JMM | Nuveen Multi-Market Income Fund
Portfolio of Investments March 31, 2021 | |
(Unaudited) |
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
LONG-TERM INVESTMENTS – 133.2% (97.5% of Total Investments) | ||||||||||||||||||||
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES – 94.4% (69.1% of Total Investments) | ||||||||||||||||||||
$ | 200 | 321 Henderson Receivables VI LLC, Series 2010-1A, 144A | 9.310% | 7/15/61 | Aaa | $ | 236,668 | |||||||||||||
250 | ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, 144A | 6.500% | 8/15/30 | A+ | 261,226 | |||||||||||||||
500 | ACRE Commercial Mortgage Series 2021-FL4 Ltd, 144A, (1-Month LIBOR reference rate + 2.600% spread), (3) | 2.708% | 12/18/37 | N/R | 493,760 | |||||||||||||||
500 | Adams Outdoor Advertising LP, Series 2018-1B,144A | 5.653% | 11/15/48 | BBB | 527,618 | |||||||||||||||
400 | AIMCO CLO Series 2017-AA, 144A, (WI/DD) | 1.688% | 4/20/34 | N/R | 400,042 | |||||||||||||||
60 | Alternative Loan Trust, Series 2003-J3 | 5.250% | 11/25/33 | Aaa | 61,342 | |||||||||||||||
85 | Alternative Loan Trust, Series 2004-J2 | 6.500% | 3/25/34 | AA+ | 86,562 | |||||||||||||||
1,652 | American Homes 4 Rent Trust, Series 2015-SFR2 Trust, (I/O), 144A | 0.000% | 10/17/52 | N/R | 17 | |||||||||||||||
175 | AMSR 2019-SFR1 Trust, 144A | 3.247% | 1/19/39 | Baa2 | 181,064 | |||||||||||||||
220 | Bayview Financial Mortgage Pass-Through Trust, Series 2005-D | 5.500% | 12/28/35 | Aa3 | 219,600 | |||||||||||||||
30 | Bayview Financial Mortgage Pass-Through Trust, Series 2006-C | 6.352% | 11/28/36 | Caa3 | 29,668 | |||||||||||||||
414 | BX Commercial Mortgage Trust 2019-XL, 144A, (1-Month LIBOR reference rate + 1.800% spread), (3) | 1.906% | 10/15/36 | N/R | 413,576 | |||||||||||||||
500 | CARS-DB4 LP, Series 2020-1A, 144A | 4.520% | 2/15/50 | BBB | 510,941 | |||||||||||||||
954 | CF Hippolyta LLC, Series 2020-1 B2, 144A | 2.600% | 7/15/60 | A– | 950,955 | |||||||||||||||
91 | Chase Funding Trust Series 2003-3 | 5.160% | 3/25/33 | BBB | 93,028 | |||||||||||||||
500 | CHL GMSR Issuer Trust, Series 2018-GT1, 144A, (1-Month LIBOR reference rate + 2.750% spread), (3) | 2.859% | 5/25/23 | N/R | 497,581 | |||||||||||||||
425 | Citigroup Commercial Mortgage Trust 2015-GC29 | 4.151% | 4/10/48 | A– | 447,442 | |||||||||||||||
600 | Citigroup Commercial Mortgage Trust 2016-P5, 144A | 3.000% | 10/10/49 | BBB– | 471,148 | |||||||||||||||
450 | Citigroup Commercial Mortgage Trust 2018-TBR, 144A, (1-Month LIBOR reference rate + 1.800% spread), (3) | 1.906% | 12/15/36 | BBB– | 436,488 | |||||||||||||||
87 | Citigroup Global Markets Mortgage Securities VII Inc, Series 2003-1, 144A | 6.000% | 9/25/33 | CCC | 86,383 | |||||||||||||||
500 | COMM 2013-LC13 Mortgage Trust, 144A | 5.306% | 8/10/46 | BB– | 456,035 | |||||||||||||||
775 | COMM 2015-CCRE22 Mortgage Trust | 4.106% | 3/10/48 | A– | 824,838 | |||||||||||||||
450 | COMM 2015-CCRE25 Mortgage Trust | 4.534% | 8/10/48 | A– | 474,562 | |||||||||||||||
500 | COMM 2015-CCRE26 Mortgage Trust | 4.480% | 10/10/48 | A– | 540,615 | |||||||||||||||
61 | Commonbond Student Loan Trust, Series 2017-B-GS, 144A | 4.440% | 9/25/42 | Aa3 | 63,618 | |||||||||||||||
627 | Connecticut Avenue Securities Trust, Series 2019-R07, 144A, (1-Month LIBOR reference rate + 2.100% spread), (3) | 2.209% | 10/25/39 | B | 627,214 | |||||||||||||||
600 | Connecticut Avenue Securities Trust, Series 2020-R02, 144A, (1-Month LIBOR reference rate + 2.000% spread), (3) | 2.109% | 1/25/40 | B | 598,130 | |||||||||||||||
250 | CPT MORTGAGE TRUST, Series 2019-CPT, 144A | 2.997% | 11/13/39 | N/R | 239,518 | |||||||||||||||
331 | Credit Suisse First Boston Mortgage Securities Corp, Series 2003-8 | 6.174% | 4/25/33 | AAA | 331,277 | |||||||||||||||
500 | Credit Suisse Mortgage Capital Certificates 2019-ICE4, 144A, (1-Month LIBOR reference rate + 1.600% spread), (3) | 1.706% | 5/15/36 | Baa3 | 500,314 | |||||||||||||||
156 | Credit-Based Asset Servicing and Securitization LLC, Series 2007-SP1, 144A | 4.945% | 12/25/37 | Aaa | 159,125 | |||||||||||||||
250 | CSMC 2014-USA OA LLC, 144A | 4.373% | 9/15/37 | B– | 206,600 | |||||||||||||||
119 | CSMC Mortgage-Backed Trust 2006-7 | 6.000% | 8/25/36 | Caa3 | 74,038 | |||||||||||||||
19 | CWABS Asset-Backed Certificates Trust, Series 2004-13 | 5.603% | 5/25/35 | Aaa | 19,410 | |||||||||||||||
1,164 | DB Master Finance LLC, Series 2017-1A, 144A | 4.030% | 11/20/47 | BBB | 1,235,481 | |||||||||||||||
1,149 | Domino’s Pizza Master Issuer LLC, Series 2015-1A, 144A | 4.474% | 10/25/45 | BBB+ | 1,213,321 | |||||||||||||||
121 | Domino’s Pizza Master Issuer LLC, Series 2017-1A, 144A | 3.082% | 7/25/47 | BBB+ | 121,443 | |||||||||||||||
603 | Driven Brands Funding LLC, Series 2018-1A, 144A | 4.739% | 4/20/48 | BBB– | 640,200 | |||||||||||||||
1,445 | Driven Brands Funding LLC, Series 2019-1A, 144A | 4.641% | 4/20/49 | BBB– | 1,522,907 | |||||||||||||||
400 | Dryden 49 Senior Loan Fund, 144A, (WI/DD) | 0.000% | 7/18/30 | Aa1 | 400,000 | |||||||||||||||
1,500 | Fannie Mae TBA, (MDR), (WI/DD) | 2.000% | TBA | Aaa | 1,494,434 | |||||||||||||||
2,000 | Fannie Mae TBA, (MDR), (WI/DD) | 3.000% | TBA | Aaa | 2,083,594 | |||||||||||||||
126 | Fannie Mae Mortgage Pool FN 310200 | 3.000% | 11/01/48 | N/R | 132,137 | |||||||||||||||
11 | Fannie Mae Mortgage Pool FN 709700, (4) | 5.500% | 6/01/33 | N/R | 13,171 | |||||||||||||||
64 | Fannie Mae Mortgage Pool FN 745324, (4) | 6.000% | 3/01/34 | Aaa | 70,619 | |||||||||||||||
27 | Fannie Mae Mortgage Pool FN 763687, (4) | 6.000% | 1/01/34 | N/R | 30,897 | |||||||||||||||
64 | Fannie Mae Mortgage Pool FN 766070, (4) | 5.500% | 2/01/34 | N/R | 73,344 | |||||||||||||||
22 | Fannie Mae Mortgage Pool FN 828346, (4) | 5.000% | 7/01/35 | N/R | 25,190 | |||||||||||||||
11 | Fannie Mae Mortgage Pool FN 878059, (4) | 5.500% | 3/01/36 | N/R | 12,701 | |||||||||||||||
12 | Fannie Mae Mortgage Pool FN 882685, (4) | 6.000% | 6/01/36 | N/R | 13,969 |
1
JMM | Nuveen Multi-Market Income Fund (continued) | |
Portfolio of Investments March 31, 2021 | ||
(Unaudited) |
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||||||||||
$ | 40 | Fannie Mae Mortgage Pool FN 995018, (4) | 5.500% | 6/01/38 | N/R | $ | 46,497 | |||||||||||||
795 | Fannie Mae Mortgage Pool FN AS8583, (4) | 3.500% | 1/01/47 | Aaa | 846,507 | |||||||||||||||
642 | Fannie Mae Mortgage Pool FN AW4182, (4) | 3.500% | 2/01/44 | N/R | 692,469 | |||||||||||||||
58 | Fannie Mae Mortgage Pool FN BH4019, (4) | 4.000% | 9/01/47 | N/R | 62,558 | |||||||||||||||
1,222 | Fannie Mae Mortgage Pool FN BM5126, (4) | 3.500% | 1/01/48 | N/R | 1,317,493 | |||||||||||||||
327 | Fannie Mae Mortgage Pool FN BM5839, (4) | 3.500% | 11/01/47 | Aaa | 353,806 | |||||||||||||||
370 | Fannie Mae Mortgage Pool FN BM6038, (4) | 4.000% | 1/01/45 | Aaa | 408,263 | |||||||||||||||
1,131 | Fannie Mae Mortgage Pool FN MA3305, (4) | 3.500% | 3/01/48 | N/R | 1,199,357 | |||||||||||||||
74 | Fannie Mae Mortgage Pool FN MA3332, (4) | 3.500% | 4/01/48 | Aaa | 78,612 | |||||||||||||||
963 | Fannie Mae Mortgage Pool FN MA3333, (4) | 4.000% | 4/01/48 | Aaa | 1,035,987 | |||||||||||||||
2,438 | Fannie Mae Mortgage Pool FN MA4256, (4) | 2.500% | 2/01/51 | N/R | 2,503,987 | |||||||||||||||
69 | Fannie Mae REMIC Trust 2002-W1 | 5.386% | 2/25/42 | Aaa | 76,815 | |||||||||||||||
352 | Fannie Mae REMIC Trust 2003-W1 | 3.057% | 12/25/42 | AAA | 130,083 | |||||||||||||||
14 | Freddie Mac Gold Pool FG C00676, (4) | 6.500% | 11/01/28 | N/R | 15,721 | |||||||||||||||
1,684 | Freddie Mac Gold Pool FG G08528, (4) | 3.000% | 4/01/43 | Aaa | 1,784,051 | |||||||||||||||
560 | Freddie Mac Gold Pool FG G08566, (4) | 3.500% | 1/01/44 | N/R | 604,495 | |||||||||||||||
1,322 | Freddie Mac Gold Pool FG G08747, (4) | 3.000% | 2/01/47 | Aaa | 1,398,498 | |||||||||||||||
900 | Freddie Mac Gold Pool FG G18497, (4) | 3.000% | 1/01/29 | N/R | 951,730 | |||||||||||||||
1,087 | Freddie Mac Gold Pool FG G60138, (4) | 3.500% | 8/01/45 | Aaa | 1,183,037 | |||||||||||||||
571 | Freddie Mac Gold Pool FG G60238, (4) | 3.500% | 10/01/45 | Aaa | 619,090 | |||||||||||||||
845 | Freddie Mac Gold Pool FG Q40718, (4) | 3.500% | 5/01/46 | N/R | 904,251 | |||||||||||||||
1,229 | Freddie Mac Gold Pool FG Q40841, (4) | 3.000% | 6/01/46 | N/R | 1,294,064 | |||||||||||||||
1,680 | Freddie Mac Pool FR ZT0541, (4) | 4.000% | 6/01/48 | N/R | 1,843,440 | |||||||||||||||
456 | Freddie Mac Pool FR ZT0542, (4) | 4.000% | 7/01/48 | N/R | 497,708 | |||||||||||||||
331 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series STARC 2019-HQA4, 144A, (1-Month LIBOR reference rate + 2.050% spread), (3) | 2.159% | 11/25/49 | B+ | 330,811 | |||||||||||||||
724 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series STARC 2019-HQA1, 144A, (1-Month LIBOR reference rate + 2.350% spread), (3) | 2.459% | 2/25/49 | BB– | 725,171 | |||||||||||||||
500 | FREMF 2017-K724 Mortgage Trust, 144A | 3.485% | 11/25/23 | BBB– | 521,180 | |||||||||||||||
125 | Ginnie Mae I Pool GN 604567, (4) | 5.500% | 8/15/33 | N/R | 145,999 | |||||||||||||||
78 | Ginnie Mae I Pool GN 631574, (4) | 6.000% | 7/15/34 | N/R | 90,110 | |||||||||||||||
500 | GS Mortgage Securities Corp Trust, Series 2018-TWR, 144A, (1-Month LIBOR reference rate + 0.900% spread), (3) | 1.006% | 7/15/31 | AAA | 497,491 | |||||||||||||||
63 | GSMPS Mortgage Loan Trust, Series 2001-2, 144A | 7.500% | 6/19/32 | N/R | 63,464 | |||||||||||||||
374 | GSMPS Mortgage Loan Trust, Series 2003-3, 144A | 7.000% | 6/25/43 | N/R | 417,075 | |||||||||||||||
351 | GSMPS Mortgage Loan Trust, Series 2005-RP1, 144A | 8.500% | 1/25/35 | B2 | 395,793 | |||||||||||||||
484 | GSMPS Mortgage Loan Trust, Series 2005-RP2, 144A | 7.500% | 3/25/35 | AAA | 501,211 | |||||||||||||||
454 | GSMPS Mortgage Loan Trust, Series 2005-RP3, 144A | 7.500% | 9/25/35 | AAA | 473,396 | |||||||||||||||
300 | GSMPS Mortgage Loan Trust, Series 2005-RP3, 144A | 8.000% | 9/25/35 | Caa1 | 320,226 | |||||||||||||||
499 | Hardee’s Funding LLC, Series 2020-1A A2, 144A | 3.981% | 12/20/50 | BBB | 514,755 | |||||||||||||||
478 | Horizon Aircraft Finance II Ltd, Series 2019-1, 144A | 4.703% | 7/15/39 | BBB | 461,214 | |||||||||||||||
244 | Horizon Aircraft Finance III Ltd, Series 2019-2, 144A | 4.458% | 11/15/39 | BBB | 235,834 | |||||||||||||||
500 | Hudson Yards Trust, Series 2019-55HY, 144A | 2.943% | 12/10/41 | A3 | 503,629 | |||||||||||||||
209 | Impac Secured Assets CMN Owner Trust, Series 2000-3 | 8.000% | 10/25/30 | N/R | 203,997 | |||||||||||||||
486 | JG Wentworth XXXVII LLC, Series 2016-1A, 144A | 5.190% | 6/17/69 | Baa2 | 521,496 | |||||||||||||||
797 | JGWPT XXV LLC, Series 2012-1A, 144A | 7.140% | 2/15/67 | Aa3 | 977,877 | |||||||||||||||
342 | JGWPT XXVI LLC, Series 2012-2A, 144A | 6.770% | 10/17/61 | A1 | 410,068 | |||||||||||||||
233 | JP Morgan Alternative Loan Trust, Series 2006-S1 | 6.500% | 3/25/36 | N/R | 186,789 | |||||||||||||||
500 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, 144A | 3.420% | 12/15/49 | BBB– | 417,412 | |||||||||||||||
500 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-BCON, 144A | 3.756% | 1/05/31 | BBB– | 498,609 | |||||||||||||||
500 | JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, 144A | 3.000% | 10/15/50 | BBB– | 437,750 | |||||||||||||||
400 | Manhattan West, Series 2020-1MW, 144A | 2.335% | 9/10/39 | Baa3 | 389,986 | |||||||||||||||
267 | MASTR Alternative Loan Trust, Series 2004-1 | 7.000% | 1/25/34 | Aaa | 284,626 | |||||||||||||||
187 | MASTR Alternative Loan Trust, Series 2004-5 | 7.000% | 6/25/34 | AA+ | 194,493 | |||||||||||||||
164 | MASTR Asset Securitization Trust, Series 2003-11 | 5.250% | 12/25/33 | A | 167,293 | |||||||||||||||
277 | MASTR Reperforming Loan Trust, Series 2005-1, 144A | 7.500% | 8/25/34 | N/R | 248,000 | |||||||||||||||
592 | Mid-State Capital Corp 2004-1 Trust | 6.005% | 8/15/37 | AA+ | 628,172 | |||||||||||||||
40 | Mid-State Capital Corp 2004-1 Trust | 8.900% | 8/15/37 | A1 | 44,503 | |||||||||||||||
594 | Mid-State Capital Corp 2005-1 Trust | 5.745% | 1/15/40 | AA | 636,727 | |||||||||||||||
201 | Mid-State Capital Trust, Series 2010-1, 144A | 5.250% | 12/15/45 | AAA | 205,948 | |||||||||||||||
172 | Mid-State Capital Trust, Series 2010-1, 144A | 7.000% | 12/15/45 | AAA | 177,901 |
2
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued) | ||||||||||||||||||||
$ | 186 | Mid-State Trust XI | 5.598% | 7/15/38 | Baa3 | $ | 197,446 | |||||||||||||
500 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C28 | 4.628% | 1/15/49 | A3 | 513,393 | |||||||||||||||
63 | Morgan Stanley Mortgage Loan Trust, Series 2006-2 | 5.750% | 2/25/36 | N/R | 61,661 | |||||||||||||||
500 | MSCG Trust 2015-ALDR, 144A | 3.462% | 6/07/35 | BBB– | 389,592 | |||||||||||||||
284 | MVW Owner Trust, Series 2017-1, 144A | 2.420% | 12/20/34 | AAA | 290,624 | |||||||||||||||
1,000 | Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, 144A, (1-Month LIBOR reference rate + 2.750% spread), (3) | 2.856% | 7/15/36 | N/R | 999,998 | |||||||||||||||
256 | New Residential Mortgage LLC, Series 2018-FNT2, 144A | 4.920% | 7/25/54 | N/R | 256,336 | |||||||||||||||
397 | New Residential Mortgage Loan Trust, Series 2014-1, 144A | 6.051% | 1/25/54 | BBB | 431,013 | |||||||||||||||
700 | New Residential Mortgage Loan Trust, Series 2015-2, 144A | 5.510% | 8/25/55 | Baa1 | 753,523 | |||||||||||||||
400 | Neuberger Berman Loan Advisers CLO 31 Ltd, 144A, (WI/DD) | 0.000% | 4/20/31 | AA | 400,000 | |||||||||||||||
247 | NRZ Excess Spread-Collateralized Notes, Series 2018-FNT1 144A | 4.690% | 5/25/23 | N/R | 246,703 | |||||||||||||||
488 | Planet Fitness Master Issuer LLC, Series 2018-FT1, 144A | 4.666% | 9/05/48 | BBB– | 498,069 | |||||||||||||||
500 | PNMAC FMSR ISSUER TRUST, Series 2018-FT1, 144A, (1-Month LIBOR reference rate + 2.350% spread), (3) | 2.459% | 4/25/23 | N/R | 495,367 | |||||||||||||||
500 | PNMAC GMSR ISSUER TRUST, Series 2018-GT1, 144A, (1-Month LIBOR reference rate + 2.850% spread), (3) | 2.959% | 2/25/23 | N/R | 499,402 | |||||||||||||||
500 | PNMAC GMSR ISSUER TRUST, Series 2018-GT2, 144A, (1-Month LIBOR reference rate + 2.650% spread), (3) | 2.759% | 8/25/25 | N/R | 497,514 | |||||||||||||||
1 | RALI Series 2005-QS12 Trust | 5.500% | 8/25/35 | Caa2 | 764 | |||||||||||||||
485 | RBS Commercial Funding Inc 2013-SMV Trust, 144A | 3.584% | 3/11/31 | BBB– | 475,163 | |||||||||||||||
500 | SERVPRO Master Issuer LLC, Series 2021-1A, 144A | 2.394% | 4/25/51 | BBB– | 493,948 | |||||||||||||||
276 | Sesac Finance LLC, Series 2019-1,144A | 5.216% | 7/25/49 | N/R | 291,333 | |||||||||||||||
307 | Sierra Timeshare 2019-3 Receivables Funding LLC, 144A | 4.180% | 8/20/36 | BB | 311,420 | |||||||||||||||
488 | Sonic Capital LLC, Series 2018-1A, 144A | 4.026% | 2/20/48 | BBB | 499,795 | |||||||||||||||
381 | onic Capital LLC, Series 2020-1A, 144A | 3.845% | 1/20/50 | BBB | 394,646 | |||||||||||||||
500 | Stack Infrastructure Issuer LLC, Series 2020-1A A2, 144A | 1.893% | 8/25/45 | A– | 501,220 | |||||||||||||||
750 | STACR Trust, Series 2018-HRP2, 144A, (1-Month LIBOR reference rate + 2.400% spread), (3) | 2.509% | 2/25/47 | BBB– | 755,648 | |||||||||||||||
330 | START Ireland, Series 2019-1, 144A | 5.095% | 3/15/44 | BB | 313,404 | |||||||||||||||
349 | Start Ltd/Bermuda, Series 2018-1, 144A | 4.089% | 5/15/43 | BBB+ | 345,657 | |||||||||||||||
174 | Structured Receivables Finance, Series 2010-A LLC, 144A | 5.218% | 1/16/46 | AAA | 186,290 | |||||||||||||||
481 | Taco Bell Funding LLC, Series 2016-1A, 144A | 4.377% | 5/25/46 | BBB | 483,367 | |||||||||||||||
602 | Taco Bell Funding LLC, Series 2016-1A, 144A | 4.970% | 5/25/46 | BBB | 651,853 | |||||||||||||||
155 | Thunderbolt Aircraft Lease Ltd, Series 2017-A, 144A | 4.212% | 5/17/32 | A | 157,769 | |||||||||||||||
250 | VNDO Mortgage Trust, Series 2016-350P, 144A | 3.903% | 1/10/35 | AA– | 263,326 | |||||||||||||||
204 | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS4 Trust | 5.500% | 2/25/33 | N/R | 205,137 | |||||||||||||||
14 | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2004-RA3 Trust | | 5.956% 8/25/38 | | Aaa | 14,476 | ||||||||||||||
967 | Wendy’s Funding LLC, Series 2018-1A, 144A | 3.573% | 3/15/48 | BBB | 994,503 | |||||||||||||||
479 | Wendy’s Funding LLC, Series 2019-1A, 144A | 3.783% | 6/15/49 | BBB | 506,666 | |||||||||||||||
750 | WFRBS Commercial Mortgage Trust 2011-C3, 144A | 5.335% | 3/15/44 | A1 | 747,360 | |||||||||||||||
1,000 | Wingstop Funding LLC, Series 2020-1A A2, 144A | 2.841% | 12/05/50 | N/R | 1,012,730 | |||||||||||||||
$ | 69,209 | Asset-Backed Securities (cost $68,047,313) | 69,418,452 | |||||||||||||||||
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
CORPORATE BONDS – 35.3% (25.7% of Total Investments) | ||||||||||||||||||||
Aerospace & Defense – 0.9% | ||||||||||||||||||||
$ | 300 | Boeing Co/The, (4) | 3.450% | 11/01/28 | Baa2 | $ | 310,480 | |||||||||||||
100 | Howmet Aerospace Inc | 6.875% | 5/01/25 | BBB– | 115,875 | |||||||||||||||
200 | Rolls-Royce PLC, 144A | 5.750% | 10/15/27 | BB– | 212,810 | |||||||||||||||
600 | Total Aerospace & Defense | 639,165 | ||||||||||||||||||
Air Freight & Logistics – 0.1% | ||||||||||||||||||||
100 | Cargo Aircraft Management Inc, 144A | 4.750% | 2/01/28 | Ba3 | 103,250 | |||||||||||||||
Airlines – 0.3% | ||||||||||||||||||||
35 | American Airlines Inc/AAdvantage Loyalty IP Ltd, 144A | 5.500% | 4/20/26 | Ba2 | 36,424 | |||||||||||||||
100 | Delta Air Lines Inc, 144A | 7.000% | 5/01/25 | Baa2 | 115,196 | |||||||||||||||
50 | Hawaiian Brand Intellectual Property Ltd / HawaiianMiles Loyalty Ltd, 144A | 5.750% | 1/20/26 | Ba3 | 53,130 | |||||||||||||||
185 | Total Airlines | 204,750 |
3
JMM | Nuveen Multi-Market Income Fund (continued) | |
Portfolio of Investments March 31, 2021 | ||
(Unaudited) |
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
Auto Components – 1.4% | ||||||||||||||||||||
$ | 250 | Adient Global Holdings Ltd, 144A | 4.875% | 8/15/26 | B | $ | 258,395 | |||||||||||||
100 | Adient US LLC, 144A | 9.000% | 4/15/25 | BB– | 111,000 | |||||||||||||||
200 | Clarios Global LP / Clarios US Finance Co, 144A | 8.500% | 5/15/27 | CCC+ | 215,250 | |||||||||||||||
250 | Dana Inc | 5.375% | 11/15/27 | BB+ | 262,500 | |||||||||||||||
100 | Goodyear Tire & Rubber Co | 5.250% | 4/30/31 | BB– | 100,000 | |||||||||||||||
50 | NESCO Holdings II Inc, 144A, (WI/DD) | 5.500% | 4/15/29 | B | 51,290 | |||||||||||||||
950 | Total Auto Components | 998,435 | ||||||||||||||||||
Automobiles – 0.8% | ||||||||||||||||||||
125 | Ford Motor Co | 8.500% | 4/21/23 | BB+ | 139,375 | |||||||||||||||
400 | General Motors Financial Co Inc, (4) | 3.600% | 6/21/30 | BBB | 421,930 | |||||||||||||||
525 | Total Automobiles | 561,305 | ||||||||||||||||||
Banks – 1.8% | ||||||||||||||||||||
400 | Banco Santander SA | 2.749% | 12/03/30 | BBB+ | 381,010 | |||||||||||||||
250 | Caelus Re VI Ltd, 144A, (3-Month U.S. Treasury Bill reference rate + 5.500% spread), (3) | 5.515% | 6/07/23 | N/R | 255,025 | |||||||||||||||
300 | Truist Financial Corp | 4.800% | 3/01/70 | Baa2 | 314,571 | |||||||||||||||
400 | Wells Fargo & Co | 3.900% | 3/15/70 | Baa2 | 403,960 | |||||||||||||||
1,350 | Total Banks | 1,354,566 | ||||||||||||||||||
Beverages – 0.1% | ||||||||||||||||||||
50 | Triton Water Holdings Inc, 144A | 6.250% | 4/01/29 | CCC+ | 51,000 | |||||||||||||||
Capital Markets – 1.3% | ||||||||||||||||||||
300 | Bank of New York Mellon Corp | 4.700% | 9/20/69 | Baa1 | 325,035 | |||||||||||||||
250 | Charles Schwab Corp | 4.000% | 6/01/69 | BBB | 253,700 | |||||||||||||||
75 | Compass Group Diversified Holdings LLC, 144A | 5.250% | 4/15/29 | B+ | 78,632 | |||||||||||||||
200 | Donnelley Financial Solutions Inc | 8.250% | 10/15/24 | B+ | 208,500 | |||||||||||||||
100 | LPL Holdings Inc, 144A | 4.625% | 11/15/27 | BB | 103,750 | |||||||||||||||
925 | Total Capital Markets | 969,617 | ||||||||||||||||||
Chemicals – 2.2% | ||||||||||||||||||||
250 | Calumet Specialty Products Partners LP / Calumet Finance Corp, 144A | 11.000% | 4/15/25 | B– | 262,500 | |||||||||||||||
200 | CF Industries Inc | 3.450% | 6/01/23 | BB+ | 208,627 | |||||||||||||||
50 | Kraton Polymers LLC / Kraton Polymers Capital Corp, 144A | 4.250% | 12/15/25 | BB– | 50,188 | |||||||||||||||
375 | NOVA Chemicals Corp, 144A | 5.000% | 5/01/25 | BB– | 390,937 | |||||||||||||||
200 | OCI NV, 144A | 4.625% | 10/15/25 | BB | 206,750 | |||||||||||||||
50 | Rayonier AM Products Inc, 144A | 7.625% | 1/15/26 | B1 | 53,125 | |||||||||||||||
175 | Tronox Inc, 144A | 6.500% | 5/01/25 | Ba3 | 187,687 | |||||||||||||||
150 | Tronox Inc, 144A | 4.625% | 3/15/29 | B | 150,188 | |||||||||||||||
100 | Univar Solutions USA Inc/Washington, 144A | 5.125% | 12/01/27 | BB+ | 104,062 | |||||||||||||||
1,550 | Total Chemicals | 1,614,064 | ||||||||||||||||||
Commercial Services & Supplies – 0.7% | ||||||||||||||||||||
50 | CDW LLC / CDW Finance Corp | 3.250% | 2/15/29 | Ba2 | 49,375 | |||||||||||||||
100 | GFL Environmental Inc, 144A | 4.250% | 6/01/25 | BB– | 103,000 | |||||||||||||||
150 | GFL Environmental Inc, 144A | 3.500% | 9/01/28 | BB– | 145,500 | |||||||||||||||
200 | Prime Security Services Borrower LLC / Prime Finance Inc, 144A | 5.750% | 4/15/26 | Ba3 | 216,410 | |||||||||||||||
500 | Total Commercial Services & Supplies | 514,285 | ||||||||||||||||||
Communications Equipment – 0.6% | ||||||||||||||||||||
100 | CommScope Inc, 144A | 8.250% | 3/01/27 | B3 | 107,000 | |||||||||||||||
325 | Gray Television Inc, 144A, (4) | 4.750% | 10/15/30 | BB– | 322,156 | |||||||||||||||
425 | Total Communications Equipment | 429,156 | ||||||||||||||||||
Consumer Finance – 0.6% | ||||||||||||||||||||
200 | Curo Group Holdings Corp, 144A | 8.250% | 9/01/25 | B– | 200,500 | |||||||||||||||
250 | Navient Corp | 6.125% | 3/25/24 | Ba3 | 264,687 | |||||||||||||||
450 | Total Consumer Finance | 465,187 |
4
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
Containers & Packaging – 0.5% | ||||||||||||||||||||
$ | 200 | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC, 144A | 3.250% | 9/01/28 | BB+ | $ | 197,674 | |||||||||||||
75 | Ball Corp | 2.875% | 8/15/30 | BB+ | 72,244 | |||||||||||||||
100 | Silgan Holdings Inc | 4.125% | 2/01/28 | BB | 102,732 | |||||||||||||||
375 | Total Containers & Packaging | 372,650 | ||||||||||||||||||
Distributors – 0.1% | ||||||||||||||||||||
100 | H&E Equipment Services Inc, 144A | 3.875% | 12/15/28 | BB– | 97,250 | |||||||||||||||
Diversified Financial Services – 1.5% | ||||||||||||||||||||
500 | GE Capital International Funding Co Unlimited Co, (4) | 3.373% | 11/15/25 | BBB+ | 542,148 | |||||||||||||||
300 | Jefferies Finance LLC / JFIN Co-Issuer Corp, 144A | 6.250% | 6/03/26 | BB | 315,000 | |||||||||||||||
225 | Quicken Loans LLC, 144A | 5.250% | 1/15/28 | BB+ | 236,250 | |||||||||||||||
1,025 | Total Diversified Financial Services | 1,093,398 | ||||||||||||||||||
Diversified Telecommunication Services – 1.8% | ||||||||||||||||||||
300 | AT&T Inc, (4) | 4.300% | 2/15/30 | BBB+ | 337,731 | |||||||||||||||
100 | Avaya Inc, 144A | 6.125% | 9/15/28 | BB– | 106,157 | |||||||||||||||
500 | Qwest Corp, (4) | 6.750% | 12/01/21 | BBB– | 516,875 | |||||||||||||||
200 | Telenet Finance Luxembourg Notes Sarl, 144A | 5.500% | 3/01/28 | BB+ | 209,991 | |||||||||||||||
175 | Zayo Group Holdings Inc, 144A | 4.000% | 3/01/27 | B1 | 171,937 | |||||||||||||||
1,275 | Total Diversified Telecommunication Services | 1,342,691 | ||||||||||||||||||
Energy Equipment & Services – 0.4% | ||||||||||||||||||||
250 | Archrock Partners LP / Archrock Partners Finance Corp, 144A | 6.875% | 4/01/27 | B+ | 260,625 | |||||||||||||||
Entertainment – 0.1% (0.1% of Total Investments) | ||||||||||||||||||||
100 | Cinemark USA Inc, 144A | 8.750% | 5/01/25 | BB+ | 109,500 | |||||||||||||||
Equity Real Estate Investment Trust – 3.2% | ||||||||||||||||||||
500 | Brixmor Operating Partnership LP | 4.050% | 7/01/30 | BBB– | 538,581 | |||||||||||||||
150 | GLP Capital LP / GLP Financing II Inc | 4.000% | 1/15/31 | BBB– | 155,021 | |||||||||||||||
250 | Iron Mountain Inc, 144A | 5.250% | 3/15/28 | BB– | 259,687 | |||||||||||||||
75 | Iron Mountain Inc, 144A | 4.500% | 2/15/31 | BB– | 74,145 | |||||||||||||||
150 | MPH Acquisition Holdings LLC, 144A | 5.750% | 11/01/28 | B– | 146,250 | |||||||||||||||
325 | MPT Operating Partnership LP / MPT Finance Corp, (4) | 3.500% | 3/15/31 | BBB– | 318,929 | |||||||||||||||
500 | Regency Centers LP, (4) | 2.950% | 9/15/29 | BBB+ | 508,583 | |||||||||||||||
125 | SBA Communications Corp, 144A | 3.125% | 2/01/29 | BB– | 120,144 | |||||||||||||||
250 | SITE Centers Corp, (4) | 4.250% | 2/01/26 | BBB | 266,708 | |||||||||||||||
2,325 | Total Equity Real Estate Investment Trust | 2,388,048 | ||||||||||||||||||
Food & Staples Retailing – 1.0% | ||||||||||||||||||||
250 | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC, 144A | 7.500% | 3/15/26 | BB– | 276,153 | |||||||||||||||
250 | Chobani LLC / Chobani Finance Corp Inc, 144A | 4.625% | 11/15/28 | B1 | 255,000 | |||||||||||||||
150 | Del Monte Foods Inc, 144A | 11.875% | 5/15/25 | CCC+ | 172,219 | |||||||||||||||
650 | Total Food & Staples Retailing | 703,372 | ||||||||||||||||||
Gas Utilities – 0.3% | ||||||||||||||||||||
200 | Suburban Propane Partners LP/Suburban Energy Finance Corp | 5.875% | 3/01/27 | BB– | 208,000 | |||||||||||||||
Health Care Equipment & Supplies – 0.1% | ||||||||||||||||||||
50 | RP Escrow Issuer LLC, 144A | 5.250% | 12/15/25 | B– | 51,813 | |||||||||||||||
Health Care Providers & Services – 1.1% | ||||||||||||||||||||
100 | Centene Corp | 4.250% | 12/15/27 | BBB– | 105,188 | |||||||||||||||
100 | Centene Corp | 4.625% | 12/15/29 | BBB– | 108,230 | |||||||||||||||
50 | CHS/Community Health Systems Inc, 144A | 5.625% | 3/15/27 | B | 52,375 | |||||||||||||||
50 | CHS/Community Health Systems Inc, 144A | 6.000% | 1/15/29 | B | 52,875 | |||||||||||||||
100 | DaVita Inc, 144A | 4.625% | 6/01/30 | Ba3 | 101,886 | |||||||||||||||
250 | Global Medical Response Inc, 144A | 6.500% | 10/01/25 | B | 258,750 |
5
JMM | Nuveen Multi-Market Income Fund (continued) | |
Portfolio of Investments March 31, 2021 | ||
(Unaudited) |
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
Health Care Providers & Services (continued) | ||||||||||||||||||||
$ | 100 | Molina Healthcare Inc, 144A | 4.375% | 6/15/28 | BB– | $ | 102,896 | |||||||||||||
50 | Tenet Healthcare Corp, 144A | 4.625% | 6/15/28 | BB– | 51,249 | |||||||||||||||
800 | Total Health Care Providers & Services | 833,449 | ||||||||||||||||||
Hotels, Restaurants & Leisure – 0.8% | ||||||||||||||||||||
100 | Cedar Fair LP / Canada’s Wonderland Co / Magnum Management Corp / Millennium Op, 144A | 5.500% | 5/01/25 | Ba2 | 105,254 | |||||||||||||||
50 | International Game Technology PLC, 144A | 4.125% | 4/15/26 | BB | 51,379 | |||||||||||||||
50 | MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc, 144A | 4.625% | 6/15/25 | BB+ | 52,735 | |||||||||||||||
250 | Scientific Games International Inc, 144A | 8.625% | 7/01/25 | B– | 271,800 | |||||||||||||||
100 | Yum! Brands Inc, 144A | 7.750% | 4/01/25 | BB– | 109,375 | |||||||||||||||
550 | Total Hotels, Restaurants & Leisure | 590,543 | ||||||||||||||||||
Household Durables – 0.4% | ||||||||||||||||||||
50 | Kronos Acquisition Holdings Inc / KIK Custom Products Inc, 144A | 5.000% | 12/31/26 | B2 | 50,000 | |||||||||||||||
250 | M/I Homes Inc | 5.625% | 8/01/25 | BB– | 257,500 | |||||||||||||||
300 | Total Household Durables | 307,500 | ||||||||||||||||||
Independent Power & Renewable Electricity Producers – 0.3% | ||||||||||||||||||||
200 | Calpine Corp, 144A | 3.750% | 3/01/31 | BB+ | 190,620 | |||||||||||||||
Interactive Media & Services – 0.1% | ||||||||||||||||||||
50 | Arches Buyer Inc, 144A | 4.250% | 6/01/28 | B1 | 49,910 | |||||||||||||||
Internet Software & Services – 0.2% | ||||||||||||||||||||
175 | J2 Global Inc, 144A | 4.625% | 10/15/30 | BB | 176,750 | |||||||||||||||
IT Services – 0.4% | ||||||||||||||||||||
50 | Booz Allen Hamilton Inc, 144A | 3.875% | 9/01/28 | Ba2 | 50,262 | |||||||||||||||
200 | Unisys Corp, 144A | 6.875% | 11/01/27 | BB– | 219,000 | |||||||||||||||
250 | Total IT Services | 269,262 | ||||||||||||||||||
Leisure Products – 0.1% | ||||||||||||||||||||
48 | Mattel Inc, 144A | 6.750% | 12/31/25 | BB | 50,470 | |||||||||||||||
50 | Mattel Inc, 144A | 3.375% | 4/01/26 | BB | 51,622 | |||||||||||||||
98 | Total Leisure Products | 102,092 | ||||||||||||||||||
Life Sciences Tools & Services – 0.1% | ||||||||||||||||||||
75 | Avantor Funding Inc, 144A | 4.625% | 7/15/28 | BB | 78,327 | |||||||||||||||
Machinery – 0.3% | ||||||||||||||||||||
200 | Mueller Water Products Inc, 144A | 5.500% | 6/15/26 | BB | 206,690 | |||||||||||||||
Media – 1.8% | ||||||||||||||||||||
500 | Altice France SA/France, 144A, (4) | 7.375% | 5/01/26 | B | 520,050 | |||||||||||||||
200 | Cablevision Lightpath LLC, 144A | 3.875% | 9/15/27 | B+ | 198,000 | |||||||||||||||
200 | DISH DBS Corp | 5.875% | 11/15/24 | B2 | 209,164 | |||||||||||||||
200 | LCPR Senior Secured Financing DAC, 144A | 5.125% | 7/15/29 | BB | 203,524 | |||||||||||||||
200 | Radiate Holdco LLC / Radiate Finance Inc, 144A | 4.500% | 9/15/26 | B1 | 202,250 | |||||||||||||||
1,300 | Total Media | 1,332,988 | ||||||||||||||||||
Metals & Mining – 1.3% | ||||||||||||||||||||
250 | Alcoa Nederland Holding BV, 144A | 6.125% | 5/15/28 | BB+ | 272,300 | |||||||||||||||
250 | Constellium SE, 144A | 3.750% | 4/15/29 | B | 239,020 | |||||||||||||||
150 | Freeport-McMoRan Inc | 3.875% | 3/15/23 | Ba1 | 156,199 | |||||||||||||||
100 | Freeport-McMoRan Inc | 5.250% | 9/01/29 | Ba1 | 109,352 | |||||||||||||||
50 | Hudbay Minerals Inc, 144A | 4.500% | 4/01/26 | B+ | 51,966 | |||||||||||||||
50 | Hudbay Minerals Inc, 144A | 6.125% | 4/01/29 | B+ | 53,375 | |||||||||||||||
85 | Joseph T Ryerson & Son Inc, 144A | 8.500% | 8/01/28 | B | 95,200 | |||||||||||||||
935 | Total Metals & Mining | 977,412 |
6
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
Mortgage Real Estate Investment Trust – 0.2% | ||||||||||||||||||||
$ | 125 | HAT Holdings I LLC / HAT Holdings II LLC, 144A | 6.000% | 4/15/25 | BB+ | $ | 131,875 | |||||||||||||
Oil, Gas & Consumable Fuels – 2.9% | ||||||||||||||||||||
250 | Enable Midstream Partners LP, (4) | 4.400% | 3/15/27 | BBB– | 270,224 | |||||||||||||||
100 | EnLink Midstream LLC | 5.375% | 6/01/29 | BB+ | 93,500 | |||||||||||||||
500 | MPLX LP, (4) | 4.800% | 2/15/29 | BBB | 573,343 | |||||||||||||||
100 | NuStar Logistics LP | 5.750% | 10/01/25 | BB– | 107,052 | |||||||||||||||
200 | Occidental Petroleum Corp | 5.875% | 9/01/25 | Ba2 | 213,760 | |||||||||||||||
50 | Occidental Petroleum Corp | 5.500% | 12/01/25 | Ba2 | 52,875 | |||||||||||||||
125 | Parkland Corp/Canada, 144A, (WI/DD) | 4.500% | 10/01/29 | BB | 125,156 | |||||||||||||||
275 | PBF Holding Co LLC / PBF Finance Corp | 7.250% | 6/15/25 | B+ | 224,015 | |||||||||||||||
200 | Southwestern Energy Co | 7.500% | 4/01/26 | BB | 211,604 | |||||||||||||||
250 | Western Midstream Operating LP | 5.050% | 2/01/30 | BB | 271,470 | |||||||||||||||
2,050 | Total Oil, Gas & Consumable Fuels | 2,142,999 | ||||||||||||||||||
Pharmaceuticals – 0.6% | ||||||||||||||||||||
225 | Endo Dac / Endo Finance LLC / Endo Finco Inc, 144A | 5.875% | 10/15/24 | B+ | 226,125 | |||||||||||||||
220 | Teva Pharmaceutical Finance Netherlands III BV | 6.750% | 3/01/28 | Ba2 | 247,170 | |||||||||||||||
445 | Total Pharmaceuticals | 473,295 | ||||||||||||||||||
Professional Services – 0.3% | ||||||||||||||||||||
200 | Dun & Bradstreet Corp, 144A | 6.875% | 8/15/26 | BB+ | 213,540 | |||||||||||||||
Real Estate Management & Development – 0.4% | ||||||||||||||||||||
50 | Howard Hughes Corp, 144A | 4.125% | 2/01/29 | BB | 48,886 | |||||||||||||||
75 | Howard Hughes Corp, 144A | 4.375% | 2/01/31 | BB | 73,453 | |||||||||||||||
75 | Kennedy-Wilson Inc | 4.750% | 3/01/29 | BB | 75,938 | |||||||||||||||
75 | Kennedy-Wilson Inc | 5.000% | 3/01/31 | BB | 75,956 | |||||||||||||||
275 | Total Real Estate Management & Development | 274,233 | ||||||||||||||||||
Road & Rail – 0.4% | ||||||||||||||||||||
250 | United Rentals North America Inc | 4.875% | 1/15/28 | BB | 263,343 | |||||||||||||||
Semiconductors & Semiconductor Equipment – 0.6% | ||||||||||||||||||||
500 | Broadcom Inc, 144A | 2.450% | 2/15/31 | BBB- | 471,903 | |||||||||||||||
Software – 0.1% | ||||||||||||||||||||
50 | Black Knight InfoServ LLC, 144A | 3.625% | 9/01/28 | Ba3 | 49,131 | |||||||||||||||
Specialty Retail – 0.8% | ||||||||||||||||||||
75 | Ferrellgas Escrow LLC / FG Operating Finance Escrow Corp, 144A | 5.375% | 4/01/26 | B– | 74,498 | |||||||||||||||
100 | Ferrellgas Escrow LLC / FG Operating Finance Escrow Corp, 144A | 5.875% | 4/01/29 | B– | 98,650 | |||||||||||||||
50 | L Brands Inc, 144A | 6.625% | 10/01/30 | BB– | 57,090 | |||||||||||||||
100 | Lithia Motors Inc, 144A | 4.375% | 1/15/31 | BB | 103,794 | |||||||||||||||
200 | Staples Inc, 144A | 10.750% | 4/15/27 | B3 | 197,500 | |||||||||||||||
75 | Superior Plus LP / Superior General Partner Inc, 144A | 4.500% | 3/15/29 | BB– | 75,765 | |||||||||||||||
600 | Total Specialty Retail | 607,297 | ||||||||||||||||||
Tobacco – 0.7% | ||||||||||||||||||||
500 | BAT Capital Corp, (4) | 2.726% | 3/25/31 | BBB+ | 483,563 | |||||||||||||||
Trading Companies & Distributors – 0.6% | ||||||||||||||||||||
300 | Air Lease Corp, (4) | 3.875% | 7/03/23 | BBB | 318,969 | |||||||||||||||
50 | WESCO Distribution Inc, 144A | 7.125% | 6/15/25 | BB– | 54,675 | |||||||||||||||
50 | WESCO Distribution Inc, 144A | 7.250% | 6/15/28 | BB– | 55,820 | |||||||||||||||
400 | Total Trading Companies & Distributors | 429,464 |
7
JMM | Nuveen Multi-Market Income Fund (continued) | |
Portfolio of Investments March 31, 2021 | ||
(Unaudited) |
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
Wireless Telecommunication Services – 1.0% | ||||||||||||||||||||
$ | 250 | Hughes Satellite Systems Corp | 6.625% | 8/01/26 | BB | $ | 277,025 | |||||||||||||
500 | T-Mobile USA Inc, 144A, (4) | 2.250% | 11/15/31 | BBB– | 474,712 | |||||||||||||||
750 | Total Wireless Telecommunication Services | 751,737 | ||||||||||||||||||
$ | 25,038 | Total Corporate Bonds (cost $25,483,605) | 25,940,050 | |||||||||||||||||
Principal Amount (000) | Description (1) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
SOVEREIGN DEBT – 1.6% (1.2% of Total Investments) | ||||||||||||||||||||
Bahrain – 0.4% | ||||||||||||||||||||
$ | 250 | Bahrain Government International Bond, 144A | 7.000% | 10/12/28 | B+ | $ | 278,466 | |||||||||||||
Egypt – 0.6% | ||||||||||||||||||||
400 | Egypt Government International Bond, 144A | 5.875% | 6/11/25 | B+ | 421,952 | |||||||||||||||
El Salvador – 0.1% | ||||||||||||||||||||
100 | El Salvador Government International Bond, 144A | 5.875% | 1/30/25 | B+ | 99,850 | |||||||||||||||
Sri Lanka – 0.2% | ||||||||||||||||||||
250 | Sri Lanka Government International Bond, 144A | 6.125% | 6/03/25 | CCC+ | 157,130 | |||||||||||||||
Turkey – 0.3% | ||||||||||||||||||||
250 | Turkey Government International Bond | 5.950% | 1/15/31 | B2 | 226,325 | |||||||||||||||
$ | 1,250 | Total Sovereign Debt (cost $1,245,586) | 1,183,723 | |||||||||||||||||
Principal Amount (000) | Description (1), (5) | Coupon | Maturity | Ratings (2) | Value | |||||||||||||||
CONTINGENT CAPITAL SECURITIES – 0.9% (0.6% of Total Investments) |
| |||||||||||||||||||
Banks – 0.6% | ||||||||||||||||||||
$ | 200 | Banco Bilbao Vizcaya Argentaria SA | 6.500% | N/A (6) | Ba2 | $ | 216,320 | |||||||||||||
200 | Societe Generale SA, 144A | 6.750% | N/A (6) | BB | 222,680 | |||||||||||||||
400 | Total Banks | 439,000 | ||||||||||||||||||
Capital Markets – 0.3% | ||||||||||||||||||||
200 | UBS Group AG, 144A | 7.000% | N/A (6) | BBB | 219,678 | |||||||||||||||
$ | 600 | Total Contingent Capital Securities (cost $600,000) | 658,678 | |||||||||||||||||
Principal Amount (000) | Description (1) | Coupon | Optional Call Provisions (7) | Ratings (2) | Value | |||||||||||||||
MUNICIPAL BONDS – 0.8% (0.6%of Total Investments) | ||||||||||||||||||||
Illinois – 0.8% | ||||||||||||||||||||
$ | 500 | Illinois State, General Obligation Bonds, Pension Funding Series 2003, 5.100%, 6/01/33 | No Opt. Call | BBB– | $ | 563,320 | ||||||||||||||
$ | 500 | Total Municipal Bonds (cost $514,501) | 563,320 | |||||||||||||||||
Shares | Description (1) | Value | ||||||||||||||||||
PREFERRED STOCKS – 0.2% (0.2%of Total Investments) | ||||||||||||||||||||
Banks – 0.2% | ||||||||||||||||||||
6,000 | JPMorgan Chase & Co, (8) | $ | 153,720 | |||||||||||||||||
Total Preferred Stocks (cost $150,000) | 153,720 | |||||||||||||||||||
Total Long-Term Investments (cost $96,041,005) | 97,917,943 |
8
Principal Amount (000) | Description (1) | Coupon | Maturity | Value | ||||||||||||||||
SHORT-TERM INVESTMENTS – 3.5% (2.6% of Total Investments) |
| |||||||||||||||||||
REPURCHASE AGREEMENTS – 3.5% (2.6% of Total Investments) | ||||||||||||||||||||
$ | 2,582 | Repurchase Agreement with Fixed Income Clearing Corporation, | 0.000% | 4/01/21 | $ | 2,582,039 | ||||||||||||||
Total Repurchase Agreements (cost $2,582,039) | 2,582,039 | |||||||||||||||||||
Total Short-Term Investments (cost $2,582,039) | 2,582,039 | |||||||||||||||||||
Total Investments (cost $98,623,044) – 136.7% | 100,499,982 | |||||||||||||||||||
Reverse Repurchase Agreements – (30.9)% (9) | (22,720,650 | ) | ||||||||||||||||||
Other Assets Less Liabilities – (5.8)% (10) | (4,271,483 | ) | ||||||||||||||||||
Net Assets Applicable to Common Shares – 100% | $ | 73,507,849 |
Investments in Derivatives
Futures Contracts
Description | Contract Position | Number of Contracts | Expiration Date | Notional Amount* | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable/ (Payable) | |||||||||||||||||||||
U.S. Treasury Ultra Bond | Long | 9 | 6/21 | $ | 1,630,969 | $ | 1,699,823 | $ | (68,854 | ) | $ | (10,406 | ) | |||||||||||||||
$ | 1,630,969 | $ | 1,699,823 | $ | (68,854 | ) | $ | (10,406 | ) | |||||||||||||||||||
Total receivable for variation margin on futures contracts |
| $ | (10,406 | ) |
* | The aggregate amount of long positions is $1,699,823. |
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 (11) | 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 | $ | (1,108,599 | ) | $ | (1,108,599 | ) |
Part F of Form N-PORT was prepared in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) and in conformity with the applicable rules and regulations of the U.S. Securities and Exchange Commission (“SEC”) related to interim filings. Part F of Form N-PORT does not include all information and footnotes required by U.S. GAAP for complete financial statements. Certain footnote disclosures normally included in financial statements prepared in accordance with U.S. GAAP have been condensed or omitted from this report pursuant to the rules of the SEC. For a full set of the Fund’s notes to financial statements, please refer to the Fund’s most recently filed annual or semi-annual report.
Fair Value Measurements
The Fund’s investments in securities are recorded at their estimated fair value utilizing valuation methods approved by the Board. 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. U.S. GAAP establishes the three-tier hierarchy which 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 management’s 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. |
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JMM | Nuveen Multi-Market Income Fund (continued) | |
Portfolio of Investments March 31, 2021 | ||
(Unaudited) |
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). |
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 | $ | — | $ | 69,418,452 | $ | — | $ | 69,418,452 | ||||||||
Corporate Bonds | — | 25,940,050 | — | 25,940,050 | ||||||||||||
Sovereign Debt | — | 1,183,723 | — | 1,183,723 | ||||||||||||
Contingent Capital Securities | — | 658,678 | — | 658,678 | ||||||||||||
Municipal Bonds | — | 563,320 | — | 563,320 | ||||||||||||
Preferred Stock | 153,720 | — | — | 153,720 | ||||||||||||
Short-Term Investments: | ||||||||||||||||
Repurchase Agreements | — | 2,582,039 | — | 2,582,039 | ||||||||||||
Investments in Derivatives: | ||||||||||||||||
Futures Contracts* | (68,854 | ) | — | — | (68,854 | ) | ||||||||||
Interest Rate Swaps* | — | (1,108,599 | ) | — | (1,108,599 | ) | ||||||||||
Total | $ | 84,866 | $ | 99,237,663 | $ | — | $ | 99,322,529 |
* | Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments. |
For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-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 industry sub-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. |
(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 derivatives and/or reverse repurchase agreements. As of the end of the reporting period, investments with a value of $24,477,834 have been pledged as collateral for reverse repurchase agreements. |
(5) | Contingent Capital Securities (“CoCos”) are hybrid securities with loss absorption characteristics built into the terms of the security 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) | Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. |
(8) | Non-income producing; issuer has not declared an ex-dividend date within the past twelve months. |
(9) | Reverse Repurchase Agreements as a percentage of Total Investments is 22.6%. |
(10) | Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (“OTC”) derivatives as well as the OTC cleared and exchange-traded derivatives, when applicable. |
(11) | 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. |
N/A | Not Applicable. |
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. |
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