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Table of Contents
| Chairman’s Letter to Shareholders | 4 |
| Portfolio Manager’s Comments | 5 |
| Fund Leverage | 11 |
| Common Share Information | 12 |
| Risk Considerations | 14 |
| Performance Overview and Holding Summaries | 15 |
| Shareholder Meeting Report | 17 |
| Report of Independent Registered Public Accounting Firm | 18 |
| Portfolios of Investments | 19 |
| Statement of Assets and Liabilities | 32 |
| Statement of Operations | 33 |
| Statement of Changes in Net Assets | 34 |
| Statement of Cash Flows | 35 |
| Financial Highlights | 36 |
| Notes to Financial Statements | 39 |
| Additional Fund Information | 51 |
| Glossary of Terms Used in this Report | 52 |
| Reinvest Automatically, Easily and Conveniently | 54 |
| Annual Investment Management Agreement Approval Process | 55 |
| Board Members & Officers | 62 |
3
Chairman’s Letter to Shareholders
Dear Shareholders,
I am honored to serve as the new independent chairman of the Nuveen Fund Board, effective July 1, 2018. I’d like to gratefully acknowledge the stewardship of my predecessor William J. Schneider and, on behalf of my fellow Board members, reinforce our commitment to the legacy of strong, independent oversight of your Funds.
The increase in market volatility this year reflects greater uncertainty among investors. The global economic outlook is less clear cut than it was in 2017. U.S. growth is again decoupling from that of the rest of the world, and the U.S. dollar and interest rates have risen in response. Trade war rhetoric and the imposition of tariffs between the U.S. and its major trading partners has recently dampened business sentiment and could pose a risk to growth expectations going forward. A host of other geopolitical concerns, including the ongoing Brexit and North American Free Trade Agreement negotiations, North Korea relations and Italy’s populist government, remain on the horizon.
Despite these risks, global growth remains intact, albeit at a slower pace, providing support to corporate earnings. The U.S. economy is expected to regain momentum, boosted by fiscal stimulus, an easing regulatory environment and above-average consumer confidence. Subdued inflation pressures have kept central bank policy accommodative, even as Europe moves closer to winding down its monetary stimulus and the Federal Reserve remains on a moderate tightening course.
Headlines and political noise will continue to obscure underlying fundamentals at times and cause temporary bouts of volatility. We encourage you to work with your financial advisor to evaluate your goals, timeline and risk tolerance if short-term market fluctuations are a concern. 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
July 23, 2018
4
Portfolio Manager’s Comments
Nuveen Connecticut Premium Income Municipal Fund (NTC)
Nuveen Massachusetts Premium Income Municipal Fund (NMT)
These Funds feature portfolio management by Nuveen Asset Management, LLC (NAM), an affiliate of Nuveen, LLC. Portfolio manager Michael S. Hamilton discusses U.S. economic and municipal market conditions, key investment strategies and the twelve-month performance of the Nuveen Connecticut and Massachusetts Funds. Michael assumed portfolio management responsibility for these Funds in 2011.
What factors affected the U.S. economy and the national municipal market during the twelve-month reporting period ended May 31, 2018?
After hovering near an annual pace of 3% for most of the reporting period, U.S. gross domestic product (GDP) growth cooled to 2.2% in the first quarter of 2018, according to the Bureau of Economic Analysis “second” estimate. GDP is the value of goods and services produced by the nation’s economy less the value of the goods and services used up in production, adjusted for price changes. A beginning-of-the-year slowdown was expected given the seasonal trend of slower first quarter growth seen over the past few years and the delayed impact of tax cuts on workers’ paychecks.
Nevertheless, consumer spending, boosted by employment and wage gains, continued to drive the economy. The Atlantic coast hurricanes in September and October temporarily weakened shopping and dining out activity, but rebuilding efforts had a positive impact on the economy. Although business investment slowed in early 2018 from the gains seen in the second half of 2017, business sentiment remained strong and hiring continued to boost employment. As reported by the Bureau of Labor Statistics, the unemployment rate fell to 3.8% in May 2018 from 4.3% in May 2017 and job gains averaged around 196,000 per month for the past twelve months. While the jobs market has continued to tighten, wage growth has remained lackluster during this economic recovery. Although the January jobs report revealed an unexpected pick-up in wages, the trend moderated in subsequent months. The
| This material is not intended to be a recommendation or investment advice, does not constitute a solicitation to buy or sell securities, and is not provided in a fiduciary capacity. The information provided does not take into account the specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions should be made based on an investor’s objectives and circumstances and in consultation with his or her advisors. |
Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio manager as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements, and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein.
For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group (S&P), Moody’s Investors Service, Inc. (Moody’s) or Fitch, Inc. (Fitch). This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings, while BB, B, CCC, CC, C and D are below investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.
Bond insurance guarantees only the payment of principal and interest on the bond when due, and not the value of the bonds themselves, which will fluctuate with the bond market and the financial success of the issuer and the insurer. Insurance relates specifically to the bonds in the portfolio and not to the share prices of a Fund. No representation is made as to the insurers’ ability to meet their commitments.
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.
5
Portfolio Manager’s Comments (continued)
Consumer Price Index (CPI) increased 2.8% over the twelve-month reporting period ended May 31, 2018 on a seasonally adjusted basis, as reported by the Bureau of Labor Statistics. The core CPI (which excludes food and energy) increased 2.2% during the same period, slightly above the Federal Reserve’s (Fed) unofficial longer term inflation objective of 2.0%.
The housing market also continued to improve with low mortgage rates and low inventory driving home prices higher. The S&P CoreLogic Case-Shiller U.S. National Home Price Index, which covers all nine U.S. census divisions, recorded a 6.4% annual gain in April 2018 (most recent data available at the time this report was prepared). The 10-City and 20-City Composites reported year-over-year increases of 6.2% and 6.6%, respectively.
With the U.S. economy delivering a sustainable growth rate and employment strengthening, the Fed’s policy making committee continued to incrementally raise its main benchmark interest rate. The most recent increase, in June 2018 (after the close of the reporting period), was the seventh rate hike since December 2015. In addition, in October 2017, the Fed began reducing its balance sheet by allowing a small amount of maturing Treasury and mortgage securities to roll off without reinvestment. The market expects the pace to remain moderate and predictable, with minimal market disruption.
Fed Chair Janet Yellen’s term expired in February 2018, and incoming Chairman Jerome Powell indicated he would likely maintain the Fed’s gradual pace of interest rate hikes. At the June meeting, the Fed increased its projection to four interest rate increases in 2018, from three increases projected at the March meeting. The markets also continued to react to geopolitical news. Protectionist rhetoric had been garnering attention across Europe, as anti-European Union (EU) sentiment featured prominently (although did not win a majority) in the Dutch, French and German elections in 2017. Italy’s 2018 elections resulted in a hung parliament, and several months of negotiations resulted in a populist, euro-skeptic coalition government. The U.S. moved forward with tariffs on imported goods from China, as well as on steel and aluminum from Canada, Mexico and Europe. These countries announced retaliatory measures in kind, intensifying concerns about a trade war. Meanwhile, in March the U.K. and EU agreed in principle to the Brexit transition terms, opening the door to the next round of negotiation dealing with trade and security issues. The U.S. Treasury issued additional sanctions on Russia in April, and re-imposed sanctions on Iran after President Trump decided to withdraw from the 2015 nuclear agreement. The threat of a nuclear North Korea eased somewhat as the leaders of South Korea and North Korea met during April, while the U.S. and North Korea broadcast mixed messages about a summit scheduled for June but ultimately met as planned (after the close of the reporting period).
Municipal bonds recorded a small gain in the reporting period. Optimism about the economy was favorable for credit conditions but also drove interest rates higher, which weighed on bond prices. But, with inflation moving only incrementally higher, the increase in long-term interest rates was less dramatic than feared.
Along with the overall economic outlook, tax reform was a significant market driver for municipal bonds in this reporting period. Early drafts of the tax bill fostered significant uncertainty about the impact on the municipal bond market, leading municipal bonds to underperform taxable bonds in December and provoking issuers to rush bond offerings ahead of the pending tax law. Issuance in December reached an all-time high of $62.5 billion, exacerbating the market’s price decline during the month. However, all of the supply was absorbed and municipal bond valuations subsequently returned to more typical levels.
6
The final tax reform legislation signed on December 27, 2017 largely spared municipal bonds and was considered neutral to positive for the municipal market overall. Notably, a provision that would have eliminated the tax-preferred status of 20 to 30% of the municipal bond market was not included in the final bill. Moreover, investors were relieved that the adopted changes apply only to newly issued municipal bonds and also could be beneficial from a technical standpoint. Because new issue advance refunding bonds are no longer tax exempt, the total supply of municipal bonds will decrease going forward, boosting the scarcity value of existing municipal bonds. The new tax law also caps the state and local tax (SALT) deduction for individuals, which will likely increase demand for tax-exempt municipal bonds, especially in states with high income and/or property taxes.
Following the issuance surge in late 2017, issuance remained sharply lower in early 2018. However, the overall balance of municipal bond supply and demand remained advantageous for prices. Municipal bond issuance nationwide totaled $400.3 billion in this reporting period, an 8.0% drop from the issuance for the twelve-month reporting period ended May 31, 2017. The robust pace of issuance seen since the low volume depths of 2011 began to moderate in 2017 as interest rates moved higher. Despite the increase, the overall level of interest rates still remained low, encouraging issuers to continue to actively refund their outstanding debt. In these transactions, the issuers are issuing new bonds and taking the bond proceeds and redeeming (calling) old bonds. These refunding transactions have ranged from 40%-60% of total issuance over the past few years. Thus, the net issuance (all bonds issued less bonds redeemed) is actually much lower than the gross issuance. So, while gross issuance volume has been strong, the net has not, and this was an overall positive technical factor on municipal bond investment performance in recent years. Although the pace of refundings is slowing, net negative issuance is expected to continue.
Despite the volatility surrounding the potential tax law changes, demand remained robust and continued to outstrip supply. Low global interest rates have continued to drive investors toward higher after-tax yielding assets, including U.S. municipal bonds. As a result, municipal bond fund inflows steadily during the reporting period.
What were the economic and market conditions in Connecticut and Massachusetts during the twelve-month reporting period ended May 31, 2018?
The Connecticut economy continues to lag the national recovery. Weakness in the financial services and government sectors are undermining growth. As of May 2018, Connecticut’s unemployment rate was 4.5%, above the national rate of 3.8%. Connecticut has a high number of defense-related industries that make it more sensitive to changes in federal defense spending. The loss of the headquarters of General Electric Company, which announced its relocation to Boston on January 14, 2016, is clearly not a positive sign for employment. On October 31, 2017, the Governor signed the $41.3 billion 2018-2019 biennium budget, 123 days late. It is 2.5% larger than the adopted 2016-2017 biennium budget and contains no increases in broad-based taxes but does rely on a complex maneuver designed to increase federal Medicaid reimbursement to the State. Connecticut’s pensions remain among the worst funded in the nation, which are likely to be a source of future financial strain at the state level. According to Moody’s, Connecticut’s per-capita debt burden was the highest in the nation at $6,544 in 2017, in contrast to the national median of $987. Connecticut enjoys the highest per-capita income of the 50 states, at 139% of the national average in 2017. As of the end of the reporting period, Moody’s rated Connecticut “A1” with a stable outlook. S&P rates Connecticut “A” with a stable outlook. S&P downgraded its rating to A from A+ on April 13, 2018, citing the State’s heavy debt burden. Approximately $6.2 billion in
7
Portfolio Manager’s Comments (continued)
Connecticut municipal bonds were issued during the twelve months ending May 31, 2018, a gross issuance decrease of 16.8% year-over-year.
Massachusetts continues to benefit from a highly diverse economy. Biotechnology, pharmaceuticals, finance and software development are increasingly driving the Massachusetts economy, aided by the Commonwealth’s extensive education and health care sectors. Among the 50 states, Massachusetts has the highest percentage of population over 25 with a bachelor’s degree (43%). This compares with the national average of 31%. Job growth in Massachusetts is strong and exceeds the national average. Unemployment in the Commonwealth was 3.5% in May 2018, below the national average of 3.8% for the same period. According to the S&P CoreLogic Case-Shiller Index, housing prices in Boston rose 6.9% over the twelve months ended April 2018 (most recent data available at the time this report was prepared), compared with a 6.4% price nationally. According to the U.S. Department of Commerce, Bureau of Economic Analysis, Massachusetts’ per capita income is second highest among the 50 states. At $65,890 for calendar year 2017, it is 131% of the national average. The Commonwealth’s proposed $40.9 billion Fiscal Year 2019 budget represents a 2.3% increase over the adopted Fiscal Year 2018 budget. The proposed budget does not hike sales or income taxes, but does assume $60 million in new tax revenue from recently legalized recreational marijuana. It also calls for a $96 million deposit into the Commonwealth’s rainy day fund and a reduction in one-time revenue solutions. According to Moody’s, Massachusetts’ debt burden is second highest in the nation (after Connecticut) on a per capita basis ($6,085 versus the median of $987) and third highest as a percentage of the state GDP (8.3% versus the median of 2.1%). As of June 2018 (after the close of the reporting period), Moody’s rated Massachusetts Aa1 with a stable outlook, and S&P rated the Commonwealth AA with a stable outlook. S&P downgraded its rating from AA+ to AA on June 9, 2017, citing a reduction in the Commonwealth’s reserve levels. For the twelve months ended May 31, 2018, Massachusetts’ tax-exempt bond supply totaled $11.2 billion, a 20.1% gross issuance decrease over the prior twelve months.
What key strategies were used to manage these Funds during the twelve-month reporting period ended May 31, 2018?
Interest rates rose during the reporting period as the economy maintained steady growth. Yields on the short end of the yield curve experienced a larger move, as the Fed continued to gradually raise its benchmark interest rate. Yields on the longer end of the curve increased by a smaller amount, restrained by relatively tame inflation readings. As a result, the yield curve flattened over the reporting period.
In this environment, our trading activity continued to focus on pursuing the Funds’ investment objectives. We continued to seek bonds in areas of the market that we expected to perform well as the economy continued to improve. The Funds’ positioning emphasized longer maturities, lower-rated credits and/or sectors offering higher yields. To fund these purchases, we generally reinvested the proceeds from called and maturing bonds. In some cases, we sold bonds that we believed had deteriorating fundamentals or could be traded for a better relative value, as well as selling short-dated, higher quality issues that we tend to hold over short timeframes as a source of liquidity.
8
The Connecticut Fund added bonds from several sectors, including private higher education, utilities, hospitals, and state and local general obligation (GO) bonds. These purchases were largely funded from the proceeds of called and maturing bonds and the sale of short-dated (one year and shorter) paper. The Massachusetts Fund bought water and sewer, higher education, transportation and hospital bonds. We made these purchases using the proceeds from called bonds and selling short maturities. NTC and, to a lesser extent, NMT also sold some bonds at a loss to harvest a tax loss that can be used to offset future capital gains, and bought similarly structured, higher yielding bonds to increase the Funds’ income distribution capabilities.
As of May 31, 2018, the Funds continued to use inverse floating rate securities. We employ inverse floaters for a variety of reasons, including duration management, income enhancement and total return enhancement.
How did the Funds perform during the twelve-month reporting period ended May 31, 2018?
The tables in each Fund’s Performance Overview and Holding Summaries section of this report provide the Funds’ total returns for the one-year, five-year and ten-year periods ended May 31, 2018. Each Fund’s total returns at common share net asset value (NAV) are compared with the performance of a corresponding market index.
For the twelve months ended May 31, 2018, the total returns at common share NAV for NTC underperformed the returns for national S&P Municipal Bond Index and the S&P Municipal Bond Connecticut Index, and NMT outperformed the national S&P Municipal Bond Index and the S&P Municipal Bond Massachusetts Index.
The Funds’ performance was affected by duration and yield curve positioning, credit ratings allocations and sector allocations. In addition, the use of regulatory leverage was a factor affecting performance of the Funds. Leverage is discussed in more detail later in the Fund Leverage section of this report.
The Funds’ duration and yield curve positioning was the strongest contributor to relative performance in the reporting period. As longer duration bonds outperformed shorter duration bonds, NTC’s overweight to bonds with durations above six years and underweight to six years and shorter durations were beneficial. For NMT, an underweight to the eight years and shorter duration buckets and an overweight to long duration bonds (especially 10 years and higher) added to relative gains.
On a credit ratings basis, NTC’s positioning had a neutral impact while NMT’s positioning was beneficial. The Massachusetts Fund’s underweight allocations to the high grade (AAA to AA rated) categories and overweight positions in the single A and lower ratings categories were favorable to performance.
Sector allocation detracted from the Funds’ performance. Both NTC and NMT held overweight allocations to pre-refunded bonds (as a result of call activity), which dampened relative performance because these bonds’ higher quality, shorter maturity profiles were out of favor during the reporting period. The Connecticut Fund was also hurt on a relative basis by its exposure to state GOs. Relative to the national benchmark, NTC holds an overweight to state-issued paper. But compared to the state-specific index (where state GOs comprise about one-third of the index), the Fund is meaningfully underweight in state GOs. The state’s budget deficit and
9
Portfolio Manager’s Comments (continued)
pension liabilities continued to make headlines during the period, causing credit spreads on Connecticut’s debt to widen and state GOs to underperform. Although we did take advantage of an attractive buying opportunity in a state GO during this reporting period, we have maintained the Fund’s longstanding tilt toward revenue sectors over GOs partly because of our concerns about the state’s credit condition. NTC’s overweight allocations to the health care, especially hospitals, and utilities sectors were positive contributors to performance, somewhat offsetting the negative impact from pre-refunded bonds and state GOs.
10
Fund Leverage
IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE
One important factor impacting the returns of the Funds’ common shares relative to their comparative benchmarks was the Funds’ use of leverage through their issuance of preferred shares and/or investments in inverse floating rate securities, which represent leveraged investments in underlying bonds. The Funds use leverage because our research has shown that, over time, leveraging provides opportunities for additional income, particularly in the recent market environment where short-term market rates are at or near historical lows, meaning that the short-term rates the Fund has been paying on its leveraging instruments in recent years have been much lower than the interest the Fund has been earning on its portfolio of long-term bonds that it has bought with the proceeds of that leverage.
However, use of leverage can expose Fund common shares to additional price volatility. When a Fund uses leverage, the Fund common shares will experience a greater increase in their net asset value if the municipal bonds acquired through the use of leverage increase in value, but will also experience a correspondingly larger decline in their net asset value if the bonds 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.
Leverage from issuance of preferred shares had a positive impact on the performance of the Funds over the reporting period. The use of leverage through inverse floating rate securities had a negligible impact on the performance of the Funds over the reporting period.
As of May 31, 2018, the Funds’ percentages of leverage are as shown in the accompanying table.
| NTC | NMT | ||||||
| Effective Leverage* | 38.53 | % | 37.86 | % | |||
| Regulatory Leverage* | 36.25 | % | 35.67 | % |
| * | Effective Leverage is a Fund’s effective economic leverage, and includes both regulatory leverage and the leverage effects of certain derivative and other investments in a Fund’s portfolio that increase the Fund’s investment exposure. Currently, the leverage effects of Tender Option Bond (TOB) inverse floater holdings are included in effective leverage values, in addition to any regulatory leverage. Regulatory leverage consists of preferred shares issued or borrowings of a Fund. Both of these are part of a Fund’s capital structure. A Fund, however, may from time to time borrow on a typically transient basis in connection with its day-to-day operations, primarily in connection with the need to settle portfolio trades. Such incidental borrowings are excluded from the calculation of a Fund’s effective leverage ratio. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940. |
THE FUNDS’ REGULATORY LEVERAGE
As of May 31, 2018, the Funds have issued and outstanding preferred shares as shown in the accompanying table.
| Variable Rate Preferred* |
Variable Rate Remarketed Preferred** |
||||||
| Shares Issued at Liquidation Preference |
Shares Issued at Liquidation Preference |
||||||
| NTC | $ | 112,000,000 | $ | — | |||
| NMT | $ | 74,000,000 | $ | — |
| * | Preferred shares of the Fund featuring a floating rate dividend based on a predetermined formula or spread to an index rate. Includes the following preferred shares AMTP, iMTP, VMTP, MFP-VRM and VRDP in Special Rate Mode, where applicable. See Notes to Financial Statements, Note 4 – Fund Shares, Preferred Shares for further details. |
| ** | Preferred shares of the Fund featuring floating rate dividends set by a remarketing agent via a regular remarketing. Includes the following preferred shares VRDP not in Special Rate Mode, MFP-VRRM and MFP-VRDM, where applicable. See Notes to Financial Statements, Note 4 – Fund Shares, Preferred Shares for further details. |
Refer to Notes to Financial Statements, Note 4 — Fund Shares, Preferred Shares for further details on preferred shares and each Fund’s respective transactions.
11
Common Share Information
COMMON SHARE DISTRIBUTION INFORMATION
The following information regarding the Funds’ distributions is current as of May 31, 2018. Each Fund’s distribution levels may vary over time based on each Fund’s investment activity and portfolio investments value changes.
During the current reporting period, each Fund’s distributions to common shareholders were as shown in the accompanying table.
| Per Common Share Amounts |
|||||||
| Monthly Distributions (Ex-Dividend Date) | NTC | NMT | |||||
| June 2017 | $ | 0.0485 | $ | 0.0545 | |||
| July | 0.0485 | 0.0545 | |||||
| August | 0.0485 | 0.0545 | |||||
| September | 0.0450 | 0.0545 | |||||
| October | 0.0450 | 0.0545 | |||||
| November | 0.0450 | 0.0545 | |||||
| December | 0.0410 | 0.0500 | |||||
| January | 0.0410 | 0.0500 | |||||
| February | 0.0410 | 0.0500 | |||||
| March | 0.0410 | 0.0500 | |||||
| April | 0.0410 | 0.0500 | |||||
| May 2018 | 0.0410 | 0.0500 | |||||
| Total Monthly Per Share Distributions | 0.5265 | 0.6270 | |||||
| Ordinary Income Distribution* | 0.0013 | — | |||||
| Total Distributions from Net Investment Income | $ | 0.5278 | $ | 0.6270 | |||
| Yields | |||||||
| Market Yield** | 4.19 | % | 4.75 | % | |||
| Taxable-Equivalent Yield** | 5.99 | % | 6.70 | % | |||
| * | Distribution paid in December 2017. |
| ** | Market Yield is based on the Fund’s current annualized monthly dividend divided by the Fund’s current market price as of the end of the reporting period. Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 30.0% and 29.1% for Connecticut and Massachusetts, respectively. When comparing a Fund to investments that generate qualified dividend income, the Taxable- Equivalent Yield would be lower. |
Each Fund in this report seeks to pay regular monthly dividends out of its net investment income at a rate that reflects its past and projected net income performance. To permit each Fund to maintain a more stable monthly dividend, the Fund may pay dividends at a rate that may be more or less than the amount of net income actually earned by the Fund during the period. If a Fund has cumulatively earned more than it has paid in dividends, it will hold the excess in reserve as undistributed net investment income (UNII) as part of the Fund’s net asset value. Conversely, if a Fund has cumulatively paid in dividends more than it has earned, the excess will constitute a negative UNII that will likewise be reflected in the Fund’s net asset value. Each Fund will, over time, pay all its net investment income as dividends to shareholders.
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As of May 31, 2018, the Funds had positive UNII balances for tax purposes and negative UNII balances for financial reporting purposes.
All monthly dividends paid by each Fund during the current reporting period were paid from net investment income. If a portion of the Fund’s monthly distributions was sourced from or comprised of elements other than net investment income, including capital gains and/or a return of capital, shareholders would have received a notice to that effect. For financial reporting purposes the composition and per share amounts of each Fund’s dividends for the reporting period are presented in this report’s Statement of Changes in Net Assets and Financial Highlights, respectively. For income tax purposes, distribution information for each Fund as of its most recent tax year end is presented in Note 6 — Income Tax Information within the Notes to Financial Statements of this report.
COMMON SHARE REPURCHASES
During August 2017, the Funds’ Board of Trustees reauthorized an open-market share repurchase program, allowing each Fund to repurchase an aggregate of up to approximately 10% of its outstanding shares.
As of May 31, 2018, and since the inception of the Funds’ repurchase programs, the Funds have cumulatively repurchased and retired their outstanding common shares as shown in the accompanying table.
| NTC | NMT | ||||||
| Common shares cumulatively repurchased and retired | 260,800 | — | |||||
| Common shares authorized for repurchase | 1,455,000 | 935,000 |
During the current reporting period, the following Fund repurchased and retired its common shares at a weighted average price per share and a weighted average discount per share as shown in the accompanying table.
| NTC | ||||
| Common shares repurchased and retired | 105,800 | |||
| Weighted average price per common share repurchased and retired | $ | 11.73 | ||
| Weighted average discount per common share repurchased and retired | 14.96 | % |
OTHER COMMON SHARE INFORMATION
As of May 31, 2018, and during the current reporting period, the Funds’ common share prices were trading at a premium/(discount) to their common share NAVs as shown in the accompanying table.
| NTC | NMT | ||||||
| Common share NAV | $ | 13.65 | $ | 14.28 | |||
| Common share price | $ | 11.75 | $ | 12.64 | |||
| Premium/(Discount) to NAV | (13.92 | )% | (11.48 | )% | |||
| 12-month average premium/(discount) to NAV | (13.48 | )% | (4.92 | )% |
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Risk Considerations
Fund shares are not guaranteed or endorsed by any bank or other insured depository institution, and are not federally insured by the Federal Deposit Insurance Corporation.
Nuveen Connecticut Quality Municipal Income Fund (NTC)
Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, derivatives risk, liquidity risk, and income risk. As interest rates rise, bond prices fall. 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. State concentration makes the Fund more susceptible to local adverse economic, political, or regulatory changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are described in more detail on the Fund’s web page at www.nuveen.com/NTC.
Nuveen Massachusetts Quality Municipal Income Fund (NMT)
Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, derivatives risk, liquidity risk, and income risk. As interest rates rise, bond prices fall. 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. State concentration makes the Fund more susceptible to local adverse economic, political, or regulatory changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are described in more detail on the Fund’s web page at www.nuveen.com/NMT.
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| NTC | Nuveen Connecticut Quality Municipal |
| Income Fund | |
| Performance Overview and Holding Summaries as of May 31, 2018 |
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 May 31, 2018
| Average Annual | |||||||
| 1-Year | 5-Year | 10-Year | |||||
| NTC at Common Share NAV | 0.28% | 2.64% | 4.37% | ||||
| NTC at Common Share Price | (1.55)% | 2.12% | 3.40% | ||||
| S&P Municipal Bond Connecticut Index | 0.59% | 1.99% | 3.40% | ||||
| S&P Municipal Bond Index | 1.26% | 2.94% | 4.32% | ||||
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.
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) | |
| Long-Term Municipal Bonds | 158.2% |
| Other Assets Less Liabilities | 1.9% |
| Net Assets Plus Floating Rate Obligations and VMTP Shares, net of deferred offering costs | 160.1% |
| Floating Rate Obligations | (3.2)% |
| VMTP Shares, net of deferred offering costs | (56.9)% |
| Net Assets | 100% |
| Portfolio Composition | |
| (% of total investments) | |
| Tax Obligation/General | 24.5% |
| Health Care | 22.4% |
| Tax Obligation/Limited | 14.4% |
| Water and Sewer | 13.4% |
| U.S. Guaranteed | 11.5% |
| Education and Civic Organizations | 10.2% |
| Other | 3.6% |
| Total | 100% |
| Portfolio Credit Quality | |
| (% of total investment exposure) | |
| U.S. Guaranteed | 11.0% |
| AAA | 1.5% |
| AA | 42.3% |
| A | 38.6% |
| BBB | 5.6% |
| N/R (not rated) | 1.0% |
| Total | 100% |
15
| NMT | Nuveen Massachusetts Quality Municipal |
| Income Fund | |
| Performance Overview and Holding Summaries as of May 31, 2018 |
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 May 31, 2018
| Average Annual | |||||||
| 1-Year | 5-Year | 10-Year | |||||
| NMT at Common Share NAV | 1.29% | 3.51% | 5.17% | ||||
| NMT at Common Share Price | (4.84)% | 3.47% | 4.63% | ||||
| S&P Municipal Bond Massachusetts Index | 0.80% | 2.72% | 4.10% | ||||
| S&P Municipal Bond Index | 1.26% | 2.94% | 4.32% | ||||
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.
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) | |
| Long-Term Municipal Bonds | 153.2% |
| Other Assets Less Liabilities | 2.0% |
| Net Assets Plus VRDP Shares, net of deferred offering costs | 155.2% |
| VRDP Shares, net of deferred offering costs | (55.2)% |
| Net Assets | 100% |
| Portfolio Composition | |
| (% of total investments) | |
| Education and Civic Organizations | 25.6% |
| Health Care | 19.8% |
| U.S. Guaranteed | 13.7% |
| Tax Obligation/Limited | 13.1% |
| Tax Obligation/General | 10.0% |
| Transportation | 6.6% |
| Water and Sewer | 5.8% |
| Other | 5.4% |
| Total | 100% |
| Portfolio Credit Quality | |
| (% of total investment exposure) | |
| U.S. Guaranteed | 12.5% |
| AAA | 6.2% |
| AA | 46.4% |
| A | 22.2% |
| BBB | 9.5% |
| BB or Lower | 0.9% |
| N/R (not rated) | 2.3% |
| Total | 100% |
16
Shareholder Meeting Report
The annual meeting of shareholders was held in the offices of Nuveen on April 11, 2018 for NTC; at this meeting the shareholders were asked to elect Board Members.
| NTC | |||||||
| Common and Preferred shares voting together as a class |
Preferred Shares |
||||||
| Approval of the Board Members was reached as follows: | |||||||
| Margo L. Cook | |||||||
| For | 12,183,507 | — | |||||
| Withhold | 390,823 | — | |||||
| Total | 12,574,330 | — | |||||
| Jack B. Evans | |||||||
| For | 12,168,419 | — | |||||
| Withhold | 405,911 | — | |||||
| Total | 12,574,330 | — | |||||
| Albin F. Moschner | |||||||
| For | 12,179,439 | — | |||||
| Withhold | 394,891 | — | |||||
| Total | 12,574,330 | — | |||||
| William C. Hunter | |||||||
| For | — | 1,120 | |||||
| Withhold | — | — | |||||
| Total | — | 1,120 | |||||
| William J. Schneider | |||||||
| For | — | 1,120 | |||||
| Withhold | — | — | |||||
| Total | — | 1,120 | |||||
17
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees of
Nuveen Connecticut Quality Municipal Income Fund
Nuveen Massachusetts Quality Municipal Income Fund:
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Nuveen Connecticut Quality Municipal Income Fund and Nuveen Massachusetts Quality Municipal Income Fund (the “Funds”) as of May 31, 2018, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, the statements of cash flows for the year then ended, and the related notes (collectively, the “financial statements”) and the financial highlights for each of the years in the four-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of May 31, 2018, the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the four-year period then ended, in conformity with U.S. generally accepted accounting principles. The financial highlights for the year ended May 31, 2014 were audited by other independent registered public accountants whose report, dated July 28, 2014, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of May 31, 2018, by correspondence with the custodian and brokers or other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
/s/ KPMG LLP
We have served as the auditor of one or more Nuveen investment companies since 2014.
Chicago, Illinois
July 26, 2018
18
| NTC | Nuveen Connecticut Quality Municipal Income Fund Portfolio of Investments May 31, 2018 |
| Principal Amount (000) |
Description (1) | Optional Call Provisions (2) |
Ratings (3) | Value | |||||
| LONG-TERM INVESTMENTS – 158.2% (100.0% of Total Investments) | |||||||||
| MUNICIPAL BONDS – 158.2% (100.0% of Total Investments) | |||||||||
| Education and Civic Organizations – 16.1% (10.2% of Total Investments) | |||||||||
| $ | 4,250 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut College, Refunding Series 2016L-1, 4.000%, 7/01/46 | 7/26 at 100.00 | A2 | $ | 4,311,497 | |||
| 1,150 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut College, Series 2011H, 5.000%, 7/01/41 | 7/21 at 100.00 | A2 | 1,226,475 | |||||
| 5,565 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, Series 2016Q-1, 5.000%, 7/01/46 | 7/26 at 100.00 | A– | 6,226,512 | |||||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, Loomis Chaffee School, Series 2005F: | |||||||||
| 440 | 5.250%, 7/01/18 – AMBAC Insured | No Opt. Call | A2 | 441,192 | |||||
| 1,510 | 5.250%, 7/01/19 – AMBAC Insured | No Opt. Call | A2 | 1,564,541 | |||||
| 1,125 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Norwich Free Academy, Series 2013B, 4.000%, 7/01/34 | 7/23 at 100.00 | A1 | 1,146,206 | |||||
| 7,030 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Refunding Series 2015L, 5.000%, 7/01/45 | 7/25 at 100.00 | A– | 7,745,795 | |||||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2016M: | |||||||||
| 500 | 5.000%, 7/01/34 | 7/26 at 100.00 | A– | 562,450 | |||||
| 1,500 | 5.000%, 7/01/36 | 7/26 at 100.00 | A– | 1,674,930 | |||||
| 2,645 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2017I-1, 5.000%, 7/01/42 | 7/27 at 100.00 | A | 2,992,870 | |||||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, The Loomis Chaffee School Issue, Series 2011-I: | |||||||||
| 560 | 5.000%, 7/01/23 – AGM Insured | 7/21 at 100.00 | A2 | 603,422 | |||||
| 225 | 5.000%, 7/01/24 – AGM Insured | 7/21 at 100.00 | A2 | 242,793 | |||||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of New Haven, Series 2018K-1.: | |||||||||
| 1,000 | 5.000%, 7/01/37 | 7/28 at 100.00 | BBB | 1,112,040 | |||||
| 1,250 | 5.000%, 7/01/38 | 7/28 at 100.00 | BBB | 1,387,825 | |||||
| 515 | University of Connecticut, Student Fee Revenue Bonds, Refunding Series 2010A, 5.000%, 11/15/27 | 11/19 at 100.00 | AA– | 537,377 | |||||
| 29,265 | Total Education and Civic Organizations | 31,775,925 | |||||||
| Health Care – 35.5% (22.4% of Total Investments) | |||||||||
| 5,500 | Connecticut Health and Educational Facilities Authority Revenue Bonds, Hartford HealthCare, Series 2015F, 5.000%, 7/01/45 | 7/25 at 100.00 | A | 6,005,725 | |||||
| 4,540 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health Series 2010A, 5.000%, 11/15/40 | 11/19 at 100.00 | AA+ | 4,729,954 | |||||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B: | |||||||||
| 350 | 5.500%, 7/01/21 – RAAI Insured | 8/18 at 100.00 | AA | 351,068 | |||||
| 3,000 | 5.500%, 7/01/32 – RAAI Insured | 8/18 at 100.00 | AA | 3,005,580 | |||||
| 7,025 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford HealthCare, Series 2011A, 5.000%, 7/01/41 | 7/21 at 100.00 | A | 7,430,343 | |||||
| 500 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford HealthCare, Series 2014E, 5.000%, 7/01/42 | 7/24 at 100.00 | A | 544,135 | |||||
| 2,000 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Lawrence and Memorial Hospitals, Series 2011F, 5.000%, 7/01/36 | 7/21 at 100.00 | A+ | 2,114,800 | |||||
| 1,915 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2015O, 5.000%, 7/01/36 | 7/25 at 100.00 | A3 | 2,081,088 |
19
| NTC | Nuveen Connecticut Quality Municipal Income Fund Portfolio of Investments (continued) May 31, 2018 |
| Principal Amount (000) |
Description (1) | Optional Call Provisions (2) |
Ratings (3) | Value | |||||
| Health Care (continued) | |||||||||
| $ | 1,275 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2010-I, 5.000%, 7/01/30 | 7/20 at 100.00 | BBB+ | $ | 1,340,892 | |||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2012J: | |||||||||
| 1,000 | 5.000%, 7/01/37 | 7/22 at 100.00 | BBB+ | 1,071,000 | |||||
| 7,155 | 5.000%, 7/01/42 | 7/22 at 100.00 | BBB+ | 7,626,300 | |||||
| 4,000 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2016K, 4.000%, 7/01/46 | 7/26 at 100.00 | BBB+ | 3,933,560 | |||||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, Trinity Health Credit Group, Series 2016CT: | |||||||||
| 2,650 | 5.000%, 12/01/41 | 6/26 at 100.00 | AA– | 3,006,001 | |||||
| 770 | 5.000%, 12/01/45 | 6/26 at 100.00 | AA– | 868,791 | |||||
| 5,915 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011M, 5.375%, 7/01/41 | 7/21 at 100.00 | A | 6,338,987 | |||||
| 4,000 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011N, 5.000%, 7/01/29 | 7/21 at 100.00 | A | 4,267,200 | |||||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Health Issue, Series 2014E: | |||||||||
| 2,610 | 5.000%, 7/01/32 | 7/24 at 100.00 | AA– | 2,933,327 | |||||
| 2,740 | 5.000%, 7/01/33 | 7/24 at 100.00 | AA– | 3,072,910 | |||||
| 900 | 5.000%, 7/01/34 | 7/24 at 100.00 | AA– | 1,007,217 | |||||
| 7,475 | Monroe County Industrial Development Corporation, New York, FHA Insured Mortgage Revenue Bonds, Unity Hospital of Rochester Project, Series 2010, 5.500%, 8/15/40 | 2/21 at 100.00 | AA | 8,127,568 | |||||
| 65,320 | Total Health Care | 69,856,446 | |||||||
| Long-Term Care – 1.6% (1.0% of Total Investments) | |||||||||
| 1,100 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Duncaster, Inc., Series 2014A, 5.000%, 8/01/44 | 8/24 at 100.00 | BBB– | 1,155,781 | |||||
| 630 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Healthcare Facility Expansion Church Home of Hartford Inc. Project, Series 2016A, 5.000%, 9/01/46, 144A | 9/26 at 100.00 | N/R | 658,066 | |||||
| 1,260 | Connecticut Housing Finance Authority, State Supported Special Obligation Bonds, Refunding Series 2010-16, 5.000%, 6/15/30 | 6/20 at 100.00 | A1 | 1,330,447 | |||||
| 2,990 | Total Long-Term Care | 3,144,294 | |||||||
| Tax Obligation/General – 38.7% (24.5% of Total Investments) | |||||||||
| Bridgeport, Connecticut, General Obligation Bonds, Series 2014A: | |||||||||
| 2,345 | 5.000%, 7/01/32 – AGM Insured | 7/24 at 100.00 | AA | 2,605,014 | |||||
| 1,600 | 5.000%, 7/01/34 – AGM Insured | 7/24 at 100.00 | AA | 1,772,720 | |||||
| 2,800 | Bridgeport, Connecticut, General Obligation Bonds, Series 2016D, 5.000%, 8/15/41 – AGM Insured | 8/26 at 100.00 | AA | 3,088,512 | |||||
| City of Bridgeport, Connecticut, General Obligation Bonds, Series 2017A: | |||||||||
| 1,470 | 5.000%, 11/01/36 | 11/27 at 100.00 | A | 1,601,109 | |||||
| 750 | 5.000%, 11/01/37 | 11/27 at 100.00 | A | 816,277 | |||||
| City of New Haven, Connecticut, General Obligation Bonds, Series 2017A: | |||||||||
| 1,000 | 5.000%, 8/01/35 | 8/27 at 100.00 | A– | 1,092,840 | |||||
| 1,425 | 5.000%, 8/01/36 | 8/27 at 100.00 | A– | 1,552,694 | |||||
| 5,580 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut State University System, Series 2013N, 5.000%, 11/01/31 | 11/23 at 100.00 | A1 | 6,060,605 | |||||
| 3,075 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut State University System, Series 2016P-1, 5.000%, 11/01/29 | 11/26 at 100.00 | A1 | 3,538,833 | |||||
| 2,290 | Connecticut State, General Obligation Bonds, Refunding Series 2012E, 5.000%, 9/15/32 | 9/22 at 100.00 | A1 | 2,442,216 | |||||
| 1,000 | Connecticut State, General Obligation Bonds, Series 2011D, 5.000%, 11/01/31 | 11/21 at 100.00 | A1 | 1,057,990 | |||||
| 2,600 | Connecticut State, General Obligation Bonds, Series 2014A, 5.000%, 3/01/31 | 3/24 at 100.00 | A1 | 2,835,014 | |||||
| 3,500 | Connecticut State, General Obligation Bonds, Series 2014F, 5.000%, 11/15/34 | 11/24 at 100.00 | A1 | 3,809,015 |
20
| Principal Amount (000) |
Description (1) | Optional Call Provisions (2) |
Ratings (3) | Value | |||||
| Tax Obligation/General (continued) | |||||||||
| $ | 4,580 | Connecticut State, General Obligation Bonds, Series 2015A, 4.500%, 3/15/33 | 3/25 at 100.00 | A1 | $ | 4,837,121 | |||
| 2,630 | Connecticut State, General Obligation Bonds, Series 2015F, 5.000%, 11/15/34 | 11/25 at 100.00 | A1 | 2,886,609 | |||||
| Connecticut State, General Obligation Bonds, Series 2017A: | |||||||||
| 4,000 | 5.000%, 4/15/34 | 4/27 at 100.00 | A1 | 4,460,160 | |||||
| 3,730 | 5.000%, 4/15/35 | 4/27 at 100.00 | A1 | 4,147,051 | |||||
| 1,225 | Hamden, Connecticut, General Obligation Bonds, Series 2016, 5.000%, 8/15/32 – BAM Insured | 8/24 at 100.00 | AA | 1,370,640 | |||||
| 870 | Hartford, Connecticut, General Obligation Bonds, Series 2009A, 5.000%, 8/15/28 – AGC Insured | 8/19 at 100.00 | AA | 901,120 | |||||
| New Haven, Connecticut, General Obligation Bonds, Refunding Series 2016A: | |||||||||
| 1,000 | 5.000%, 8/15/32 – AGM Insured | 8/26 at 100.00 | AA | 1,117,370 | |||||
| 1,550 | 5.000%, 8/15/35 – AGM Insured | 8/26 at 100.00 | AA | 1,715,525 | |||||
| 985 | New Haven, Connecticut, General Obligation Bonds, Series 2014A, 5.000%, 8/01/33 – AGM Insured | 8/24 at 100.00 | AA | 1,079,314 | |||||
| New Haven, Connecticut, General Obligation Bonds, Series 2015: | |||||||||
| 790 | 5.000%, 9/01/32 – AGM Insured | 9/25 at 100.00 | AA | 865,714 | |||||
| 1,620 | 5.000%, 9/01/33 – AGM Insured | 9/25 at 100.00 | AA | 1,769,834 | |||||
| 500 | 5.000%, 9/01/35 – AGM Insured | 9/25 at 100.00 | AA | 543,915 | |||||
| 900 | North Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 7/15/24 | No Opt. Call | Aa1 | 1,043,397 | |||||
| 1,670 | Oregon State, General Obligation Bonds, Oregon University System Projects, Series 2011G, 5.000%, 8/01/36 | 8/21 at 100.00 | AA+ | 1,814,004 | |||||
| State of Connecticut General Obligation Bonds, Series 2018A: | |||||||||
| 3,500 | 5.000%, 4/15/35 (UB) (4) | 4/28 at 100.00 | A+ | 3,925,285 | |||||
| 5,000 | 5.000%, 4/15/38 (UB) (4) | 4/28 at 100.00 | A+ | 5,563,500 | |||||
| 600 | Stratford, Connecticut, General Obligation Bonds, Series 2014, 5.000%, 12/15/32 | 12/22 at 100.00 | AA | 659,550 | |||||
| Suffield, Connecticut, General Obligation Bonds, Refunding Series 2005: | |||||||||
| 820 | 5.000%, 6/15/19 | No Opt. Call | AA+ | 848,036 | |||||
| 1,400 | 5.000%, 6/15/21 | No Opt. Call | AA+ | 1,527,218 | |||||
| 250 | Trumbull, Connecticut, General Obligation Bonds, Refunding Series 2017B, 4.000%, 9/01/30 | 9/26 at 100.00 | AA+ | 273,862 | |||||
| Waterbury, Connecticut, General Obligation Bonds, Lot A Series 2015: | |||||||||
| 445 | 5.000%, 8/01/30 – BAM Insured | 8/25 at 100.00 | AA | 508,088 | |||||
| 390 | 5.000%, 8/01/31 – BAM Insured | 8/25 at 100.00 | AA | 444,748 | |||||
| 610 | 5.000%, 8/01/32 – BAM Insured | 8/25 at 100.00 | AA | 693,515 | |||||
| 445 | 5.000%, 8/01/33 – BAM Insured | 8/25 at 100.00 | AA | 504,692 | |||||
| 445 | 5.000%, 8/01/34 – BAM Insured | 8/25 at 100.00 | AA | 503,464 | |||||
| 69,390 | Total Tax Obligation/General | 76,276,571 | |||||||
| Tax Obligation/Limited – 22.8% (14.4% of Total Investments) | |||||||||
| 2,500 | Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes Series 2012A, 5.000%, 1/01/33 | 1/23 at 100.00 | AA | 2,692,250 | |||||
| 3,855 | Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes Series 2013A, 5.000%, 10/01/33 | 10/23 at 100.00 | AA | 4,198,018 | |||||
| 1,380 | Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes Series 2015A, 5.000%, 8/01/33 | 8/25 at 100.00 | AA | 1,522,871 | |||||
| Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes Series 2016A: | |||||||||
| 5,300 | 5.000%, 9/01/33 | 9/26 at 100.00 | AA | 5,924,976 | |||||
| 1,700 | 5.000%, 9/01/34 | 9/26 at 100.00 | AA | 1,893,987 | |||||
| Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes, Series 2014A: | |||||||||
| 3,835 | 5.000%, 9/01/33 | 9/24 at 100.00 | AA | 4,195,337 | |||||
| 1,000 | 5.000%, 9/01/34 | 9/24 at 100.00 | AA | 1,089,250 | |||||
| 1,500 | Government of Guam, Business Privilege Tax Bonds, Refunding Series 2015D, 5.000%, 11/15/39 | 11/25 at 100.00 | A | 1,581,915 | |||||
| Government of Guam, Business Privilege Tax Bonds, Series 2011A: | |||||||||
| 840 | 5.250%, 1/01/36 | 1/22 at 100.00 | A | 882,050 | |||||
| 3,200 | 5.125%, 1/01/42 | 1/22 at 100.00 | A | 3,321,952 |
21
| NTC | Nuveen Connecticut Quality Municipal Income Fund Portfolio of Investments (continued) May 31, 2018 |
| Principal Amount (000) |
Description (1) | Optional Call Provisions (2) |
Ratings (3) | Value | |||||
| Tax Obligation/Limited (continued) | |||||||||
| $ | 2,315 | Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue Bonds, Harbor Point Project, Refunding Series 2017, 5.000%, 4/01/39, 144A | 4/27 at 100.00 | N/R | $ | 2,481,958 | |||
| 1,500 | Puerto Rico Municipal Finance Agency, Series 2002A, 5.250%, 8/01/21 – AGM Insured | 8/18 at 100.00 | AA | 1,533,120 | |||||
| 2,600 | University of Connecticut, General Obligation Bonds, Series 2010A, 5.000%, 2/15/28 | 2/20 at 100.00 | AA– | 2,717,884 | |||||
| 2,500 | University of Connecticut, General Obligation Bonds, Series 2013A, 5.000%, 8/15/32 | 8/23 at 100.00 | AA– | 2,775,700 | |||||
| 760 | University of Connecticut, General Obligation Bonds, Series 2014A, 5.000%, 2/15/31 | 2/24 at 100.00 | AA– | 846,184 | |||||
| University of Connecticut, General Obligation Bonds, Series 2015A: | |||||||||
| 900 | 5.000%, 2/15/29 | 2/25 at 100.00 | AA– | 999,783 | |||||
| 1,415 | 5.000%, 2/15/34 | 2/25 at 100.00 | AA– | 1,546,850 | |||||
| 2,500 | University of Connecticut, General Obligation Bonds, Series 2016A, 5.000%, 3/15/32 | 3/26 at 100.00 | AA– | 2,773,125 | |||||
| 1,790 | Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Refunding Series 2012A, 5.000%, 10/01/32 – AGM Insured | 10/22 at 100.00 | AA | 1,936,350 | |||||
| 41,390 | Total Tax Obligation/Limited | 44,913,560 | |||||||
| U.S. Guaranteed – 18.3% (11.5% of Total Investments) (5) | |||||||||
| 1,010 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Catholic Health East Series 2010, 4.750%, 11/15/29 (Pre-refunded 11/15/20) | 11/20 at 100.00 | AA– | 1,077,256 | |||||
| 4,000 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, Series 2010-O, 5.000%, 7/01/40 (Pre-refunded 7/01/20) | 7/20 at 100.00 | A– | 4,251,080 | |||||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2011N: | |||||||||
| 1,105 | 5.000%, 7/01/25 (Pre-refunded 7/01/21) | 7/21 at 100.00 | A3 | 1,203,367 | |||||
| 400 | 5.000%, 7/01/26 (Pre-refunded 7/01/21) | 7/21 at 100.00 | A3 | 435,608 | |||||
| 500 | 5.000%, 7/01/27 (Pre-refunded 7/01/21) | 7/21 at 100.00 | A3 | 544,510 | |||||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2011G: | |||||||||
| 250 | 5.125%, 7/01/26 (Pre-refunded 7/01/21) | 7/21 at 100.00 | A | 273,182 | |||||
| 3,260 | 5.625%, 7/01/41 (Pre-refunded 7/01/21) | 7/21 at 100.00 | A | 3,610,678 | |||||
| Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2012H: | |||||||||
| 1,500 | 5.000%, 7/01/26 (Pre-refunded 7/01/22) – AGM Insured | 7/22 at 100.00 | AA | 1,674,615 | |||||
| 1,000 | 5.000%, 7/01/28 (Pre-refunded 7/01/22) – AGM Insured | 7/22 at 100.00 | AA | 1,116,410 | |||||
| 3,000 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, Series 2010G, 5.000%, 7/01/35 (Pre-refunded 7/01/20) | 7/20 at 100.00 | AA | 3,194,610 | |||||
| 1,240 | Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2010M, 5.500%, 7/01/40 (Pre-refunded 7/01/20) | 7/20 at 100.00 | Aa3 | 1,330,384 | |||||
| 2,050 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 5.625%, 7/01/40 (Pre-refunded 7/01/20) | 7/20 at 100.00 | A– | 2,205,923 | |||||
| 3,000 | Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue Bonds, Harbor Point Project, Series 2010A, 7.875%, 4/01/39 (Pre-refunded 4/01/20) | 4/20 at 100.00 | N/R | 3,311,910 | |||||
| 870 | Hartford, Connecticut, General Obligation Bonds, Series 2009A, 5.000%, 8/15/28 (Pre-refunded 8/15/19) – AGC Insured | 8/19 at 100.00 | AA | 903,434 | |||||
| 2,220 | Oregon State, General Obligation Bonds, Oregon University System Projects, Series 2011G, 5.000%, 8/01/36 (Pre-refunded 8/02/21) | 8/21 at 100.00 | N/R | 2,422,264 | |||||
| 1,010 | Puerto Rico Public Finance Corporation, Commonwealth Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 – AMBAC Insured (ETM) | No Opt. Call | Aaa | 1,111,040 | |||||
| 4,870 | South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twentieth-Sixth Series, 2011, 5.000%, 8/01/41 (Pre-refunded 8/01/21) | 8/21 at 100.00 | AA– | 5,328,998 | |||||
| 1,725 | Stamford, Connecticut, Special Obligation Revenue Bonds, Mill River Corridor Project, Series 2011aA, 7.000%, 4/01/41 (Pre-refunded 4/01/21) | 4/21 at 100.00 | N/R | 1,958,651 | |||||
| 33,010 | Total U.S. Guaranteed | 35,953,920 |
22
| Principal Amount (000) |
Description (1) | Optional Call Provisions (2) |
Ratings (3) | Value | |||||
| Utilities – 4.0% (2.6% of Total Investments) | |||||||||
| Connecticut Municipal Electric Energy Cooperative, Power Supply System Revenue Bonds, Tender Option Bond Trust 2016-XG0059: | |||||||||
| $ | 1,295 | 13.871%, 1/01/32, 144A (IF) (4) | 1/23 at 100.00 | Aa3 | $ | 1,823,995 | |||
| 410 | 13.754%, 1/01/38, 144A (IF) (4) | 1/23 at 100.00 | Aa3 | 567,071 | |||||
| Connecticut Transmission Municipal Electric Energy Cooperative, Transmission System Revenue Bonds, Series 2012A: | |||||||||
| 655 | 5.000%, 1/01/31 | 1/22 at 100.00 | Aa3 | 715,116 | |||||
| 500 | 5.000%, 1/01/32 | 1/22 at 100.00 | Aa3 | 544,990 | |||||
| 2,830 | 5.000%, 1/01/42 | 1/22 at 100.00 | Aa3 | 3,062,400 | |||||
| 960 | Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A, 5.500%, 1/01/20 (Alternative Minimum Tax) | 7/18 at 100.00 | A– | 974,266 | |||||
| 250 | Guam Power Authority, Revenue Bonds, Series 2012A, 5.000%, 10/01/34 – AGM Insured | 10/22 at 100.00 | AA | 272,672 | |||||
| 6,900 | Total Utilities | 7,960,510 | |||||||
| Water and Sewer – 21.2% (13.4% of Total Investments) | |||||||||
| Connecticut, State Revolving Fund General Revenue Bonds, Green Bonds, Series 2017A: | |||||||||
| 1,500 | 5.000%, 5/01/36 | 5/27 at 100.00 | AAA | 1,750,830 | |||||
| 1,500 | 5.000%, 5/01/37 | 5/27 at 100.00 | AAA | 1,748,265 | |||||
| Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Refunding Series 2014B: | |||||||||
| 500 | 5.000%, 8/15/30 | 8/24 at 100.00 | AA | 563,075 | |||||
| 1,000 | 5.000%, 8/15/31 | 8/24 at 100.00 | AA | 1,124,330 | |||||
| 500 | 5.000%, 8/15/32 | 8/24 at 100.00 | AA | 564,895 | |||||
| 55 | Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A, 5.000%, 8/15/35 – NPFG Insured | 11/18 at 100.00 | AA | 55,147 | |||||
| 1,335 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Refunding Series 2017, 5.000%, 7/01/36 | 7/27 at 100.00 | A– | 1,435,299 | |||||
| 3,045 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2013, 5.500%, 7/01/43 | 7/23 at 100.00 | A– | 3,314,026 | |||||
| 1,125 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2016, 5.000%, 1/01/46 | 7/26 at 100.00 | A– | 1,193,175 | |||||
| 8,015 | Hartford County Metropolitan District, Connecticut, Clean Water Project Revenue Bonds, Refunding Green Bond Series 2014A, 5.000%, 11/01/42 | 11/24 at 100.00 | Aa2 | 8,849,602 | |||||
| Hartford County Metropolitan District, Connecticut, Clean Water Project Revenue Bonds, Series 2013A: | |||||||||
| 4,100 | 5.000%, 4/01/36 | 4/22 at 100.00 | Aa2 | 4,446,573 | |||||
| 2,500 | 5.000%, 4/01/39 | 4/22 at 100.00 | Aa2 | 2,709,425 | |||||
| 795 | South Central Connecticut Regional Water Authority Water System Revenue Bonds, Thirtieth Series 2014A, 5.000%, 8/01/44 | 8/24 at 100.00 | AA– | 891,362 | |||||
| South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Refunding Thirty-Second Series 2016B: | |||||||||
| 1,470 | 4.000%, 8/01/36 | 8/26 at 100.00 | AA– | 1,563,580 | |||||
| 3,330 | 5.000%, 8/01/37 | 8/26 at 100.00 | AA– | 3,871,458 | |||||
| South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Thirty-third Series 2018A: | |||||||||
| 1,270 | 5.000%, 8/01/42 | 8/28 at 100.00 | AA– | 1,497,038 | |||||
| 1,000 | 5.000%, 8/01/47 | 8/28 at 100.00 | AA– | 1,173,970 |
23
| NTC | Nuveen Connecticut Quality Municipal Income Fund Portfolio of Investments (continued) May 31, 2018 |
| Principal Amount (000) |
Description (1) | Optional Call Provisions (2) |
Ratings (3) | Value | |||||
| Water and Sewer (continued) | |||||||||
| $ | 4,000 | South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twenty-Seventh Series 2012, 5.000%, 8/01/33 | 8/22 at 100.00 | AA– | $ | 4,415,800 | |||
| 500 | Stamford, Connecticut, Water Pollution Control System and Facility Revenue Bonds, Series 2013A, 5.250%, 8/15/43 | 8/23 at 100.00 | AA+ | 568,960 | |||||
| 37,540 | Total Water and Sewer | 41,736,810 | |||||||
| $ | 285,805 | Total Long-Term Investments (cost $304,396,897) | 311,618,036 | ||||||
| Floating Rate Obligations – (3.2)% | (6,375,000) | ||||||||
| Variable Rate MuniFund Term Preferred Shares, net of deferred offering costs – (56.9)% (6) | (111,990,432) | ||||||||
| Other Assets Less Liabilities – 1.9% | 3,744,760 | ||||||||
| Net Assets Applicable to Common Shares – 100% | $ | 196,997,364 |
| (1) | All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted. |
| (2) | Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. Optional Call Provisions are not covered by the report of independent registered public accounting firm. |
| (3) | For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. Ratings are not covered by the report of independent registered public accounting firm. |
| (4) | Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions. |
| (5) | Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. |
| (6) | Variable Rate MuniFund Term Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 35.9%. |
| 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. |
| ETM | Escrowed to maturity. |
| IF | Inverse floating rate security issued by a tender option bond (“TOB”) trust, the interest rate on which varies inversely with the Securities Industry Financial Markets Association (SIFMA) short-term rate, which resets weekly, or a similar short-term rate, and is reduced by the expenses related to the TOB trust. |
| UB | Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Note 3 – Portfolio Securities and Investments in Derivatives, Inverse Floating Rate Securities for more information. |
| See accompanying notes to financial statements. |
24
| NMT | Nuveen Massachusetts Quality Municipal Income Fund Portfolio of Investments May 31, 2018 |
| Principal Amount (000) |
Description (1) | Optional Call Provisions (2) |
Ratings (3) | Value | |||||
| LONG-TERM INVESTMENTS – 153.2% (100.0% of Total Investments) | |||||||||
| MUNICIPAL BONDS – 153.2% (100.0% of Total Investments) | |||||||||
| Education and Civic Organizations – 39.2% (25.6% of Total Investments) | |||||||||
| $ | 3,515 | Massachusetts Development Finance Agency, Revenue Bonds, Berklee College of Music, Series 2016, 5.000%, 10/01/39 | 10/26 at 100.00 | A | $ | 4,037,716 | |||
| 2,200 | Massachusetts Development Finance Agency, Revenue Bonds, Boston College, Series 2013S, 5.000%, 7/01/38 | 7/23 at 100.00 | AA– | 2,455,024 | |||||
| 730 | Massachusetts Development Finance Agency, Revenue Bonds, Boston College, Series 2017T, 5.000%, 7/01/42 | 7/27 at 100.00 | AA– | 847,107 | |||||
| Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Tender Option Bond Trust 2016-XG0070: | |||||||||
| 1,880 | 13.670%, 10/01/48, 144A (IF) (4) | 10/23 at 100.00 | Aa3 | 2,706,862 | |||||
| 575 | 13.599%, 10/01/48, 144A (IF) (4) | 10/23 at 100.00 | Aa3 | 827,586 | |||||
| 2,000 | Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2017A, 5.000%, 1/01/34 | 1/28 at 100.00 | BBB+ | 2,247,440 | |||||
| 2,435 | Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2017A, 5.000%, 1/01/40 | 1/28 at 100.00 | BBB+ | 2,700,634 | |||||
| 2,150 | Massachusetts Development Finance Agency, Revenue Bonds, Lesley University, Series 2011B-1, 5.250%, 7/01/33 – AGM Insured | 7/21 at 100.00 | AA | 2,344,575 | |||||
| 1,955 | Massachusetts Development Finance Agency, Revenue Bonds, Lesley University, Series 2016, 5.000%, 7/01/35 | 7/26 at 100.00 | A– | 2,211,046 | |||||
| Massachusetts Development Finance Agency, Revenue Bonds, MCPHS University Issue, Series 2015H: | |||||||||
| 450 | 3.500%, 7/01/35 | 7/25 at 100.00 | AA | 448,272 | |||||
| 190 | 5.000%, 7/01/37 | 7/25 at 100.00 | AA | 215,091 | |||||
| 1,200 | Massachusetts Development Finance Agency, Revenue Bonds, Merrimack College, Series 2017, 5.000%, 7/01/47 | 7/26 at 100.00 | BBB– | 1,301,904 | |||||
| 550 | Massachusetts Development Finance Agency, Revenue Bonds, Northeastern University, Series 2012, 5.000%, 10/01/31 | 10/22 at 100.00 | A1 | 607,679 | |||||
| Massachusetts Development Finance Agency, Revenue Bonds, Northeastern University, Series 2014A: | |||||||||
| 875 | 5.000%, 3/01/39 | 3/24 at 100.00 | A1 | 968,581 | |||||
| 1,400 | 5.000%, 3/01/44 | 3/24 at 100.00 | A1 | 1,545,838 | |||||
| 500 | Massachusetts Development Finance Agency, Revenue Bonds, Simmons College, Series 2013J, 5.250%, 10/01/39 | 10/23 at 100.00 | BBB+ | 548,000 | |||||
| 1,230 | Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art Institute, Series 2015, 5.000%, 7/01/33 | 7/25 at 100.00 | AA | 1,417,046 | |||||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2017, 5.000%, 4/01/37 | 10/27 at 100.00 | AA– | 1,170,470 | |||||
| 875 | Massachusetts Development Finance Agency, Revenue Bonds, Tufts University, Series 2015Q, 5.000%, 8/15/38 | 8/25 at 100.00 | Aa2 | 1,002,724 | |||||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, Wheaton College, Series 2017H., 5.000%, 1/01/37 | 1/28 at 100.00 | A3 | 1,151,870 | |||||
| 1,510 | Massachusetts Development Finance Agency, Revenue Bonds, Woods Hole Oceanographic Institution, Series 2018, 5.000%, 6/01/43 | 6/28 at 100.00 | AA– | 1,750,679 | |||||
| 1,365 | Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2012, 5.000%, 9/01/50 | 9/22 at 100.00 | A1 | 1,478,568 | |||||
| 1,500 | Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2017B., 5.000%, 9/01/45 | 9/27 at 100.00 | A1 | 1,710,600 | |||||
| 700 | Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2017, 5.000%, 9/01/47 | 9/27 at 100.00 | A1 | 798,882 |
25
| NMT | Nuveen Massachusetts Quality Municipal Income Fund Portfolio of Investments (continued) May 31, 2018 |
| Principal Amount (000) |
Description (1) | Optional Call Provisions (2) |
Ratings (3) | Value | |||||
| Education and Civic Organizations (continued) | |||||||||
| $ | 500 | Massachusetts Development Finance Authority, Revenue Bonds, Suffolk University, Refunding Series 2017, 5.000%, 7/01/35 | 7/27 at 100.00 | Baa2 | $ | 559,520 | |||
| 3,000 | Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2002A, 5.750%, 1/01/42 – AMBAC Insured | No Opt. Call | AA– | 4,054,860 | |||||
| 875 | Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2016, 4.000%, 1/01/38 | 7/26 at 100.00 | AA– | 914,296 | |||||
| Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University, Series 1999P: | |||||||||
| 1,090 | 6.000%, 5/15/29 | No Opt. Call | Aa3 | 1,337,125 | |||||
| 1,000 | 6.000%, 5/15/59 | 5/29 at 105.00 | Aa3 | 1,259,910 | |||||
| 460 | Massachusetts Educational Financing Authority, Educational Loan Revenue, Series 2011J, 5.625%, 7/01/33 (Alternative Minimum Tax) | 7/21 at 100.00 | AA | 486,597 | |||||
| 255 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northeastern University, Series 2010A, 4.875%, 10/01/35 | 10/20 at 100.00 | A1 | 269,300 | |||||
| 165 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Suffolk University, Refunding Series 2009A, 5.750%, 7/01/39 | 7/19 at 100.00 | Baa2 | 170,506 | |||||
| 2,000 | University of Massachusetts Building Authority, Project Revenue Bonds, Senior Series 2014-1, 5.000%, 11/01/44 | 11/24 at 100.00 | Aa2 | 2,263,960 | |||||
| 4,000 | University of Massachusetts Building Authority, Project Revenue Bonds, Senior Series 2015-1, 5.000%, 11/01/40 | 11/25 at 100.00 | Aa2 | 4,579,240 | |||||
| 45,130 | Total Education and Civic Organizations | 52,389,508 | |||||||
| Health Care – 30.4% (19.8% of Total Investments) | |||||||||
| 1,000 | Massachusetts Development Finance Agency Revenue Bonds, Children’s Hospital Issue, Series 2014P, 5.000%, 10/01/46 | 10/24 at 100.00 | AA | 1,117,460 | |||||
| 1,340 | Massachusetts Development Finance Agency Revenue Bonds, South Shore Hospital, Series 2016I, 5.000%, 7/01/41 | 7/26 at 100.00 | A– | 1,477,323 | |||||
| 1,410 | Massachusetts Development Finance Agency, Hospital Revenue Bonds, Cape Cod Healthcare Obligated Group, Series 2013, 5.250%, 11/15/41 | 11/23 at 100.00 | A+ | 1,559,361 | |||||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, Baystate Medical Center Issue, Series 2014N, 5.000%, 7/01/44 | 7/24 at 100.00 | A+ | 1,092,290 | |||||
| Massachusetts Development Finance Agency, Revenue Bonds, Berkshire Health Systems, Series 2012G: | |||||||||
| 895 | 5.000%, 10/01/29 | 10/21 at 100.00 | AA– | 975,496 | |||||
| 700 | 5.000%, 10/01/31 | 10/21 at 100.00 | AA– | 762,020 | |||||
| 500 | Massachusetts Development Finance Agency, Revenue Bonds, Boston Medical Center Issue, Series 2016E, 5.000%, 7/01/32 | 7/26 at 100.00 | BBB | 562,075 | |||||
| 1,200 | Massachusetts Development Finance Agency, Revenue Bonds, CareGroup Issue, Refunding Series 2016-I, 5.000%, 7/01/29 | 7/26 at 100.00 | A– | 1,372,800 | |||||
| Massachusetts Development Finance Agency, Revenue Bonds, CareGroup Issue, Series 2015H-1: | |||||||||
| 900 | 5.000%, 7/01/30 | 7/25 at 100.00 | A– | 1,020,708 | |||||
| 1,000 | 5.000%, 7/01/32 | 7/25 at 100.00 | A– | 1,121,200 | |||||
| 500 | 5.000%, 7/01/33 | 7/25 at 100.00 | A– | 555,565 | |||||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, Covenant Health System Obligated Group, Series 2012, 5.000%, 7/01/31 | 7/22 at 100.00 | BBB+ | 1,071,000 | |||||
| 2,800 | Massachusetts Development Finance Agency, Revenue Bonds, Dana-Farber Cancer Institute Issue, Series 2016N, 5.000%, 12/01/46 | 12/26 at 100.00 | A1 | 3,165,512 | |||||
| Massachusetts Development Finance Agency, Revenue Bonds, Lahey Health System Obligated Group Issue, Series 2015F: | |||||||||
| 1,345 | 5.000%, 8/15/35 | 8/25 at 100.00 | A | 1,502,217 | |||||
| 3,500 | 5.000%, 8/15/45 | 8/25 at 100.00 | A | 3,866,450 | |||||
| 1,080 | Massachusetts Development Finance Agency, Revenue Bonds, Milford Regional Medical Center Issue, Series 2014F, 5.750%, 7/15/43 | 7/23 at 100.00 | BBB– | 1,175,429 |
26
| Principal Amount (000) |
Description (1) | Optional Call Provisions (2) |
Ratings (3) | Value | |||||
| Health Care (continued) | |||||||||
| $ | 3,450 | Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System Issue, Series 2016Q, 5.000%, 7/01/47 | 7/26 at 100.00 | AA– | $ | 3,888,737 | |||
| Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System Issue, Series 2017S.: | |||||||||
| 820 | 5.000%, 7/01/37 | 1/28 at 100.00 | AA– | 946,001 | |||||
| 2,100 | 4.000%, 7/01/41 | 1/28 at 100.00 | AA– | 2,165,751 | |||||
| 5 | Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series 2012L., 5.000%, 7/01/36 | 7/21 at 100.00 | AA– | 5,380 | |||||
| 820 | Massachusetts Development Finance Agency, Revenue Bonds, Southcoast Health System Obligated Group Issue, Series 2013F, 5.000%, 7/01/37 | 7/23 at 100.00 | BBB+ | 889,815 | |||||
| Massachusetts Development Finance Agency, Revenue Bonds, The Lowell General Hospital, Series 2013G: | |||||||||
| 1,000 | 5.000%, 7/01/37 | 7/23 at 100.00 | BBB+ | 1,069,170 | |||||
| 2,200 | 5.000%, 7/01/44 | 7/23 at 100.00 | BBB+ | 2,340,580 | |||||
| 610 | Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health Care Obligated Group Issue, Series 2017K, 5.000%, 7/01/38 | 1/27 at 100.00 | BBB+ | 673,458 | |||||
| Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health Care Obligated Group Issue, Series 2017L.: | |||||||||
| 400 | 3.625%, 7/01/37 | 7/27 at 100.00 | BBB+ | 391,084 | |||||
| 1,095 | 5.000%, 7/01/44 | 7/27 at 100.00 | BBB+ | 1,213,654 | |||||
| 445 | Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health Care, Series 2016I, 5.000%, 7/01/36 | 7/26 at 100.00 | BBB+ | 493,572 | |||||
| 25 | Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health, Series 2011H., 5.500%, 7/01/31 | 7/21 at 100.00 | BBB+ | 27,105 | |||||
| 2,500 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Dana-Farber Cancer Institute, Series 2008K, 5.000%, 12/01/37 | 12/18 at 100.00 | A1 | 2,544,925 | |||||
| 1,495 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional Medical Center, Series 2007E, 5.000%, 7/15/32 | 8/18 at 100.00 | BBB– | 1,507,767 | |||||
| 37,135 | Total Health Care | 40,553,905 | |||||||
| Housing/Multifamily – 1.3% (0.9% of Total Investments) | |||||||||
| 500 | Boston Housing Authority, Massachusetts, Capital Program Revenue Bonds, Series 2008, 5.000%, 4/01/20 – AGM Insured | 8/18 at 100.00 | AA | 501,275 | |||||
| 1,295 | Massachusetts Housing Finance Agency, Housing Bonds, Series 2003H, 5.125%, 6/01/43 | 7/18 at 100.00 | AA | 1,296,450 | |||||
| 1,795 | Total Housing/Multifamily | 1,797,725 | |||||||
| Long-Term Care – 4.2% (2.8% of Total Investments) | |||||||||
| Massachusetts Development Finance Agency Revenue Refunding Bonds, NewBridge on the Charles, Inc. Issue, Series 2017.: | |||||||||
| 1,040 | 4.125%, 10/01/42, 144A | 10/22 at 105.00 | N/R | 1,031,264 | |||||
| 250 | 5.000%, 10/01/47, 144A | 10/22 at 105.00 | N/R | 267,477 | |||||
| 460 | Massachusetts Development Finance Agency, Revenue Bonds, Berkshire Retirement Community Lennox, Series 2015, 5.000%, 7/01/31 | 7/25 at 100.00 | A | 518,245 | |||||
| 285 | Massachusetts Development Finance Agency, Revenue Bonds, Carleton-Willard Village, Series 2010, 5.625%, 12/01/30 | 12/19 at 100.00 | A– | 298,347 | |||||
| 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, Loomis Communities, Series 2013A, 5.250%, 1/01/26 | 1/23 at 100.00 | BBB | 1,104,500 | |||||
| 2,410 | Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, 5.250%, 10/01/26 | 10/18 at 100.00 | N/R | 2,414,772 | |||||
| 5,445 | Total Long-Term Care | 5,634,605 |
27
| NMT | Nuveen Massachusetts Quality Municipal Income Fund Portfolio of Investments (continued) May 31, 2018 |
| Principal Amount (000) |
Description (1) | Optional Call Provisions (2) |
Ratings (3) | Value | |||||
| Tax Obligation/General – 15.3% (10.0% of Total Investments) | |||||||||
| $ | 1,250 | Hudson, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2011, 5.000%, 2/15/32 | 2/20 at 100.00 | AA | $ | 1,312,663 | |||
| 930 | Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21 | No Opt. Call | Aa1 | 1,009,729 | |||||
| 1,500 | Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2004B, 5.250%, 8/01/21 – AGM Insured | No Opt. Call | Aa1 | 1,653,285 | |||||
| 2,000 | Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2015C, 5.000%, 7/01/45 | 7/25 at 100.00 | Aa1 | 2,276,460 | |||||
| 3,895 | Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2017F., 5.000%, 11/01/46 | 11/27 at 100.00 | Aa1 | 4,518,940 | |||||
| 1,000 | Newburyport, Massachusetts, General Obligation Bonds, Municipal Purpose Loan, Refunding Series 2013, 4.000%, 1/15/30 | 1/23 at 100.00 | AAA | 1,058,240 | |||||
| 1,775 | North Reading, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2012, 5.000%, 5/15/35 – AMBAC Insured | 5/22 at 100.00 | Aa2 | 1,961,890 | |||||
| 1,760 | Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 – FGIC Insured | No Opt. Call | AAA | 1,866,234 | |||||
| Quincy, Massachusetts, General Obligation Bonds, State Qualified Municipal Purpose Loan Series 2011: | |||||||||
| 1,280 | 5.125%, 12/01/33 | 12/20 at 100.00 | Aa2 | 1,374,490 | |||||
| 2,000 | 5.250%, 12/01/38 | 12/20 at 100.00 | Aa2 | 2,157,220 | |||||
| 1,220 | Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 7/01/19 – FGIC Insured | 8/18 at 100.00 | AA | 1,223,184 | |||||
| 18,610 | Total Tax Obligation/General | 20,412,335 | |||||||
| Tax Obligation/Limited – 20.1% (13.1% of Total Investments) | |||||||||
| Government of Guam, Business Privilege Tax Bonds, Series 2011A: | |||||||||
| 2,000 | 5.250%, 1/01/36 | 1/22 at 100.00 | A | 2,100,120 | |||||
| 1,310 | 5.125%, 1/01/42 | 1/22 at 100.00 | A | 1,359,924 | |||||
| Government of Guam, Business Privilege Tax Bonds, Series 2012B-1: | |||||||||
| 400 | 5.000%, 1/01/37 | 1/22 at 100.00 | A | 412,920 | |||||
| 1,115 | 5.000%, 1/01/42 | 1/22 at 100.00 | A | 1,149,141 | |||||
| 855 | Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Refunding Green Series 2014, 5.000%, 5/01/33 – BAM Insured | 11/24 at 100.00 | AA | 980,822 | |||||
| 500 | Martha’s Vineyard Land Bank, Massachusetts, Revenue Refunding Bonds, Green Bonds, Series 2017, 5.000%, 5/01/35 – BAM Insured | 5/27 at 100.00 | AA | 580,195 | |||||
| 1,000 | Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2012A, 5.000%, 7/01/41 | 7/22 at 100.00 | AAA | 1,097,900 | |||||
| 770 | Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Refunding Senior Lien Series 2004C, 5.250%, 7/01/21 | No Opt. Call | AA | 846,923 | |||||
| 1,610 | Massachusetts College Building Authority, Project Revenue Bonds, Green Series 2014B, 5.000%, 5/01/44 | 5/24 at 100.00 | Aa2 | 1,804,408 | |||||
| 1,000 | Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B, 5.375%, 5/01/23 – SYNCORA GTY Insured | No Opt. Call | Aa2 | 1,154,990 | |||||
| 855 | Massachusetts College Building Authority, Revenue Bonds, Refunding Series 2012B, 5.000%, 5/01/37 | 5/22 at 100.00 | Aa2 | 932,437 | |||||
| 1,350 | Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Senior Refunding Series 2015C, 5.000%, 8/15/37 | 8/25 at 100.00 | AA+ | 1,542,321 | |||||
| 1,875 | Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Senior Series 2013A, 5.000%, 5/15/38 | 5/23 at 100.00 | AA+ | 2,080,781 | |||||
| 1,000 | Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2011B, 5.000%, 10/15/41 | 10/21 at 100.00 | AA+ | 1,078,470 | |||||
| 2,000 | Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Subordinated Series 2018A, 5.250%, 2/15/48 | 2/28 at 100.00 | AA+ | 2,387,260 |
28
| Principal Amount (000) |
Description (1) |
Optional Call Provisions (2) |
Ratings (3) | Value | |||||
| Tax Obligation/Limited (continued) | |||||||||
| $ | 2,415 | Massachusetts State, Federal Highway Grant Anticipation Notes, Accelerated Bridge Program, Series 2017A, 5.000%, 6/01/47 | 6/27 at 100.00 | AAA | $ | 2,795,242 | |||
| 1,070 | Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 – FGIC Insured | No Opt. Call | A1 | 1,121,895 | |||||
| 1,500 | Massachusetts, Transportation Fund Revenue Bonds, Rail Enhancement Program, Series 2015A, 5.000%, 6/01/45 | 6/25 at 100.00 | AAA | 1,702,110 | |||||
| 520 | Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Refunding Series 2012A, 5.000%, 10/01/32 – AGM Insured | 10/22 at 100.00 | AA | 562,515 | |||||
| 1,000 | Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Series 2012A, 5.000%, 10/01/32 – AGM Insured | 10/22 at 100.00 | AA | 1,081,760 | |||||
| 24,145 | Total Tax Obligation/Limited | 26,772,134 | |||||||
| Transportation – 10.2% (6.6% of Total Investments) | |||||||||
| 400 | Massachusetts Department of Transportation, Metropolitan Highway System Revenue Bonds, Commonwealth Contract Assistance Secured, Refunding Series 2010B, 5.000%, 1/01/35 | 1/20 at 100.00 | AA+ | 417,300 | |||||
| 1,000 | Massachusetts Port Authority, Airport System Revenue Bonds, Series 2010A, 5.000%, 7/01/30 | 7/20 at 100.00 | AA | 1,062,770 | |||||
| 1,500 | Massachusetts Port Authority, Revenue Bonds, Refunding Series 2017A, 5.000%, 7/01/42 (Alternative Minimum Tax) | 7/27 at 100.00 | AA | 1,704,840 | |||||
| 1,000 | Massachusetts Port Authority, Revenue Bonds, Series 2012B, 5.000%, 7/01/33 | 7/22 at 100.00 | AA | 1,101,160 | |||||
| Massachusetts Port Authority, Revenue Bonds, Series 2014A: | |||||||||
| 1,000 | 5.000%, 7/01/39 | 7/24 at 100.00 | AA | 1,130,440 | |||||
| 2,500 | 5.000%, 7/01/44 | 7/24 at 100.00 | AA | 2,818,650 | |||||
| Massachusetts Port Authority, Revenue Bonds, Series 2015A: | |||||||||
| 715 | 5.000%, 7/01/40 | 7/25 at 100.00 | AA | 813,834 | |||||
| 1,000 | 5.000%, 7/01/45 | 7/25 at 100.00 | AA | 1,134,800 | |||||
| 1,400 | Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series 2007, 5.000%, 7/01/32 – FGIC Insured (Alternative Minimum Tax) | 8/18 at 100.00 | A2 | 1,402,968 | |||||
| 1,225 | Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series 2001A, 5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax) | 7/18 at 100.00 | N/R | 1,239,394 | |||||
| 730 | Metropolitan Boston Transit Parking Corporation, Massachusetts, Systemwide Senior Lien Parking Revenue Bonds, Series 2011, 5.000%, 7/01/41 | 7/21 at 100.00 | A+ | 781,662 | |||||
| 12,470 | Total Transportation | 13,607,818 | |||||||
| U.S. Guaranteed – 21.0% (13.7% of Total Investments) (5) | |||||||||
| 500 | Boston Water and Sewer Commission, Massachusetts, General Revenue Bonds, Refunding Senior Lien Series 2010A, 5.000%, 11/01/30 (Pre-refunded 11/01/19) | 11/19 at 100.00 | AA+ | 522,285 | |||||
| 2,580 | Guam Power Authority, Revenue Bonds, Series 2010A, 5.000%, 10/01/37 (Pre-refunded 10/01/20) – AGM Insured | 10/20 at 100.00 | AA | 2,763,438 | |||||
| 2,000 | Hampden-Wilbraham Regional School District, Hampden County, Massachusetts, General Obligation Bonds, Series 2011, 5.000%, 2/15/41 (Pre-refunded 2/15/21) | 2/21 at 100.00 | Aa3 | 2,162,760 | |||||
| 25 | Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2006C, 5.000%, 7/01/26 (Pre-refunded 7/01/18) | 7/18 at 100.00 | AA | 25,066 | |||||
| 750 | Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1, 5.000%, 10/01/29 (Pre-refunded 10/01/19) | 10/19 at 100.00 | Aa3 | 782,070 | |||||
| Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2010A: | |||||||||
| 1,275 | 5.000%, 1/01/40 (Pre-refunded 1/01/20) | 1/20 at 100.00 | N/R | 1,338,674 | |||||
| 125 | 5.000%, 1/01/40 (Pre-refunded 1/01/20) | 1/20 at 100.00 | BBB+ | 131,243 | |||||
| 500 | Massachusetts Development Finance Agency, Revenue Bonds, North Hill Communities Issue, Series 2013A, 6.250%, 11/15/28, 144A (Pre-refunded 11/15/23) | 11/23 at 100.00 | N/R | 581,415 | |||||
| 2,200 | Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series 2011K-6, 5.375%, 7/01/41 (Pre-refunded 7/01/20) | 7/20 at 100.00 | AA– | 2,359,456 | |||||
| 995 | Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series 2012L., 5.000%, 7/01/36 (Pre-refunded 7/01/21) | 7/21 at 100.00 | N/R | 1,083,575 |
29
| NMT | Nuveen Massachusetts Quality Municipal Income Fund Portfolio of Investments (continued) May 31, 2018 |
| Principal Amount (000) |
Description (1) | Optional Call Provisions (2) |
Ratings (3) | Value | |||||
| U.S. Guaranteed (continued) | |||||||||
| $ | 1,000 | Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art Institute, Series 2011A, 5.000%, 7/01/41 (Pre-refunded 7/01/21) | 7/21 at 100.00 | AA | $ | 1,092,150 | |||
| 3,000 | Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2011A, 5.250%, 4/01/37 (Pre-refunded 4/01/21) | 4/21 at 100.00 | AA– | 3,271,620 | |||||
| 475 | Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health, Series 2011H., 5.500%, 7/01/31 (Pre-refunded 7/01/21) | 7/21 at 100.00 | N/R | 524,334 | |||||
| 215 | Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Series 2008H, 6.350%, 1/01/30 – AGC Insured (Alternative Minimum Tax) (Pre-refunded 6/28/18) | 6/18 at 100.00 | AA | 216,748 | |||||
| 160 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Baystate Medical Center, Series 2009I, 5.750%, 7/01/36 (Pre-refunded 7/01/19) | 7/19 at 100.00 | A+ | 166,906 | |||||
| 500 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Healthcare Obligated Group, Series 2004D, 5.125%, 11/15/35 (Pre-refunded 11/15/19) – AGC Insured | 11/19 at 100.00 | AA | 523,420 | |||||
| 410 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21) – NPFG Insured | 7/21 at 100.00 | N/R | 438,265 | |||||
| 2,000 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Children’s Hospital, Series 2009M, 5.500%, 12/01/39 (Pre-refunded 12/01/19) | 12/19 at 100.00 | Aa2 | 2,106,920 | |||||
| 1,500 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Springfield College, Series 2010, 5.500%, 10/15/31 (Pre-refunded 10/15/19) | 10/19 at 100.00 | N/R | 1,573,995 | |||||
| 335 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Suffolk University, Refunding Series 2009A, 5.750%, 7/01/39 (Pre-refunded 7/01/19) | 7/19 at 100.00 | N/R | 349,459 | |||||
| 350 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Tufts University, Series 2008O, 5.375%, 8/15/38 (Pre-refunded 8/15/18) | 8/18 at 100.00 | Aa2 | 352,684 | |||||
| 2,030 | Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wheaton College Issues, Series 2010F, 5.000%, 1/01/41 (Pre-refunded 1/01/20) | 1/20 at 100.00 | A3 | 2,128,130 | |||||
| 1,500 | Massachusetts, Transportation Fund Revenue Bonds, Accelerated Bridge Program, Series 2013A, 5.000%, 6/01/38 (Pre-refunded 6/01/21) | 6/21 at 100.00 | AAA | 1,635,060 | |||||
| 1,065 | Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA, 5.500%, 7/01/19 – NPFG Insured (ETM) | No Opt. Call | Baa2 | 1,107,334 | |||||
| 720 | Springfield Water and Sewer Commission, Massachusetts, General Revenue Bonds, Refunding Series 2010B, 5.000%, 11/15/30 (Pre-refunded 11/15/20) – AGC Insured | 11/20 at 100.00 | AA | 774,014 | |||||
| 26,210 | Total U.S. Guaranteed | 28,011,021 | |||||||
| Utilities – 2.6% (1.7% of Total Investments) | |||||||||
| 1,265 | Massachusetts Clean Energy Cooperative Corporation, Revenue Bonds, Massachusetts Municipal Lighting Plant Cooperative, Series 2013, 5.000%, 7/01/32 | 7/23 at 100.00 | A1 | 1,419,963 | |||||
| 2,010 | Massachusetts Development Finance Agency, Resource Recovery Revenue Refunding Bonds, Covanta Energy Project, Series 2012B, 4.875%, 11/01/42, 144A | 8/18 at 100.00 | BB+ | 2,010,663 | |||||
| 3,275 | Total Utilities | 3,430,626 | |||||||
| Water and Sewer – 8.9% (5.8% of Total Investments) | |||||||||
| 565 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Refunding Series 2014A, 5.000%, 7/01/29 | 7/24 at 100.00 | A– | 611,646 | |||||
| 845 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Refunding Series 2017, 5.000%, 7/01/40 | 7/27 at 100.00 | A– | 905,426 | |||||
| 420 | Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2016, 5.000%, 1/01/46 | 7/26 at 100.00 | A– | 445,452 | |||||
| 415 | Lynn Water and Sewer Commission, Massachusetts, General Revenue Bonds, Series 2003A, 5.000%, 12/01/32 – NPFG Insured | 8/18 at 100.00 | A1 | 416,108 | |||||
| 2,300 | Massachusetts Clean Water Trust, State Revolving Fund Bonds, Green 18 Series 2015, 5.000%, 2/01/45 | 2/24 at 100.00 | AAA | 2,573,217 | |||||
| 60 | Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2003-9, 5.000%, 8/01/22 | 8/18 at 100.00 | AAA | 60,165 |
30
| Principal Amount (000) |
Description (1) | Optional Call Provisions (2) |
Ratings (3) | Value | |||||
| Water and Sewer (continued) | |||||||||
| $ | 300 | Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A, 5.250%, 8/01/20 | 8/18 at 100.00 | AAA | $ | 300,870 | |||
| Massachusetts Water Resources Authority, General Revenue Bonds, Refunding Series 2016B: | |||||||||
| 455 | 5.000%, 8/01/40 | 8/26 at 100.00 | AA+ | 525,029 | |||||
| 1,000 | 4.000%, 8/01/40 | 8/26 at 100.00 | AA+ | 1,050,410 | |||||
| 1,000 | Massachusetts Water Resources Authority, General Revenue Bonds, Series 2002J, 5.250%, 8/01/19 – AGM Insured | No Opt. Call | AA+ | 1,041,350 | |||||
| 1,230 | Massachusetts Water Resources Authority, General Revenue Bonds, Series 2017B, 5.000%, 8/01/42 | 8/27 at 100.00 | AA+ | 1,435,324 | |||||
| Springfield Water and Sewer Commission, Massachusetts General Revenue Bonds, 2017 Series C: | |||||||||
| 1,010 | 5.000%, 4/15/33 | 4/27 at 100.00 | AA | 1,188,517 | |||||
| 805 | 5.000%, 4/15/34 | 4/27 at 100.00 | AA | 943,830 | |||||
| Springfield Water and Sewer Commission, Massachusetts, General Revenue Bonds, Series 2014A: | |||||||||
| 185 | 5.000%, 7/15/22 | No Opt. Call | AA | 207,043 | |||||
| 150 | 5.000%, 7/15/23 | No Opt. Call | AA | 171,768 | |||||
| 10,740 | Total Water and Sewer | 11,876,155 | |||||||
| $ | 184,955 | Total Long-Term Investments (cost $195,961,851) | 204,485,832 | ||||||
| Variable Rate Demand Preferred Shares, net of deferred offering costs – (55.2)% (6) | (73,719,481) | ||||||||
| Other Assets Less Liabilities – 2.0% | 2,701,593 | ||||||||
| Net Assets Applicable to Common Shares – 100% | $ | 133,467,944 |
| (1) | All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted. |
| (2) | Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. Optional Call Provisions are not covered by the report of independent registered public accounting firm. |
| (3) | For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. Ratings are not covered by the report of independent registered public accounting firm. |
| (4) | Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions. |
| (5) | Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. |
| (6) | Variable Rate Demand Preferred Shares, net of deferred offering costs as a percentage of Total Investments is 36.1%. |
| 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. |
| ETM | Escrowed to maturity. |
| IF | Inverse floating rate security issued by a tender option bond (“TOB”) trust, the interest rate on which varies inversely with the Securities Industry Financial Markets Association (SIFMA) short-term rate, which resets weekly, or a similar short-term rate, and is reduced by the expenses related to the TOB trust. |
| See accompanying notes to financial statements. |
31
Statement of Assets and Liabilities
May 31, 2018
| NTC | NMT | ||||||
| Assets | |||||||
| Long-term investments, at value (cost $304,396,897 and $195,961,851, respectively) | $ | 311,618,036 | $ | 204,485,832 | |||
| Cash | 213,653 | 390,933 | |||||
| Receivable for: | |||||||
| Interest | 4,440,378 | 2,971,101 | |||||
| Investments sold | 135,000 | — | |||||
| Other assets | 20,060 | 9,391 | |||||
| Total assets | 316,427,127 | 207,857,257 | |||||
| Liabilities | |||||||
| Floating rate obligations | 6,375,000 | — | |||||
| Payable for: | |||||||
| Dividends | 574,950 | 452,461 | |||||
| Interest | 224,890 | — | |||||
| Variable Rate MuniFund Term Preferred (“VMTP”) Shares, net of deferred offering costs (liquidation preference $112,000,000 and $—, respectively) | 111,990,432 | — | |||||
| Variable Rate Demand Preferred (“VRDP”) Shares, net of deferred offering costs (liquidation preference $— and $74,000,000, respectively) | — | 73,719,481 | |||||
| Accrued expenses: | |||||||
| Management fees | 162,193 | 109,623 | |||||
| Trustees fees | 18,416 | 2,317 | |||||
| Other | 83,882 | 105,431 | |||||
| Total liabilities | 119,429,763 | 74,389,313 | |||||
| Net assets applicable to common shares | $ | 196,997,364 | $ | 133,467,944 | |||
| Common shares outstanding | 14,428,176 | 9,348,899 | |||||
| Net asset value (“NAV”) per common share outstanding | $ | 13.65 | $ | 14.28 | |||
| Net assets applicable to common shares consist of: | |||||||
| Common shares, $0.01 par value per share | $ | 144,282 | $ | 93,489 | |||
| Paid-in surplus | 199,274,798 | 129,609,199 | |||||
| Undistributed (Over-distribution of) net investment income | (380,422 | ) | (309,344 | ) | |||
| Accumulated net realized gain (loss) | (9,262,433 | ) | (4,449,381 | ) | |||
| Net unrealized appreciation (depreciation) | 7,221,139 | 8,523,981 | |||||
| Net assets applicable to common shares | $ | 196,997,364 | $ | 133,467,944 | |||
| Authorized shares: | |||||||
| Common | Unlimited | Unlimited | |||||
| Preferred | Unlimited | Unlimited |
See accompanying notes to financial statements.
32
Statement of Operations
Year Ended May 31, 2018
| NTC | NMT | ||||||
| Investment Income | $ | 11,775,069 | $ | 8,368,412 | |||
| Expenses | |||||||
| Management fees | 1,916,619 | 1,312,263 | |||||
| Interest expense and amortization of offering costs | 2,210,633 | 1,360,033 | |||||
| Custodian fees | 38,705 | 32,966 | |||||
| Trustees fees | 9,305 | 6,414 | |||||
| Professional fees | 36,744 | 85,822 | |||||
| Shareholder reporting expenses | 31,311 | 21,283 | |||||
| Shareholder servicing agent fees | 18,320 | 2,873 | |||||
| Stock exchange listing fees | 6,881 | 6,885 | |||||
| Investor relations expenses | 19,159 | 13,160 | |||||
| Other | 34,756 | 44,413 | |||||
| Total expenses | 4,322,433 | 2,886,112 | |||||
| Net investment income (loss) | 7,452,636 | 5,482,300 | |||||
| Realized and Unrealized Gain (Loss) | |||||||
| Net realized gain (loss) from investments | (450,839 | ) | 137,549 | ||||
| Change in net unrealized appreciation (depreciation) of investments | (6,611,292 | ) | (3,940,236 | ) | |||
| Net realized and unrealized gain (loss) | (7,062,131 | ) | (3,802,687 | ) | |||
| Net increase (decrease) in net assets applicable to common shares from operations | $ | 390,505 | $ | 1,679,613 |
See accompanying notes to financial statements.
33
Statement of Changes in Net Assets
| NTC | NMT | ||||||||||||
| Year | Year | Year | Year | ||||||||||
| Ended | Ended | Ended | Ended | ||||||||||
| 5/31/18 | 5/31/17 | 5/31/18 | 5/31/17 | ||||||||||
| Operations | |||||||||||||
| Net investment income (loss) | $ | 7,452,636 | $ | 8,293,465 | $ | 5,482,300 | $ | 5,961,438 | |||||
| Net realized gain (loss) from investments | (450,839 | ) | (1,716,056 | ) | 137,549 | (285,272 | ) | ||||||
| Change in net unrealized appreciation (depreciation) of investments | (6,611,292 | ) | (8,916,856 | ) | (3,940,236 | ) | (5,127,859 | ) | |||||
| Net increase (decrease) in net assets applicable to common shares from operations | 390,505 | (2,339,447 | ) | 1,679,613 | 548,307 | ||||||||
| Distributions to Common Shareholders | |||||||||||||
| From net investment income | (7,654,756 | ) | (8,944,209 | ) | (5,861,517 | ) | (6,323,917 | ) | |||||
| Decrease in net assets applicable to common shares from distributions to common shareholders | (7,654,756 | ) | (8,944,209 | ) | (5,861,517 | ) | (6,323,917 | ) | |||||
| Capital Share Transactions | |||||||||||||
| Common shares: | |||||||||||||
| Net proceeds from shares issued to shareholders due to reinvestment of distributions | — | — | 10,822 | 20,110 | |||||||||
| Cost of shares repurchased and retired | (1,242,632 | ) | — | — | — | ||||||||
| Net increase (decrease) in net assets applicable to common shares from capital share transactions | (1,242,632 | ) | — | 10,822 | 20,110 | ||||||||
| Net increase (decrease) in net assets applicable to common shares | (8,506,883 | ) | (11,283,656 | ) | (4,171,082 | ) | (5,755,500 | ) | |||||
| Net assets applicable to common shares at the beginning of period | 205,504,247 | 216,787,903 | 137,639,026 | 143,394,526 | |||||||||
| Net assets applicable to common shares at the end of period | $ | 196,997,364 | $ | 205,504,247 | $ | 133,467,944 | $ | 137,639,026 | |||||
| Undistributed (Over-distribution of) net investment income at the end of period | $ | (380,422 | ) | $ | (88,658 | ) | $ | (309,344 | ) | $ | 60,306 | ||
See accompanying notes to financial statements.
34
Statement of Cash Flows
Year Ended May 31, 2018
| NTC | NMT | ||||||
| Cash Flows from Operating Activities: | |||||||
| Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations | |||||||
| Adjustments to reconcile the net increase (decrease) in net assets applicable to common shares from operations to net cash provided by (used in) operating activities: | $ | 390,505 | $ | 1,679,613 | |||
| Purchases of investments | (53,410,678 | ) | (35,694,453 | ) | |||
| Proceeds from sales and maturities of investments | 57,058,627 | 34,927,964 | |||||
| Taxes paid | (948 | ) | — | ||||
| Amortization (Accretion) of premiums and discounts, net | 2,525,592 | 1,345,475 | |||||
| Amortization of deferred offering costs | 7,629 | — | |||||
| (Increase) Decrease in: | |||||||
| Receivable for interest | 266,351 | 18,545 | |||||
| Receivable for investments sold | (35,000 | ) | — | ||||
| Other assets | (4,088 | ) | 1,871 | ||||
| Increase (Decrease) in: | |||||||
| Payable for interest | 59,406 | (571 | ) | ||||
| Payable for investments purchased | |||||||
| Accrued management fees | (7,460 | ) | (2,125 | ) | |||
| Accrued Trustees fees | 4,164 | (18 | ) | ||||
| Accrued other expenses | (81,896 | ) | 11,221 | ||||
| Net realized (gain) loss from investments | 450,839 | (137,549 | ) | ||||
| Change in net unrealized (appreciation) depreciation of investments | 6,611,292 | 3,940,236 | |||||
| Net cash provided by (used in) operating activities | 13,834,335 | 6,090,209 | |||||
| Cash Flows from Financing Activities: | |||||||
| Increase (Decrease) in floating rate obligations | (6,375,000 | ) | — | ||||
| Payments for deferred offering costs | — | (707 | ) | ||||
| Cash distributions paid to common shareholders | (7,764,040 | ) | (5,891,866 | ) | |||
| Cost of common shares repurchased and retired | (1,242,632 | ) | — | ||||
| Net cash provided by (used in) financing activities | (15,381,672 | ) | (5,892,573 | ) | |||
| Net Increase (Decrease) in Cash | (1,547,337 | ) | 197,636 | ||||
| Cash at the beginning of period | 1,760,990 | 193,297 | |||||
| Cash at the end of period | 213,653 | 390,933 | |||||
| Supplemental Disclosure of Cash Flow Information | NTC | NMT | |||||
| Cash paid for interest (excluding amortization of offering costs) | $ | 2,237,246 | $ | 1,352,535 | |||
| Non-cash financing activities not included herein consists of reinvestments of common share distributions | — | 10,822 |
See accompanying notes to financial statements.
35
Financial Highlights
Selected data for a common share outstanding throughout each period:
| Investment Operations | Less Distributions to Common Shareholders |
Common Share | |||||||||||||||||||||||||||||
| Beginning Common Share NAV |
Net Investment Income (Loss) |
Net Realized/ Unrealized Gain (Loss) |
Total | From Net Investment Income |
From Accum- ulated Net Realized Gains |
Total | Discount Per Share Repurchased and Retired |
Ending NAV |
Ending Share Price |
||||||||||||||||||||||
| NTC | |||||||||||||||||||||||||||||||
| Year Ended 5/31: | |||||||||||||||||||||||||||||||
| 2018 | $ | 14.14 | $ | 0.51 | $ | (0.49 | ) | $ | 0.02 | $ | (0.53 | ) | $ | — | $ | (0.53 | ) | $ | 0.02 | $ | 13.65 | $ | 11.75 | ||||||||
| 2017 | 14.92 | 0.57 | (0.73 | ) | (0.16 | ) | (0.62 | ) | — | (0.62 | ) | — | 14.14 | 12.47 | |||||||||||||||||
| 2016 | 14.35 | 0.67 | 0.59 | 1.26 | (0.69 | ) | — | (0.69 | ) | — | 14.92 | 13.54 | |||||||||||||||||||
| 2015 | 14.33 | 0.70 | (0.01 | ) | 0.69 | (0.68 | ) | — | (0.68 | ) | 0.01 | 14.35 | 12.62 | ||||||||||||||||||
| 2014 | 15.00 | 0.60 | (0.59 | ) | 0.01 | (0.68 | ) | —* | (0.68 | ) | —* | 14.33 | 12.68 | ||||||||||||||||||
| NMT | |||||||||||||||||||||||||||||||
| Year Ended 5/31: | |||||||||||||||||||||||||||||||
| 2018 | 14.72 | 0.59 | (0.40 | ) | 0.19 | (0.63 | ) | — | (0.63 | ) | — | 14.28 | 12.64 | ||||||||||||||||||
| 2017 | 15.34 | 0.64 | (0.58 | ) | 0.06 | (0.68 | ) | — | (0.68 | ) | — | 14.72 | 13.90 | ||||||||||||||||||
| 2016 | 14.67 | 0.69 | 0.69 | 1.38 | (0.71 | ) | — | (0.71 | ) | — | 15.34 | 14.99 | |||||||||||||||||||
| 2015 | 14.65 | 0.65 | 0.05 | 0.70 | (0.68 | ) | — | (0.68 | ) | — | 14.67 | 13.14 | |||||||||||||||||||
| 2014 | 15.12 | 0.58 | (0.37 | ) | 0.21 | (0.67 | ) | (0.01 | ) | (0.68 | ) | — | 14.65 | 13.33 | |||||||||||||||||
| (a) | Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized. |
| Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized. |
36
| Common Share Supplemental Data/ Ratios Applicable to Common Shares |
||||||||||||||||
| Common Share Total Returns |
Ratios to Average Net Assets(b) | |||||||||||||||
| Based on NAV |
(a) | Based on Share Price |
(a) | Ending Net Assets (000 |
) | Expenses | (c) | Net Investment Income (Loss |
) | Portfolio Turnover Rate |
(d) | |||||
| 0.28 | % | (1.55 | )% | $ | 196,997 | 2.15 | % | 3.70 | % | 17 | % | |||||
| (1.07) | (3.46 | ) | 205,504 | 2.08 | 3.98 | 20 | ||||||||||
| 8.97 | 13.19 | 216,788 | 1.66 | 4.61 | 11 | |||||||||||
| 4.96 | 5.03 | 208,580 | 1.68 | 4.85 | 15 | |||||||||||
| 0.41 | (1.72 | ) | 209,562 | 2.88 | 4.33 | 17 | ||||||||||
| 1.29 | (4.84 | ) | 133,468 | 2.13 | 4.04 | 17 | ||||||||||
| 0.43 | (2.78 | ) | 137,639 | 1.91 | 4.29 | 12 | ||||||||||
| 9.64 | 20.01 | 143,395 | 1.62 | 4.65 | 13 | |||||||||||
| 4.84 | 3.75 | 137,130 | 1.96 | 4.57 | 14 | |||||||||||
| 1.61 | 2.96 | 69,987 | 3.09 | 4.17 | 18 | |||||||||||
| (b) | Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares issued by the Fund. |
| (c) | The expense ratios reflect, among other things, all interest expense and other costs related to preferred shares (as described in Note 4 – Fund Shares, Preferred Shares) and/or the interest expense deemed to have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters held by the Fund (as described in Note 3 – Portfolio Securities and Investments in Derivatives, Inverse Floating Rate Securities), where applicable, as follows: |
| NTC | ||||
| Year Ended 5/31: | ||||
| 2018 | 1.10 | % | ||
| 2017 | 1.01 | |||
| 2016 | 0.60 | |||
| 2015 | 0.58 | |||
| 2014 | 1.71 |
| NMT | ||||
| Year Ended 5/31: | ||||
| 2018 | 1.00 | % | ||
| 2017 | 0.83 | |||
| 2016 | 0.58 | |||
| 2015 | 0.86 | |||
| 2014 | 1.71 |
| (d) | Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period. |
| * | Rounds to less than $0.01 per share. |
See accompanying notes to financial statements
37
Financial Highlights (continued)
| MTP Shares at the End of Period (a) |
VMTP Shares at the End of Period |
VRDP Shares at the End of Period |
|||||||||||||||||
| Aggregate Amount Outstanding (000 |
) | Asset Coverage Per $10 Share |
Aggregate Amount Outstanding (000 |
) | Asset Coverage Per $100,000 Share |
Aggregate Amount Outstanding (000 |
) | Asset Coverage Per $100,000 Share |
|||||||||||
| NTC | |||||||||||||||||||
| Year Ended 5/31: | |||||||||||||||||||
| 2018 | $ | — | $ | — | $ | 112,000 | $ | 275,891 | $ | — | $ | — | |||||||
| 2017 | — | — | 112,000 | 283,486 | — | — | |||||||||||||
| 2016 | — | — | 106,000 | 304,517 | — | — | |||||||||||||
| 2015 | — | — | 106,000 | 296,773 | — | — | |||||||||||||
| 2014 | — | — | 106,000 | 297,700 | — | — | |||||||||||||
| NMT | |||||||||||||||||||
| Year Ended 5/31: | |||||||||||||||||||
| 2018 | — | — | — | — | 74,000 | 280,362 | |||||||||||||
| 2017 | — | — | — | — | 74,000 | 285,999 | |||||||||||||
| 2016 | — | — | 74,000 | 293,776 | — | — | |||||||||||||
| 2015 | — | — | 74,000 | 285,311 | — | — | |||||||||||||
| 2014 | 36,645 | 29.10 | — | — | — | — | |||||||||||||
| (a) | The Ending and Average Market Value Per Share for each Series of the Fund’s MTP Shares were as follows: |
| 2015 | 2014 | ||||||
| NTC | |||||||
| Series 2015 (NTC PRC) | |||||||
| Ending Market Value per Share | $ | — | $ | — | |||
| Average Market Value per Share | — | 10.03 | Ω | ||||
| Series 2016 (NTC PRD) | |||||||
| Ending Market Value per Share | — | — | |||||
| Average Market Value per Share | — | 10.03 | Ω | ||||
| Series 2015 (NTC PRE) (b) | |||||||
| Ending Market Value per Share | — | — | |||||
| Average Market Value per Share | — | 10.03 | Ω | ||||
| Series 2015-1 (NTC PRF) (b) | |||||||
| Ending Market Value per Share | — | — | |||||
| Average Market Value per Share | — | 10.03 | Ω | ||||
| Series 2015-1 (NTC PRG) (b) | |||||||
| Ending Market Value per Share | — | — | |||||
| Average Market Value per Share | — | 10.03 | Ω | ||||
| NMT | |||||||
| Series 2015 (NMT PRC) | |||||||
| Ending Market Value per Share | — | 10.06 | |||||
| Average Market Value per Share | 10.02 | ΩΩ | 10.04 | ||||
| Series 2016 (NMT PRD) | |||||||
| Ending Market Value per Share | — | 10.06 | |||||
| Average Market Value per Share | 10.03 | ΩΩ | 10.06 | ||||
| Series 2015 (NMT PRE) (b) | |||||||
| Ending Market Value per Share | — | 10.06 | |||||
| Average Market Value per Share | 10.00 | Δ | 10.04 | ||||
| Series 2015-1 (NMT PRF) (b) | |||||||
| Ending Market Value per Share | — | 10.02 | |||||
| Average Market Value per Share | 10.00 | Δ | 10.04 |
| (b) | MTP Shares issued in connection with the reorganizations. |
| Ω | For the period June 1, 2013 through March 3, 2014. |
| ΩΩ | For the period June 1, 2014 through July 11, 2014. |
| Δ | For the period June 9, 2014 (effective date of the reorganizations) through July 11, 2014. |
See accompanying notes to financial statements.
38
Notes to Financial Statements
1. General Information and Significant Accounting Policies
General Information
Fund Information
The funds covered in this report and their corresponding New York Stock Exchange (“NYSE”) symbols are as follows (each a “Fund” and collectively, the “Funds”):
| • | Nuveen Connecticut Quality Municipal Income Fund (NTC) | |
| • | Nuveen Massachusetts Quality Municipal Income Fund (NMT) |
The Funds are registered under the Investment Company Act of 1940, as amended, as diversified closed-end management investment companies. NTC and NMT were organized as Massachusetts business trusts on January 12, 1993.
The end of the reporting period for the Funds is May 31, 2018, and the period covered by these Notes to Financial Statements is the fiscal year ended May 31, 2018 (the “current fiscal period”).
Investment Adviser
The Funds’ investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), subsidiary of Nuveen, LLC (“Nuveen”). Nuveen is the investment management arm of Teachers Insurance and Annuity Association of America (TIAA). The Adviser has overall responsibility for management of the Funds, oversees the management of the Funds’ portfolios, manages the Funds’ business affairs and provides certain clerical, bookkeeping and other administrative services, and, if necessary, asset allocation decisions. The Adviser has entered into sub-advisory agreements with Nuveen Asset Management, LLC (the “Sub-Adviser”), a subsidiary of the Adviser, under which the Sub-Adviser manages the investment portfolios of the Funds.
Investment Objectives and Principal Investment Strategies
Each Fund seeks to provide current income exempt from both regular federal and designated state income taxes by investing primarily in a portfolio of municipal obligations issued by state and local government authorities within a single state or certain U.S. territories.
Significant Accounting Policies
Each Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (ASC) Topic 946 “Financial Services – Investment Companies.” The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”).
Investment Transactions
Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same basis used for federal income tax purposes. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have earmarked securities in their portfolios with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments.
As of the end of the reporting period, the Funds did not have any outstanding when-issued/delayed delivery purchase commitments.
Investment Income
Investment income is comprised of interest income, which reflects the amortization of premiums and accretion of discounts for financial reporting purposes, and is recorded on an accrual basis. Investment income also reflects payment-in-kind (“PIK”) interest and paydown gains and losses, if any. PIK interest represents income received in the form of securities in lieu of cash.
Professional Fees
Professional fees presented on the Statement of Operations consist of legal fees incurred in the normal course of operations, audit fees, tax consulting fees and, in some cases, workout expenditures. Workout expenditures are incurred in an attempt to protect or enhance an investment or to pursue other claims or legal actions on behalf of Fund shareholders. If a refund is received for workout expenditures paid in a prior reporting period, such amounts will be recognized as “Legal fee refund” on the Statement of Operations.
39
Notes to Financial Statements (continued)
Dividends and Distributions to Common Shareholders
Dividends from net investment income, if any, are declared monthly. Net realized capital gains and/or market discount from investment transactions, if any, are distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.
Distributions to common shareholders of net investment income, net realized capital gains and/or market discount, if any, are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.
Compensation
The Funds pay no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Funds’ Board of Trustees (the “Board”) has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen-advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen-advised funds.
Indemnifications
Under the Funds’ organizational documents, their officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
Netting Agreements
In the ordinary course of business, the Funds may enter into transactions subject to enforceable International Swaps and Derivatives Association, Inc. (ISDA) master agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows each Fund to offset certain securities and derivatives with a specific counterparty, when applicable, as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, each Fund manages its cash collateral and securities collateral on a counterparty basis.
The Funds’ investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 3 – Portfolio Securities and Investments in Derivatives.
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets 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, prepayment speeds, credit risk, etc.). |
| Level 3 – | Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments). |
Prices of fixed income securities are provided by an independent pricing service (“pricing service”) approved by the Board. The pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2. In pricing certain securities, particularly less liquid and lower quality securities, the pricing service may
40
consider information about a security, its issuer or market activity, provided by the Adviser. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs.
Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the Board and/or its appointee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; debt securities that have gone into default and for which there is no current market quotation; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s net asset value (“NAV”) (as may be the case in non-U.S. markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the security’s fair value. As a general principle, the fair value of a security would appear to be the amount that the owner might reasonably expect to receive for it in a current sale. A variety of factors may be considered in determining the fair value of such securities, which may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Board and/or its appointee.
The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of each Fund’s fair value measurements as of the end of the reporting period:
| NTC | Level 1 | Level 2 | Level 3 | Total | |||||||||
| Long-Term Investments*: | |||||||||||||
| Municipal Bonds | $ | — | $ | 311,618,036 | $ | — | $ | 311,618,036 | |||||
| NMT | |||||||||||||
| Long-Term Investments*: | |||||||||||||
| Municipal Bonds | $ | — | $ | 204,485,832 | $ | — | $ | 204,485,832 |
| * | Refer to the Fund’s Portfolio of Investments for industry classifications. |
The Board is responsible for the valuation process and has appointed the oversight of the daily valuation process to the Adviser’s Valuation Committee. The Valuation Committee, pursuant to the valuation policies and procedures adopted by the Board, is responsible for making fair value determinations, evaluating the effectiveness of the Funds’ pricing policies and reporting to the Board. The Valuation Committee is aided in its efforts by the Adviser’s dedicated Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Funds, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making a fair value determination, based on the facts and circumstances specific to the portfolio instrument. Fair value determinations generally will be derived as follows, using public or private market information:
| (i) | If available, fair value determinations shall be derived by extrapolating from recent transactions or quoted prices for identical or comparable securities. | |
| (ii) | If such information is not available, an analytical valuation methodology may be used based on other available information including, but not limited to: analyst appraisals, research reports, corporate action information, issuer financial statements and shelf registration statements. Such analytical valuation methodologies may include, but are not limited to: multiple of earnings, discount from market value of a similar freely-traded security, discounted cash flow analysis, book value or a multiple thereof, risk premium/yield analysis, yield to maturity and/or fundamental investment analysis. |
The purchase price of a portfolio instrument will be used to fair value the instrument only if no other valuation methodology is available or deemed appropriate, and it is determined that the purchase price fairly reflects the instrument’s current value.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Board.
41
Notes to Financial Statements (continued)
3. Portfolio Securities and Investments in Derivatives
Portfolio Securities
Inverse Floating Rate Securities
Each Fund is authorized to invest in inverse floating rate securities. An inverse floating rate security is created by depositing a municipal bond (referred to as an “Underlying Bond”), typically with a fixed interest rate, into a special purpose tender option bond (“TOB”) trust (referred to as the “TOB Trust”) created by or at the direction of one or more Funds. In turn, the TOB Trust issues (a) floating rate certificates (referred to as “Floaters”), in face amounts equal to some fraction of the Underlying Bond’s par amount or market value, and (b) an inverse floating rate certificate (referred to as an “Inverse Floater”) that represents all remaining or residual interest in the TOB Trust. Floaters typically pay short-term tax-exempt interest rates to third parties who are also provided a right to tender their certificate and receive its par value, which may be paid from the proceeds of a remarketing of the Floaters, by a loan to the TOB Trust from a third party liquidity provider (“Liquidity Provider”), or by the sale of assets from the TOB Trust. The Inverse Floater is issued to a long term investor, such as one or more of the Funds. The income received by the Inverse Floater holder varies inversely with the short-term rate paid to holders of the Floaters, and in most circumstances the Inverse Floater holder bears substantially all of the Underlying Bond’s downside investment risk and also benefits disproportionately from any potential appreciation of the Underlying Bond’s value. The value of an Inverse Floater will be more volatile than that of the Underlying Bond because the interest rate is dependent on not only the fixed coupon rate of the Underlying Bond but also on the short-term interest paid on the Floaters, and because the Inverse Floater essentially bears the risk of loss (and possible gain) of the greater face value of the Underlying Bond.
The Inverse Floater held by a Fund gives the Fund the right to (a) cause the holders of the Floaters to tender their certificates at par (or slightly more than par in certain circumstances) and (b) have the trustee of the TOB Trust (the “Trustee”) transfer the Underlying Bond held by the TOB Trust to the Fund, thereby collapsing the TOB Trust.
The Fund may acquire an Inverse Floater in a transaction where it (a) transfers an Underlying Bond that it owns to a TOB Trust created by a third party or (b) transfers an Underlying Bond that it owns, or that it has purchased in a secondary market transaction for the purpose of creating an Inverse Floater, to a TOB Trust created at its direction, and in return receives the Inverse Floater of the TOB Trust (referred to as a “self-deposited Inverse Floater”). A Fund may also purchase an Inverse Floater in a secondary market transaction from a third party creator of the TOB Trust without first owning the Underlying Bond (referred to as an “externally-deposited Inverse Floater”).
An investment in a self-deposited Inverse Floater is accounted for as a “financing” transaction (i.e., a secured borrowing). For a self-deposited Inverse Floater, the Underlying Bond deposited into the TOB Trust is identified in the Fund’s Portfolio of Investments as “(UB) – Underlying bond of an inverse floating rate trust reflected as a financing transaction,” with the Fund recognizing as liabilities, labeled “Floating rate obligations” on the Statement of Assets and Liabilities, (a) the liquidation value of Floaters issued by the TOB Trust, and (b) the amount of any borrowings by the TOB Trust from a Liquidity Provider to enable the TOB Trust to purchase outstanding Floaters in lieu of a remarketing. In addition, the Fund recognizes in “Investment Income” the entire earnings of the Underlying Bond, and recognizes (a) the interest paid to the holders of the Floaters or on the TOB Trust’s borrowings, and (b) other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust, as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.
In contrast, an investment in an externally-deposited Inverse Floater is accounted for as a purchase of the Inverse Floater and is identified in the Fund’s Portfolio of Investments as “(IF) – Inverse floating rate investment.” For an externally-deposited Inverse Floater, a Fund’s Statement of Assets and Liabilities recognizes the Inverse Floater and not the Underlying Bond as an asset, and the Fund does not recognize the Floaters, or any related borrowings from a Liquidity Provider, as a liability. Additionally, the Fund reflects in “Investment Income” only the net amount of earnings on the Inverse Floater (net of the interest paid to the holders of the Floaters or the Liquidity Provider as lender, and the expenses of the Trust), and does not show the amount of that interest paid or the expenses of the TOB Trust as described above as interest expense on the Statement of Operations.
Fees paid upon the creation of a TOB Trust for self-deposited Inverse Floaters and externally-deposited Inverse Floaters are recognized as part of the cost basis of the Inverse Floater and are capitalized over the term of the TOB Trust.
As of the end of the reporting period, the aggregate value of Floaters issued by each Fund’s TOB Trust for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as follows:
| Floating Rate Obligations Outstanding | NTC | NMT | |||||
| Floating rate obligations: self-deposited Inverse Floaters | $ | 6,375,000 | $ | — | |||
| Floating rate obligations: externally-deposited Inverse Floaters | 5,085,000 | 7,325,000 | |||||
| Total | $ | 11,460,000 | $ | 7,325,000 |
During the current fiscal period, the average amount of Floaters (including any borrowings from a Liquidity Provider) outstanding, and the average annual interest rate and fees related to self-deposited Inverse Floaters, were as follows:
| Self-Deposited Inverse Floaters | NTC | NMT | |||||
| Average floating rate obligations outstanding | $ | 2,026,027 | $ | — | |||
| Average annual interest rate and fees | 1.70 | % | — | % |
42
TOB Trusts are supported by a liquidity facility provided by a Liquidity Provider pursuant to which the Liquidity Provider agrees, in the event that Floaters are (a) tendered to the Trustee for remarketing and the remarketing does not occur, or (b) subject to mandatory tender pursuant to the terms of the TOB Trust agreement, to either purchase Floaters or to provide the Trustee with an advance from a loan facility to fund the purchase of Floaters by the TOB Trust. In certain circumstances, the Liquidity Provider may otherwise elect to have the Trustee sell the Underlying Bond to retire the Floaters that were tendered and not remarketed prior to providing such a loan. In these circumstances, the Liquidity Provider remains obligated to provide a loan to the extent that the proceeds of the sale of the Underlying Bond are not sufficient to pay the purchase price of the Floaters.
The size of the commitment under the loan facility for a given TOB Trust is at least equal to the balance of that TOB Trust’s outstanding Floaters plus any accrued interest. In consideration of the loan facility, fee schedules are in place and are charged by the Liquidity Provider(s). Any loans made by the Liquidity Provider will be secured by the purchased Floaters held by the TOB Trust. Interest paid on any outstanding loan balances will be effectively borne by the Fund that owns the Inverse Floaters of the TOB Trust that has incurred the borrowing and may be at a rate that is greater than the rate that would have been paid had the Floaters been successfully remarketed.
As described above, any amounts outstanding under a liquidity facility are recognized as a component of “Floating rate obligations” on the Statement of Assets and Liabilities by the Fund holding the corresponding Inverse Floaters issued by the borrowing TOB Trust. As of the end of the reporting period, there were no loans outstanding under any such facility.
Each Fund may also enter into shortfall and forbearance agreements (sometimes referred to as a “recourse arrangement”) (TOB Trusts involving such agreements are referred to herein as “Recourse Trusts”), under which a Fund agrees to reimburse the Liquidity Provider for the Trust’s Floaters, in certain circumstances, for the amount (if any) by which the liquidation value of the Underlying Bond held by the TOB Trust may fall short of the sum of the liquidation value of the Floaters issued by the TOB Trust plus any amounts borrowed by the TOB Trust from the Liquidity Provider, plus any shortfalls in interest cash flows. Under these agreements, a Fund’s potential exposure to losses related to or on an Inverse Floater may increase beyond the value of the Inverse Floater as a Fund may potentially be liable to fulfill all amounts owed to holders of the Floaters or the Liquidity Provider. Any such shortfall amount in the aggregate is recognized as “Unrealized depreciation on Recourse Trusts” on the Statement of Assets and Liabilities.
As of the end of the reporting period, each Fund’s maximum exposure to the Floaters issued by Recourse Trusts for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as follows:
| Floating Rate Obligations – Recourse Trusts | NTC | NMT | |||||
| Maximum exposure to Recourse Trusts: self-deposited Inverse Floaters | $ | 6,375,000 | $ | — | |||
| Maximum exposure to Recourse Trusts: externally-deposited Inverse Floaters | 5,085,000 | 7,325,000 | |||||
| Total | $ | 11,460,000 | $ | 7,325,000 |
Zero Coupon Securities
A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.
Investments in Derivatives
In addition to the inverse floating rate securities in which each Fund may invest, which are considered portfolio securities for financial reporting purposes, each Fund is authorized to invest in certain derivative instruments such as futures, options and swap contracts. Each Fund limits its investments in futures, options on futures and swap contracts to the extent necessary for the Adviser to claim the exclusion from registration by the Commodity Futures Trading Commission as a commodity pool operator with respect to the Fund. The Funds record derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Funds’ investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.
Although the Funds are authorized to invest in derivative instruments and may do so in the future, they did not make any such investments during the current fiscal period.
Market and Counterparty Credit Risk
In the normal course of business each Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose each Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of each Fund’s exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and Liabilities.
43
Notes to Financial Statements (continued)
Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the pre-determined threshold amount.
4. Fund Shares
Common Share Transactions
Transactions in common shares for the Funds during the Funds’ current and prior fiscal period, where applicable, were as follows:
| NTC | NMT | ||||||||||||
| Year | Year | Year | Year | ||||||||||
| Ended | Ended | Ended | Ended | ||||||||||
| 5/31/18 | 5/31/17 | 5/31/18 | 5/31/17 | ||||||||||
| Common shares: | |||||||||||||
| Issued to shareholders due to reinvestment of distributions | — | — | 739 | 1,283 | |||||||||
| Repurchased and retired | (105,800 | ) | — | — | — | ||||||||
| Weighted average common share: | |||||||||||||
| Price per share repurchased and retired | $ | 11.73 | — | — | — | ||||||||
| Discount per share repurchased and retired | 14.96 | % | — | — | — | ||||||||
Preferred Shares
Variable Rate MuniFund Term Preferred Shares
The following Fund has issued and has outstanding Variable Rate MuniFund Term Preferred (“VMTP”) Shares, with a $100,000 liquidation preference per share. VMTP Shares are issued via private placement and are not publicly available.
Details of the Funds’ VMTP Shares outstanding, as of the end of the reporting period, were as follows:
| Liquidation | |||||||||||||
| Preference | |||||||||||||
| Shares | Liquidation | Net of Deferred | |||||||||||
| Fund | Series | Outstanding | Preference | Offering Cost | |||||||||
| NTC | 2019 | 1,120 | $ | 112,000,000 | $ | 111,990,432 |
The Fund is obligated to redeem its VMTP Shares by the date as specified in its offering document (“Term Redemption Date”), unless earlier redeemed by the Fund. VMTP Shares are subject to optional and mandatory redemption in certain circumstances. The VMTP Shares may be redeemed at the option of the Fund, subject to payment of premium for approximately one year following the date of issuance (“Premium Expiration Date”), and at the redemption price per share thereafter. The redemption price per share is equal to the sum of the liquidation preference per share plus any accumulated but unpaid dividends. The Fund may be obligated to redeem a certain amount of the VMTP Shares if the Fund fails to maintain certain asset coverage and leverage ratio requirements and such failures are not cured by the applicable cure date. The Term Redemption Date and Premium Expiration Date for the Fund’s series of VMTP Shares are as follows:
| Term | Premium | |||||||||
| Fund | Series | Redemption Date | Expiration Date | |||||||
| NTC | 2019 | September 1, 2019 | August 31, 2017 |
The average liquidation preference of VMTP Shares outstanding and annualized dividend rate for the Fund during the current fiscal period were as follows:
| NTC | ||||
| Average liquidation preference of VMTP Shares outstanding | $ | 112,000,000 | ||
| Annualized dividend rate | 2.02 | % |
VMTP Shares are subject to restrictions on transfer, generally do not trade, and market quotations are generally not available. VMTP Shares are short-term or short/intermediate-term instruments that pay a variable dividend rate tied to a short-term index, plus an additional fixed “spread” amount established at the time of issuance. The fair value of VMTP Shares is expected to be approximately their liquidation preference so long as the fixed “spread” on the VMTP Shares remains roughly in line with the “spread” being demanded by investors on instruments having similar terms in the current market environment. In present market conditions, the Funds’ Adviser has determined that fair value of VMTP Shares is approximately their
44
liquidation preference, but their fair value could vary if market conditions change materially. For financial reporting purposes, the liquidation preference of VMTP Shares is a liability and is recognized as a component of “Variable Rate MuniFund Term Preferred (“VMTP”) Shares, net of deferred offering costs” on the Statement of Assets and Liabilities.
Dividends on the VMTP shares (which are treated as interest payments for financial reporting purposes) are set weekly. Unpaid dividends on VMTP Shares are recognized as a component of “Interest payable” on the Statement of Assets and Liabilities. Dividends accrued on VMTP Shares are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.
Costs incurred in connection with the Fund’s offering of VMTP Shares were recorded as a deferred charge, which are amortized over the life of the shares and are recognized as components of “Variable Rate MuniFund Term Preferred (“VMTP”) shares, net of deferred offering costs” on the Statement of Assets and Liabilities and “Interest expense and amortization of offering costs” on the Statement of Operations.
Variable Rate Demand Preferred Shares
The following Fund has issued and has outstanding Variable Rate Demand Preferred (“VRDP”) Shares, with a $100,000 liquidation preference per share. VRDP Shares are issued via private placement and are not publicly available.
As of the end of the reporting period, details of the Fund’s VRDP Shares outstanding were as follows:
| Liquidation | |||||||||||||||||||
| Preference | |||||||||||||||||||
| Shares | Liquidation | Net of Deferred | Special Rate | ||||||||||||||||
| Fund | Series | Outstanding | Preference | Offering Costs | Period Expiration | Maturity | |||||||||||||
| NMT | 1 | 740 | $ | 74,000,000 | $ | 73,719,481 | March 1, 2047 | March 1, 2047 |
VRDP Shares include a liquidity feature that allows VRDP shareholders to have their shares purchased by a liquidity provider with whom the Fund has contracted in the event that VRDP Shares are not able to be successfully remarketed. The Fund is required to redeem any VRDP Shares that are still owned by the liquidity provider after six months of continuous, unsuccessful remarketing. The Fund pays an annual remarketing fee of 0.10% on the aggregate principal amount of all VRDP Shares outstanding.
NMT’s Series 1 VRDP Shares are considered to be Special Rate Period VRDP, which are sold to institutional investors. During the special rate period, the VRDP Shares will not be remarketed by a remarketing agent, be subject to optional or mandatory tender events, or be supported by a liquidity provider. During the special rate period, VRDP dividends will be set monthly as a floating rate based on the predetermined formula. Following the initial special rate period, Special Rate Period VRDP Shares will transition to traditional VRDP Shares with dividends set at weekly remarketings, and be supported by a designated liquidity provider, unless the Board approves a subsequent special rate period.
Dividends on the VRDP Shares (which are treated as interest payments for financial reporting purposes) are set at a rate established by a remarketing agent; therefore, the market value of the VRDP Shares is expected to approximate its liquidation preference. In the event that VRDP Shares are unable to be successfully remarketed, the dividend rate will be the maximum rate which is designed to escalate according to a specified schedule in order to enhance the remarketing agent’s ability to successfully remarket the VRDP Shares.
Subject to certain conditions, VRDP Shares may be redeemed, in whole or in part, at any time at the option of the Fund. The Fund may also redeem certain of the VRDP Shares if the Fund fails to maintain certain asset coverage requirements and such failures are not cured by the applicable cure date. The redemption price per share is equal to the sum of the liquidation preference per share plus any accumulated but unpaid dividends.
The average liquidation preference of VRDP Shares outstanding and annualized dividend rate for the Fund during the current fiscal period were as follows:
| NMT | ||||
| Average liquidation preference of VRDP Shares outstanding | $ | 74,000,000 | ||
| Annualized dividend rate | 1.82 | % |
For financial reporting purposes, the liquidation preference of VRDP Shares is a liability and is recognized as a component of “Variable Rate Demand Preferred (“VRDP”) Shares, net of deferred offering costs” on the Statement of Assets and Liabilities. Unpaid dividends on VRDP Shares are recognized as a component of “Interest payable” on the Statement of Assets and Liabilities, when applicable. Dividends accrued on VRDP Shares are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations. Costs incurred by the Fund in connection with its offerings of VRDP Shares was recorded as a deferred charge, which is amortized over the life of the shares and is recognized as a component of “Variable Rate Demand Preferred (“VRDP”) Shares, net of deferred offering costs” on the Statement of Assets and Liabilities and “Interest expense and amortization of offerings costs” on the Statement of Operations. In addition to interest expense, the Fund also pays a per annum liquidity fee to the liquidity provider, as well as a remarketing fee, which are recognized as “Liquidity fees” and “Remarketing fees,” respectively, on the Statement of Operations, when applicable.
45
Notes to Financial Statements (continued)
Preferred Share Transactions
Transactions in preferred shares for the Funds during the Funds’ current and prior fiscal period, where applicable, are noted in the following tables.
Transactions in VMTP Shares for the Fund, where applicable, were as follows:
| Year Ended | ||||||||||
| May 31, 2017 | ||||||||||
| NTC | Series | Shares | Amount | |||||||
| VMTP Shares issued | 2019 | 1,120 | $ | 112,000,000 | ||||||
| VMTP Shares exchanged | 2017 | (1,060 | ) | (106,000,000 | ) | |||||
| Net increase (decrease) | 60 | $ | 6,000,000 | |||||||
| Year Ended | ||||||||||
| May 31, 2017 | ||||||||||
| NMT | Series | Shares | Amount | |||||||
| VMTP Shares exchanged | 2017 | (740 | ) | $ | (74,000,000 | ) | ||||
Transactions in VRDP Shares for the Fund, where applicable, were as follows
| Year Ended | ||||||||||
| May 31,2017 | ||||||||||
| NMT | Series | Shares | Amount | |||||||
| VRDP Shares issued | 1 | 740 | $ | 74,000,000 | ||||||
5. Investment Transactions
Long-term purchases and sales (including maturities) during the current fiscal period were as follows:
| NTC | NMT | ||||||
| Purchases | $ | 53,410,678 | $ | 35,694,453 | |||
| Sales and maturities | 57,058,627 | 34,927,964 |
6. Income Tax Information
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required. Furthermore, each Fund intends to satisfy conditions that will enable interest from municipal securities, which is exempt from regular federal and designated state income taxes, to retain such tax-exempt status when distributed to shareholders of the Funds. Net realized capital gains and ordinary income distributions paid by the Funds are subject to federal taxation.
For all open tax years and all major taxing jurisdictions, management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Funds is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing taxable market discount, timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate securities reflected as financing transactions, if any. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the NAVs of the Funds.
The table below presents the cost and unrealized appreciation (depreciation) of each Fund’s investment portfolio, as determined on a federal income tax basis, as of May 31, 2018.
| NTC | NMT | ||||||
| Tax cost of investments | $ | 298,022,148 | $ | 195,890,566 | |||
| Gross unrealized: | |||||||
| Appreciation | $ | 9,137,091 | $ | 9,009,201 | |||
| Depreciation | (1,916,228 | ) | (413,935 | ) | |||
| Net unrealized appreciation (depreciation) of investments | $ | 7,220,863 | $ | 8,595,266 |
46
Permanent differences, primarily due to federal taxes paid, taxable market discount, nondeductible offering costs and expiration of capital loss carryforwards, resulted in reclassifications among the Funds’ components of common share net assets as of May 31, 2018, the Funds’ tax year end, as follows:
| NTC | NMT | ||||||
| Paid-in surplus | $ | 87,235 | $ | (72,524 | ) | ||
| Undistributed (Over-distribution of) net investment income | (89,644 | ) | 9,567 | ||||
| Accumulated net realized gain (loss) | 2,409 | 62,957 |
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains as of May 31, 2018, the Funds’ tax year end, were as follows:
| NTC | NMT | ||||||
| Undistributed net tax-exempt income1 | $ | 380,203 | $ | 86,816 | |||
| Undistributed net ordinary income2 | 12,183 | — | |||||
| Undistributed net long-term capital gains | — | — |
| 1 | Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividend declared on May 1, 2018, paid on June 1, 2018. |
| 2 | Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. |
The tax character of distributions paid during the Funds’ tax years ended May 31, 2018 and May 31, 2017, was designated for purposes of the dividends paid deduction as follows:
| 2018 | NTC | NMT | |||||
| Distributions from net tax-exempt income3 | $ | 9,950,822 | $ | 7,254,568 | |||
| Distributions from net ordinary income2 | 18,890 | — | |||||
| Distributions from net long-term capital gains | — | — | |||||
| 2017 | NTC | NMT | |||||
| Distributions from net tax-exempt income | $ | 10,738,752 | $ | 7,551,580 | |||
| Distributions from net ordinary income2 | 27,615 | — | |||||
| Distributions from net long-term capital gains | — | — |
| 2 | Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. |
| 3 | The Funds hereby designate these amounts paid during the fiscal year ended May 31, 2018, as Exempt Interest Dividends. |
As of May 31, 2018 the Funds’ tax year end, the Funds had unused capital losses carrying forward available for federal income tax purposes to be applied against future capital gains, if any. The capital losses are not subject to expiration.
| NTC | NMT | ||||||
| Not subject to expiration: | |||||||
| Short-term | $ | 2,681,405 | $ | 1,242,557 | |||
| Long-term | 6,537,115 | 3,206,824 | |||||
| Total | $ | 9,218,520 | $ | 4,449,381 |
During the Funds’ tax year ended May 31, 2018, NMT utilized $137,565 of its capital loss carryforward.
As of May 31, 2018, the Funds’ tax year end, $62,941 of NMT’s capital loss carryforward expired.
7. Management Fees and Other Transactions with Affiliates
Management Fees
Each Fund’s management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Sub-Adviser is compensated for its services to the Funds from the management fees paid to the Adviser.
Each Fund’s management fee consists of two components – a fund-level fee, based only on the amount of assets within each individual Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables Fund shareholders to benefit from growth in the assets within their respective Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.
47
Notes to Financial Statements (continued)
The annual Fund-level fee, payable monthly, for each Fund is calculated according to the following schedule:
| NTC | ||||
| NMT | ||||
| Average Daily Managed Assets* | Fund-Level Fee | |||
| For the first $125 million | 0.4500 | % | ||
| For the next $125 million | 0.4375 | |||
| For the next $250 million | 0.4250 | |||
| For the next $500 million | 0.4125 | |||
| For the next $1 billion | 0.4000 | |||
| For the next $3 billion | 0.3750 | |||
| For managed assets over $5 billion | 0.3625 |
The annual complex-level fee, payable monthly, for each Fund is calculated by multiplying the current complex-wide fee rate, determined according to the following schedule by the Fund’s daily managed assets:
| Complex-Level Managed Asset Breakpoint Level* | Effective Rate at Breakpoint Level | |||
| $55 billion | 0.2000 | % | ||
| $56 billion | 0.1996 | |||
| $57 billion | 0.1989 | |||
| $60 billion | 0.1961 | |||
| $63 billion | 0.1931 | |||
| $66 billion | 0.1900 | |||
| $71 billion | 0.1851 | |||
| $76 billion | 0.1806 | |||
| $80 billion | 0.1773 | |||
| $91 billion | 0.1691 | |||
| $125 billion | 0.1599 | |||
| $200 billion | 0.1505 | |||
| $250 billion | 0.1469 | |||
| $300 billion | 0.1445 |
| * | For the complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by the TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen Funds that constitute “eligible assets.” Eligible assets do not include assets attributable to investments in other Nuveen Funds or assets in excess of a determined amount (originally $2 billion) added to the Nuveen fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January 1, 2011. As of May 31, 2018, the complex-level fee for each Fund was 0.1591%. |
Other Transactions with Affiliates
Each Fund is permitted to purchase or sell securities from or to certain other funds managed by the Adviser (“inter-fund trade”) under specified conditions outlined in procedures adopted by the Board. These procedures have been designed to ensure that any inter-fund trade of securities by the Fund from or to another fund that is, or could be, considered an affiliate of the Fund under certain limited circumstances by virtue of having a common investment adviser (or affiliated investment adviser), common officer and/or common trustee complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each inter-fund trade is effected at the current market price as provided by an independent pricing service. Unsettled inter-fund trades as of the end of the reporting period are recognized as a component of “Receivable for investments sold” and/or “Payable for investments purchased” on the Statement of Assets and Liabilities, when applicable.
During the current fiscal period, the Funds engaged in inter-fund trades pursuant to these procedures as follows:
| Inter-Fund Trades | NTC | NMT | |||||
| Purchases | $ | 5,921,134 | $ | 1,961,308 | |||
| Sales | 8,643,980 | 3,110,731 |
8. Borrowing Arrangements
Uncommitted Line of Credit
During the current fiscal period, the Funds participated in an unsecured bank line of credit (“Unsecured Credit Line”) under which outstanding balances would bear interest at a variable rate. Although the Funds participated in the Unsecured Credit Line, they did not have any outstanding balances during the current fiscal period.
The Unsecured Credit Line was not renewed after its scheduled termination date on July 27, 2017.
48
Committed Line of Credit
The Funds, along with certain other funds managed by the Adviser (“Participating Funds”), have established a 364-day, approximately $3 billion standby credit facility with a group of lenders, under which the Participating Funds may borrow for various purposes other than leveraging for investment purposes. A large portion of this facility’s capacity (and its associated costs as described below) is currently dedicated for use by a small number of Participating Funds, which does not include any of the Funds covered by this shareholder report. The remaining capacity under the facility (and the corresponding portion of the facility’s annual costs) is separately dedicated to most of the other open-end funds in the Nuveen fund family, along with a number of Nuveen closed-end funds, including all of the Funds covered by this shareholder report. The credit facility expires in July 2018 unless extended or renewed.
The credit facility has the following terms: a fee of 0.15% per annum on unused commitment amounts, and interest at a rate equal to the higher of (a) one-month LIBOR (London Inter-Bank Offered Rate) plus 1.00% (1.25% prior to July 27, 2017) per annum or (b) the Fed Funds rate plus 1.00% (1.25% prior to July 27, 2017) per annum on amounts borrowed. Participating Funds paid administration, legal and arrangement fees, which are recognized as a component of “Other expenses” on the Statement of Operations, and along with commitment fees, have been allocated among such Participating Funds based upon the relative proportions of the facility’s aggregate capacity reserved for them and other factors deemed relevant by the Adviser and the Board of each Participating Fund.
During the current fiscal period, the Funds utilized this facility. Each Fund’s maximum outstanding balance during the utilization period was as follows:
| NTC | NMT | ||||||
| Maximum Outstanding Balance | $ | 3,995,463 | $ | 5,314,284 |
During the Fund’s utilization period, during the current fiscal period, the average daily balance outstanding and average annual interest rate on the Borrowings were as follows:
| NTC | NMT | ||||||
| Average daily balance outstanding | $ | 3,995,463 | $ | 5,314,284 | |||
| Average annual interest rate | 2.56 | % | 2.56 | % |
Borrowings outstanding as of the end of the reporting period are recognized as “Borrowings” on the Statement of Assets and Liabilities, where applicable.
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 Funds 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.
49
Notes to Financial Statements (continued)
During the current reporting period, none of the Funds covered by this shareholder report have entered into any inter-fund loan activity.
9. New Accounting Pronouncements
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.
FASB ASU 2016-18: Statement of Cash Flows – Restricted Cash (“ASU 2016-18”)
The FASB has issued ASU 2016-18, which will require entities to include the total of cash, cash equivalents, restricted cash and restricted cash equivalents in the beginning and ending cash balances in the Statement of Cash Flows. The guidance will be applied retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within those years. Management is currently evaluating the implications of ASU32016-18, if any.
10. Subsequent Events
Borrowing Arrangements
On July 11, 2018, the Funds renewed the standby credit facility through July 2019. In conjunction with this renewal, the amount of the facility decreased to $2.65 billion, while all other terms remained unchanged.
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Additional Fund Information (Unaudited)
| Board of Trustees | ||||||||||
| Margo Cook* Judith M. Stockdale |
Jack B. Evans Carole E. Stone |
William C. Hunter Terence J. Toth |
Albin F. Moschner Margaret L Wolff |
John K. Nelson Robert L. Young |
William J. Schneider |
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| * Interested Board Member. | ||||||||||
| Fund Manager Nuveen Fund Advisors, LLC 333 West Wacker Drive Chicago, IL 60606 |
Custodian State Street Bank & Trust Company One Lincoln Street Boston, MA 02111 |
Legal Counsel Chapman and Cutler LLP Chicago, IL 60603 |
Independent Registered Public Accounting Firm KPMG LLP 200 East Randolph Street Chicago, IL 60601 |
Transfer Agent and Shareholder Services Computershare Trust Company, N.A. 250 Royall Street Canton, MA 02021 (800) 257-8787 |
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Quarterly Form N-Q Portfolio of Investments Information
Each Fund is required to file its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. You may obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov or in person at the SEC’s Public Reference Room in Washington, D.C. Call the SEC toll-free at (800) SEC-0330 for room hours and operation.
Nuveen Funds’ Proxy Voting Information
You may obtain (i) information regarding how each fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, without charge, upon request, by calling Nuveen toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com and (ii) a description of the policies and procedures that each fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen toll free at (800) 257-8787. You may also obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov.
CEO Certification Disclosure
Each Fund’s Chief Executive Officer (CEO) has submitted to the New York Stock Exchange (NYSE) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual. Each Fund has filed with the SEC the certification of its CEO and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.
Common Share Repurchases
Each Fund intends to repurchase, through its open-market share repurchase program, shares of its own common stock at such times and in such amounts as is deemed advisable. During the period covered by this report, each Fund repurchased shares of its common stock, as shown in the accompanying table. Any future repurchases will be reported to shareholders in the next annual or semi-annual report.
| NTC | NMT | ||||||
| Common shares repurchased | 105,800 | — |
FINRA BrokerCheck
The Financial Industry Regulatory Authority (FINRA) provides information regarding the disciplinary history of FINRA member firms and associated investment professionals. This information as well as an investor brochure describing FINRA BrokerCheck is available to the public by calling the FINRA BrokerCheck Hotline number at (800) 289-9999 or by visiting www.FINRA.org.
51
Glossary of Terms Used in this Report (Unaudited)
| ■ | Auction Rate Bond: An auction rate bond is a security whose interest payments are adjusted periodically through an auction process, which process typically also serves as a means for buying and selling the bond. Auctions that fail to attract enough buyers for all the shares offered for sale are deemed to have “failed,” with current holders receiving a formula-based interest rate until the next scheduled auction. |
| ■ | Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in NAV or market price and reinvested dividends and capital gains distributions, if any) over the time period being considered. |
| ■ | Duration: Duration is a measure of the expected period over which a bond’s principal and interest will be paid, and consequently is a measure of the sensitivity of a bond’s or bond fund’s value to changes when market interest rates change. Generally, the longer a bond’s or fund’s duration, the more the price of the bond or fund will change as interest rates change. |
| ■ | Effective Leverage: Effective leverage is a fund’s effective economic leverage, and includes both regulatory leverage (see leverage) and the leverage effects of certain derivative investments in the fund’s portfolio. Currently, the leverage effects of Tender Option Bond (TOB) inverse floater holdings are included in effective leverage values, in addition to any regulatory leverage. |
| ■ | Escrowed to Maturity Bond: When proceeds of a refunding issue are deposited in an escrow account for investment in an amount sufficient to pay the principal and interest on the issue being refunded. In some cases, though, an issuer may expressly reserve its right to exercise an early call of bonds that have been escrowed to maturity. |
| ■ | Gross Domestic Product (GDP): The total market value of all final goods and services produced in a country/region in a given year, equal to total consumer, investment and government spending, plus the value of exports, minus the value of imports. |
| ■ | Inverse Floating Rate Securities: Inverse floating rate securities, also known as inverse floaters or tender option bonds (TOBs), are created by depositing a municipal bond, typically with a fixed interest rate, into a special purpose trust. This trust, in turn, (a) issues floating rate certificates typically paying short-term tax-exempt interest rates to third parties in amounts equal to some fraction of the deposited bond’s par amount or market value, and (b) issues an inverse floating rate certificate (sometimes referred to as an “inverse floater”) to an investor (such as a Fund) interested in gaining investment exposure to a long-term municipal bond. The income received by the holder of the inverse floater varies inversely with the short-term rate paid to the floating rate certificates’ holders, and in most circumstances the holder of the inverse floater bears substantially all of the underlying bond’s downside investment risk. The holder of the inverse floater typically also benefits disproportionately from any potential appreciation of the underlying bond’s value. Hence, an inverse floater essentially represents an investment in the underlying bond on a leveraged basis. |
| ■ | Leverage: Leverage is created whenever a fund has investment exposure (both reward and/or risk) equivalent to more than 100% of the investment capital. |
| ■ | Net Asset Value (NAV) Per Share: A fund’s Net Assets is equal to its total assets (securities, cash, accrued earnings and receivables) less its total liabilities. NAV per share is equal to the fund’s Net Assets divided by its number of shares outstanding. |
| ■ | Pre-Refunding: Pre-Refunding, also known as advanced refundings or refinancings, is a procedure used by state and local governments to refinance municipal bonds to lower interest expenses. The issuer sells new bonds with a lower yield and uses the proceeds to buy U.S. Treasury securities, the interest from which is used to make payments on the higher-yielding bonds. Because of this collateral, pre-refunding generally raises a bond’s credit rating and thus its value. |
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| ■ | Regulatory Leverage: Regulatory Leverage consists of preferred shares issued by or borrowings of a fund. Both of these are part of a fund’s capital structure. Regulatory leverage is subject to asset coverage limits set in the Investment Company Act of 1940. |
| ■ | S&P Municipal Bond Connecticut Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade Connecticut municipal bond market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees. |
| ■ | S&P Municipal Bond Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade U.S. municipal bond market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees. |
| ■ | S&P Municipal Bond Massachusetts Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade Massachusetts municipal bond market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees. |
| ■ | Total Investment Exposure: Total investment exposure is a fund’s assets managed by the Adviser that are attributable to financial leverage. For these purposes, financial leverage includes a fund’s use of preferred stock and borrowings and investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities. |
| ■ | Zero Coupon Bond: A zero coupon bond does not pay a regular interest coupon to its holders during the life of the bond. Income to the holder of the bond comes from accretion of the difference between the original purchase price of the bond at issuance and the par value of the bond at maturity and is effectively paid at maturity. The market prices of zero coupon bonds generally are more volatile than the market prices of bonds that pay interest periodically. |
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Reinvest Automatically, Easily and Conveniently
| Nuveen makes reinvesting easy. A phone call is all it takes to set up your reinvestment account. |
| Nuveen Closed-End Funds Automatic Reinvestment Plan |
Nuveen Closed-End Fund allows you to conveniently reinvest distributions in additional Fund shares. By choosing to reinvest, you’ll be able to invest money regularly and automatically, and watch your investment grow through the power of compounding. Just like distributions in cash, there may be times when income or capital gains taxes may be payable on distributions that are reinvested. It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market.
Easy and convenient
To make recordkeeping easy and convenient, each month you’ll receive a statement showing your total distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own.
How shares are purchased
The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the greater of the net asset value or 95% of the then-current market price. If the shares are trading at less than net asset value, shares for your account will be purchased on the open market. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund’s shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares’ net asset value or 95% of the shares’ market value on the last business day immediately prior to the purchase date. Distributions received to purchase shares in the open market will normally be invested shortly after the distribution payment date. No interest will be paid on distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions.
Flexible
You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change. You can reinvest whether your shares are registered in your name, or in the name of a brokerage firm, bank, or other nominee. Ask your investment advisor if his or her firm will participate on your behalf. Participants whose shares are registered in the name of one firm may not be able to transfer the shares to another firm and continue to participate in the Plan. The Fund reserves the right to amend or terminate the Plan at any time. Although the Fund reserves the right to amend the Plan to include a service charge payable by the participants, there is no direct service charge to participants in the Plan at this time.
Call today to start reinvesting distributions
For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787.
54
Annual Investment Management Agreement Approval Process (Unaudited)
At a meeting held on May 22-24, 2018 (the “May Meeting”), the Board of Trustees (each, a “Board,” and each Trustee, a “Board Member”) of each 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, for its respective Fund, the renewal of the management agreement (the “Investment Management Agreement”) with Nuveen Fund Advisors, LLC (the “Adviser”) pursuant to which the Adviser serves as investment adviser to such Fund and the sub-advisory agreement (the “Sub-Advisory Agreement”) with Nuveen Asset Management, LLC (the “Sub-Adviser”) pursuant to which the Sub-Adviser serves as investment sub-adviser to such Fund. Following an initial two-year period, the Board, including the Independent Board Members, is required under the 1940 Act to review and approve each Investment Management Agreement and Sub-Advisory Agreement on behalf of the applicable Fund on an annual basis. The Investment Management Agreements and Sub-Advisory Agreements are collectively referred to as the “Advisory Agreements” and the Adviser and the Sub-Adviser are collectively, the “Fund Advisers” and each, a “Fund Adviser.”
In response to a request on behalf of the Independent Board Members by independent legal counsel, the Board received and reviewed prior to the May Meeting extensive materials specifically prepared for the annual review of Advisory Agreements by the Adviser as well as by Broadridge Financial Solutions, Inc. (“Broadridge” or “Lipper”), an independent provider of investment company data. The materials provided in connection with the annual review covered a breadth of subject matter including, but not limited to, a description of the nature, extent and quality of services provided by each Fund Adviser; a review of the Sub-Adviser and the applicable investment team(s); an analysis of fund performance in absolute terms and as compared to the performance of certain peer funds and benchmarks with a focus on any performance outliers; an analysis of the fees and expense ratios of the Nuveen funds in absolute terms and as compared to those of certain peer funds with a focus on any expense outliers; a description of portfolio manager compensation; a review of the secondary market for Nuveen closed-end funds (including, among other things an analysis of performance, distribution and valuation and capital raising trends in the broader closed-end fund market and in particular to Nuveen closed-end funds; a review of the leverage management actions taken on behalf of the Nuveen closed-end funds and the 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 Nuveen fund(s) and/or the complex; a description of the profitability or financial data of Nuveen and the various sub-advisers to the Nuveen funds; and a description of indirect benefits received by the Fund Advisers as a result of their relationships with the Nuveen funds. The Independent Board Members also received a memorandum from independent legal counsel outlining their fiduciary duties and legal standards in reviewing the Advisory Agreements. The Board Members held an in-person meeting on April 10-11, 2018 (the “April Meeting”), in part, to review and discuss the performance of the Nuveen funds and the Adviser’s evaluation of the various sub-advisers to the Nuveen funds. Prior to the May Meeting, the Board Members also received and reviewed supplemental information provided in response to questions posed by the Board Members.
The information prepared specifically for the annual review of the Advisory Agreements supplemented the information provided to the Board and its committees throughout the year. The Board and its committees met regularly during the year and the information provided and topics discussed were relevant to the review of the Advisory Agreements. Some of these reports and other data included, among other things, materials that outlined the investment performance of the Nuveen funds; strategic plans of the Adviser which may impact the services it provides to the Nuveen funds; the review of the Nuveen funds and applicable investment teams; the management of leveraging financing for the Nuveen closed-end funds; the secondary market trading of the Nuveen closed-end funds and any actions to address discounts; compliance, regulatory and risk management matters; the trading practices of the various sub-advisers; valuation of securities; fund expenses; and overall market and regulatory developments. The Board
55
Annual Investment Management Agreement Approval Process (Unaudited) (continued)
further continued its practice of seeking to meet periodically with the various sub-advisers to the Nuveen funds and their investment teams, when feasible. As a result, the Independent Board Members considered the review of the Advisory Agreements to be an ongoing process and employed the accumulated information, knowledge, and experience the Board Members had gained during their tenure on the Board governing the Funds and working with the Fund Advisers in their review of the Advisory Agreements. Throughout the year and during the annual review of Advisory Agreements, the Independent Board Members met in executive sessions with independent legal counsel and had the benefit of counsel’s advice.
In deciding to renew the Advisory Agreements, the Independent Board Members did not identify a particular factor as determinative, but rather the decision reflected the comprehensive consideration of all the information provided, and each Board Member may have attributed different levels of importance to the various factors and information considered in connection with the approval process. The following summarizes the principal factors, but not all the factors, the Board considered in deciding to renew the Advisory Agreements and its conclusions.
| A. | Nature, Extent and Quality of Services |
| In evaluating the renewal of the Advisory Agreements, the Independent Board Members received and considered information regarding the nature, extent and quality of the applicable Fund Adviser’s services provided to the respective Fund and the resulting performance of each Fund. With respect to the Adviser, the Board recognized the comprehensive set of management, oversight and administrative services the Adviser and its affiliates provided to manage and operate the Nuveen funds in a highly regulated industry. As illustrative, these services included, but were not limited to, product management; investment oversight, risk management and securities valuation services; fund accounting and administration services; board support and administration services; compliance and regulatory oversight services; legal support; and with respect to closed-end funds, leverage, capital and distribution management services. | |
| In addition to the services necessary to operate and maintain the Nuveen funds, the Board recognized the Adviser’s continued program of improvements and innovations to make the Nuveen fund complex more relevant and attractive to existing and new investors and to accommodate the new and changing regulatory requirements in an increasingly complex regulatory environment. The Board noted that some of the initiatives the Adviser had taken over recent years to benefit the complex and particular Nuveen funds included, among other things: |
| • | Fund Rationalizations - continuing efforts to rationalize the product line through mergers, liquidations and repositionings in seeking to enhance shareholder value over the years through increased efficiency, reduced costs, improved performance and revised investment approaches more relevant to current shareholder needs; | |
| • | Product Innovations - developing product innovations and launching new products that will help the Nuveen fund complex offer a variety of products that will attract new investors and retain existing investors, such as launching the target term funds, exchange-traded funds (“ETFs”) and multi-asset class funds; | |
| • | Risk Management Enhancements - continuing efforts to enhance risk management, including enhancing reporting to increase the efficiency of risk monitoring, implementing programs to strengthen the ability to detect and mitigate operational risks, dedicating resources and staffing necessary to create standards to help ensure compliance with new liquidity requirements, and implementing a price verification system; | |
| • | Additional Compliance Services – the continuing investment of significant resources, time and additional staffing to meet the various new regulatory requirements affecting the Nuveen funds over the past several years, the further implementation of unified compliance policies and processes, the development of additional compliance training modules, and the reorganization of the compliance team adding further depth to its senior leadership; | |
| • | Expanded Dividend Management Services – as the Nuveen fund complex has grown, the additional services necessary to manage the distributions of the varied funds offered and investing in automated systems to assist in this process; and |
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| • | with respect specifically to closed-end funds, such initiatives also included: |
| •• | Leverage Management Services - continuing activities to expand financing relationships and develop new product structures to lower fund leverage expenses and to manage associated risks, particularly in an interest rate increasing environment; | |
| •• | Capital Management Services - continuing capital management activities through the share repurchase program and additional equity offerings in seeking to increase net asset value and/or improve fund performance for the respective Nuveen funds; | |
| •• | Data and Market Analytics - continuing development of databases that help with obtaining and analyzing ownership data of closed-end funds; | |
| •• | Enhanced Secondary Market Reporting – providing enhanced reporting and commentary on the secondary market trading of closed-end funds which permit more efficient analysis of the performance of the Nuveen funds compared to peers and of trends in the marketplace; and | |
| •• | Tender Option Bond Services – providing the additional support services necessary for Nuveen funds that seek to use tender option bonds to meet new regulatory requirements. |
| The Board also recognized the Adviser’s investor relations program which seeks to advance the Nuveen closed-end funds through, among other things, raising awareness and delivering education regarding closed-end funds to investors and financial advisors and promoting the Nuveen closed-end funds with such investors. | |
| In addition to the services provided by the Adviser, the Board also noted the business related risks the Adviser incurred in managing the Nuveen funds, including entrepreneurial, legal and litigation risks. | |
| The Board further considered the division of responsibilities between the Adviser and the Sub-Adviser and the investment and compliance oversight over the Sub-Adviser provided by the Adviser. The Board recognized that the Sub-Adviser generally provided the portfolio advisory services for the Funds. The Board reviewed the Adviser’s analysis of the Sub-Adviser which evaluated, among other things, the investment team, the members’ experience and any changes to the team during the year, the team’s assets under management, the stability and history of the organization, the team’s investment approach and the performance of the Funds over various periods. The Board noted that the Adviser recommended the renewal of the Sub-Advisory Agreements. | |
| Based on its review, the Board determined, in the exercise of its reasonable business judgment, that it was satisfied with the nature, extent and quality of services provided to the respective Funds under each applicable Advisory Agreement. | |
| B. | The Investment Performance of the Funds and Fund Advisers |
| As part of its evaluation of the services provided by the Fund Advisers, the Board considered the investment performance of each Fund. In this regard, the Board reviewed fund performance over the quarter, one-, three- and five-year periods ending December 31, 2017 as well as performance data for the first quarter of 2018 ending March 31, 2018. The Independent Board Members noted that they reviewed and discussed fund performance over various time periods with management at their quarterly meetings throughout the year and their review and analysis of performance during the annual review of Advisory Agreements incorporated such discussions. | |
| The Board reviewed performance on an absolute basis and in comparison to the performance of peer funds (the “Performance Peer Group”) and recognized and/or customized benchmarks (i.e., generally benchmarks derived from multiple recognized benchmarks). The Board considered the Adviser’s analysis of each Nuveen fund’s performance, including, in particular, an analysis of the Nuveen funds determined to be performance outliers and the factors contributing to their underperformance. In addition to the foregoing, in recognizing the importance of secondary market trading to shareholders of closed-end funds, the |
57
Annual Investment Management Agreement Approval Process (Unaudited) (continued)
| Board reviewed, among other things, the premium or discount to net asset value of the Nuveen closed-end funds as of a specified date as well as relative to the premiums or discounts of certain peers and the funds’ total return based on net asset value and market price over various periods. The Board considers the review of premiums and discounts of the closed-end funds to be a continuing priority and as such, the Board and/or its Closed-end Fund Committee also receives an update on the secondary closed-end fund market and evaluates the premiums and discounts of the Nuveen closed-end funds at each quarterly meeting, reviewing, among other things, the premium and discount trends in the broader closed-end fund market, by asset category and by closed-end fund; the historical total return performance data for the Nuveen closed-end funds based on net asset value and price over various periods; the volatility trends in the market; the distribution data of the Nuveen closed-end funds and as compared to peer averages; and a summary of the common share shelf offerings and share repurchase activity during the applicable quarter. As the Board’s Closed-end Fund Committee oversees matters particularly impacting the closed-end fund product line, the committee further engages in more in-depth discussions of the premiums and discounts of the Nuveen closed-end funds at each of its quarterly meetings. | |
| In reviewing performance data, the Independent Board Members appreciated some of the inherent limitations of such data. In this regard, the Independent Board Members recognized that there may be limitations with the comparative data of certain peer groups or benchmarks as they may pursue objective(s), strategies or have other characteristics that are different from the respective Nuveen fund and therefore the performance results necessarily are different and limit the value of the comparisons. As an example, some funds may utilize leverage which may add to or detract from performance compared to an unlevered benchmark. The Independent Board Members also noted that management had ranked the relevancy of the peer group as low, medium or high to help the Board evaluate the value of the comparative peer performance data. The Board was aware that the performance data was measured as of a specific date and a different time period may reflect significantly different results and a period of underperformance can significantly impact long term performance figures. The Board further recognized that a shareholder’s experience in a Fund depends on his or her own holding period which may differ from that reviewed by the Independent Board Members. | |
| In their review of performance, the Independent Board Members focused, in particular, on the Adviser’s analysis of Nuveen funds determined to be underperforming performance outliers. The Independent Board Members noted that only a limited number of the Nuveen funds appeared to be underperforming performance outliers at the end of 2017 and considered the factors contributing to the respective fund’s performance and whether there were any performance concerns that needed to be addressed. The Board recognized that some periods of underperformance may only be temporary while other periods of underperformance may indicate a broader issue that may require a corrective action. Accordingly, with respect to any Nuveen funds for which the Board had identified performance issues, the Board monitors such funds closely until performance improves, discusses with the Adviser the reasons for such results, considers whether any steps are necessary or appropriate to address such issues, and reviews the results of any efforts undertaken. | |
| For Nuveen Connecticut Quality Municipal Income Fund (the “Connecticut Fund”), the Board noted that although the Fund ranked in the fourth quartile of its Performance Peer Group in the three- and five-year periods, the Fund ranked in the third quartile in the one-year period and outperformed its benchmark in the one-, three- and five-year periods. The Board was satisfied with the Fund’s overall performance. | |
| For Nuveen Massachusetts Quality Municipal Income Fund (the “Massachusetts Fund”), the Board noted that the Fund ranked in the second quartile of its Performance Peer Group in the one- and three-year periods and the third quartile in the five-year period. The Fund also outperformed its benchmark in the one-, three- and five-year periods. The Board was satisfied with the Fund’s overall performance. | |
| C. | Fees, Expenses and Profitability |
| 1. | Fees and Expenses |
| In its annual review, the Board considered the fees paid to the Fund Advisers and the total operating expense ratio of each Fund. 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”) |
58
| 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 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 for closed-end funds) of six basis points or higher compared to that of its peer average (each an “Expense Outlier Fund”). The Board noted that the number of Nuveen funds classified as an Expense Outlier Fund pursuant to the foregoing criteria had decreased over the past few years with only a limited number of the Nuveen funds identified as Expense Outlier Funds in 2017. The Independent Board Members reviewed an analysis as to the factors contributing to each such fund’s higher relative net expense ratio. In addition, although the Board reviewed a fund’s total net expenses both including and excluding investment-related expenses (i.e., leverage costs) and taxes for certain of the Nuveen closed-end funds, the Board recognized that leverage expenses will vary across 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 for the closed-end funds) 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. | |
| In their review of the fee arrangements for the Nuveen funds, the Independent Board Members considered the management fee schedules, including the complex-wide and fund-level breakpoint schedules, as applicable. The Board considered that across the Nuveen fund complex, the complex-wide fee breakpoints reduced fees by $47.4 million and fund-level breakpoints reduced fees by $54.6 million in 2017. | |
| The Board considered the sub-advisory fees paid to the Sub-Adviser, including any breakpoint schedule, and as described below, comparative data of the fees the Sub-Adviser charges to other clients. | |
| The Independent Board Members noted that (a) the Connecticut Fund had a net management fee slightly higher than the peer average, but a net expense ratio below the peer average and (b) the Massachusetts Fund had a net management fee in line with the peer average and a net expense ratio below the peer average. | |
| Based on their review of the information provided, the Board determined that each Fund’s management fees (as applicable) to a Fund Adviser were reasonable in light of the nature, extent and quality of services provided to the Fund. |
| 2. | Comparisons with the Fees of Other Clients |
| In determining the appropriateness of fees, the Board also reviewed information regarding the fee rates the respective Fund Advisers charged for certain other types of clients and the type of services provided to these other clients. With respect to the Adviser and/or affiliated sub-advisers to the municipal funds, such other clients may include retail and institutional managed accounts, passively managed ETFs sub-advised by the Sub-Adviser but that are offered by another fund complex and municipal managed accounts offered by an unaffiliated adviser. | |
| The Board recognized that each Fund had an affiliated sub-adviser and reviewed, among other things, the range of fees and average fee rates assessed for managed accounts. In addition to the comparative fee data, the Board also reviewed, among other things, a description of the different levels of services provided to other clients compared to the services provided to the Nuveen funds as well as the differences in portfolio investment policies, investor profiles, account sizes and regulatory requirements, all of which contribute to the variations in the fee schedules. In general, the Board noted that the higher fee levels reflect higher levels of services provided by Nuveen, increased investment management complexity, greater product management requirements and higher levels of business risk or some combination of these factors. The Board further considered that the Sub-Adviser’s fee is essentially for portfolio management services and therefore more comparable to the fees it receives for retail wrap accounts and other external sub-advisory mandates. The Board concluded the varying levels of fees were justified given, among other things, the inherent differences in the products and the level of services provided to the Nuveen funds |
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Annual Investment Management Agreement Approval Process (Unaudited) (continued)
| versus other clients, the differing regulatory requirements and legal liabilities and the entrepreneurial risks incurred in sponsoring and advising a registered investment company. |
| 3. | Profitability of Fund Advisers |
| In conjunction with their review of fees, the Independent Board Members considered Nuveen’s level of profitability for its advisory services to the Nuveen funds for the calendar years 2017 and 2016. In considering profitability, the Independent Board Members reviewed the level of profitability realized by Nuveen including and excluding any distribution expenses incurred by Nuveen from its own resources. The Independent Board Members also reviewed a description of the expense allocation methodology employed to develop the financial information and a summary of the history of changes to the methodology over the years. For comparability purposes, the Board recognized that a prior year’s profitability would be restated to reflect any refinements to the methodology. The Independent Board Members were aware of the inherent limitations in calculating profitability as the use of different reasonable allocation methodologies may lead to significantly different results and in reviewing profitability margins over extended periods given the refinements to the methodology over time. The Board noted that two Independent Board Members, along with independent counsel, serve as the Board’s liaisons to review and discuss any proposed changes to the methodology prior to the full Board’s review. | |
| In their review, the Independent Board Members evaluated, among other things, Nuveen’s adjusted operating margins, gross and net revenue margins (pre-tax and after-tax) for advisory activities for the Nuveen funds, and the revenues, expenses, and net income (pre-tax and after-tax and before distribution) of Nuveen for fund advisory services for each of the last two calendar years. The Independent Board Members also reviewed an analysis of the key drivers behind the changes in revenues and expenses that impacted profitability in 2017 versus 2016. The Board noted that Nuveen recently launched its ETF product line in 2016 and reviewed the revenues, expenses and operating margin from this product line. | |
| In addition to reviewing Nuveen’s profitability in absolute terms, the Independent Board Members also examined comparative profitability data reviewing, among other things, the revenues, expenses and adjusted total company margins of other advisory firms that had publicly available information and comparable assets under management (based on asset size and asset composition) for 2017 and as compared to their adjusted operating margins for 2016. The Independent Board Members, however, recognized the difficulty in comparing the profitability of various fund managers given the limited public information available and the subjective nature of calculating profitability which may be affected by numerous factors including the fund manager’s organizational structure, types of funds, other lines of business, methodology used to allocate expenses and cost of capital. Nevertheless, considering such limitations and based on the information provided, the Board noted that Nuveen’s adjusted operating margins appeared reasonable when compared to the adjusted margins of the peers. | |
| Aside from Nuveen’s profitability, the Board recognized that the Adviser is a subsidiary of Nuveen, LLC, the investment management arm of Teachers Insurance and Annuity Association of America (“TIAA”). As such, the Board also reviewed a balance sheet for TIAA reflecting its assets, liabilities and capital and contingency reserves for the 2017 and 2016 calendar years to consider the financial strength of TIAA. | |
| In reviewing profitability, the Independent Board Members also considered the profitability of the various sub-advisers from their relationships with the respective Nuveen fund(s). The Independent Board Members reviewed the Sub-Adviser’s revenues, expenses and revenue margins (pre- and post-tax) for its advisory activities for the calendar year ended December 31, 2017. The Independent Board Members also reviewed a profitability analysis reflecting the revenues, expenses and revenue margin (pre- and post-tax) by asset type for the Sub-Adviser for the calendar year ending December 31, 2017 and the pre- and post-tax revenue margin from 2017 and 2016. | |
| In evaluating the reasonableness of the compensation, the Independent Board Members also considered any other ancillary benefits derived by the respective Fund Adviser from its relationship with the Nuveen funds as discussed in further detail below. | |
| Based on a consideration of all the information provided, the Board noted that Nuveen’s and the Sub-Adviser’s level of profitability was acceptable and not unreasonable in light of the services provided. |
60
| D. | Economies of Scale and Whether Fee Levels Reflect These Economies of Scale |
| The Independent Board Members considered the extent to which economies of scale may be achieved as a Fund grows and whether these economies of scale have been shared with shareholders. Although the Board recognized that economies of scale are difficult to measure, the Independent Board Members noted that there are several methods that may be used in seeking to share economies of scale, including through breakpoints in the management fee schedule reducing the fee rates as asset levels grow, fee waivers and/or expense limitation agreements and the Adviser’s investment in its business which can enhance the services provided to the Nuveen funds. With respect to breakpoint schedules, because the Board had previously recognized that economies of scale may occur not only when the assets of a particular fund grow but also when the assets in the complex grow, the Nuveen funds generally pay the Adviser a management fee comprised of a fund-level component and a complex-level component each with its own breakpoint schedule, subject to certain exceptions. In general terms, the breakpoint schedule at the fund-level reduces fees as assets in the particular fund pass certain thresholds and the breakpoint schedule at the complex-level reduces fees on certain funds as the eligible assets in the complex pass certain thresholds. Subject to exceptions for certain Nuveen funds, the Independent Board Members reviewed the fund-level and complex-level fee schedules and any resulting savings in fees. In addition, with respect to closed-end funds, the Independent Board Members noted that, although such funds may from time-to-time make additional share offerings, the growth of their assets would occur primarily through the appreciation of such funds’ investment portfolios. Further, the Independent Board Members recognized the Adviser’s continued reinvestment in its business through, among other things, improvements in technology, additional staffing, product innovations and other organizational changes designed to expand or enhance the services provided to the benefit of all of the Nuveen funds. | |
| Based on its review, the Board concluded that the current fee arrangements together with the Adviser’s reinvestment in its business appropriately shared any economies of scale with shareholders. |
| E. | Indirect Benefits |
| The Independent Board Members received and considered information regarding other benefits the respective Fund Adviser or its affiliates may receive as a result of their relationship with the Nuveen funds. The Independent Board Members reviewed the revenues that an affiliate of the Adviser received in 2017 as a result of serving as co-manager in the initial public offerings of new closed-end funds and as the underwriter on shelf offerings of existing closed-end funds. | |
| In addition to the above, the Independent Board Members considered whether the Sub-Adviser uses commissions paid by the Funds on portfolio transactions to obtain research products and other services (“soft dollar transactions”). The Board recognized that the Sub-Adviser may benefit from research received from broker-dealers that execute Fund portfolio transactions. The Board noted that the benefits for sub-advisers transacting in fixed-income securities may be more limited as such securities generally trade on a principal basis and therefore do not generate brokerage commissions. Further, the Board noted that although the Sub-Adviser may benefit from the receipt of research and other services that it may otherwise have to pay for out of its own resources, the research may also benefit the Funds to the extent it enhances the ability of the Sub-Adviser to manage the Funds or is acquired through the commissions paid on portfolio transactions of other funds or clients. | |
| Based on their review, the Board concluded that any indirect benefits received by a Fund Adviser as a result of its relationship with the Funds were reasonable and within acceptable parameters. | |
| F. | Other Considerations |
| The Board Members did not identify any single factor discussed previously as all-important or controlling. The Board Members, including the Independent Board Members, concluded that the terms of each Advisory Agreement were fair and reasonable, that the respective Fund Adviser’s fees were reasonable in light of the services provided to each Fund and that the Advisory Agreements be renewed. |
61
Board Members & Officers (Unaudited)
The management of the Funds, including general supervision of the duties performed for the Funds by the Adviser, is the responsibility of the Board of Trustees of the Funds. The number of trustees of the Funds is set at eleven. 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 1959 333 W. Wacker Drive Chicago, IL 6o6o6 |
Chairman and Board Member |
2008 Class II |
Formerly, a Co-Founding Partner, Promus Capital (2008-2017); Director, Fulcrum IT Service LLC (since 2010) and Quality Control Corporation (since 2012); member: Catalyst Schools of Chicago Board (since 2008) and Mather Foundation Board (since 2012), and chair of its Investment Committee; formerly, Director, Legal & General Investment Management America, Inc. (2008-2013); formerly, CEO and President, Northern Trust Global Investments (2004-2007): Executive Vice President, Quantitative Management & Securities Lending (2000-2004); prior thereto, various positions with Northern Trust Company (since 1994); formerly, Member, Northern Trust Mutual Funds Board (2005-2007), Northern Trust Global Investments Board (2004-2007), Northern Trust Japan Board (2004-2007), Northern Trust Securities Inc. Board (2003-2007) and Northern Trust Hong Kong Board (1997-2004). | 171 |
||||
| ■ | JACK B. EVANS 1948 333 W. Wacker Drive Chicago, IL 6o6o6 |
Board Member |
1999 Class III |
President, The Hall-Perrine Foundation, a private philanthropic corporation (since 1996); Director and Chairman, United Fire Group, a publicly held company; Director, Public Member, American Board of Orthopaedic Surgery (since 2015); Life Trustee of Coe College and the Iowa College Foundation; formerly, President Pro-Tem of the Board of Regents for the State of Iowa University System; formerly, Director, Alliant Energy and The Gazette Company; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm. | 171 |
||||
| ■ | WILLIAM C. HUNTER 1948 333 W. Wacker Drive Chicago, IL 6o6o6 |
Board Member |
2003 Class I |
Dean Emeritus, formerly, Dean, Tippie College of Business, University of Iowa (2006-2012); Director (since 2004) of Xerox Corporation; 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, 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. | 171 |
||||
| ■ | ALBIN F. MOSCHNER 1952 333 W. Wacker Drive Chicago, IL 6o6o6 |
Board Member |
2016 Class III |
Founder and Chief Executive Officer, Northcroft Partners, LLC, a management consulting firm (since 2012); Director, 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 with Zenith Electronics Corporation (1991-1996). | 171 |
||||
62
| 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 1962 333 W. Wacker Drive Chicago, IL 6o6o6 |
Board Member |
2013 Class II |
Member of Board of Directors of Core12 LLC (since 2008), a private firm which develops branding, marketing and communications strategies for clients; Director of The Curran Center for Catholic American Studies (since 2009) and The President’s Council, Fordham University (since 2010); formerly, senior external advisor to the financial services practice of Deloitte Consulting LLP (2012-2014): formerly, Chairman of the Board of Trustees of Marian University (2010 as trustee, 2011-2014 as Chairman); formerly, Chief Executive Officer of ABN AMRO N.V. North America, and Global Head of its Financial Markets Division (2007-2008); prior senior positions held at ABN AMRO include Corporate Executive Vice President and Head of Global Markets-the Americas (2006-2007), CEO of Wholesale Banking North America and Global Head of Foreign Exchange and Futures Markets (2001-2006), and Regional Commercial Treasurer and Senior Vice President Trading-North America (1996-2001); formerly, Trustee at St. Edmund Preparatory School in New York City. | 171 |
||||
| ■ | WILLIAM J. SCHNEIDER 1944 333 W. Wacker Drive Chicago, IL 6o6o6 |
Board Member |
1996 Class III |
Chairman of Miller-Valentine Partners, a real estate investment company; Board Member of WDPR Public Radio station; formerly, Senior Partner and Chief Operating Officer (retired (2004) of Miller-Valentine Group; formerly, Board member, Business Advisory Council of the Cleveland Federal Reserve Bank and University of Dayton Business School Advisory Council; past Chair and Director, Dayton Development Coalition. | 171 |
||||
| ■ | JUDITH M. STOCKDALE 1947 333 W. Wacker Drive Chicago, IL 6o6o6 |
Board Member |
1997 Class I |
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). | 171 |
||||
| ■ | CAROLE E. STONE 1947 333 W. Wacker Drive Chicago, IL 6o6o6 |
Board Member |
2007 Class I |
Former Director, Chicago Board Options Exchange, Inc. (2006-2017); and C2 Options Exchange, Incorporated (2009-2017); Director, CBOE Global Markets, Inc., formerly, CBOE Holdings, Inc. (since 2010); formerly, Commissioner, New York State Commission on Public Authority Reform (2005-2010). | 171 |
||||
| ■ | MARGARET L. WOLFF 1955 333 W. Wacker Drive Chicago, IL 6o6o6 |
Board Member |
2016 Class I |
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. | 171 |
||||
63
Board Members & Officers (Unaudited) (continued)
| 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): | |||||||||
| ■ | ROBERT L. YOUNG(2) 1963 333 W. Wacker Drive Chicago, IL 6o6o6 |
Board Member |
2017 Class II |
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). | 169 |
||||
| Interested Board Member: | |||||||||
| ■ | MARGO L. COOK(3)(4) 1964 333 W. Wacker Drive Chicago, IL 6o6o6 |
Board Member |
2016 Class III |
President (since April 2017), formerly, Co-Chief Executive Officer and Co-President (2016-2017), formerly, Senior Executive Vice President of Nuveen Investments, Inc.; President, Global Products and Solutions (since July 2017), and, Co-Chief Executive Officer (since 2015), formerly, Executive Vice President (2013-2015), of Nuveen Securities, LLC; Executive Vice President (since February 2017) of Nuveen, LLC; President (since August 2017), formerly Co-President (October 2016- August 2017), formerly, Senior Executive Vice President of Nuveen Fund Advisors, LLC (Executive Vice President since 2011); President (since 2017), Nuveen Alternative Investments, LLC; Chartered Financial Analyst. | 171 |
||||
| Name, Year of Birth & Address |
Position(s) Held with the Funds |
Year First Elected or Appointed(4) |
Principal Occupation(s) During Past 5 Years |
Number of Portfolios in Fund Complex Overseen by Officer |
|||||
| Officers of the Funds: | |||||||||
| ■ | CEDRIC H. ANTOSIEWICZ 1962 333 W. Wacker Drive Chicago, IL 6o6o6 |
Chief Administrative Officer |
2007 |
Senior Managing Director (since January 2017), formerly, Managing Director (2004-2017) of Nuveen Securities, LLC; Senior Managing Director (since February 2017), formerly, Managing Director (2014-2017) of Nuveen Fund Advisors, LLC. | 75 |
||||
| ■ | STEPHEN D. FOY 1954 333 W. Wacker Drive Chicago, IL 6o6o6 |
Vice President and Controller |
1998 |
Managing Director (since 2014), formerly, Senior Vice President (2013- 2014) and Vice President (2005-2013) of Nuveen Fund Advisors, LLC; Managing Director (since 2016) of Nuveen Securities, LLC Managing Director (since 2016) of Nuveen Alternative Investments, LLC; Certified Public Accountant. | 171 |
||||
| ■ | NATHANIEL T. JONES 1979 333 W. Wacker Drive Chicago, IL 6o6o6 |
Vice President and Treasurer |
2016 |
Managing Director (since January 2017), formerly, Senior Vice President (2016-2017), formerly, Vice President (2011-2016) of Nuveen.; Chartered Financial Analyst. | 171 |
||||
| ■ | WALTER M. KELLY 1970 333 W. Wacker Drive Chicago, IL 6o6o6 |
Chief Compliance Officer and Vice President |
2003 |
Managing Director (since January 2017), formerly, Senior Vice President (2008-2017) of Nuveen. | 171 |
||||
64
| Name, Year of Birth & Address |
Position(s) Held with the Funds |
Year First Elected or Appointed(4) |
Principal Occupation(s) During Past 5 Years |
Number of Portfolios in Fund Complex Overseen by Officer |
|||||
| Officers of the Funds (continued): | |||||||||
| ■ | DAVID J. LAMB 1963 333 W. Wacker Drive Chicago, IL 6o6o6 |
Vice President |
2015 |
Managing Director (since January 2017), formerly, Senior Vice President of Nuveen (since 2006), Vice President prior to 2006. | 75 |
||||
| ■ | TINA M. LAZAR 1961 333 W. Wacker Drive Chicago, IL 6o6o6 |
Vice President |
2002 |
Managing Director (since January 2017), formerly, Senior Vice President (2014-2017) of Nuveen Securities, LLC. | 171 |
||||
| ■ | KEVIN J. MCCARTHY 1966 333 W. Wacker Drive Chicago, IL 6o6o6 |
Vice President and Assistant Secretary |
2007 |
Senior Managing Director (since February 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 January 2017) and Assistant Secretary (since 2008) of Nuveen Securities, LLC, formerly Executive Vice President (2016-2017) and Managing Director (2008-2016); Senior Managing Director (since February 2017), Secretary (since 2016) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC, formerly, Executive Vice President (2016- 2017), Managing Director (2008-2016) and Assistant Secretary (2007-2016); Senior Managing Director (since February 2017), Secretary (since 2016) and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC, formerly Executive Vice President (2016-2017) and Managing Director and Assistant Secretary (2011-2016); Senior Managing Director (since February 2017) and Secretary (since 2016) of Nuveen Investments Advisers, LLC, formerly Executive Vice President (2016-2017); Vice President (since 2007) and Secretary (since 2016), formerly, Assistant Secretary, of NWQ Investment Management Company, LLC, Symphony Asset Management LLC, Santa Barbara Asset Management, LLC and Winslow Capital Management, LLC (since 2010). Senior Managing Director (since 2017) and Secretary (since 2016) of Nuveen Alternative Investments, LLC. | 171 |
||||
| ■ | WILLIAM T. MEYERS 1966 333 W. Wacker Drive Chicago, IL 60606 |
Vice President |
2018 |
Senior Managing Director (since 2017), formerly, Managing Director (2016-2017), Senior Vice President (2010-2016) of Nuveen Securities, 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. | 75 |
||||
| ■ | MICHAEL A. PERRY 1967 333 W. Wacker Drive Chicago, IL 6o6o6 |
Vice President |
2017 |
Executive Vice President since February 2017, previously Managing Director from October 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. | 75 |
||||
| ■ | CHRISTOPHER M. ROHRBACHER 1971 333 W. Wacker Drive Chicago, IL 6o6o6 |
Vice President and Assistant Secretary |
2008 |
Managing Director (since January 2017) of Nuveen Securities, LLC; 2008 Managing Director (since January 2017), formerly, Senior Vice President (2016-2017) and Assistant Secretary (since October 2016) of Nuveen Fund Advisors, LLC. | 171 |
||||
| ■ | WILLIAM A. SIFFERMANN 1975 333 W. Wacker Drive Chicago, IL 6o6o6 |
Vice President |
2017 |
Managing Director (since February 2017), formerly Senior Vice President (2016-2017) and Vice President (2011-2016) of Nuveen. | 171 |
||||
| ■ | JOEL T. SLAGER 1978 333 W. Wacker Drive Chicago, IL 6o6o6 |
Vice President and Assistant Secretary |
2013 |
Fund Tax Director for Nuveen Funds (since 2013); previously, Vice President of Morgan Stanley Investment Management, Inc., Assistant Treasurer of the Morgan Stanley Funds (from 2010 to 2013). | 171 |
||||
65
Board Members & Officers (Unaudited) (continued)
| Name, Year of Birth & Address |
Position(s) Held with the Funds |
Year First Elected or Appointed(4) |
Principal Occupation(s) During Past 5 Years |
Number of Portfolios in Fund Complex Overseen by Officer |
|||||
| Officers of the Funds (continued): | |||||||||
| ■ | MARK L. WINGET 1968 333 W. Wacker Drive Chicago, IL 60606 |
Vice President and Assistant Secretary |
2008 |
Vice President and Assistant Secretary of Nuveen Securities, LLC (since 2008); Vice President (since 2010) and Associate General Counsel (since 2008) of Nuveen. | 171 |
||||
| ■ | GIFFORD R. ZIMMERMAN 1956 333 W. Wacker Drive Chicago, IL 6o6o6 |
Vice President Secretary |
1988 |
Managing Director (since 2002), and Assistant Secretary of Nuveen Securities, LLC; Managing Director (since 2004) and Assistant Secretary (since 1994) of Nuveen Investments, Inc.; Managing Director (since 2002), Assistant Secretary (since 1997) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, LLC; Managing Director, Assistant Secretary and Associate General Counsel of Nuveen Asset Management, LLC (since 2011); Vice President (since February 2017), formerly, Managing Director (2003-2017) and Assistant Secretary (since 2003) of Symphony Asset Management LLC; Managing Director and Assistant Secretary (since 2002) of Nuveen Investments Advisers, LLC; Vice President and Assistant Secretary of NWQ Investment Management Company, LLC (since 2002), Santa Barbara Asset Management, LLC (since 2006), and of Winslow Capital Management, LLC, (since 2010); Chartered Financial Analyst. | 171 |
||||
| (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. |
66
Notes
67
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
| Distributed by Nuveen Securities, LLC | 333 West Wacker Drive Chicago, IL 60606 | www.nuveen.com |  |
EAN-B-0518D 543882-INV-Y-07/19
|
|
Audit Fees Billed
|
Audit-Related Fees
|
Tax Fees
|
All Other Fees
|
|||||||||||||
|
Fiscal Year Ended
|
to Fund 1
|
Billed to Fund 2
|
Billed to Fund 3
|
Billed to Fund 4
|
||||||||||||
|
May 31, 2018
|
$
|
24,610
|
$
|
0
|
$
|
0
|
$
|
0
|
||||||||
|
Percentage approved
|
0
|
%
|
0
|
%
|
0
|
%
|
0
|
%
|
||||||||
|
pursuant to
|
||||||||||||||||
|
pre-approval
|
||||||||||||||||
|
exception
|
||||||||||||||||
|
May 31, 2017
|
$
|
23,950
|
$
|
0
|
$
|
0
|
$
|
0
|
||||||||
|
Percentage approved
|
0
|
%
|
0
|
%
|
0
|
%
|
0
|
%
|
||||||||
|
pursuant to
|
||||||||||||||||
|
pre-approval
|
||||||||||||||||
|
exception
|
||||||||||||||||
|
1 “Audit Fees” are the aggregate fees billed for professional services for the audit of the Fund’s annual financial statements and services provided in
|
||||||||||||||||
|
connection with statutory and regulatory filings or engagements.
|
||||||||||||||||
|
2 “Audit Related Fees” are the aggregate fees billed for assurance and related services reasonably related to the performance of the audit or review of
|
||||||||||||||||
|
financial statements that are not reported under “Audit Fees”. These fees include offerings related to the Fund’s common shares and leverage.
|
||||||||||||||||
|
3 “Tax Fees” are the aggregate fees billed for professional services for tax advice, tax compliance, and tax planning. These fees include: all global
|
||||||||||||||||
|
withholding tax services; excise and state tax reviews; capital gain, tax equalization and taxable basis calculation performed by the principal accountant.
|
||||||||||||||||
|
4 “All Other Fees” are the aggregate fees billed for products and services other than “Audit Fees”, “Audit-Related Fees” and “Tax Fees”. These fees
|
||||||||||||||||
|
represent all engagements pertaining to the Fund’s use of leverage.
|
||||||||||||||||
SERVICES THAT THE FUND’S AUDITOR BILLED TO THE ADVISER AND AFFILIATED FUND SERVICE PROVIDERS
|
Audit-Related Fees
|
Tax Fees Billed to
|
All Other Fees
|
|
|
Billed to Adviser and
|
Adviser and
|
Billed to Adviser
|
|
|
Affiliated Fund
|
Affiliated Fund
|
and Affiliated Fund
|
|
|
Fiscal Year Ended
|
Service Providers
|
Service Providers
|
Service Providers
|
|
May 31, 2018
|
$ 0
|
$ 0
|
$ 0
|
|
Percentage approved
|
0%
|
0%
|
0%
|
|
pursuant to
|
|||
|
pre-approval
|
|||
|
exception
|
|||
|
May 31, 2017
|
$ 0
|
$ 0
|
$ 0
|
|
Percentage approved
|
0%
|
0%
|
0%
|
|
pursuant to
|
|||
|
pre-approval
|
|||
|
exception
|
|
Total Non-Audit Fees
|
||||
|
billed to Adviser and
|
||||
|
Affiliated Fund Service
|
Total Non-Audit Fees
|
|||
|
Providers (engagements
|
billed to Adviser and
|
|||
|
related directly to the
|
Affiliated Fund Service
|
|||
|
Total Non-Audit Fees
|
operations and financial
|
Providers (all other
|
||
|
Fiscal Year Ended
|
Billed to Fund
|
reporting of the Fund)
|
engagements)
|
Total
|
|
May 31, 2018
|
$ 0
|
$ 0
|
$ 0
|
$ 0
|
|
May 31, 2017
|
$ 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.
|
|
Portfolio Manager
|
Type of Account
Managed |
Number of
Accounts |
Assets*
|
|
Michael Hamilton
|
Registered Investment Company
|
11
|
$2.45 billion
|
|
|
Other Pooled Investment Vehicles
|
0
|
$0
|
|
|
Other Accounts
|
2
|
$143.8 million
|
| * |
Assets are as of May 31, 2018. None of the assets in these accounts are subject to an advisory fee based on performance.
|
|
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
|
|
Michael Hamilton
|
X
|
|
(a)
|
The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) (17 CFR 240.13a-15(b) or 240.15d-15(b)).
|
|
(b)
|
There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
|
|
(a)(1)
|
Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable because the code is posted on registrant’s website at www.nuveen.com/CEF/Shareholder/FundGovernance.aspx and there were no amendments during the period covered by this report. (To view the code, click on Code of Conduct.)
|
|
(a)(2)
|
A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT Attached hereto.
|
|
(a)(3)
|
Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable.
|
|
(b)
|
If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Ex-99.906 CERT attached hereto.
|