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 811-22425
Nuveen Build America Bond Opportunity Fund
(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
(Address of principal executive offices) (Zip code)
Gifford R. Zimmerman
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
(Name and address of agent for service)
Registrant’s telephone number, including area code: (312) 917-7700
Date of fiscal year end: March 31
Date of reporting period: March 31, 2017
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 policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
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| Table of Contents | |
| Chairman’s Letter to Shareholders | 4 |
| Portfolio Manager’s Comments | 5 |
| Fund Leverage | 9 |
| Common Share Information | 10 |
| Risk Considerations | 12 |
| Performance Overview and Holding Summaries | 13 |
| Report of Independent Registered Public Accounting Firm | 17 |
| Portfolios of Investments | 18 |
| Statement of Assets and Liabilities | 31 |
| Statement of Operations | 32 |
| Statement of Changes in Net Assets | 33 |
| Statement of Cash Flows | 34 |
| Financial Highlights | 36 |
| Notes to Financial Statements | 38 |
| Additional Fund Information | 49 |
| Glossary of Terms Used in this Report | 50 |
| Reinvest Automatically, Easily and Conveniently | 52 |
| Board Members & Officers | 53 |
NUVEEN 3
Chairman’s Letter to Shareholders
Dear Shareholders,
Whether politics or the economy will prevail over the financial markets this year has been a much-analyzed question. After the U.S. presidential election, stocks rallied to new all-time highs, bonds tumbled, and business and consumer sentiment grew pointedly optimistic. But, to what extent the White House can translate rhetoric into stronger economic and corporate earnings growth remains to be seen. Stock prices have experienced upward momentum driven by positive economic news, interest rates are higher amid the Federal Reserve (Fed) rate hikes and inflation is ticking higher.
The Trump administration's early policy decisions have caused the markets to reassess their outlooks, cooling the stock market rally and stabilizing bond prices. The White House's pro-growth agenda of tax reform, infrastructure spending and deregulation remains on the table, but there is growing recognition that it may look different than Wall Street had initially expected.
Nevertheless, there is a case for optimism. The jobs recovery, firming wages, the housing market and confidence measures are supportive of continued expansion in the economy. The Fed enacted its second and third interest rate hikes in December 2016 and March 2017, respectively, a vote of confidence that its employment and inflation targets are on track. Economies outside the U.S. have strengthened in recent months, possibly heralding the beginnings of a global synchronized recovery. Furthermore, the populist/nationalist undercurrent that helped deliver President Trump’s win and the U.K.’s decision to leave the European Union (or “Brexit”) remained in the minority in the Dutch general election in March and France’s presidential election in May, easing the political uncertainty surrounding Germany’s elections later this year.
In the meantime, the markets will be focused on economic sentiment surveys along with “hard” data such as consumer and business spending to gauge the economy’s progress. With the Fed now firmly in tightening mode, rate moves that are more aggressive than expected could spook the markets and potentially stifle economic growth. On the political economic front, President Trump’s other signature platform plank, protectionism, is arguably anti-growth. We expect some churning in the markets as these issues sort themselves out.
Market volatility readings have been remarkably low of late, but conditions can change quickly. As market conditions evolve, Nuveen remains committed to rigorously assessing opportunities and risks. If you’re concerned about how resilient your investment portfolio might be, we encourage you to talk to your financial advisor. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.
Sincerely,
William J. Schneider
Chairman of the Board
May 22, 2017
4 NUVEEN
Portfolio Manager’s Comments
Nuveen Build America Bond Fund (NBB)
Nuveen Build America Bond Opportunity Fund (NBD)
These Funds feature portfolio management by Nuveen Asset Management, LLC, an affiliate of Nuveen, LLC. Portfolio manager Daniel J. Close, CFA, reviews U.S. economic and municipal market conditions, key investment strategies and the twelve-month performance of the Nuveen Build America Bond Fund (NBB) and the Nuveen Build America Bond Opportunity Fund (NBD). Dan has managed NBB and NBD since their inceptions in April 2010 and November 2010, respectively.
What factors affected the U.S. economy and the national municipal market during the twelve-month reporting period ended March 31, 2017?
The U.S. economy continued to expand at its below-trend rate but showed some signs of strengthening in the latter months of the reporting period. For 2016 as a whole, the Bureau of Economic Analysis reported that the economy grew at an annual rate of 1.6%, as measured by real gross domestic product (GDP), which is the value of goods and services produced by the nation’s economy less the value of the goods and services used up in production, adjusted for price changes. Despite a boost in third-quarter GDP from a short-term jump in exports, economic activity in the other three calendar quarters of 2016 stayed near or below the 2% growth mark.
In the first quarter of 2017, growth slackened to an annual rate of 0.7%, tempered by a slowdown in consumer and government spending, according to the government’s “advance” estimate. The deceleration in first-quarter GDP growth, followed by a reaccel-eration in the spring and summer, has been a trend over the past few years. Moreover, other signs of positive momentum remain. The labor market continued to tighten, inflation ticked higher, and consumer and business confidence surveys reflected optimism about the economy’s prospects. As reported by the Bureau of Labor Statistics, the unemployment rate fell to 4.5% in March 2017 from 5.0% in March 2016 and job gains averaged around 200,000 per month for the past twelve months. Higher oil prices helped drive a steady increase in inflation over this reporting period. The twelve-month change in the Consumer Price Index (CPI) rose from the low of 0.8% in July 2016 to 2.4% over the twelve-month reporting period ended March 2017 on a seasonally adjusted basis, as reported by the U.S. Bureau of Labor Statistics. The core CPI (which excludes food and energy) increased 2.0% during the same period, equal to the Federal Reserve’s (Fed) unofficial longer term inflation objective of 2.0%. The housing market also continued to improve, with historically low mortgage rates and low inventory driving home prices higher. The S&P CoreLogic Case-Shiller U.S. National Home Price Index, which covers all nine U.S. census divisions, recorded a 5.8% annual gain in February 2017 (most recent data available at the time this report was prepared) (effective July 26, 2016, the S&P/Case-Shiller U.S. National Home Price Index was renamed the S&P CoreLogic Case-Shiller U.S. National Home Price Index). The 10-City and 20-City Composites reported year-over-year increases of 5.2% and 5.9%, respectively.
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 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, while BB, B, CCC, CC, C and D are below investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.
Bond insurance guarantees only the payment of principal and interest on the bond when due, and not the value of the bonds themselves, which will fluctuate with the bond market and the financial success of the issuer and the insurer. Insurance relates specifically to the bonds in the portfolio and not to the share prices of a Fund. No representation is made as to the insurers’ ability to meet their commitments.
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.
NUVEEN 5
Portfolio Manager’s Comments (continued)
The U.S. economic outlook struck a more optimistic tone, prompting the Fed’s policy making committee to raise its main benchmark interest rate in December 2016 and again in March 2017. These moves were widely expected by the markets and additional increases are anticipated in 2017 as the Fed seeks to gradually “normalize” interest rates.
The political environment was another major influence on the markets over the reporting period. In the U.S., the surprising election of Donald Trump boosted consumer, business and market sentiment, on hopes that President Trump’s policy agenda of tax reform, infrastructure spending and reduced regulation would reignite the economy. While U.S. stocks rallied particularly strongly in the months following the election, the advance slowed as concerns about the new administration’s immigration policy and the Republican’s health care bill began to weigh on the markets. Prior to the U.S. presidential election, Britain’s vote to leave the European Union, known as Brexit, roiled the markets in late June and July 2016. Although world stock markets largely recovered, sterling dropped to a 31-year low and remained volatile as the U.K. prepared for exit negotiations. Investors also worried whether the undercurrent of populism and nationalism supporting President Trump and Brexit victories could spread across Europe, where several countries have key elections in 2017.
The municipal bond market encountered elevated volatility over the twelve-month reporting period, driven by a sell-off and widening credit spreads following the surprise election results. Prior to the election, municipal bond mutual funds had been drawing steady inflows from September 2015 to October 2016, which kept demand outpacing supply and supported prices. However, beginning in mid-October, demand began to soften in anticipation of a Fed rate hike. Municipal bond prices continued to fall in November after President Trump’s win triggered rising inflation and interest rate expectations as well as speculation on tax code changes, and in December 2016 due to tax-loss selling. A sharp rise in interest rates after the election fueled a reversal in municipal bond fund flow. Municipal bond funds experienced large outflows in the fourth quarter of 2016, especially in the high yield municipal segment, which drove mutual fund managers to sell positions to help meet investor redemptions. At the same time, new issuance spiked in October 2016, further contributing to excess supply and exacerbating falling prices and credit spread widening. However, stabilizing market conditions in December gave way to a rally in the first quarter of 2017. Concerns that the new administration’s fiscal, tax and health care policy agenda could have a potentially negative impact on municipal bonds eased somewhat. By the end of the reporting period, interest rates stayed at a higher level than where they began.
In the reporting period overall, municipal bond issuance nationwide totaled $432.7 billion, an 11.2% gain from the issuance for the twelve-month period ended March 31, 2016. Gross issuance remains robust as issuers continue to actively and aggressively refund their outstanding debt given the low interest rate environment. In these transactions the issuers are issuing new bonds and taking the bond proceeds and redeeming (calling) old bonds. These refunding transactions have ranged from 40%-60% of total issuance over the past few years. Thus, the net issuance (all bonds issued less bonds redeemed) is actually much lower than the gross issuance. In fact, the total municipal bonds outstanding has actually declined in each of the past four calendar years. So, the gross is surging, but the net is not and this was an overall positive technical factor on municipal bond investment performance in recent years. However, as interest rates moved higher, the pace of refunding deals began to moderate.
Although the municipal bond market experienced widening credit spreads over a short period after the election, the trend was more attributable to technical conditions than a change in the fundamental backdrop. Despite the U.S. economy’s rather sluggish recovery, improving state and local balance sheets have contributed to generally good credit fundamentals. Higher tax revenue growth, better expense management and a more cautious approach to new debt issuance have led to credit upgrades and stable credit outlooks for many state and local issuers. While some pockets of weakness continued to grab headlines, including Illinois, New Jersey and Puerto Rico, their problems were largely contained, with minimal spillover into the broader municipal market.
What key strategies were used to manage these Funds during the twelve-month reporting period ended March 31, 2017?
Build America Bonds (BAB) posted a small gain for the twelve-month reporting period. A sell-off across fixed income assets after the surprise election results dampened BAB performance as well, but market conditions stabilized and bond markets rallied as 2017 began.
6 NUVEEN
NBB and NBD are designed to invest primarily in BABs and other taxable municipal bonds. The primary investment objective of these two Funds is to provide current income through investments in taxable municipal securities. Their secondary objective is to seek enhanced portfolio value and total return. The Funds offer strategic portfolio diversification opportunities for traditional municipal bond investors, while providing investment options to investors that have not traditionally purchased municipal bonds, including public and corporate retirement plans, endowments, life insurance companies and sovereign wealth funds. For these investors, the Funds can offer investment grade municipal credit, current income and some security issuers typically offer call protection. With the end of the BAB new issuance program in 2010, our focus continued to be on taking advantage of opportunities to add value and improve the liquidity profiles of both NBB and NBD by purchasing additional benchmark BAB issues in the secondary market. Benchmark BAB issues, which typically offer more liquidity than their non-benchmark counterparts, are defined as BABs over $300 million and greater in size and therefore eligible for inclusion in the Bloomberg Barclays Aggregate-Eligible Build America Bond Index. Their greater liquidity makes them potentially easier to sell at Fund termination. In contrast, non-benchmark BABs generally are smaller issues that may offer the same credit quality as benchmark BABs, but sometimes require more detailed credit reviews before purchase and consequently may be less liquid.
Overall, our strategy during this reporting period was to continue to add value by pursuing active management. In the first half of the reporting period, we bought a mix of benchmark and non-benchmark BABs but later focused on adding to existing positions in benchmark BABs. We also favored bonds with higher coupon, shorter call structures, which we believe offered an optimal balance of yield for the level of interest rate risk taken. Cash for purchases came from the proceeds generated by the Funds’ hedging strategy (described in the performance discussion) and from selling longer duration bonds, including a Chicago Board of Education local general obligation bond.
Shareholders should note that, because there was no new issuance of BABs or similar U.S. Treasury-subsidized taxable municipal bonds for the 24-month period ended December 31, 2012, the Funds’ contingent term provisions went into effect on January 1, 2013. During the reporting period ended March 31, 2017, NBB and NBD were managed in line with termination dates on or around June 30, 2020, and December 31, 2020, respectively, with the distribution of the Funds’ assets to shareholders planned for those times. We continued our efforts to maximize the Funds’ liquidity and better position NBB and NBD for termination. Even though the Funds are scheduled to terminate, we believe the opportunity still exists to add value for the shareholders of these Funds through active management and strong credit research.
How did these Funds perform over the twelve-month reporting period ended March 31, 2017?
The tables in each Fund's Performance Overview and Holding Summaries section of this report provide the Funds’ total returns for the one-year, five-year and since-inception periods ended March 31, 2017. Each Fund's total returns are compared with the performance of a corresponding market index.
For the twelve-month reporting period ended March 31, 2017, the total returns on common share net asset value (NAV) for NBB and NBD outperformed the return for the Bloomberg Barclays Aggregate-Eligible Build America Bond Index.
Key management factors that influenced the returns of NBB and NBD during this reporting period included duration and yield curve positioning, credit exposure, sector allocation and the use of derivatives. Duration and yield curve positioning contributed positively to the two Funds’ relative performance. NBB was helped by its overweight allocation to two- to four-year duration bonds and NBD benefited from an overweight allocation to 10- to 12-year duration bonds, as these two segments were the top performing duration buckets in the index. The Funds’ credit ratings allocations were also favorable to performance in this reporting period, with exposures to AA rated and unrated credits boosting relative results. Sector allocations remained well diversified but underperformed during this reporting period.
As part of their approach to investing, NBB and NBD use an integrated leverage and hedging strategy in their efforts to enhance current income and total return, while working to maintain a level of interest rate risk similar to that of the Bloomberg Barclays Aggregate Eligible Build America Bond Index. As part of this integrated strategy, both NBB and NBD used inverse floating rate securities and bank borrowings as leverage to potentially magnify performance. At the same time, the Funds used interest rate swaps to
NUVEEN 7
Portfolio Manager’s Comments (continued)
reduce their leverage-adjusted durations to a level close to that of the Bloomberg Barclays Aggregate-Eligible Build America Bond Index. In addition, the Funds entered into staggered interest rate swaps to partially fix the interest cost of leverage. During this reporting period, the inverse floaters and interest rate swaps performed as expected. Due to the path of interest rates over this reporting period, the use of inverse floaters and the use of swaps to shorten long-term interest rates helped the Funds’ total return performance for the reporting period. Leverage is discussed in more detail later in this report.
Given the continued news about economic problems in Puerto Rico, we should note that neither NBB nor NBD has any exposure to Puerto Rico BABs.
A Note About Investment Valuations
The municipal securities held by the Funds are valued by the Funds’ pricing service using a range of market-based inputs and assumptions. A different municipal pricing service might incorporate different assumptions and inputs into its valuation methodology, potentially resulting in different values for the same securities. These differences could be significant, both as to such individual securities, and as to the value of a given Fund’s portfolio in its entirety. Thus, the current net asset value of a Fund’s shares may be impacted, higher or lower, if the Fund were to change its pricing service, or if its pricing service were to materially change its valuation methodology. On October 4, 2016, the Funds’ current municipal bond pricing service was acquired by the parent company of another pricing service. The two services have not yet combined their valuation organizations and process, but they announced in March 2017, that they anticipate doing so sometime in the ensuing several months. Such changes could have an impact on the net asset value of the Fund’s shares.
8 NUVEEN
Fund Leverage
IMPACT OF THE FUNDS’ LEVERAGE STRATEGY ON PERFORMANCE
One important factor impacting the returns of the Funds relative to their comparative benchmark was the Funds’ use of leverage through bank borrowings and investments in inverse floating rate securities, which represent leveraged investments in underlying bonds. The Funds use leverage because our research has shown that, over time, leveraging provides opportunities for additional income, particularly in the recent market environment where short-term market rates are at or near historical lows, meaning that the short-term rates the Fund has been paying on its leveraging instruments have been much lower than the interest the Fund has been earning on its portfolio of long-term bonds that it has bought with the proceeds of that leverage. However, use of leverage also can expose the Fund to additional price volatility. When a Fund uses leverage, the Fund will experience a greater increase in its net asset value if the municipal bonds acquired through the use of leverage increase in value, but it will also experience a correspondingly larger decline in its net asset value if the bonds acquired through leverage decline in value, which will make the Fund’s net asset value more volatile, and its total return performance more variable over time. In addition, income in levered funds will typically decrease in comparison to unlevered funds when short-term interest rates increase and increase when short-term interest rates decrease. As mentioned previously, inverse floaters contributed positively to the performance of the Funds over this reporting period. The Funds’ borrowings also contributed positively to performance over this reporting period.
| As of March 31, 2017, the Funds’ percentages of leverage are as shown in the accompanying table. | ||
| NBB | NBD | |
| Effective Leverage* | 28.74% | 29.35% |
| Regulatory Leverage* | 13.73% | 7.02% |
| * | Effective leverage is a Fund’s effective economic leverage, and includes both regulatory leverage and the leverage effects of certain derivative and other investments in a Fund’s portfolio that increase the Fund’s investment exposure. Currently, the leverage effects of Tender Option Bond (TOB) inverse floater holdings are included in effective leverage values, in addition to any regulatory leverage. Regulatory leverage consists of preferred shares issued or borrowings of a Fund. Both of these are part of a Fund’s capital structure. A Fund, however, may from time to time borrow on a typically transient basis in connection with its day-to-day operations, primarily in connection with the need to settle portfolio trades. Such incidental borrowings are excluded from the calculation of a Fund’s effective leverage ratio. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940. |
THE FUNDS’ REGULATORY LEVERAGE
Bank Borrowings
The Funds employ regulatory leverage through the use of bank borrowings. The Funds’ bank borrowing activities are as shown int he accompanying table.
| Subsequent to the Close | ||||||||||||||||||||||||||||||||
| Current Reporting Period | of the Reporting Period | |||||||||||||||||||||||||||||||
| Average Balance | ||||||||||||||||||||||||||||||||
| Fund | April 1, 2016 | Draws | Paydowns | March 31, 2017 | Outstanding | Draws | Paydowns | May 25, 2017 | ||||||||||||||||||||||||
| NBB | $ | 89,500,000 | $ | 675,000 | $ | — | $ | 90,175,000 | $ | 90,064,041 | $ | — | $ | — | $ | 90,175,000 | ||||||||||||||||
| NBD | $ | 11,800,000 | $ | 200,000 | $ | — | $ | 12,000,000 | $ | 11,967,123 | $ | — | $ | — | $ | 12,000,000 | ||||||||||||||||
| Refer to Notes to Financial Statements, Note 8 - Borrowing Arrangements for further details. |
NUVEEN 9
Common Share Information
COMMON SHARE DISTRIBUTION INFORMATION
The following information regarding the Funds’ distributions is current as of March 31, 2017. Each Fund’s distribution levels may vary over time based on each Fund’s investment activity and portfolio investment value changes.
During the current reporting period, each Fund’s distributions to common shareholders were as shown in the accompanying table.
| Per Common | ||||||||
| Share Amounts | ||||||||
| Monthly Distributions (Ex-Dividend Date) | NBB | NBD | ||||||
| April 2016 | $ | 0.1120 | $ | 0.1085 | ||||
| May | 0.1120 | 0.1085 | ||||||
| June | 0.1080 | 0.1035 | ||||||
| July | 0.1080 | 0.1035 | ||||||
| August | 0.1080 | 0.1035 | ||||||
| September | 0.1080 | 0.1035 | ||||||
| October | 0.1080 | 0.1035 | ||||||
| November | 0.1080 | 0.1035 | ||||||
| December | 0.1030 | 0.0955 | ||||||
| January | 0.1030 | 0.0955 | ||||||
| Febuary | 0.1030 | 0.0955 | ||||||
| March 2017 | 0.1030 | 0.0955 | ||||||
| Total Distributions from Net Investment Income | $ | 1.2840 | $ | 1.2200 | ||||
| Yields | ||||||||
| Market Yield* | 5.91 | % | 5.30 | % | ||||
| * Market Yield is based on the Fund’s current annualized monthly distribution divided by the Fund’s current market price as of the end of the reporting period. | ||||||||
Each Fund in this report 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. If a Fund has cumulatively earned more than it has paid in dividends, it will hold the excess in reserve as undistributed net investment income (UNII) as part of the Fund’s net asset value. Conversely, if a Fund has cumulatively paid in dividends more than it has earned, the excess will constitute a negative UNII that will likewise be reflected in the Fund’s net asset value. Each Fund will, over time, pay all its net investment income as dividends to shareholders.
As of March 31, 2017, the Funds had positive UNII balances for tax purposes and negative UNII balances for financial reporting purposes.
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 was sourced from or comprised of elements other than net investment income, including capital gains and/or a return of capital, shareholders would have received a notice to that effect. For financial reporting purposes, the composition and per share amounts of each Fund’s dividends for the reporting period are presented in this report’s Statement of
10 NUVEEN
Changes in Net Assets and Financial Highlights, respectively. For income tax purposes, distribution information for each Fund as of its most recent tax year end is presented in Note 6 — Income Tax Information within the Notes to Financial Statements of this report.
COMMON SHARE REPURCHASES
During August 2016, the Funds’ Board of Trustees reauthorized an open-market share repurchase program, allowing each Fund to repurchase an aggregate of up to approximately 10% of its outstanding shares.
As of March 31, 2017, and since the inception of the Funds’ repurchase programs, the Funds have cumulatively repurchased and retired their outstanding common shares as shown in the accompanying table.
| NBB | NBD | |||||||
| Common shares cumulatively repurchased and retired | 0 | 0 | ||||||
| Common shares authorized for repurchase | 2,645,000 | 720,000 | ||||||
OTHER COMMON SHARE INFORMATION
As of March 31, 2017, and during the current reporting period, the Funds’ common share prices were trading at a premium/(discount) to their common share NAVs as shown in the accompanying table.
| NBB | NBD | |||||||
| Common share NAV | $ | 21.41 | $ | 22.05 | ||||
| Common share price | $ | 20.90 | $ | 21.63 | ||||
| Premium/(Discount) to NAV | (2.38 | )% | (1.90 | )% | ||||
| 12-month average premium/(discount) to NAV | (3.09 | )% | (4.76 | )% | ||||
NUVEEN 11
Risk Considerations
Fund shares are not guaranteed or endorsed by any bank or other insured depository institution, and are not federally insured by the Federal Deposit Insurance Corporation.
Nuveen Build America Bond Fund (NBB)
Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, derivatives risk, liquidity risk, and income risk. As interest rates rise, bond prices fall. Lower credit debt securities may be more likely to fail to make timely interest or principal payments. The Fund’s investments in Build America Bonds, which were discontinued in 2010, subject the Fund to tax risk, liquidity risk, and may negatively affect the Fund’s performance. Leverage increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage strategy will be successful. These and other risk considerations such as inverse floater risk, limited term risk, and tax risk are described in more detail on the Fund’s web page at www.nuveen.com/NBB.
Nuveen Build America Bond Opportunity Fund (NBD)
Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, derivatives risk, liquidity risk, and income risk. As interest rates rise, bond prices fall. Lower credit debt securities may be more likely to fail to make timely interest or principal payments. The Fund’s investments in Build America Bonds, which were discontinued in 2010, subject the Fund to tax risk, liquidity risk, and may negatively affect the Fund’s performance. Leverage increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage strategy will be successful. These and other risk considerations such as inverse floater risk, limited term risk, and tax risk are described in more detail on the Fund’s web page at www.nuveen.com/NBD.
12 NUVEEN
NBB
Nuveen Build America Bond Fund
Performance Overview and Holding Summaries as of March 31, 2017
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.
Average Annual Total Returns as of March 31, 2017
| Average Annual | |||
| Since | |||
| 1-Year | 5-Year | Inception | |
| NBB at Common Share NAV | 2.66% | 6.33% | 8.23% |
| NBB at Common Share Price | 2.70% | 7.52% | 7.54% |
| Bloomberg Barclays Aggregate – Eligible Build America Bond Index | 1.30% | 5.74% | 8.23% |
Since inception returns are from 4/27/10. Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.
NUVEEN 13
NBB Performance Overview and Holding Summaries as of March 31, 2017 (continued)
This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.
For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.
| Fund Allocation | |
| (% of net assets) | |
| Long-Term Municipal Bonds | 120.5% |
| Corporate Bonds | 0.5% |
| Other Assets Less Liabilities | 3.3% |
| Net Assets Plus Borrowings | |
| & Floating Rate Obligations | 124.3% |
| Borrowings | (15.9)% |
| Floating Rate Obligations | (8.4)% |
| Net Assets | 100% |
| Portfolio Credit Quality | |
| (% of total investment exposure) | |
| AAA/U.S. Guaranteed | 12.9% |
| AA | 55.6% |
| A | 19.8% |
| BBB | 6.1% |
| BB or Lower | 3.3% |
| N/R (not rated) | 2.3% |
| Total | 100% |
| Portfolio Composition | |
| (% of total investments) | |
| Tax Obligation/Limited | 30.0% |
| Transportation | 20.9% |
| Tax Obligation/General | 15.4% |
| Utilities | 13.4% |
| Water and Sewer | 12.6% |
| Other | 7.7% |
| Total | 100% |
| States and Territories | ||
| (% of total municipal bonds) | ||
| California | 22.7% | |
| New York | 14.5% | |
| Texas | 9.1% | |
| Illinois | 7.7% | |
| Ohio | 6.5% | |
| Nevada | 4.6% | |
| Georgia | 4.4% | |
| Virginia | 3.7% | |
| New Jersey | 3.5% | |
| Louisiana | 3.3% | |
| Other | 20.0% | |
| Total | 100% | |
14 NUVEEN
NBD
Nuveen Build America Bond Opportunity Fund
Performance Overview and Holding Summaries as of March 31, 2017
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.
Average Annual Total Returns as of March 31, 2017
| Average Annual | |||
| Since | |||
| 1-Year | 5-Year | Inception | |
| NBD at Common Share NAV | 3.39% | 5.38% | 8.47% |
| NBD at Common Share Price | 6.25% | 7.05% | 7.85% |
| Bloomberg Barclays Aggregate – Eligible Build America Bond Index | 1.30% | 5.74% | 9.00% |
Since inception returns are from 11/23/10. Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.
NUVEEN 15
NBD Performance Overview and Holding Summaries as of March 31, 2017 (continued)
This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.
For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.
| Fund Allocation | |
| (% of net assets) | |
| Long-Term Municipal Bonds | 104.7% |
| Corporate Bonds | 0.8% |
| Other Assets Less Liabilities | 5.4% |
| Net Assets Plus Borrowings | |
| & Floating Rate Obligations | 110.9% |
| Borrowings | (7.5)% |
| Floating Rate Obligations | (3.4)% |
| Net Assets | 100% |
| Portfolio Credit Quality | |
| (% of total investment exposure) | |
| AAA/U.S. Guaranteed | 14.4% |
| AA | 62.7% |
| A | 11.5% |
| BBB | 3.5% |
| BB or Lower | 5.2% |
| N/R (not rated) | 2.7% |
| Total | 100% |
| Portfolio Composition | |
| (% of total investments) | |
| Tax Obligation/Limited | 36.0% |
| Transportation | 17.5% |
| Water and Sewer | 13.2% |
| Tax Obligation/General | 12.7% |
| Utilities | 10.0% |
| Consumer Staples | 4.5% |
| Other | 6.1% |
| Total | 100% |
| States and Territories | |
| (% of total municipal bonds) | |
| California | 22.2% |
| New York | 12.2% |
| Illinois | 10.3% |
| Ohio | 6.9% |
| Texas | 6.6% |
| Colorado | 5.0% |
| New Jersey | 4.7% |
| South Carolina | 4.6% |
| Tennessee | 3.2% |
| Virginia | 3.0% |
| Massachusetts | 2.8% |
| Other | 18.5% |
| Total | 100% |
16 NUVEEN
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
Nuveen Build America Bond Fund
Nuveen Build America Bond Opportunity Fund:
Nuveen Build America Bond Fund
Nuveen Build America Bond Opportunity Fund:
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Nuveen Build America Bond Fund and Nuveen Build America Bond Opportunity Fund (the “Funds”) as of March 31, 2017, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for the periods presented through March 31, 2014 were audited by other auditors whose report dated May 27, 2014 expressed an unqualified opinion on those financial highlights.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 31, 2017, by correspondence with the custodian and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of March 31, 2017, the results of their operations and cash flows for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-year period then ended, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
Chicago, Illinois
May 25, 2017
Chicago, Illinois
May 25, 2017
NUVEEN 17
| NBB | |
| Nuveen Build America Bond Fund | |
| Portfolio of Investments | March 31, 2017 |
| Principal | Optional Call | ||||
| Amount (000) | Description (1) | Provisions (2) | Ratings (3) | Value | |
| LONG-TERM INVESTMENTS – 121.0% (100.0% of Total Investments) | |||||
| MUNICIPAL BONDS – 120.5% (99.6% of Total Investments) | |||||
| Arizona – 1.0% (0.8% of Total Investments) | |||||
| $ 5,000 | Mesa, Arizona, Utility System Revenue Bonds, Series 2010, 6.100%, 7/01/34 | 7/20 at 100.00 | Aa2 | $ 5,594,500 | |
| California – 27.4% (22.6% of Total Investments) | |||||
| 2,520 | Alameda Corridor Transportation Authority, California, Revenue Bonds, Refunding Taxable | No Opt. Call | BBB+ | 1,218,445 | |
| Subordinate Lien Series 2004B, 0.000%, 10/01/31 – AMBAC Insured | |||||
| 1,995 | Bay Area Toll Authority, California, Revenue Bonds, San Francisco Bay Area Toll Bridge, Build | No Opt. Call | AA | 2,731,135 | |
| America Federally Taxable Bond Series 2009F-2, 6.263%, 4/01/49 | |||||
| Bay Area Toll Authority, California, Revenue Bonds, San Francisco Bay Area Toll Bridge, | |||||
| Subordinate Lien, Build America Federally Taxable Bond Series 2010S-1: | |||||
| 75 | 6.793%, 4/01/30 | No Opt. Call | AA– | 91,709 | |
| 100 | 6.918%, 4/01/40 | No Opt. Call | AA– | 135,691 | |
| 500 | California Infrastructure and Economic Development Bank, Revenue Bonds, University of | No Opt. Call | AA– | 630,005 | |
| California San Francisco Neurosciences Building, Build America Taxable Bond Series 2010B, | |||||
| 6.486%, 5/15/49 | |||||
| 260 | California Municipal Finance Authority Charter School Revenue Bonds, Albert Einstein Academies | No Opt. Call | B+ | 258,375 | |
| Project, Taxable Series 2013B, 7.000%, 8/01/18 | |||||
| 395 | California School Finance Authority, Charter School Revenue Bonds, City Charter School | No Opt. Call | N/R | 390,939 | |
| Obligated Group, Taxable Series 2016B, 3.750%, 6/01/20 | |||||
| 3,030 | California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Build | No Opt. Call | A+ | 4,376,381 | |
| America Taxable Bond Series 2009G-2, 8.361%, 10/01/34 | |||||
| 2,050 | California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Build | 3/20 at 100.00 | A+ | 2,284,889 | |
| America Taxable Bond Series 2010A-2, 8.000%, 3/01/35 | |||||
| 7,000 | California State University, Systemwide Revenue Bonds, Build America Taxable Bond Series | No Opt. Call | Aa2 | 8,836,170 | |
| 2010B, 6.484%, 11/01/41 | |||||
| 7,115 | California State, General Obligation Bonds, Various Purpose Build America Taxable Bond Series | 3/20 at 100.00 | AA– | 8,210,781 | |
| 2010, 7.950%, 3/01/36 | |||||
| 6,610 | California State, General Obligation Bonds, Various Purpose, Build America Taxable Bond Series | No Opt. Call | AA– | 9,887,304 | |
| 2010, 7.600%, 11/01/40 | |||||
| 3,000 | California State, Various Purpose General Obligation Bonds, Build America Federally Taxable | No Opt. Call | AA– | 4,405,920 | |
| Bonds, Series 2009, 7.550%, 4/01/39 | |||||
| 9,185 | California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda | No Opt. Call | BB+ | 9,703,401 | |
| University Medical Center, Series 2014B, 6.000%, 12/01/24 | |||||
| 7,500 | Los Angeles Community College District, California, General Obligation Bonds, Build America | No Opt. Call | AA+ | 10,413,450 | |
| Taxable Bonds, Series 2010, 6.600%, 8/01/42 | |||||
| 10,000 | Los Angeles Community College District, Los Angeles County, California, General Obligation | No Opt. Call | AA+ | 13,884,600 | |
| Bonds, Series 2010, 6.600%, 8/01/42 (UB) (4) | |||||
| 6,000 | Los Angeles County Metropolitan Transportation Authority, California, Measure R Sales Tax | No Opt. Call | AAA | 7,402,620 | |
| Revenue Bonds, Build America Taxable Bond Series 2010A, 5.735%, 6/01/39 | |||||
| Los Angeles County Public Works Financing Authority, California, Lease Revenue Bonds, Multiple | |||||
| Capital Projects I, Build America Taxable Bond Series 2010B: | |||||
| 2,050 | 7.488%, 8/01/33 | No Opt. Call | AA | 2,746,057 | |
| 11,270 | 7.618%, 8/01/40 | No Opt. Call | AA | 16,352,094 | |
| 9,740 | Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International | No Opt. Call | AA– | 12,474,408 | |
| Airport, Build America Taxable Bonds, Series 2009C, 6.582%, 5/15/39 | |||||
18 NUVEEN
| Principal | Optional Call | ||||
| Amount (000) | Description (1) | Provisions (2) | Ratings (3) | Value | |
California (continued) | |||||
| Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Federally | |||||
| Taxable – Direct Payment – Build America Bonds, Series 2010A: | |||||
| $ 80 | 5.716%, 7/01/39 | No Opt. Call | Aa2 | $ 98,316 | |
| 2,840 | 6.166%, 7/01/40 | 7/20 at 100.00 | Aa2 | 3,176,796 | |
| 1,685 | Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Federally | No Opt. Call | Aa2 | 2,332,023 | |
| Taxable – Direct Payment – Build America Bonds, Series 2010D, 6.574%, 7/01/45 | |||||
| 2,000 | Los Angeles Department of Water and Power, California, Water System Revenue Bonds, Tender | No Opt. Call | AA+ | 6,037,800 | |
| Option Bond Trust 2016-XFT906, 26.890%, 7/01/50 (IF) (4) | |||||
| 1,500 | Metropolitan Water District of Southern California, Water Revenue Bonds, Build America Taxable | 7/19 at 100.00 | AAA | 1,642,710 | |
| Bond Series 2009D, 6.538%, 7/01/39 | |||||
| 1,000 | Metropolitan Water District of Southern California, Water Revenue Bonds, Build America Taxable | 7/20 at 100.00 | AAA | 1,137,260 | |
| Series 2010A, 6.947%, 7/01/40 | |||||
| 2,330 | Oakland Redevelopment Agency, California, Subordinated Housing Set Aside Revenue Bonds, | No Opt. Call | A+ | 2,457,940 | |
| Federally Taxable Series 2011A-T, 7.500%, 9/01/19 | |||||
| 4,250 | Sacramento Public Financing Authority, California, Lease Revenue Bonds, Golden 1 Center, | No Opt. Call | A+ | 4,627,698 | |
| Series 2015, 5.637%, 4/01/50 | |||||
| 2,390 | San Francisco City and County Public Utilities Commission, California, Water Revenue Bonds, | No Opt. Call | AA– | 2,923,615 | |
| Build America Taxable Bonds, Series 2010B, 6.000%, 11/01/40 | |||||
| 4,000 | San Francisco City and County, California, Certificates of Participation, 525 Golden Gate | No Opt. Call | AA | 8,995,600 | |
| Avenue, San Francisco Public Utilities Commission Office Project, Tender Option Bond | |||||
| 2016-XFT901, 25.439%, 11/01/41 (IF) (4) | |||||
| Stanton Redevelopment Agency, California, Tax Allocation Bonds, Stanton Consolidated | |||||
| Redevelopment Project Series 2011A: | |||||
| 275 | 6.500%, 12/01/17 (ETM) | No Opt. Call | A (5) | 284,804 | |
| 295 | 6.750%, 12/01/18 (ETM) | No Opt. Call | A (5) | 321,391 | |
| 1,500 | University of California, General Revenue Bonds, Build America Taxable Bonds, Series 2009R, | 5/19 at 100.00 | AA | 1,630,035 | |
| 6.270%, 5/15/31 | |||||
| 2,505 | University of California, General Revenue Bonds, Limited Project, Build America Taxable Bond | No Opt. Call | AA– | 3,096,506 | |
| Series 2010F, 5.946%, 5/15/45 | |||||
| 117,045 | Total California | 155,196,868 | |||
| Colorado – 0.7% (0.6% of Total Investments) | |||||
| 3,100 | Denver School District 1, Colorado, General Obligation Bonds, Build America Taxable Bonds, | No Opt. Call | AA+ | 3,763,338 | |
| Series 2009C, 5.664%, 12/01/33 | |||||
| Connecticut – 1.3% (1.1% of Total Investments) | |||||
| 6,300 | Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue | 4/20 at 100.00 | N/R | 7,289,352 | |
| Bonds, Harbor Point Project, Federally Taxable – Issuer Subsidy – Recovery Zone Economic | |||||
| Development Bond Series 2010B, 12.500%, 4/01/39 | |||||
| District of Columbia – 0.2% (0.2% of Total Investments) | |||||
| 1,000 | District of Columbia Water and Sewer Authority, Public Utility Revenue Bonds, Subordinate | No Opt. Call | AA+ | 1,206,280 | |
| Lien, Build America Taxable Bond Series 2010A, 5.522%, 10/01/44 | |||||
| Florida – 0.9% (0.8% of Total Investments) | |||||
| 5,000 | Florida State Board of Education, Public Education Capital Outlay Bonds, Build America Taxable | 6/19 at 100.00 | AAA | 5,363,500 | |
| Bonds, Series 2010G, 5.750%, 6/01/35 |
NUVEEN 19
| NBB | Nuveen Build America Bond Fund | |
Portfolio of Investments (continued) | March 31, 2017 |
| Principal | Optional Call | ||||
| Amount (000) | Description (1) | Provisions (2) | Ratings (3) | Value | |
| Georgia – 5.3% (4.4% of Total Investments) | |||||
| $ 2,500 | Cobb-Marietta Coliseum and Exhibit Hall Authority, Georgia, Revenue Bonds, Cobb County | 1/26 at 100.00 | AAA | $ 2,603,575 | |
| Coliseum Project, Taxable Series 2015, 4.500%, 1/01/47 | |||||
| 9,000 | Georgia Municipal Electric Authority, Plant Vogtle Units 3 & 4 Project J Bonds, Taxable Build | No Opt. Call | A+ | 10,265,400 | |
| America Bonds Series 2010A, 6.637%, 4/01/57 | |||||
| 1,120 | Georgia Municipal Electric Authority, Plant Vogtle Units 3 & 4 Project M Bonds, Taxable Build | No Opt. Call | A+ | 1,263,259 | |
| America Bonds Series 2010A, 6.655%, 4/01/57 | |||||
| 15,000 | Georgia Municipal Electric Authority, Plant Vogtle Units 3 & 4 Project P Bonds, Refunding | No Opt. Call | A– | 15,829,050 | |
| Taxable Build America Bonds Series 2010A, 7.055%, 4/01/57 | |||||
| 27,620 | Total Georgia | 29,961,284 | |||
| Illinois – 9.3% (7.7% of Total Investments) | |||||
| 865 | Chicago Transit Authority, Illinois, Sales and Transfer Tax Receipts Revenue Bonds, Pension | No Opt. Call | AA | 1,081,068 | |
| Funding Taxable Series 2008A, 6.899%, 12/01/40 | |||||
| 7,735 | Chicago Transit Authority, Illinois, Sales Tax Receipts Revenue Bonds, Federally Taxable Build | No Opt. Call | AA | 9,100,537 | |
| America Bonds, Series 2010B, 6.200%, 12/01/40 | |||||
| Chicago, Illinois, General Airport Revenue Bonds, O’Hare International Airport, Third Lien, | |||||
| Build America Taxable Bond Series 2010B: | |||||
| 10,925 | 6.845%, 1/01/38 | 1/20 at 100.00 | A | 12,196,998 | |
| 355 | 6.395%, 1/01/40 | No Opt. Call | A | 467,471 | |
| 135 | Chicago, Illinois, Wastewater Transmission Revenue Bonds, Build America Taxable Bond Series | No Opt. Call | AA | 167,453 | |
| 2010B, 6.900%, 1/01/40 | |||||
| 14,000 | Illinois State, General Obligation Bonds, Taxable Build America Bonds, Series 2010-3, | No Opt. Call | BBB | 14,387,940 | |
| 6.725%, 4/01/35 | |||||
| 8,090 | Illinois Toll Highway Authority, Toll Highway Revenue Bonds, Build America Taxable Bonds, | No Opt. Call | AA– | 10,232,717 | |
| Senior Lien Series 2009A, 6.184%, 1/01/34 | |||||
| 1,595 | Illinois Toll Highway Authority, Toll Highway Revenue Bonds, Build America Taxable Bonds, | No Opt. Call | AA– | 1,982,537 | |
| Senior Lien Series 2009B, 5.851%, 12/01/34 | |||||
| 2,000 | Lake County, Illinois, General Obligation Bonds, Series 2010A, 5.125%, 11/30/27 | 11/19 at 100.00 | AAA | 2,154,960 | |
| 685 | Northern Illinois Municipal Power Agency, Power Project Revenue Bonds, Prairie State Project, | No Opt. Call | A2 | 871,628 | |
| Build America Taxable Bond Series 2010A, 7.820%, 1/01/40 | |||||
| 46,385 | Total Illinois | 52,643,309 | |||
| Indiana – 2.6% (2.1% of Total Investments) | |||||
| 5,000 | Indiana University, Consolidated Revenue Bonds, Build America Taxable Bonds, Series 2010B, | 6/20 at 100.00 | AAA | 5,397,800 | |
| 5.636%, 6/01/35 | |||||
| 5,000 | Indianapolis Local Public Improvement Bond Bank, Indiana, Build America Bonds, Series 2010A-2, | No Opt. Call | Aa1 | 6,218,050 | |
| 6.004%, 1/15/40 | |||||
| 2,390 | Indianapolis Local Public Improvement Bond Bank, Indiana, Build America Taxable Bonds, Series | No Opt. Call | AA | 3,008,413 | |
| 2010B-2, 6.116%, 1/15/40 | |||||
| 12,390 | Total Indiana | 14,624,263 | |||
| Kentucky – 1.7% (1.4% of Total Investments) | |||||
| 5,000 | Kentucky Municipal Power Agency, Power System Revenue Bonds, Prairie State Project, Tender | 9/20 at 100.00 | AA | 7,185,000 | |
| Option Bond Trust 2016-XFT902, 25.129%, 9/01/37 – AGC Insured (IF) (4) | |||||
| 1,950 | Louisville and Jefferson County Metropolitan Sewer District, Kentucky, Sewer and Drainage | No Opt. Call | AA | 2,519,829 | |
| System Revenue Bonds, Build America Taxable Bonds Series 2010A, 6.250%, 5/15/43 | |||||
| 6,950 | Total Kentucky | 9,704,829 | |||
| Louisiana – 3.9% (3.3% of Total Investments) | |||||
| 20,350 | East Baton Rouge Sewerage Commission, Louisiana, Revenue Bonds, Series 2010B, | 2/20 at 100.00 | AA | 22,277,349 | |
| 6.087%, 2/01/45 (UB) (4) |
20 NUVEEN
| Principal | Optional Call | ||||
| Amount (000) | Description (1) | Provisions (2) | Ratings (3) | Value | |
| Massachusetts – 0.8% (0.7% of Total Investments) | |||||
| $ 2,000 | Massachusetts, Transportation Fund Revenue Bonds, Accelerated Bridge Program, Tender Option | No Opt. Call | AAA | $ 4,610,500 | |
| Bond Trust 2016-XFT907, 22.356%, 6/01/40 (IF) (4) | |||||
| Michigan – 1.1% (0.9% of Total Investments) | |||||
| 6,190 | Michigan Tobacco Settlement Finance Authority, Tobacco Settlement Asset-Backed Revenue Bonds, | No Opt. Call | B– | 6,066,076 | |
| Taxable Turbo Series 2006A, 7.309%, 6/01/34 | |||||
| Missouri – 0.3% (0.2% of Total Investments) | |||||
| 1,290 | Curators of the University of Missouri, System Facilities Revenue Bonds, Build America Taxable | No Opt. Call | AA+ | 1,590,712 | |
| Bonds, Series 2009A, 5.960%, 11/01/39 | |||||
| Nevada – 5.5% (4.5% of Total Investments) | |||||
| 13,890 | Clark County, Nevada, Airport Revenue Bonds, Senior Lien Series 2009B, 6.881%, 7/01/42 | 7/19 at 100.00 | Aa2 | 15,397,760 | |
| 10,150 | Clark County, Nevada, Airport Revenue Bonds, Taxable Direct Payment Build America Bond Series | No Opt. Call | Aa2 | 14,274,656 | |
| 2010C, 6.820%, 7/01/45 | |||||
| 1,315 | Las Vegas, Nevada, Certificates of Participation, City Hall Project, Build America Federally | 9/19 at 100.00 | AA– (5) | 1,494,616 | |
| Taxable Bonds, Series 2009B, 7.800%, 9/01/39 (Pre-refunded 9/01/19) | |||||
| 25,355 | Total Nevada | 31,167,032 | |||
| New Jersey – 4.2% (3.5% of Total Investments) | |||||
| 2,500 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Build America | 6/19 at 100.00 | A– | 2,638,725 | |
| Bonds Issuer Subsidy Program, Series 2009B, 6.875%, 12/15/39 | |||||
| 130 | New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Build America | 12/20 at 100.00 | A– | 135,056 | |
| Bonds Issuer Subsidy Program, Series 2010C, 6.104%, 12/15/28 | |||||
| 4,190 | New Jersey Turnpike Authority, Revenue Bonds, Build America Taxable Bonds, Series 2009F, | No Opt. Call | A+ | 6,044,578 | |
| 7.414%, 1/01/40 | |||||
| 10,910 | New Jersey Turnpike Authority, Revenue Bonds, Build America Taxable Bonds, Series 2010A, | No Opt. Call | A+ | 15,267,563 | |
| 7.102%, 1/01/41 | |||||
| 17,730 | Total New Jersey | 24,085,922 | |||
| New York – 17.5% (14.4% of Total Investments) | |||||
| 25,000 | Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, Series | No Opt. Call | AAA | 30,575,750 | |
| 2010D, 5.600%, 3/15/40 (UB) (4) | |||||
| 5,100 | Long Island Power Authority, New York, Electric System Revenue Bonds, Build America Taxable | No Opt. Call | A– | 6,050,436 | |
| Bond Series 2010B, 5.850%, 5/01/41 | |||||
| 7,965 | Metropolitan Transportation Authority, New York, Dedicated Tax Fund Bonds, Build America | No Opt. Call | AA | 11,620,696 | |
| Taxable Bonds, Series 2010C, 7.336%, 11/15/39 | |||||
| 14,000 | New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue | 12/20 at 100.00 | AA+ | 15,931,300 | |
| Bonds, Second Generation Resolution, Build America Taxable Bonds, Fiscal 2011 Series 2010CC, | |||||
| 6.282%, 6/15/42 | |||||
| 1,000 | New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue | 6/20 at 100.00 | AA+ | 1,103,850 | |
| Bonds, Second Generation Resolution, Build America Taxable Bonds, Fiscal 2011 Series AA, | |||||
| 5.790%, 6/15/41 | |||||
| 2,595 | New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue | No Opt. Call | AA+ | 3,363,380 | |
| Bonds, Second Generation Resolution, Build America Taxable Bonds, Series 2010DD, | |||||
| 5.952%, 6/15/42 | |||||
| 2,025 | New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue | No Opt. Call | AA+ | 2,624,603 | |
| Bonds, Second Generation Resolution, Series 2010DD, 5.952%, 6/15/42 (UB) | |||||
| 1,595 | New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue | No Opt. Call | AA+ | 3,937,656 | |
| Bonds, Second Generation Resolution, Taxable Tender Option Bond Trust 2016-XFT908, | |||||
| 23.519%, 6/15/44 (IF) |
NUVEEN 21
| NBB | Nuveen Build America Bond Fund | |
Portfolio of Investments (continued) | March 31, 2017 |
| Principal | Optional Call | ||||
| Amount (000) | Description (1) | Provisions (2) | Ratings (3) | Value | |
New York (continued) | |||||
| $ 6,690 | New York City Transitional Finance Authority, New York, Building Aid Revenue Bonds, Build | No Opt. Call | AA | $ 8,699,542 | |
| America Taxable Bond Fiscal 2011 Series 2010S-1B, 6.828%, 7/15/40 | |||||
| 10,000 | New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Build | No Opt. Call | AAA | 12,113,500 | |
| America Taxable Bonds, Series 2010G-1, 5.467%, 5/01/40 (4) | |||||
| 3,000 | New York Transportation Development Corporation, Special Facilities Bonds, LaGuardia Airport | No Opt. Call | BBB | 2,878,560 | |
| Terminal B Redevelopment Project, Taxable Series 2016B, 3.673%, 7/01/30 | |||||
| 78,970 | Total New York | 98,899,273 | |||
| North Carolina – 1.9% (1.6% of Total Investments) | |||||
| 10,100 | North Carolina Turnpike Authority, Triangle Expressway System State Annual Appropriation | 1/19 at 100.00 | AA | 10,877,498 | |
| Revenue Bonds, Federally Taxable Issuer Subsidy Build America Bonds, Series 2009B, | |||||
| 6.700%, 1/01/39 | |||||
| Ohio – 7.9% (6.5% of Total Investments) | |||||
| 10,700 | American Municipal Power Inc., Ohio, Combined Hydroelectric Projects Revenue Bonds, Build | No Opt. Call | A | 15,246,109 | |
| America Bond Series 2010B, 7.834%, 2/15/41 | |||||
| 4,000 | American Municipal Power Ohio Inc., Prairie State Energy Campus Project Revenue Bonds, Build | No Opt. Call | A1 | 4,736,560 | |
| America Bond Series 2009C, 6.053%, 2/15/43 | |||||
| 25 | JobsOhio Beverage System, Ohio, Statewide Liquor Profits Revenue Bonds, Senior Lien Taxable | No Opt. Call | AA | 27,015 | |
| Series 2013B, 4.532%, 1/01/35 | |||||
| 15,500 | Northeast Ohio Regional Sewer District, Wastewater Improvement Revenue Bonds, Build America | 11/20 at 100.00 | AA+ | 17,412,389 | |
| Taxable Bonds, Series 2010, 6.038%, 11/15/40 | |||||
| 7,500 | Port of Greater Cincinnati Development Authority, Ohio, Special Obligation TIF Revenue Bonds, | 1/26 at 100.00 | N/R | 7,239,225 | |
| Cooperative Township Public Parking, Kenwood Collection Redevelopment, Senior Lien Series | |||||
| 2016A, 6.600%, 1/01/39 | |||||
| 37,725 | Total Ohio | 44,661,298 | |||
| Oregon – 2.6% (2.1% of Total Investments) | |||||
| 4,000 | Oregon Department of Administrative Services, Certificates of Participation, Federally Taxable | 5/20 at 100.00 | AA | 6,066,800 | |
| Build America Bonds, Tender Option Bond Trust 2016-TXG001, 23.753%, 5/01/35 (IF) (4) | |||||
| 8,030 | Warm Springs Reservation Confederated Tribes, Oregon, Tribal Economic Development Bonds, | No Opt. Call | A3 | 8,636,537 | |
| Hydroelectric Revenue Bonds, Pelton Round Butte Project, Refunding Series 2009A, 8.250%, 11/01/19 | |||||
| 12,030 | Total Oregon | 14,703,337 | |||
| Pennsylvania – 1.4% (1.1% of Total Investments) | |||||
| Commonwealth Financing Authority, Pennsylvania, State Appropriation Lease Bonds, Build America | |||||
| Taxable Bonds, Series 2009D: | |||||
| 1,225 | 5.653%, 6/01/24 | No Opt. Call | A+ | 1,357,655 | |
| 1,915 | 6.218%, 6/01/39 | No Opt. Call | A+ | 2,309,413 | |
| 2,000 | Pennsylvania State, General Obligation Bonds, Build America Taxable Bonds, Third Series 2010B, | 7/20 at 100.00 | Aa3 | 2,219,500 | |
| 5.850%, 7/15/30 | |||||
| 1,535 | Pennsylvania Turnpike Commission, Turnpike Revenue Bonds, Build America Taxable Bonds, Series | No Opt. Call | A1 | 1,948,391 | |
| 2009A, 6.105%, 12/01/39 | |||||
| 6,675 | Total Pennsylvania | 7,834,959 | |||
| South Carolina – 0.5% (0.4% of Total Investments) | |||||
| 55 | South Carolina Public Service Authority, Electric System Revenue Bonds, Santee Cooper, | No Opt. Call | AA– | 85,236 | |
| Federally Taxable Build America Tender Option Bond Trust 2016-XFT909, 26.230%, 1/01/50 (IF) | |||||
| 2,245 | South Carolina Public Service Authority, Electric System Revenue Bonds, Santee Cooper, | No Opt. Call | AA– | 2,491,838 | |
| Federally Taxable Build America Series 2010C, 6.454%, 1/01/50 (UB) | |||||
| 2,300 | Total South Carolina | 2,577,074 |
22 NUVEEN
| Principal | Optional Call | ||||
| Amount (000) | Description (1) | Provisions (2) | Ratings (3) | Value | |
| Tennessee – 1.9% (1.6% of Total Investments) | |||||
| $ 5,000 | Metropolitan Government Nashville & Davidson County Convention Center Authority, Tennessee, | No Opt. Call | A1 | $ 6,603,950 | |
| Tourism Tax Revenue Bonds, Build America Taxable Bonds, Series 2010A-2, 7.431%, 7/01/43 | |||||
| 3,290 | Metropolitan Government Nashville & Davidson County Convention Center Authority, Tennessee, | No Opt. Call | Aa3 | 4,313,387 | |
| Tourism Tax Revenue Bonds, Build America Taxable Bonds, Subordinate Lien Series 2010B, | |||||
| 6.731%, 7/01/43 | |||||
| 8,290 | Total Tennessee | 10,917,337 | |||
| Texas – 10.9% (9.0% of Total Investments) | |||||
| 1,000 | Bexar County Hospital District, Texas, Certificates of Obligation, Taxable Build America Bond | 2/19 at 100.00 | AA+ | 1,085,210 | |
| Series 2009B, 6.904%, 2/15/39 | |||||
| 9,280 | Dallas Convention Center Hotel Development Corporation, Texas, Hotel Revenue Bonds, Build | No Opt. Call | A– | 12,051,565 | |
| America Taxable Bonds, Series 09B, 7.088%, 1/01/42 | |||||
| 2,200 | Dallas Independent School District, Dallas County, Texas, General Obligation Bonds, School | 2/21 at 100.00 | AAA | 2,525,600 | |
| Building, Build America Taxable Bond Series 2010C, 6.450%, 2/15/35 | |||||
| 3,250 | Houston, Texas, General Obligation Bonds, Public Improvement, Build America Bond Series 2010B, | 3/20 at 100.00 | AA | 3,581,533 | |
| 6.319%, 3/01/30 | |||||
| 10,785 | North Texas Tollway Authority, System Revenue Bonds, Taxable Build America Bond Series 2009B, | No Opt. Call | A1 | 15,078,723 | |
| 6.718%, 1/01/49 | |||||
| 10,220 | North Texas Tollway Authority, System Revenue Bonds, Taxable Build America Bonds, Series | 2/20 at 100.00 | Baa2 | 11,828,117 | |
| 2010-B2, 8.910%, 2/01/30 | |||||
| 1,000 | San Antonio, Texas, Electric and Gas System Revenue Bonds, Junior Lien, Build America Taxable | No Opt. Call | AA+ | 1,257,200 | |
| Bond Series 2010A, 5.808%, 2/01/41 | |||||
| 10 | San Antonio, Texas, Electric and Gas System Revenue Bonds, Series 2012, 4.427%, 2/01/42 | No Opt. Call | Aa1 | 10,715 | |
| 5,000 | San Antonio, Texas, General Obligation Bonds, Build America Taxable Bonds, Series 2010B, | 8/20 at 100.00 | AAA | 5,575,800 | |
| 6.038%, 8/01/40 | |||||
| 7,015 | Texas State, General Obligation Bonds, Transportation Commission, Build America Taxable Bonds, | No Opt. Call | AAA | 8,803,825 | |
| Series 2009A, 5.517%, 4/01/39 | |||||
| 49,760 | Total Texas | 61,798,288 | |||
| Utah – 1.0% (0.8% of Total Investments) | |||||
| 4,000 | Central Utah Water Conservancy District, Utah, Revenue Bonds, Federally Taxable Build America | 4/20 at 100.00 | AA+ | 4,297,880 | |
| Bonds, Series 2010A, 5.700%, 10/01/40 | |||||
| 1,000 | Tooele County Municipal Building Authority, Utah, Lease Revenue Bonds, Build America Bond | 12/20 at 100.00 | A+ | 1,104,840 | |
| Series 2010A-2, 8.000%, 12/15/32 | |||||
| 5,000 | Total Utah | 5,402,720 | |||
| Virginia – 4.4% (3.7% of Total Investments) | |||||
| Metropolitan Washington Airports Authority, Virginia, Dulles Toll Road Second Senior Lien | |||||
| Revenue Bonds, Build America Bonds, Series 2009D: | |||||
| 1,500 | 7.462%, 10/01/46 – AGM Insured | No Opt. Call | AA | 2,204,850 | |
| Metropolitan Washington Airports Authority, Virginia, Dulles Toll Road Second Senior Lien | |||||
| Revenue Bonds, Build America Bonds, Series 2009D: | |||||
| 11,930 | 7.462%, 10/01/46 – AGC Insured | No Opt. Call | BBB+ | 16,916,024 | |
| 7,125 | Tobacco Settlement Financing Corporation of Virginia, Tobacco Settlement Asset Backed Bonds, | 6/17 at 100.00 | B– | 5,972,745 | |
| Refunding Senior Lien Series 2007A, 6.706%, 6/01/46 | |||||
| 20,555 | Total Virginia | 25,093,619 |
NUVEEN 23
| NBB | Nuveen Build America Bond Fund | |
Portfolio of Investments (continued) | March 31, 2017 |
| Principal | Optional Call | |||||
| Amount (000) | Description (1) | Provisions (2) | Ratings (3) | Value | ||
| Washington – 3.7% (3.1% of Total Investments) | ||||||
| $ 4,000 | Seattle, Washington, Municipal Light and Power Revenue Bonds, Federally Taxable Build America | No Opt. Call | AA | $ 7,075,400 | ||
| Bonds, Tender Option Bond Trust 2016-XFT905, 21.484%, 2/01/40 (IF) (4) | ||||||
| 11,090 | Washington State Convention Center Public Facilities District, Lodging Tax Revenue Bonds, | No Opt. Call | Aa3 | 14,087,849 | ||
| Build America Taxable Bond Series 2010B, 6.790%, 7/01/40 | ||||||
| 15,090 | Total Washington | 21,163,249 | ||||
| West Virginia – 0.6% (0.5% of Total Investments) | ||||||
| 3,800 | Tobacco Settlement Finance Authority, West Virginia, Tobacco Settlement Asset-Backed Bonds, | 6/25 at 100.00 | B2 | 3,642,262 | ||
| Taxable Turbo Series 2007A, 7.467%, 6/01/47 | ||||||
| $ 554,000 | Total Municipal Bonds (cost $606,560,483) | 682,716,028 | ||||
| Principal | ||||||
| Amount (000) | Description (1) | Coupon | Maturity | Ratings (3) | Value | |
| CORPORATE BONDS – 0.5% (0.4% of Total Investments) | ||||||
| Diversified Consumer Services – 0.5% (0.4% of Total Investments) | ||||||
| $ 3,015 | BCOM Investment Partners LLC, Taxable Notes, Burrell College of Osteopathic | 7.500% | 9/01/45 | N/R | $ 3,043,109 | |
| Medicine, Series 2015, 144A | ||||||
| $ 3,015 | Total Corporate Bonds (cost $3,015,000) | 3,043,109 | ||||
| Total Long-Term Investments (cost $609,575,483) | 685,759,137 | |||||
| Borrowings – (15.9)% (6), (7) | (90,175,000) | |||||
| Floating Rate Obligations – (8.4)% | (47,700,000) | |||||
| Other Assets Less Liabilities – 3.3% (8) | 18,547,438 | |||||
| Net Assets Applicable to Common Shares – 100% | $ 566,431,575 | |||||
24 NUVEEN
| Investments in Derivatives as of March 31, 2017 | ||||||||||
| Interest Rate Swaps (OTC Uncleared) | ||||||||||
| Fund | Fixed Rate | Optional | Unrealized | |||||||||||||||||||
| Notional | Pay/Receive | Floating Rate | Fixed Rate | Payment | Effective | Termination | Termination | Appreciation | ||||||||||||||
| Counterparty | Amount | Floating Rate | Index | (Annualized) | Frequency | Date (9) | Date | Date | Value | (Depreciation) | ||||||||||||
| Morgan Stanley | $ | 121,000,000 | Receive | 1-Month USD- | 1.500 | % | Monthly | 7/03/17 | 12/01/17 | 12/01/19 | $ | (273,646 | ) | $ | (1,993,646 | ) | ||||||
| Capital | LIBOR-ICE | |||||||||||||||||||||
| Services LLC | ||||||||||||||||||||||
| Interest Rate Swaps (OTC Cleared) | |||||||||||||||||||||||||
| Variation | |||||||||||||||||||||||||
| Fund | Fixed Rate | Optional | Margin | Unrealized | |||||||||||||||||||||
| Notional | Pay/Receive | Floating Rate | Fixed Rate | Payment | Effective | Termination | Termination | Receivable/ | Appreciation | ||||||||||||||||
| Clearing Broker | Amount | Floating Rate | Index | (Annualized) | Frequency | Date (9) | Date | Date | (Payable) | (Depreciation) | |||||||||||||||
| Citigroup Global | $ | 47,500,000 | Receive | 3-Month USD- | 2.769 | % | Semi-Annually | 1/10/18 | N/A | 1/10/40 | $ | (72,946 | ) | $ | (561,705 | ) | |||||||||
| Markets Inc.* | LIBOR-ICE | ||||||||||||||||||||||||
| Citigroup Global | 19,100,000 | Receive | 3-Month USD- | 1.731 | Semi-Annually | 8/11/17 | N/A | 8/11/46 | (14,948 | ) | 3,834,684 | ||||||||||||||
| Markets Inc.* | LIBOR-ICE | ||||||||||||||||||||||||
| Citigroup Global | 15,500,000 | Receive | 3-Month USD- | 1.775 | Semi-Annually | 8/25/17 | 7/06/26 (10) | 8/25/46 | (12,375 | ) | 2,973,194 | ||||||||||||||
| Markets Inc.* | LIBOR-ICE | ||||||||||||||||||||||||
| $ | 82,100,000 | $ | (100,269 | ) | $ | 6,246,173 | |||||||||||||||||||
| * | LCH.Clearnet Ltd is the clearing house for this transaction. |
| (1) | All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted. |
| (2) | Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. |
| Certain mortgage-backed securities may be subject to periodic principal paydowns. Optional Call Provisions are not covered by the report of independent registered public | |
| accounting firm. | |
| (3) | For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or |
| Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB | |
| by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national | |
| rating agencies. Ratings are not covered by the report of independent registered public accounting firm. | |
| (4) | Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives and/or 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. Certain |
| bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. | |
| (6) | Borrowings as a percentage of Total Investments is 13.1%. |
| (7) | The Fund may pledge up to 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives, when |
| applicable) as collateral for borrowings. | |
| (8) | 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. | |
| (9) | Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each contract. |
| (10) | This interest rate swap has an optional early termination date beginning on July 6, 2026 and every five years thereafter through the termination date as specified in the |
| swap contract. | |
| (ETM) | Escrowed to maturity. |
| (IF) | Inverse floating rate investment. |
| (UB) | Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Note 3 – Portfolio Securities and Investments in |
| Derivatives, Inverse Floating Rate Securities for more information. | |
| 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. | |
| N/A | Not applicable. |
| USD-LIBOR-ICE | United States Dollar-London Inter-Bank Offered Rate-Intercontinental Exchange |
See accompanying notes to financial statements.
NUVEEN 25
| NBD | |
| Nuveen Build America Bond Opportunity Fund | |
| Portfolio of Investments | March 31, 2017 |
| Principal | Optional Call | ||||
| Amount (000) | Description (1) | Provisions (2) | Ratings (3) | Value | |
| LONG-TERM INVESTMENTS – 105.5% (100.0% of Total Investments) | |||||
| MUNICIPAL BONDS – 104.7% (99.2% of Total Investments) | |||||
| California – 23.2% (22.0% of Total Investments) | |||||
| $ 1,500 | California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Build | No Opt. Call | A+ | $ 2,166,525 | |
| America Taxable Bond Series 2009G-2, 8.361%, 10/01/34 | |||||
| 2,000 | California State, Various Purpose General Obligation Bonds, Build America Federally Taxable | No Opt. Call | AA– | 2,835,820 | |
| Bonds, Series 2009, 7.500%, 4/01/34 | |||||
| 3,500 | California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda | No Opt. Call | BB+ | 3,697,540 | |
| University Medical Center, Series 2014B, 6.000%, 12/01/24 | |||||
| 2,000 | Los Angeles Community College District, Los Angeles County, California, General Obligation | No Opt. Call | AA+ | 6,563,000 | |
| Bonds, Tender Option Bond Trust 2016-XG002, 27.019%, 8/01/49 (IF) (4) | |||||
| 1,150 | Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International | No Opt. Call | AA– | 1,472,851 | |
| Airport, Build America Taxable Bonds, Series 2009C, 6.582%, 5/15/39 | |||||
| 2,000 | Los Angeles Department of Water and Power, California, Water System Revenue Bonds, Tender | No Opt. Call | AA+ | 6,037,800 | |
| Option Bond Trust 2016-XFT906, 26.890%, 7/01/50 (IF) (4) | |||||
| 775 | Oakland Redevelopment Agency, California, Subordinated Housing Set Aside Revenue Bonds, | No Opt. Call | A+ | 817,555 | |
| Federally Taxable Series 2011A-T, 7.500%, 9/01/19 | |||||
| 2,200 | San Diego County Regional Transportation Commission, California, Sales Tax Revenue Bonds, | No Opt. Call | AAA | 2,805,528 | |
| Build America Taxable Bonds Series 2010A, 5.911%, 4/01/48 | |||||
| 1,500 | San Francisco City and County Public Utilities Commission, California, Water Revenue Bonds, | No Opt. Call | AA– | 2,121,045 | |
| Build America Taxable Bonds, Series 2010G, 6.950%, 11/01/50 | |||||
| 675 | San Francisco City and County Redevelopment Financing Authority, California, Tax Allocation | No Opt. Call | AA– | 910,697 | |
| Revenue Bonds, San Francisco Redevelopment Projects, Taxable Series 2009E, 8.406%, 8/01/39 | |||||
| 2,000 | San Francisco City and County, California, Certificates of Participation, 525 Golden Gate | No Opt. Call | AA | 4,497,800 | |
| Avenue, San Francisco Public Utilities Commission Office Project, Tender Option Bond | |||||
| 2016-XFT901, 25.439%, 11/01/41 (IF) (4) | |||||
| 315 | Stanton Redevelopment Agency, California, Tax Allocation Bonds, Stanton Consolidated | No Opt. Call | A (5) | 359,015 | |
| Redevelopment Project Series 2011A, 7.000%, 12/01/19 (ETM) | |||||
| 2,000 | The Regents of the University of California, Medical Center Pooled Revenue Bonds, Build | No Opt. Call | AA– | 2,599,380 | |
| America Taxable Bonds, Series 2010H, 6.548%, 5/15/48 | |||||
| 21,615 | Total California | 36,884,556 | |||
| Colorado – 5.3% (5.0% of Total Investments) | |||||
| 4,000 | Colorado State Bridge Enterprise Revenue Bonds, Federally Taxable Build America Series 2010A, | No Opt. Call | AA | 5,016,200 | |
| 6.078%, 12/01/40 | |||||
| 2,585 | Regional Transportation District, Colorado, Sales Tax Revenue Bonds, Fastracks Project, Build | No Opt. Call | AA+ | 3,367,583 | |
| America Series 2010B, 5.844%, 11/01/50 | |||||
| 6,585 | Total Colorado | 8,383,783 | |||
| Connecticut – 1.0% (0.9% of Total Investments) | |||||
| 1,355 | Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue | 4/20 at 100.00 | N/R | 1,567,789 | |
| Bonds, Harbor Point Project, Federally Taxable – Issuer Subsidy – Recovery Zone Economic | |||||
| Development Bond Series 2010B, 12.500%, 4/01/39 |
26 NUVEEN
| Principal | Optional Call | ||||
| Amount (000) | Description (1) | Provisions (2) | Ratings (3) | Value | |
| Georgia – 2.7% (2.5% of Total Investments) | |||||
| $ 1,000 | Cobb-Marietta Coliseum and Exhibit Hall Authority, Georgia, Revenue Bonds, Cobb County | 1/26 at 100.00 | AAA | $ 1,041,430 | |
| Coliseum Project, Taxable Series 2015, 4.500%, 1/01/47 | |||||
| 3,000 | Georgia Municipal Electric Authority, Plant Vogtle Units 3 & 4 Project P Bonds, Refunding | No Opt. Call | A– | 3,165,810 | |
| Taxable Build America Bonds Series 2010A, 7.055%, 4/01/57 | |||||
| 4,000 | Total Georgia | 4,207,240 | |||
| Illinois – 10.7% (10.2% of Total Investments) | |||||
| 3,715 | Chicago Transit Authority, Illinois, Sales Tax Receipts Revenue Bonds, Federally Taxable Build | No Opt. Call | AA | 4,370,846 | |
| America Bonds, Series 2010B, 6.200%, 12/01/40 | |||||
| 1,255 | Chicago, Illinois, General Airport Revenue Bonds, O’Hare International Airport, Third Lien, | 1/20 at 100.00 | A | 1,401,120 | |
| Build America Taxable Bond Series 2010B, 6.845%, 1/01/38 | |||||
| 2,000 | Illinois State, General Obligation Bonds, Build America Taxable Bonds, Series 2010-5, | No Opt. Call | BBB | 2,134,400 | |
| 7.350%, 7/01/35 | |||||
| 5,000 | Illinois Toll Highway Authority, Toll Highway Revenue Bonds, Build America Taxable Bonds, | No Opt. Call | AA– | 6,324,300 | |
| Senior Lien Series 2009A, 6.184%, 1/01/34 | |||||
| 2,000 | Lake County, Illinois, General Obligation Bonds, Series 2010A, 5.250%, 11/30/28 | 11/19 at 100.00 | AAA | 2,151,060 | |
| 365 | Northern Illinois Municipal Power Agency, Power Project Revenue Bonds, Prairie State Project, | No Opt. Call | A2 | 426,473 | |
| Build America Bond Series 2009C, 6.859%, 1/01/39 | |||||
| 205 | Northern Illinois Municipal Power Agency, Power Project Revenue Bonds, Prairie State Project, | No Opt. Call | A2 | 260,852 | |
| Build America Taxable Bond Series 2010A, 7.820%, 1/01/40 | |||||
| 14,540 | Total Illinois | 17,069,051 | |||
| Indiana – 0.8% (0.8% of Total Investments) | |||||
| 1,000 | Indianapolis Local Public Improvement Bond Bank, Indiana, Build America Taxable Bonds, Series | No Opt. Call | AA | 1,258,750 | |
| 2010B-2, 6.116%, 1/15/40 | |||||
| Kentucky – 2.4% (2.3% of Total Investments) | |||||
| 3,000 | Louisville and Jefferson County Metropolitan Sewer District, Kentucky, Sewer and Drainage | No Opt. Call | AA | 3,876,660 | |
| System Revenue Bonds, Build America Taxable Bonds Series 2010A, 6.250%, 5/15/43 | |||||
| Massachusetts – 2.9% (2.7% of Total Investments) | |||||
| 2,000 | Massachusetts, Transportation Fund Revenue Bonds, Accelerated Bridge Program, Tender Option | No Opt. Call | AAA | 4,610,500 | |
| Bond Trust 2016-XFT907, 22.356%, 6/01/40 (IF) (4) | |||||
| Michigan – 1.2% (1.2% of Total Investments) | |||||
| 2,000 | Michigan Tobacco Settlement Finance Authority, Tobacco Settlement Asset-Backed Revenue Bonds, | No Opt. Call | B– | 1,959,960 | |
| Taxable Turbo Series 2006A, 7.309%, 6/01/34 | |||||
| Mississippi – 1.6% (1.5% of Total Investments) | |||||
| 2,085 | Mississippi State, General Obligation Bonds, Build America Taxable Bond Series 2010F, | No Opt. Call | AA | 2,493,639 | |
| 5.245%, 11/01/34 | |||||
| Nevada – 2.7% (2.6% of Total Investments) | |||||
| 1,965 | Clark County, Nevada, Airport Revenue Bonds, Senior Lien Series 2009B, 6.881%, 7/01/42 | 7/19 at 100.00 | Aa2 | 2,178,301 | |
| 1,500 | Clark County, Nevada, Airport Revenue Bonds, Taxable Direct Payment Build America Bond Series | No Opt. Call | Aa2 | 2,109,555 | |
| 2010C, 6.820%, 7/01/45 | |||||
| 3,465 | Total Nevada | 4,287,856 |
NUVEEN 27
| NBD | ||
| Nuveen Build America Bond Opportunity Fund | ||
Portfolio of Investments (continued) | March 31, 2017 |
| Principal | Optional Call | |||
| Amount (000) | Description (1) | Provisions (2) | Ratings (3) | Value |
| New Jersey – 4.9% (4.7% of Total Investments) | ||||
| $ 3,890 | New Jersey Turnpike Authority, Revenue Bonds, Build America Taxable Bonds, Series 2010A, | No Opt. Call | A+ | $ 5,443,705 |
| 7.102%, 1/01/41 | ||||
| 2,000 | Rutgers State University, New Jersey, Revenue Bonds, Build America Taxable Bond Series 2010H, | No Opt. Call | Aa3 | 2,356,660 |
| 5.665%, 5/01/40 | ||||
| 5,890 | Total New Jersey | 7,800,365 | ||
| New York – 12.8% (12.1% of Total Investments) | ||||
| 2,000 | Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, Tender | No Opt. Call | AAA | 4,230,300 |
| Option Bond Trust 2016-XFT903, 20.726%, 3/15/40 (IF) (4) | ||||
| 1,270 | Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Federally | 11/33 at 100.00 | AA– | 1,690,738 |
| Taxable Issuer Subsidy Build America Bonds, Series 2010A, 6.668%, 11/15/39 | ||||
| 1,500 | New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue | No Opt. Call | AA+ | 1,873,410 |
| Bonds, Second Generation Resolution, Build America Taxable Bonds, Fiscal 2011 Series AA, | ||||
| 5.440%, 6/15/43 (4) | ||||
| 2,000 | New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue | No Opt. Call | AA+ | 4,937,500 |
| Bonds, Second Generation Resolution, Taxable Tender Option Bond Trust 2016-XFT908, | ||||
| 23.519%, 6/15/44 (IF) | ||||
| 3,750 | New York City Transitional Finance Authority, New York, Building Aid Revenue Bonds, Build | No Opt. Call | AA | 4,876,425 |
| America Taxable Bond Fiscal 2011 Series 2010S-1B, 6.828%, 7/15/40 | ||||
| 1,500 | New York City, New York, General Obligation Bonds, Federally Taxable Build America Bonds, | 12/20 at 100.00 | AA | 1,714,920 |
| Series 2010-F1, 6.646%, 12/01/31 | ||||
| 1,000 | New York Transportation Development Corporation, Special Facilities Bonds, LaGuardia Airport | No Opt. Call | BBB | 959,520 |
| Terminal B Redevelopment Project, Taxable Series 2016B, 3.673%, 7/01/30 | ||||
| 13,020 | Total New York | 20,282,813 | ||
| North Carolina – 1.3% (1.3% of Total Investments) | ||||
| 1,955 | North Carolina Turnpike Authority, Triangle Expressway System State Annual Appropriation | 1/19 at 100.00 | AA | 2,105,496 |
| Revenue Bonds, Federally Taxable Issuer Subsidy Build America Bonds, Series 2009B, | ||||
| 6.700%, 1/01/39 | ||||
| Ohio – 7.2% (6.8% of Total Investments) | ||||
| 1,500 | American Municipal Power Inc., Ohio, Meldahl Hydroelectric Projects Revenue Bonds, Build | No Opt. Call | A | 2,048,190 |
| America Bond Series 2010B, 7.499%, 2/15/50 | ||||
| 2,690 | American Municipal Power Ohio Inc., Prairie State Energy Campus Project Revenue Bonds, Build | No Opt. Call | A1 | 3,185,337 |
| America Bond Series 2009C, 6.053%, 2/15/43 | ||||
| 2,850 | Northeast Ohio Regional Sewer District, Wastewater Improvement Revenue Bonds, Build America | 11/20 at 100.00 | AA+ | 3,201,633 |
| Taxable Bonds, Series 2010, 6.038%, 11/15/40 | ||||
| 3,075 | Port of Greater Cincinnati Development Authority, Ohio, Special Obligation TIF Revenue Bonds, | 1/26 at 100.00 | N/R | 2,968,082 |
| Cooperative Township Public Parking, Kenwood Collection Redevelopment, Senior Lien Series | ||||
| 2016A, 6.600%, 1/01/39 | ||||
| 10,115 | Total Ohio | 11,403,242 | ||
| Pennsylvania – 2.0% (1.9% of Total Investments) | ||||
| 2,715 | Pennsylvania Turnpike Commission, Turnpike Revenue Bonds, Build America Taxable Bonds, Series | No Opt. Call | A1 | 3,253,330 |
| 2010B, 5.511%, 12/01/45 |
28 NUVEEN
| Principal | Optional Call | |||||
| Amount (000) | Description (1) | Provisions (2) | Ratings (3) | Value | ||
| South Carolina – 4.9% (4.6% of Total Investments) | ||||||
| $ 155 | South Carolina Public Service Authority, Electric System Revenue Bonds, Santee Cooper, | No Opt. Call | AA– | $ 240,211 | ||
| Federally Taxable Build America Tender Option Bond Trust 2016-XFT909, 26.230%, 1/01/50 (IF) | ||||||
| 6,735 | South Carolina Public Service Authority, Electric System Revenue Bonds, Santee Cooper, Series | No Opt. Call | AA– | 7,475,513 | ||
| 2010C, 6.454%, 1/01/50 (UB) | ||||||
| 6,890 | Total South Carolina | 7,715,724 | ||||
| Tennessee – 3.4% (3.2% of Total Investments) | ||||||
| 4,060 | Metropolitan Government Nashville & Davidson County Convention Center Authority, Tennessee, | No Opt. Call | Aa3 | 5,322,904 | ||
| Tourism Tax Revenue Bonds, Build America Taxable Bonds, Subordinate Lien Series 2010B, | ||||||
| 6.731%, 7/01/43 | ||||||
| Texas – 6.9% (6.5% of Total Investments) | ||||||
| 1,000 | Bexar County Hospital District, Texas, Certificates of Obligation, Taxable Build America Bond | 2/19 at 100.00 | AA+ | 1,085,210 | ||
| Series 2009B, 6.904%, 2/15/39 | ||||||
| 2,520 | Dallas Area Rapid Transit, Texas, Sales Tax Revenue Bonds, Build America Taxable Bonds, Series | No Opt. Call | AA+ | 3,264,106 | ||
| 2009B, 5.999%, 12/01/44 | ||||||
| 2,000 | Dallas Convention Center Hotel Development Corporation, Texas, Hotel Revenue Bonds, Build | No Opt. Call | A– | 2,597,320 | ||
| America Taxable Bonds, Series 09B, 7.088%, 1/01/42 | ||||||
| 1,000 | Houston, Texas, General Obligation Bonds, Public Improvement, Build America Bond Series 2010B, | 3/20 at 100.00 | AA | 1,102,010 | ||
| 6.319%, 3/01/30 | ||||||
| 2,500 | North Texas Tollway Authority, System Revenue Bonds, Taxable Build America Bonds, Series | 2/20 at 100.00 | Baa2 | 2,893,375 | ||
| 2010-B2, 8.910%, 2/01/30 | ||||||
| 9,020 | Total Texas | 10,942,021 | ||||
| Virginia – 3.1% (2.9% of Total Investments) | ||||||
| 1,110 | Metropolitan Washington Airports Authority, Virginia, Dulles Toll Road Second Senior Lien | No Opt. Call | BBB+ | 1,573,913 | ||
| Revenue Bonds, Build America Bonds, Series 2009D, 7.462%, 10/01/46 – AGC Insured | ||||||
| 4,020 | Tobacco Settlement Financing Corporation of Virginia, Tobacco Settlement Asset Backed Bonds, | 6/17 at 100.00 | B– | 3,369,886 | ||
| Refunding Senior Lien Series 2007A, 6.706%, 6/01/46 | ||||||
| 5,130 | Total Virginia | 4,943,799 | ||||
| Washington – 2.3% (2.2% of Total Investments) | ||||||
| 2,935 | Washington State Convention Center Public Facilities District, Lodging Tax Revenue Bonds, | No Opt. Call | Aa3 | 3,728,389 | ||
| Build America Taxable Bond Series 2010B, 6.790%, 7/01/40 | ||||||
| West Virginia – 1.4% (1.3% of Total Investments) | ||||||
| 2,315 | Tobacco Settlement Finance Authority, West Virginia, Tobacco Settlement Asset-Backed Bonds, | 6/25 at 100.00 | B2 | 2,218,904 | ||
| Taxable Turbo Series 2007A, 7.467%, 6/01/47 | ||||||
| $ 125,690 | Total Municipal Bonds (cost $131,656,622) | 166,316,771 | ||||
| Principal | ||||||
| Amount (000) | Description (1) | Coupon | Maturity | Ratings (3) | Value | |
| CORPORATE BONDS – 0.8% (0.8% of Total Investments) | ||||||
| Diversified Consumer Services – 0.8% (0.8% of Total Investments) | ||||||
| $ 1,300 | BCOM Investment Partners LLC, Taxable Notes, Burrell College of Osteopathic | 7.500% | 9/01/45 | N/R | $ 1,312,120 | |
| Medicine, Series 2015, 144A | ||||||
| $ 1,300 | Total Corporate Bonds (cost $1,300,000) | 1,312,120 | ||||
| Total Long-Term Investments (cost $132,956,622) | 167,628,891 | |||||
| Borrowings – (7.5)% (6), (7) | (12,000,000) | |||||
| Floating Rate Obligations – (3.4)% | (5,390,000) | |||||
| Other Assets Less Liabilities – 5.4% (8) | 8,619,319 | |||||
| Net Assets Applicable to Common Shares – 100% | $ 158,858,210 | |||||
NUVEEN 29
| NBD | ||
| Nuveen Build America Bond Opportunity Fund | ||
Portfolio of Investments (continued) | March 31, 2017 |
| Investments in Derivatives as of March 31, 2017 | ||||||||||||||||||||||
| Interest Rate Swaps (OTC Uncleared) | ||||||||||||||||||||||
| Fund | Fixed Rate | Optional | Unrealized | |||||||||||||||||||
| Notional | Pay/Receive | Floating Rate | Fixed Rate | Payment | Effective | Termination | Termination | Appreciation | ||||||||||||||
| Counterparty | Amount | Floating Rate | Index | (Annualized) | Frequency | Date (9) | Date | Date | Value | (Depreciation) | ||||||||||||
| Barclays Bank PLC | $ | 29,500,000 | Receive | 1-Month USD- | 1.655 | % | Monthly | 7/03/17 | 6/01/18 | 6/01/20 | $ | (155,838 | ) | $ | (647,338 | ) | ||||||
| LIBOR-ICE | ||||||||||||||||||||||
| Interest Rate Swaps (OTC Cleared) | |||||||||||||||||||||||||
| Variation | |||||||||||||||||||||||||
| Fund | Fixed Rate | Optional | Margin | Unrealized | |||||||||||||||||||||
| Notional | Pay/Receive | Floating Rate | Fixed Rate | Payment | Effective | Termination | Termination | Receivable/ | Appreciation | ||||||||||||||||
| Clearing Broker | Amount | Floating Rate | Index | (Annualized) | Frequency | Date (9) | Date | Date | (Payable) | (Depreciation) | |||||||||||||||
| Citigroup Global | $ | 34,200,000 | Receive | 3-Month USD- | 1.972 | % | Semi-Annually | 4/13/17 | N/A | 4/13/27 | $ | (48,539 | ) | $ | 1,308,896 | ||||||||||
| Markets Inc.* | LIBOR-ICE | ||||||||||||||||||||||||
| Citigroup Global | 15,500,000 | Receive | 3-Month USD- | 2.769 | Semi-Annually | 1/10/18 | N/A | 1/10/40 | (23,905 | ) | (183,293 | ) | |||||||||||||
| Markets Inc.* | LIBOR-ICE | ||||||||||||||||||||||||
| Citigroup Global | 11,900,000 | Receive | 3-Month USD- | 1.731 | Semi-Annually | 8/11/17 | N/A | 8/11/46 | (9,214 | ) | 2,389,148 | ||||||||||||||
| Markets Inc.* | LIBOR-ICE | ||||||||||||||||||||||||
| Citigroup Global | 9,500,000 | Receive | 3-Month USD- | 1.775 | Semi-Annually | 8/25/17 | 7/06/26 | (10) | 8/25/46 | (7,492 | ) | 1,822,280 | |||||||||||||
| Markets Inc.* | LIBOR-ICE | ||||||||||||||||||||||||
| $ | 71,100,000 | $ | (89,150 | ) | $ | 5,337,031 | |||||||||||||||||||
| * | LCH.Clearnet Ltd is the clearing house for this transaction. |
| (1) | All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted. |
| (2) | Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. Optional Call Provisions are not covered by the report of independent registered public accounting firm. |
| (3) | For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. Ratings are not covered by the report of independent registered public accounting firm. |
| (4) | Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives and/or 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. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. |
| (6) | Borrowings as a percentage of Total Investments is 7.2%. |
| (7) | The Fund may pledge up to 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives, when applicable) as collateral for borrowings. |
| (8) | 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. |
| (9) | Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each contract. |
| (10) | This interest rate swap has an optional early termination date beginning on July 6, 2026 and every five years thereafter through the termination date as specified in the swap contract. |
| (ETM) | Escrowed to maturity. |
| (IF) | Inverse floating rate investment. |
| (UB) | Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Note 3 – Portfolio Securities and Investments in Derivatives, Inverse Floating Rate Securities for more information. |
| 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. |
| N/A | Not applicable. |
| USD-LIBOR-ICE | United States Dollar-London Inter-Bank Offered Rate-Intercontinental Exchange |
30 NUVEEN
| Statement of | ||||||||
| Assets and Liabilities | ||||||||
| March 31, 2017 | ||||||||
| NBB | NBD | |||||||
| Assets | ||||||||
| Long-term investments, at value (cost $609,575,483 and $132,956,622, respectively) | $ | 685,759,137 | $ | 167,628,891 | ||||
| Cash | 39,064 | 86,461 | ||||||
Cash collateral at brokers(1) | 10,339,216 | 6,565,375 | ||||||
| Interest rate swaps premiums paid | 1,720,000 | 491,500 | ||||||
| Receivable for interest | 11,850,045 | 3,072,688 | ||||||
| Other assets | 52,200 | 7,908 | ||||||
| Total assets | 709,759,662 | 177,852,823 | ||||||
| Liabilities | ||||||||
| Borrowings | 90,175,000 | 12,000,000 | ||||||
| Floating rate obligations | 47,700,000 | 5,390,000 | ||||||
| Unrealized depreciation on interest rate swaps | 1,993,646 | 647,338 | ||||||
| Payable for: | ||||||||
| Common share dividends | 2,657,414 | 669,106 | ||||||
| Variation margin on swap contracts | 100,269 | 89,150 | ||||||
| Accrued expenses: | ||||||||
| Management fees | 397,505 | 116,410 | ||||||
| Interest on borrowings | 128,016 | 17,036 | ||||||
| Trustees fees | 35,914 | 1,029 | ||||||
| Other | 140,323 | 64,544 | ||||||
| Total liabilities | 143,328,087 | 18,994,613 | ||||||
| Net assets applicable to common shares | $ | 566,431,575 | $ | 158,858,210 | ||||
| Common shares outstanding | 26,461,985 | 7,205,250 | ||||||
| Net asset value (“NAV”) per common share outstanding | $ | 21.41 | $ | 22.05 | ||||
| Net assets applicable to common shares consist of: | ||||||||
| Common shares, $0.01 par value per share | $ | 264,620 | $ | 72,053 | ||||
| Paid-in surplus | 504,137,905 | 137,235,390 | ||||||
| Undistributed (Over-distribution of) net investment income | (5,170,222 | ) | (905,396 | ) | ||||
| Accumulated net realized gain (loss) | (13,236,909 | ) | (16,905,799 | ) | ||||
| Net unrealized appreciation (depreciation) | 80,436,181 | 39,361,962 | ||||||
| Net assets applicable to common shares | $ | 566,431,575 | $ | 158,858,210 | ||||
| Authorized common shares | Unlimited | Unlimited | ||||||
(1) Cash pledged to collateralize the net payment obligations for investments in derivatives is in addition to the Fund’s securities pledged as collateral as noted in the Fund’s Portfolio of Investments.
See accompanying notes to financial statements.
NUVEEN 31
| Statement of | ||
| Operations | ||
| Year Ended March 31, 2017 | ||
| NBB | NBD | |||||||
| Investment Income | $ | 39,482,325 | $ | 10,281,824 | ||||
| Expenses | ||||||||
| Management fees | 4,807,046 | 1,400,276 | ||||||
| Interest expense | 1,967,391 | 258,341 | ||||||
| Custodian fees | 82,668 | 38,049 | ||||||
| Trustees fees | 20,677 | 5,417 | ||||||
| Professional fees | 63,768 | 43,679 | ||||||
| Shareholder reporting expenses | 93,172 | 26,066 | ||||||
| Shareholder servicing agent fees | 170 | 170 | ||||||
| Stock exchange listing fees | 8,246 | 7,600 | ||||||
| Investor relations expenses | 78,079 | 19,902 | ||||||
| Other | 25,692 | 15,620 | ||||||
| Total expenses | 7,146,909 | 1,815,120 | ||||||
| Net investment income (loss) | 32,335,416 | 8,466,704 | ||||||
| Realized and Unrealized Gain (Loss) | ||||||||
| Net realized gain (loss) from: | ||||||||
| Investments | 9,021,575 | 3,911,152 | ||||||
| Swaps | (12,401,642 | ) | (6,101,967 | ) | ||||
| Change in net unrealized appreciation (depreciation) of: | ||||||||
| Investments | (32,445,791 | ) | (11,702,541 | ) | ||||
| Swaps | 19,301,957 | 11,055,503 | ||||||
| Net realized and unrealized gain (loss) | (16,523,901 | ) | (2,837,853 | ) | ||||
| Net increase (decrease) in net assets applicable to common shares from operations | $ | 15,811,515 | $ | 5,628,851 | ||||
See accompanying notes to financial statements.
32 NUVEEN
| Statement of | |||||||
| Changes in Net Assets | |||||||
| NBB | NBD | ||||||
| Year | Year | Year | Year | ||||
| Ended | Ended | Ended | Ended | ||||
| 3/31/17 | 3/31/16 | 3/31/17 | 3/31/16 | ||||
| Operations | |||||||
| Net investment income (loss) | $ 32,335,416 | $ 34,024,600 | $ 8,466,704 | $ 9,142,234 | |||
| Net realized gain (loss) from: | |||||||
| Investments | 9,021,575 | 5,915,107 | 3,911,152 | 1,463,713 | |||
| Swaps | (12,401,642) | (15,344,674) | (6,101,967) | (6,599,965) | |||
| Change in net unrealized appreciation (depreciation) of: | |||||||
| Investments | (32,445,791) | (21,555,569) | (11,702,541) | (6,096,820) | |||
| Swaps | 19,301,957 | 5,259,280 | 11,055,503 | 1,252,886 | |||
| Net increase (decrease) in net assets applicable to common shares | |||||||
| from operations | 15,811,515 | 8,298,744 | 5,628,851 | (837,952) | |||
| Distributions to Common Shareholders | |||||||
| From net investment income | (33,977,189) | (35,776,604) | (8,790,405) | (9,460,493) | |||
| Decrease in net assets applicable to common shares from distributions | |||||||
| to common shareholders | (33,977,189) | (35,776,604) | (8,790,405) | (9,460,493) | |||
| Net increase (decrease) in net assets applicable to common shares | (18,165,674) | (27,477,860) | (3,161,554) | (10,298,445) | |||
| Net assets applicable to common shares at the beginning of period | 584,597,249 | 612,075,109 | 162,019,764 | 172,318,209 | |||
| Net assets applicable to common shares at the end of period | $566,431,575 | $584,597,249 | $158,858,210 | $162,019,764 | |||
| Undistributed (Over-distribution of) net investment income at the | |||||||
| end of period | $ (5,170,222) | $ (4,037,456) | $ (905,396) | $ (745,589) | |||
See accompanying notes to financial statements.
NUVEEN 33
| Statement of | ||||||||
| Cash Flows | ||||||||
| Year Ended March 31, 2017 | ||||||||
| NBB | NBD | |||||||
| Cash Flows from Operating Activities: | ||||||||
| Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations | $ | 15,811,515 | $ | 5,628,851 | ||||
| Adjustments to reconcile the net increase (decrease) in net assets applicable to | ||||||||
| common shares from operations to net cash provided by (used in) operating activities: | ||||||||
| Purchases of investments | (78,299,580 | ) | (31,928,141 | ) | ||||
| Proceeds from sales and maturities of investments | 74,410,822 | 29,487,065 | ||||||
| Proceeds from (Purchases of) short-term investments, net | 603,079 | — | ||||||
| Proceeds from (Payments for) swap contracts, net | (12,401,642 | ) | (6,101,967 | ) | ||||
| Premiums received (paid) for interest rate swaps | (1,117,587 | ) | (325,003 | ) | ||||
| Amortization (Accretion) of premiums and discounts, net | 1,316,116 | 152,595 | ||||||
| (Increase) Decrease in: | ||||||||
| Cash collateral at brokers | 4,901,291 | 608,773 | ||||||
| Receivable for interest | (15,407 | ) | (8,661 | ) | ||||
| Other assets | 21,144 | 6,026 | ||||||
| Increase (Decrease) in: | ||||||||
| Payable for variation margin on swap contracts | (577,175 | ) | (287,214 | ) | ||||
| Accrued management fees | (7,855 | ) | (846 | ) | ||||
| Accrued interest on borrowings | 32,775 | 4,479 | ||||||
| Accrued Trustees fees | 3,462 | (84 | ) | |||||
| Accrued other expenses | 9,751 | 3,307 | ||||||
| Net realized (gain) loss from: | ||||||||
| Investments | (9,021,575 | ) | (3,911,152 | ) | ||||
| Swaps | 12,401,642 | 6,101,967 | ||||||
| Change in net unrealized (appreciation) depreciation of: | ||||||||
| Investments | 32,445,791 | 11,702,541 | ||||||
Swaps(1) | (1,557,946 | ) | (466,056 | ) | ||||
| Net cash provided by (used in) operating activities | 38,958,621 | 10,666,480 | ||||||
| Cash Flows from Financing Activities: | ||||||||
| Proceeds from borrowings | 675,000 | 200,000 | ||||||
| Increase (Decrease) in: | ||||||||
| Cash overdraft | — | (100,671 | ) | |||||
| Floating rate obligations | (5,390,000 | ) | (1,800,000 | ) | ||||
| Cash distributions paid to common shareholders | (34,204,557 | ) | (8,879,348 | ) | ||||
| Net cash provided by (used in) financing activities | (38,919,557 | ) | (10,580,019 | ) | ||||
| Net Increase (Decrease) in Cash | 39,064 | 86,461 | ||||||
| Cash at the beginning of period | — | — | ||||||
| Cash at the end of period | $ | 39,064 | $ | 86,461 | ||||
| NBB | NBD | |||||||
| Cash paid for interest (excluding borrowing costs) | $ | 1,829,604 | $ | 233,854 | ||||
(1) Excluding over-the-counter cleared swaps. | ||||||||
See accompanying notes to financial statements.
34 NUVEEN
THIS PAGE INTENTIONALLY LEFT BLANK
NUVEEN 35
Financial
Highlights
| Selected data for a common share outstanding throughout each period: | ||||||||||||||||||||||||||||||||||||
| Less Distributions | ||||||||||||||||||||||||||||||||||||
| Investment Operations | to Common Shareholders | Common Share | ||||||||||||||||||||||||||||||||||
| Beginning | Net | Net | From | From | ||||||||||||||||||||||||||||||||
| Common | Investment | Realized/ | Net | Accumulated | Ending | |||||||||||||||||||||||||||||||
| Share | Income | Unrealized | Investment | Net Realized | Ending | Share | ||||||||||||||||||||||||||||||
| NAV | (Loss)(a) | Gain (Loss) | Total | Income | Gains | Total | NAV | Price | ||||||||||||||||||||||||||||
| NBB | ||||||||||||||||||||||||||||||||||||
| Year Ended 3/31: | ||||||||||||||||||||||||||||||||||||
| 2017 | $ | 22.09 | $ | 1.22 | $ | (0.62 | ) | $ | 0.60 | $ | (1.28 | ) | $ | — | $ | (1.28 | ) | $ | 21.41 | $ | 20.90 | |||||||||||||||
| 2016 | 23.13 | 1.29 | (0.98 | ) | 0.31 | (1.35 | ) | — | (1.35 | ) | 22.09 | 21.59 | ||||||||||||||||||||||||
| 2015 | 21.45 | 1.37 | 1.70 | 3.07 | (1.39 | ) | — | (1.39 | ) | 23.13 | 21.24 | |||||||||||||||||||||||||
| 2014 | 22.60 | 1.39 | (1.14 | ) | 0.25 | (1.40 | ) | — | (1.40 | ) | 21.45 | 19.62 | ||||||||||||||||||||||||
| 2013 | 21.39 | 1.35 | 1.17 | 2.52 | (1.31 | ) | — | (1.31 | ) | 22.60 | 20.97 | |||||||||||||||||||||||||
| NBD | ||||||||||||||||||||||||||||||||||||
| Year Ended 3/31: | ||||||||||||||||||||||||||||||||||||
| 2017 | 22.49 | 1.18 | (0.40 | ) | 0.78 | (1.22 | ) | — | (1.22 | ) | 22.05 | 21.63 | ||||||||||||||||||||||||
| 2016 | 23.92 | 1.27 | (1.39 | ) | (0.12 | ) | (1.31 | ) | — | (1.31 | ) | 22.49 | 21.52 | |||||||||||||||||||||||
| 2015 | 22.68 | 1.37 | 1.24 | 2.61 | (1.37 | ) | �� | (1.37 | ) | 23.92 | 21.72 | |||||||||||||||||||||||||
| 2014 | 23.92 | 1.40 | (1.29 | ) | 0.11 | (1.35 | ) | — | (1.35 | ) | 22.68 | 20.50 | ||||||||||||||||||||||||
| 2013 | 22.56 | 1.34 | 1.31 | 2.65 | (1.29 | ) | — | (1.29 | ) | 23.92 | 22.12 | |||||||||||||||||||||||||
| Borrowings at the End of Period | ||||||||
| Aggregate | ||||||||
| Amount | Asset | |||||||
| Outstanding | Coverage | |||||||
| (000 | ) | Per $1,000 | ||||||
| NBB | ||||||||
| Year Ended 3/31: | ||||||||
| 2017 | $ | 90,175 | $ | 7,281 | ||||
| 2016 | 89,500 | 7,532 | ||||||
| 2015 | 89,500 | 7,839 | ||||||
| 2014 | 89,000 | 7,379 | ||||||
| 2013 | 89,000 | 7,720 | ||||||
| NBD | ||||||||
| Year Ended 3/31: | ||||||||
| 2017 | 12,000 | 14,238 | ||||||
| 2016 | 11,800 | 14,730 | ||||||
| 2015 | 11,800 | 15,603 | ||||||
| 2014 | 11,500 | 15,208 | ||||||
| 2013 | 11,500 | 15,985 | ||||||
36 NUVEEN
| Common Share Supplemental Data/ | ||||||||||||||||||||||
| Ratios Applicable to Common Shares | ||||||||||||||||||||||
| Common Share | ||||||||||||||||||||||
| Total Returns | Ratios to Average Net Assets(c) | |||||||||||||||||||||
| Based on | Ending | Net | Portfolio | |||||||||||||||||||
| Based on | Share | Net | Investment | Turnover | ||||||||||||||||||
| NAV | (b) | Price | (b) | Assets (000) | Expenses | (d) | Income (Loss) | Rate | (e) | |||||||||||||
| 2.66 | % | 2.70 | % | $ | 566,432 | 1.21 | % | 5.48 | % | 11 | % | |||||||||||
| 1.63 | 8.66 | 584,597 | 1.13 | 5.93 | 16 | |||||||||||||||||
| 14.61 | 15.75 | 612,075 | 1.07 | 6.04 | 13 | |||||||||||||||||
| 1.44 | 0.63 | 567,690 | 1.12 | 6.63 | 6 | |||||||||||||||||
| 12.05 | 10.57 | 598,113 | 1.10 | 6.10 | 7 | |||||||||||||||||
| 3.39 | 6.25 | 158,858 | 1.10 | 5.13 | 17 | |||||||||||||||||
| (0.25 | ) | 5.68 | 162,020 | 1.08 | 5.73 | 11 | ||||||||||||||||
| 11.70 | 12.86 | 172,318 | 1.02 | 5.77 | 6 | |||||||||||||||||
| 0.76 | (0.85 | ) | 163,391 | 1.08 | 6.34 | 4 | ||||||||||||||||
| 11.97 | 11.88 | 172,331 | 1.07 | 5.74 | 4 | |||||||||||||||||
| (a) | Per share Net Investment Income (Loss) is calculated using the average daily shares method. |
| (b) | Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized. |
| Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized. | |
| (c) | Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to borrowings, where applicable. |
| (d) | The expense ratios reflect, among other things, all interest expense and other costs related to borrowings (as described in Note 8 – Borrowing Arrangements) and/or 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 (as described in Note 3 – Portfolio Securities and Investments in Derivatives, Inverse Floating Rate Securities), where applicable, as follows: |
| NBB | NBD | ||||||
| Year Ended 3/31: | Year Ended 3/31: | ||||||
| 2017 | 0.33 | % | 2017 | 0.16 | % | ||
| 2016 | 0.22 | 2016 | 0.10 | ||||
| 2015 | 0.19 | 2015 | 0.09 | ||||
| 2014 | 0.22 | 2014 | 0.11 | ||||
| 2013 | 0.22 | 2013 | 0.10 |
| (e) | Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period. |
See accompanying notes to financial statements.
NUVEEN 37
Notes to
Financial Statements
1. General Information and Significant Accounting Policies
General Information
Fund Information
The funds covered in this report and their corresponding New York Stock Exchange (“NYSE”) symbols are as follows (each a “Fund” and collectively, the “Funds”):
| · | Nuveen Build America Bond Fund (NBB) |
| · | Nuveen Build America Bond Opportunity Fund (NBD) |
The Funds are registered under the Investment Company Act of 1940, as amended, as diversified closed-end management investment companies. NBB and NBD were organized as Massachusetts business trusts on December 4, 2009 and June 4, 2010, respectively.
The end of the reporting period for the Funds is March 31, 2017, and the period covered by these Notes to Financial Statements is the fiscal year ended March 31, 2017 (the “current fiscal period”).
Investment Adviser
The Funds’ investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a subsidiary of Nuveen, LLC (“Nuveen”). Nuveen is the investment management arm of Teachers Insurance and Annuity Association of America (TIAA). The Adviser has overall responsibility for management of the Funds, oversees the management of the Funds’ portfolios, manages the Funds’ business affairs and provides certain clerical, bookkeeping and other administrative services, and, if necessary, asset allocation decisions. The Adviser has entered into sub-advisory agreements with Nuveen Asset Management, LLC (the “Sub-Adviser”), a subsidiary of the Adviser, under which the Sub-Adviser manages the investment portfolios of the Funds.
Investment Objectives and Principal Investment Strategies
Each Fund’s primary investment objective is to provide current income through investments in taxable municipal securities. Each Fund’s secondary investment objective is to seek enhanced portfolio value and total return. The Funds seek to achieve their investment objectives by investing primarily in a diversified portfolio of taxable municipal securities known as Build America Bonds (“BABs”), which make up approximately 80% of their managed assets (as defined in Note 7 – Management Fees and Other Transactions with Affiliates). BABs are taxable municipal securities that include bonds issued by state and local governments to finance capital projects such as public schools, roads, transportation infrastructure, bridges, ports and public buildings, among others, pursuant to the American Recovery and Reinvestment Act of 2009, which offer municipal issuers a federal subsidy equal to 35% of a bond’s interest payments. Under normal circumstances, the Funds may invest 20% of their managed assets in securities other than BABs, including taxable and tax-exempt municipal securities, U.S. Treasury and other U.S. government agency securities. At least 80% of each Fund’s managed assets will be invested in securities that are investment grade quality at the time of purchase, as rated by at least one independent rating agency or judged to be of comparable quality by the Sub-Adviser. In addition, each Fund will use an integrated leverage and hedging strategy so that the Fund has the potential to enhance income and risk-adjusted total return over time. Each Fund may employ leverage instruments such as bank borrowings, including loans from certain financial institutions, and portfolio investments that have the economic effect of leverage, including investments in inverse floating rate securities. Each Fund’s overall goal is to outperform over time the Barclays Build America Bond Index, an unleveraged index representing the BABs market, while maintaining a comparable overall level of interest rate risk.
The BAB program expired on December 31, 2010, and was not renewed. NBB and NBD each have contingent term provisions stating that if there are no new issuances of BABs or similar U.S. Treasury-subsidized taxable municipal bonds for any twenty-four month period ending on or before December 31, 2014, NBB and NBD will terminate on or around June 30, 2020, and December 31, 2020, respectively. Since there has been no new issuance of BABs for a twenty-four month period, the Funds are currently being managed in line with these termination dates and the distribution of each Fund’s assets to shareholders is planned for those times.
Significant Accounting Policies
Each Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946 “Financial Services – Investment Companies.” The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”).
Investment Transactions
Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same basis used for federal income tax purposes. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have earmarked securities in their portfolios with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments.
38 NUVEEN
As of the end of the reporting period, the Funds did not have any outstanding when-issued/delayed delivery purchase commitments.
Investment Income
Investment income, which reflects the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Investment income also reflects paydown gains and losses, if any.
Professional Fees
Professional fees presented on the Statement of Operations consist of legal fees incurred in the normal course of operations, audit fees, tax consulting fees and, in some cases, workout expenditures. Workout expenditures are incurred in an attempt to protect or enhance an investment or to pursue other claims or legal actions on behalf of Fund shareholders. If a refund is received for workout expenditures paid in a prior reporting period, such amounts will be recognized as “Legal fee refund” on the Statement of Operations.
Dividends and Distributions to Common Shareholders
Dividends from net investment income, if any, are declared monthly. Net realized capital gains from investment transactions, if any, are distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.
Distributions to common shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.
Compensation
The Funds pay 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 Funds from the Adviser or its affiliates. The Funds’ Board of Trustees (the “Board”) has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen-advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen-advised funds.
Indemnifications
Under the Funds’ organizational documents, their officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
Netting Agreements
In the ordinary course of business, the Funds have entered into transactions subject to enforceable master repurchase agreements, International Swaps and Derivative Association, Inc. (“ISDA”) master agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows each Fund to offset certain securities and derivatives with a specific counterparty, when applicable, as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, each Fund manages its cash collateral and securities collateral on a counterparty basis.
The Funds’ investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 3 – Portfolio Securities and Investments in Derivatives.
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets applicable to common shares from operations during the reporting period. Actual results may differ from those estimates.
2. Investment Valuation and Fair Value Measurements
The fair valuation input levels as described below are for fair value measurement purposes.
Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.
NUVEEN 39
Notes to Financial Statements (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, prepayment speeds, credit risk, etc.).
Level 3 – Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
Prices of fixed income securities are provided by an independent pricing service (“pricing service”) approved by the Board. The pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2. In pricing certain securities, particularly less liquid and lower quality securities, the pricing service may consider information about a security, its issuer or market activity, provided by the Adviser. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs.
Prices of swap contracts are also provided by a pricing service approved by the Board using the same methods as described above and are generally classified as Level 2.
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 net asset value (“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 securities 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:
| NBB | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Long-Term Investments*: | ||||||||||||||||
| Municipal Bonds | $ | — | $ | 682,716,028 | $ | — | $ | 682,716,028 | ||||||||
| Corporate Bonds | — | 3,043,109 | — | 3,043,109 | ||||||||||||
| Investments in Derivatives: | ||||||||||||||||
| Interest Rate Swaps** | — | 4,252,527 | — | 4,252,527 | ||||||||||||
| Total | $ | — | $ | 690,011,664 | $ | — | $ | 690,011,664 | ||||||||
| NBD | ||||||||||||||||
| Long-Term Investments*: | ||||||||||||||||
| Municipal Bonds | $ | — | $ | 166,316,771 | $ | — | $ | 166,316,771 | ||||||||
| Corporate Bonds | — | 1,312,120 | — | 1,312,120 | ||||||||||||
| Investments in Derivatives: | ||||||||||||||||
| Interest Rate Swaps** | — | 4,689,693 | — | 4,689,693 | ||||||||||||
| Total | $ | — | $ | 172,318,584 | $ | — | $ | 172,318,584 | ||||||||
| * | Refer to the Fund’s Portfolio of Investments for state and/or industry classifications. |
| ** | Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments. |
The Board is responsible for the valuation process and has appointed the oversight of the daily valuation process to the Adviser’s Valuation Committee. The Valuation Committee, pursuant to the valuation policies and procedures adopted by the Board, is responsible for making fair value determinations, evaluating the effectiveness of the Funds’ pricing policies and reporting to the Board. The Valuation Committee is aided in its efforts by the Adviser’s dedicated Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Funds, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.
40 NUVEEN
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making a fair value determination, based on the facts and circumstances specific to the portfolio instrument. Fair value determinations generally will be derived as follows, using public or private market information:
| (i) | If available, fair value determinations shall be derived by extrapolating from recent transactions or quoted prices for identical or comparable securities. |
| (ii) | If such information is not available, an analytical valuation methodology may be used based on other available information including, but not limited to: analyst appraisals, research reports, corporate action information, issuer financial statements and shelf registration statements. Such analytical valuation methodologies may include, but are not limited to: multiple of earnings, discount from market value of a similar freely-traded security, discounted cash flow analysis, book value or a multiple thereof, risk premium/yield analysis, yield to maturity and/or fundamental investment analysis. |
The purchase price of a portfolio instrument will be used to fair value the instrument only if no other valuation methodology is available or deemed appropriate, and it is determined that the purchase price fairly reflects the instrument’s current value.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Board.
3. Portfolio Securities and Investments in Derivatives
Portfolio Securities
Inverse Floating Rate Securities
Each Fund is authorized to invest in inverse floating rate securities. An inverse floating rate security is created by depositing a municipal bond (referred to as an “Underlying Bond”), typically with a fixed interest rate, into a special purpose tender option bond (“TOB”) trust (referred to as the “TOB Trust”) created by or at the direction of one or more Funds. In turn, the TOB Trust issues (a) floating rate certificates (referred to as “Floaters”), in face amounts equal to some fraction of the Underlying Bond’s par amount or market value, and (b) an inverse floating rate certificate (referred to as an “Inverse Floater”) that represents all remaining or residual interest in the TOB Trust. Floaters typically pay short-term tax-exempt interest rates to third parties who are also provided a right to tender their certificate and receive its par value, which may be paid from the proceeds of a remarketing of the Floaters, by a loan to the TOB Trust from a third party liquidity provider (“Liquidity Provider”), or by the sale of assets from the TOB Trust. The Inverse Floater is issued to a long term investor, such as one or more of the Funds. The income received by the Inverse Floater holder varies inversely with the short-term rate paid to holders of the Floaters, and in most circumstances the Inverse Floater holder bears substantially all of the Underlying Bond’s downside investment risk and also benefits disproportionately from any potential appreciation of the Underlying Bond’s value. The value of an Inverse Floater will be more volatile than that of the Underlying Bond because the interest rate is dependent on not only the fixed coupon rate of the Underlying Bond but also on the short-term interest paid on the Floaters, and because the Inverse Floater essentially bears the risk of loss (and possible gain) of the greater face value of the Underlying Bond.
The Inverse Floater held by a Fund gives the Fund the right to (a) cause the holders of the Floaters to tender their certificates at par (or slightly more than par in certain circumstances), and (b) have the trustee of the TOB Trust (the “Trustee”) transfer the Underlying Bond held by the TOB Trust to the Fund, thereby collapsing the TOB Trust.
The Fund may acquire an Inverse Floater in a transaction where it (a) transfers an Underlying Bond that it owns to a TOB Trust created by a third party or (b) transfers an Underlying Bond that it owns, or that it has purchased in a secondary market transaction for the purpose of creating an Inverse Floater, to a TOB Trust created at its direction, and in return receives the Inverse Floater of the TOB Trust (referred to as a “self-deposited Inverse Floater”). A Fund may also purchase an Inverse Floater in a secondary market transaction from a third party creator of the TOB Trust without first owning the Underlying Bond (referred to as an “externally-deposited Inverse Floater”).
An investment in a self-deposited Inverse Floater is accounted for as a “financing” transaction (i.e., a secured borrowing). For a self-deposited Inverse Floater, the Underlying Bond deposited into the TOB Trust is identified in the Fund’s Portfolio of Investments as “(UB) – Underlying bond of an inverse floating rate trust reflected as a financing transaction,” with the Fund recognizing as liabilities, labeled “Floating rate obligations” on the Statement of Assets and Liabilities, (a) the liquidation value of Floaters issued by the TOB Trust, and (b) the amount of any borrowings by the TOB Trust from a Liquidity Provider to enable the TOB Trust to purchase outstanding Floaters in lieu of a remarketing. In addition, the Fund recognizes in “Investment Income” the entire earnings of the Underlying Bond, and recognizes (a) the interest paid to the holders of the Floaters or on the TOB Trust’s borrowings, and (b) other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust, as a component of “Interest expense” on the Statement of Operations.
NUVEEN 41
Notes to Financial Statements (continued)
In contrast, an investment in an externally-deposited Inverse Floater is accounted for as a purchase of the Inverse Floater and is identified in the Fund’s Portfolio of Investments as “(IF) – Inverse floating rate investment.” For an externally-deposited Inverse Floater, a Fund’s Statement of Assets and Liabilities recognizes the Inverse Floater and not the Underlying Bond as an asset, and the Fund does not recognize the Floaters, or any related borrowings from a Liquidity Provider, as a liability. Additionally, the Fund reflects in “Investment Income” only the net amount of earnings on the Inverse Floater (net of the interest paid to the holders of the Floaters or the Liquidity Provider as lender, and the expenses of the Trust), and does not show the amount of that interest paid or the expenses of the TOB Trust as described above as interest expense on the Statement of Operations.
Fees paid upon the creation of a TOB Trust for self-deposited Inverse Floaters and externally-deposited Inverse Floaters are recognized as part of the cost basis of the Inverse Floater and are capitalized over the term of the TOB Trust.
As of the end of the reporting period, the aggregate value of Floaters issued by each Fund’s TOB Trust for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as follows:
| Floating Rate Obligations Outstanding | NBB | NBD | ||||||
| Floating rate obligations: self-deposited Inverse Floaters | $ | 47,700,000 | $ | 5,390,000 | ||||
| Floating rate obligations: externally-deposited Inverse Floaters | 90,580,000 | 48,610,000 | ||||||
| Total | $ | 138,280,000 | $ | 54,000,000 | ||||
During the current fiscal period, the average amount of Floaters (including any borrowings from a Liquidity Provider) outstanding and the average annual interest rate and fees related to self-deposited Inverse Floaters, were as follows:
| Self-Deposited Inverse Floaters | NBB | NBD | ||||||
| Average floating rate obligations outstanding | $ | 48,305,452 | $ | 5,592,192 | ||||
| Average annual interest rate and fees | 1.16 | % | 1.17 | % | ||||
TOB Trusts are supported by a liquidity facility provided by a Liquidity Provider pursuant to which the Liquidity Provider agrees, in the event that Floaters are (a) tendered to the Trustee for remarketing and the remarketing does not occur, or (b) subject to mandatory tender pursuant to the terms of the TOB Trust agreement, to either purchase Floaters or to provide the Trustee with an advance from a loan facility to fund the purchase of Floaters by the TOB Trust. In certain circumstances, the Liquidity Provider may otherwise elect to have the Trustee sell the Underlying Bond to retire the Floaters that were tendered and not remarketed prior to providing such a loan. In these circumstances, the Liquidity Provider remains obligated to provide a loan to the extent that the proceeds of the sale of the Underlying Bond is not sufficient to pay the purchase price of the Floaters.
The size of the commitment under the loan facility for a given TOB Trust is at least equal to the balance of that TOB Trust’s outstanding Floaters plus any accrued interest. In consideration of the loan facility, fee schedules are in place and are charged by the Liquidity Provider(s). Any loans made by the Liquidity Provider will be secured by the purchased Floaters held by the TOB Trust. Interest paid on any outstanding loan balances will be effectively borne by the Fund that owns the Inverse Floaters of the TOB Trust that has incurred the borrowing and may be at a rate that is greater than the rate that would have been paid had the Floaters been successfully remarketed.
As described above, any amounts outstanding under a liquidity facility are recognized as a component of “Floating rate obligations” on the Statement of Assets and Liabilities by the Fund holding the corresponding Inverse Floaters issued by the borrowing TOB Trust. As of the end of the reporting period, there were no loans outstanding under any such facility.
Each Fund may also enter into shortfall and forbearance agreements (sometimes referred to as a “recourse arrangement” or “credit recovery swap”) (TOB Trusts involving such agreements are referred to herein as “Recourse Trusts”), under which a Fund agrees to reimburse the Liquidity Provider for the Trust’s Floaters, in certain circumstances, for the amount (if any) by which the liquidation value of the Underlying Bond held by the TOB Trust may fall short of the sum of the liquidation value of the Floaters issued by the TOB Trust plus any amounts borrowed by the TOB Trust from the Liquidity Provider, plus any shortfalls in interest cash flows. Under these agreements, a Fund’s potential exposure to losses related to or on an Inverse Floater may increase beyond the value of the Inverse Floater as a Fund may potentially be liable to fulfill all amounts owed to holders of the Floaters or the Liquidity Provider. Any such shortfall amount in the aggregate is recognized as “Unrealized depreciation on Recourse Trusts” on the Statement of Assets and Liabilities.
As of the end of the reporting period, each Fund’s maximum exposure to the Floaters issued by Recourse Trusts for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as follows:
| Floating Rate Obligations - Recourse Trusts | NBB | NBD | ||||||
| Maximum exposure to Recourse Trusts: self-deposited Inverse Floaters | $ | 47,700,000 | $ | 5,390,000 | ||||
| Maximum exposure to Recourse Trusts: externally-deposited Inverse Floaters | 90,580,000 | 48,610,000 | ||||||
| Total | $ | 138,280,000 | $ | 54,000,000 | ||||
42 NUVEEN
Zero Coupon Securities
A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.
Investments in Derivatives
In addition to the inverse floating rate securities in which each Fund may invest, which are considered portfolio securities for financial reporting purposes, each Fund is authorized to invest in certain other derivative instruments such as futures, options and swap contracts. Each Fund limits its investments in futures, options on futures and swap contracts to the extent necessary for the Adviser to claim the exclusion from registration by the Commodity Futures Trading Commission as a commodity pool operator with respect to the Fund. 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.
Interest Rate Swap Contracts
Interest rate swap contracts involve a Fund’s agreement with the counterparty to pay or receive a fixed rate payment in exchange for the counterparty receiving or paying a variable rate payment. Forward interest rate swap contracts involve a Fund’s agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the Fund a variable or fixed rate payment, the accruals for which would begin at a specified date in the future (the “effective date”).
The amount of the payment obligation is based on the notional amount and the termination date of the swap contract. Interest rate swap contracts do not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the net amount of interest payments that the Fund is to receive.
Interest rate swap contracts are valued daily. Upon entering into an interest rate swap contract (and beginning on the effective date for a forward interest rate swap contract), a Fund accrues the fixed rate payment expected to be paid or received and the variable rate payment expected to be received or paid on the interest rate swap contracts on a daily basis, and recognizes the daily change in the fair value of the Fund’s contractual rights and obligations under the contracts. For an over-the-counter (“OTC”) swap that is not cleared through a clearing house (“OTC Uncleared”), the net amount recorded on these transactions, for each counterparty, is recognized on the Statement of Assets and Liabilities as a component of “Unrealized appreciation or depreciation on interest rate swaps (, net).”
Upon the execution of an OTC swap cleared through a clearing house (“OTC Cleared”), the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash deposited by the Fund to cover initial margin requirements on open swap contracts, if any, is recognized as a component of “Cash collateral at brokers” on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate the Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “mark-to-market” of the swap contract. If the Fund has unrealized appreciation, the clearing broker will credit the Fund’s account with an amount equal to the appreciation. Conversely, if the Fund has unrealized depreciation, the clearing broker will debit the Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin for OTC Cleared swaps is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities. Upon the execution of an OTC Uncleared swap, neither the Fund nor the counterparty is required to deposit initial margin as the trades are recorded bilaterally between both parties to the swap contract, and the terms of the variation margin are subject to a predetermined threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is recognized as a component of “Unrealized appreciation or depreciation on interest rate swaps (, net)” as described in the preceding paragraph.
The net amount of periodic payments settled in cash are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations, in addition to the net realized gain or loss recorded upon the termination of the swap contract. For tax purposes, payments expected to be received or paid on the swap contacts are treated as ordinary income or expense, respectively. Changes in the value of the swap contracts during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps” on the Statement of Operations. In certain instances, payments are made or received upon entering into the swap contract to compensate for differences between the stated terms of the swap agreements and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Payments received or made at the beginning of the measurement period, if any, are recognized as “Interest rate swaps premiums paid and/or received” on the Statement of Assets and Liabilities.
During the current fiscal period, each Fund continued to use swap contracts to reduce the duration of its bond portfolio as well as to fix its interest cost of leverage.
NUVEEN 43
Notes to Financial Statements (continued)
The average notional amount of interest rate swap contracts outstanding during the current fiscal period was as follows:
| NBB | NBD | |
| Average notional amount of interest rate swap contracts outstanding* | $207,840,000 | $100,500,000 |
* The average notional amount is calculated based on the outstanding notional at the beginning of the fiscal period and at the end of each fiscal quarter within the current fiscal period.
The following table presents the fair value of all swap 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 | |||||||||||||||
| Underlying | Derivative | Asset Derivatives | (Liability) Derivatives | ||||||||||||
| Risk Exposure | Instrument | Location | Value | Location | Value | ||||||||||
| NBB | |||||||||||||||
| Unrealized depreciation on interest | |||||||||||||||
| Interest rate | Swaps (OTC Uncleared) | — | $ | — | rate swaps | $ | (1,993,646 | ) | |||||||
| Payable for variation | |||||||||||||||
| Interest rate | Swaps (OTC Cleared) | — | — | margin on swap contracts** | 6,807,878 | ||||||||||
| Payable for variation | |||||||||||||||
| margin on swap contracts** | (561,705 | ) | |||||||||||||
| Total | $ | — | $ | 4,252,527 | |||||||||||
| NBD | |||||||||||||||
| Unrealized depreciation on interest | |||||||||||||||
| Interest rate | Swaps (OTC Uncleared) | — | $ | — | rate swaps | $ | (647,338 | ) | |||||||
| Payable for variation | |||||||||||||||
| Interest rate | Swaps (OTC Cleared) | — | — | margin on swap contracts** | 5,520,324 | ||||||||||
| Payable for variation | |||||||||||||||
| margin on swap contracts** | (183,293 | ) | |||||||||||||
| Total | $ | — | $ | 4,689,693 | |||||||||||
** Value represents the unrealized appreciation (depreciation) of swaps as reported in the Fund’s Portfolio of Investments and not the asset and/or liability amount as described in the table above.
The following tables present the Funds’ swap contracts subject to netting agreements and the collateral delivered related to those swap contracts, as of end of the reporting period.
| Gross Amount Not Offset | |||||||||||||||||||||||||||||
| on the Statement of | |||||||||||||||||||||||||||||
| Assets and Liabilities | |||||||||||||||||||||||||||||
| Gross | Gross | Amounts | Net Unrealized | ||||||||||||||||||||||||||
| Unrealized | Unrealized | Netted on | Appreciation | ||||||||||||||||||||||||||
| Appreciation on | (Depreciation) on | Statement of | (Depreciation) on | Interest | Collateral | ||||||||||||||||||||||||
| Interest | Interest | Assets and | Interest | Rate Swaps | Pledged to (from) | Net | |||||||||||||||||||||||
| Fund | Counterparty | Rate Swaps | *** | Rate Swaps | *** | Liabilities | Rate Swaps | Premiums Paid | Counterparty | Exposure | |||||||||||||||||||
| NBB | |||||||||||||||||||||||||||||
| Morgan Stanley | |||||||||||||||||||||||||||||
| Capital Services LLC | $ | — | $ | (1,993,646 | ) | $ | — | $ | (1,993,646 | ) | $ | 1,720,000 | $ | 273,646 | $ | — | |||||||||||||
| NBD | |||||||||||||||||||||||||||||
| Barclays Bank PLC | $ | — | $ | (647,338 | ) | $ | — | $ | (647,338 | ) | $ | 491,500 | $ | 155,838 | $ | — | |||||||||||||
| *** Represents gross unrealized appreciation (depreciation) for the counterparty as reported in the Fund’s Portfolio of Investments. | |||||||||||||||||||||||||||||
The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (deprecation) recognized on swap contracts on the Statement of Operations during the current fiscal period, and the primary underlying risk exposure.
| Net Realized | Change in Net Unrealized | |||
| Underlying | Derivative | Gain (Loss) from | Appreciation (Depreciation) of | |
| Fund | Risk Exposure | Instrument | Swaps | Swaps |
| NBB | Interest rate | Swaps | $(12,401,642) | $19,301,957 |
| NBD | Interest rate | Swaps | (6,101,967) | 11,055,503 |
44 NUVEEN
Market and Counterparty Credit Risk
In the normal course of business each Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose each Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of each Fund’s exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and Liabilities.
Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the pre-determined threshold amount.
4. Fund Shares
The Funds did not have any transactions in shares during the current and prior fiscal period.
5. Investment Transactions
Long-term purchases and sales (including maturities but excluding derivative transactions) during the current fiscal period were as follows:
| NBB | NBD | |||||||
| Purchases | $ | 78,299,580 | $ | 31,928,141 | ||||
| Sales and maturities | 74,410,822 | 29,487,065 | ||||||
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.
For all open tax years and all major taxing jurisdictions, management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Funds is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate securities reflected as financing transactions, if any. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the NAVs of the Funds.
As of March 31, 2017, the cost and unrealized appreciation (depreciation) of investments (excluding investments in derivatives), as determined on a federal income tax basis, were as follows:
| NBB | NBD | |||||||
| Cost of investments | $ | 565,879,446 | $ | 127,947,502 | ||||
| Gross unrealized: | ||||||||
| Appreciation | $ | 74,778,163 | $ | 35,126,803 | ||||
| Depreciation | (2,600,672 | ) | (836,513 | ) | ||||
| Net unrealized appreciation (depreciation) of investments | $ | 72,177,491 | $ | 34,290,290 | ||||
NUVEEN 45
Notes to Financial Statements (continued)
Permanent differences, primarily due to bond premium amortization and treatment of notional principal contracts, resulted in reclassifications among the Funds’ components of common share net assets as of March 31, 2017, the Funds’ tax year end, as follows:
| NBB | NBD | |||||||
| Paid-in surplus | $ | — | $ | — | ||||
| Undistributed (Over-distribution of) net investment income | 509,007 | 163,894 | ||||||
| Accumulated net realized gain (loss) | (509,007 | ) | (163,894 | ) | ||||
The tax components of undistributed net ordinary income and net long-term capital gains as of March 31, 2017, the Funds’ tax year end, were as follows:
| NBB | NBD | |||||||
Undistributed net ordinary income1 | $ | 1,561,526 | $ | 164,684 | ||||
| Undistributed net long-term capital gains | — | — | ||||||
1 | Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any. Undistributed net ordinary income (on a tax basis) has not been reduced for the dividend declared on March 1, 2017, and paid on April 3, 2017. |
The tax character of distributions paid during the Funds’ tax years ended March 31, 2017 and March 31, 2016, was designated for purposes of the dividends paid deduction as follows:
| 2017 | NBB | NBD | ||||||
Distributions from net ordinary income2 | $ | 34,215,347 | $ | 8,884,074 | ||||
| Distributions from net long-term capital gains | — | — | ||||||
| 2016 | NBB | NBD | ||||||
Distributions from net ordinary income2 | $ | 35,882,452 | $ | 9,500,122 | ||||
| Distributions from net long-term capital gains | — | — | ||||||
2 Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any. |
As of March 31, 2017, the Funds’ tax year end, the Funds had unused capital losses carrying forward available for federal income tax purposes to be applied against future capital gains, if any. The capital losses are not subject to expiration.
| NBB | NBD | |||||||
| Capital losses to be carried forward – not subject to expiration | $ | 13,236,909 | $ | 16,905,799 | ||||
| 7. Management Fees and Other Transactions with Affiliates |
Management Fees
Each Fund’s management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Sub-Adviser is compensated for its services to the Funds from the management fees paid to the Adviser.
Each Fund’s management fee consists of two components – a fund-level fee, based only on the amount of assets within each individual Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables Fund 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.
For the period April 1, 2016 through July 31, 2016, the annual Fund-level fee, payable monthly, for each Fund was calculated according to the following schedule:
| Average Daily Managed Assets* | Fund-Level Fee | |||
| For the first $125 million | 0.4500 | % | ||
| For the next $125 million | 0.4375 | |||
| For the next $250 million | 0.4250 | |||
| For the next $500 million | 0.4125 | |||
| For the next $1 billion | 0.4000 | |||
| For managed assets over $2 billion | 0.3875 | |||
46 NUVEEN
Effective August 1, 2016, the annual Fund-level fee, payable monthly, for each Fund is calculated according to the following schedule:
| Average Daily Managed Assets* | Fund-Level Fee | |||
| For the first $125 million | 0.4500 | % | ||
| For the next $125 million | 0.4375 | |||
| For the next $250 million | 0.4250 | |||
| For the next $500 million | 0.4125 | |||
| For the next $1 billion | 0.4000 | |||
| For the next $3 billion | 0.3750 | |||
| For managed assets over $5 billion | 0.3625 | |||
The annual complex-level fee, payable monthly, for each Fund is calculated by multiplying the current complex-wide fee rate, determined according to the following schedule by the Fund’s daily managed assets:
| Complex-Level Managed Asset Breakpoint Level* | Effective Rate at Breakpoint Level | |||
| $55 billion | 0.2000 | % | ||
| $56 billion | 0.1996 | |||
| $57 billion | 0.1989 | |||
| $60 billion | 0.1961 | |||
| $63 billion | 0.1931 | |||
| $66 billion | 0.1900 | |||
| $71 billion | 0.1851 | |||
| $76 billion | 0.1806 | |||
| $80 billion | 0.1773 | |||
| $91 billion | 0.1691 | |||
| $125 billion | 0.1599 | |||
| $200 billion | 0.1505 | |||
| $250 billion | 0.1469 | |||
| $300 billion | 0.1445 | |||
| * | For the complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the 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 managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen Funds that constitute “eligible assets.” 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. As of March 31, 2017, the complex-level fee for each Fund was 0.1613%. |
Other Transactions with Affiliates
Each Fund is permitted to purchase or sell securities from or to certain other funds managed by the Adviser (“inter-fund trade”) under specified conditions outlined in procedures adopted by the Board. These procedures have been designed to ensure that any inter-fund trades of securities by the Fund from or to another fund that is, or could be, considered an affiliate of the Fund under certain limited circumstances by virtue of having a common investment adviser (or affiliated investment adviser), common officer and/or common trustee complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each inter-fund trade is effected at the current market price as provided by an independent pricing service. Unsettled inter-fund trades as of the end of the reporting period are recognized as a component of “Receivable for investments sold” and/or “Payable for investments purchased” on the Statement of Assets and Liabilities, when applicable.
During the current fiscal period, the Funds did not engage in inter-fund trades pursuant to these procedures.
NUVEEN 47
Notes to Financial Statements (continued)
8. Borrowing Arrangements
Each fund entered into a committed secured 364-day line of credit (“Borrowings”) which permits the Funds to borrow on a secured basis as a means of leverage. Each Fund’s maximum commitment amount under these Borrowings is as follows:
| NBB | NBD | |||||||
| Maximum commitment amount | $ | 95,000,000 | $ | 15,000,000 | ||||
| As of the end of the reporting period, each Fund’s outstanding balance on its Borrowings was as follows: |
| NBB | NBD | |||||||
| Outstanding balance on Borrowings | $ | 90,175,000 | $ | 12,000,000 | ||||
During the current fiscal period, the average daily balance outstanding and average annual interest rate on each Fund’s Borrowings were as follows:
| NBB | NBD | |||||||
| Average daily balance outstanding | $ | 90,064,041 | $ | 11,967,123 | ||||
| Average annual interest rate | 1.43 | % | 1.43 | % | ||||
In order to maintain these Borrowings, the Funds must meet certain collateral, asset coverage and other requirements. Borrowings outstanding are fully secured by securities held in each Fund’s portfolio of investments. Interest expense incurred on each Fund’s Borrowings was calculated at a rate per annum equal to the higher of (i) the overnight Federal Funds rate plus 0.80% or (ii) the one-month London Inter-bank Offered Rate plus 0.80% for the period April 1, 2016 through June 17, 2016. In addition to the interest expense, the Funds each paid a 0.15% per annum facility fee, based on the unused portion of the commitment amount of the Borrowings at all times when the outstanding Borrowings is greater than 50% of the maximum commitment amount, otherwise the fee is increased to 0.25% per annum.
On May 18, 2016, each Fund renewed its Borrowings, at which time the termination date was extended through June 17, 2016. All other terms of the Borrowings remained unchanged. On June 17, 2016, each Fund renewed its Borrowings again, at which time the termination date was extended through May 17, 2017. The interest charged on each Fund’s Borrowings was changed from the higher of (i) the overnight Federal Funds rate plus 0.80% or (ii) the one-month London Inter-bank Offered Rate plus 0.80% to the higher of (i) the overnight Federal Funds rate plus 0.85% or (ii) the one-month LIBOR plus 0.85%. Each Fund also incurred an upfront fee of 0.10% based on the maximum commitment amount of the Borrowings through the renewal date. All other terms of the Borrowings remained unchanged.
Each Fund’s borrowings outstanding is recognized as “Borrowings” on the Statement of Assets and Liabilities. Interest expense, facility fees and other fees incurred on the Borrowings are recognized as a component of “Interest expense” on the Statement of Operations.
9. New Accounting Pronouncements
Amendments to Regulation S-X
In October 2016, the Securities and Exchange Commission (SEC) adopted new rules and amended existing rules (together, the “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The compliance date of the amendments to Regulation S-X is August 1, 2017. Management is still evaluating the impact of the final rules, if any.
Accounting Standards Update 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities
During March 2017, the Financial Accounting Standards Board (“FASB”) issued ASU 2017-08, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 specifies that the premium amortization period ends at the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of ASU 2017-08, if any.
10. Subsequent Events
Borrowing Arrangements
On May 17, 2017, each Fund renewed its Borrowings, at which time the termination date was extended through May 16, 2018. The interest charged on each Fund’s Borrowings was changed from the higher of (i) the overnight Federal Funds rate plus 0.85% or (ii) the one-month LIBOR plus 0.85% to the higher of (i) the overnight Federal Funds rate plus 0.75% or (ii) the one-month LIBOR plus 0.75%. Each Fund also incurred an upfront fee of 0.10% based on the maximum commitment amount of the Borrowings through the renewal date. All other terms of the Borrowings remain unchanged.
48 NUVEEN
| Additional | |||||
Fund Information (Unaudited) | |||||
| Board of Trustees | |||||
| William Adams IV* | Margo Cook* | Jack B. Evans | William C. Hunter | David J. Kundert | Albin F. Moschner |
| John K. Nelson | William J. Schneider | Judith M. Stockdale | Carole E. Stone | Terence J. Toth | Margaret L. Wolff |
| * Interested Board Member. | |||||
| Fund Manager | Custodian | Legal Counsel | Independent Registered | Transfer Agent and | |
| Nuveen Fund Advisors, LLC | State Street Bank | Chapman and Cutler LLP | Public Accounting Firm | Shareholder Services | |
| 333 West Wacker Drive | & Trust Company | Chicago, IL 60603 | KPMG LLP | State Street Bank | |
| Chicago, IL 60606 | One Lincoln Street | 200 East Randolph Drive | & Trust Company | ||
| Boston, MA 02111 | Chicago, IL 60601 | Nuveen Funds | |||
| P.O. Box 43071 | |||||
| Providence, RI 02940-3071 | |||||
| (800) 257-8787 | |||||
Distribution Information
The Funds hereby designate their percentages of dividends paid from net ordinary income as dividends qualifying as Interest-Related Dividends as defined in Internal Revenue Code Section 871(k) for the taxable year ended March 31, 2017:
| NBB | NBD | |||||||
| % of Interest-Related Dividends | 100 | % | 100 | % | ||||
Quarterly Form N-Q Portfolio of Investments Information
Each Fund is required to file its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. You may obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov or in person at the SEC’s Public Reference Room in Washington, D.C. Call the SEC toll-free at (800) SEC-0330 for room hours and operation.
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 online at http://www.sec.gov.
CEO Certification Disclosure
Each Fund’s Chief Executive Officer (CEO) has submitted to the New York Stock Exchange (NYSE) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual. Each Fund has filed with the SEC the certification of its CEO and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.
Common Share Repurchases
Each Fund intends to repurchase, through its open-market share repurchase program, shares of its own common stock at such times and in such amounts as is deemed advisable. During the period covered by this report, each Fund repurchased shares of its common stock as shown in the accompanying table. Any future repurchases will be reported to shareholders in the next annual or semi-annual report.
| NBB | NBD | |
| Common Shares repurchased | — | — |
FINRA BrokerCheck
The Financial Industry Regulatory Authority (FINRA) provides information regarding the disciplinary history of FINRA member firms and associated investment professionals. This information as well as an investor brochure describing FINRA BrokerCheck is available to the public by calling the FINRA BrokerCheck Hotline number at (800) 289-9999 or by visiting www.FINRA.org.
NUVEEN 49
Glossary of Terms Used in this Report (Unaudited)
| · | Auction Rate Bond: An auction rate bond is a security whose interest payments are adjusted periodically through an auction process, which process typically also serves as a means for buying and selling the bond. Auctions that fail to attract enough buyers for all the shares offered for sale are deemed to have “failed,” with current holders receiving a formula-based interest rate until the next scheduled auction. |
| · | 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 cumula- tive performance (including change in NAV or market price and reinvested dividends and capital gains distributions, if any) over the time period being considered. |
| · | Bloomberg Barclays Aggregate-Eligible Build America Bond Index: An unleveraged index that comprises all direct pay Build America Bonds that are SEC-regulated, taxable, dollar-denominated and have at least one year to final maturity, at least $250 million par amount outstanding, and are determined to be investment grade by Bloomberg Barclays. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees. |
| · | 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’s or fund’s duration, the more the price of the bond or fund will change as interest rates change. |
| · | Effective Leverage: Effective leverage is a fund’s effective economic leverage, and includes both regulatory leverage (see leverage) and the leverage effects of certain derivative investments in a fund’s portfolio. Currently, the leverage effects of Tender Option Bond (TOB) inverse floater holdings are included in effective leverage values, in addition to any regulatory leverage. |
| · | Forward Interest Rate Swap: A contractual agreement between two counterparties under which one party agrees to make periodic payments to the other for an agreed period of time based on a fixed rate, while the other party agrees to make periodic payments based on a floating rate of interest based on an underlying index. Alternatively, both series of cashflows to be exchanged could be calculated using floating rates of interest but floating rates that are based upon different underlying indices. |
| · | Gross Domestic Product (GDP): The total market value of all final goods and services produced in a country/region in a given year, equal to total consumer, investment and government spending, plus the value of exports, minus the value of imports. |
| · | Inverse Floating Rate Securities: Inverse floating rate securities, also known as inverse floaters or tender option bonds (TOBs), are created by depositing a municipal bond, typically with a fixed interest rate, into a special purpose trust. This trust, in turn, (a) issues floating rate certificates typically paying short-term tax-exempt interest rates to third parties in amounts equal to some fraction of the deposited bond’s par amount or market value, and (b) issues an inverse floating rate certificate (sometimes referred to as an “inverse floater”) to an investor (such as a fund) interested in gaining investment exposure to a long-term municipal bond. The income received by the holder of the inverse floater varies inversely with the short-term rate paid to the floating rate certificates’ holders, and in most circumstances the holder of the inverse floater bears substantially all of the under- lying 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. |
50 NUVEEN
| · | Net Asset Value (NAV) Per Share: A fund’s Net Assets is equal to its total assets (securities, cash, accrued earnings and receivables) less its total liabilities. NAV per share is equal to the fund’s Net Assets divided by its number of shares outstanding. |
| · | Pre-Refunding: 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. |
| · | Regulatory Leverage: Regulatory leverage consists of preferred shares issued by or borrowings of a fund. Both of these are part of a fund’s capital structure. Regulatory leverage is subject to asset coverage limits set in the Investment Company Act of 1940. |
| · | Total Investment Exposure: Total investment exposure is a fund’s assets managed by the Adviser that are attributable to financial leverage. For these purposes, financial leverage includes a fund’s use of preferred stock and borrowings and investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities. |
| · | Zero Coupon Bond: A zero coupon bond does not pay a regular interest coupon to its holders during the life of the bond. Income to the holder of the bond comes from accretion of the difference between the original purchase price of the bond at issuance and the par value of the bond at maturity and is effectively paid at maturity. The market prices of zero coupon bonds generally are more volatile than the market prices of bonds that pay interest periodically. |
NUVEEN 51
Reinvest Automatically, Easily and Conveniently
Nuveen makes reinvesting easy. A phone call is all it takes to set up your reinvestment account.
Nuveen Closed-End Funds Automatic Reinvestment Plan
Nuveen Closed-End Fund allows you to conveniently reinvest distributions in additional Fund shares. By choosing to reinvest, you’ll be able to invest money regularly and automatically, and watch your investment grow through the power of compounding. Just like distributions in cash, there may be times when income or capital gains taxes may be payable on distributions that are reinvested. It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market.
Easy and convenient
To make recordkeeping easy and convenient, each month you’ll receive a statement showing your total distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own.
How shares are purchased
The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the greater of the net asset value or 95% of the then-current market price. If the shares are trading at less than net asset value, shares for your account will be purchased on the open market. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund’s shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares’ net asset value or 95% of the shares’ market value on the last business day immediately prior to the purchase date. Distributions received to purchase shares in the open market will normally be invested shortly after the distribution payment date. No interest will be paid on distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions.
Flexible
You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change. You can reinvest whether your shares are registered in your name, or in the name of a brokerage firm, bank, or other nominee. Ask your investment advisor if his or her firm will participate on your behalf. Participants whose shares are registered in the name of one firm may not be able to transfer the shares to another firm and continue to participate in the Plan. The Fund reserves the right to amend or terminate the Plan at any time. Although the Fund reserves the right to amend the Plan to include a service charge payable by the participants, there is no direct service charge to participants in the Plan at this time.
Call today to start reinvesting distributions
For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787.
52 NUVEEN
Board Members & Officers (Unaudited)
The management of the Funds, including general supervision of the duties performed for the Funds by the Adviser, is the responsibility of the Board of Trustees of the Funds. The number of trustees of the Funds is set at twelve. None of the trustees who are not “interested” persons of the Funds (referred to herein as “independent trustees”) has ever been a director or employee of, or consultant to, Nuveen or its affiliates. The names and business addresses of the trustees and officers of the Funds, their principal occupations and other affiliations during the past five years, the number of portfolios each oversees and other directorships they hold are set forth below.
| Name, | Position(s) Held | Year First | Principal | Number |
| Year of Birth | with the Funds | Elected or | Occupation(s) | of Portfolios |
| & Address | Appointed | Including other | in Fund Complex | |
and Term(1) | Directorships | Overseen by | ||
| During Past 5 Years | Board Member | |||
| Independent Board Members: | ||||
■ WILLIAM J. SCHNEIDER | Chairman of Miller-Valentine Partners, a real estate investment | |||
| 1944 | company; Board Member of WDPR Public Radio station; formerly, | |||
| 333 W. Wacker Drive | Chairman and | 1996 | Senior Partner and Chief Operating Officer (retired (2004) of | 177 |
| Chicago, IL 6o6o6 | Board Member | Class III | Miller-Valentine Group; formerly, Board member, Business Advisory | |
| Council of the Cleveland Federal Reserve Bank and University of | ||||
| Dayton Business School Advisory Council; past Chair and Director, | ||||
| Dayton Development Coalition. | ||||
■ JACK B. EVANS | President, The Hall-Perrine Foundation, a private philanthropic | |||
| 1948 | corporation (since 1996); Director and Chairman, United Fire | |||
| 333 W. Wacker Drive | Board Member | 1999 | Group, a publicly held company; Director, American Board of | 177 |
| Chicago, IL 6o6o6 | Class III | Orthopaedic Surgery (since 2017); Life Trustee of Coe College and | ||
| the Iowa College Foundation; formerly, President Pro-Tem of the | ||||
| Board of Regents for the State of Iowa University System; formerly, | ||||
| Director, Alliant Energy; formerly, Director, Federal Reserve Bank of | ||||
| Chicago; formerly, President and Chief Operating Officer, SCI | ||||
| Financial Group, Inc., a regional financial services firm. | ||||
■ WILLIAM C. HUNTER | Dean Emeritus, formerly, Dean, Tippie College of Business, University | |||
| 1948 | of Iowa (2006-2012); Director (since 2004) of Xerox Corporation; | |||
| 333 W. Wacker Drive | Board Member | 2003 | past Director (2005- 2015), and past President (2010-2014) Beta | 177 |
| Chicago, IL 6o6o6 | Class I | Gamma Sigma, Inc., The International Business Honor Society; | ||
| Director of Wellmark, Inc. (since 2009); formerly, Dean and | ||||
| Distinguished Professor of Finance, School of Business at the | ||||
| University of Connecticut (2003-2006); previously, Senior Vice | ||||
| President and Director of Research at the Federal Reserve Bank of | ||||
| Chicago (1995-2003); formerly, Director (1997-2007), Credit Research | ||||
| Center at Georgetown University. | ||||
■ DAVID J. KUNDERT | Formerly, Director, Northwestern Mutual Wealth Management | |||
| 1942 | Company (2006-2013), retired (since 2004) as Chairman, JPMorgan | |||
| 333 W. Wacker Drive | Board Member | 2005 | Fleming Asset Management, President and CEO, Banc One | 177 |
| Chicago, IL 6o6o6 | Class II | Investment Advisors Corporation, and President, One Group Mutual | ||
| Funds; prior thereto, Executive Vice President, Banc One Corporation | ||||
| and Chairman and CEO, Banc One Investment Management Group; | ||||
| Regent Emeritus, Member of Investment Committee, Luther College; | ||||
| member of the Wisconsin Bar Association; member of Board of | ||||
| Directors and Chair of Investment Committee, Greater Milwaukee | ||||
| Foundation; member of the Board of Directors (Milwaukee), College | ||||
| Possible; Board member of Milwaukee Repertory Theatre (since 2016). | ||||
NUVEEN 53
Board Members & Officers (Unaudited) (continued)
| Name, | Position(s) Held | Year First | Principal | Number |
| Year of Birth | with the Funds | Elected or | Occupation(s) | of Portfolios |
| & Address | Appointed | Including other | in Fund Complex | |
and Term(1) | Directorships | Overseen by | ||
| During Past 5 Years | Board Member | |||
| Independent Board Members (continued): | ||||
■ ALBIN F. MOSCHNER(2) | Founder and Chief Executive Officer, Northcroft Partners, LLC, a | |||
| 1952 | management consulting firm (since 2012); previously, held positions | |||
| 333 W. Wacker Drive | Board Member | 2016 | at Leap Wireless International, Inc., including Consultant (2011-2012), | 177 |
| Chicago, IL 60606 | Class III | Chief Operating Officer (2008-2011), and Chief Marketing Officer | ||
| (2004-2008); formerly, President, Verizon Card Services division of | ||||
| Verizon Communications, Inc. (2000-2003); formerly, President, | ||||
| One Point Services at One Point Communications (1999- 2000); | ||||
| formerly, Vice Chairman of the Board, Diba, Incorporated (1996-1997); | ||||
| formerly, various executive positions with Zenith Electronics | ||||
| Corporation (1991- 1996). Director, USA Technologies, Inc., a | ||||
| provider of solutions and services to facilitate electronic payment | ||||
| transactions (since 2012); formerly, Director, Wintrust Financial | ||||
| Corporation (1996-2016). | ||||
■ JOHN K. NELSON | Member of Board of Directors of Core12 LLC (since 2008), a private | |||
| 1962 | firm which develops branding, marketing and communications | |||
| 333 W. Wacker Drive | Board Member | 2013 | strategies for clients; Director of The Curran Center for Catholic | 177 |
| Chicago, IL 6o6o6 | Class II | American Studies (since 2009) and The President’s Council, | ||
| Fordham University (since 2010); formerly, senior external advisor | ||||
| to the financial services practice of Deloitte Consulting LLP (2012- | ||||
| 2014): formerly, Chairman of the Board of Trustees of Marian | ||||
| University (2010 as trustee, 2011-2014 as Chairman); formerly, Chief | ||||
| Executive Officer of ABN AMRO N.V. North America, and Global | ||||
| Head of its Financial Markets Division (2007-2008); prior senior | ||||
| positions held at ABN AMRO include Corporate Executive Vice | ||||
| President and Head of Global Markets-the Americas (2006-2007), | ||||
| CEO of Wholesale Banking North America and Global Head of | ||||
| Foreign Exchange and Futures Markets (2001-2006), and Regional | ||||
| Commercial Treasurer and Senior Vice President Trading-North | ||||
| America (1996-2001); formerly, Trustee at St. Edmund Preparatory | ||||
| School in New York City. | ||||
■ JUDITH M. STOCKDALE | Board Member, Land Trust Alliance (since 2013) and U.S. | |||
| 1947 | Endowment for Forestry and Communities (since 2013); formerly, | |||
| 333 W. Wacker Drive | Board Member | 1997 | Executive Director (1994- 2012), Gaylord and Dorothy Donnelley | 177 |
| Chicago, IL 6o6o6 | Class I | Foundation; prior thereto, Executive Director, Great Lakes | ||
| Protection Fund (1990-1994). | ||||
■ CAROLE E. STONE | Director, Chicago Board Options Exchange, Inc. (since 2006); | |||
| 1947 | Director, C2 Options Exchange, Incorporated (since 2009); Director, | |||
| 333 W. Wacker Drive | Board Member | 2007 | CBOE Holdings, Inc.(since 2010); formerly, Commissioner, New | 177 |
| Chicago, IL 6o6o6 | Class I | York State Commission on Public Authority Reform (2005-2010). | ||
■ TERENCE J. TOTH | Co-Founding Partner, Promus Capital (since 2008); Director, Fulcrum | |||
| 1959 | IT Service LLC (since 2010) and Quality Control Corporation (since | |||
| 333 W. Wacker Drive | Board Member | 2008 | 2012); member: Catalyst Schools of Chicago Board (since 2008) and | 177 |
| Chicago, IL 6o6o6 | Class II | Mather Foundation Board (since 2012), and chair of its Investment | ||
| Committee; formerly, Director, Legal & General Investment | ||||
| Management America, Inc.(2008-2013); formerly, CEO and President, | ||||
| Northern Trust Global Investments (2004-2007): Executive Vice | ||||
| President, Quantitative Management & Securities Lending (2000- | ||||
| 2004); prior thereto, various positions with Northern Trust Company | ||||
| (since 1994); formerly, Member, Northern Trust Mutual Funds Board | ||||
| (2005-2007), Northern Trust Global Investments Board (2004-2007), | ||||
| Northern Trust Japan Board (2004-2007), Northern Trust Securities | ||||
| Inc. Board (2003- 2007) and Northern Trust Hong Kong | ||||
| Board (1997-2004). | ||||
54 NUVEEN
| Name, | Position(s) Held | Year First | Principal | Number |
| Year of Birth | with the Funds | Elected or | Occupation(s) | of Portfolios |
| & Address | Appointed | Including other | in Fund Complex | |
and Term(1) | Directorships | Overseen by | ||
| During Past 5 Years | Board Member | |||
| Independent Board Members (continued): | ||||
■ MARGARET L. WOLFF | Member of the Board of Directors (since 2013) of Travelers Insurance | |||
| 1955 | Company of Canada and The Dominion of Canada General Insurance | |||
| 333 W. Wacker Drive | Board Member | 2016 | Company (each, a part of Travelers Canada, the Canadian operation of | 177 |
| Chicago, IL 6o6o6 | Class I | The Travelers Companies, Inc.); formerly, Of Counsel, Skadden, Arps, | ||
| Slate, Meagher & Flom LLP (Mergers & Acquisitions Group) (2005- | ||||
| 2014); Member of the Board of Trustees of New York-Presbyterian | ||||
| Hospital (since 2005); Member (since 2004) and Chair (since 2015) of | ||||
| the Board of Trustees of The John A. Hartford Foundation (a | ||||
| philanthropy dedicated to improving the care of older adults); formerly, | ||||
| Member (2005-2015) and Vice Chair (2011-2015) of the Board of | ||||
| Trustees of Mt. Holyoke College. | ||||
| Interested Board Members: | ||||
■ WILLIAM ADAMS IV(3) | Co-Chief Executive Officer and Co-President (since March 2016), | |||
| 1955 | formerly, Senior Executive Vice President, Global Structured Products | |||
| 333 W. Wacker Drive | Board Member | 2013 | (2010-2016) of Nuveen Investments, Inc.; Executive Vice President | 177 |
| Chicago, IL 6o6o6 | Class II | (since February 2017) of Nuveen, LLC; Co-President of Nuveen Fund | ||
| Advisors, LLC (since 2011); Co-Co-President, Global Products and | ||||
| Solutions (since January 2017), formerly, Chief Executive Officer (2016- | ||||
| 2017), formerly, Senior Executive Vice President of Nuveen Securities, | ||||
| LLC; President (since 2011), of Nuveen Commodities Asset | ||||
| Management, LLC; Board Member of the Chicago Symphony Orchestra | ||||
| and of Gilda’s Club Chicago; formerly, Executive Vice President, U.S. | ||||
| Structured Products, of Nuveen Investments, Inc. (1999-2010). | ||||
■ MARGO L. COOK(2)(3) | Co-Chief Executive Officer and Co-President (since March 2016), | |||
| 1964 | formerly, Senior Executive Vice President of Nuveen Investments, Inc.; | |||
| 333 W. Wacker Drive | Board Member | 2016 | Co-President, Global Products and Solutions (since January 2017), | 177 |
| Chicago, IL 6o6o6 | Class III | formerly, Co-Chief Executive Officer (2015-2016), formerly, Executive | ||
| Vice President (2013-2015), of Nuveen Securities, LLC; Executive Vice | ||||
| President (since February 2017) of Nuveen, LLC; Co-President (since | ||||
| October 2016), formerly Senior Executive Vice President of Nuveen | ||||
| Fund Advisors, LLC (Executive Vice President since 2011); formerly, | ||||
| Managing Director of Nuveen Commodities Asset Management, LLC | ||||
| (2011-2016); Chartered Financial Analyst. | ||||
| Name, | Position(s) Held | Year First | Principal | Number |
| Year of Birth | with the Funds | Elected or | Occupation(s) | of Portfolios |
| & Address | Appointed(4) | During Past 5 Years | in Fund Complex | |
| Overseen | ||||
| by Officer | ||||
| Officers of the Funds: | ||||
■ CEDRIC H. ANTOSIEWICZ | Senior Managing Director (since January 2017), formerly, Managing | |||
| 1962 | Chief | Director (2004-2017) of Nuveen Securities, LLC; Senior Managing | ||
| 333 W. Wacker Drive | Administrative | 2007 | Director (since February 2017), formerly, Managing Director | 76 |
| Chicago, IL 6o6o6 | Officer | (2014-2017) of Nuveen Fund Advisors, LLC. | ||
■ LORNA C. FERGUSON | Senior Managing Director (since February 2017), | |||
| 1945 | formerly, Managing Director (2004-2017) of Nuveen. | |||
| 333 W. Wacker Drive | Vice President | 1998 | 178 | |
| Chicago, IL 6o6o6 | ||||
NUVEEN 55
Board Members & Officers (Unaudited) (continued)
| Name, | Position(s) Held | Year First | Principal | Number |
| Year of Birth | with the Funds | Elected or | Occupation(s) | of Portfolios |
| & Address | Appointed(4) | During Past 5 Years | in Fund Complex | |
| Overseen | ||||
| by Officer | ||||
| Officers of the Funds (continued): | ||||
■ STEPHEN D. FOY | Managing Director (since 2014), formerly, Senior Vice President | |||
| 1954 | Vice President | (2013- 2014) and Vice President (2005-2013) of Nuveen Fund | ||
| 333 W. Wacker Drive | and Controller | 1998 | Advisors, LLC; Chief Financial Officer of Nuveen Commodities Asset | 178 |
| Chicago, IL 6o6o6 | Management, LLC (since 2010); Managing Director (since 2016) of | |||
| Nuveen Securities, LLC; Certified Public Accountant. | ||||
■ NATHANIEL T. JONES | Managing Director (since January 2017), formerly, Senior Vice | |||
| 1979 | Vice President | President (2016-2017), formerly, Vice President (2011-2016) of | ||
| 333 W. Wacker Drive | and Treasurer | 2016 | Nuveen.; Chartered Financial Analyst. | 178 |
| Chicago, IL 6o6o6 | ||||
■ WALTER M. KELLY | Managing Director (since January 2017), formerly, Senior Vice | |||
| 197o | Chief Compliance | President (2008-2017) of Nuveen. | ||
| 333 W. Wacker Drive | Officer and | 2003 | 178 | |
| Chicago, IL 6o6o6 | Vice President | |||
■ DAVID J. LAMB | Managing Director (since January 2017), formerly, Senior Vice | |||
| 1963 | President of Nuveen Investments Holdings, Inc. (since 2006), | |||
| 333 W. Wacker Drive | Vice President | 2015 | Vice President prior to 2006. | 76 |
| Chicago, IL 6o6o6 | ||||
■ TINA M. LAZAR | Managing Director (since January 2017), formerly, Senior Vice | |||
| 1961 | President (2014-2017) of Nuveen Securities, LLC. | |||
| 333 W. Wacker Drive | Vice President | 2002 | 178 | |
| Chicago, IL 6o6o6 | ||||
■ KEVIN J. MCCARTHY | Senior Managing Director (since February 2017) and Secretary and | |||
| 1966 | Vice President and | General Counsel (since 2016) of Nuveen Investments, Inc., | ||
| 333 W. Wacker Drive | Assistant Secretary | 2007 | formerly, Executive Vice President (2016-2017) and Managing | 178 |
| Chicago, IL 6o6o6 | Director and Assistant Secretary (2008-2016); Senior Managing | |||
| Director (since January 2017) and Assistant Secretary (since 2008) | ||||
| of Nuveen Securities, LLC, formerly Executive Vice President | ||||
| (2016-2017) and Managing Director (2008-2016); Senior Managing | ||||
| Director (since February 2017), Secretary (since 2016) and | ||||
| Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC, | ||||
| formerly, Executive Vice President (2016-2017), Managing Director | ||||
| (2008-2016) and Assistant Secretary (2007-2016); Senior Managing | ||||
| Director (since February 2017), Secretary (since 2016) and | ||||
| Associate General Counsel (since 2011) of Nuveen Asset | ||||
| Management, LLC, formerly Executive Vice President (2016-2017) | ||||
| and Managing Director and Assistant Secretary (2011-2016); | ||||
| Senior Managing Director (since February 2017) and Secretary | ||||
| (since 2016) of Nuveen Investments Advisers, LLC, formerly | ||||
| Executive Vice President (2016-2017); Vice President (since 2007) | ||||
| and Secretary (since 2016), formerly, Assistant Secretary, of NWQ | ||||
| Investment Management Company, LLC, Symphony Asset | ||||
| Management LLC, Santa Barbara Asset Management, LLC and | ||||
| Winslow Capital Management, LLC (since 2010); Vice President | ||||
| (since 2010) and Secretary (since 2016) of Nuveen Commodities | ||||
| Asset Management, LLC, formerly Assistant Secretary (2010-2016). | ||||
■ KATHLEEN L. PRUDHOMME | Managing Director, Assistant Secretary and Co-General Counsel (since | |||
| 1953 | Vice President and | 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant | ||
| 9o1 Marquette Avenue | Assistant Secretary | 2011 | Secretary and Associate General Counsel (since 2011) of Nuveen | 178 |
| Minneapolis, MN 554o2 | Asset Management, LLC; Managing Director and Assistant Secretary | |||
| (since 2011) of Nuveen Securities, LLC; formerly, Deputy General | ||||
| Counsel, FAF Advisors, Inc. (2004-2010). | ||||
56 NUVEEN
| Name, | Position(s) Held | Year First | Principal | Number |
| Year of Birth | with the Funds | Elected or | Occupation(s) | of Portfolios |
| & Address | Appointed(4) | During Past 5 Years | in Fund Complex | |
| Overseen | ||||
| by Officer | ||||
| Officers of the Funds (continued): | ||||
■ CHRISTOPHER M. ROHRBACHER | Managing Director (since January 2017) of Nuveen Securities, LLC; | |||
| 1971 | Vice President and | Managing Director (since January 2017), formerly, Senior Vice | ||
| 333 W. Wacker Drive | Assistant Secretary | 2008 | President (2016-2017) and Assistant Secretary (since October 2016) of | 178 |
| Chicago, IL 6o6o6 | Nuveen Fund Advisors, LLC; Vice President and Assistant Secretary | |||
| (since 2010) of Nuveen Commodities Asset Management, LLC. | ||||
■ JOEL T. SLAGER | Fund Tax Director for Nuveen Funds (since 2013); previously, Vice | |||
| 1978 | Vice President and | President of Morgan Stanley Investment Management, Inc., Assistant | ||
| 333 W. Wacker Drive | Assistant Secretary | 2013 | Treasurer of the Morgan Stanley Funds (from 2010 to 2013). | 178 |
| Chicago, IL 6o6o6 | ||||
■ GIFFORD R. ZIMMERMAN | Managing Director (since 2002), and Assistant Secretary of Nuveen | |||
| 1956 | Vice President and | Securities, LLC; Managing Director (since 2004) and Assistant | ||
| 333 W. Wacker Drive | Secretary | 1988 | Secretary (since 1994) of Nuveen Investments, Inc.; Managing | 178 |
| Chicago, IL 6o6o6 | Director (since 2002), Assistant Secretary (since 1997) and | |||
| Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; | ||||
| Managing Director, Assistant Secretary and Associate General Counsel | ||||
| of Nuveen Asset Management, LLC (since 2011); Vice President (since | ||||
| February 2017), formerly, Managing Director (2003-2017) and Assistant | ||||
| Secretary (since 2003) of Symphony Asset Management LLC; Managing | ||||
| Director and Assistant Secretary (since 2002) of Nuveen Investments | ||||
| Advisers, LLC; Vice President and Assistant Secretary of NWQ | ||||
| Investment Management Company, LLC (since 2002), Santa Barbara | ||||
| Asset Management, LLC (since 2006), and of Winslow Capital | ||||
| Management, LLC, (since 2010); Chartered Financial Analyst. | ||||
| (1) | The Board of Trustees is divided into three classes, Class I, Class II, and Class III, with each being elected to serve until the third succeeding annual shareholders’ meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed, except two board members are elected by the holders of Preferred Shares, when applicable, to serve until the next annual shareholders’ meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed. The year first elected or appointed represents the year in which the board member was first elected or appointed to any fund in the Nuveen Complex. |
| (2) | On June 22, 2016, Ms. Cook and Mr. Moschner were appointed as Board members, effective July 1, 2016. |
| (3) | “Interested person” as defined in the 1940 Act, by reason of his position with Nuveen Investments, Inc. and certain of its subsidiaries, which are affiliates of the Nuveen Funds. |
| (4) | Officers serve one year terms through August of each year. The year first elected or appointed represents the year in which the Officer was first elected or appointed to any fund in the Nuveen Complex. |
NUVEEN 57
Notes
58 NUVEEN
Notes
NUVEEN 59
Nuveen:
Serving Investors for Generations
Since 1898, financial advisors and their clients have relied on Nuveen to provide dependable investment solutions through continued adherence to proven, long-term investing principles. Today, we offer a range of high quality solutions designed to be integral components of a well-diversified core portfolio.
Focused on meeting investor needs.
Nuveen is the investment management arm of TIAA. We have grown into one of the world’s premier global asset managers, with specialist knowledge across all major asset classes and particular strength in solutions that provide income for investors and that draw on our expertise in alternatives and responsible investing. Nuveen is driven not only by the independent investment processes across the firm, but also the insights, risk management, analytics and other tools and resources that a truly world-class platform provides. As a global asset manager, our mission is to work in partnership with our clients to create solutions which help them secure their financial future.
Find out how we can help you.
To learn more about how the products and services of Nuveen may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully.
Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus, please contact your securities representative or Nuveen, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money.
Learn more about Nuveen Funds at: www.nuveen.com/cef
Securities offered through Nuveen Securities, LLC, member FINRA and SIPC | 333 West Wacker Drive Chicago, IL 60606 | www.nuveen.com
EAN-C-0317D 157625
ITEM 2. CODE OF ETHICS.
As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There were no amendments to or waivers from the Code during the period covered by this report. The registrant has posted the code of ethics on its website at www.nuveen.com/CEF/Shareholder/FundGovernance.aspx. (To view the code, click on Code of Conduct.)
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant’s Board of Directors or Trustees (“Board”) determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its Audit Committee. The registrant’s audit committee financial experts are Carole E. Stone and Jack B. Evans, who are “independent” for purposes of Item 3 of Form N-CSR.
Ms. Stone served for five years as Director of the New York State Division of the Budget. As part of her role as Director, Ms. Stone was actively involved in overseeing the development of the State’s operating, local assistance and capital budgets, its financial plan and related documents; overseeing the development of the State’s bond-related disclosure documents and certifying that they fairly presented the State’s financial position; reviewing audits of various State and local agencies and programs; and coordinating the State’s system of internal audit and control. Prior to serving as Director, Ms. Stone worked as a budget analyst/examiner with increasing levels of responsibility over a 30 year period, including approximately five years as Deputy Budget Director. Ms. Stone has also served as Chair of the New York State Racing Association Oversight Board, as Chair of the Public Authorities Control Board, as a Commissioner on the New York State Commission on Public Authority Reform and as a member of the Boards of Directors of several New York State public authorities. These positions have involved overseeing operations and finances of certain entities and assessing the adequacy of project/entity financing and financial reporting. Currently, Ms. Stone is on the Board of Directors of CBOE Holdings, Inc., of the Chicago Board Options Exchange, and of C2 Options Exchange. Ms. Stone’s position on the boards of these entities and as a member of both CBOE Holdings’ Audit Committee and its Finance Committee has involved, among other things, the oversight of audits, audit plans and preparation of financial statements.
Mr. Evans was formerly President and Chief Operating Officer of SCI Financial Group, Inc., a full service registered broker-dealer and registered investment adviser (“SCI”). As part of his role as President and Chief Operating Officer, Mr. Evans actively supervised the Chief Financial Officer (the “CFO”) and actively supervised the CFO’s preparation of financial statements and other filings with various regulatory authorities. In such capacity, Mr. Evans was actively involved in the preparation of SCI’s financial statements and the resolution of issues raised in connection therewith. Mr. Evans has also served on the audit committee of various reporting companies. At such companies, Mr. Evans was involved in the oversight of audits, audit plans, and the preparation of financial statements. Mr. Evans also formerly chaired the audit committee of the Federal Reserve Bank of Chicago.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Nuveen Build America Bond Opportunity Fund
The following tables show the amount of fees that KPMG LLP, the Fund’s auditor, billed to the Fund during the Fund’s last two full fiscal years. For engagements with KPMG LLP the Audit Committee approved in advance all audit services and non-audit services that KPMG LLP provided to the Fund, except for those non-audit services that were subject to the pre-approval exception under Rule 2-01 of Regulation S-X (the “pre-approval exception”). The pre-approval exception for services provided directly to the Fund waives the pre-approval requirement for services other than audit, review or attest services if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid by the Fund to its accountant during the fiscal year in which the services are provided; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee’s attention, and the Committee (or its delegate) approves the services before the audit is completed.
The Audit Committee has delegated certain pre-approval responsibilities to its Chairman (or, in his absence, any other member of the Audit Committee).
SERVICES THAT THE FUND’S AUDITOR BILLED TO THE FUND
| Audit Fees Billed | Audit-Related Fees | Tax Fees | All Other Fees | |||||||||||||
| Fiscal Year Ended | to Fund 1 | Billed to Fund 2 | Billed to Fund 3 | Billed to Fund 4 | ||||||||||||
| March 31, 2017 | $ | 27,290 | $ | 0 | $ | 0 | $ | 0 | ||||||||
| Percentage approved | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
| pursuant to | ||||||||||||||||
| pre-approval | ||||||||||||||||
| exception | ||||||||||||||||
| March 31, 2016 | $ | 26,375 | $ | 0 | $ | 0 | $ | 629 | ||||||||
| Percentage approved | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
| pursuant to | ||||||||||||||||
| pre-approval | ||||||||||||||||
| exception | ||||||||||||||||
1 "Audit Fees" are the aggregate fees billed for professional services for the audit of the Fund's annual financial statements and services provided in | ||||||||||||||||
| connection with statutory and regulatory filings or engagements. | ||||||||||||||||
2 "Audit Related Fees" are the aggregate fees billed for assurance and related services reasonably related to the performance of the audit or review of | ||||||||||||||||
| financial statements that are not reported under "Audit Fees". These fees include offerings related to the Fund's common shares and leverage. | ||||||||||||||||
3 "Tax Fees" are the aggregate fees billed for professional services for tax advice, tax compliance, and tax planning. These fees include: all global | ||||||||||||||||
| withholding tax services; excise and state tax reviews; capital gain, tax equalization and taxable basis calculation performed by the principal accountant. | ||||||||||||||||
4 "All Other Fees" are the aggregate fees billed for products and services other than "Audit Fees", "Audit-Related Fees" and "Tax Fees". These fees | ||||||||||||||||
| represent all engagements pertaining to the Fund's use of leverage. | ||||||||||||||||
SERVICES THAT THE FUND’S AUDITOR BILLED TO THE ADVISER AND AFFILIATED FUND SERVICE PROVIDERS
The following tables show the amount of fees billed by KPMG LLP to Nuveen Fund Advisors, LLC (formerly Nuveen Fund Advisors, Inc.) (the “Adviser”), and any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund (“Affiliated Fund Service Provider”), for engagements directly related to the Fund’s operations and financial reporting, during the Fund’s last two full fiscal years.
The tables also show the percentage of fees subject to the pre-approval exception. The pre-approval exception for services provided to the Adviser and any Affiliated Fund Service Provider (other than audit, review or attest services) waives the pre-approval requirement if: (A) the aggregate amount of all such services provided constitutes no more than 5% of the total amount of revenues paid to KPMG LLP by the Fund, the Adviser and Affiliated Fund Service Providers during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee; (B) the Fund did not recognize the services as non-audit services at the time of the engagement; and (C) the services are promptly brought to the Audit Committee’s attention, and the Committee (or its delegate) approves the services before the Fund’s audit is completed.
| Audit-Related Fees | Tax Fees Billed to | All Other Fees | |
| Billed to Adviser and | Adviser and | Billed to Adviser | |
| Affiliated Fund | Affiliated Fund | and Affiliated Fund | |
| Fiscal Year Ended | Service Providers | Service Providers | Service Providers |
| March 31, 2017 | $ 0 | $ 0 | $ 0 |
| Percentage approved | 0% | 0% | 0% |
| pursuant to | |||
| pre-approval | |||
| exception | |||
| March 31, 2016 | $ 0 | $ 0 | $ 0 |
| Percentage approved | 0% | 0% | 0% |
| pursuant to | |||
| pre-approval | |||
| exception |
NON-AUDIT SERVICES
The following table shows the amount of fees that KPMG LLP billed during the Fund’s last two full fiscal years for non-audit services. The Audit Committee is required to pre-approve non- audit services that KPMG LLP provides to the Adviser and any Affiliated Fund Services Provider, if the engagement related directly to the Fund’s operations and financial reporting (except for those subject to the pre-approval exception described above). The Audit Committee requested and received information from KPMG LLP about any non-audit services that KPMG LLP rendered during the Fund’s last fiscal year to the Adviser and any Affiliated Fund Service Provider. The Committee considered this information in evaluating KPMG LLP’s independence.
| Total Non-Audit Fees | ||||
| billed to Adviser and | ||||
| Affiliated Fund Service | Total Non-Audit Fees | |||
| Providers (engagements | billed to Adviser and | |||
| related directly to the | Affiliated Fund Service | |||
| Total Non-Audit Fees | operations and financial | Providers (all other | ||
| Fiscal Year Ended | Billed to Fund | reporting of the Fund) | engagements) | Total |
| March 31, 2017 | $ 0 | $ 0 | $ 0 | $ 0 |
| March 31, 2016 | $ 629 | $ 0 | $ 0 | $ 629 |
| "Non-Audit Fees billed to Fund" for both fiscal year ends represent "Tax Fees" and "All Other Fees" billed to Fund in their respective | ||||
| amounts from the previous table. | ||||
| Less than 50 percent of the hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent | ||||
| fiscal year were attributed to work performed by persons other than the principal accountant's full-time, permanent employees. | ||||
Audit Committee Pre-Approval Policies and Procedures. Generally, the Audit Committee must approve (i) all non-audit services to be performed for the Fund by the Fund’s independent accountants and (ii) all audit and non-audit services to be performed by the Fund’s independent accountants for the Affiliated Fund Service Providers with respect to operations and financial reporting of the Fund. Regarding tax and research projects conducted by the independent accountants for the Fund and Affiliated Fund Service Providers (with respect to operations and financial reports of the Fund) such engagements will be (i) pre-approved by the Audit Committee if they are expected to be for amounts greater than $10,000; (ii) reported to the Audit Committee chairman for his verbal approval prior to engagement if they are expected to be for amounts under $10,000 but greater than $5,000; and (iii) reported to the Audit Committee at the next Audit Committee meeting if they are expected to be for an amount under $5,000.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The registrant’s Board has a separately designated Audit Committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended (15 U.S.C. 78c(a)(58)(A)). The members of the audit committee are Jack B. Evans, David J. Kundert, John K. Nelson, Carole E. Stone and Terence J. Toth.
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.
Nuveen Fund Advisors, LLC is the registrant’s investment adviser (referred to herein as the “Adviser”). The Adviser is responsible for the on-going monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain clerical, bookkeeping and administrative services. The Adviser has engaged Nuveen Asset Management, LLC (“Sub-Adviser”) as Sub-Adviser to provide discretionary investment advisory services. As part of these services, the Adviser has delegated to the Sub-Adviser the full responsibility for proxy voting on securities held in the registrant’s portfolio and related duties in accordance with the Sub-Adviser’s policies and procedures. The Adviser periodically monitors the Sub-Adviser’s voting to ensure that it is carrying out its duties. The Sub-Adviser’s proxy voting policies and procedures are attached to this filing as an exhibit and incorporated herein by reference.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Nuveen Fund Advisors, LLC is the registrant’s investment adviser (also referred to as the “Adviser”). The Adviser is responsible for the selection and on-going monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain clerical, bookkeeping and administrative services. The Adviser has engaged Nuveen Asset Management, LLC (“Nuveen Asset Management” or “Sub-Adviser”) as Sub-Adviser to provide discretionary investment advisory services. The following section provides information on the portfolio manager at the Sub-Adviser:
Item 8(a)(1). PORTFOLIO MANAGER BIOGRAPHIES
Daniel J. Close, CFA, is a Senior Vice President of Nuveen Investments. He joined Nuveen Investments in 2000 as a member of Nuveen’s product management and development team. He then served as a research analyst for Nuveen’s municipal investing team, covering corporate-backed, energy, transportation and utility credits. He received his BS in Business from Miami University and his MBA from Northwestern University’s Kellogg School of Management. Mr. Close has earned the Chartered Financial Analyst designation. Mr. Close also serves as a portfolio manager for various Nuveen Build America Bond strategies. He manages investments for 17 Nuveen-sponsored investment companies.
John V. Miller, CFA, joined Nuveen's investment management team as a credit analyst in 1996, with three prior years of experience in the municipal market with C.W. Henderson & Assoc., a municipal bond manager for private accounts. He has a BA in Economics and Political Science from Duke University, and an MA in Economics from Northwestern University and an MBA with honors in Finance from the University of Chicago. He has been responsible for analysis of high yield credits in the utility, solid waste and energy related sectors. He is a Managing Director and Co-Head of Fixed Income of Nuveen Asset Management. He manages investments for 11 Nuveen-sponsored investment companies.
Item 8(a)(2). OTHER ACCOUNTS MANAGED BY PORTFOLIO MANAGERS
Other Accounts Managed. In addition to managing the registrant, the portfolio manager is also primarily responsible for the day-to-day portfolio management of the following accounts:
| Portfolio Manager | Type of Account Managed | Number of Accounts | Assets |
| Daniel J. Close | Registered Investment Company | 16 | $7.16 billion |
| Other Pooled Investment Vehicles | 9 | $2.62 billion | |
| Other Accounts | 9 | $32.5 million | |
| John V. Miller | Registered Investment Company | 10 | $23.52 billion |
| Other Pooled Investment Vehicles | 10 | $251 million | |
| Other Accounts | 12 | $12 million |
| * | Assets are as of March 31, 2017. None of the assets in these accounts are subject to an advisory fee based on performance. |
POTENTIAL MATERIAL CONFLICTS OF INTEREST
Actual or apparent conflicts of interest may arise when a portfolio manager has day-to-day management responsibilities with respect to more than one account. More specifically, portfolio managers who manage multiple accounts are presented a number of potential conflicts, including, among others, those discussed below.
The management of multiple accounts may result in a portfolio manager devoting unequal time and attention to the management of each account. Nuveen Asset Management seeks to manage such competing interests for the time and attention of portfolio managers by having portfolio managers focus on a particular investment discipline. Most accounts managed by a portfolio manager in a particular investment strategy are managed using the same investment models.
If a portfolio manager identifies a limited investment opportunity which may be suitable for more than one account, an account may not be able to take full advantage of that opportunity due to an allocation of filled purchase or sale orders across all eligible accounts. To deal with these situations, Nuveen Asset Management has adopted procedures for allocating limited opportunities across multiple accounts.
With respect to many of its clients’ accounts, Nuveen Asset Management determines which broker to use to execute transaction orders, consistent with its duty to seek best execution of the transaction. However, with respect to certain other accounts, Nuveen Asset Management may be limited by the client with respect to the selection of brokers or may be instructed to direct trades through a particular broker. In these cases, Nuveen Asset Management may place separate, non-simultaneous, transactions for a Fund and other accounts which may temporarily affect the market price of the security or the execution of the transaction, or both, to the detriment of the Fund or the other accounts.
Some clients are subject to different regulations. As a consequence of this difference in regulatory requirements, some clients may not be permitted to engage in all the investment techniques or transactions or to engage in these transactions to the same extent as the other accounts managed by the portfolio manager. Finally, the appearance of a conflict of interest may arise where Nuveen Asset Management has an incentive, such as a performance-based management fee, which relates to the management of some accounts, with respect to which a portfolio manager has day-to-day management responsibilities.
Nuveen Asset Management has adopted certain compliance procedures which are designed to address these types of conflicts common among investment managers. However, there is no guarantee that such procedures will detect each and every situation in which a conflict arises.
| Item 8(a)(3). | FUND MANAGER COMPENSATION |
Portfolio manager compensation consists primarily of base pay, an annual cash bonus and long term incentive payments.
Base pay. Base pay is determined based upon an analysis of the portfolio manager’s general performance, experience, and market levels of base pay for such position.
Annual cash bonus. The Fund’s portfolio managers are eligible for an annual cash bonus based on investment performance, qualitative evaluation and financial performance of Nuveen Asset Management.
A portion of each portfolio manager’s annual cash bonus is based on the Fund’s pre-tax investment performance, generally measured over the past one- and three or five-year periods unless the portfolio manager’s tenure is shorter. Investment performance for the Fund generally is determined by evaluating the Fund’s performance relative to its benchmark(s) and/or Lipper industry peer group.
A portion of the cash bonus is based on a qualitative evaluation made by each portfolio manager’s supervisor taking into consideration a number of factors, including the portfolio manager’s team collaboration, expense management, support of personnel responsible for asset growth, and his or her compliance with Nuveen Asset Management’s policies and procedures.
The final factor influencing a portfolio manager’s cash bonus is the financial performance of Nuveen Asset Management based on its operating earnings.
Long-term incentive compensation. Certain key employees of Nuveen Asset Management, including certain portfolio managers, have received profits interests in Nuveen Asset Management which entitle their holders to participate in the firm’s growth over time.
There are generally no differences between the methods used to determine compensation with respect to the Fund and the Other Accounts shown in the table above.
Item 8(a)(4). OWNERSHIP OF REGISTRANT’S SECURITIES AS OF MARCH 31, 2017
| Name of Portfolio Manager | None | $1 - $10,000 | $10,001-$50,000 | $50,001-$100,000 | $100,001-$500,000 | $500,001-$1,000,000 | Over $1,000,000 |
| Daniel J. Close | X | ||||||
| John V. Miller | X |
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board implemented after the registrant last provided disclosure in response to this Item.
ITEM 11. CONTROLS AND PROCEDURES.
| (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. EXHIBITS.
File the exhibits listed below as part of this Form.
| (a)(1) | Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable because the code is posted on registrant’s website at www.nuveen.com/CEF/Shareholder/FundGovernance.aspx and there were no amendments during the period covered by this report. (To view the code, click on Code of Conduct.) |
| (a)(2) | A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT Attached hereto. |
| (a)(3) | Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable. |
| (b) | If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Ex-99.906 CERT attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Nuveen Build America Bond Opportunity Fund
By (Signature and Title) /s/ Gifford R. Zimmerman
Gifford R. Zimmerman
Vice President and Secretary
Date: June 8, 2017
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/ Cedric H. Antosiewicz
Cedric H. Antosiewicz
Chief Administrative Officer
(principal executive officer)
Date: June 8, 2017
By (Signature and Title) /s/ Stephen D. Foy
Stephen D. Foy
Vice President and Controller
(principal financial officer)
Date: June 8, 2017