s level of profitability for its advisory services to the Nuveen funds for the calendar years 2019 and 2018. The Board reviewed, among other things, Nuveen’s net margins (pre-tax) (both including and excluding distribution expenses); gross and net revenue margins (pre- and post-tax); revenues, expenses, and net income (pre-tax and after-tax and before distribution) of Nuveen for fund advisory services; and comparative profitability data comparing the margins of Nuveen compared to the adjusted margins of certain peers with publicly available data and with the most comparable assets under management (based on asset size and asset composition) for each of the last two calendar years. The Board also reviewed the revenues and expenses the Adviser derived from its ETF product line for the 2018 and 2019 calendar years.
In reviewing the profitability data, the Independent Board Members recognized the subjective nature of calculating profitability as the information is not audited and is dependent on cost allocation methodologies to allocate expenses of Nuveen and its affiliates between the fund and non-fund businesses. The expenses to be allocated include direct expenses in servicing the Nuveen funds as well as indirect and/or shared costs (such as overhead, legal and compliance) some of which are attributed to the Nuveen funds pursuant to the cost allocation methodologies. The Independent Board Members reviewed a description of the cost allocation methodologies employed to develop the financial information and a summary of the history of changes to the methodology over the eleven-year period from 2008 to 2019. The Board had also appointed three Independent Board Members, along with the assistance of independent counsel, to serve as the Board’s liaisons to review the development of the profitability data and any proposed changes to the cost allocation methodology prior to incorporating any such changes and to report to the full Board. The Board recognized that other reasonable and valid allocation methodologies could be employed and could lead to significantly different results. Based on the data, the Independent Board Members noted that Nuveen’s net margins were higher in 2019 than the previous year and considered the key drivers behind the revenue and expense changes that impacted Nuveen’s net margins between the years. The Board also noted the reinvestments of some of the profits into the business through, among other things, the investment of seed capital in certain funds and continued investments in enhancements to information technology, internal infrastructure and data management improvements and global investment and innovation projects.
36
As noted above, the Independent Board Members also considered Nuveen’s margins from its relationship to the Nuveen funds compared to the adjusted margins of certain peers with publicly available data and with the most comparable assets under management (based on asset size and asset composition) to Nuveen for the calendar years 2019 and 2018. The Independent Board Members noted that Nuveen’s margins from its relationships with the Nuveen funds were on the low range compared to the adjusted margins of the peers. The Independent Board Members, however, recognized that it is difficult to make comparisons of profitability with other investment adviser peers given that comparative data is not generally public and the calculation of profitability is subjective and affected by numerous factors (such as types of funds a peer manages, its business mix, its cost of capital, the numerous assumptions underlying the methodology used to allocate expenses and other factors) which can have a significant impact on the results.
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 2019 and 2018 calendar years to consider the financial strength of TIAA. The Board recognized the benefit of having an investment adviser and its parent with significant resources, particularly during periods of market stress.
In addition to Nuveen, the Independent Board Members also considered the profitability of the Sub-Adviser from its relationships with the Nuveen funds. In this regard, the Independent Board Members reviewed, among other things, the Sub-Adviser’s revenues, expenses and net revenue margins (pre- and post-tax) for its advisory activities for the calendar year ended December 31, 2019 as well as its pre-tax and after-tax net revenue margins for 2019 compared to such margins for 2018. 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 ended December 31, 2019 and the pre- and post-tax revenue margins from 2019 and 2018.
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 Board considered whether there have been economies of scale with respect to the management of the Nuveen funds and whether these economies of scale have been appropriately shared with the funds. The Board recognized that although economies of scale are difficult to measure, there are several methods to help share the benefits of economies of scale, including breakpoints in the management fee schedule, fee waivers and/or expense limitations, the pricing of Nuveen funds at scale at inception and investments in Nuveen’s business which can enhance the services provided to the funds for the fees paid. The Board noted that Nuveen generally has employed these various methods. In this regard, the Board noted that the management fee of the Adviser is generally comprised of a fund-level component and a complex-level component each with its own breakpoint schedule, subject to certain exceptions. The Board reviewed the fund-level and complex-level fee schedules. The Board considered that the fund-level breakpoint schedules are designed to share economies of scale with shareholders if the particular fund grows, and the complex-level breakpoint schedule is designed to deliver the benefits of economies of scale to shareholders when the eligible assets in the complex pass certain thresholds even if the assets of a particular fund are unchanged or have declined. In the calculation of the complex-level component, the Board noted that it had approved the acquisition of several Nuveen funds by similar TIAA-CREF funds in 2019. However, to mitigate the loss of the assets of these Nuveen funds deemed eligible to be included in the calculation of the complex-wide fee when these Nuveen funds left the complex upon acquisition, Nuveen agreed to credit approximately $460 million to assets under management to the Nuveen complex in calculating the complex-wide component.
In addition to the fund-level and complex-level fee schedules, the Independent Board Members considered the temporary and/or permanent expense caps applicable to certain Nuveen funds (including the amounts of fees waived or amounts reimbursed to the respective funds in 2018 and 2019), including the temporary expense cap applicable to the Fund.
The Independent Board Members also recognized the Adviser’s continued reinvestment in its business through, among other things, investments in its business infrastructure and information technology, portfolio accounting system and other systems and platforms that will, among other things, support growth, simplify and enhance information sharing, and enhance the investment process 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 recognized that an affiliate of the Adviser serves as principal underwriter providing distribution and/or shareholder services to the open-end funds. The Independent Board Members further noted that subject to certain exceptions, the Nuveen open-end funds pay 12b-1 fees and while a majority of such fees were paid to third party broker-dealers, the Board reviewed the amount retained by the Adviser’s affiliate. In addition, the Independent Board Members also noted that various sub-advisers
37
Annual Investment Management Agreement Approval Process (Unaudited) (continued)
(including the Sub-Adviser) may engage in soft dollar transactions pursuant to which they may receive the benefit of research products and other services provided by broker-dealers executing portfolio transactions on behalf of the applicable Nuveen funds, although the Board recognized that certain sub-advisers may be phasing out the use of soft dollars over time.
The Board, however, noted that the benefits for the Sub-Adviser when 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 considered 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 Nuveen funds to the extent it enhances the ability of the Sub-Adviser to manage such funds or is acquired through the commissions paid on portfolio transactions of other clients.
Based on its review, the Board concluded that any indirect benefits received by a Fund Adviser as a result of its relationship with the Fund 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 the Fund and that the Advisory Agreements be renewed.
38
Liquidity Risk Management Program
Discussion of the operation and effectiveness of the Fund’s liquidity risk management program
In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), the Fund covered in this Report (the “Fund”) has adopted and implemented a liquidity risk management program (the “Program”), which is designed to manage the Fund’s liquidity risk. The Program consists of various protocols for assessing and managing the Fund’s liquidity risk. The Fund’s Board of Trustees previously designated Nuveen Fund Advisors, LLC, the Fund’s investment adviser, as the Administrator of the Program. The adviser’s Liquidity Monitoring and Analysis Team (“LMAT”) carries out day-to-day Program management with oversight by the adviser’s Liquidity Oversight Sub-Committee (the LOSC”). The LOSC is composed of personnel from the adviser and Teachers Advisors, LLC, an affiliate of the adviser.
At a May 20, 2020 meeting of the Board, the Administrator provided the Board with a written report addressing the Program’s operation, adequacy and effectiveness of implementation for calendar year 2019 (the “Review Period”), as required under the Liquidity Rule. The report noted that the Program has been and continues to be adequately and effectively implemented to monitor and (as applicable) respond to the Fund’s liquidity developments. In accordance with the Program, the LMAT assesses the Fund’s liquidity risk no less frequently than annually based on various factors, such as (i) the Fund’s investment strategy and the liquidity of portfolio investments, (ii) cash flow projections, and (iii) holdings of cash and cash equivalents, borrowing arrangements, and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions.
The Fund portfolio investment is classified into one of four liquidity categories (including the most liquid, “Highly Liquid”, and the least liquid, “Illiquid”, discussed below). The classification is based on a determination of how long it is reasonably expected to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the market value of the investment. Liquidity classification determinations take into account various market, trading, and investment-specific considerations, as well as market depth, and use third-party vendor data.
Any Fund that does not primarily hold highly liquid investments must, among other things, determine a minimum percentage of Fund assets that must be invested in highly liquid investments (a “Highly Liquid Investment Minimum”). During the Review Period, the Fund primarily held Highly Liquid investments and therefore was exempt from the requirement to adopt a Highly Liquid Investment Minimum and to comply with the related requirements under the Liquidity Rule.
The Liquidity Rule also limits a Fund’s investments in Illiquid investments. Specifically, the Liquidity Rule prohibits a Fund from acquiring Illiquid investments if doing so would result in the Fund holding more than 15% of its net assets in Illiquid investments, and requires certain reporting to the Fund Board and the Securities and Exchange Commission any time a Fund’s holdings of Illiquid investments exceeds 15% of net assets. During the Review Period, no Fund exceeded the 15% limit on Illiquid investments.
39
Nuveen:
Serving Investors for Generations
Since 1898, financial professionals 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 professional, 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 | MSA-NCAIMB-0820P 1352302-INV-B-10/21 |
| ITEM 2. | CODE OF ETHICS. |
Not applicable to this filing.
| ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable to this filing.
| ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable to this filing.
| ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable to this registrant.
| ITEM 6. | SCHEDULE OF INVESTMENTS. |
| (a) | See Portfolio of Investments in Item 1. |
| (b) | Not applicable. |
| ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to this registrant.
| ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to this registrant.
| ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable to this registrant.
| ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board implemented after the registrant last provided disclosure in response to this Item.
| ITEM 11. | CONTROLS AND PROCEDURES. |
| (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the 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.
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: November 6, 2020
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/ Christopher E. Stickrod | |
| Christopher E. Stickrod | ||
| Chief Administrative Officer | ||
| (principal executive officer) |
Date: November 6, 2020
| By (Signature and Title) | /s/ E. Scott Wickerham | |
E. Scott Wickerham Vice President and Controller (principal financial officer) |
Date: November 6, 2020