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 | 811-05642 |
Nuveen Multi-Market Income 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
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: June 30
Date of reporting period: June 30, 2019
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.
Closed-End Funds
30 June 2019
Nuveen Closed-End Funds
JMM | Nuveen Multi-Market Income Fund |
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (www.nuveen.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting the financial intermediary (such as a broker-dealer or bank) through which you hold your Fund shares or, if you are a direct investor, by enrolling at www.nuveen.com/e-reports.
You may elect to receive all future shareholder reports in paper free of charge at any time by contacting your financial intermediary or, if you are a direct investor, (i) by calling 800-257-8787 and selecting option #2 or (ii) by logging into your Investor Center account at www.computershare.com/investor and clicking on “Communication Preferences.” Your election to receive reports in paper will apply to all funds held in your account with your financial intermediary or, if you are a direct investor, to all your directly held Nuveen Funds and any other directly held funds within the same group of related investment companies.
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NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
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3
Chairman’s Letter to Shareholders
Dear Shareholders,
The worries weighing on markets at the end of 2018 appeared to dissipate in early 2019 as positive economic and corporate earnings news, more dovish signals from central banks and trade progress boosted investor confidence. However, political noise and trade disputes continue to drive short-term market volatility and weigh on longer-term outlooks. Investors are concerned that increased tariffs and a protracted stalemate between the U.S. and its trading partners could dampen business and consumer sentiment, weakening spending and potentially impacting the global economy. Acknowledging similar concerns, the U.S. Federal Reserve recently lowered its benchmark interest rate 0.25% for the first time in a decade and will stop reducing its bond portfolio sooner than planned to help stimulate the U.S. economy. As the current U.S. economic expansion has reached the10-year mark this summer, it’s important to note that economic expansions don’t die of old age, but mature economic cycles can be more vulnerable to an exogenous shock.
Until a clearer picture on trade emerges, more bouts of market turbulence are likely in the meantime. While the downside risks warrant careful monitoring, we believe the likelihood of a near-term recession remains low. Global economic growth is moderating but still expanding, with demand driven by the historically low unemployment in the U.S., Japan and across Europe. Some central banks have begun to adjust monetary policy to help sustain growth and others continue to emphasize their readiness to act, while China’s authorities remain committed to keeping economic growth rates steady with fiscal and monetary policy.
The opportunity set may be narrower, but we believe there is still scope for gains in this environment. Patience and maintaining perspective can help you weather periodic market volatility. We encourage you to work with your financial advisor to assess short-term market movements in the context of your time horizon, risk tolerance and investment goals. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.
Sincerely,
Terence J. Toth
Chairman of the Board
August 23, 2019
4
Comments
Nuveen Multi-Market Income Fund (JMM)
Nuveen Multi-Market Income Fund (JMM) is advised by Nuveen Fund Advisors, LLC (NFAL) and features portfolio management by Nuveen Asset Management, LLC (NAM). Throughout the reporting period, the portfolio management team has included Jason J. O’Brien, CFA, and Peter L. Agrimson, CFA.
Here the Funds’ portfolio management team discusses economic and market conditions, key investment strategies and the Fund’s performance for the twelve-month reporting period June 30, 2019.
What factors affected the U.S. economy and the markets during the twelve-month reporting period ended June 30, 2019?
The U.S. economy reached the tenth year of expansion since the previous recession ended in June 2009, marking the longest expansion in U.S. history. The Bureau of Economic Analysis “advance” estimate of gross domestic product (GDP) growth came in at 2.1% (annualized) for the second quarter of 2019, a notable slowdown from 3.1% annualized growth in the first quarter of the year and below the 2.5% growth rate achieved in 2018. GDP measures the value of goods and services produced by the nation’s economy less the value of the goods and services used up in production, adjusted for price changes. Strong consumer and government spending in the April to June 2019 quarter helped sustain the economy’s growth trend, despite weaker exports and reduced business investment.
Consumer spending, the largest driver of the economy, remained well supported by low unemployment, wage gains and tax cuts. As reported by the Bureau of Labor Statistics, the unemployment rate fell to 3.7% in June 2019 from 4.0% in June 2018 and job gains averaged around 192,000 per month for the past twelve months. As the jobs market has tightened, average hourly earnings grew at an annualized rate of 3.1% in June 2019. However, falling energy prices dampened inflation over the past twelve months. The Bureau of Labor Statistics said the Consumer Price Index (CPI) increased 1.6% over the twelve-month reporting period ended June 30, 2019 before seasonal adjustment.
Low mortgage rates and low inventory drove home prices moderately higher in this reporting period, despite declining new home sales and housing starts. The S&P CoreLogic Case-Shiller U.S. National Home Price Index, which covers all nine U.S. census divisions, was up 3.4% year-over-year in May 2019 (most recent data available at the time this report was prepared). The10-City and20-City Composites reported year-over-year increases of 2.2% and 2.4%, respectively.
As data pointed to slower momentum in the overall economy, the Federal Reserve (Fed) notably shifted its stance. Although the Fed had indicated in December 2018 that there could be two more rate hikes in 2019, global growth
This material is not intended to be a recommendation or investment advice, does not constitute a solicitation to buy, sell or hold a security or an investment strategy and is not provided in a fiduciary capacity. The information provided does not take into account the specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions should be made based on an investor’s objectives and circumstances and in consultation with his or her advisors.
Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Fund disclaims any obligation to update publicly or revise any forward-looking statements or views expressed herein.
For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s (S&P), Moody’s Investors Service, Inc. (Moody’s) or Fitch, Inc. (Fitch). This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.
5
Portfolio Managers’ Comments(continued)
concerns kept the central bank on the sidelines. As expected by the markets, the Fed left rates unchanged throughout the first half of 2019 while speculation increased that the Fed’s next move would be a rate cut. (Subsequent to the close of this reporting period, at the July policy committee meeting, the Fed announced a 0.25% cut to its main policy rate and that it will stop shrinking its bond portfolio sooner than scheduled.)
During the twelve-month reporting period, geopolitical news remained a prominent market driver. Tariff and trade policy topped the list of concerns, most prominently the U.S.-China relations. After several rounds of talks and a series of tariff increases, President Trump and President Xi agreed to another temporary trade truce in late June 2019 that halted additional tariff increases (although after the close of the reporting period, the U.S. announced a new 10% tariff on $300 billion of Chinese goods). Additionally, the U.S. administration walked back its ban on U.S. companies doing business with Chinese tech giant Huawei. The agreed-upon trade deal between the U.S., Mexico and Canada has yet to be ratified by the national congresses, while President Trump rescinded the threat to impose tariffs on Mexico if the country didn’t take more action to curb illegal immigration. Meanwhile, as agreed in July 2018, the U.S. and the European Union continued to withhold further tariffs. Markets grew increasingly worried that trade conflicts would dampen already slowing global growth, as negative sentiment could inhibit business, consumer and investor confidence and spending.
In the U.K., Prime Minister Theresa May was unable to secure a Brexit deal before the original March 29, 2019 deadline. The European Union extended the deadline to October 31, 2019, and Prime Minister May resigned effective June 7, 2019. (Subsequent to the close of the reporting period, as widely expected, Brexit hardliner Boris Johnson assumed premiership.) Europe also contended with Italy’s eurosceptic coalition government and its challenging fiscal condition, the “yellow vest” protests in France, immigration policy concerns, Russian sanctions and political risk in Turkey. (Subsequent to the close of the reporting period, Italy’s Prime Minister unexpectedly resigned amid a growing rift with the coalition government over key domestic and fiscal policies.)
Elections around the world also remained a source of uncertainty. Markets continued to closely monitor the new administrations in Brazil and Mexico, as well as Argentina’s upcoming presidential election. (After the close of the reporting period, President Macri, who is considered the market-friendly candidate, suffered a surprising defeat in the August primary vote.) In the U.K., the possibility of ano-deal Brexit increased under new Prime Minister Boris Johnson. Europe’s traditional centrist parties lost seats in the Parliamentary elections and populist parties saw marginal gains. The ruling parties in India and South Africa maintained their majorities, where slower economic growth could complicate their respective reform mandates.
What key strategies were used to manage the Fund during this twelve-month reporting period ended June 30, 2019?
The Fund’s investment objective is to achieve high monthly income consistent with prudent risk to capital. The management team invests the Fund’s assets primarily in taxable fixed income securities including, but not limited to: U.S. agency and privately issued mortgage-backed securities; high yield and investment grade corporate bonds; and asset backed securities.
How did the Fund perform during this twelve-month reporting period ended June 30, 2019?
The table in the Performance Overview and Holding Summaries section of this report provides total return performance for the Fund for theone-year, five-year andten-year periods ended June 30, 2019. The Fund’s total return at net asset value (NAV) is compared with the performance of a corresponding market index. For the twelve-month reporting period ended June 30, 2019, JMM underperformed both the Bloomberg Barclays U.S. Government/Mortgage Bond Index and its blended benchmark, which is composed of 75% Bloomberg Barclays U.S. Government/Mortgage Index and 25% Bloomberg Barclays U.S. Corporate High-Yield Index.
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Over the twelve-month reporting period as a whole, Treasury yields increased for the shortest maturities at the front end of the yield curve, driven by the earlier Fed rate hikes. Three-monthT-bills ended the reporting period 19 basis points higher at 2.12%. However, yields fell for all Treasury securities with maturities of six months or more with the greatest decline taking place in thethree-to-seven year maturity range, helping to drive an inversion at the front end of the Treasury yield curve (where short-term interest rates are higher than longer terms rates). For example, the yield on five-year Treasury securities ended the reporting period at 1.76%, which was almost 100 basis points lower than a year ago. The yield on the10-year Treasury fell by 85 basis points over the year to end the reporting period at 2.00%.
In the final months of 2018, investment grade credit spreads moved wider in response to weakening global growth, trade worries, Fed action, lower oil prices and investor outflows from risk assets. In the second half of the reporting period, however, investment grade spreads rallied due to the dovish shifts by the Fed and European Central Bank, despite a sharp increase in volatility while the U.S./China held trade discussions.
The mortgage-backed securities (MBS) sector overall underperformed duration-matched Treasuries, however, within the asset class,non-agency MBS outpaced agency MBS by a significant margin. Agency MBS lagged the other major sectors and generated negative excess returns versus Treasuries as investors sought out duration from Treasuries and investment grade bonds.Non-agency MBS, especially prime jumbo andnon-qualified mortgage securities, exhibited strong performance as investors continued their quest for yield and value in areas other than generic agency pools.
The asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS) sectors posted positive excess returns over Treasuries, bouncing back from short-lived volatility at the end of 2018. As the broader markets recovered and the Fed became increasingly accommodative, investors moved down in quality to find attractive yields, leading higher beta securities to outperform. Monetary policy, continued strong job growth and moderate economic growth were generally supportive of consumer ABS performance. The CMBS sector was supported further by a supply constraint due to a lack of existing mortgages reaching maturity in 2019 that need to be refinanced.
At the end of 2018, the high yield market sold off sharply after risk sentiment turned negative amid concerns about economic growth, Fed rate hikes, trade tensions, a slowdown in the rate of earnings growth, and questions regarding the length of the credit cycle. The segment saw large investor outflows, accelerating into the 2018 year end, which drove prices lower despite the positive technical of limited issuance. However, as 2019 got underway, high yield saw a swift reversal as the asset class benefited from the Fed’s policy pivot, which lowered the chances for a possible recession. More broadly speaking, the segment also continued to be supported by falling interest rates, healthy credit fundamentals and sustained low defaults, combined with technical support in the form of solid inflows back into the segment and no significant increase in new issue supply. In May 2019, the high yield market sold off briefly amid a spike in market volatility as U.S./China trade tensions intensified, but snapped back in June after policymakers signaled a readiness to cut interest rates later this year.
The most significant driver of the Fund’s underperformance relative to its benchmarks was our use of hedging against higher interest rates. This positioning significantly detracted from overall performance as rates rallied into the end of the reporting period, falling from between 40 to nearly 100 basis points across much of the Treasury yield curve. Because of the strength of the U.S. economy as we entered the reporting period, we had anticipated additional Fed rate increases and a generally higher interest rate environment.
Along the same lines, we positioned the Fund with a slightly shorter duration relative to its benchmark for the majority of the year, which decreased its interest rate sensitivity. This defensive stance also detracted from relative performance because of the sharp drop in rates, especially in the latter half of the reporting period. Although the Fund’s shorter duration stance detracted, our yield curve positioning proved modestly beneficial to performance. We structured the Fund’s portfolio with an overweighting to three- and five-year maturities, while underweighting the front and back ends of the Treasury curve. This positioning proved beneficial as rates dropped the most in thethree-to-seven year segment of the yield curve, causing prices to increase more. Rates also rallied at the long end of the curve, but not to the same degree.
7
Portfolio Managers’ Comments(continued)
In addition, our security selection within high yield was a modest drag on performance, particularly in the consumernon-cyclical and technology areas. More specifically, the Fund did not have exposure to a limited number of higher beta and distressed health care and pharmaceutical credits that experienced large upswings during the reporting period. Also, the Fund was overweight in a digital transformation solutions provider that suffered due to higher-than-expected ramp up costs associated with a new client solutions segment. The Fund’s slight overweight to high yield credit throughout the reporting period offset some of the negative impact from security selection, given the rally within the segment. Also, our modest overweights to energy and basic materials, and security selection within those high-yield sectors, aided results. In addition, duration within the high yield portfolio was longer than the benchmark, which proved helpful given the Fed’s dovish tone.
The Fund benefited from our other allocation decisions as well, particularly in securitized sectors. We continued to position the Fund with an underweight to Treasury securities and broad overweights to securitized sectors such as ABS, MBS and CMBS as well as modest exposures in investment-grade and high-yield corporate bonds. The most impactful positioning in terms of performance was the Fund’s overweight to the ABS segment including mortgage-related ABS, which produced positive excess returns over Treasuries. An overweight to securities ratedBBB- within the CMBS sector also aided results because this lower rated, investment grade segment of the market outperformed higher rated CMBS and posted excess returns of 495 basis points over Treasuries during the reporting period. Investors continued to favor these securities in their ongoing quest for higher quality yield. Additionally, an overweight tonon-agency MBS within the mortgage sector also contributed positively to the Fund’s performance because this group outpaced both agency MBS and duration-matched Treasuries.
We continued to manage the Fund with many of the same overarching investment themes. We focused on generating income through broad exposure to the securitized and corporate sectors of the bond market, with an emphasis onbottom-up security selection. From a positioning standpoint, we maintained the Fund’s overweights to CMBS,non-agency MBS and ABS. However, given elevated valuations across many asset classes, we tilted the portfolio toward a slightly more conservative approach as the reporting period progressed. For example, we rotated out of some of the Fund’s BBB rated positions in the CMBS segment and into slightly higher quality, single A credit rated CMBS and ABS. We also considerably trimmed exposure to high yield corporate bonds, especially in the final months of the reporting period, by shedding some of the lower quality positions within the sector. Thematically, we began favoring higher quality, high yield credits as the current economic cycle extended, but the chances of a synchronized global growth story seemed to be fading. At the end of the reporting period, the Fund was positioned with an underweight in high yield credit and exposure to investment grade credit. We continued to position the Fund with an underweight in Treasuries, given our relatively constructive economic view and the unattractive duration and yield profile of the sector.
At the end of the reporting period, the Fund’s duration remained shorter than the benchmark index because we believe the market is already pricing in significant accommodation by the Fed. In terms of yield curve positioning, we have maintained the Fund’s overweight to the three-year and five-year segments of the yield curve, while underweighting the shortest and longest ends in the near term. Our focus continued to be on credit selection and sector positioning as the most significant drivers of the Fund’s performance.
We used U.S. Treasury futures as part of an overall portfolio construction strategy to manage portfolio duration and yield curve exposure. These future positions had a negative impact on performance during the reporting period. The Fund also used interest rate swaps as part of an overall portfolio construction strategy to manage duration and overall portfolio yield curve exposure. The swap positions had a negative impact on performance during the reporting period.
The Fund may also purchase securities on a when-issued or forward commitment basis. Delivery and payment for securities that have been purchased in this manner can take place a month or more after the transaction date. Such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued or forward commitment basis may increase the volatility of the Fund’s net asset value if the Fund makes such purchases while remaining substantially fully invested.
8
Leverage
IMPACT OF THE FUND’S LEVERAGE STRATEGY ON PERFORMANCE
One important factor impacting the returns of the Fund’s common shares relative to their comparative benchmarks was the Fund’s use of leverage through the use of reverse repurchase agreements and mortgage dollar rolls. The Fund uses leverage because our research has shown that, over time, leveraging provides opportunities for additional income and total return, particularly in the recent market environment where short-term market rates are at or near historical lows, meaning that the short-term rates the Fund has been paying on its leveraging instruments in recent years have been much lower than the interest the Fund has been earning on its portfolio securities that it has bought with the proceeds of that leverage.
However, use of leverage can expose Fund common shares to additional price volatility. When the Fund uses leverage, the Fund common shares will experience a greater increase in their net asset value if the securities acquired through the use of leverage increase in value, but will also experience a correspondingly larger decline in their net asset value if the securities acquired through leverage decline in value, which will make the shares’ net asset value more volatile, and total return performance more variable, over time.
In addition, common share 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. Over the last few quarters, short-term interest rates have indeed increased from their extended lows after the 2007-09 financial crisis. This increase has reduced common share net income, and also reduced potential for long-term total returns. Nevertheless, the ability to effectively borrow at current short-term rates is still resulting in enhanced common share income, and management believes that the advantages of continuation of leverage outweigh the associated increase in risk and volatility described above. The Fund’s use of leverage had a positive impact on total return performance during this reporting period.
As of June 30, 2019, the Fund’s percentages of leverage are shown in the accompanying table.
JMM | ||||
Effective Leverage* | 28.81 | % | ||
Regulatory Leverage* | 0.00 | % |
* | Effective leverage is a Fund’s effective economic leverage, and includes both regulatory leverage and the leverage effects of reverse repurchase agreements, certain derivative and other investments in the Fund’s portfolio that increase the Fund’s investment exposure. Regulatory leverage consists of preferred shares issued or borrowings of a Fund. Both of these are part of a Fund’s capital structure. The 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 the Fund’s effective leverage ratio. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940. |
THE FUND’S LEVERAGE
Reverse Repurchase Agreements
As noted above, the Fund utilized reverse repurchase agreements in which, the Fund sells to a counterparty a security that it holds with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date. The Fund’s transactions in reverse repurchase agreements are as shown in the accompanying table.
Current Reporting Period | Subsequent to the Close of the Reporting Period | |||||||||||||||||||||||||||||||||
July 1, 2018 | Sales | Purchases | June 30, 2019 | Average Balance Outstanding | Sales | Purchases | August 27, 2019 | |||||||||||||||||||||||||||
$20,434,000 | $3,026,504 | $(2,067,504) | $21,393,000 | $20,085,211 | $14,501,000 | $(7,535,000) | $28,359,000 |
Refer to Notes to Financial Statements, Note 8 – Fund Leverage for further details.
9
Information
DISTRIBUTION INFORMATION
The following information regarding the Fund’s distributions is current as of June 30, 2019. The Fund’s distribution levels may vary over time based on the Fund’s investment activity and portfolio investment value changes.
During the current reporting period, the Fund’s distributions to shareholders were as shown in the accompanying table.
Monthly Distributions (Ex-Dividend Date) | Per Share Amounts | |||
July 2018 | $ | 0.0300 | ||
August | 0.0300 | |||
September | 0.0300 | |||
October | 0.0300 | |||
November | 0.0300 | |||
December | 0.0300 | |||
January | 0.0300 | |||
February | 0.0300 | |||
March | 0.0300 | |||
April | 0.0300 | |||
May | 0.0300 | |||
June 2019 | 0.0300 | |||
Total Distributions from Net Investment Income | $ | 0.3600 | ||
Current Distribution Rate* | 4.91 | % |
* | Current distribution rate is based on the Fund’s current annualized monthly distribution divided by the Fund’s current market price. The Fund’s monthly distributions to its shareholders may be comprised of ordinary income, net realized capital gains and, if at the end of the fiscal year the Fund’s cumulative net ordinary income and net realized gains are less than the amount of the Fund’s distributions, a return of capital for tax purposes. |
The Fund seeks to pay regular monthly dividends out of its net investment income at a rate that reflects its past and projected net income performance. To permit the Fund to maintain a more stable monthly dividend, the Fund may pay dividends at a rate that may be more or less than the amount of net income actually earned by the Fund during the period. Distributions to shareholders are determined on a tax basis, which may differ from amounts recorded in the accounting records. In instances where the monthly dividend exceeds the earned net investment income, the Fund would report a negative undistributed net ordinary income. Refer to Note 6 – Income Tax Information for additional information regarding the amounts of undistributed net ordinary income and undistributed net long-term capital gains and the character of the actual distributions paid by the Fund during the period.
All monthly dividends paid by the Fund during the current reporting period were paid from net investment income. If a portion of the Fund’s monthly distributions is sourced from or comprised of elements other than net investment income, including capital gains and/or a return of capital, shareholders will be notified of those sources. For financial reporting purposes, per share amounts of the Fund’s distributions for the reporting period are presented in this report’s Financial Highlights. For income tax purposes, distribution information for the Fund as of its most recent tax year end is presented in Note 6 – Income Tax Information within the Notes to Financial Statements of this report.
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Change in Method of Publishing Nuveen Closed-End Fund Distribution Amounts
Beginning on or about November 1, 2019, the Nuveen Closed-End Funds will be discontinuing the practice of announcing Fund distribution amounts and timing via press release. Instead, information about the Nuveen Closed-End Funds’ monthly and quarterly periodic distributions to shareholders will be posted and can be found on Nuveen’s enhanced closed-end fund resource page, which is at www.nuveen.com/closed-end-funddistributions, along with other Nuveen closed-end fund product updates. Shareholders can expect regular distribution information to be posted on www.nuveen.com on the first business day of each month. To ensure that our shareholders have timely access to the latest information, a subscribe function can be activated at this link here, or at this web page(www.nuveen.com/en-us/people/about-nuveen/for-the-media).
COMMON SHARE REPURCHASES
During August 2019 (subsequent to the close of this reporting period), the Fund’s Board of Trustees reauthorized an open-market common share repurchase program, allowing the Fund to repurchase an aggregate of up to approximately 10% of its outstanding common shares.
As of June 30, 2019, and since the inception of the Fund’s repurchase program, the Fund has cumulatively repurchased and retired its outstanding common shares as shown in the accompanying table.
JMM | ||||
Common shares cummulatively repurchased and retired | 1,800 | |||
Common shares authorized for repurchase | 945,000 |
During the current reporting period, the Fund did not repurchase any of its outstanding common shares.
OTHER SHARE INFORMATION
As of June 30, 2019, and during the current reporting period, the Fund’s common share price was trading at premium/(discount) to its NAV as shown in the accompanying table.
Common share NAV | $ | 8.01 | ||
Common share price | $ | 7.33 | ||
Premium/(Discount) to NAV | (8.49 | )% | ||
12-month average premium/(discount) to NAV | (11.57 | )% |
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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 Multi-Market Income Fund (JMM)
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. Investing inmortgage-backed securities entails credit risk, the risk that the servicer fails to perform its duties, liquidity risks, interest rate risks, structure risks, pre-payment risk, and geographical concentration risks.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 includinghedgingrisk are described in more detail on the Fund’s web page at www.nuveen.com/JMM.
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JMM | Nuveen Multi-Market Income Fund Performance Overview and Holding Summaries as of June 30, 2019 |
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 June 30, 2019
Average Annual | ||||||||||||
1-Year | 5-Year | 10-Year | ||||||||||
JMM at Common Share NAV | 5.16% | 3.61% | 7.94% | |||||||||
JMM at Common Share Price | 10.14% | 4.75% | 8.04% | |||||||||
Bloomberg Barclays U.S. Government/Mortgage Bond Index | 6.81% | 2.51% | 3.09% | |||||||||
Blended Benchmark | 7.00% | 3.08% | 4.62% |
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.
Common Share Price Performance —Weekly Closing Price
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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. Holdings designated N/R are not rated by these national rating agencies.
Fund Allocation
(% of net assets)
Asset-Backed andMortgage-Backed Securities | 109.6% | |||
Corporate Bonds | 25.2% | |||
Sovereign Debt | 1.5% | |||
Contingent Capital Securities | 0.8% | |||
Investment Companies | 0.5% | |||
$1,000 Par (or similar) Institutional Preferred | 0.3% | |||
Repurchase Agreements | 3.4% | |||
Other Assets Less Liabilities | (13.1)% | |||
Net Assets Plus Reverse Repurchase Agreements | 128.2% | |||
Reverse Repurchase Agreements | (28.2)% | |||
Net Assets | 100% |
Portfolio Composition
(% of total investments)
Asset-Backed andMortgage-Backed Securities | 77.5% | |||
Media | 1.8% | |||
Oil, Gas, & Consumable Fuels | 1.6% | |||
Commercial Services & Supplies | 1.5% | |||
Diversified Telecommunication Services | 1.2% | |||
Household Durables | 1.2% | |||
Other | 12.8% | |||
Repurchase Agreements | 2.4% | |||
Total | 100% |
Portfolio Credit Quality
(% of total long-term
investments)
AAA | 5.7% | |||
AA | 4.4% | |||
A | 7.7% | |||
BBB | 24.8% | |||
BB or Lower | 21.9% | |||
U.S. Treasury/Agency | 27.6% | |||
N/R (not rated) | 7.5% | |||
N/A (not applicable) | 0.4% | |||
Total | 100% |
15
The annual meeting of shareholders was held in the offices of Nuveen on April 10, 2019 for JMM; at this meeting the shareholders were asked to elect Board Members.
JMM | ||||
Common Shares | ||||
Approval of the Board Members was reached as follows: | ||||
Judith M. Stockdale | ||||
For | 8,155,037 | |||
Withhold | 503,608 | |||
Total | 8,658,645 | |||
Carole E. Stone | ||||
For | 8,153,020 | |||
Withhold | 505,625 | |||
Total | 8,658,645 | |||
Margaret L. Wolff | ||||
For | 8,165,468 | |||
Withhold | 493,177 | |||
Total | 8,658,645 | |||
William C. Hunter | ||||
For | 8,141,111 | |||
Withhold | 517,534 | |||
Total | 8,658,645 |
16
Report of Independent Registered
Public Accounting Firm
To the Shareholders and Board of Trustees of
Nuveen Multi-Market Income Fund:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Nuveen Multi-Market Income Fund (the “Fund”), including the portfolio of investments, as of June 30, 2019, 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 thetwo-year period then ended, and the related notes (collectively, the “financial statements”) and the financial highlights for each of the years in thefive-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of June 30, 2019, the results of its operations and cash flows for the year then ended, the changes in its net assets for each of the years in thetwo-year period then ended, and the financial highlights for each of the years in thefive-year period then ended in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of June 30, 2019, by correspondence with custodians and brokers or other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
/s/ KPMG LLP
We have served as the auditor of one or more Nuveen investment companies since 2014.
Chicago, IL
August 27, 2019
17
JMM | Nuveen Multi-Market Income Fund
Portfolio of Investments June 30, 2019 |
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
LONG-TERM INVESTMENTS – 137.9% (97.6% of Total Investments) |
| |||||||||||||||||||
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES – 109.6% (77.5% of Total Investments) |
| |||||||||||||||||||
$ | 963 | 321 Henderson Receivables LLC, Series2012-1A, 144A | 7.140% | 2/15/67 | A2 | $ | 1,168,629 | |||||||||||||
500 | 321 Henderson Receivables LLC, Series2016-1A, 144A | 5.190% | 6/17/69 | Baa2 | 543,745 | |||||||||||||||
265 | 321 Henderson Receivables LLC., Series2010-1A, 144A | 9.310% | 7/15/61 | Aaa | 314,743 | |||||||||||||||
399 | 321 Henderson Receivables Trust Series2012-2A, 144A | 6.770% | 10/17/61 | A2 | 434,136 | |||||||||||||||
250 | ACE Securities Corporation, Manufactured Housing TrustSeries 2003-MH1, 144A | 6.500% | 8/15/30 | AA | 271,929 | |||||||||||||||
500 | Adams Outdoor Advertising LP, Series ADMSO2018-1 B, 144A | 5.653% | 11/15/48 | BBB | 532,221 | |||||||||||||||
500 | Adams Outdoor Advertising LP, Series ADMSO2018-1 B, 144A | 6.414% | 11/25/48 | N/R | 507,805 | |||||||||||||||
1,684 | American Homes 4 Rent, Series 2015-SFR2, 144A | 0.000% | 10/17/52 | N/R | 17 | |||||||||||||||
520 | Applebee’s Funding LLC / IHOP Funding LLC, 144A | 4.723% | 6/07/49 | BBB | 527,046 | |||||||||||||||
500 | Barclays Commercial Mortgage, Mortgage Pass-Through Certificates, Series2015-STP, 144A | 4.427% | 9/10/28 | BBB– | 502,365 | |||||||||||||||
56 | Bayview Financial Acquisition Trust Series 2006C | 5.852% | 11/28/36 | Caa3 | 54,167 | |||||||||||||||
50 | Bayview Financial Acquisition Trust, Series2006-C | 5.638% | 11/28/36 | A+ | 50,037 | |||||||||||||||
45 | Bayview Financial Acquisition Trust, Series2006-D | 5.932% | 12/28/36 | Aaa | 47,497 | |||||||||||||||
26 | Bayview Financial Acquisition Trust, Series2007-A | 6.205% | 5/28/37 | AAA | 25,561 | |||||||||||||||
432 | Bayview Financial Mortgage Pass-Through Trust, Mortgage Pass-Through Certificate Series2005-D | 5.500% | 12/28/35 | Aa3 | 432,676 | |||||||||||||||
132 | Chase Funding Mortgage Loan Asset-Backed Certificates,Series 2003-3 | 5.160% | 3/25/33 | Ba1 | 136,130 | |||||||||||||||
500 | CHL GMSR Issuer Trust, 144A,(1-Month LIBOR reference rate + 2.750% spread), (3) | 5.154% | 5/25/23 | N/R | 500,601 | |||||||||||||||
425 | Citigroup Commercial Mortgage Trust 2015-GC29 | 4.280% | 4/10/48 | A– | 442,327 | |||||||||||||||
600 | Citigroup Commercial Mortgage Trust2016-P5, Series CGCMT2016-P5 D, 144A | 3.000% | 10/10/49 | BBB– | 530,153 | |||||||||||||||
450 | Citigroup Commercial Mortgage Trust, Commercial MortgagePass-Through Certificates, Series2017-CD5, 144A,(1-Month LIBOR reference rate + 1.800% spread), (3) | 4.194% | 12/15/36 | BBB– | 450,987 | |||||||||||||||
775 | Commercial Mortgage Pass-Through Certificates 2015-CR22 | 4.255% | 3/10/48 | A– | 810,473 | |||||||||||||||
511 | Commercial Mortgage Pass-Through Certificates, Series 2015-CR26 | 4.632% | 10/10/48 | A– | 535,639 | |||||||||||||||
417 | Common bond Student Loan Trust, Series2017-BGC, 144A | 4.440% | 9/25/42 | Baa1 | 415,302 | |||||||||||||||
119 | Countrywide Alternative Loan Trust, Mortgage Pass Through Certificates, Series2003-J3 | 5.250% | 11/25/33 | BBB | 120,962 | |||||||||||||||
126 | Countrywide Alternative Loan Trust, Mortgage Pass Through Certificates, Series2004-J2 | 6.500% | 3/25/34 | AA+ | 131,682 | |||||||||||||||
219 | Countrywide Asset-Backed Certificates Trust, Series2004-13 | 5.103% | 5/25/35 | Aaa | 221,579 | |||||||||||||||
152 | Credit Suisse CSMC Mortgage-Backed Trust, Pass-Through Certificates, Series2006-7 | 6.000% | 8/25/36 | Caa3 | 121,555 | |||||||||||||||
460 | Credit Suisse First Boston Mortgage Securities Corporation,Mortgage-Backed Pass-Through Certificates, Series2003-8 | 6.166% | 4/25/33 | AAA | 490,586 | |||||||||||||||
94 | Credit Suisse First Boston Mortgage Securities Corporation,Mortgage-Backed Pass-Through Certificates, Series2005-11 6A7 | 6.000% | 12/25/35 | D | 5,858 | |||||||||||||||
62 | Credit Suisse First Boston Mortgage Securities, Home Equity Mortgage Pass-Through Certificates, Series2004-6 | 5.821% | 4/25/35 | Baa1 | 61,668 | |||||||||||||||
387 | Credit-Based Asset Servicing and Securitization Pool2007-SP1, 144A | 5.462% | 12/25/37 | AA | 393,019 | |||||||||||||||
250 | CSMC2014-USA OA LLC 2014 E, 144A | 4.373% | 9/15/37 | BB– | 234,765 | |||||||||||||||
1,182 | DB Master Finance LLC 20171-A, 144A | 4.030% | 11/20/47 | BBB | 1,203,217 | |||||||||||||||
1,164 | Dominos Pizza Master Issuer LLC, Series2015-1A, 144A | 4.474% | 10/25/45 | BBB+ | 1,211,328 | |||||||||||||||
123 | Domino’s Pizza Master Issuer LLC, Series DPABS2017-1A A2II, 144A | 3.082% | 7/25/47 | BBB+ | 122,998 | |||||||||||||||
614 | Driven Brands Funding LLC,HONK-2018-1A, 144A | 4.739% | 4/20/48 | BBB– | 643,827 | |||||||||||||||
748 | Driven Brands Funding LLC,HONK-2019-1A, 144A | 4.641% | 4/20/49 | BBB– | 780,040 | |||||||||||||||
1,222 | Fannie Mae Mortgage Pool, (4) | 3.500% | 11/01/33 | N/R | 1,262,788 | |||||||||||||||
8 | Fannie Mae Mortgage Pool, (4) | 5.000% | 2/01/21 | N/R | 8,715 | |||||||||||||||
27 | Fannie Mae Mortgage Pool, (4) | 6.000% | 5/01/29 | N/R | 29,527 | |||||||||||||||
16 | Fannie Mae Mortgage Pool, (4) | 7.000% | 9/01/31 | N/R | 17,349 | |||||||||||||||
15 | Fannie Mae Mortgage Pool, (4) | 5.500% | 6/01/33 | N/R | 16,737 | |||||||||||||||
45 | Fannie Mae Mortgage Pool, (4) | 6.000% | 1/01/34 | N/R | 49,235 | |||||||||||||||
78 | Fannie Mae Mortgage Pool, (4) | 5.500% | 2/01/34 | N/R | 85,120 | |||||||||||||||
88 | Fannie Mae Mortgage Pool, (4) | 6.000% | 3/01/34 | N/R | 96,459 | |||||||||||||||
60 | Fannie Mae Mortgage Pool, (4) | 6.000% | 1/01/35 | N/R | 67,375 | |||||||||||||||
33 | Fannie Mae Mortgage Pool, (4) | 5.000% | 7/01/35 | N/R | 35,974 | |||||||||||||||
16 | Fannie Mae Mortgage Pool, (4) | 5.500% | 3/01/36 | N/R | 17,867 |
18
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES(continued) |
| |||||||||||||||||||
$ | 13 | Fannie Mae Mortgage Pool, (4) | 6.000% | 6/01/36 | N/R | $ | 14,482 | |||||||||||||
59 | Fannie Mae Mortgage Pool, (4) | 5.500% | 4/01/37 | N/R | 65,486 | |||||||||||||||
58 | Fannie Mae Mortgage Pool, (4) | 5.500% | 6/01/38 | N/R | 64,484 | |||||||||||||||
1,254 | Fannie Mae Mortgage Pool, (4) | 3.500% | 2/01/44 | N/R | 1,301,074 | |||||||||||||||
2,801 | Fannie Mae Mortgage Pool, (4) | 3.500% | 3/01/48 | N/R | 2,880,852 | |||||||||||||||
1,807 | Fannie Mae Mortgage Pool, (4) | 3.500% | 5/01/46 | N/R | 1,860,763 | |||||||||||||||
2,303 | Fannie Mae Mortgage Pool, (4) | 3.000% | 2/01/47 | N/R | 2,330,759 | |||||||||||||||
2,739 | Fannie Mae Pool, (4) | 4.500% | 8/01/48 | N/R | 2,861,546 | |||||||||||||||
89 | Fannie Mae REMIC Pass-Through Certificates | 7.500% | 2/25/42 | N/R | 96,627 | |||||||||||||||
437 | Fannie Mae REMIC Pass-Through Certificates | 3.478% | 12/25/42 | AAA | 154,501 | |||||||||||||||
2,500 | Fannie Mae TBA, (MDR), (WI/DD) | 3.000% | 7/25/49 | N/R | 2,520,185 | |||||||||||||||
2,000 | Fannie Mae TBA, (MDR), (WI/DD) | 3.500% | 7/25/49 | N/R | 2,044,062 | |||||||||||||||
4,605 | Fannie Mae TBA, (MDR), (WI/DD) | 4.000% | 7/25/49 | N/R | 4,758,350 | |||||||||||||||
2,755 | Federal Home Loan Mortgage Corporation, Mortgage Pool, (4) | 3.000% | 4/01/43 | Aaa | 2,802,501 | |||||||||||||||
500 | Finance of America Structured Securities Trust2018-HB1 | 4.392% | 9/25/28 | Baa1 | 500,030 | |||||||||||||||
1,279 | Focus Brands Funding LLC, Asset Backed Security, 144A | 5.093% | 4/30/47 | BBB | 1,335,645 | |||||||||||||||
1,487 | Freddie Mac Gold Mortgage Pool, (4) | 3.000% | 1/01/29 | N/R | 1,520,177 | |||||||||||||||
2,485 | Freddie Mac Gold Mortgage Pool, (4) | 3.000% | 6/01/46 | N/R | 2,519,053 | |||||||||||||||
1,127 | Freddie Mac Mortgage Pool, (4) | 3.500% | 1/01/44 | N/R | 1,169,878 | |||||||||||||||
1,087 | Freddie Mac Mortgage Pool, (4) | 3.500% | 2/01/44 | N/R | 1,129,170 | |||||||||||||||
20 | Freddie Mac Mortgage Pool, Various, (4) | 6.500% | 11/01/28 | N/R | 21,987 | |||||||||||||||
250 | Freddie Mac MultiFamily Mortgage Trust, Structured Pass Through Certificates, Series 2015-K714, 144A | 3.986% | 1/25/47 | A3 | 253,545 | |||||||||||||||
500 | Freddie Mac MultiFamily Mortgage Trust, Structured Pass Through Certificates, Series 2017-K724, 144A | 3.599% | 11/25/23 | BBB– | 497,080 | |||||||||||||||
500 | GMAT Trust Mortgage Pool2013-1A, 144A | 5.000% | 11/25/43 | N/R | 302,987 | |||||||||||||||
85 | Goldman Sachs Mortgage Securities Corporation, GSMPS Mortgage Pass Through Certificates, Series2001-2, 144A | 7.500% | 6/19/32 | D | 83,938 | |||||||||||||||
482 | Goldman Sachs Mortgage Securities Corporation, GSMPS Mortgage Pass Through Certificates, Series2003-3, 144A | 7.000% | 6/25/43 | BBB | 542,668 | |||||||||||||||
43 | Goldman Sachs Mortgage Securities Corporation, MortgagePass-Through Certificates, Series2003-10 1A1 | 4.483% | 10/25/33 | A | 44,543 | |||||||||||||||
422 | Goldman Sachs Mortgage Securities Corporation, MortgagePass-Through Certificates, Series2005-RP1, 144A | 8.500% | 1/25/35 | B2 | 483,134 | |||||||||||||||
593 | Goldman Sachs Mortgage Securities Corporation, MortgagePass-Through Certificates, Series2005-RP2 1A2, 144A | 7.500% | 3/25/35 | AAA | 646,024 | |||||||||||||||
641 | Goldman Sachs Mortgage Securities Corporation, MortgagePass-Through Certificates, Series2005-RP3 1A2, 144A | 7.500% | 9/25/35 | AAA | 684,576 | |||||||||||||||
394 | Goldman Sachs Mortgage Securities Corporation, MortgagePass-Through Certificates, Series2005-RP3 1A2, 144A | 8.000% | 9/25/35 | B3 | 433,485 | |||||||||||||||
500 | Goldman Sachs Mortgage Securities Trust, Mortgage Pass Through Certificates, Series 2013-GC16, 144A | 5.488% | 11/10/46 | Baa3 | 537,414 | |||||||||||||||
550 | Goldman Sachs Mortgage Securities Trust, Mortgage Pass Through Certificates, Series 2015-GC30, 144A | 4.192% | 5/10/50 | N/R | 567,278 | |||||||||||||||
500 | Goldman Sachs Mortgage Securities Trust, Mortgage Pass Through Certificates, Series 2015-GC32 | 3.345% | 7/10/48 | BBB– | 462,565 | |||||||||||||||
189 | Government National Mortgage Association Pool, (4) | 5.500% | 8/15/33 | N/R | 213,217 | |||||||||||||||
94 | Government National Mortgage Association Pool, (4) | 6.000% | 7/15/34 | N/R | 106,324 | |||||||||||||||
262 | Impac Secured Assets Corporation, Mortgage Pass-Through Certificates, Series2000-3 | 8.000% | 10/25/30 | CCC | 249,438 | |||||||||||||||
737 | Jimmy Johns Funding LLC, 144A | 4.846% | 7/30/47 | BBB | 772,761 | |||||||||||||||
500 | JPMDB Commercial Mortgage Securities Trust, Series2017-C7, 144A | 3.000% | 10/15/50 | BBB– | 441,242 | |||||||||||||||
287 | JPMorgan Alternative Loan Trust2006-S1, Mortgage Pass-Through Certificates | 6.500% | 3/25/36 | D | 241,063 | |||||||||||||||
500 | JPMorgan Chase Commercial Mortgage Securities Corporation,Series 2016-JP4, 144A | 3.578% | 12/15/49 | BBB– | 444,927 | |||||||||||||||
500 | JPMorgan Chase Commercial Mortgage Securities Trust 2018-BCON, 144A | 3.881% | 1/05/31 | BBB– | 512,292 | |||||||||||||||
334 | Master RePerforming Loan Trust2005-1, 144A | 7.500% | 8/25/34 | D | 341,340 | |||||||||||||||
921 | Mid-State Capital Corporation Trust Notes, Series2004-1 A | 6.005% | 8/15/37 | AA+ | 992,367 | |||||||||||||||
782 | Mid-State Capital Corporation Trust Notes, Series2005-1 | 5.745% | 1/15/40 | AA | 850,453 | |||||||||||||||
63 | Mid-State Trust2004-A | 8.900% | 8/15/37 | A1 | 71,241 | |||||||||||||||
511 | Mid-State Trust2010-1, 144A | 5.250% | 12/15/45 | AA | 534,699 | |||||||||||||||
437 | Mid-State Trust2010-1, 144A | 7.000% | 12/15/45 | A | 466,373 | |||||||||||||||
250 | Mid-State Trust XI | 5.598% | 7/15/38 | BBB | 272,074 | |||||||||||||||
500 | Morgan Stanley Bank of America Merrill Lynch Trust, Series2016-C28 | 4.746% | 1/15/49 | A3 | 525,045 |
19
JMM | Nuveen Multi-Market Income Fund(continued) | |
Portfolio of Investments June 30, 2019 |
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES(continued) |
| |||||||||||||||||||
$ | 86 | Morgan Stanley Mortgage Loan Trust, Pass Through Certificates,2006-2 | 5.750% | 2/25/36 | N/R | $ | 88,733 | |||||||||||||
267 | Mortgage Asset Securitization Transaction inc., Alternative Loan Trust Mortgage Pass-Through Certificates Series2004-1 | 7.000% | 1/25/34 | Aaa | 282,463 | |||||||||||||||
282 | Mortgage Asset Securitization Transaction inc., Alternative Loan Trust Mortgage Pass-Through Certificates,2004-5 6A1 | 7.000% | 6/25/34 | AA+ | 300,868 | |||||||||||||||
266 | Mortgage Asset Securitization Transactions inc., Mortgage Pass Through Certificates, Series2003-11 | 5.250% | 12/25/33 | A | 272,455 | |||||||||||||||
500 | MSCG Trust 2015-ALDR, 144A | 3.577% | 6/07/35 | BBB– | 453,702 | |||||||||||||||
500 | New Residential Advance Receivable Trust, Series2017-T1, 144A | 4.002% | 2/15/51 | BBB | 504,333 | |||||||||||||||
385 | New Residential Mortgage LLC 2018-FNT2,Series NZES 2018-FNT2 D, 144A | 4.920% | 7/25/54 | N/R | 395,288 | |||||||||||||||
367 | New Residential Mortgage LLC, 144A | 4.690% | 5/25/23 | N/R | 371,605 | |||||||||||||||
792 | New Residential Mortgage Loan Trust2015-2, 144A | 5.546% | 8/25/55 | Baa3 | 849,664 | |||||||||||||||
491 | New Residential Mortgage Loan Trust, Mortgage Pass Through Certificates, Series2014-1A, 144A | 6.047% | 1/25/54 | BBB | 526,234 | |||||||||||||||
343 | NRZ Excess Spread-Collateralized Notes Series 2018-PLS1, 144A | 4.374% | 1/25/23 | N/R | 344,416 | |||||||||||||||
355 | NRZ Excess Spread-Collateralized Notes Series 2018-PLS2, 144A | 4.593% | 2/25/23 | N/R | 357,501 | |||||||||||||||
500 | Oak Hill Advisors Residential Loan Trust 2017-NPLA,Series OHART 2017-NPL1 A2, 144A | 5.000% | 6/25/57 | N/R | 496,350 | |||||||||||||||
500 | Ocwen Master Advance Receivables Trust,Series OMART 2018-T2 DT2, 144A | 4.532% | 8/15/50 | BBB | 505,786 | |||||||||||||||
500 | OMART Receivables Trust, Series2016-T2, 144A | 4.446% | 8/16/49 | BBB | 500,329 | |||||||||||||||
496 | Planet Fitness Master Issuer LLC, Series PLNT2018-1A A2II, 144A | 4.666% | 9/05/48 | BBB– | 520,730 | |||||||||||||||
500 | PNMAC GMSR Issuer Trust2018-FT1, 144A,(1-Month LIBOR reference rate + 2.350% spread), (3) | 4.754% | 4/25/23 | N/R | 507,224 | |||||||||||||||
500 | PNMAC GMSR Issuer Trust2018-GT1, 144A,(1-Month LIBOR reference rate + 2.850% spread), (3) | 5.340% | 2/25/23 | N/R | 500,800 | |||||||||||||||
500 | PNMAC GMSR Issuer Trust2018-GT2, Series PNMSR2018-GT2 A, 144A(1-Month LIBOR reference rate + 2.650% spread), (3) | 5.054% | 8/25/25 | N/R | 501,764 | |||||||||||||||
500 | Progress Residential Trust, Series 2017- SFR2, 144A | 3.595% | 12/17/34 | Baa2 | 505,461 | |||||||||||||||
406 | RALI Series 2005-QS12 Trust, Series RALI 2005-QS12 A7 | 5.500% | 8/25/35 | Caa2 | 397,501 | |||||||||||||||
485 | RBS Commercial Funding inc.2013-SMV Trust, 144A | 3.704% | 3/11/31 | A+ | 483,808 | |||||||||||||||
416 | Residential Asset Securities Corporation , Home Equity Mortgage Asset Backed Pass Through Certificates, Series2004-KS1 | 5.721% | 2/25/34 | AA+ | 425,894 | |||||||||||||||
500 | RMF Buyout Issuance Trust2018-1 | 4.448% | 11/25/28 | Baa3 | 506,706 | |||||||||||||||
136 | Salomon Brothers Commercial Mortgage Trust Pass-Through VII Certificates, Series2003-1 A2, 144A | 6.000% | 9/25/33 | BB | 137,329 | |||||||||||||||
571 | Sonic Capital LLC, 144A | 3.750% | 7/20/43 | BBB | 573,394 | |||||||||||||||
497 | Sonic Capital LLC, 144A | 4.026% | 2/20/48 | BBB | 510,857 | |||||||||||||||
500 | SPS Servicer Advance Receivables Trust2018-T1 | 4.500% | 10/17/50 | BBB | 506,313 | |||||||||||||||
500 | STACR Trust 2018-DNA2, 144A,(1-Month LIBOR reference rate + 2.150% spread), (3) | 4.554% | 12/25/30 | B+ | 498,802 | |||||||||||||||
500 | STACR Trust 2018-DNA3, 144A,(1-Month LIBOR reference rate + 2.100% spread), (3) | 4.504% | 9/25/48 | B+ | 500,002 | |||||||||||||||
750 | STACR Trust 2018-HRP2, 144A,(1-Month LIBOR reference rate + 2.400% spread), (3) | 4.804% | 2/25/47 | BBB– | 765,462 | |||||||||||||||
389 | Start Ltd/Bermuda, 144A | 4.089% | 5/15/43 | A | 396,091 | |||||||||||||||
262 | Structured Receivables Finance2010-A LLC, 144A | 5.218% | 1/16/46 | AAA | 273,741 | |||||||||||||||
490 | Taco Bell Funding LLC 2016 1A, 144A | 4.377% | 5/25/46 | BBB | 497,899 | |||||||||||||||
612 | Taco Bell Funding LLC, 144A | 4.970% | 5/25/46 | BBB | 644,479 | |||||||||||||||
377 | Thunderbolt Aircraft Lease Ltd, 144A | 4.212% | 5/17/32 | A | 387,927 | |||||||||||||||
450 | UBS-Barclays Commercial Mortgage Trust2013-C5, 144A | 4.212% | 3/10/46 | A3 | 460,237 | |||||||||||||||
500 | Vericrest Opportunity Loan Trust 2019-NPL2, 144A | 6.292% | 2/25/49 | N/R | 506,556 | |||||||||||||||
500 | Verus Securitization Trust, Series2017-1A, 144A | 5.273% | 1/25/47 | A | 507,052 | |||||||||||||||
750 | VOLT LXIX LLC, Series VOLT 2018-NPL5 A2, 144A | 5.804% | 8/25/48 | N/R | 757,953 | |||||||||||||||
500 | VOLT LXX LLC, Series VOLT 2018-NPL6 A2, 144A | 5.805% | 9/25/48 | N/R | 505,756 | |||||||||||||||
319 | Washington Mutual Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series2003-MS4 | 5.500% | 2/25/33 | N/R | 327,641 | |||||||||||||||
21 | Washington Mutual Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series2004-RA3 | 6.082% | 8/25/38 | AA | 22,215 | |||||||||||||||
750 | WellsFargo-RBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series2011-C3, 144A | 5.335% | 3/15/44 | A1 | 776,504 | |||||||||||||||
985 | Wendy’s Funding LLC2019-A1, 144A | 3.573% | 3/15/48 | BBB | 990,654 | |||||||||||||||
500 | Wendy’s Funding LLC2019-A1, 144A | 3.783% | 6/15/49 | BBB | 502,955 |
20
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES(continued) |
| |||||||||||||||||||
$ | 250 | WF-RBS Commercial Mortgage Trust, Commercial MortgagePass-Through Certificates, Series2011-C2, 144A | 5.392% | 2/15/44 | Aa2 | $ | 257,507 | |||||||||||||
$ | 83,086 | Total Asset-Backed and Mortgage-Backed Securities (cost $81,450,035) |
| 83,097,062 | ||||||||||||||||
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
CORPORATE BONDS – 25.2% (17.8% of Total Investments) |
| |||||||||||||||||||
Aerospace & Defense – 0.6% | ||||||||||||||||||||
$ | 125 | Bombardier inc., 144A | 7.875% | 4/15/27 | B | $ | 125,156 | |||||||||||||
150 | Triumph Group inc. | 4.875% | 4/01/21 | CCC+ | 147,750 | |||||||||||||||
150 | Triumph Group inc. | 5.250% | 6/01/22 | CCC+ | 147,000 | |||||||||||||||
425 | Total Aerospace & Defense | 419,906 | ||||||||||||||||||
Auto Components – 0.6% | ||||||||||||||||||||
250 | American Axle & Manufacturing inc. | 6.250% | 4/01/25 | B | 248,750 | |||||||||||||||
200 | Panther BF Aggregator 2 LP / Panther Finance Co inc., 144A | 8.500% | 5/15/27 | B | 206,000 | |||||||||||||||
450 | Total Auto Components | 454,750 | ||||||||||||||||||
Automobiles – 0.2% | ||||||||||||||||||||
100 | Ford Motor Co | 7.450% | 7/16/31 | BBB | 118,207 | |||||||||||||||
Banks – 0.3% | ||||||||||||||||||||
225 | Quicken Loans inc., 144A | 5.250% | 1/15/28 | Ba1 | 223,875 | |||||||||||||||
Building Products – 0.3% | ||||||||||||||||||||
200 | American Woodmark Corp, 144A | 4.875% | 3/15/26 | BB | 197,500 | |||||||||||||||
Capital Markets – 0.6% | ||||||||||||||||||||
200 | Donnelley Financial Solutions inc. | 8.250% | 10/15/24 | B | 207,000 | |||||||||||||||
225 | Jefferies Finance LLC / JFINCo-Issuer Corp, 144A | 7.250% | 8/15/24 | BB– | 220,988 | |||||||||||||||
425 | Total Capital Markets | 427,988 | ||||||||||||||||||
Chemicals – 1.4% | ||||||||||||||||||||
200 | CF Industries inc. | 3.450% | 6/01/23 | BB+ | 200,500 | |||||||||||||||
250 | Chemours Co | 5.375% | 5/15/27 | BB– | 238,125 | |||||||||||||||
375 | NOVA Chemicals Corp, 144A | 5.000% | 5/01/25 | BBB– | 391,875 | |||||||||||||||
250 | OCI NV, 144A | 6.625% | 4/15/23 | BB | 260,000 | |||||||||||||||
1,075 | Total Chemicals | 1,090,500 | ||||||||||||||||||
Commercial Services & Supplies – 1.5% | ||||||||||||||||||||
100 | APX Group inc. | 8.750% | 12/01/20 | CCC | 94,750 | |||||||||||||||
225 | Covanta Holding Corp | 5.875% | 7/01/25 | B1 | 234,000 | |||||||||||||||
250 | GFL Environmental inc., 144A | 7.000% | 6/01/26 | CCC+ | 255,938 | |||||||||||||||
78 | RR Donnelley & Sons Co | 7.875% | 3/15/21 | B– | 79,560 | |||||||||||||||
200 | Staples inc., 144A | 10.750% | 4/15/27 | B– | 199,000 | |||||||||||||||
250 | Waste Pro USA inc., 144A | 5.500% | 2/15/26 | B+ | 255,625 | |||||||||||||||
1,103 | Total Commercial Services & Supplies | 1,118,873 | ||||||||||||||||||
Communications Equipment – 0.1% | ||||||||||||||||||||
100 | CommScope inc., 144A | 8.250% | 3/01/27 | B1 | 101,985 | |||||||||||||||
Consumer Finance – 0.6% | ||||||||||||||||||||
200 | Curo Group Holdings Corp, 144A | 8.250% | 9/01/25 | B– | 166,468 | |||||||||||||||
250 | Discover Financial Services | 4.100% | 2/09/27 | BBB+ | 260,308 | |||||||||||||||
450 | Total Consumer Finance | 426,776 | ||||||||||||||||||
Diversified Telecommunication Services – 1.7% | ||||||||||||||||||||
99 | Frontier Communications Corp | 8.500% | 4/15/20 | B– | 80,685 | |||||||||||||||
500 | Qwest Corp | 6.750% | 12/01/21 | BBB– | 536,875 |
21
JMM | Nuveen Multi-Market Income Fund(continued) | |
Portfolio of Investments June 30, 2019 |
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
Diversified Telecommunication Services(continued) | ||||||||||||||||||||
$ | 200 | Sprint Capital Corp | 6.875% | 11/15/28 | B+ | $ | 207,000 | |||||||||||||
200 | Telenet Finance Luxembourg Notes Sarl, 144A | 5.500% | 3/01/28 | BB+ | 203,035 | |||||||||||||||
300 | Zayo Group LLC / Zayo Capital inc., 144A | 5.750% | 1/15/27 | B | 305,250 | |||||||||||||||
1,299 | Total Diversified Telecommunication Services | 1,332,845 | ||||||||||||||||||
Electric Utilities – 0.2% | ||||||||||||||||||||
200 | Talen Energy Supply LLC | 6.500% | 6/01/25 | B | 167,500 | |||||||||||||||
Energy Equipment & Services – 1.0% | ||||||||||||||||||||
250 | Archrock Partners LP / Archrock Partners Finance Corp, 144A | 6.875% | 4/01/27 | B+ | 261,275 | |||||||||||||||
250 | Ensco Rowan plc | 7.750% | 2/01/26 | B | 186,250 | |||||||||||||||
200 | SESI LLC | 7.125% | 12/15/21 | B+ | 139,500 | |||||||||||||||
200 | Transocean inc., 144A | 9.000% | 7/15/23 | B | 213,000 | |||||||||||||||
900 | Total Energy Equipment & Services | 800,025 | ||||||||||||||||||
Equity Real Estate Investment Trust – 0.3% | ||||||||||||||||||||
250 | Iron Mountain inc., 144A | 5.250% | 3/15/28 | BB– | 250,313 | |||||||||||||||
Food & Staples Retailing – 0.3% | ||||||||||||||||||||
250 | Albertsons Cos LLC / Safeway inc. / New Albertsons LP / Albertson’s LLC, 144A | 7.500% | 3/15/26 | BB– | 266,875 | |||||||||||||||
Food Products – 0.3% | ||||||||||||||||||||
200 | Post Holdings inc., 144A | 5.625% | 1/15/28 | B+ | 205,500 | |||||||||||||||
Gas Utilities – 0.7% | ||||||||||||||||||||
250 | AmeriGas Partners LP / AmeriGas Finance Corp | 5.500% | 5/20/25 | BB | 263,125 | |||||||||||||||
55 | NGL Energy Partners LP / NGL Energy Finance Corp | 6.125% | 3/01/25 | B+ | 54,450 | |||||||||||||||
200 | Suburban Propane Partners LP/Suburban Energy Finance Corp | 5.875% | 3/01/27 | BB– | 200,500 | |||||||||||||||
505 | Total Gas Utilities | 518,075 | ||||||||||||||||||
Health Care Providers & Services – 1.1% | ||||||||||||||||||||
229 | Encompass Health Corp | 5.750% | 11/01/24 | B+ | 233,191 | |||||||||||||||
200 | Envision Healthcare Corp, 144A | 8.750% | 10/15/26 | B– | 138,500 | |||||||||||||||
175 | HCA inc. | 5.250% | 6/15/26 | BBB– | 193,692 | |||||||||||||||
250 | Tenet Healthcare Corp, 144A | 6.250% | 2/01/27 | Ba3 | 257,500 | |||||||||||||||
854 | Total Health Care Providers & Services | 822,883 | ||||||||||||||||||
Health Care Technology – 0.2% | ||||||||||||||||||||
200 | Exela Intermediate LLC / Exela Finance inc., 144A | 10.000% | 7/15/23 | B– | 162,500 | |||||||||||||||
Hotels, Restaurants & Leisure – 0.7% | ||||||||||||||||||||
250 | Carlson Travel inc., 144A | 6.750% | 12/15/23 | B2 | 253,125 | |||||||||||||||
250 | Viking Cruises Ltd, 144A | 5.875% | 9/15/27 | B+ | 253,125 | |||||||||||||||
500 | Total Hotels, Restaurants & Leisure | 506,250 | ||||||||||||||||||
Household Durables – 1.6% | ||||||||||||||||||||
200 | Beazer Homes USA inc. | 5.875% | 10/15/27 | B– | 173,440 | |||||||||||||||
250 | Brookfield Residential Properties inc., 144A | 6.500% | 12/15/20 | B+ | 250,312 | |||||||||||||||
250 | M/I Homes inc. | 5.625% | 8/01/25 | BB– | 253,750 | |||||||||||||||
300 | Mattamy Group Corp, 144A | 6.500% | 10/01/25 | BB | 316,125 | |||||||||||||||
250 | William Lyon Homes inc. | 5.875% | 1/31/25 | B+ | 246,875 | |||||||||||||||
1,250 | Total Household Durables | 1,240,502 | ||||||||||||||||||
Insurance – 0.6% | ||||||||||||||||||||
250 | Genworth Holdings inc. | 4.800% | 2/15/24 | B | 212,500 | |||||||||||||||
250 | Nationstar Mortgage Holdings inc., 144A | 8.125% | 7/15/23 | B | 255,000 | |||||||||||||||
500 | Total Insurance | 467,500 | ||||||||||||||||||
Leisure Products – 0.3% | ||||||||||||||||||||
250 | Mattel inc., 144A | 6.750% | 12/31/25 | BB– | 257,188 |
22
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
Machinery – 0.5% | ||||||||||||||||||||
$ | 200 | Mueller Water Products inc., 144A | 5.500% | 6/15/26 | BB | $ | 206,500 | |||||||||||||
150 | Navistar International Corp., 144A | 6.625% | 11/01/25 | B+ | 157,125 | |||||||||||||||
350 | Total Machinery | 363,625 | ||||||||||||||||||
Media – 2.6% | ||||||||||||||||||||
500 | Altice France SA/France, 144A | 7.375% | 5/01/26 | B | 512,500 | |||||||||||||||
300 | Charter Communications Operating LLC / Charter Communications Operating Capital | 4.908% | 7/23/25 | BBB– | 325,515 | |||||||||||||||
250 | Entercom Media Corp, 144A | 7.250% | 11/01/24 | B– | 263,437 | |||||||||||||||
200 | National CineMedia LLC | 6.000% | 4/15/22 | Ba3 | 202,000 | |||||||||||||||
250 | Nielsen Finance LLC / Nielsen Finance Company, 144A | 5.000% | 4/15/22 | BB | 249,688 | |||||||||||||||
200 | Quebecor Media inc. | 5.750% | 1/15/23 | Ba2 | 214,000 | |||||||||||||||
200 | VTR Finance BV, 144A | 6.875% | 1/15/24 | BB– | 207,000 | |||||||||||||||
1,900 | Total Media | 1,974,140 | ||||||||||||||||||
Metals & Mining – 1.2% | ||||||||||||||||||||
250 | Alcoa Nederland Holding BV, 144A | 6.125% | 5/15/28 | BB+ | 261,250 | |||||||||||||||
150 | Freeport-McMoRan inc. | 3.875% | 3/15/23 | Ba1 | 150,000 | |||||||||||||||
250 | SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp, 144A | 7.500% | 6/15/25 | BB– | 244,063 | |||||||||||||||
250 | Tronox inc., 144A | 6.500% | 4/15/26 | B– | 247,427 | |||||||||||||||
900 | Total Metals & Mining | 902,740 | ||||||||||||||||||
Oil, Gas & Consumable Fuels – 2.3% | ||||||||||||||||||||
250 | Calumet Specialty Products Partners LP / Calumet Finance Corp | 6.500% | 4/15/21 | B– | 248,750 | |||||||||||||||
250 | Denbury Resources inc., 144A | 9.000% | 5/15/21 | B | 246,250 | |||||||||||||||
100 | EnLink Midstream LLC | 5.375% | 6/01/29 | BBB– | 102,500 | |||||||||||||||
250 | Ensign Drilling inc., 144A | 9.250% | 4/15/24 | BB– | 246,250 | |||||||||||||||
200 | Genesis Energy LP / Genesis Energy Finance Corp | 5.625% | 6/15/24 | B+ | 192,500 | |||||||||||||||
275 | PBF Holding Co LLC / PBF Finance Corp | 7.250% | 6/15/25 | BB | 288,062 | |||||||||||||||
200 | Southwestern Energy Co | 7.500% | 4/01/26 | BB | 189,476 | |||||||||||||||
250 | Whiting Petroleum Corp | 6.625% | 1/15/26 | BB | 241,094 | |||||||||||||||
1,775 | Total Oil, Gas & Consumable Fuels | 1,754,882 | ||||||||||||||||||
Pharmaceuticals – 0.3% | ||||||||||||||||||||
220 | Teva Pharmaceutical Finance Netherlands III BV | 6.750% | 3/01/28 | BB | 202,950 | |||||||||||||||
Real Estate Management & Development – 0.6% | ||||||||||||||||||||
250 | Hunt Cos inc., 144A | 6.250% | 2/15/26 | BB– | 236,250 | |||||||||||||||
250 | Kennedy-Wilson inc. | 5.875% | 4/01/24 | BB | 255,000 | |||||||||||||||
500 | Total Real Estate Management & Development | 491,250 | ||||||||||||||||||
Road & Rail – 1.0% | ||||||||||||||||||||
200 | Avis Budget Car Rental LLC / Avis Budget Finance inc., 144A | 6.375% | 4/01/24 | BB | 209,500 | |||||||||||||||
250 | Hertz Corp, 144A | 7.625% | 6/01/22 | B+ | 259,688 | |||||||||||||||
250 | United Rentals North America inc. | 4.875% | 1/15/28 | BB– | 255,000 | |||||||||||||||
700 | Total Road & Rail | 724,188 | ||||||||||||||||||
Software – 0.3% | ||||||||||||||||||||
200 | CDK Global inc. | 5.875% | 6/15/26 | BB+ | 211,750 | |||||||||||||||
Specialty Retail – 0.6% | ||||||||||||||||||||
205 | L Brands inc. | 6.875% | 11/01/35 | Ba1 | 182,319 | |||||||||||||||
250 | PGT Escrow Issuer inc., 144A | 6.750% | 8/01/26 | B | 264,062 | |||||||||||||||
455 | Total Specialty Retail | 446,381 | ||||||||||||||||||
Wireless Telecommunication Services – 0.6% | ||||||||||||||||||||
250 | Hughes Satellite Systems Corp | 6.625% | 8/01/26 | BB– | 262,813 | |||||||||||||||
200 | Level 3 Financing inc. | 5.250% | 3/15/26 | BB | 207,000 | |||||||||||||||
450 | Total Wireless Telecommunication Services | 469,813 | ||||||||||||||||||
$ | 19,161 | Total Corporate Bonds (cost $19,102,683) | 19,120,035 |
23
JMM | Nuveen Multi-Market Income Fund(continued) | |
Portfolio of Investments June 30, 2019 |
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
SOVEREIGN DEBT – 1.5% (1.1 of Total Investments) |
| |||||||||||||||||||
Argentina – 0.2% | ||||||||||||||||||||
$ | 200 | Argentine Republic Government International Bond | 4.625% | 1/11/23 | B | $ | 160,402 | |||||||||||||
Bahrain – 0.4% | ||||||||||||||||||||
250 | Bahrain Government International Bond, 144A | 7.000% | 10/12/28 | BB– | 269,046 | |||||||||||||||
Egypt – 0.5% | ||||||||||||||||||||
400 | Egypt Government International Bond, 144A | 5.875% | 6/11/25 | B+ | 407,708 | |||||||||||||||
El Salvador – 0.1% | ||||||||||||||||||||
100 | El Salvador Government International Bond, 144A | 5.875% | 1/30/25 | B+ | 99,626 | |||||||||||||||
Sri Lanka – 0.3% | ||||||||||||||||||||
250 | Sri Lanka Government International Bond, 144A | 6.125% | 6/03/25 | B | 243,701 | |||||||||||||||
$ | 1,200 | Total Sovereign Debt (cost $1,182,193) | 1,180,483 | |||||||||||||||||
Principal Amount (000) | Description (1), (5) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
CONTINGENT CAPITAL SECURITIES – 0.8% (0.6% of Total Investments) |
| |||||||||||||||||||
Banks – 0.5% | ||||||||||||||||||||
$ | 200 | Banco Bilbao Vizcaya Argentaria SA | 6.125% | N/A (6) | Ba2 | $ | 188,250 | |||||||||||||
200 | Societe Generale SA, 144A | 6.750% | N/A (6) | BB+ | 198,140 | |||||||||||||||
400 | Total Banks | 386,390 | ||||||||||||||||||
Capital Markets – 0.3% | ||||||||||||||||||||
200 | UBS Group Funding Switzerland AG, 144A | 7.000% | N/A (6) | BBB– | 212,250 | |||||||||||||||
$ | 600 | Total Contingent Capital Securities (cost $600,000) |
| 598,640 | ||||||||||||||||
Shares | Description (1), (7) | Value | ||||||||||||||||||
INVESTMENT COMPANIES – 0.5% (0.4% of Total Investments) |
| |||||||||||||||||||
32,000 | BlackRock Credit Allocation income Trust | $ | 415,040 | |||||||||||||||||
Total Investment Companies (cost 395,555) | 415,040 | |||||||||||||||||||
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
$1,000 PAR (OR SIMILAR) INSTITUTIONAL PREFERRED – 0.3% (0.2% of Total Investments) |
| |||||||||||||||||||
Commercial Services & Supplies – 0.3% | ||||||||||||||||||||
$ | 200 | AerCap Global Aviation Trust, 144A | 6.500% | 6/15/45 | Ba1 | $ | 209,000 | |||||||||||||
$ | 200 | Total $1,000 Par (or similar) Institutional Preferred (cost $202,935) |
| 209,000 | ||||||||||||||||
Total Long-Term Investments (cost $102,933,401) | 104,620,260 | |||||||||||||||||||
Principal Amount (000) | Description (1) | Coupon | Maturity | Value | ||||||||||||||||
SHORT-TERM INVESTMENTS – 3.4% (2.4% of Total Investments) |
| |||||||||||||||||||
REPURCHASE AGREEMENTS – 3.4% (2.4 of Total Investments) |
| |||||||||||||||||||
$ | 2,569 | Repurchase Agreement with Fixed Income Clearing Corporation, | 1.200% | 1/01/20 | $ | 2,568,692 | ||||||||||||||
Total Short-Term Investments (cost $2,568,692) |
| 2,568,692 | ||||||||||||||||||
Total Investments (cost $105,502,093) – 141.3% | 107,188,952 | |||||||||||||||||||
Reverse Repurchase Agreements – (28.2)% (8) | (21,393,000 | ) | ||||||||||||||||||
Other Assets Less Liabilities – (13.1)% (9) | (9,956,535 | ) | ||||||||||||||||||
Net Assets – 100% | $ | 75,839,417 |
24
Investments in Derivatives
Futures Contracts
Description | Contract Position | Number of Contracts | Expiration Date | Notional Amount* | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable/ (Payable) | |||||||||||||||||||||
U.S. Treasury2-Year Note | Short | (27 | ) | 9/19 | $ | (5,781,842 | ) | $ | (5,809,852 | ) | $ | (28,009 | ) | $ | 1,055 | |||||||||||||
U.S. Treasury10-Year Note | Short | (44 | ) | 9/19 | (5,524,767 | ) | (5,630,625 | ) | (105,858 | ) | (1,375 | ) | ||||||||||||||||
U.S. Treasury10-Year Ultra Note | Short | (16 | ) | 9/19 | (2,156,210 | ) | (2,210,000 | ) | (53,790 | ) | (500 | ) | ||||||||||||||||
U.S. Treasury Long Bond | Short | (11 | ) | 9/19 | (1,659,339 | ) | (1,711,531 | ) | (52,193 | ) | 1,375 | |||||||||||||||||
U.S. Treasury Ultra Bond | Long | 11 | 9/19 | 1,909,477 | 1,953,188 | 43,710 | (2,063 | ) | ||||||||||||||||||||
$ | (13,212,681 | ) | $ | (13,408,820 | ) | $ | (196,140 | ) | $ | (1,508 | ) | |||||||||||||||||
Total receivable for variation margin on futures contracts |
| $ | 2,430 | |||||||||||||||||||||||||
Total payable for variation margin on futures contracts |
| $ | (3,938 | ) |
* | The aggregate amount of long and short positions is $1,909,477 and $(15,122,158), respectively. |
Interest Rate Swaps – OTC Uncleared
Counterparty | Notional Amount | Fund Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate (Annualized) | Fixed Rate Payment Frequency | Effective Date (10) | Optional Termination Date | Maturity Date | Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||||||
Morgan Stanley Capital Services LLC | $ | 17,000,000 | Receive | 1-Month LIBOR | 1.994 | % | Monthly | 6/01/18 | 7/01/25 | 7/01/27 | $ | (471,918 | ) | $ | (471,918 | ) |
For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industrysub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industrysub-classifications into sectors for reporting ease.
(1) | All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted. |
(2) | For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. Ratings are not covered by the report of independent registered public accounting firm. |
(3) | Variable rate security. The rate shown is the coupon as of the end of the reporting period. |
(4) | Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in reverse repurchase agreements. |
(5) | Contingent Capital Securities (“CoCos”) are hybrid securities with loss absorption characteristics built into their terms for the benefit of the issuer. For example, the terms may specify an automatic write-down of principal or a mandatory conversion into the issuer’s common stock under certain adverse circumstances, such as the issuer’s capital ratio falling below a specified level. |
(6) | Perpetual security. Maturity date is not applicable. |
(7) | A copy of the most recent financial statements for these investment companies can be obtained directly from the Securities and Exchange Commission on its website at http://www.sec.gov. |
(8) | Reverse Repurchase Agreements as a percentage of Total Investments is 20.0% |
(9) | Other assets less liabilities includes the unrealized appreciation (depreciation) of certainover-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. |
(10) | Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each contract. |
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. |
LIBOR | London Inter-Bank Offered Rate |
MDR | Denotes investment is subject to dollar roll transactions. |
TBA | To be announced. Maturity date not known prior to settlement of this transaction. |
WI/DD | Purchased on a when-issued or delayed delivery basis. |
See accompanying notes to financial statements.
25
Statement of Assets and Liabilities
June 30, 2019
Assets | ||||
Long-term investments, at value (cost $102,933,401) | $ | 104,620,260 | ||
Short-term investments, at value (cost approximates value) | 2,568,692 | |||
Cash collateral at broker for investments in futures contracts(1) | 130,445 | |||
Cash collateral at broker for investments in swaps(1) | 310,796 | |||
Receivable for: | ||||
Interest | 603,645 | |||
Reclaims | 1,615 | |||
Variation margin on futures contracts | 2,430 | |||
Other assets | 4,450 | |||
Total assets | 108,242,333 | |||
Liabilities | ||||
Reverse repurchase agreements | 21,393,000 | |||
Unrealized depreciation on interest rate swaps | 471,918 | |||
Payable for: | ||||
Dividends | 267,282 | |||
Investments purchased | 10,078,082 | |||
Variation margin on futures contracts | 3,938 | |||
Accrued expenses: | ||||
Interest | 11,386 | |||
Management fees | 74,861 | |||
Trustees fees | 614 | |||
Other | 101,835 | |||
Total liabilities | 32,402,916 | |||
Net Assets applicable to common shares | $ | 75,839,417 | ||
Common shares outstanding | 9,462,350 | |||
Net asset value (“NAV”) per common share outstanding | $ | 8.01 | ||
Net assets applicable to common shares consist of: | ||||
Common shares, $0.01 par value per share | $ | 94,624 | ||
Paid-in-surplus | 82,347,966 | |||
Total distributable earnings | (6,603,173 | ) | ||
Net assets applicable to common shares | $ | 75,839,417 | ||
Authorized common shares | Unlimited |
(1) | Cash pledged to collateralize the net payment obligations for investments in derivatives. |
See accompanying notes to financial statements.
26
Year Ended June 30, 2019
Investment Income | ||||
Dividends | $ | 27,417 | ||
Interest | 4,668,717 | |||
Total investment income | 4,696,134 | |||
Expenses | ||||
Management fees | 914,302 | |||
Interest expense | 515,887 | |||
Custodian fees | 101,035 | |||
Trustees fees | 3,209 | |||
Professional fees | 40,737 | |||
Shareholder reporting expenses | 29,393 | |||
Shareholder servicing agent fees | 6,539 | |||
Stock exchange listing fees | 6,816 | |||
Investor relations expense | 627 | |||
Other | 20,512 | |||
Total expenses | 1,639,057 | |||
Net investment income (loss) | 3,057,077 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) from: | ||||
Investments | 191,132 | |||
Futures contracts | (599,944 | ) | ||
Swaps | 58,371 | |||
Change in net unrealized appreciation (depreciation) of: | ||||
Investments | 2,576,872 | |||
Futures contracts | (215,090 | ) | ||
Swaps | (1,230,891 | ) | ||
Net realized and unrealized gain (loss) | 780,450 | |||
Net increase (decrease) in net assets applicable to common shares from operations | $ | 3,837,527 |
See accompanying notes to financial statements.
27
Statement of Changes in Net Assets
Year | Year Ended | |||||||
Operations | ||||||||
Net investment income (loss) | $ | 3,057,077 | $ | 3,273,609 | ||||
Net realized gain (loss) from: | ||||||||
Investments | 191,132 | (605,598 | ) | |||||
Futures contracts | (599,944 | ) | 588,717 | |||||
Swaps | 58,371 | — | ||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||
Investments | 2,576,872 | (1,907,296 | ) | |||||
Futures contracts | (215,090 | ) | (10,221 | ) | ||||
Swaps | (1,230,891 | ) | 697,635 | |||||
Net increase (decrease) in net assets applicable to common shares from operations | 3,837,527 | 2,036,846 | ||||||
Distributions to Common Shareholders(2) | ||||||||
Dividends(3) | (3,406,446 | ) | (3,775,478 | ) | ||||
Decrease in net assets applicable to common shares from distributions to common shareholders | (3,406,446 | ) | (3,775,478 | ) | ||||
Net increase (decrease) in net assets applicable to common shares | 431,081 | (1,738,632 | ) | |||||
Net assets applicable to common shares at the beginning of period | 75,408,336 | 77,146,968 | ||||||
Net assets applicable to common shares at the end of period | $ | 75,839,417 | $ | 75,408,336 |
(1) | Prior period amounts have been conformed to current year presentation. See Notes to Financial Statements, Note 10 – New Accounting Pronouncements for further details. |
(2) | The composition and per share amounts of the Fund’s distributions are presented in the Financial Highlights. The distribution information for the Fund as of its most recent tax year end is presented within the Notes to Financial Statements, Note 6 – Income Tax Information. |
(3) | For the fiscal year ended June 30, 2018, the Fund’s distributions to common shareholders were paid from net investment income. |
See accompanying notes to financial statements.
28
Year Ended June 30, 2019
Cash Flows from Operating Activities: | ||||
Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations | $ | 3,837,527 | ||
Adjustments to reconcile the net increase (decrease) in net assets applicable to common shares | ||||
Purchases of investments | (169,836,005 | ) | ||
Proceeds from sales and maturities of investments | 173,348,735 | |||
Proceeds from (Purchases of) short-term investments, net | (1,136,799 | ) | ||
Proceeds from litigation settlement | 8,531 | |||
Amortization (Accretion) of premiums and discounts, net | (22,134 | ) | ||
(Increase) Decrease in: | ||||
Receivable for interest | 37,603 | |||
Receivable for investments sold | 596,678 | |||
Receivable for paydowns | 1,591 | |||
Receivable for reclaims | 53 | |||
Receivable for variation margin on futures contracts | (883 | ) | ||
Other assets | (638 | ) | ||
Increase (Decrease) in: | ||||
Payable for investments purchased | (2,581,877 | ) | ||
Payable for variation margin on futures contracts | 1,719 | |||
Accrued interest | (2,761 | ) | ||
Accrued management fees | 95 | |||
Accrued Trustees fees | (40 | ) | ||
Accrued other expenses | (2,664 | ) | ||
Net realized (gain) loss from: | ||||
Investments | (191,132 | ) | ||
Paydowns | 68,118 | |||
Change in net unrealized appreciation (depreciation) of: | ||||
Investments | (2,576,872 | ) | ||
Swaps | 1,230,891 | |||
Net cash provided by (used in) operating activities | 2,779,736 | |||
Cash Flows from Financing Activities: | ||||
Proceeds from reverse repurchase agreements | 3,026,504 | |||
Purchase for reverse repurchase agreements | (2,067,504 | ) | ||
Cash distributions paid to common shareholders | (3,405,962 | ) | ||
Net cash provided by (used in) financing activities | (2,446,962 | ) | ||
Net Increase (Decrease) in Cash and Cash Collateral at Brokers | 332,774 | |||
Cash and cash collateral at brokers at the beginning of period | 108,467 | |||
Cash and cash collateral at brokers at the end of period | $ | 441,241 | ||
Supplemental Disclosures of Cash Flow Information | ||||
Cash paid for interest | $ | 518,648 |
See accompanying notes to financial statements.
29
Selected data for a share outstanding throughout each period:
Investment Operations | Less Distributions to Common Shareholders | Common Share | ||||||||||||||||||||||||||||||||||||||||||
Beginning Common Share NAV | Net Investment Income (Loss)(a) | Net | Total | From Net Investment Income | From Accumulated Net Realized Gains | Return of Capital | Total | Discount From Shares Repurchase and Retired | Ending NAV | Ending Share Price | ||||||||||||||||||||||||||||||||||
Year Ended 6/30: | ||||||||||||||||||||||||||||||||||||||||||||
2019 | $ | 7.97 | $ | 0.32 | $ | 0.08 | $ | 0.40 | $ | (0.36 | ) | $ | — | $ | — | $ | (0.36 | ) | $ | — | $ | 8.01 | $ | 7.33 | ||||||||||||||||||||
2018 | 8.15 | 0.35 | (0.13 | ) | 0.22 | (0.40 | ) | — | — | (0.40 | ) | — | 7.97 | 7.00 | ||||||||||||||||||||||||||||||
2017 | 8.07 | 0.39 | 0.12 | 0.51 | (0.43 | ) | — | — | (0.43 | ) | — | 8.15 | 7.49 | |||||||||||||||||||||||||||||||
2016 | 8.40 | 0.41 | (0.26 | ) | 0.15 | (0.48 | ) | — | — | (0.48 | ) | — | * | 8.07 | 7.48 | |||||||||||||||||||||||||||||
2015 | 8.72 | 0.47 | (0.31 | ) | 0.16 | (0.48 | ) | — | — | (0.48 | ) | — | 8.40 | 7.21 |
30
Ratios/Supplemental Data Applicable to Common Shares | ||||||||||||||||||||||||||||||
Common Share Total Returns | Ratios to Average Net Assets Before Reimbursement(c) | Ratios to Average Net Assets After Reimbursement(c)(d) | ||||||||||||||||||||||||||||
Based on NAV(b) | Based on Share Price(b) | Ending Net Assets (000) | Expenses | Net Investment Income (Loss) | Expenses | Net Investment Income (Loss) | Portfolio Turnover Rate(e) | |||||||||||||||||||||||
5.16 | % | 10.14 | % | $ | 75,839 | 2.19 | % | 4.08 | % | 2.19 | % | 4.08 | % | 159 | % | |||||||||||||||
2.60 | (1.37 | ) | 75,408 | 1.88 | 4.28 | 1.88 | 4.28 | 165 | ||||||||||||||||||||||
6.62 | 6.08 | 77,147 | 1.71 | 4.72 | 1.64 | 4.79 | 191 | |||||||||||||||||||||||
1.89 | 10.86 | 76,350 | 1.68 | 4.66 | 1.30 | 5.05 | 205 | |||||||||||||||||||||||
1.88 | (1.24 | ) | 79,498 | 1.60 | 5.14 | 1.26 | 5.47 | 143 |
(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 common 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 reverse repurchase agreements (as described in Note 8 – Fund Leverage, Reverse Repurchase Agreements), where applicable. |
• | Each ratio includes the effect of all interest expenses paid and other costs related to reverse repurchase agreements, where applicable, as follows: |
Ratios of Interest Expense to Average Net Assets Applicable to Common Shares | ||||
Year Ended 6/30: |
| |||
2019 | 0.69 | % | ||
2018 | 0.41 | |||
2017 | 0.23 | |||
2016 | 0.15 | |||
2015 | 0.12 |
(d) | After fee waiver and/or expense reimbursement from the Adviser, where applicable. As of September 8, 2016, the Adviser is no longer contractually reimbursing the Fund for any fees and expenses. |
(e) | Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period. |
* | Rounds to less than $0.01 per common share. |
See accompanying notes to financial statements.
31
Financial Statements
1. General Information and Significant Accounting Policies
General Information
Fund Information
Nuveen Multi-Market Income Fund (the “Fund”) is registered under the Investment Company Act of 1940, as amended, as a diversified closed-end management investment company. The Fund’s shares are listed on the New York Stock Exchange (“NYSE”) and trade under the ticker symbol “JMM.” The Fund was organized as a Massachusetts business trust on May 27, 2014 (previously organized as a Virginia corporation).
The end of the reporting period for the Fund is June 30, 2019, and the period covered by these Notes to Financial Statements is the fiscal year ended June 30, 2019 (the “current fiscal period”).
Investment Adviser
The Fund’s investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a subsidiary of Nuveen, LLC (“Nuveen”). Nuveen is the investment management arm of Teachers Insurance and Annuity Association of America (TIAA). The Adviser has overall responsibility for management of the Fund, oversees the management of the Fund’s portfolio, manages the Fund’s business affairs and provides certain clerical, bookkeeping and other administrative services, and, if necessary, asset allocation decisions. The Adviser has entered into a sub-advisory agreement with Nuveen Asset Management, LLC (the “Sub-Adviser”), a subsidiary of the Adviser, under which theSub-Adviser manages the Fund’s investment portfolio.
Investment Objective and Principal Investment Strategies
The Fund seeks to provide high monthly income consistent with prudent risk to capital. The Fund will invest primarily in debt securities, including, but not limited to, U.S. agency and privately issued mortgage-backed securities, corporate debt securities, and asset-backed securities. Under normal market conditions, at least 65% of the Fund’s total assets must be invested in securities that, at the time of purchase, are rated investment-grade or of comparable quality. No more than 35% of the Fund’s total assets may be held in high-yield issues. The Fund is authorized to borrow funds or issue senior securities in amounts not exceeding 331⁄3% of its total assets. The Fund may utilize derivatives including options; futures contracts; options on futures contracts; interest-rate caps, collars and floors; interest-rate, total return, and credit default swap agreements; and options on the foregoing type of swap agreements.
Significant Accounting Policies
The 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 Fund in the preparation of its 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 Fund has earmarked securities in its portfolio with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments.
As of the end of the reporting period, the Fund’s outstanding when-issued/delayed delivery purchase commitments were as follows:
Outstanding when-issued/delayed delivery purchase commitments | $ | 9,293,167 |
Investment Income
Dividend income is recorded on the ex-dividend date or, for foreign securities, when information is available. Non-cash dividends received in the form of stock, if any, are recognized on the ex-dividend date and recorded at fair value. Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Interest income also reflects payment-in-kind (“PIK”) interest, fees earned from reverse repurchase agreements and paydown gains and losses, if any. PIK interest represents income received in the form of securities in lieu of cash. Fees earned from reverse repurchase agreements are further described in Note 8 – Fund Leverage, Reverse Repurchase Agreements.
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.
32
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 declared and distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.
Distributions to 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 Fund pays no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Fund from the Adviser or its affiliates. The Fund’s Board of Trustees (the “Board”) has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen-advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen-advised funds.
Indemnifications
Under the Fund’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts that provide general indemnifications to other parties. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
Netting Agreements
In the ordinary course of business, the Fund may enter into transactions subject to enforceable master repurchase agreements, International Swaps and Derivatives Association, Inc. (ISDA) master agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows the Fund to offset certain securities and derivatives with a specific counterparty, when applicable, as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, the Fund manages its cash collateral and securities collateral on a counterparty basis.
The Fund’s investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 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 current fiscal period. Actual results may differ from those estimates.
2. Investment Valuation and Fair Value Measurements
The fair valuation input levels as described below are for fair value measurement purposes.
Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.
Level 1 – | Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities. | |
Level 2 – | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, credit spreads, etc.). | |
Level 3 – | Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments). |
Common stocks and other equity-type securities are valued at the last sales price on the securities exchange on which such securities are primarily traded and are generally classified as Level 1. Securities primarily traded on the Nasdaq National Market (“Nasdaq”) are valued at the Nasdaq Official Closing Price and are generally classified as Level 1. However, securities traded on a securities exchange or Nasdaq for which there were no transactions on a given day or securities not listed on a securities exchange or Nasdaq are valued at the quoted bid price and are generally classified as Level 2.
Prices of fixed-income securities are provided by an independent pricing service (“pricing service”) approved by the Board. The pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon,
33
Notes to Financial Statements(continued)
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.
Investments in investment companies are valued at their respective net asset value (“NAV”) on valuation date and are generally classified as Level 1.
Prices of swap contracts are also provided by a pricing service approved by the Board using the same methods as described above and are generally classified as Level 2.
Futures contracts are valued using the closing settlement price or, in the absence of such a price, the last traded price and are generally classified as Level 1.
Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities 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 apre-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 the Fund’s NAV (as may be the case in non-U.S. markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the security’s fair value. As a general principle, the fair value of a security would appear to be the amount that the owner might reasonably expect to receive for it in a current sale. A variety of factors may be considered in determining the fair value of such securities, which may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Board and/or its appointee.
The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments*: | ||||||||||||||||
Asset-Backed and Mortgage-Backed Securities | $ | — | $ | 83,097,062 | $ | — | $ | 83,097,062 | ||||||||
Corporate Bonds | — | 19,120,035 | — | 19,120,035 | ||||||||||||
Sovereign Debt | — | 1,180,483 | — | 1,180,483 | ||||||||||||
Contingent Capital Securities | — | 598,640 | — | 598,640 | ||||||||||||
Investment Companies | 415,040 | — | — | 415,040 | ||||||||||||
$1,000 Par (or similar) Institutional Preferred | — | 209,000 | — | 209,000 | ||||||||||||
Short-Term Investments: | ||||||||||||||||
Repurchase Agreements | — | 2,568,692 | — | 2,568,692 | ||||||||||||
Investments in Derivatives: | ||||||||||||||||
Futures Contracts** | (196,140 | ) | — | — | (196,140 | ) | ||||||||||
Interest Rate Swaps** | — | (471,918 | ) | — | (471,918 | ) | ||||||||||
Total | $ | 218,900 | $ | 106,301,994 | $ | — | $ | 106,520,894 |
* | Refer to the Fund’s Portfolio of Investments for industry and country classifications, where applicable. |
** | Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments. |
3. Portfolio Securities and Investments in Derivatives
Portfolio Securities
Dollar Roll Transactions
The Fund is authorized to enter into dollar roll transactions (“dollar rolls”) in which the Fund purchases or sells mortgage-backed securities (“MBS”) for delivery in the future and simultaneously contracts to sell or repurchase a substantially similar (same type, coupon, and maturity) MBS on a different specified future date. Dollar rolls are identified in the Portfolio of Investments as “MDR”, when applicable. During the roll period, the Fund foregoes
34
principal and interest paid on the MBS. The Fund is compensated by the difference between the current sales price and the lower forward price for the future purchase. Such compensation is recognized as a component of “Net realized gain (loss) from investments” on the Statement of Operations. Dollar rolls are valued daily.
Dollar rolls involve the risk that the market value of the MBS the Fund is obligated to repurchase under an agreement may decline below the repurchase price. These transactions also involve some risk to the Fund if the other party should default on its obligation and the Fund is delayed or prevented from completing the transaction. In the event that the buyer of securities under a dollar roll files for bankruptcy or becomes insolvent, the Fund’s use of proceeds of the dollar roll may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to repurchase the securities.
Repurchase Agreements
In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.
The following table presents the repurchase agreements for the Fund that are subject to netting agreements as of the end of the reporting period, and the collateral delivered related to those repurchase agreements.
Counterparty | Short-Term Investments, at Value | Collateral Pledged (From) Counterparty* | Net Exposure | |||||||||
Fixed Income Clearing Corporation | $ | 2,568,692 | $ | (2,568,692 | ) | $ | — |
* | As of the end of the reporting period, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. Refer to the Fund’s Portfolio of Investments for details on the repurchase agreements. |
Zero Coupon Securities
A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.
Investment in Derivatives
The Fund is authorized to invest in certain derivative instruments, such as futures, options and swap contracts. The 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 Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund’s investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.
Futures Contracts
Upon execution of a futures contract, 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 held by the broker to cover initial margin requirements on open futures contracts, if any, is recognized as “Cash collateral at brokers for investments in futures contracts” on the Statement of Assets and Liabilities. Investments in futures contracts obligate the Fund and the clearing broker to settle monies on a daily basis representing changes in the prior days “mark-to-market” of the open contracts. If the Fund has unrealized appreciation the clearing broker will credit the Fund’s account with an amount equal to appreciation. Conversely, if the Fund has unrealized depreciation the clearing broker will debit the Fund’s account with an amount equal to depreciation. These daily cash settlements are also known as “variation margin.” Variation margin is recognized as a receivable and/or payable for “Variation margin on futures contracts” on the Statement of Assets and Liabilities.
During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by “marking-to-market” on a daily basis to reflect the changes in market value of the contract, which is recognized as a component of “Change in net unrealized appreciation (depreciation) of futures contracts” on the Statement of Operations. When the contract is closed or expired, a Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and value of the contract when originally entered into, which is recognized as a component of “Net realized gain (loss) from futures contracts” on the Statement of Operations.
Risks of investments in futures contracts include the possible adverse movement in the price of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and/or that a change in the value of the contract may not correlate with a change in the value of the underlying securities or indices.
35
Notes to Financial Statements(continued)
During the current fiscal period, the Fund used U.S. Treasury futures as part of an overall portfolio construction strategy to manage portfolio duration and yield curve exposure.
The average notional amount of futures contracts outstanding during the current fiscal period was as follows:
Average notional amount of futures contracts outstanding* | $20,004,159 |
* | The average notional amount is calculated based on the absolute aggregate notional amount of contracts outstanding at the beginning of the current fiscal period and at the end of each fiscal quarter within the current fiscal period. |
The following table presents the fair value of all futures contracts held by the Fund as of 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 Risk Exposure | Derivative Instrument | Asset Derivatives | (Liability) Derivatives | |||||||||||||||
Location | Value | Location | Value | |||||||||||||||
Interest rate | Futures contracts | Receivable for variation margin on futures contracts* | $ | (80,202 | ) | Payable for variation margin on futures contracts* | $ | (159,648 | ) | |||||||||
Interest rate | Futures contracts | — | — | Payable for variation margin on futures contracts* | 43,710 | |||||||||||||
Total | $ | (80,202 | ) | $ | (115,938 | ) |
* | Value represents unrealized appreciation (depreciation) of futures contracts as reported in the Fund’s Portfolio of Investments and not the asset and/or liability derivative location as described in the table above. |
The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on futures contracts on the Statement of Operations during the current fiscal period, and the primary underlying risk exposure.
Underlying Risk Exposure | Derivative Instrument | Net Realized Gain (Loss) from Futures Contracts | Change in Net Unrealized Appreciation (Depreciation) of Futures Contracts | |||||||
Interest rate | Futures contracts | $ | (599,944 | ) | $ | (215,090 | ) |
Interest Rate Swap Contracts
Interest rate swap contracts involve the 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 the 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 for an interest rate swap is based on the notional amount and the termination date of the contract. Interest rate swap contracts do not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the net amount of interest payments that the Fund is to receive.
Interest rate swap contracts are valued daily. Upon entering into an interest rate swap contract (and beginning on the effective date for a forward interest rate swap contract), the Fund accrues the fixed rate payment expected to be paid or received and the variable rate payment expected to be received or paid on the interest rate swap contracts on a daily basis, and recognizes the daily change in the fair value of the Fund’s contractual rights and obligations under the contracts. For anover-the-counter (“OTC”) swap that is not cleared through a clearing house (“OTC Uncleared”), the amount recorded on these transactions is recognized on the Statement of Assets and Liabilities as a component of “Unrealized appreciation or depreciation on interest rate swaps.”
Upon the execution of an OTC swap cleared through a clearing house (“OTC Cleared”), the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker equal to a specified percentage of the contract amount. Cash deposited by the Fund to cover initial margin requirements on open swap contracts, if any, is recognized as a component of “Cash collateral at brokers for investments in swaps” on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate the Fund and the clearing broker to settle monies on a daily basis representing changes in the prior day’s“mark-to-market” of the swap contract. If the Fund has unrealized appreciation, the clearing broker will credit the Fund’s account with an amount equal to the appreciation. Conversely, if the Fund has unrealized depreciation, the clearing broker will debit the Fund’s account with an amount equal to the depreciation. These daily cash settlements are also known as “variation margin.” Variation margin for OTC Cleared swaps is recognized as a receivable and/or payable for “Variation margin on swap contracts” on the Statement of Assets and Liabilities. Upon the execution of an OTC Uncleared swap, neither the Fund nor the counterparty is required to deposit initial margin as the trades are recorded bilaterally between both parties to the swap contract, and the terms of the variation margin are subject to a predetermined threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is recognized as a component of “Unrealized appreciation or depreciation on interest rate swaps” as described in the preceding paragraph.
36
The net amount of periodic payments settled in cash are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations, in addition to the net realized gain or loss recorded upon the termination of the swap contract. For tax purposes, payments expected to be received or paid on the swap contracts are treated as ordinary income or expense, respectively. Changes in the value of the swap contracts during the fiscal period are recognized as a component of “Change in net unrealized appreciation (depreciation) of swaps” on the Statement of Operations. In certain instances, payments are made or received upon entering into the swap contract to compensate for differences between the stated terms of the swap agreements and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Payments received or made at the beginning of the measurement period, if any, are recognized as “Interest rate swaps premiums received and/or paid” on the Statement of Assets and Liabilities.
During the current fiscal period, the Fund used interest rate swap contracts as part of an overall portfolio construction strategy to manage duration and overall portfolio yield curve exposure.
The average notional amount of interest rate swap contracts outstanding during the current fiscal period was as follows:
Average notional amount of interest rate swap contracts outstanding* | $ | 17,000,000 |
* | The average notional amount is calculated based on the outstanding notional at the beginning of the current fiscal period and at the end of each fiscal quarter within the current fiscal period. |
The following table presents the fair value of all swap contracts held by the Fund 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 Statements of Assets and Liabilities | ||||||||||||||||||
Underlying Risk Exposure | Derivative Instrument | Asset Derivatives | (Liability) Derivatives | |||||||||||||||
Location | Value | Location | Value | |||||||||||||||
Interest rate | Swaps (OTC Uncleared) | — | $ | — | Unrealized depreciation on interest rate swaps** | $ | (471,918 | ) |
** | Some swap contracts require a counterparty to pay or receive a premium, which is disclosed on the Statement of Assets and Liabilities, when applicable, and is not reflected in the cumulative unrealized appreciation (depreciation) presented above. |
The following table presents the swap contracts subject to netting agreements and the collateral delivered related to those swap contracts as of the end of the reporting period.
Gross Amounts not offset on the Statement of Assets and Liabilities | ||||||||||||||||||||||||
Counterparty | Gross Unrealized Appreciation on Interest Rate Swaps*** | Gross Unrealized (Depreciation) on Interest Rate Swaps*** | Net Unrealized Appreciation (Depreciation) on Interest Rate Swaps | Interest Rate Swaps Premiums Paid | Collateral to (from) | Net Exposure | ||||||||||||||||||
Morgan Stanley Capital Services LLC | $ | — | $ | (471,918 | ) | $ | (471,918 | ) | $ | — | $ | 310,796 | $ | (161,122 | ) |
*** | 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 (depreciation) recognized on swap contracts on the Statement of Operations during the current fiscal period, and the primary underlying risk exposure.
Underlying Risk Exposure | Derivative Instrument | Net Realized Gain (Loss) from Swaps | Change in Net Unrealized Appreciation (Depreciation) of Swaps | |||||||||
Interest rate | Swaps | $ | 58,371 | $ | (1,230,891 | ) |
Market and Counterparty Credit Risk
In the normal course of business the Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose the Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of the Fund’s exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and Liabilities.
37
Notes to Financial Statements(continued)
The Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of the Fund with a value approximately equal to the amount of any unrealized gain above apre-determined threshold. Reciprocally, when the Fund has an unrealized loss, the Fund has instructed the custodian to pledge assets of the Fund as collateral with a value approximately equal to the amount of the unrealized loss above apre-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
Common Share Transactions
The Fund did not have any transactions in common shares during the current and prior fiscal periods.
5. Investment Transactions
Long-term purchases and sales (including maturities and dollar roll transactions, but excluding derivative transactions) during the current fiscal period aggregated $169,836,005 and $173,348,735 respectively.
6. Income Tax Information
The Fund intends to distribute substantially all of its net investment company taxable income to common 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 Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
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. 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 common share NAV of the Fund.
The tables below present the cost and unrealized appreciation (depreciation) of the Fund’s investment portfolio, as determined on a federal income tax basis as of June 30, 2019.
For purposes of this disclosure, derivative tax cost is generally the sum of any upfront fees or premiums exchanged and any amounts unrealized for income statement reporting but realized in income and/or capital gains for tax reporting. If a particular derivative category does not disclose any tax unrealized appreciation or depreciation, the change in value of those derivatives have generally been fully realized for tax purposes.
Tax cost of investments | $ | 105,694,076 | ||
Gross unrealized: | ||||
Appreciation | $ | 2,617,110 | ||
Depreciation | (1,122,234 | ) | ||
Net unrealized appreciation (depreciation) of investments | $ | 1,494,876 | ||
Tax cost of futures contracts | $ | (196,140) | ||
Net unrealized appreciation (depreciation) of futures contracts | — | |||
Tax cost of swaps | $ | — | ||
Net unrealized appreciation (depreciation) of swaps | (471,918 | ) |
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Permanent differences, primarily due to paydowns, bond premium amortization adjustments, treatment of notional principal contracts and complex securities character adjustments, resulted in reclassifications among the Fund’s components of net assets as of June 30, 2019, the Fund’s tax year end. |
| |||
The tax components of undistributed net ordinary income and net long-term capital gains as of June 30, 2019, the Fund’s tax year end, were as follows: |
| |||
Undistributed net ordinary income1 | $ | 385,585 | ||
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. |
The tax character of distributions paid during the Fund’s tax year ended June 30, 2019 and June 30, 2018 was designated for purposes of the dividends paid deduction as follows:
2019 | ||||
Distributions from net ordinary income1 | $ | 3,406,446 | ||
Distributions from net long-term capital gains | — |
2018 | ||||
Distributions from net ordinary income1 | $ | 3,832,252 | ||
Distributions from 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. |
As of June 30, 2019, the Fund’s tax year end, the Fund had unused capital losses carrying forward available for federal income tax purposes to be applied against future capital gains, if any. The capital losses are not subject to expiration.
Not subject to expiration: | ||||
Short-term | $ | 515,782 | ||
Long-term | 7,205,740 | |||
Total | $ | 7,721,522 |
7. Management Fees
The Fund’s management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. TheSub-Adviser is compensated for its services to the Fund from the management fees paid to the Adviser.
The Fund’s management fee consists of two components – a fund-level fee, based only on the amount of assets within the Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables Fund shareholders to benefit from growth in the assets within the Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.
The annual fund-level fee, payable monthly, is calculated according to the following schedule:
Average Daily Managed Assets* | Fund-Level Fee Rate | |||
For the first $125 million | 0.7000 | % | ||
For the next $125 million | 0.6875 | |||
For the next $150 million | 0.6750 | |||
For the next $600 million | 0.6625 | |||
For managed assets over $1 billion | 0.6500 |
39
Notes to Financial Statements(continued)
The annual complex-level fee, payable monthly, 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 Eligible Asset Breakpoint Level* | Effective Complex-Level Fee Rate at Breakpoint Level | |||
$55 billion | 0.2000 | % | ||
$56 billion | 0.1996 | |||
$57 billion | 0.1989 | |||
$60 billion | 0.1961 | |||
$63 billion | 0.1931 | |||
$66 billion | 0.1900 | |||
$71 billion | 0.1851 | |||
$76 billion | 0.1806 | |||
$80 billion | 0.1773 | |||
$91 billion | 0.1691 | |||
$125 billion | 0.1599 | |||
$200 billion | 0.1505 | |||
$250 billion | 0.1469 | |||
$300 billion | 0.1445 |
* | 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 open-end and closed-end 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, but do include certain assets of certain Nuveen funds that were reorganized into funds advised by an affiliate of the Adviser during the 2019 calendar year. As of June 30, 2019, the complex-level fee for the Fund was 0.1577%. |
8. Fund Leverage
Reverse Repurchase Agreements
During the current fiscal period, the Fund entered into reverse repurchase agreements as a means of leverage.
In a reverse repurchase agreement, the Fund sells to the counterparty a security that it holds with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date, with the Fund retaining the risk of loss that is associated with that security. The Fund will segregate assets determined to be liquid by the Adviser to cover its obligations under reverse repurchase agreements. Securities sold under reverse repurchase agreements are recorded as a liability and recognized as “Reverse repurchase agreements” on the Statement of Assets and Liabilities.
Interest payments made on reverse repurchase agreements are recognized as a component of “Interest expense” on the Statement of Operations. In periods of increased demand for the security, the Fund receives a fee for use of the security by the counterparty. This results in interest income to the Fund, which is recognized as a component of “Interest income” on the Statement of Operations.
As of the end of the reporting period, the Fund’s outstanding balances on its reverse repurchase agreements were as follows:
Counterparty | Coupon | Principal Amount | Maturity | Value | Value and Accrued Interest | |||||||||||||||
BNP Paribas | 2.67 | % | $ | (15,155,000 | ) | 7/24/19 | $ | (15,155,000 | ) | $ | (15,162,868 | ) | ||||||||
Goldman Sachs | 2.90 | (6,238,000 | ) | 7/24/19 | (6,238,000 | ) | (6,241,518 | ) | ||||||||||||
$ | (21,393,000 | ) | $ | (21,393,000 | ) | $ | (21,404,386 | ) |
During the current fiscal period, the average daily balance outstanding and average interest rate on the Fund’s reverse repurchase agreements were as follows:
Average daily balance outstanding | $ | 20,085,076 | ||
Average interest rate | 2.57 | % |
40
The following table presents the reverse repurchase agreements subject to netting agreements and the collateral delivered related to those reverse repurchase agreements.
Counterparty | Reverse Repurchase Agreements* | Collateral Pledged to Counterparty** | Net Exposure | |||||||||
BNP Paribas | $ | (15,162,868 | ) | $ | 15,162,868 | $ | — | |||||
Goldman Sachs | (6,241,518 | ) | 6,241,518 | — | ||||||||
$ | (21,404,386 | ) | $ | 21,404,386 | $ | — |
* | Represents gross value and accrued interest for the counterparty as reported in the preceding table. |
** | As of the end of the reporting period, the value of the collateral pledged to the counterparty exceeded the value of the reverse repurchase agreements. |
9. Borrowing Arrangements
Inter-Fund Borrowing and Lending
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting registered open-end and closed-end Nuveen funds to participate in an inter-fund lending facility whereby the Nuveen funds may directly lend to and borrow money from each other for temporary purposes (e.g., to satisfy redemption requests or when a sale of securities “fails,” resulting in an unanticipated cash shortfall) (the “Inter-Fund Program”). The closed-end Nuveen funds, including the Fund covered by this shareholder report, will participate only as lenders, and not as borrowers, in the Inter-Fund Program because such closed-end funds rarely, if ever, need to borrow cash to meet redemptions. The Inter-Fund Program is subject to a number of conditions, including, among other things, the requirements that (1) no fund may borrow or lend money through the Inter-Fund Program unless it receives a more favorable interest rate than is typically available from a bank or other financial institution for a comparable transaction; (2) no fund may borrow on an unsecured basis through the Inter-Fund Program unless the fund’s outstanding borrowings from all sources immediately after the inter-fund borrowing total 10% or less of its total assets; provided that if the borrowing fund has a secured borrowing outstanding from any other lender, including but not limited to another fund, the inter-fund loan must be secured on at least an equal priority basis with at least an equivalent percentage of collateral to loan value; (3) if a fund’s total outstanding borrowings immediately after an inter-fund borrowing would be greater than 10% of its total assets, the fund may borrow through the inter-fund loan on a secured basis only; (4) no fund may lend money if the loan would cause its aggregate outstanding loans through the Inter-Fund Program to exceed 15% of its net assets at the time of the loan; (5) a fund’s inter-fund loans to any one fund shall not exceed 5% of the lending fund’s net assets; (6) the duration of inter-fund loans will be limited to the time required to receive payment for securities sold, but in no event more than seven days; and (7) each inter-fund loan may be called on one business day’s notice by a lending fund and may be repaid on any day by a borrowing fund. In addition, a Nuveen fund may participate in the Inter-Fund Program only if and to the extent that such participation is consistent with the fund’s investment objective and investment policies. The Board is responsible for overseeing the Inter-Fund Program.
The limitations detailed above and the other conditions of the SEC exemptive order permitting the Inter-Fund Program are designed to minimize the risks associated with Inter-Fund Program for both the lending fund and the borrowing fund. However, no borrowing or lending activity is without risk. When a fund borrows money from another fund, there is a risk that the loan could be called on one day’s notice or not renewed, in which case the fund may have to borrow from a bank at a higher rate or take other actions to payoff such loan if an inter-fund loan is not available from another fund. Any delay in repayment to a lending fund could result in a lost investment opportunity or additional borrowing costs.
During the current reporting period, the Fund did not enter into any inter-fund loan activity.
10. New Accounting Pronouncements
Disclosure Update and Simplification
During August 2018, the SEC issued Final Rule Release No. 33-10532, Disclosure Update and Simplification (“Final Rule Release No. 33-10532”). Final Rule Release No. 33-10532 amends certain financial statement disclosure requirements to conform to U.S. GAAP. The amendments to Rule 6-04.17 of Regulation S-X (balance sheet) remove the requirement to separately state the book basis components of net assets: undistributed (over-distribution of) net investment income (“UNII”), accumulated undistributed net realized gains (losses), and net unrealized appreciation (depreciation) at the balance sheet date. Instead, consistent with U.S. GAAP, funds will be required to disclose total distributable earnings. The amendments to Rule 6-09 of Regulation S-X (statement of changes in net assets) remove the requirement to separately state the sources of distributions paid. Instead, consistent with U.S. GAAP, funds will be required to disclose the total amount of distributions paid, except that any tax return of capital must be separately disclosed. The amendments also remove the requirement to parenthetically state the book basis amount of UNII on the statement of changes in net assets.
The requirements of Final Rule Release No. 33-10532 are effective November 5, 2018, and the Funds’ Statement of Assets and Liabilities and Statement of Changes in Net Assets for the current reporting period have been modified accordingly. In addition, certain amounts within each Fund’s Statement of Changes in Net Assets for the prior fiscal period have been modified to conform to Final Rule Release No. 33-10532.
For the prior fiscal period, the total amount of distributions paid to shareholders from net investment income and from accumulated net realized gains, if any, are recognized as “Dividends” on the Statement of Changes in Net Assets.
41
Notes to Financial Statements(continued)
As of June 30, 2018, the Funds’ Statement of Changes in Net Assets reflected the following UNII balances.
UNII at the end of period | $(62,147) |
FASB Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities
The FASB has 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
Fair Value Measurement: Disclosure Framework
During August 2018, the FASB issued ASU 2018-13 (“ASU 2018-13”),Fair Value Measurement: Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurements. ASU 2018-13 modifies the disclosures required by Topic 820,Fair Value Measurements. The amendments in ASU 2018-13 are effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has early implemented this guidance and it did not have a material impact on the Fund’s financial statements.
11. Subsequent Events
Reverse Repurchase Agreements
During August 2019, the Fund decreased its reverse repurchase agreement amount to $28,359,000.
42
Additional Fund Information(Unaudited)
Board of Trustees | ||||||||
Margo Cook* | Jack B. Evans | William C. Hunter | Albin F. Moschner | John K. Nelson | ||||
Judith M. Stockdale | Carole E. Stone | Terence J. Toth | Margaret L. Wolff | Robert L. Young |
* | Interested Board Member. |
Fund Manager Nuveen Fund Advisors, LLC 333 West Wacker Drive Chicago, IL 60606 | Custodian State Street Bank One Lincoln Street Boston, MA 02111 | Legal Counsel Chapman and Cutler LLP Chicago, IL 60603 | Independent Registered KPMG LLP 200 East Randolph Street Chicago, IL 60601 | Transfer Agent and Computershare Trust Company, N.A. 250 Royall Street Canton, MA 02021 (800) 257-8787 |
Distribution Information
The Fund hereby designates its percentage of dividends paid from net ordinary income as dividends qualifying as Interest-Related Dividends and/orshort-term capital gain dividends as defined in Internal Revenue Code Section 871(k) for the taxable year ended June 30, 2019:
% of Interest-Related Dividends | 88.1% |
Portfolio of Investments Information
The Fund is required to file its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its report on Form N-PORT. You may obtain this information on the SEC’s website at http://www.sec.gov.
Nuveen Funds’ Proxy Voting Information
You may obtain (i) information regarding how each fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, without charge, upon request, by calling Nuveen toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com and (ii) a description of the policies and procedures that each fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen toll free at (800) 257-8787. You may also obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov.
CEO Certification Disclosure
The 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. The 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
The 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, the 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.
JMM | ||||
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 FlNRA BrokerCheck is available to the public by calling the FINRA BrokerCheck Hotline number at (800) 289-9999 or by visiting www.FINRA.org.
43
Used in this Report
(Unaudited)
∎ | Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in NAV or market price and reinvested dividends and capital gains distributions, if any) over the time period being considered. |
∎ | Beta: A measure of the variability of the change in the share price for a fund in relation to a change in the value of the fund’s market benchmark. Securities with betas higher than 1.0 have been, and are expected to be, more volatile than the benchmark; securities with betas lower than 1.0 have been, and are expected to be, less volatile than the benchmark. |
∎ | Blended Benchmark: A two index blend comprised of weightings approximating the Fund’s proposed portfolio: 25% Bloomberg Barclays U.S. Corporate High-Yield Index and 75% Bloomberg Barclays U.S. Government/Mortgage Index. 1) Bloomberg Barclays U.S. Corporate High-Yield Index: An unmanaged index that covers the universe of domestic fixed-rate non-investment grade debt; and 2) Bloomberg Barclays U.S. Government/Mortgage Index: An unmanaged index considered representative of U.S. government treasury securities and agencymortgage-back securities. Benchmark returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees. |
∎ | Bloomberg Barclays U.S. Government/Mortgage Bond Index: The index measures the performance of U.S. government bonds and mortgage-related securities. Index returns assume reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees. |
∎ | Contingent Capital Securities (CoCos): CoCos are debt or capital securities of primarily non-U.S. issuers with loss absorption contingency mechanisms built into the terms of the security, for example a mandatory conversion into common stock of the issuer, or a principal write-down, which if triggered would likely cause the CoCo investment to lose value. Loss absorption mechanisms would become effective upon the occurrence of a specified contingency event, or at the discretion of a regulatory body. Specified contingency events, as identified in the CoCo’s governing documents, usually reference a decline in the issuer’s capital below a specified threshold level, and/or certain regulatory events. A loss absorption contingency event for CoCos would likely be the result of, or related to, the deterioration of the issuer’s financial condition and/or its status as a going concern. In such a case, with respect to CoCos that provide for conversion into common stock upon the occurrence of the contingency event, the market price of the issuer’s common stock received by the Acquiring Fund will have likely declined, perhaps substantially, and may continue to decline after conversion. CoCos rated below investment grade should be considered high yield securities, or “junk,” but often are issued by entities whose more senior securities are rated investment grade. CoCos are a relatively new type of security; and there is a risk that CoCo security issuers may suffer the sort of future financial distress that could materially increase the likelihood (or the market’s perception of the likelihood) that an automatic write-down or conversion event on those issuers’ CoCos will occur. Additionally, the trading behavior of a given issuer’s CoCo may be strongly impacted by the trading behavior of other issuers’ CoCos, such that negative information from an unrelated CoCo security may cause a decline in value of one or more CoCos held by the Fund. Accordingly, the trading behavior of CoCos may not follow the trading behavior of other types of debt and preferred securities. Despite these concerns, the prospective reward vs. risk characteristics of at least certain CoCos may be very attractive relative to other fixed-income alternatives. |
∎ | 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 below) and the leverage effects of certain derivative investments in the fund’s portfolio. |
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∎ | 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. |
∎ | Leverage: Leverage is created whenever a fund has investment exposure (both reward and/or risk) equivalent to more than 100% of the investment capital. |
∎ | 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. |
∎ | Regulatory Leverage: Regulatory leverage consists of preferred shares issued by or borrowings of the fund. Both of these are part of the fund’s capital structure. Regulatory leverage is subject to asset coverage limits set in the Investment Company Act of 1940. |
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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
Your 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 quarter 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.
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Annual Investment Management Agreement Approval Process
(Unaudited)
At a meeting held onMay 21-23, 2019 (the“May Meeting”), the Board of Trustees (the“Board” and each Trustee, a“Board Member”) of the Fund, including the Board Members who are not “interested persons” (as defined under the Investment Company Act of 1940 (the“1940 Act”)) (the“Independent Board Members”), approved the renewal of the management agreement (the“Investment Management Agreement”) with Nuveen Fund Advisors, LLC (the“Adviser”) pursuant to which the Adviser serves as investment adviser to the Fund and thesub-advisory agreement (the“Sub-Advisory Agreement”) with Nuveen Asset Management, LLC (the“Sub-Adviser”) pursuant to which theSub-Adviser serves as thesub-adviser to the Fund. Following an initialtwo-year period, the Board, including the Independent Board Members, is required under the 1940 Act to review and approve the Investment Management Agreement andSub-Advisory Agreement on behalf of the Fund on an annual basis. The Investment Management Agreement andSub-Advisory Agreement are collectively referred to as the“Advisory Agreements” and the Adviser and theSub-Adviser are collectively, the“Fund Advisers” and each, a“Fund Adviser.”
In response to a request on behalf of the Independent Board Members by independent legal counsel, the Board received and reviewed prior to the May Meeting extensive materials specifically prepared for the annual review of Advisory Agreements by the Adviser as well as by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data. The materials provided in connection with the annual review covered a breadth of subject matter including, but not limited to, a description of the nature, extent and quality of services provided by the Fund Advisers; a review of theSub-Adviser and investment team; an analysis of fund performance in absolute terms and as compared to the performance of certain peer funds and benchmarks with a focus on any performance outliers; an analysis of the fees and expense ratios of the Nuveen funds in absolute terms and as compared to those of certain peer funds with a focus on any expense outliers; a description of portfolio manager compensation; a review of the secondary market trading of shares of the Nuveenclosed-end funds (including, among other things, an analysis of performance, distribution and valuation and capital raising trends in the broaderclosed-end fund market and in particular with respect to Nuveenclosed-end funds; a review of the leverage management actions taken on behalf of the Nuveenclosed-end funds and their resulting impact on performance; and a description of the distribution management process and any capital management activities); a review of the performance of various service providers; a description of various initiatives Nuveen had undertaken or continued during the year for the benefit of particular fund(s) and/or the complex; a description of the profitability or financial data of Nuveen and theSub-Adviser; and a description of indirect benefits received by the Fund Advisers as a result of their relationships with the Nuveen funds. The Board Members held anin-person meeting onApril 17-18, 2019 (the“April Meeting”), in part, to review and discuss the performance of the Nuveen funds and the Adviser’s evaluation of the varioussub-advisers to the Nuveen funds. The Independent Board Members asked questions and requested additional information that was provided for the May Meeting.
The information prepared specifically for the annual review of the Advisory Agreements supplemented the information provided to the Board and its committees throughout the year. The Board and its committees met regularly during the year and the information provided and topics discussed were relevant to the review of the Advisory Agreements. Some of these reports and other data included, among other things, materials that outlined the investment performance of the Nuveen funds; strategic plans of the Adviser which may impact the services it provides to the Nuveen funds; the review of the Nuveen funds and applicable investment teams; the management of leverage financing forclosed-end funds; the secondary market trading of theclosed-end funds and any actions to address discounts; compliance, regulatory and risk management matters; the trading practices of the varioussub-advisers; valuation of securities; fund expenses; and overall market and regulatory developments. The Board further continued its practice of seeking to meet periodically with the varioussub-advisers to the Nuveen funds and their investment teams, when feasible. The Independent Board Members considered the review of the Advisory Agreements to be an ongoing process and employed the accumulated information, knowledge, and experience the Board Members had gained during their tenure on the boards governing the Nuveen funds and working with the Fund Advisers in their review of the Advisory Agreements. The contractual arrangements are a result of multiple years of review, negotiation and information provided in connection with the boards’ annual review of the Nuveen funds’ advisory arrangements and oversight of the Nuveen funds.
The Independent Board Members were advised by independent legal counsel during the annual review process as well as throughout the year, including meeting in executive sessions with such counsel at which no representatives from the Adviser or
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Annual Investment Management Agreement Approval Process(continued)
(Unaudited)
theSub-Adviser were present. In connection with their annual review, the Independent Board Members also received a memorandum from independent legal counsel outlining their fiduciary duties and legal standards in reviewing the Advisory Agreements.
In deciding to renew the Advisory Agreements, the Independent Board Members did not identify a particular factor or information as determinative or controlling, but rather the decision reflected the comprehensive consideration of all the information provided, and each Board Member may have attributed different levels of importance to the various factors and information considered in connection with the approval process. The following summarizes the principal factors and information, but not all the factors, the Board considered in deciding to renew the Advisory Agreements and its conclusions.
A. | Nature, Extent and Quality of Services |
In evaluating the renewal of the Advisory Agreements, the Independent Board Members received and considered information regarding the nature, extent and quality of the applicable Fund Adviser’s services provided to the Fund with particular focus on the services and enhancements to such services provided during the last year. The Board recognized that the Adviser provides a comprehensive set of services necessary to operate the Nuveen funds in a highly regulated industry and noted that the scope of such services has expanded over the years as a result of regulatory, market and other developments, such as the development of the liquidity management program and expanded compliance programs. Some of the functions the Adviser is responsible for include, but are not limited to: product management (such as analyzing a fund’s position in the marketplace, setting dividends, preparing shareholder and intermediary communications and other due diligence support); investment oversight (such as analyzing fund performance,sub-advisers and investment teams and analyzing trade executions of portfolio transactions, soft dollar practices and securities lending activities); securities valuation services (such as executing the daily valuation process for portfolio securities and developing and recommending changes to valuation policies and procedures); risk management (such as overseeing operational and investment risks, including stress testing); fund administration (such as preparing fund tax returns and other tax compliance services, overseeing the Nuveen funds’ independent public accountants and other service providers; managing fund budgets and expenses; and helping to fulfill the funds’ regulatory filing requirements); oversight of shareholder services and transfer agency functions (such as oversight and liaison of transfer agent service providers which include registered shareholder customer service and transaction processing); Board relations services (such as organizing and administering Board and committee meetings, preparing various reports to the Board and committees and providing other support services); compliance and regulatory oversight services (such as developing and maintaining a compliance program to ensure compliance with applicable laws and regulations, monitoring compliance with applicable fund policies and procedures and adherence to investment restrictions, and evaluating the compliance programs of the Nuveen fundsub-advisers and certain other service providers); legal support and oversight of outside law firms (such as with respect to filing and updating registration statements; maintaining various regulatory registrations; and providing legal interpretations regarding fund activities, applicable regulations and implementation of policies and procedures); and leverage, capital and distribution management services. In reviewing the scope and quality of services, the Board recognized the continued efforts and resources the Adviser and its affiliates have employed to continue to enhance their services for the benefit of the complex as well as particular Nuveen funds over recent years. Such service enhancements have included, but are not limited to:
• | Fund Improvements and Product Management Initiatives – continuing to proactively manage the Nuveen fund complex as a whole and at the individual fund level with an aim to enhance the shareholder outcomes through, among other things, repositioning funds, merging funds, reviewing and updating investment policies and benchmarks, modifying the composition of certain portfolio management teams and analyzing various data to help devise such improvements; |
• | Capital Initiatives – continuing to invest capital to support new funds with initial capital as well as to facilitate modifications to the strategies or structure of existing funds; |
• | Compliance Program Initiatives – continuing efforts to enhance the compliance program through, among other things, internally integrating various portfolio management teams and aligning compliance support accordingly, completing a comprehensive review of existing policies and procedures and revising such policies and procedures as appropriate, enhancingcompliance-related technologies and workflows, and optimizing compliance shared services across the organization and affiliates; |
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• | Risk Management and Valuation Services – continuing efforts to strengthen the risk management functions, including through, among other things, enhancing the interaction and reporting between the investment risk management team and various affiliates, increasing the efficiency of risk monitoring performed on the Nuveen funds through improved reporting, continuing to implement risk programs designed to provide a more disciplined and consistent approach to identifying and mitigating operational risks, continuing progress on implementing a liquidity program that complies with the new liquidity regulatory requirements and continuing to oversee the daily valuation process; |
• | Additional Compliance Services – continuing investment of time and resources necessary to develop the compliance policies and procedures and other related tools necessary to meet the various new regulatory requirements affecting the Nuveen funds that have been adopted over recent years; |
• | Government Relations – continuing efforts of various Nuveen teams and affiliates to advocate and communicate their positions with lawmakers and other regulatory bodies on issues that will impact the Nuveen funds; |
• | Business Continuity, Disaster Recovery and Information Services – establishing an information security program to help identify and manage information security risks, periodically testing disaster recovery plans, maintaining and updating business continuity plans and providing reports to the Board, at least annually, addressing, among other things, management’s security risk assessment, cyber risk profile, incident tracking and other relevant information technology risk-related reports; |
• | Expanded Dividend Management Services – continuing to expand the services necessary to manage the dividends among the varying types of Nuveen funds that have developed as the Nuveen complex has grown in size and scope; and |
• | with respect specifically toclosed-end funds, such initiatives also included: |
• | Leverage Management Services – continuing to actively manage leverage including developing new leverage instruments, refinancing existing leverage and negotiating reductions in associated leverage expenses; |
• | Capital Management Services – ongoing capital management efforts through a share repurchase program as well as a shelf offering program that raises additional equity capital in seeking to enhance shareholder value; |
• | Data and Market Analytics – continuing focus on analyzing data and market analytics to better understand the ownership cycles and secondary market experience ofclosed-end funds; and |
• | Closed-end Fund Investor Relations Program – maintaining theclosed-end fund investor relations program which, among other things, raises awareness, provides educational materials and cultivates advocacy forclosed-end funds and the Nuveenclosed-end fund product line. |
In addition to the services provided by the Adviser, the Board also considered the risks borne by the Adviser and its affiliates in managing the Nuveen funds, including entrepreneurial, operational, reputational, regulatory and litigation risks.
The Board further considered the division of responsibilities between the Adviser and theSub-Adviser and recognized that theSub-Adviser and its investment personnel generally are responsible for the management of the Fund’s portfolio. The Board noted that the Adviser oversees theSub-Adviser and considered an analysis of theSub-Adviser provided by the Adviser which included, among other things, theSub-Adviser’s assets under management and changes thereto, a summary of the investment team and changes thereto, the investment approach of the team and the performance of the fundssub-advised by theSub-Adviser over various periods. The Board further considered at the May Meeting or prior meetings evaluations of theSub-Adviser’s compliance program and trade execution. The Board noted that the Adviser recommended the renewal of theSub-Advisory Agreement.
Based on its review, the Board determined, in the exercise of its reasonable business judgment, that it was satisfied with the nature, extent and quality of services provided to the Fund under each applicable Advisory Agreement.
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Annual Investment Management Agreement Approval Process(continued)
(Unaudited)
B. | The Investment Performance of the Fund and Fund Advisers |
In evaluating the quality of the services provided by the Fund Advisers, the Board also received and considered the investment performance of the Nuveen funds they advise. In this regard, the Board reviewed Fund performance over the quarter,one-,three- andfive-year periods ending December 31, 2018 as well as performance data for the first quarter of 2019 ending March 29, 2019. Unless otherwise indicated, the performance data referenced below reflects the periods ended December 31, 2018. The Board considered the Adviser’s analysis of each fund’s performance, with particular focus on funds that were considered performance outliers and the factors contributing to their performance. The Board also noted that it received performance data of the Nuveen funds during its quarterly meetings throughout the year and took into account the discussions that occurred at these Board meetings regarding fund performance. In this regard, in its evaluation of Nuveen fund performance at meetings throughout the year, the Board considered performance information for the funds for different time periods, both absolute and relative to appropriate benchmarks and peers, with particular attention to information indicating underperformance of the respective funds and discussed with the Adviser the reasons for such underperformance.
The Board reviewed both absolute and relative fund performance during the annual review. With respect to the latter, the Board considered fund performance in comparison to the performance of peer funds (the“Performance Peer Group”) and recognized and/or customized benchmarks (i.e., generally benchmarks derived from multiple recognized benchmarks). In considering performance data, the Board is aware of certain inherent limitations with such data, including that differences between the objective(s), strategies and other characteristics of the Nuveen funds compared to the respective Performance Peer Group and/or benchmark(s) (such as differences in the use of leverage) will necessarily contribute to differences in performance results and limit the value of the comparative information. To assist the Board in its review of the comparability of the relative performance, the Adviser has ranked the relevancy of the peer group to the funds as low, medium or high. Depending on the facts and circumstances, however, the Board may be satisfied with a fund’s performance notwithstanding that its performance may be below its benchmark or peer group for certain periods. In addition, the performance data may vary significantly depending on the end date selected, and shareholders may evaluate fund performance based on their own holding period which may differ from the performance periods reviewed by the Board leading to different results. Further, the Board considered a fund’s performance in light of the overall financial market conditions during the respective periods. As noted above, the Board reviewed, among other things, Nuveen fund performance over various periods ended December 31, 2018, and the Board was aware of the market decline in the fourth quarter of 2018 and considered performance from the first quarter of 2019 as well. The Board also noted that a shorter period of underperformance may significantly impact longer term performance.
In addition to the foregoing, the Board recognized the importance of secondary market trading to shareholders and considered the evaluation of premiums and discounts at which the shares of the Nuveenclosed-end funds trade to be a continuing priority for the Board. The Board and/or itsClosed-end Fund committee consider premium and discount data at each quarterly meeting throughout the year as well as during the annual review.
In their review of performance, the Independent Board Members focused, in particular, on the Adviser’s analysis of Nuveen funds determined to be underperforming performance outliers. The Board recognized that some periods of underperformance may only be temporary while other periods of underperformance may indicate a broader issue that may require a corrective action. Accordingly, with respect to any Nuveen funds for which the Board had identified performance issues, the Board monitors such funds closely until performance improves, discusses with the Adviser the reasons for such results, considers whether any steps are necessary or appropriate to address such issues, and reviews the results of any efforts undertaken.
The Board noted that the Fund ranked in the fourth quartile of its Performance Peer Group for theone-year period and third quartile for the three- and five-year periods. The Fund, however, matched the performance of its benchmark for theone-year period and outperformed the benchmark for the three- and five-year periods. In considering performance, the Board recognized that the Fund’s Performance Peer Group was ranked low for relevancy. The Board also noted the Fund’s relative peer performance improved in the first quarter of 2019 with the Fund ranking in the third quartile of its Performance Peer Group for theone-, three- and five-year periods ended March 29, 2019. The Board was satisfied with the Fund’s overall performance.
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C. | Fees, Expenses and Profitability |
1. | Fees and Expenses |
In its annual review, the Board considered the fees paid to the Fund Advisers and the total operating expense ratio of each Nuveen fund. More specifically, the Independent Board Members reviewed, among other things, each fund’s gross and net management fee rates and net total expense ratio in relation to those of a comparable universe of funds (the“Peer Universe”) established by Broadridge. The Independent Board Members reviewed the methodology Broadridge employed to establish its Peer Universe and recognized that differences between the applicable fund and its respective Peer Universe as well as changes to the composition of the Peer Universe from year to year may limit some of the value of the comparative data. The Independent Board Members also considered a fund’s operating expense ratio as it more directly reflected the shareholder’s costs in investing in the respective fund.
In their review, the Independent Board Members considered, in particular, each fund with a net expense ratio (excluding investment-related costs of leverage) of six basis points or higher compared to that of its peer average (each, an“Expense Outlier Fund”), and an analysis as to the factors contributing to each such fund’s higher relative net expense ratio. In addition, although the Board reviewed a fund’s total net expenses both including and excludinginvestment-related expenses (i.e., leverage costs) and taxes for certain of theclosed-end funds, the Board recognized that leverage expenses will vary across the Nuveen funds and in comparison to peers because of differences in the forms and terms of leverage employed by the respective fund. Accordingly, in reviewing the comparative data between a fund and its peers, the Board generally considered the fund’s net expense ratio and fees (excluding leverage costs and leveraged assets) to be higher if they were over 10 basis points higher, slightly higher if they were 6 to 10 basis points higher, in line if they were within approximately 5 basis points higher than the peer average and below if they were below the peer average of the Peer Universe. The Independent Board Members also considered, in relevant part, a fund’s net management fee and net total expense ratio in light of its performance history.
In their review of the fee arrangements for the Nuveen funds, the Independent Board Members considered the management fee schedules, including thecomplex-wide andfund-level breakpoint schedules, as applicable. The Board noted that across the Nuveen fund complex, the complex-wide fee breakpoints reduced fees by $51.5 million and fund-level breakpoints reduced fees by $55.1 million in 2018.
With respect to theSub-Adviser, the Board considered thesub-advisory fee paid to theSub-Adviser, including any breakpoint schedule, and as described below, comparative data of the fees theSub-Adviser charges to other clients, if any.
The Independent Board Members noted that the Fund had a net management fee that was below its peer average and a net expense ratio that was in line with its peer average. Based on its review of the information provided, the Board determined that the Fund’s management fees (as applicable) to a Fund Adviser were reasonable in light of the nature, extent and quality of services provided to the Fund.
2. | Comparisons with the Fees of Other Clients |
In determining the appropriateness of fees, the Board also reviewed information regarding the fee rates the respective Fund Advisers charged to certain other types of clients and the type of services provided to these other clients. For the Adviser and/or theSub-Adviser, such other clients may include retail and institutional managed accounts;sub-advised funds outside the Nuveen family; foreign investment companies offered by Nuveen; and collective investment trusts. The Board further noted that the Adviser also advised certain exchange-traded funds (“ETFs”) sponsored by Nuveen.
The Board recognized that the Fund had an affiliatedsub-adviser and, with respect to affiliatedsub-advisers, reviewed, among other things, the range of fees assessed for managed accounts and foreign investment companies offered by Nuveen. The Board also reviewed the fee range and average fee rate of certain selected investment strategies offered in retail and institutional managed accounts by theSub-Adviser and of thenon-Nuveen investment companiessub-advised by affiliatedsub-advisers.
In addition to the comparative fee data, the Board also reviewed, among other things, a description of the different levels of services provided to certain other clients compared to the services provided to the Nuveen funds as well as the differences in
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Annual Investment Management Agreement Approval Process(continued)
(Unaudited)
portfolio investment policies, investor profiles, account sizes and regulatory requirements, all of which contribute to the variations in the fee schedules. The Board noted, among other things, the wide range of services in addition to investment management services provided to the Nuveen funds when the Adviser is principally responsible for all aspects of operating the funds, including the increased regulatory requirements that must be met in managing the funds, the larger account sizes of managed accounts and the increased entrepreneurial, legal and regulatory risks that the Adviser incurs in sponsoring and managing the funds. Further, with respect to ETFs, the Board considered that Nuveen ETFs are passively managed compared to the active management of other Nuveen funds which contributed to the differences in fee levels between the Nuveen ETFs and other Nuveen funds. In general, higher fee levels reflect higher levels of service provided by the Adviser, increased investment management complexity, greater product management requirements, and higher levels of business risk or some combination of these factors. The Board further considered that theSub-Adviser’s fee is essentially for portfolio management services and therefore more comparable to the fees it receives for retail wrap accounts and other externalsub-advisory mandates. The Board concluded the varying levels of fees were justified given, among other things, the inherent differences in the products and the level of services provided to the Nuveen funds versus other clients, the differing regulatory requirements and legal liabilities and the entrepreneurial, legal and regulatory risks incurred in sponsoring and advising a registered investment company.
3. | Profitability of Fund Advisers |
In conjunction with their review of fees, the Independent Board Members considered information regarding Nuveen’s level of profitability for its advisory services to the Nuveen funds for the calendar years 2018 and 2017. The Board reviewed, among other things, Nuveen’s net margins(pre-tax) (both including and excluding distribution expenses); gross and net revenue margins(pre- andpost-tax); revenues, expenses, and net income(pre-tax andafter-tax and before distribution) of Nuveen for fund advisory services; and comparative profitability data comparing the adjusted margins of Nuveen compared to the adjusted margins of certain peers with publicly available data and with the most comparable assets under management (based on asset size and asset composition) for each of the last two calendar years. The Board also reviewed the revenues and expenses the Adviser derived from its ETF product line that was launched in 2016. The Independent Board Members noted that Nuveen’s net margins were higher in 2018 than the previous year and considered the key drivers behind the revenue and expense changes that impacted Nuveen’s net margins between the years. The Board considered the costs of investments in the Nuveen business, including the investment of seed capital in certain Nuveen funds and additional investments in infrastructure and technology. The Independent Board Members also noted that Nuveen’s adjusted margins from its relationships with the Nuveen funds were on the low range compared to the adjusted margins of the peers; however, the Independent Board Members recognized the inherent limitations of the comparative data of other publicly traded peers given that the calculation of profitability is rather subjective and numerous factors (such as types of funds, business mix, cost of capital, methodology to allocate expenses and other factors) can have a significant impact on the results.
The Independent Board Members also reviewed a description of the expense allocation methodology employed to develop the financial information and a summary of the history of changes to the methodology over theten-year period from 2008 to 2018, and recognized that other reasonable allocation methodologies could be employed and lead to significantly different results. The Board noted that two Independent Board Members, along with independent counsel, serve as the Board’s liaisons to review profitability and discuss any proposed changes to the methodology prior to the full Board’s review.
Aside from Nuveen’s profitability, the Board recognized that the Adviser is a subsidiary of Nuveen, LLC, the investment management arm of Teachers Insurance and Annuity Association of America (“TIAA”). As such, the Board also reviewed a balance sheet for TIAA reflecting its assets, liabilities and capital and contingency reserves for the 2018 and 2017 calendar years to consider the financial strength of TIAA having recognized the importance of having an adviser with significant resources.
In addition to Nuveen, the Independent Board Members also considered the profitability of theSub-Adviser from its relationships with the Nuveen funds. In this regard, the Independent Board Members reviewed theSub-Adviser’s revenues, expenses and revenue margins(pre- andpost-tax) for its advisory activities for the calendar year ended December 31, 2018. The Independent Board Members also reviewed a profitability analysis reflecting the revenues, expenses and revenue margin(pre- andpost-tax) by asset type for theSub-Adviser for the calendar year ending December 31, 2018 and thepre- andpost-tax revenue margin from 2018 and 2017.
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In evaluating the reasonableness of the compensation, the Independent Board Members also considered any other ancillary benefits derived by the respective Fund Adviser from its relationship with the Nuveen funds as discussed in further detail below.
Based on a consideration of all the information provided, the Board noted that Nuveen’s and theSub-Adviser’s level of profitability was acceptable and not unreasonable in light of the services provided.
D. | Economies of Scale and Whether Fee Levels Reflect These Economies of Scale |
With respect to economies of scale, the Independent Board Members noted that although economies of scale are difficult to measure, the Adviser shares the benefits of economies of scale in various ways including breakpoints in the management fee schedule (subject to limited exceptions), fee waivers and/or expense limitations, the pricing of Nuveen funds at scale at inception and investments in its business which can enhance the services provided to the funds for the fees paid. With respect to breakpoint schedules, because the Board had previously recognized that economies of scale may occur not only when the assets of a particular Nuveen fund grow but also when the assets in the complex grow, the Nuveen funds generally pay the Adviser a management fee comprised of afund-level component and acomplex-level component each with its own breakpoint schedule, subject to certain exceptions. In general terms, the breakpoint schedule at the fund level reduces fees as assets in the particular fund pass certain thresholds and the breakpoint schedule at the complex level reduces fees on the Nuveen funds as the eligible assets in the complex pass certain thresholds. The Independent Board Members reviewed, among other things, the fund-level and complex-level fee schedules. With respect to the Nuveenclosed-end funds, the Independent Board Members noted that, although such funds may fromtime-to-time make additional share offerings, the growth of their assets would occur primarily through the appreciation of such funds’ investment portfolios.
In addition, the Independent Board Members recognized the Adviser’s continued reinvestment in its business through, among other things, investments in its business infrastructure and information technology, portfolio accounting system as well as other systems and platforms that will, among other things, support growth, simplify and enhance information sharing, and enhance the investment process to the benefit of all of the Nuveen funds.
Based on its review, the Board concluded that the current fee arrangements together with the Adviser’s reinvestment in its business appropriately shared any economies of scale with shareholders.
E. | Indirect Benefits |
The Independent Board Members received and considered information regarding other benefits the respective Fund Adviser or its affiliates may receive as a result of their relationship with the Nuveen funds. The Board considered that an affiliate of the Adviser serves asco-manager in the initial public offerings of newclosed-end funds for which it may receive revenue and serves as an underwriter on shelf offerings of existingclosed-end funds for which it receives compensation. In addition, the Independent Board Members also noted that theSub-Adviser engages in soft dollar transactions pursuant to which it may receive the benefit of research products and other services provided by broker-dealers executing portfolio transactions on behalf of the applicable Nuveen funds.
The Board, however, noted that the benefits for theSub-Adviser when transacting in fixed-income securities may be more limited as such securities generally trade on a principal basis and therefore do not generate brokerage commissions. Further, the Board noted that although theSub-Adviser may benefit from the receipt of research and other services that it may otherwise have to pay for out of its own resources, the research may also benefit the Nuveen funds to the extent it enhances the ability of theSub-Adviser to manage such funds or is acquired through the commissions paid on portfolio transactions of other clients.
Based on their review, the Board concluded that any indirect benefits received by a Fund Adviser as a result of its relationship with the Fund were reasonable and within acceptable parameters.
F. | Other Considerations |
The Board Members did not identify any single factor discussed previously asall-important or controlling. The Board Members, including the Independent Board Members, concluded that the terms of each Advisory Agreement were fair and reasonable, that the respective Fund Adviser’s fees were reasonable in light of the services provided to the Fund and that the Advisory Agreements be renewed.
53
(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 ten. None of the trustees who are not “interested” persons of the Funds (referred to herein as “independent board members”) 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, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed and Term(1) | Principal Occupation(s) Including other Directorships During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Board Member | ||||
Independent Board Members: | ||||||||
∎ TERENCE J. TOTH | Formerly, aCo-Founding Partner, Promus Capital (2008-2017); Director, Fulcrum IT Service LLC (since 2010) and Quality Control Corporation (since 2012); member: Catalyst Schools of Chicago Board (since 2008) and Mather Foundation Board (since 2012), and chair of its Investment Committee; formerly, Director, Legal & General Investment Management America, Inc. (2008-2013); formerly, CEO and President, Northern Trust Global Investments (2004-2007): Executive Vice President, Quantitative Management & Securities Lending (2000-2004); prior thereto, various positions with Northern Trust Company (since 1994); formerly, Member, Northern Trust Mutual Funds Board (2005-2007), Northern Trust Global Investments Board (2004-2007), Northern Trust Japan Board (2004-2007), Northern Trust Securities Inc. Board(2003-2007) and Northern Trust Hong Kong Board (1997-2004). | |||||||
1959 333 W. Wacker Drive Chicago, IL 60606 | Chairman and Board Member | 2008 Class II | 163 | |||||
∎ JACK B. EVANS | Chairman (since 2019), formerly, President (1996-2019), The Hall-Perrine Foundation, a private philanthropic corporation; Director and Chairman, United Fire Group, a publicly held company; Director, Public Member, American Board of Orthopaedic Surgery (since 2015); Life Trustee of Coe College and the Iowa College Foundation; formerly, PresidentPro-Tem of the Board of Regents for the State of Iowa University System; formerly, Director, Alliant Energy and The Gazette Company; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm. | |||||||
1948 333 W. Wacker Drive Chicago, IL 60606 | Board Member | 1999 Class III | 163 | |||||
∎ WILLIAM C. HUNTER | Dean Emeritus, formerly, Dean, Tippie College of Business, University of Iowa(2006-2012); Director of Wellmark, Inc. (since 2009); past Director(2005-2015), and past President (2010-2014) Beta Gamma Sigma, Inc., The International Business Honor Society; formerly, Director (2004-2018) of Xerox Corporation; Dean and Distinguished Professor of Finance, School of Business at the University of Connecticut (2003-2006); previously, Senior Vice President and Director of Research at the Federal Reserve Bank of Chicago (1995-2003); formerly, Director (1997-2007), Credit Research Center at Georgetown University. | |||||||
1948 333 W. Wacker Drive Chicago, IL 60606 | Board Member | 2003 Class I | 163 | |||||
∎ ALBIN F. MOSCHNER | Founder and Chief Executive Officer, Northcroft Partners, LLC, a management consulting firm (since 2012); Chairman (since 2019), and Director (since 2012), USA Technologies, Inc., a provider of solutions and services to facilitate electronic payment transactions (since 2012); formerly, Director, Wintrust Financial Corporation (1996-2016); previously, held positions at Leap Wireless International, Inc., including Consultant (2011-2012), Chief Operating Officer (2008-2011), and Chief Marketing Officer (2004-2008); formerly, President, Verizon Card Services division of Verizon Communications, Inc. (2000-2003); formerly, President, One Point Services at One Point Communications(1999-2000); formerly, Vice Chairman of the Board, Diba, Incorporated(1996-1997); formerly, various executive positions (1991-1996) and Chief Executive Officer (1995-1996) of Zenith Electronics Corporation. | |||||||
1952 333 W. Wacker Drive Chicago, IL 60606 | Board Member | 2016 Class III | 163 | |||||
54
Name, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed and Term(1) | Principal Occupation(s) Including other Directorships During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Board Member | ||||
Independent Board Members (continued): | ||||||||
∎ JOHN K. NELSON | Member of Board of Directors of Core12 LLC (since 2008), a private firm which develops branding, marketing and communications strategies for clients; serves on The President’s Council, Fordham University (since 2010); and previously was a Director of The Curran Center for Catholic American Studies (2009-2018) formerly, senior external advisor to the financial services practice of Deloitte Consulting LLP (2012-2014): formerly, Chairman of the Board of Trustees of Marian University (2010 as trustee, 2011-2014 as Chairman); formerly, Chief Executive Officer of ABN AMRO N.V. North America, and Global Head of its Financial Markets Division (2007-2008); prior senior positions held at ABN AMRO include Corporate Executive Vice President and Head of GlobalMarkets-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. | |||||||
1962 333 W. Wacker Drive Chicago, IL 60606 | Board Member | 2013 Class II | 163 | |||||
∎ JUDITH M. STOCKDALE | Board Member, Land Trust Alliance (since 2013) and U.S. Endowment for Forestry and Communities (since 2013); formerly, Executive Director(1994-2012), Gaylord and Dorothy Donnelley Foundation; prior thereto, Executive Director, Great Lakes Protection Fund (1990-1994). | |||||||
1947 333 W. Wacker Drive Chicago, IL 60606 | Board Member | 1997 Class I | 163 | |||||
∎ CAROLE E. STONE | Former Director, Chicago Board Options Exchange, Inc. (2006-2017); and C2 Options Exchange, Incorporated (2009-2017); Director, Cboe, L.C. Global Markets, Inc., formerly, CBOE Holdings, Inc. (since 2010); formerly, Commissioner, New York State Commission on Public Authority Reform (2005-2010). | |||||||
1947 333 W. Wacker Drive Chicago, IL 60606 | Board Member | 2007 Class I | 163 | |||||
∎ MARGARET L. WOLFF | Formerly, member of the Board of Directors (2013-2017) of Travelers Insurance Company of Canada and The Dominion of Canada General Insurance Company (each, a part of Travelers Canada, the Canadian operation of The Travelers Companies, Inc.); formerly, Of Counsel, Skadden, Arps, Slate, Meagher & Flom LLP (Mergers & Acquisitions Group) (2005-2014); Member of the Board of Trustees of New York-Presbyterian Hospital (since 2005); Member (since 2004) and Chair (since 2015) of the Board of Trustees of The John A. Hartford Foundation (a philanthropy dedicated to improving the care of older adults); formerly, Member (2005-2015) and Vice Chair (2011-2015) of the Board of Trustees of Mt. Holyoke College. | |||||||
1955 333 W. Wacker Drive Chicago, IL 60606 | Board Member | 2016 Class I | 163 | |||||
∎ ROBERT L. YOUNG(2) | Formerly, Chief Operating Officer and Director, J.P.Morgan Investment Management Inc. (2010-2016); formerly, President and Principal Executive Officer (2013-2016), and Senior Vice President and Chief Operating Officer (2005-2010), of J.P.Morgan Funds; formerly, Director and various officer positions for J.P.Morgan Investment Management Inc. (formerly, JPMorgan Funds Management, Inc. and formerly, One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly, One Group Dealer Services, Inc.) (1999-2017). | |||||||
1963 333 W. Wacker Drive Chicago, IL 60606 | Board Member | 2017 Class II | 161 | |||||
55
Board Members & Officers(continued)
(Unaudited)
Name, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed and Term(1) | Principal Occupation(s) Including other Directorships During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Board Member | ||||
Interested Board Member: | ||||||||
∎ MARGO L. COOK(3) | President (since 2017), formerly,Co-Chief Executive Officer andCo-President (2016-2017), formerly, Senior Executive Vice President of Nuveen Investments, Inc.; President, Global Products and Solutions (since 2017), and,Co-Chief Executive Officer (since 2015), formerly, Executive Vice President (2013-2015), of Nuveen Securities, LLC; Executive Vice President (since 2017) of Nuveen, LLC; President (since August 2017), formerlyCo-President (2016- 2017), formerly, Senior Executive Vice President of Nuveen Fund Advisors, LLC (Executive Vice President2011-2015); President (since 2017), Nuveen Alternative Investments, LLC; Chartered Financial Analyst. | |||||||
1964 333 W. Wacker Drive Chicago, IL 60606 | Board Member | 2016 Class III | 163 | |||||
Name, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed(4) | Principal Occupation(s) During Past 5 Years | |||||
Officers of the Funds: | ||||||||
∎ CEDRIC H. ANTOSIEWICZ | Senior Managing Director (since 2017), formerly, Managing Director (2004-2017) of Nuveen Securities, LLC; Senior Managing Director (since 2017), formerly, Managing Director (2014-2017) of Nuveen Fund Advisors, LLC. | |||||||
1962 333 W. Wacker Drive Chicago, IL 60606 | Chief Administrative Officer | 2007 |
| |||||
∎ NATHANIEL T. JONES | Managing Director (since 2017), formerly, Senior Vice President(2016-2017), formerly, Vice President (2011-2016) of Nuveen; Managing Director of Nuveen Fund Advisors, LLC; Chartered Financial Analyst. | |||||||
1979 333 W. Wacker Drive Chicago, IL 60606 | Vice President and Treasurer | 2016 |
| |||||
∎ WALTER M. KELLY | Managing Director (since 2017), formerly, Senior Vice President(2008-2017) of Nuveen. | |||||||
1970 333 W. Wacker Drive Chicago, IL 60606 | Chief Compliance Officer and Vice President | 2003 |
| |||||
∎ DAVID J. LAMB | Managing Director (since 2017), formerly, Senior Vice President of Nuveen (since 2006), Vice President prior to 2006. | |||||||
1963 333 W. Wacker Drive Chicago, IL 60606 | Vice President | 2015 |
| |||||
∎ TINA M. LAZAR | Managing Director (since 2017), formerly, Senior Vice President(2014-2017) of Nuveen Securities, LLC. | |||||||
1961 333 W. Wacker Drive Chicago, IL 60606 | Vice President | 2002 |
| |||||
∎ BRIAN J. LOCKHART | Managing Director (since January 2017), formerly, Vice President(2010-2017) of Nuveen; Head of Investment Oversight (since September 2017), formerly, Team Leader of Manager Oversight(2015-2017); Chartered Financial Analyst and Certified Financial Risk Manager. | |||||||
1974 333 W. Wacker Drive Chicago, IL 60606 | Vice President | 2019 | ||||||
∎ JACQUES M. LONGERSTAEY | Senior Managing Director, Chief Risk Officer, Nuveen, LLC (since May 2019); Senior Managing Director (since May 2019) of Nuveen Fund Advisors, LLC; formerly, Chief Investment and Model Risk Officer, Wealth & Investment Management Division, Wells Fargo Bank (NA) (from2013-2019). | |||||||
1963 8500 Carnegie Blvd. Charlotte, NC 28262 | Vice President | 2019 | ||||||
56
Name, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed(4) | Principal Occupation(s) During Past 5 Years | |||||
Officers of the Fund (continued): | ||||||||
∎ KEVIN J. MCCARTHY | Senior Managing Director (since 2017) and Secretary and General Counsel (since 2016) of Nuveen Investments, Inc., formerly, Executive Vice President (2016-2017) and Managing Director and Assistant Secretary (2008-2016); Senior Managing Director (since 2017) and Assistant Secretary (since 2008) of Nuveen Securities, LLC, formerly Executive Vice President (2016-2017) and Managing Director (2008-2016); Senior Managing Director (since 2017), Secretary (since 2016) andCo-General Counsel (since 2011) of Nuveen Fund Advisors, LLC, formerly, Executive Vice President (2016-2017), Managing Director (2008-2016) and Assistant Secretary (2007-2016); Senior Managing Director (since 2017), Secretary (since 2016) and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC, formerly Executive Vice President (2016-2017) and Managing Director and Assistant Secretary(2011-2016); Senior Managing Director (since 2017) and Secretary (since 2016) of Nuveen Investments Advisers, LLC, formerly Executive Vice President (2016-2017); Vice President (since 2007) and Secretary (since 2016), formerly, Assistant Secretary, of NWQ Investment Management Company, LLC, Symphony Asset Management LLC, Santa Barbara Asset Management, LLC and Winslow Capital Management, LLC (since 2010). Senior Managing Director (since 2017) and Secretary (since 2016) of Nuveen Alternative Investments, LLC. | |||||||
1966 333 W. Wacker Drive Chicago, IL 60606 | Vice President and Assistant Secretary | 2007 |
| |||||
∎ WILLIAM T. MEYERS | Senior Managing Director (since 2017), formerly, Managing Director(2016-2017), Senior Vice President (2010-2016) of Nuveen Securities, LLC; and Nuveen Fund Advisors, LLC; Senior Managing Director (since 2017), formerly, Managing Director (2016-2017), Senior Vice President (2010-2016) of Nuveen, has held various positions with Nuveen since 1991. | |||||||
1966 333 W. Wacker Drive Chicago, IL 60606 | Vice President | 2018 |
| |||||
∎ MICHAEL A. PERRY | Executive Vice President (since 2017), previously Managing Director from 2016), of Nuveen Fund Advisors, LLC and Nuveen Alternative Investments, LLC; Executive Vice President (since 2017), formerly, Managing Director(2015-2017), of Nuveen Securities, LLC; formerly, Managing Director(2010-2015) of UBS Securities, LLC. | |||||||
1967 333 W. Wacker Drive Chicago, IL 60606 | Vice President | 2017 |
| |||||
∎ CHRISTOPHER M. ROHRBACHER | Managing Director (since 2017) and Assistant Secretary of Nuveen Securities, LLC; Managing Director (since 2017), formerly, Senior Vice President(2016-2017) and Assistant Secretary (since 2016) of Nuveen Fund Advisors, LLC. | |||||||
1971 333 W. Wacker Drive Chicago, IL 60606 | Vice President and Assistant Secretary | 2008 |
| |||||
∎ WILLIAM A. SIFFERMANN | Managing Director (since 2017), formerly Senior Vice President (2016-2017) and Vice President (2011-2016) of Nuveen. | |||||||
1975 333 W. Wacker Drive Chicago, IL 60606 | Vice President | 2017 | ||||||
∎ JOEL T. SLAGER | Fund Tax Director for Nuveen Funds (since 2013); previously, Vice President of Morgan Stanley Investment Management, Inc., Assistant Treasurer of the Morgan Stanley Funds (from 2010 to 2013). | |||||||
1978 333 W. Wacker Drive Chicago, IL 60606 | Vice President and Assistant Secretary | 2013 | ||||||
∎ E. SCOTT WICKERHAM | Senior Managing Director, Head of Fund Administration at Nuveen, LLC (since 2019), formerly, Managing Director; Senior Managing Director (since 2019), Nuveen Fund Advisers, LLC; Principal Financial Officer, Principal Accounting Officer and Treasurer (since 2017) to the TIAA-CREF Funds, the TIAA-CREF Life Funds, the TIAA Separate AccountVA-1 and the Treasurer (since 2017) to the CREF Accounts; Senior Director, TIAA-CREF Fund Administration (2014-2015); has held various positions with TIAA since 2006. | |||||||
1973 TIAA 730 Third Avenue New York, NY 10017 | Vice President and Controller | 2019 | ||||||
57
Board Members & Officers(continued)
(Unaudited)
Name, Year of Birth & Address | Position(s) Held with the Funds | Year First Elected or Appointed(4) | Principal Occupation(s) During Past 5 Years | |||||
Officers of the Fund (continued): | ||||||||
∎ MARK L. WINGET | Vice President and Assistant Secretary of Nuveen Securities, LLC (since 2008); Vice President (since 2010) and Associate General Counsel (since 2008) of Nuveen. | |||||||
1968 333 W. Wacker Drive Chicago, IL 60606 | Vice President and Assistant Secretary | 2008 |
| |||||
∎ GIFFORD R. ZIMMERMAN | Managing Director (since 2002), and Assistant Secretary of Nuveen Securities, LLC; Managing Director (since 2004) and Assistant Secretary (since 1994) of Nuveen Investments, Inc.; Managing Director (since 2002), Assistant Secretary (since 1997) andCo-General Counsel (since |2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel of Nuveen Asset Management, LLC (since 2011); Vice President (since 2017), formerly, Managing Director (2003-2017) and Assistant Secretary (since 2003) of Symphony Asset Management LLC; Managing Director and Assistant Secretary (since 2002) of Nuveen Investments Advisers, LLC; Vice President and Assistant Secretary of NWQ Investment Management Company, LLC (since 2002), Santa Barbara Asset Management, LLC (since 2006), and of Winslow Capital Management, LLC, (since 2010); Chartered Financial Analyst. | |||||||
1956 333 W. Wacker Drive Chicago, IL 60606 | Vice President Secretary | 1988 |
| |||||
(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 May 25, 2017, Mr. Young was appointed as a Board Member, effective July 1, 2017. He is a Board Member of each of the Nuveen Funds, except Nuveen Diversified Dividend and Income Fund and Nuveen Real Estate Income Fund. |
(3) | “Interested person” as defined in the 1940 Act, by reason of her position with Nuveen, LLC. 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. |
58
Notes
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 manager 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/closed-end-funds
Nuveen Securities, LLC, member FINRA and SIPC | 333 West Wacker Drive Chicago, IL 60606 | www.nuveen.com | EAN-A-0619D 915357-INV-Y-08/20 |
ITEM 2. CODE OF ETHICS.
As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There were no amendments to or waivers from the Code during the period covered by this report. The registrant has posted the code of ethics on its website at www.nuveen.com/CEF/Shareholder/FundGovernance.aspx. (To view the code, click on Code of Conduct.)
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
As of the end of the period covered by this report, the registrant’s Board of Directors or Trustees (“Board”) determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its Audit Committee. The registrant’s audit committee financial experts are Carole E. Stone, Jack B. Evans and William C. Hunter, who are “independent” for purposes of Item 3 of Form N-CSR.
Ms. Stone served for five years as Director of the New York State Division of the Budget. As part of her role as Director, Ms. Stone was actively involved in overseeing the development of the State’s operating, local assistance and capital budgets, its financial plan and related documents; overseeing the development of the State’s bond-related disclosure documents and certifying that they fairly presented the State’s financial position; reviewing audits of various State and local agencies and programs; and coordinating the State’s system of internal audit and control. Prior to serving as Director, Ms. Stone worked as a budget analyst/examiner with increasing levels of responsibility over a 30 year period, including approximately five years as Deputy Budget Director. Ms. Stone has also served as Chair of the New York State Racing Association Oversight Board, as Chair of the Public Authorities Control Board, as a Commissioner on the New York State Commission on Public Authority Reform and as a member of the Boards of Directors of several New York State public authorities. These positions have involved overseeing operations and finances of certain entities and assessing the adequacy of project/entity financing and financial reporting. Currently, Ms. Stone is on the Board of Directors of CBOE Holdings, Inc., of the Chicago Board Options Exchange, and of C2 Options Exchange. Ms. Stone’s position on the boards of these entities and as a member of both CBOE Holdings’ Audit Committee and its Finance Committee has involved, among other things, the oversight of audits, audit plans and preparation of financial statements.
Mr. Evans was formerly President and Chief Operating Officer of SCI Financial Group, Inc., a full service registered broker-dealer and registered investment adviser (“SCI”). As part of his role as President and Chief Operating Officer, Mr. Evans actively supervised the Chief Financial Officer (the “CFO”) and actively supervised the CFO’s preparation of financial statements and other filings with various regulatory authorities. In such capacity, Mr. Evans was actively involved in the preparation of SCI’s financial statements and the resolution of issues raised in connection therewith. Mr. Evans has also served on the audit committee of various reporting companies. At such companies, Mr. Evans was involved in the oversight of audits, audit plans, and the preparation of financial statements. Mr. Evans also formerly chaired the audit committee of the Federal Reserve Bank of Chicago.
Mr. Hunter was formerly a Senior Vice President at the Federal Reserve Bank of Chicago. As part of his role as Senior Vice President, Mr. Hunter was the senior officer responsible for all operations of each of the Economic Research, Statistics, and Community and Consumer Affairs units at the Federal Reserve Bank of Chicago. In such capacity, Mr. Hunter oversaw the subunits of the Statistics and Community and Consumer Affairs divisions responsible for the analysis and evaluation of bank and bank holding company financial statements and financial filings. Prior to serving as Senior Vice President at the Federal Reserve Bank of Chicago, Mr. Hunter was the Vice President of the Financial Markets unit at the Federal Reserve Bank of Atlanta where he supervised financial staff and bank holding company analysts who analyzed and evaluated bank and bank holding company financial statements. Mr. Hunter also currently serves on the Boards of Directors of Xerox Corporation and Wellmark, Inc. as well as on the Audit Committees of such Boards. As an Audit Committee member, Mr. Hunter’s responsibilities include, among other things, reviewing financial statements, internal audits and internal controls over financial reporting. Mr. Hunter also formerly was a Professor of Finance at the University of Connecticut School of Business and has authored numerous scholarly articles on the topics of finance, accounting and economics.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Nuveen Multi-Market Income 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
Fiscal Year Ended | Audit Fees Billed to Fund1 | Audit-Related Fees Billed to Fund2 | Tax Fees Billed to Fund 3 | All Other Fees Billed to Fund 4 | ||||||||||||
June 30, 2019 | $ | 35,570 | $ | 0 | $ | 0 | $ | 0 | ||||||||
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Percentage approved pursuant to pre-approval exception | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
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June 30, 2018 | $ | 35,570 | $ | 0 | $ | 0 | $ | 0 | ||||||||
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Percentage approved pursuant to pre-approval exception | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||
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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.
Fiscal Year Ended | Audit-Related Fees Billed to Adviser and Affiliated Fund Service Providers | Tax Fees Billed to Adviser and Affiliated Fund Service Providers | All Other Fees Billed to Adviser and Affiliated Fund Service Providers | |||||||||
June 30, 2019 | $ | 0 | $ | 0 | $ | 0 | ||||||
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Percentage approved pursuant to pre-approval exception | 0 | % | 0 | % | 0 | % | ||||||
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June 30, 2018 | $ | 0 | $ | 0 | $ | 0 | ||||||
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Percentage approved pursuant to pre-approval exception | 0 | % | 0 | % | 0 | % | ||||||
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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.
Fiscal Year Ended | Total Non-Audit Fees Billed to Fund | Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (engagements related directly to the operations and financial reporting of the Fund) | Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (all other engagements) | Total | ||||||||||||
June 30, 2019 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
June 30, 2018 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
“Non-Audit Fees billed to Fund” for both fiscal year ends represent “Tax Fees” and “All Other Fees” billed to Fund in their respective amounts from the previous table.
Less than 50 percent of the hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
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)). As of the end of the period covered by this report the members of the audit committee are Jack B. Evans, Chair, William C. Hunter, 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 (also referred to 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 OFCLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Nuveen Fund Advisors, LLC (“NFALLC”) is the registrant’s investment adviser (NFALLC is also referred to as the “Adviser”.) NFALLC is responsible for the selection andon-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”), asSub-Adviser to provide discretionary investment advisory services. The following section provides information on the portfolio managers at theSub-Adviser:
Item 8(a)(1). PORTFOLIO MANAGER BIOGRAPHIES
As of the date of filing this report, the following individuals at theSub-Adviser (the “Portfolio Manager”) have primary responsibility for theday-to-day implementation of the Fund’s investment strategy:
Jason J. O’Brien, CFA, is a portfolio manager for Nuveen’s global fixed income team. He is the lead manager of the Nuveen Core and Public Funds strategies and is also a portfolio manager of the Short Duration Multi-Sector strategy. Previously, he oversaw the securitized debt sector team and is a member of the global fixed income strategy committee. He entered the financial services industry in 1993 when he joined FAF. He became a portfolio manager in 2001 and joined Nuveen Asset Management in 2011 in connection with its acquisition of a portion of FAF’s asset management business.
Peter L. Agrimson,CFA, is a portfolio manager for Nuveen’s global fixed income team and the lead portfolio of the Short Duration Multi Sector strategy and related institutional portfolios. Prior to his current role, he was a member of the Securitized Debt Sector Team, responsible for trading mortgage-backed securities, asset-backed securities and commercial mortgage-backed securities. He began working in the financial services industry in 2005 and joined the firm in 2008.
Item 8(a)(2). OTHER ACCOUNTS MANAGED BY PORTFOLIO MANAGERS
In addition to the Fund, as of June 30, 2019, the portfolio managers are also primarily responsible for theday-to-day portfolio management of the following accounts:
(ii) Number of Other Accounts Managed and Assets by Account Type* | (iii) Number of Other Accounts and Assets for Which Advisory Fee is Performance-Based | |||||||||||||||||||||||||||||||||||||
(i) Name of Portfolio Manager | Other Registered Investment Companies | Other Pooled Investment Vehicles | Other Accounts | Other Registered Investment Companies | Other Pooled Investment Vehicles | Other Accounts | ||||||||||||||||||||||||||||||||
Jason J. O’Brien | 0 | $0 | 0 | $0 | 39 | $1.7 billion | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||
Peter L. Agrimson | 3 | $973 million | 0 | $0 | 5 | $243 million | 0 | 0 | 0 | 0 | 0 | 0 |
* | Assets are as of June 30, 2019. |
POTENTIAL MATERIAL CONFLICTS OF INTEREST
Actual or apparent conflicts of interest may arise when a portfolio manager hasday-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 a 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 hasday-to-day management responsibilities.
Conflicts of interest may also arise when theSub-Adviser invests one or more of its client accounts in different or multiple parts of the same issuer’s capital structure, including investments in public versus private securities, debt versus equity, or senior versus junior/subordinated debt, or otherwise where there are different or inconsistent rights or benefits. Decisions or actions such as investing, trading, proxy voting, exercising, waiving or amending rights or covenants, workout activity, or serving on a board, committee or other involvement in governance may result in conflicts of interest between clients holding different securities or investments. Generally, individual portfolio managers will seek to act in a manner that they believe serves the best interest of the accounts they manage. In cases where a portfolio manager or team faces a conflict among its client accounts, it will seek to act in a manner that it believes best reflects its overall fiduciary duty, which may result in relative advantages or disadvantages for particular accounts.
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
As of the most recently completed fiscal year end, the primary portfolio managers’ compensation is as follows:
Portfolio managers are compensated through a combination of base salary and variable components consisting of (i) a cash bonus; (ii) a long-term performance award; and (iii) participation in a profits interest plan.
Base salary. A portfolio manager’s base salary is determined based upon an analysis of the portfolio manager’s general performance, experience and market levels of base pay for such position.
Cash bonus. A portfolio manager is eligible to receive an annual cash bonus that is based on three variables: risk-adjusted investment performance relative to benchmark generally measured over the most recent three and five year periods (unless the portfolio manager’s tenure is shorter), ranking versus Morningstar peer funds generally measured over the most recent three and five year periods (unless the portfolio manager’s tenure is shorter), and management and peer reviews.
Long-term performance award. A portfolio manager is eligible to receive a long-term performance award that vests after three years. The amount of the award when granted is based on the same factors used in determining the cash bonus. The value of the award at the completion of the three-year vesting period is adjusted based on the risk-adjusted investment performance of Fund(s) managed by the portfolio manager during the vesting period and the performance of the TIAA organization as a whole.
Profits interest plan. Portfolio managers are eligible to receive profits interests in Nuveen Asset Management and its affiliate, Teachers Advisors, LLC, which vest over time and entitle their holders to a percentage of the firms’ annual profits. Profits interests are allocated to each portfolio manager based on such person’s overall contribution to the firms.
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 JMM SECURITIES AS OF JUNE 30, 2019
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 | |||||||||||||||
Peter J. Agrimson | X | |||||||||||||||||||||
Jason L. O’Brien | 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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
File the exhibits listed below as part of this Form.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable because the code is posted on registrant’s website at www.nuveen.com/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.
(a)(4) Change in the registrant’s independent public accountant. Not applicable.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by 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 Multi-Market Income Fund
By (Signature and Title) | /s/ Gifford R. Zimmerman | |||
Gifford R. Zimmerman | ||||
Vice President and Secretary | ||||
Date: September 5, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Cedric H. Antosiewicz | |||
Cedric H. Antosiewicz | ||||
Chief Administrative Officer | ||||
(principal executive officer) | ||||
Date: September 5, 2019 | ||||
By (Signature and Title) | /s/ E. Scott Wickerham | |||
E. Scott Wickerham | ||||
Vice President and Controller | ||||
(principal financial officer) | ||||
Date: September 5, 2019 |