UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM
N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
|
|
|
| Investment Company Act file number |
|
811-05642 |
Nuveen Multi-Market Income Fund
(Exact name of registrant as specified
in charter)
Nuveen Investments
333 West Wacker Drive, Chicago, IL 60606
(Address of principal executive
offices) (Zip code)
Mark L. Winget
Nuveen Investments
333 West Wacker
Drive, Chicago, IL 60606
(Name and
address of agent for service)
Registrant’s telephone number, including area code: (312)
917-7700
Date of fiscal year
end: June 30
Date of reporting period: December 31,
2023
Form
N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the
Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policy making roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A
registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the
accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss.3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
This
semi-annual
report
contains
the
Fund's
unaudited financial
statements.
Nuveen
Multi-Market
Income
Fund
JMM
Letter
to
Shareholders
3
Important
Notices
4
Fund
Leverage
5
Common
Share
Information
6
About
the
Fund’s
Benchmark
8
Performance
Overview
and
Holding
Summaries
9
Portfolio
of
Investments
11
Statement
of
Assets
and
Liabilities
21
Statement
of
Operations
22
Statement
of
Changes
in
Net
Assets
23
Statement
of
Cash
Flows
24
Financial
Highlights
26
Notes
to
Financial
Statements
28
Risk
Considerations
36
Additional
Fund
Information
37
Glossary
of
Terms
Used
in
this
Report
38
Dear
Shareholders,
Financial
markets
spent
the
past
year
focused
on
the
direction
of
inflation
and
whether
policy
makers
would
be
able
to
deliver
a
soft
landing
in
their
economies.
After
more
than
a
year
and
a
half
of
interest
rate
increases
by
the
U.S.
Federal
Reserve
(Fed)
and
other
central
banks,
financial
conditions
have
tightened
and
inflation
rates
have
cooled
considerably.
The
Fed
increased
the
target
fed
funds
rate
from
near
zero
in
March
2022
to
a
range
of
5.25%
to
5.50%
at
its
latest
increase
in
July
2023,
then
left
the
rate
unchanged
through
January
2024.
At
its
December
2023
policy
meeting,
the
Fed
acknowledged
the
fed
funds
rate
may
have
reached
its
peak,
and
then
in
January
2024
removed
the
suggestion
that
another
hike
was
possible.
But
current
inflation
rates
remain
above
central
banks’
targets,
and
the
trajectory
from
here
is
difficult
to
predict
given
that
monetary
policy
acts
on
the
economy
with
long
and
variable
lags.
Surprisingly,
economies
were
relatively
resilient
for
much
of
2023.
The
“most
predicted
recession”
did
not
materialize
in
the
U.S.
during
2023,
while
U.K.
and
European
economic
growth
had
begun
to
show
signs
of
stagnation
or
decline
in
the
second
half
of
the
year.
U.S.
gross
domestic
product
rose
3.3%
in
the
fourth
quarter
of
2023,
slower
than
4.9%
in
the
third
quarter
but
still
ahead
of
2.1%
in
the
second
quarter
and
2.0%
in
the
first
quarter.
For
2023
overall,
GDP
grew
2.5%
(from
the
2022
annual
level
to
the
2023
annual
level),
compared
to
1.9%
in
2022.
Much
of
the
growth
was
driven
by
a
relatively
strong
jobs
market,
which
kept
consumer
sentiment
and
spending
elevated
despite
long-term
interest
rates
nearing
multi-year
highs,
a
series
of
U.S.
regional
bank
failures
and
shocks
from
flaring
geopolitical
tensions.
While
central
banks
are
likely
nearing
the
end
of
this
interest
rate
hiking
cycle,
there
are
still
upside
risks
to
inflation
and
downside
risks
to
the
economy.
Some
labor
market
and
consumer
indicators
are
softening.
Government
funding
and
deficits
remain
a
concern,
especially
as
the
U.S.
election
year
gets
underway.
The
markets
will
continue
to
try
to
anticipate
monetary
policy
shifts
as
the
Fed
evaluates
incoming
data
and
adjusts
its
rate
setting
activity
on
a
meeting-
by-meeting
basis.
Geopolitical
risks
–
from
relations
with
China,
to
wars
in
Europe
and
the
Middle
East
–
also
expand
the
range
of
outcomes
from
economies
and
markets
around
the
world.
All
these
uncertainties,
and
others,
will
remain
sources
of
short-term
market
volatility.
In
this
environment,
Nuveen
remains
committed
to
filtering
the
market
noise
for
investable
opportunities
that
ultimately
serve
long-term
investment
objectives.
Maintaining
a
long-term
perspective
is
also
important
for
investors,
and
we
encourage
you
to
review
your
time
horizon,
risk
tolerance
and
investment
goals
with
your
financial
professional.
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.
Terence
J.
Toth
Co-Chair
of
the
Board
February
22,
2024
Portfolio
Manager
Commentaries
in
Semi-annual
Shareholder
Reports
The
Fund
includes
portfolio
manager
commentary
in
its
annual
shareholder
reports.
For
the
Fund’s
most
recent
annual
portfolio
manager
discussion,
please
refer
to
the
Portfolio
Managers’
Comments
section
of
the
Fund’s
June
30,
2023
annual
shareholder
report.
For
current
information
on
your
Fund’s
investment
objectives,
portfolio
management
team
and
average
annual
total
returns
please
refer
to
the
Fund’s
website
at
www.nuveen.com.
For
changes
that
occurred
to
your
Fund
both
during
and
subsequent
to
this
reporting
period,
please
refer
to
the
Notes
to
Financial
Statements
section
of
this
report.
For
average
annual
total
returns
as
of
the
end
of
this
reporting
period,
please
refer
to
the
Performance
Overview
and
Holding
Summaries
section
within
this
report.
IMPACT
OF
THE
FUND’S
LEVERAGE
STRATEGY
ON
PERFORMANCE
One
important
factor
impacting
the
returns
of
the
Fund’s
common
shares
relative
to
its
comparative
benchmark
was
the
Fund’s
use
of
leverage
through
reverse
repurchase
agreements.
The
Fund
uses
leverage
because
our
research
has
shown
that,
over
time,
leveraging
provides
opportunities
for
additional
income.
The
opportunity
arises
when
short-term
rates
that
a
Fund
pays
on
its
leveraging
instruments
are
lower
than
the
interest
the
Fund
earns
on
its
portfolio
securities
that
it
has
bought
with
the
proceeds
of
that
leverage.
However,
use
of
leverage
can
expose
Fund
common
shares
to
additional
price
volatility.
When
the
Fund
uses
leverage,
the
Fund’s
common
shares
will
experience
a
greater
increase
in
their
net
asset
value
if
the
securities
acquired
through
the
use
of
leverage
increase
in
value,
but
will
also
experience
a
correspondingly
larger
decline
in
their
net
asset
value
if
the
securities
acquired
through
leverage
decline
in
value.
All
this
will
make
the
shares’
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.
In
recent
quarters,
fund
leverage
expenses
have
generally
tracked
the
overall
movement
of
short-term
interest
rates.
While
fund
leverage
expenses
are
higher
than
their
prior
year
lows,
leverage
nevertheless
continues
to
provide
the
opportunity
for
incremental
common
share
income,
particularly
over
longer-term
periods.
The
Fund’s
use
of
leverage
contributed
to
relative
performance
during
the
reporting
period.
In
addition,
the
Fund’s
use
of
leverage
was
accretive
to
overall
common
share
income.
As
of
December
31,
2023,
the
Fund’s
percentages
of
leverage
are
as
shown
in
the
accompanying
table.
*
Effective
leverage
is
a
Fund’s
effective
economic
leverage,
and
includes
both
regulatory
leverage
and
the
leverage
effects
of
reverse
repurchase
agreements,
certain
derivatives
and
other
investments
in
a
Fund’s
portfolio
that
increase
the
Fund’s
investment
exposure.
Regulatory
leverage
consists
of
preferred
shares
issued
or
borrowings
of
a
Fund.
Both
of
these
are
part
of
a
Fund’s
capital
structure.
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
FUND’S
LEVERAGE
Reverse
Repurchase
Agreements
As
noted
previously,
the
Fund
used
reverse
repurchase
agreements,
in
which
the
Fund
sells
to
a
counterparty
a
security
that
it
holds
with
a
contemporaneous
agreement
to
repurchase
the
same
security
at
an
agreed-upon
price
and
date.
The
Fund’s
transactions
in
reverse
repurchase
agreements
are
as
shown
in
the
accompanying
table.
Refer
to
Notes
to
Financial
Statements
for
further
details
on
reverse
repurchase
agreements
for
the
Fund.
JMM
Effective
Leverage
*
28.25%
Regulatory
Leverage
*
0.00%
Current
Reporting
Period
Subsequent
to
the
Close
of
the
Reporting
Period
Fund
Outstanding
Balance
as
of
July1,
2023
Sales
Purchases
Outstanding
Balance
as
of
December
31,
2023
Average
Balance
Outstanding
Sales
Purchases
Outstanding
Balance
as
of
February
22,
2024
JMM
$25,116,000
$82,915,000
$(83,861,000)
$24,170,000
$24,294,144
$36,470,000
$(36,206,000)
$24,434,000
DISTRIBUTION
INFORMATION
The
following
information
regarding
the
Fund’s
distributions
is
current
as
of
December
31,
2023,
the
Fund’s
fiscal
and
tax
year
end,
and
may
differ
from
previously
issued
distribution
notifications.
The
Fund’s
distribution
policy,
which
may
be
changed
by
the
Board,
is
to
make
regular
monthly
cash
distributions
to
holders
of
its
common
shares
(stated
in
terms
of
a
fixed
cents
per
common
share
dividend
distribution
rate
which
may
be
set
from
time
to
time).
The
Fund
intends
to
distribute
all
or
substantially
all
of
its
net
investment
income
each
year
through
its
regular
monthly
distribution
and
to
distribute
realized
capital
gains
at
least
annually.
In
addition,
in
any
monthly
period,
to
maintain
its
declared
per
common
share
distribution
amount,
the
Fund
may
distribute
more
or
less
than
its
net
investment
income
during
the
period.
In
the
event
the
Fund
distributes
more
than
its
net
investment
income
during
any
yearly
period,
such
distributions
may
also
include
realized
gains
and/or
a
return
of
capital.
To
the
extent
that
a
distribution
includes
a
return
of
capital
the
NAV
per
share
may
erode.
For
additional
information,
refer
to
the
distribution
information
section
below
and
in
the
Notes
to
Financial
Statements
herein.
The
following
table
provides
the
estimated
sources
of
distributions
and
may
include
amounts
attributed
to
realized
gains
and/or
returns
of
capital.
A
return
of
capital
may
occur,
for
example,
when
some
or
all
of
the
money
that
you
invested
in
a
Fund
is
paid
back
to
you.
A
return
of
capital
distribution
does
not
necessarily
reflect
a
Fund’s
investment
performance
and
should
not
be
confused
with
“yield”
or
“income.”
The
Fund
attributes
these
estimates
equally
to
each
regular
distribution
throughout
the
year.
The
amounts
and
sources
of
distributions
reported
in
this
notice
are
for
financial
reporting
purposes
and
are
not
being
provided
for
tax
reporting
purposes.
The
actual
amounts
and
character
of
the
distributions
for
tax
reporting
purposes
will
be
reported
to
shareholders
on
Form
1099-DIV,
which
will
be
sent
to
shareholders
shortly
after
calendar
year-end.
Because
distribution
source
estimates
are
updated
throughout
the
current
fiscal
year
based
on
the
Fund’s
performance,
those
estimates
may
differ
from
both
the
tax
information
reported
to
you
in
your
Fund’s
1099
statement,
as
well
as
the
ultimate
economic
sources
of
distributions
over
the
life
of
your
investment.
The
figures
in
the
table
below
provide
the
sources
of
distributions
and
may
include
amounts
attributed
to
realized
gains
and/or
returns
of
capital.
More
details
about
the
Fund’s
distributions
are
available
on
www.nuveen.com/en-us/closed-
end-funds.
NUVEEN
CLOSED-END
FUND
DISTRIBUTION
AMOUNTS
The
Nuveen
Closed-End
Funds’
monthly
and
quarterly
periodic
distributions
to
shareholders
are
posted
on
www.nuveen.com
and
can
be
found
on
Nuveen’s
enhanced
closed-end
fund
resource
page,
which
is
at
https://www.nuveen.com/resource-center-
closed-end-funds,
along
with
other
Nuveen
closed-end
fund
product
updates.
To
ensure
timely
access
to
the
latest
information,
shareholders
may
use
a
subscribe
function,
which
can
be
activated
at
this
web
page
(https://www.nuveen.com/subscriptions).
COMMON
SHARE
REPURCHASES
The
Fund's
Board
of
Trustees
authorized
an
open-market
share
repurchase
program,
allowing
the
Fund
to
repurchase
and
retire an
aggregate
of
up
to
approximately
10%
of
its
outstanding
common
shares.
During
the
current
reporting
period,
the
Fund
did
not
repurchase
any
of
its
outstanding
common
shares.
As
of
December
31,
2023,
and
since
the
inception
of
the
Fund’s
repurchase
program,
the
Fund
has
cumulatively
repurchased
and
retired
its
outstanding
common
shares
as
shown
in
the
accompanying
table.
Data
as
of
December
31,
2023
Estimated
Percentage
of
Distributions
Estimated
Per
Share
Amounts
Net
Investment
Income
Realized
Gains
Return
of
Capital
Total
Distributions
Net
Investment
Income
Realized
Gains
Return
of
Capital
93.02%
0.00%
6.98%
$0.1650
$0.1535
$0.0000
$0.0115
OTHER
SHARE
INFORMATION
As
of
December
31,
2023,
and
during
the
current
reporting
period,
the
Fund’s
common
share
price
was
trading
at
premium/
(discount)
to
its
NAV
as
shown
in
the
accompanying
table.
JMM
Common
shares
cumulatively
repurchased
and
retired
1,800
Common
shares
authorized
for
repurchase
945,000
JMM
Common
share
NAV
$6.49
Common
share
price
$5.91
Premium/(Discount)
to
NAV
(8.94)%
Average
premium/(discount)
to
NAV
(8.35)%
About
the
Fund’s
Benchmark
Bloomberg
U.S.
Corporate
High
Yield
Bond
Index:
An
index
designed
to
measure
the
performance
of
the
USD-
denominated,
fixed
rate
corporate
high
yield
bond
market.
Index
returns
assume
reinvestment
of
distributions,
but
do
not
reflect
any
applicable
sales
charges
or
management
fees.
Bloomberg
U.S.
Government/Mortgage
Bond
Index:
An
index
designed
to
measure
the
performance
of
U.S.
Treasury
securities
and
agency
mortgage-backed
securities.
Index
returns
assume
reinvestment
of
distributions,
but
do
not
reflect
any
applicable
sales
charges
or
management
fees.
JMM
Blended
Benchmark:
Consists
of:
1)
25%
Bloomberg
U.S.
Corporate
High
Yield
Bond
Index
(defined
herein),
and
2)
75%
Bloomberg
U.S.
Government/Mortgage
Bond
Index
(defined
herein).
Index
returns
assume
reinvestment
of
distributions,
but
do
not
reflect
any
applicable
sales
charges
or
management
fees.
Nuveen
Multi-Market
Income
Fund
Performance
Overview
and
Holding
Summaries
December
31,
2023
Refer
to
the
Glossary
of
Terms
Used
in
this
Report
for
further
definition
of
the
terms
used
within
this
section.
Fund
Performance*
*For
purposes
of
Fund
performance,
relative
results
are
measured
against
the
JMM
Blended
Benchmark.
The
Fund’s
Blended
Benchmark
consists
of:
1)
25%
Bloomberg
U.S.
Corporate
High
Yield
Bond
Index
and
2)
75%
Bloomberg
U.S.
Government/Mortgage
Bond
Index.
Performance
data
shown
represents
past
performance
and
does
not
predict
or
guarantee
future
results.
Current
per-
formance
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.
Daily
Common
Share
NAV
and
Share
Price
Total
Returns
as
of
December
31,
2023
Cumulative
Average
Annual
Inception
Date
6-Month
1-Year
5-Year
10-Year
JMM
at
Common
Share
NAV
12/30/88
4.44%
7.65%
1.13%
2.37%
JMM
at
Common
Share
Price
12/30/88
4.85%
6.53%
2.21%
3.38%
Bloomberg
U.S.
Government/Mortgage
Bond
Index
—
2.71%
4.45%
0.45%
1.33%
JMM
Blended
Benchmark
—
3.93%
6.65%
1.74%
2.19%
Performance
Overview
and
Holdings
Summaries
December
31,
2023
(continued)
Holdings
Summaries
as
of
December
31,
2023
This
data
relates
to
the
securities
held
in
the
Fund’s
portfolio
of
investments
as
of
the
end
of
the
reporting
period.
It
should
not
be
construed
as
a
measure
of
performance
for
the
Fund
itself.
Holdings
are
subject
to
change.
For
financial
reporting
purposes,
the
ratings
disclosed
are
the
highest
rating
given
by
one
of
the
following
national
rating
agencies:
Standard
&
Poor’s
Group,
Moody’s
Investors
Service,
Inc.
or
Fitch,
Inc.
This
treatment
of
split-rated
securities
may
differ
from
that
used
for
other
purposes,
such
as
for
Fund
investment
policies.
Credit
ratings
are
subject
to
change.
AAA,
AA,
A
and
BBB
are
investment
grade
ratings;
BB,
B,
CCC,
CC,
C
and
D
are
below-investment
grade
ratings.
Holdings
designated
N/R
are
not
rated
by
these
national
rating
agencies.
Fund
Allocation
(%
of
net
assets)
Asset-Backed
and
Mortgage-
Backed
Securities
93
.2
%
Corporate
Bonds
35
.0
%
Contingent
Capital
Securities
2
.7
%
Sovereign
Debt
1
.6
%
Variable
Rate
Senior
Loan
Interests
1
.0
%
$1,000
Par
(or
similar)
Institutional
Preferred
0
.4
%
Repurchase
Agreements
4
.2
%
Other
Assets
&
Liabilities,
Net
1.6%
Reverse
Repurchase
Agreements,
including
accrued
interest
(
39
.7
)
%
Net
Assets
100
%
Bond
Credit
Quality
(%
of
total
long-term
investments)
AAA
7.9%
AA
6.3%
A
11.3%
BBB
31.1%
BB
or
Lower
24.2%
N/R
(not
rated)
19.2%
Total
100
%
Portfolio
Composition
1
(%
of
total
investments)
Asset-Backed
and
Mortgage-
Backed
Securities
67.4%
Banks
5.0%
Equity
Real
Estate
Investment
Trusts
(REITs)
2.4%
Energy
2.4%
Materials
2.2%
Capital
Goods
1.9%
Other
15.6%
Repurchase
Agreements
3.1%
Total
100%
1
See
the
Portfolio
of
Investments
for
the
remaining
industries/sectors
comprising “Other”
and
not
listed
in
the
table
above.
Nuveen
Multi-Market
Income
Fund
Portfolio
of
Investments
December
31,
2023
(Unaudited)
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
LONG-TERM
INVESTMENTS
-
133.9%
(96.9%
of
Total
Investments)
X
–
ASSET-BACKED
AND
MORTGAGE-BACKED
SECURITIES
-
93.2%
(67.4%
of
Total
Investments)
X
57,186,962
$
104
321
Henderson
Receivables
VI
LLC,
2010
1A,
144A
9.310%
7/15/61
$
107,248
500
(b)
ACRE
Commercial
Mortgage
2021-FL4
Ltd,
(TSFR1M
reference
rate
+
2.714%
spread),
2021
FL4,
144A
8.073%
12/18/37
471,572
500
Adams
Outdoor
Advertising
LP,
2023
1,
144A
6.967%
7/15/53
506,378
500
(b)
AGL
CLO
19
Ltd,
(TSFR3M
reference
rate
+
2.750%
spread),
2022
19A,
144A
8.162%
7/21/35
501,904
400
(b)
AIMCO
CLO
Series
2017-A,
(TSFR3M
reference
rate
+
1.762%
spread),
2017
AA,
144A
7.177%
4/20/34
395,902
33
Alternative
Loan
Trust
2003-J3,
2003
J3
5.250%
11/25/33
29,170
46
Alternative
Loan
Trust
2004-J2,
2004
J2
6.500%
3/25/34
45,888
1,598
American
Homes
4
Rent
2015-SFR2
Trust,
2015
SFR2,
(I/O),
144A
0.000%
10/17/52
16
175
AMSR
2019-SFR1
Trust,
2019
SFR1,
144A
3.247%
1/19/39
161,849
12
Bayview
Financial
Mortgage
Pass-Through
Trust
2006-C,
2006
C
6.352%
11/28/36
9,941
400
Benchmark
2018-B2
Mortgage
Trust,
2018
B2
4.084%
2/15/51
354,984
1,150
Benchmark
2019-B9
Mortgage
Trust,
2019
B9
3.751%
3/15/52
1,076,897
375
(b)
BX
Trust
2023-DELC,
(TSFR1M
reference
rate
+
3.339%
spread),
2023
DELC,
144A
8.701%
5/15/38
376,606
500
CARS-DB4
LP,
2020
1A,
144A
4.520%
2/15/50
454,238
500
Carvana
Auto
Receivables
Trust
2022-P3,
2022
P3
5.540%
11/10/28
491,872
250
Century
Plaza
Towers
2019-CPT,
2019
CPT,
144A
2.997%
11/13/39
152,230
899
CF
Hippolyta
Issuer
LLC,
2020
1,
144A
2.600%
7/15/60
733,917
400
(b)
CIFC
Funding
2020-II
Ltd,
(3-Month
LIBOR
reference
rate
+
1.862%
spread),
2020
2A,
144A
7.277%
10/20/34
398,503
150
Citigroup
Commercial
Mortgage
Trust
2014-GC23,
2014
GC23
4.578%
7/10/47
139,959
425
Citigroup
Commercial
Mortgage
Trust
2015-GC29,
2015
GC29
4.138%
4/10/48
392,166
600
Citigroup
Commercial
Mortgage
Trust
2016-P5,
2016
P5,
144A
3.000%
10/10/49
358,255
450
(b)
Citigroup
Commercial
Mortgage
Trust
2018-TBR,
(TSFR1M
reference
rate
+
2.039%
spread),
2018
TBR,
144A
7.526%
12/15/36
438,530
241
Citigroup
Commercial
Mortgage
Trust
2019-GC41,
2019
GC41
3.502%
8/10/56
179,927
52
Citigroup
Global
Markets
Mortgage
Securities
VII
Inc,
2003
1,
144A
6.000%
9/25/33
32,236
500
COMM
2013-LC13
Mortgage
Trust,
144A
5.391%
8/10/46
435,151
775
COMM
2015-CCRE22
Mortgage
Trust,
2015
CR22
4.067%
3/10/48
698,971
450
COMM
2015-CCRE25
Mortgage
Trust
4.516%
8/10/48
415,463
540
COMM
2015-CCRE26
Mortgage
Trust,
2015
CR26
4.465%
10/10/48
502,685
108
COMM
2015-LC23
Mortgage
Trust,
2015
LC23
4.546%
10/10/48
98,081
35
Commonbond
Student
Loan
Trust
2017-B-GS,
2017
BGS,
144A
4.440%
9/25/42
29,824
500
(b)
Connecticut
Avenue
Securities
Trust
2022-R01,
(SOFR30A
reference
rate
+
1.900%
spread),
2022
R01,
144A
7.237%
12/25/41
501,563
560
(b)
Connecticut
Avenue
Securities
Trust
2022-R03,
(SOFR30A
reference
rate
+
6.250%
spread),
2022
R03,
144A
6.349%
3/25/42
615,135
145
(b)
Connecticut
Avenue
Securities
Trust
2022-R03,
(SOFR30A
reference
rate
+
3.500%
spread),
2022
R03,
144A
8.837%
3/25/42
151,779
400
(b)
Connecticut
Avenue
Securities
Trust
2022-R04,
(SOFR30A
reference
rate
+
3.100%
spread),
2022
R04,
144A
8.437%
3/25/42
413,497
1,000
(b)
Connecticut
Avenue
Securities
Trust
2022-R07,
(SOFR30A
reference
rate
+
4.650%
spread),
144A
9.987%
6/25/42
1,084,928
200
(b)
Connecticut
Avenue
Securities
Trust
2023-R01,
(SOFR30A
reference
rate
+
3.750%
spread),
2023
R01,
144A
9.087%
12/25/42
211,702
Nuveen
Multi-Market
Income
Fund
(continued)
Portfolio
of
Investments
December
31,
2023
(Unaudited)
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
X–
ASSET-BACKED
AND
MORTGAGE-BACKED
SECURITIES
(continued)
$
499
(b)
Credit
Suisse
Mortgage
Capital
Certificates
2019-ICE4,
(TSFR1M
reference
rate
+
1.647%
spread),
2019
ICE4,
144A
7.009%
5/15/36
$
497,255
250
CSMC
2014-USA
OA
LLC,
2014
USA,
144A
4.373%
9/15/37
118,232
89
CSMC
Mortgage-Backed
Trust
2006-7,
2006
7
6.000%
8/25/36
35,255
1,131
DB
Master
Finance
LLC,
2017
1A,
144A
4.030%
11/20/47
1,072,120
294
DB
Master
Finance
LLC,
2021
1A,
144A
2.493%
11/20/51
261,472
1,116
Domino's
Pizza
Master
Issuer
LLC,
2015
1A,
144A
4.474%
10/25/45
1,091,534
146
Domino's
Pizza
Master
Issuer
LLC,
2017
1A,
144A
4.118%
7/25/47
139,334
1,405
DRIVEN
BRANDS
FUNDING
LLC,
2019
1A,
144A
4.641%
4/20/49
1,356,769
400
(b)
Dryden
49
Senior
Loan
Fund,
(TSFR3M
reference
rate
+
1.862%
spread),
2017
49A,
144A
7.257%
7/18/30
400,352
500
(b)
Fannie
Mae
-
CAS,
(SOFR30A
reference
rate
+
3.550%
spread),
2023
R08,
144A
8.887%
10/25/43
508,119
1,500
(b)
Fannie
Mae
-
CAS,
(SOFR30A
reference
rate
+
3.350%
spread),
2023
R02,
144A
8.687%
1/25/43
1,575,517
750
(b)
Fannie
Mae
Connecticut
Avenue
Securities,
(SOFR30A
reference
rate
+
2.000%
spread),
2021
R02,
144A
2.050%
11/25/41
744,757
29
(c)
Fannie
Mae
Pool,
FN
745324
6.000%
3/01/34
29,319
22
(c)
Fannie
Mae
Pool,
FN
995018
5.500%
6/01/38
22,682
11
(c)
Fannie
Mae
Pool,
FN
828346
5.000%
7/01/35
11,656
11
(c)
Fannie
Mae
Pool,
FN
882685
6.000%
6/01/36
11,279
199
(c)
Fannie
Mae
Pool,
FN
BM5839
3.500%
11/01/47
186,355
1,979
(c)
Fannie
Mae
Pool,
FN
MA4438,
2021
1
2.500%
10/01/51
1,683,091
8
(c)
Fannie
Mae
Pool,
FN
878059
5.500%
3/01/36
8,227
6
(c)
Fannie
Mae
Pool,
FN
709700
5.500%
6/01/33
6,049
394
(c)
Fannie
Mae
Pool,
FN
MA4919
5.500%
2/01/53
395,384
34
(c)
Fannie
Mae
Pool,
FN
766070
5.500%
2/01/34
34,799
298
(c)
Fannie
Mae
Pool,
FN
AW4182
3.500%
2/01/44
279,390
2,898
(c)
Fannie
Mae
Pool,
FN
CB3234
3.000%
4/01/52
2,577,491
597
(c)
Fannie
Mae
Pool,
FN
MA4783
4.000%
10/01/52
564,884
706
(c)
Fannie
Mae
Pool,
FN
BM5126
3.500%
1/01/48
662,158
455
(c)
Fannie
Mae
Pool,
FN
MA4644,
2022
1
4.000%
5/01/52
430,813
507
(c)
Fannie
Mae
Pool,
FN
MA3305
3.500%
3/01/48
472,658
540
(c)
Fannie
Mae
Pool,
FN
MA4733
4.500%
9/01/52
523,384
45
Fannie
Mae
REMIC
Trust
2002-W1,
2002
W1
4.664%
2/25/42
43,646
251
Fannie
Mae
REMIC
Trust
2003-W1,
2003
W1
2.479%
12/25/42
125,448
655
(c)
Freddie
Mac
Gold
Pool,
FG
G60138
3.500%
8/01/45
617,108
6
(c)
Freddie
Mac
Gold
Pool,
FG
C00676
6.500%
11/01/28
6,434
397
(c)
Freddie
Mac
Gold
Pool,
FG
Q40718
3.500%
5/01/46
371,059
377
(c)
Freddie
Mac
Gold
Pool,
FG
G18497
3.000%
1/01/29
364,374
275
(c)
Freddie
Mac
Gold
Pool,
FG
G08566
3.500%
1/01/44
258,491
966
(c)
Freddie
Mac
Gold
Pool,
FG
G08528
3.000%
4/01/43
889,133
590
(c)
Freddie
Mac
Gold
Pool,
FG
Q40841
3.000%
6/01/46
539,034
394
(c)
Freddie
Mac
Pool,
FR
RA7402
3.500%
5/01/52
362,424
1,734
(c)
Freddie
Mac
Pool,
FR
RA6766
2.500%
2/01/52
1,489,415
266
(b)
Freddie
Mac
STACR
REMIC
Trust
2021-HQA1,
(SOFR30A
reference
rate
+
2.250%
spread),
2021
HQA1,
144A
7.587%
8/25/33
265,326
750
(b)
Freddie
Mac
STACR
REMIC
Trust
2022-DNA2,
(SOFR30A
reference
rate
+
2.400%
spread),
2022
DNA2,
144A
7.737%
2/25/42
760,234
410
(b)
Freddie
Mac
STACR
REMIC
Trust
2022-DNA3,
(SOFR30A
reference
rate
+
2.900%
spread),
2022
DNA3,
144A
8.237%
4/25/42
421,802
750
(b)
Freddie
Mac
STACR
REMIC
Trust
2022-DNA4,
(SOFR30A
reference
rate
+
3.350%
spread),
2022
DNA4,
144A
8.687%
5/25/42
781,438
500
Frontier
Issuer
LLC,
2023
1,
144A
6.600%
8/20/53
497,408
37
(c)
Ginnie
Mae
I
Pool,
GN
631574
6.000%
7/15/34
38,573
66
(c)
Ginnie
Mae
I
Pool,
GN
604567
5.500%
8/15/33
65,531
642
(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
(TSFR1M
reference
rate
+
1.197%
spread),
2018
TWR,
144A
6.559%
7/15/31
535,283
44
GSMPS
Mortgage
Loan
Trust
2001-2,
2001
2,
144A
7.500%
6/19/32
40,825
317
GSMPS
Mortgage
Loan
Trust
2003-3,
2003
3,
144A
7.000%
6/25/43
323,746
241
GSMPS
Mortgage
Loan
Trust
2005-RP1,
2005
RP1,
144A
8.500%
1/25/35
243,792
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
X–
ASSET-BACKED
AND
MORTGAGE-BACKED
SECURITIES
(continued)
$
335
GSMPS
Mortgage
Loan
Trust
2005-RP2,
2005
RP2,
144A
7.500%
3/25/35
$
324,003
313
GSMPS
Mortgage
Loan
Trust
2005-RP3,
2005
RP3,
144A
7.500%
9/25/35
308,132
199
GSMPS
Mortgage
Loan
Trust
2005-RP3,
2005
RP3,
144A
8.000%
9/25/35
192,588
485
Hardee's
Funding
LLC,
2020
1A,
144A
3.981%
12/20/50
426,034
600
Hertz
Vehicle
Financing
III
LP,
2021
2A,
144A
1.680%
12/27/27
543,371
500
Hudson
Yards
2019-55HY
Mortgage
Trust,
2019
55HY,
144A
2.943%
12/10/41
412,877
105
Impac
Secured
Assets
CMN
Owner
Trust,
2000
3
8.000%
10/25/30
94,758
371
J.G.
Wentworth
XXXVII
LLC,
2016
1A,
144A
5.190%
6/17/69
331,392
430
J.P.
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2018-AON,
2018
AON,
144A
4.613%
7/05/31
247,196
618
JGWPT
XXV
LLC,
2012
1A,
144A
7.140%
2/15/67
616,760
255
JGWPT
XXVI
LLC,
2012
2A,
144A
6.770%
10/17/61
251,039
188
JP
Morgan
Alternative
Loan
Trust
2006-S1,
2006
S1
6.500%
3/25/36
109,069
500
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2016-JP4,
2016
JP4,
144A
3.380%
12/15/49
318,849
368
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2019-ICON
UES,
2019
UES,
144A
4.343%
5/05/32
356,205
500
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2020-NNN,
2020
NNN,
144A
3.620%
1/16/37
265,308
697
JPMDB
Commercial
Mortgage
Securities
Trust
2016-C4,
2016
C4
3.043%
12/15/49
473,001
500
JPMDB
Commercial
Mortgage
Securities
Trust
2017-C7,
2017
C7,
144A
3.000%
10/15/50
251,713
400
Manhattan
West
2020-1MW
Mortgage
Trust,
2020
1MW,
144A
2.335%
9/10/39
337,539
206
MASTR
Alternative
Loan
Trust
2004-1,
2004
1
7.000%
1/25/34
202,128
135
MASTR
Alternative
Loan
Trust
2004-5,
2004
5
7.000%
6/25/34
135,852
87
MASTR
Asset
Securitization
Trust
2003-11,
2003
11
5.250%
12/25/33
84,782
245
Mid-State
Capital
Corp
2005-1
Trust,
2005
1
5.745%
1/15/40
241,629
86
Mid-State
Trust
XI,
2003
11
5.598%
7/15/38
85,648
530
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2014-
C14,
2014
C14
4.847%
2/15/47
526,991
250
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2015-
C20,
2015
C20
4.454%
2/15/48
230,172
500
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2016-
C28,
2016
C28
4.602%
1/15/49
419,759
32
Morgan
Stanley
Mortgage
Loan
Trust
2006-2,
2006
2
5.750%
2/25/36
29,340
500
MSCG
Trust
2015-ALDR,
144A
3.462%
6/07/35
427,858
301
MVW
2022-1
LLC,
2022
1A,
144A
4.150%
11/21/39
291,485
1,000
(b)
Natixis
Commercial
Mortgage
Securities
Trust
2019-MILE,
(TSFR1M
reference
rate
+
2.829%
spread),
144A
8.191%
7/15/36
757,986
400
(b)
Neuberger
Berman
Loan
Advisers
CLO
31
Ltd,
(TSFR3M
reference
rate
+
1.812%
spread),
2019
31A,
144A
7.227%
4/20/31
398,260
500
(b)
Neuberger
Berman
Loan
Advisers
CLO
48
Ltd,
(TSFR3M
reference
rate
+
1.800%
spread),
2022
48A,
144A
7.178%
4/25/36
496,969
260
New
Residential
Mortgage
Loan
Trust
2014-1,
2014
1A,
144A
5.997%
1/25/54
254,479
477
New
Residential
Mortgage
Loan
Trust
2015-2,
2015
2A,
144A
5.353%
8/25/55
460,897
236
Planet
Fitness
Master
Issuer
LLC,
2022
1A,
144A
3.251%
12/05/51
218,464
474
Planet
Fitness
Master
Issuer
LLC,
2018
1A,
144A
4.666%
9/05/48
462,218
817
(b)
PNMAC
GMSR
ISSUER
TRUST
2018-GT2,
(TSFR1M
reference
rate
+
3.515%
spread),
2018
GT2,
144A
8.871%
8/25/25
818,360
485
RBS
Commercial
Funding
Inc
2013-SMV
Trust,
2013
SMV,
144A
3.584%
3/11/31
418,880
488
SERVPRO
Master
Issuer
LLC,
2021
1A,
144A
2.394%
4/25/51
418,762
268
Sesac
Finance
LLC,
2019
1,
144A
5.216%
7/25/49
260,595
40
Sierra
Timeshare
2019-3
Receivables
Funding
LLC,
144A
4.180%
8/20/36
38,405
148
Sierra
Timeshare
2020-2
Receivables
Funding
LLC,
2020
2A,
144A
3.510%
7/20/37
142,174
135
SLG
Office
Trust
2021-OVA,
2021
OVA,
144A
2.851%
7/15/41
105,654
Nuveen
Multi-Market
Income
Fund
(continued)
Portfolio
of
Investments
December
31,
2023
(Unaudited)
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
X–
ASSET-BACKED
AND
MORTGAGE-BACKED
SECURITIES
(continued)
$
372
Sonic
Capital
LLC,
2020
1A,
144A
3.845%
1/20/50
$
350,406
350
Stack
Infrastructure
Issuer
LLC,
2020
1A,
144A
1.893%
8/25/45
324,003
220
Start
II
LTD,
2019
1,
144A
5.095%
3/15/44
190,782
55
Structured
Receivables
Finance
2010-A
LLC,
2010
A,
144A
5.218%
1/16/46
54,699
295
Taco
Bell
Funding
LLC,
2021
1A,
144A
1.946%
8/25/51
264,156
648
Taco
Bell
Funding
LLC,
2021
1A,
144A
2.294%
8/25/51
556,438
586
Taco
Bell
Funding
LLC,
2016
1A,
144A
4.970%
5/25/46
576,869
250
VB-S1
Issuer
LLC
-
VBTEL,
2022
1A,
144A
4.288%
2/15/52
225,280
250
VNDO
Trust
2016-350P,
2016
350P,
144A
3.903%
1/10/35
231,616
8
Washington
Mutual
MSC
Mortgage
Pass-Through
Certificates
Series
2004-RA3
Trust,
2004
RA3
5.707%
8/25/38
7,365
195
Wells
Fargo
Commercial
Mortgage
Trust
2016-C33,
2016
C33
3.896%
3/15/59
166,561
500
Wells
Fargo
Commercial
Mortgage
Trust
2017-C38,
2017
C38
3.903%
7/15/50
423,915
565
Wendy's
Funding
LLC,
2021
1A,
144A
2.370%
6/15/51
487,523
390
Wendy's
Funding
LLC,
2018
1A,
144A
3.884%
3/15/48
362,354
450
Wendy's
Funding
LLC,
2019
1A,
144A
3.783%
6/15/49
429,310
985
Wingstop
Funding
LLC,
2020
1A,
144A
2.841%
12/05/50
885,790
176
ZAXBY'S
FUNDING
LLC,
2021
1A,
144A
3.238%
7/30/51
152,488
Total
Asset-Backed
and
Mortgage-Backed
Securities
(cost
$62,088,596)
57,186,962
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
X
–
CORPORATE
BONDS
-
35
.0
%
(
25
.4
%
of
Total
Investments)
X
21,513,619
Automobiles
&
Components
-
1.4%
$
50
Dana
Inc
4.250%
9/01/30
$
44,316
175
(c)
Ford
Motor
Co
3.250%
2/12/32
145,548
200
(c)
Ford
Motor
Credit
Co
LLC
6.950%
3/06/26
204,891
400
(c)
General
Motors
Financial
Co
Inc
3.600%
6/21/30
363,020
100
(c)
Goodyear
Tire
&
Rubber
Co/The
5.250%
4/30/31
91,504
Total
Automobiles
&
Components
849,279
Banks
-
4.4%
400
Banco
Santander
SA
2.749%
12/03/30
332,039
775
(c)
Bank
of
America
Corp
1.898%
7/23/31
633,999
60
Citigroup
Inc
6.174%
5/25/34
62,086
200
Intesa
Sanpaolo
SpA,
144A
6.625%
6/20/33
204,947
400
(c)
JPMorgan
Chase
&
Co
2.580%
4/22/32
338,334
300
JPMorgan
Chase
&
Co
3.650%
9/01/72
274,540
295
M&T
Bank
Corp
3.500%
3/01/72
216,491
300
Truist
Financial
Corp
4.800%
3/01/72
275,803
400
Wells
Fargo
&
Co
3.900%
3/15/72
369,583
Total
Banks
2,707,822
Capital
Goods
-
2.2%
455
(c)
Albion
Financing
2SARL,
144A
8.750%
4/15/27
443,625
350
(c)
Boeing
Co/The
3.250%
2/01/28
332,073
200
(c)
Boeing
Co/The
3.625%
2/01/31
185,758
65
Chart
Industries
Inc,
144A
9.500%
1/01/31
70,601
60
Chart
Industries
Inc,
144A
7.500%
1/01/30
62,715
100
H&E
Equipment
Services
Inc,
144A
3.875%
12/15/28
90,932
50
WESCO
Distribution
Inc,
144A
7.250%
6/15/28
51,391
135
(c)
Windsor
Holdings
III
LLC,
144A
8.500%
6/15/30
141,079
Total
Capital
Goods
1,378,174
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
Commercial
&
Professional
Services
-
0.9%
$
100
(c)
GFL
Environmental
Inc,
144A
4.250%
6/01/25
$
98,522
150
(c)
MPH
Acquisition
Holdings
LLC,
144A
5.500%
9/01/28
134,311
200
(c)
Prime
Security
Services
Borrower
LLC
/
Prime
Finance
Inc,
144A
5.750%
4/15/26
201,083
100
Prime
Security
Services
Borrower
LLC
/
Prime
Finance
Inc,
144A
6.250%
1/15/28
99,417
Total
Commercial
&
Professional
Services
533,333
Consumer
Discretionary
Distribution
&
Retail
-
1.8%
365
(c)
Asbury
Automotive
Group
Inc,
144A
4.625%
11/15/29
337,844
325
(c)
Asbury
Automotive
Group
Inc,
144A
5.000%
2/15/32
295,361
50
Bath
&
Body
Works
Inc,
144A
6.625%
10/01/30
51,103
75
LCM
Investments
Holdings
II
LLC,
144A
4.875%
5/01/29
69,669
500
Michaels
Cos
Inc/The,
144A
7.875%
5/01/29
314,795
50
Michaels
Cos
Inc/The,
144A
5.250%
5/01/28
39,529
Total
Consumer
Discretionary
Distribution
&
Retail
1,108,301
Energy
-
3.4%
250
(c)
Archrock
Partners
LP
/
Archrock
Partners
Finance
Corp,
144A
6.875%
4/01/27
250,625
90
Civitas
Resources
Inc,
144A
8.375%
7/01/28
93,955
55
Civitas
Resources
Inc,
144A
8.750%
7/01/31
58,550
35
DT
Midstream
Inc,
144A
4.125%
6/15/29
32,199
30
DT
Midstream
Inc,
144A
4.375%
6/15/31
27,061
100
(c)
EnLink
Midstream
LLC
5.375%
6/01/29
97,846
200
(c)
Genesis
Energy
LP
/
Genesis
Energy
Finance
Corp
6.250%
5/15/26
199,763
200
(c)
MEG
Energy
Corp,
144A
5.875%
2/01/29
194,328
400
(c)
MPLX
LP
4.800%
2/15/29
397,145
125
(c)
Parkland
Corp,
144A
4.500%
10/01/29
114,559
315
(c)
Parkland
Corp/Canada,
144A
4.625%
5/01/30
289,800
200
(c)
USA
Compression
Partners
LP
/
USA
Compression
Finance
Corp
6.875%
4/01/26
199,156
110
(c)
Venture
Global
LNG
Inc,
144A
8.125%
6/01/28
111,089
Total
Energy
2,066,076
Equity
Real
Estate
Investment
Trusts
(REITs)
-
3.4%
650
(c)
Brixmor
Operating
Partnership
LP
4.050%
7/01/30
607,393
200
(c)
Essential
Properties
LP
2.950%
7/15/31
157,277
500
(c)
GLP
Capital
LP
/
GLP
Financing
II
Inc
4.000%
1/15/30
456,240
250
(c)
Iron
Mountain
Inc,
144A
5.250%
3/15/28
243,062
75
Iron
Mountain
Inc,
144A
4.500%
2/15/31
67,914
100
(c)
Kite
Realty
Group
Trust
4.750%
9/15/30
94,164
325
(c)
MPT
Operating
Partnership
LP
/
MPT
Finance
Corp
3.500%
3/15/31
203,199
250
(c)
SITE
Centers
Corp
4.250%
2/01/26
243,678
Total
Equity
Real
Estate
Investment
Trusts
(REITs)
2,072,927
Financial
Services
-
1.8%
300
American
Express
Co
3.550%
9/15/72
257,190
300
Bank
of
New
York
Mellon
Corp/The
4.700%
9/20/72
292,358
250
(c)
Compass
Group
Diversified
Holdings
LLC,
144A
5.250%
4/15/29
236,155
250
(c)
Goldman
Sachs
Group
Inc/The
1.992%
1/27/32
201,997
170
(c)
OneMain
Finance
Corp
3.500%
1/15/27
157,326
Total
Financial
Services
1,145,026
Food,
Beverage
&
Tobacco
-
1.0%
400
(c)
BAT
Capital
Corp
2.726%
3/25/31
335,448
250
(c)
Chobani
LLC
/
Chobani
Finance
Corp
Inc,
144A
4.625%
11/15/28
233,702
75
Primo
Water
Holdings
Inc,
144A
4.375%
4/30/29
69,105
Total
Food,
Beverage
&
Tobacco
638,255
Nuveen
Multi-Market
Income
Fund
(continued)
Portfolio
of
Investments
December
31,
2023
(Unaudited)
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
Health
Care
Equipment
&
Services
-
0.7%
$
50
CHS/Community
Health
Systems
Inc,
144A
5.625%
3/15/27
$
46,457
100
(c)
DaVita
Inc,
144A
4.625%
6/01/30
87,239
300
(c)
Tenet
Healthcare
Corp
4.375%
1/15/30
278,022
Total
Health
Care
Equipment
&
Services
411,718
Household
&
Personal
Products
-
0.1%
50
Kronos
Acquisition
Holdings
Inc
/
KIK
Custom
Products
Inc,
144A
5.000%
12/31/26
48,750
Total
Household
&
Personal
Products
48,750
Insurance
-
0.5%
300
(b)
Vitality
Re
XIV
Ltd
(3-Month
U.S.
Treasury
Bill
reference
rate
+
3.500%
spread),
144A
8.854%
1/05/27
299,850
Total
Insurance
299,850
Materials
-
2.8%
200
(c)
Ardagh
Metal
Packaging
Finance
USA
LLC
/
Ardagh
Metal
Packaging
Finance
PLC,
144A
3.250%
9/01/28
174,965
250
(c)
Constellium
SE,
144A
3.750%
4/15/29
226,840
240
(c)
EverArc
Escrow
Sarl,
144A
5.000%
10/30/29
208,200
375
(c)
NOVA
Chemicals
Corp,
144A
5.000%
5/01/25
365,697
60
Owens-Brockway
Glass
Container
Inc,
144A
7.250%
5/15/31
60,833
60
Sealed
Air
Corp/Sealed
Air
Corp
US,
144A
7.250%
2/15/31
63,618
50
Summit
Materials
LLC
/
Summit
Materials
Finance
Corp,
144A
7.250%
1/15/31
52,685
500
(c)
SunCoke
Energy
Inc,
144A
4.875%
6/30/29
449,709
120
(c)
Tronox
Inc,
144A
4.625%
3/15/29
106,296
Total
Materials
1,708,843
Media
&
Entertainment
-
2.1%
42
Cinemark
USA
Inc,
144A
8.750%
5/01/25
42,210
200
(c)
CSC
Holdings
LLC,
144A
11.250%
5/15/28
206,072
50
Directv
Financing
LLC
/
Directv
Financing
Co-Obligor
Inc,
144A
5.875%
8/15/27
46,979
325
(c)
Gray
Television
Inc,
144A
4.750%
10/15/30
244,644
200
(c)
LCPR
Senior
Secured
Financing
DAC,
144A
5.125%
7/15/29
174,227
135
(c)
Sirius
XM
Radio
Inc,
144A
4.000%
7/15/28
124,854
30
Sirius
XM
Radio
Inc,
144A
3.125%
9/01/26
28,190
75
Univision
Communications
Inc,
144A
4.500%
5/01/29
66,919
200
VZ
Secured
Financing
BV,
144A
5.000%
1/15/32
170,744
235
(c)
Warnermedia
Holdings
Inc
4.279%
3/15/32
215,073
Total
Media
&
Entertainment
1,319,912
Pharmaceuticals,
Biotechnology
&
Life
Sciences
-
1.3%
340
(c)
Avantor
Funding
Inc,
144A
3.875%
11/01/29
308,760
75
Avantor
Funding
Inc,
144A
4.625%
7/15/28
72,486
200
(c)
Organon
&
Co
/
Organon
Foreign
Debt
Co-Issuer
BV,
144A
5.125%
4/30/31
170,969
220
(c)
Teva
Pharmaceutical
Finance
Netherlands
III
BV
6.750%
3/01/28
224,840
Total
Pharmaceuticals,
Biotechnology
&
Life
Sciences
777,055
Real
Estate
Management
&
Development
-
0.5%
325
(c)
Kennedy-Wilson
Inc
5.000%
3/01/31
258,050
75
Kennedy-Wilson
Inc
4.750%
3/01/29
62,619
Total
Real
Estate
Management
&
Development
320,669
Semiconductors
&
Semiconductor
Equipment
-
0.4%
300
(c)
Broadcom
Inc,
144A
2.450%
2/15/31
256,519
Total
Semiconductors
&
Semiconductor
Equipment
256,519
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
Software
&
Services
-
1.5%
$
500
(c)
Ahead
DB
Holdings
LLC,
144A
6.625%
5/01/28
$
435,625
250
CA
Magnum
Holdings,
144A
5.375%
10/31/26
232,500
285
(c)
Open
Text
Corp,
144A
3.875%
12/01/29
255,598
Total
Software
&
Services
923,723
Technology
Hardware
&
Equipment
-
0.8%
200
(c)
Imola
Merger
Corp,
144A
4.750%
5/15/29
190,021
350
(c)
T-Mobile
USA
Inc
2.250%
11/15/31
291,410
Total
Technology
Hardware
&
Equipment
481,431
Telecommunication
Services
-
1.4%
550
(c)
AT&T
Inc
2.750%
6/01/31
482,172
200
(c)
Iliad
Holding
SASU,
144A
6.500%
10/15/26
199,609
200
(c)
Vmed
O2
UK
Financing
I
PLC,
144A
4.750%
7/15/31
178,521
Total
Telecommunication
Services
860,302
Transportation
-
0.1%
100
(c)
Cargo
Aircraft
Management
Inc,
144A
4.750%
2/01/28
91,521
Total
Transportation
91,521
Utilities
-
2.5%
100
Ferrellgas
LP
/
Ferrellgas
Finance
Corp,
144A
5.875%
4/01/29
94,466
75
Ferrellgas
LP
/
Ferrellgas
Finance
Corp,
144A
5.375%
4/01/26
73,398
200
(c)
Georgia
Power
Co
4.650%
5/16/28
201,529
200
(c)
Suburban
Propane
Partners
LP/Suburban
Energy
Finance
Corp
5.875%
3/01/27
198,994
475
(c)
Superior
Plus
LP
/
Superior
General
Partner
Inc,
144A
4.500%
3/15/29
440,453
190
(c)
Talen
Energy
Supply
LLC,
144A
8.625%
6/01/30
201,881
300
(c)
Virginia
Electric
and
Power
Co
5.000%
4/01/33
303,412
Total
Utilities
1,514,133
Total
Corporate
Bonds
(cost
$23,844,140)
21,513,619
Principal
Amount
(000)
Description
(a)
,(d)
Coupon
Maturity
Value
X
–
CONTINGENT
CAPITAL
SECURITIES
-
2
.7
%
(
2
.0
%
of
Total
Investments)
X
1,688,021
Banks
-
2.0%
$
200
Banco
Bilbao
Vizcaya
Argentaria
SA
9.375%
N/A
(e)
$
213,918
200
Banco
Santander
SA
4.750%
N/A
(e)
168,548
250
Intesa
Sanpaolo
SpA,
144A
7.700%
N/A
(e)
245,652
200
Lloyds
Banking
Group
PLC
7.500%
N/A
(e)
195,858
200
Societe
Generale
SA,
144A
8.000%
N/A
(e)
199,851
250
UniCredit
SpA,
Reg
S
8.000%
N/A
(e)
248,500
Total
Banks
1,272,327
Financial
Services
-
0.7%
200
UBS
Group
AG,
144A
9.250%
N/A
(e)
215,756
200
UBS
Group
AG,
144A
7.000%
N/A
(e)
199,938
Total
Financial
Services
415,694
Total
Contingent
Capital
Securities
(cost
$1,704,767)
1,688,021
Nuveen
Multi-Market
Income
Fund
(continued)
Portfolio
of
Investments
December
31,
2023
(Unaudited)
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
X
–
SOVEREIGN
DEBT
-
1
.6
%
(
1
.1
%
of
Total
Investments)
X
960,877
Bahrain
-
0.4%
$
250
Bahrain
Government
International
Bond,
144A
7.000%
10/12/28
$
260,000
Total
Bahrain
260,000
Egypt
-
0.6%
400
Egypt
Government
International
Bond,
144A
5.875%
6/11/25
371,954
Total
Egypt
371,954
El
Salvador
-
0.2%
100
El
Salvador
Government
International
Bond,
144A
5.875%
1/30/25
93,623
Total
El
Salvador
93,623
Turkey
-
0.4%
250
Turkey
Government
International
Bond
5.950%
1/15/31
235,300
Total
Turkey
235,300
Total
Sovereign
Debt
(cost
$1,003,928)
960,877
Principal
Amount
(000)
Description
(a)
Coupon
(f)
Reference
Rate
(f)
Spread
(f)
Maturity
(g)
Value
X
–
VARIABLE
RATE
SENIOR
LOAN
INTERESTS
-
1
.0
%
(
0
.7
%
of
Total
Investments)
(f)
X
600,651
Capital
Goods
-
0.4%
$
244
Core
&
Main
LP,
Term
Loan
B
8.006%
TSFR2M
+
SOFR30A
2.500%
6/10/28
$
244,201
Total
Capital
Goods
244,201
Insurance
-
0.3%
161
Alliant
Holdings
Intermediate,
LLC,
Term
Loan
B4
8.970%
1-Month
LIBOR
3.500%
11/08/27
161,928
Total
Insurance
161,928
Materials
-
0.3%
195
INEOS
Quattro
Holdings
UK
Ltd,
Term
Loan
B,
First
Lien
9.706%
SOFR30A
4.250%
4/02/29
194,522
Total
Materials
194,522
Total
Variable
Rate
Senior
Loan
Interests
(cost
$599,431)
600,651
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
X
–
$1,000
PAR
(OR
SIMILAR)
INSTITUTIONAL
PREFERRED
-
0
.4
%
(
0
.3
%
of
Total
Investments)
X
255,275
Banks
-
0.4%
$
250
Citigroup
Inc
7.625%
N/A
(e)
$
255,275
Total
Banks
255,275
Total
$1,000
Par
(or
similar)
Institutional
Preferred
(cost
$249,075)
255,275
Total
Long-Term
Investments
(cost
$89,489,937)
82,205,405
Investments
in
Derivatives
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
SHORT-TERM
INVESTMENTS
-
4.2% (3.1%
of
Total
Investments)
X
–
REPURCHASE
AGREEMENTS
-
4
.2
%
(
3
.1
%
of
Total
Investments)
X
2,600,000
$
2,600
(h)
Fixed
Income
Clearing
Corp
(FICC)
5.310%
1/02/24
$
2,600,000
Total
Repurchase
Agreements
(cost
$2,600,000)
2,600,000
Total
Short-Term
Investments
(cost
$2,600,000)
2,600,000
Total
Investments
(cost
$
92,089,937
)
-
138
.1
%
84,805,405
Reverse
Repurchase
Agreements,
including
accrued
interest
-
(39.7)%(i)
(
24,395,128
)
Other
Assets
&
Liabilities,
Net
-
1.6%
979,960
Net
Assets
Applicable
to
Common
Shares
-
100%
$
61,390,237
Interest
Rate
Swaps
-
OTC
Uncleared
Counterparty
Notional
Amount
Fund
Pay/Receive
Floating
Rate
Floating
Rate
Index
Fixed
Rate
(Annualized)
Fixed
Rate
Payment
Frequency
Effective
Date
(j)
Optional
Termination
Date
Maturity
Date
Value
Unrealized
Appreciation
(Depreciation)
Morgan
Stanley
Capital
Services
LLC
$
17,000,000
Receive
1-Month
LIBOR
1.994%
Monthly
6/01/18
7/01/25
7/01/27
$
604,913
$
604,913
Futures
Contracts
-
Long
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
U.S.
Treasury
Ultra
10-Year
Note
20
3/24
$
2,257,854
$
2,360,313
$
102,459
U.S.
Treasury
Ultra
Bond
48
3/24
5,852,106
6,412,500
560,394
Total
$8,109,960
$8,772,813
$662,853
For
Fund
portfolio
compliance
purposes,
the
Fund’s
industry
classifications
refer
to
any
one
or
more
of
the
industry
sub-classifications
used
by
one
or
more
widely
recognized
market
indexes
or
ratings
group
indexes,
and/or
as
defined
by
Fund
management.
This
definition
may
not
apply
for
purposes
of
this
report,
which
may
combine
industry
sub-classifications
into
sectors
for
reporting
ease.
(a)
All
percentages
shown
in
the
Portfolio
of
Investments
are
based
on
net
assets
applicable
to
common
shares
unless
otherwise
noted.
(b)
Variable
rate
security.
The
rate
shown
is
the
coupon
as
of
the
end
of
the
reporting
period.
(c)
Investment,
or
portion
of
investment,
has
been
pledged
to
collateralize
the
net
payment
obligations
for
investments
in
reverse
repurchase
agreements.
As
of
the
end
of
the
reporting
period,
investments
with
a
value
of
$78,057,278
have
been
pledged
as
collateral
for
reverse
repurchase
agreements.
(d)
Contingent
Capital
Securities
(“CoCos”)
are
hybrid
securities
with
loss
absorption
characteristics
built
into
the
terms
of
the
security
for
the
benefit
of
the
issuer.
For
example,
the
terms
may
specify
an
automatic
write-down
of
principal
or
a
mandatory
conversion
into
the
issuer’s
common
stock
under
certain
adverse
circumstances,
such
as
the
issuer’s
capital
ratio
falling
below
a
specified
level.
(e)
Perpetual
security.
Maturity
date
is
not
applicable.
(f)
Senior
loans
generally
pay
interest
at
rates
which
are
periodically
adjusted
by
reference
to
a
base
short-term,
floating
lending
rate
(Reference
Rate)
plus
an
assigned
fixed
rate
(Spread).
These
floating
lending
rates
are
generally
(i)
the
lending
rate
referenced
by
the
London
Inter-Bank
Offered
Rate
("LIBOR"),
or
(ii)
the
prime
rate
offered
by
one
or
more
major
United
States
banks.
Senior
loans
may
be
considered
restricted
in
that
the
Fund
ordinarily
is
contractually
obligated
to
receive
approval
from
the
agent
bank
and/or
borrower
prior
to
the
disposition
of
a
senior
loan.
The
rate
shown
is
the
coupon
as
of
the
end
of
the
reporting
period.
(g)
Senior
loans
generally
are
subject
to
mandatory
and/or
optional
prepayment.
Because
of
these
mandatory
prepayment
conditions
and
because
there
may
be
significant
economic
incentives
for
a
borrower
to
prepay,
prepayments
of
senior
loans
may
occur.
As
a
result,
the
actual
remaining
maturity
of
senior
loans
held
may
be
substantially
less
than
the
stated
maturities
shown.
(h)
Agreement
with
Fixed
Income
Clearing
Corporation,
5.310%
dated
12/29/23
to
be
repurchased
at
$2,601,534
on
1/2/24,
collateralized
by
Government
Agency
Securities,
with
coupon
rate
1.875%
and
maturity
date
11/15/51,
valued
at
$2,652,005.
(i)
Reverse
Repurchase
Agreements,
including
accrued
interest
as
a
percentage
of
Total
investments
is
28.8%.
(j)
Effective
date
represents
the
date
on
which
both
the
Fund
and
counterparty
commence
interest
payment
accruals
on
each
contract.
Nuveen
Multi-Market
Income
Fund
(continued)
Portfolio
of
Investments
December
31,
2023
(Unaudited)
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.
I/O
Interest
only
security
LIBOR
London
Inter-Bank
Offered
Rate
Reg
S
Regulation
S
allows
U.S.
companies
to
sell
securities
to
persons
or
entities
located
outside
of
the
United
States
without
registering
those
securities
with
the
Securities
and
Exchange
Commission.
Specifically,
Regulation
S
provides
a
safe
harbor
from
the
registration
requirements
of
the
Securities
Act
for
the
offers
and
sales
of
securities
by
both
foreign
and
domestic
issuers
that
are
made
outside
the
United
States.
REIT
Real
Estate
Investment
Trust
SOFR
30A
30
Day
Average
Secured
Overnight
Financing
Rate
TSFR
1M
CME
Term
SOFR
1
Month
TSFR
2M
CME
Term
SOFR
2
Month
TSFR
3M
CME
Term
SOFR
3
Month
See
Notes
to
Financial
Statements
Statement
of
Assets
and
Liabilities
See
Notes
to
Financial
Statements.
December
31,
2023
(Unaudited)
JMM
ASSETS
Long-term
investments,
at
value
†
$
82,205,405
Short-term
investments,
at
value
◊
2,600,000
Cash
collateral
at
broker
for
investments
in
futures
contracts
(1)
367,231
Cash
collateral
at
broker
for
investments
in
reverse
repurchase
agreements
(1)
435,344
Unrealized
appreciation
on
interest
rate
swaps
contracts
604,913
Receivables:
Interest
543,956
Reclaims
6,619
Other
62,301
Total
assets
86,825,769
LIABILITIES
Cash
overdraft
225,380
Cash
collateral
due
to
broker
633,972
Reverse
repurchase
agreements,
including
accrued
interest
24,395,128
Payables:
Management
fees
61,471
Variation
margin
on
futures
contracts
27,375
Accrued
expenses:
Custodian
fees
53,113
Investor
relations
105
Trustees
fees
2,015
Professional
fees
23,237
Shareholder
reporting
expenses
12,450
Shareholder
servicing
agent
fees
932
Other
354
Total
liabilities
25,435,532
Net
assets
applicable
to
common
shares
$
61,390,237
Common
shares
outstanding
9,462,350
Net
asset
value
("NAV")
per
common
share
outstanding
$
6
.49
NET
ASSETS
APPLICABLE
TO
COMMON
SHARES
CONSIST
OF:
Common
shares,
$0.01
par
value
per
share
$
94,624
Paid-in
capital
80,658,101
Total
distributable
earnings
(loss)
(
19,362,488
)
Net
assets
applicable
to
common
shares
$
61,390,237
Authorized
shares:
Common
Unlimited
†
Long-term
investments,
cost
$
89,489,937
◊
Short-term
investments,
cost
$
2,600,000
(1)
Cash
pledged
to
collateralize
the
net
payment
obligations
for
investments
in
derivatives
and
reverse
repurchase
agreements.
See
Notes
to
Financial
Statements.
Six
Months
Ended
December
31,
2023
(Unaudited)
JMM
INVESTMENT
INCOME
Interest
$
2,280,534
Other
income
2,668
Total
investment
income
2,283,202
EXPENSES
–
Management
fees
360,372
Shareholder
servicing
agent
fees
2,811
Interest
expense
713,384
Trustees
fees
1,625
Custodian
expenses
39,312
Investor
relations
expenses
8,063
Professional
fees
30,077
Shareholder
reporting
expenses
13,207
Stock
exchange
listing
fees
3,708
Other
1,502
Total
expenses
1,174,061
Net
investment
income
(loss)
1,109,141
REALIZED
AND
UNREALIZED
GAIN
(LOSS)
Realized
gain
(loss)
from:
Investments
(
330,185
)
Futures
contracts
(
716,593
)
Swaps
contracts
293,049
Foreign
currency
transactions
(
11,183
)
Net
realized
gain
(loss)
(
764,912
)
Change
in
unrealized
appreciation
(depreciation)
on:
Investments
1,956,175
Futures
contracts
604,489
Swaps
contracts
(
317,396
)
Net
change
in
unrealized
appreciation
(depreciation)
2,243,268
Net
realized
and
unrealized
gain
(loss)
1,478,356
Net
increase
(decrease)
in
net
assets
applicable
to
common
shares
from
operations
$
2,587,497
Statement
of
Changes
in
Net
Assets
See
Notes
to
Financial
Statements
JMM
Unaudited
Six
Months
Ended
12/31/23
Year
Ended
6/30/23
OPERATIONS
Net
investment
income
(loss)
$
1,109,141
$
2,097,186
Net
realized
gain
(loss)
(
764,912
)
(
1,273,559
)
Net
change
in
unrealized
appreciation
(depreciation)
2,243,268
743,530
Net
increase
(decrease)
in
net
assets
applicable
to
common
shares
from
operations
2,587,497
1,567,157
DISTRIBUTIONS
TO
COMMON
SHAREHOLDERS
Dividends
(
1,561,288
)
(
2,523,986
)
Return
of
Capital
–
(
740,525
)
Total
distributions
(
1,561,288
)
(
3,264,511
)
Net
increase
(decrease)
in
net
assets
applicable
to
common
shares
1,026,209
(
1,697,354
)
Net
assets
applicable
to
common
shares
at
the
beginning
of
the
period
60,364,028
62,061,382
Net
assets
applicable
to
common
shares
at
the
end
of
the
period
$
61,390,237
$
60,364,028
See
Notes
to
Financial
Statements
The
following
table
provides
a
reconciliation
of
cash
and
cash collateral
at
brokers to
the
Statement
of
Assets
and
Liabilities:
Six
Months
Ended
December
31,
2023
(Unaudited)
JMM
CASH
FLOWS
FROM
OPERATING
ACTIVITIES
Net
Increase
(Decrease)
in
Net
Assets
Applicable
to
Common
Shares
from
Operations
$
2,587,497
Adjustments
to
reconcile
the
net
increase
(decrease)
in
net
assets
applicable
to
common
shares
from
operations
to
net
cash
provided
by
(used
in)
operating
activities:
Purchases
of
investments
(4,519,418)
Proceeds
from
sale
and
maturities
of
investments
6,839,714
Proceeds
from
(Purchase
of)
short-term
investments,
net
(807,238)
Amortization
(Accretion)
of
premiums
and
discounts,
net
(8,356)
(Increase)
Decrease
in:
Receivable
for
interest
21,708
Receivable
for
reclaims
(4,450)
Receivable
for
variation
margin
on
futures
contracts
62,500
Other
assets
(54,875)
Increase
(Decrease)
in:
Payable
for
interest
79,730
Payable
for
investments
purchased
-
when-issued/delayed-delivery
settlement
(135,000)
Payable
for
variation
margin
on
futures
contracts
27,375
Payable
for
management
fees
1,330
Accrued
custodian
fees
3,402
Accrued
investor
relations
fees
(432)
Accrued
Trustees
fees
500
Accrued
professional
fees
22,594
Accrued
shareholder
reporting
expenses
2,350
Accrued
shareholder
servicing
agent
fees
477
Accrued
other
expenses
(6,092)
Net
realized
(gain)
loss
from
investments
330,185
Net
realized
(gain)
loss
from
foreign
currency
transactions
11,183
Net
realized
(gain)
loss
from
paydowns
3,058
Net
change
in
unrealized
(appreciation)
depreciation
of
investments
(1,956,175)
Net
change
in
unrealized
(appreciation)
depreciation
of
swaps
contracts
317,396
Net
cash
provided
by
(used
in)
operating
activities
2,818,963
CASH
FLOWS
FROM
FINANCING
ACTIVITIES
Proceeds
from
reverse
repurchase
agreements
82,915,000
(Repayments
of)
reverse
repurchase
agreements
(83,861,000)
Increase
(Decrease)
in:
Cash
overdraft
225,380
Cash
collateral
due
to
broker
1,517,944
Cash
distributions
paid
to
common
shareholders
(1,808,556)
Net
cash
provided
by
(used
in)
financing
activities
(1,011,232)
Net
increase
(decrease)
in
Cash
and
Cash
Collateral
at
Brokers
1,807,731
Cash
and
Cash
Collateral
at
Brokers
at
the
beginning
of
period
762,788
Cash
and
Cash
Collateral
at
Brokers
at
the
end
of
period
$
2,570,519
SUPPLEMENTAL
DISCLOSURE
OF
CASH
FLOW
INFORMATION
JMM
Cash
paid
for
interest
$
633,654
JMM
Cash
$
—
Cash
collateral
at
broker
for
investments
in
futures
contracts
367,231
Cash
collateral
at
broker
for
investments
in
reverse
repurchase
agreements
435,344
Total
Cash
and
Cash
Collateral
at
Brokers
$
802,575
The
following
data
is
for
a
common
share
outstanding for
each
fiscal year
end
unless
otherwise
noted:
Investment
Operations
Less
Distributions
to
Common
Shareholders
Common
Share
Common
Share
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(NII)
(Loss)(a)
Net
Realized/
Unrealized
Gain
(Loss)
Total
From
NII
From
Net
Realized
Gains
Return
of
Capital
Total
Net
Asset
Value,
End
of
Period
Share
Price,
End
of
Period
JMM
12/31/23(d)
$
6.38
$
0.12
$
0.16
$
0.28
$
(
0.17
)
$
—
$
—
$
(
0.17
)
$
6.49
$
5.91
6/30/23
6.56
0.22
(
0.05
)
0.17
(
0.27
)
—
(
0.08
)
(
0.35
)
6.38
5.80
6/30/22
7.82
0.24
(
1.14
)
(
0.90
)
(
0.26
)
—
(
0.10
)
(
0.36
)
6.56
6.10
6/30/21
7.48
0.26
0.40
0.66
(
0.32
)
—
—
(
0.32
)
7.82
7.46
6/30/20
8.01
0.30
(
0.48
)
(
0.18
)
(
0.35
)
—
—
(
0.35
)
7.48
6.90
6/30/19
7.97
0.32
0.08
0.40
(
0.36
)
—
—
(
0.36
)
8.01
7.33
(a)
Based
on
average
shares
outstanding.
(b)
Total
Return
Based
on
Common
Share
NAV
is
the
combination
of
changes
in
common
share
NAV,
reinvested
dividend
income
at
Common
Share
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.
See
Notes
to
Financial
Statements
Ratios
of
Interest
Expense
to
Average
Net
Assets
Applicable
to
Common
Shares
Common
Share
Supplemental
Data/
Ratios
Applicable
to
Common
Shares
Common
Share
Total
Returns
Ratios
to
Average
Net
Assets
Based
on
Net
Asset
Value(b)
Based
on
Share
Price(b)
Net
Assets,
End
of
Period
(000)
Expenses(c)
Net
Investment
Income
(Loss)(c)
Portfolio
Turnover
Rate
4
.44
%
4
.85
%
$
61,390
3
.95
%
(e)
3
.74
%
(e)
6
%
2
.59
0
.75
60,364
3
.45
3
.43
18
(
12
.04
)
(
13
.94
)
62,061
1
.68
3
.28
89
9
.13
13
.13
74,041
1
.55
3
.41
107
(
2
.34
)
(
1
.14
)
70,780
2
.24
3
.88
87
5
.16
10
.14
75,839
2
.19
4
.08
159
(c)
•
Net
Investment
Income
(Loss)
ratios
reflect
income
earned
and
expenses
incurred
on
assets
attributable
to
reverse
repurchase
agreements
(as
described
in
Notes
to
Financial
Statements),
where
applicable.
•
Each
ratio
includes
the
effect
of
all
interest
expenses
paid
and
other
costs
related
to
reverse
repurchase
agreements,
where
applicable,
as
follows:
(d)
Unaudited.
(e)
Annualized.
Notes
to
Financial
Statements
(Unaudited)
1.
General
Information
Fund
Information:
Nuveen
Multi-Market
Income
Fund
(the
“Fund”)
is
registered
under
the
Investment
Company
Act
of
1940,
as
amended,
as
a
diversified
closed-end
management
investment
company.
The
Fund’s
shares
are
listed
on
the
New
York
Stock
Exchange
(“NYSE”)
and
trade
under
the
ticker
symbol
“JMM.”
The
Fund
was
organized
as
a
Massachusetts
business
trust
on
May
27,
2014
(previously
organized
as
a
Virginia
corporation).
Current
Fiscal
Period:
The
end
of
the
reporting
period
for
the
Fund
is
December
31,
2023,
and
the
period
covered
by
these
Notes
to
Financial
Statements
is
the
six
months
ended
December
31,
2023
(the
“current
fiscal
period”).
Investment
Adviser
and
Sub-Adviser:
The
Fund’s
investment
adviser
is
Nuveen
Fund
Advisors,
LLC
(the
“Adviser”),
a
subsidiary
of
Nuveen,
LLC
(“Nuveen”).
Nuveen
is
the
investment
management
arm
of
Teachers
Insurance
and
Annuity
Association
of
America
(TIAA).
The
Adviser
has
overall
responsibility
for
management
of
the
Fund,
oversees
the
management
of
the
Fund's
portfolio,
manages
the
Fund’s
business
affairs
and
provides
certain
clerical,
bookkeeping
and
other
administrative
services,
and,
if
necessary,
asset
allocation
decisions.
The
Adviser
has
entered
into
a
sub-
advisory
agreement
with
Nuveen
Asset
Management,
LLC,
(the
“Sub-Adviser”),
a
subsidiary
of
the
Adviser,
under
which
the
Sub-Adviser
manages
the
investment
portfolio
of
the
Fund.
Developments
Regarding
the
Fund’s
Control
Share
By-Law:
On
October
5,
2020,
the
Fund
and
certain
other
closed-end
funds
in
the
Nuveen
fund
complex
amended
their
by-laws.
Among
other
things,
the
amended
by-laws
included
provisions
pursuant
to
which,
in
summary,
a
shareholder
who
obtains
beneficial
ownership
of
common
shares
in
a
Control
Share
Acquisition
(as
defined
in
the
by-laws)
shall
have
the
same
voting
rights
as
other
common
shareholders
only
to
the
extent
authorized
by
the
other
disinterested
shareholders
(the
“Control
Share
By-Law”).
On
January
14,
2021,
a
shareholder
of
certain
Nuveen
closed-end
funds
filed
a
civil
complaint
in
the
U.S.
District
Court
for
the
Southern
District
of
New
York
(the
“District
Court”)
against
certain
Nuveen
funds
and
their
trustees,
seeking
a
declaration
that
such
funds’
Control
Share
By-Laws
violate
the
1940
Act,
rescission
of
such
fund’s
Control
Share
By-Laws
and
a
permanent
injunction
against
such
funds
applying
the
Control
Share
By-Laws.
On
February
18,
2022,
the
District
Court
granted
judgment
in
favor
of
the
plaintiff’s
claim
for
rescission
of
such
funds’
Control
Share
By-Laws
and
the
plaintiff’s
declaratory
judgment
claim,
and
declared
that
such
funds’
Control
Share
By-Laws
violate
Section
18(i)
of
the
1940
Act.
Following
review
of
the
judgment
of
the
District
Court,
on
February
22,
2022,
the
Board
of
Trustees
(the
"Board") amended
the
Fund’s
by-laws
to
provide
that
the
Fund’s
Control
Share
By-Law
shall
be
of
no
force
and
effect
for
so
long
as
the
judgment
of
the
District
Court
is
effective
and
that
if
the
judgment
of
the
District
Court
is
reversed,
overturned,
vacated,
stayed,
or
otherwise
nullified,
the
Fund’s
Control
Share
By-Law
will
be
automatically
reinstated
and
apply
to
any
beneficial
owner
of
common
shares
acquired
in
a
Control
Share
Acquisition,
regardless
of
whether
such
Control
Share
Acquisition
occurs
before
or
after
such
reinstatement,
for
the
duration
of
the
stay
or
upon
issuance
of
the
mandate
reversing,
overturning,
vacating
or
otherwise
nullifying
the
judgment
of
the
District
Court.
On
February
25,
2022,
the
Board
and
the
Funds
appealed
the
District
Court’s
decision
to
the
U.S.
Court
of
Appeals
for
the
Second
Circuit.
On
November
30,
2023,
the
U.S.
Court
of
Appeals
for
the
Second
Circuit
upheld
the
opinion
of
the
District
Court.
2.
Significant
Accounting
Policies
The
accompanying
financial
statements
were
prepared
in
accordance
with
accounting
principles
generally
accepted
in
the
United
States
of
America
(“U.S.
GAAP”),
which
may
require
the
use
of
estimates
made
by
management
and
the
evaluation
of
subsequent
events.
Actual
results
may
differ
from
those
estimates.
The
Fund
is
an
investment
company
and
follows
accounting
guidance
in
the
Financial
Accounting
Standards
Board
(“FASB”)
Accounting
Standards
Codification
946,
Financial
Services
–
Investment
Companies.
The
net
asset
value
(“NAV”)
for
financial
reporting
purposes
may
differ
from
the
NAV
for
processing
security
and common
share transactions.
The
NAV
for
financial
reporting
purposes
includes
security
and
common
share transactions
through
the
date
of
the
report.
Total
return
is
computed
based
on
the
NAV
used
for
processing
security
and
common
share transactions.
The
following
is
a
summary
of
the
significant
accounting
policies
consistently
followed
by
the
Fund.
Compensation:
The Fund
pays
no compensation
directly
to
those
of its
officers,
all
of
whom
receive
remuneration
for
their
services
to the Fund
from
the
Adviser
or
its
affiliates.
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.
Distributions
to
Common
Shareholders:
Distributions
to
common shareholders
are
recorded
on
the
ex-dividend
date.
The
amount,
character
and
timing
of
distributions
are
determined
in
accordance
with
federal
income
tax
regulations,
which
may
differ
from
U.S.
GAAP.
The
Fund
has
implemented
a
level
distribution
program
to
provide
shareholders
with
stable,
but
not
guaranteed,
cash
flow,
independent
of
the
amount
or
timing
of
income
earned
or
capital
gains
realized
by
the
Fund.
Under
this
program,
the
Fund’s
regular
monthly
distribution,
in
order
to
maintain
its
level
distribution
amount,
may
include
net
investment
income,
return
of
capital
and
potentially
capital
gains
for
tax
purposes.
The
amounts
and
sources
of
distributions
are
reported
for
financial
reporting
purposes
and
are
not
being
provided
for
tax
reporting
purposes.
The
actual
amounts
and
character
of
the
distributions
for
tax
reporting
purposes
will
be
reported
to
shareholders
on
Form
1099-DIV
which
will
be
sent
to
shareholders
shortly
after
calendar
year
end.
More
details
about
the
Fund’s
distributions
and
the
basis
for
these
estimates
are
available
on
www.
nuveen.com/cef.
Indemnifications:
Under
the
Fund’s
organizational
documents,
its
officers
and
trustees
are
indemnified
against
certain
liabilities
arising
out
of
the
performance
of
their
duties
to
the
Fund.
In
addition,
in
the
normal
course
of
business,
the Fund
enters
into
contracts
that
provide
general
indemnifications
to
other
parties.
The
Fund’s
maximum
exposure
under
these
arrangements
is
unknown
as
this
would
involve
future
claims
that
may
be
made
against
the Fund
that
have
not
yet
occurred.
However,
the Fund
has
not
had
prior
claims
or
losses
pursuant
to
these
contracts
and
expects
the
risk
of
loss
to
be
remote.
Investments
and
Investment
Income:
Securities
transactions
are
accounted
for
as
of
the
trade
date
for
financial
reporting
purposes.
Realized
gains
and
losses
on
securities
transactions
are
based
upon
the
specific
identification
method.
Dividend
income
is
recorded
on
the
ex-dividend
date
or,
for
foreign
securities,
when
information
is
available.
Non-cash
dividends
received
in
the
form
of
stock,
if
any,
are
recognized
on
the
ex-dividend
date
and
recorded
at
fair
value.
Interest
income,
which
reflects
the
amortization
of
premiums
and
includes
accretion
of
discounts
for
financial
reporting
purposes,
is
recorded
on
an
accrual
basis.
Interest
income
also
reflects
payment-in-kind
(“PIK”)
interest,
fees
earned
from
reverse
repurchase
agreements
and
paydown
gains
and
losses,
if
any.
PIK
interest
represents
income
received
in
the
form
of
securities
in
lieu
of
cash.
Fees
earned
from
reverse
repurchase
agreements
are
further
described
in
later
in
these
Notes
to
Financial
Statements.
Netting
Agreements:
In
the
ordinary
course
of
business,
the
Fund
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 the
Fund
to
offset
certain
securities
and
derivatives
with
a
specific
counterparty,
when
applicable,
as
well
as
any
collateral
received
or
delivered
to
that
counterparty
based
on
the
terms
of
the
agreements.
Generally,
the
Fund
manages
its
cash
collateral
and
securities
collateral
on
a
counterparty
basis.
With
respect
to
certain
counterparties,
in
accordance
with
the
terms
of
the
netting
agreements,
collateral
posted
to
the
Fund
is
held
in
a
segregated
account
by
the
Fund's
custodian
and/or
with
respect
to
those
amounts
which
can
be
sold
or
repledged,
are
presented
in
the
Fund's
Portfolio
of
Investments
or
Statement
of
Assets
and
Liabilities.
The
Fund’s
investments
subject
to
netting
agreements
as
of
the
end
of
the
reporting
period,
if
any,
are
further
described
later
in
these
Notes
to
Financials.
New
Accounting
Pronouncement:
In
March
2020,
FASB
issued
Accounting
Standards
Update
(“ASU”)
2020-04,
Reference
Rate
Reform:
Facilitation
of
the
Effects
of
Reference
Rate
Reform
on
Financial
Reporting.
The
main
objective
of
the
new
guidance
is
to
provide
relief
to
companies
that
will
be
impacted
by
the
expected
change
in
benchmark
interest
rates,
when
participating
banks
will
no
longer
be
required
to
submit
London
Interbank
Offered
Rate
(LIBOR)
quotes
by
the
UK
Financial
Conduct
Authority
(FCA).
The
new
guidance
allows
companies
to,
provided
the
only
change
to
existing
contracts
are
a
change
to
an
approved
benchmark
interest
rate,
account
for
modifications
as
a
continuance
of
the
existing
contract
without
additional
analysis.
For
new
and
existing
contracts,
the
Fund
may
elect
to
apply
the
amendments
as
of
March
12,
2020
through
December
31,
2022.
In
December
2022,
FASB
deferred
ASU
2022-04
and
issued
ASU
2022-06,
Reference
Rate
Reform:
Deferral
of
the
Sunset
Date
of
Topic
848,
which
extends
the
application
of
the
amendments
through
December
31,
2024. Management
has
not
yet
elected
to
apply
the
amendments,
is
continuously
evaluating
the
potential
effect
a
discontinuation
of
LIBOR
could
have
on
the
Fund's
investments
and
has
currently
determined
that
it
is
unlikely
the
ASU’s
adoption
will
have
a
significant
impact
on
the
Fund’s
financial
statements
and
various
filings.
New
Accounting
Pronouncement:
In
June
2022,
the
FASB
issued
ASU
2022-03
to
clarify
the
guidance
in
Topic
820,
Fair
Value
Measurement
(“Topic
820”).
The
amendments
in
ASU
2022-03
affect
all
entities
that
have
investments
in
equity
securities
measured
at
fair
value
that
are
subject
to
a
contractual
sale
restriction.
ASU
2022-03
(1)
clarifies
the
guidance
in
Topic
820,
when
measuring
the
fair
value
of
an
equity
security
subject
to
contractual
restrictions
that
prohibit
the
sale
of
an
equity
security,
(2)
amends
a
related
illustrative
example,
and
(3)
introduces
new
disclosure
requirements
for
equity
securities
subject
to
contractual
sale
restrictions
that
are
measured
at
fair
value
in
accordance
with
Topic
820.
For
public
business
entities,
the
amendments
in
ASU
2022-03
are
effective
for
fiscal
years
beginning
after
December
15,
2023,
and
interim
periods
within
those
fiscal
years.
For
all
other
entities,
the
amendments
are
effective
for
fiscal
years
beginning
after
December
15,
2024,
and
interim
periods
within
those
fiscal
years.
Early
adoption
is
permitted
for
both
interim
and
annual
financial
statements
that
have
not
yet
been
issued
or
made
available
for
issuance.
During
the
current
fiscal
period,
the Fund
adopted
the
new
guidance
and
there
was
no
material
impact
to
the
Fund.
3.
Investment
Valuation
and
Fair
Value
Measurements
The
Fund's
investments
in
securities
are
recorded
at
their
estimated
fair
value
utilizing
valuation
methods
approved
by
the
Adviser,
subject
to
oversight
of
the Board.
Fair
value
is
defined
as
the
price
that
would
be
received
upon
selling
an
investment
or
transferring
a
liability
in
an
orderly
transaction
to
an
independent
buyer
in
the
principal
or
most
advantageous
market
for
the
investment.
U.S.
GAAP
establishes
the
three-tier
hierarchy
which
is
used
to
maximize
the
use
of
observable
market
data
and
minimize
the
use
of
unobservable
inputs
and
to
establish
classification
of
fair
value
measurements
for
disclosure
purposes.
Observable
inputs
reflect
the
assumptions
market
participants
would
use
in
pricing
the
asset
or
liability.
Observable
inputs
are
based
on
market
data
obtained
from
sources
independent
of
the
reporting
entity.
Unobservable
inputs
reflect
management’s
assumptions
about
the
assumptions
market
participants
would
use
in
pricing
the
asset
or
liability.
Unobservable
inputs
are
based
on
the
best
information
available
in
the
circumstances.
The
following
is
a
summary
of
the
three-tiered
hierarchy
of
valuation
input
levels.
Level
1
–
Inputs
are
unadjusted
and
prices
are
determined
using
quoted
prices
in
active
markets
for
identical
securities.
Level
2
–
Prices
are
determined
using
other
significant
observable
inputs
(including
quoted
prices
for
similar
securities,
interest
rates,
credit
spreads,
etc.).
Level
3
–
Prices
are
determined
using
significant
unobservable
inputs
(including
management’s
assumptions
in
determining
the
fair
value
of
investments).
A
description
of
the
valuation
techniques
applied
to
the
Fund's
major
classifications
of
assets
and
liabilities
measured
at
fair
value
follows:
Notes
to
Financial
Statements
(Unaudited)
(continued)
Prices
of
fixed-income
securities
are
generally
provided
by
pricing
services
approved
by
the
Adviser,
which
is
subject
to
review
by
the
Adviser
and
oversight
of
the
Board. Pricing
services
establish
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.
In
pricing
certain
securities,
particularly
less
liquid
and
lower
quality
securities,
pricing
services
may
consider
information
about
a
security,
its
issuer
or
market
activity
provided
by
the
Adviser.
These
securities
are
generally
classified
as
Level
2.
Repurchase
agreements
are
valued
at
contract
amount
plus
accrued
interest,
which
approximates
market
value.
These
securities
are
generally
classified
as
Level
2.
Futures
contracts
are
valued
using
the
closing
settlement
price
or,
in
the
absence
of
such
a
price,
the
last
traded
price
and
are
generally
classified
as
Level
1.
Swap
contracts
are
marked-to-market
daily
based
upon
a
price
supplied
by
a
pricing
service.
Swaps
are
generally
classified
as
Level
2.
For
any
portfolio
security
or
derivative
for
which
market
quotations
are
not
readily
available
or
for
which
the
Adviser
deems
the
valuations
derived
using
the
valuation
procedures
described
above
not
to
reflect
fair
value,
the
Adviser
will
determine
a
fair
value
in
good
faith
using
alternative
procedures
approved
by
the
Adviser,
subject
to
the
oversight
of
the
Board.
As
a
general
principle,
the
fair
value
of
a
security
is
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.
To
the
extent
the
inputs
are
observable
and
timely,
the
values
would
be
classified
as
Level
2;
otherwise
they
would
be
classified
as
Level
3.
The
following
table
summarizes
the
market
value
of
the
Fund's
investments
as
of
the
end
of
the
reporting
period,
based
on
the
inputs
used
to
value
them:
4.
Portfolio
Securities
Repurchase
Agreements:
In
connection
with
transactions
in
repurchase
agreements,
it
is the
Fund's
policy
that
its
custodian
take
possession
of
the
underlying
collateral
securities,
the
fair
value
of
which
exceeds
the
principal
amount
of
the
repurchase
transaction,
including
accrued
interest,
at
all
times.
If
the
counterparty
defaults,
and
the
fair
value
of
the
collateral
declines,
realization
of
the
collateral
may
be
delayed
or
limited.
The
following
table
presents
the
repurchase
agreements
for
the
Fund
that
are
subject
to
netting
agreements
as
of
the
end
of
the
reporting
period,
and
the
collateral
delivered
related
to
those
repurchase
agreements.
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.
JMM
Level
1
Level
2
Level
3
Total
Long-Term
Investments:
Asset-Backed
and
Mortgage-Backed
Securities
$
–
$
57,186,962
$
–
$
57,186,962
Corporate
Bonds
–
21,513,619
–
21,513,619
Contingent
Capital
Securities
–
1,688,021
–
1,688,021
Sovereign
Debt
–
960,877
–
960,877
Variable
Rate
Senior
Loan
Interests
–
600,651
–
600,651
$1,000
Par
(or
similar)
Institutional
Preferred
–
255,275
–
255,275
Short-Term
Investments:
Repurchase
Agreements
–
2,600,000
–
2,600,000
Investments
in
Derivatives:
Futures
Contracts*
662,853
–
–
662,853
Interest
Rate
Swaps*
–
604,913
–
604,913
Total
$
662,853
$
85,410,318
$
–
$
86,073,171
*
Represents
net
unrealized
appreciation
(depreciation)
as
reported
in
Fund's
Portfolio
of
Investments.
Fund
Counterparty
Short-term
Investments,
at
Value
Collateral
Pledged
(From)
Counterparty
JMM
Fixed
Income
Clearing
Corporation
$2,600,000
$(2,652,005)
Purchases
and
Sales:
Long-term
purchases
and
sales
during
the
current
fiscal
period
were
as
follows:
The
Fund
may
purchase
securities
on
a
when-issued
or
delayed-delivery
basis.
Securities
purchased
on
a
when-issued
or
delayed-delivery
basis
may
have
extended
settlement
periods;
interest
income
is
not
accrued
until
settlement
date.
Any
securities
so
purchased
are
subject
to
market
fluctuation
during
this
period.
If the
Fund
has
outstanding
when-issued/delayed-delivery
purchases
commitments
as
of
the
end
of
the
reporting
period,
such
amounts
are
recognized
on
the
Statement
of
Assets
and
Liabilities.
5.
Derivative
Investments
The Fund
is
authorized
to
invest
in
certain
derivative
instruments.
As
defined
by
U.S.
GAAP,
a
derivative
is
a
financial
instrument
whose
value
is
derived
from
an
underlying
security
price,
foreign
exchange
rate,
interest
rate,
index
of
prices
or
rates,
or
other
variables.
Investments
in
derivatives
as
of
the
end
of
and/or
during
the
current
fiscal
period,
if
any,
are
included
within
the
Statement
of
Assets
and
Liabilities
and
the
Statement
of
Operations,
respectively.
Futures
Contracts:
During
the
current
fiscal
period,
the
Fund
used
interest
rate
futures
to
partially
hedge
the
portfolio
against
movements
in
interest
rates.
A
futures
contract
is
an
agreement
between
two
parties
to
buy
and
sell
a
financial
instrument
for
a
set
price
on
a
future
date.
Upon
execution
of
a
futures
contract,
the
Fund
is
obligated
to
deposit
cash
or
eligible
securities,
also
known
as
“initial
margin,”
into
an
account
at
its
clearing
broker
equal
to
a
specified
percentage
of
the
contract
amount.
Securities
deposited
for
initial
margin,
if
any,
are
identified
in
the
Portfolio
of
Investments
and
cash
deposited
for
initial
margin,
if
any,
is
reflected
on
the
Statement
of
Assets
and
Liabilities.
During
the
period
the
futures
contract
is
open,
changes
in
the
market
value
of
the
contract
are
recognized
as
an
unrealized
gain
or
loss
by
“marking-
to-market”
on
a
daily
basis.
The
Fund
and
the
clearing
broker
are
obligated
to
settle
monies
on
a
daily
basis
representing
the
changes
in
the
value
of
the
contracts.
These
daily
cash
settlements
are
known
as
“variation
margin”
and
is
recognized
on
the
Statement
of
Assets
and
Liabilities
as
a
receivable
or
payable
for
variation
margin
on
futures
contracts.
When
the
contract
is
closed
or
expired,
the
Fund
records
a
realized
gain
or
loss
equal
to
the
difference
between
the
value
of
the
contract
on
the
closing
date
and
value
of
the
contract
when
originally
entered
into.
The
net
realized
gain
or
loss
and
the
change
in
unrealized
appreciation
(depreciation)
on
futures
contracts
held
during
the
period
is
included
on
the
Statement
of
Operations.
Risks
of
investments
in
futures
contracts
include
the
possible
adverse
movement
in
the
price
of
the
securities
or
indices
underlying
the
contracts,
the
possibility
that
there
may
not
be
a
liquid
secondary
market
for
the
contracts
and/or
that
a
change
in
the
value
of
the
contract
may
not
correlate
with
a
change
in
the
value
of
the
underlying
securities
or
indices.
The
average
notional
amount
of
futures
contracts
outstanding
during
the
current
fiscal
period
was
as
follows:
Interest
Rate
Swap
Contracts:
During
the
current
fiscal
period,
the
Fund
used
interest
rate
swap
contracts
to
partially
hedge
its
interest
cost
of
leverage.
Interest
rate
swap
contracts
involve
the
Fund’s
agreement
with
the
counterparty
to
pay
or
receive
a
fixed
rate
payment
in
exchange
for
the
counterparty
receiving
or
paying
a
variable
rate
payment.
Forward
interest
rate
swap
contracts
involve
the
Fund’s
agreement
with
a
counterparty
to
pay,
in
the
future,
a
fixed
or
variable
rate
payment
in
exchange
for
the
counterparty
paying
the
Fund
a
variable
or
fixed
rate
payment,
the
accruals
for
which
would
begin
at
a
specified
date
in
the
future
(the
“effective
date”).
Upon
entering
into
an
interest
rate
swap
contract
(and
beginning
on
the
effective
date
for
a
forward
interest
rate
swap
contract),
the
Fund
accrues
the
fixed
rate
payment
expected
to
be
paid
or
received
and
the
variable
rate
payment
expected
to
be
received
or
paid
on
the
interest
rate
swap
contracts
on
a
daily
basis,
and
recognizes
the
daily
change
in
the
fair
value
of
the
Fund’s
contractual
rights
and
obligations
under
the
contracts.
The
amount
of
the
payment
obligation
for
an
interest
rate
swap
is
based
on
the
notional
amount
and
the
termination
date
of
the
contract.
Interest
rate
swap
contracts
do
not
involve
the
delivery
of
securities
or
other
underlying
assets
or
principal.
Accordingly,
the
risk
of
loss
on
such
transactions
is
limited
to
the
net
amount
of
interest
payments
that
the
Fund
is
to
receive
from
the
counterparty.
Payments
paid
(received)
at
the
beginning
of
the
measurement
period
are
reflected
as
swap
premiums
paid
(received)
on
the
Statement
of
Assets
and
Liabilities,
when
applicable.
Interest
rate
Fund
Non-U.S.
Government
Purchases
U.S.
Government
Purchases
Non-U.S.
Government
Sales
and
Maturities
U.S.
Government
Sales
JMM
$
963,075
$
3,556,343
$
6,164,757
$
674,957
Fund
Average
Notional
Amount
of
Futures
Contracts
Outstanding
*
JMM
$
7,043,776
*
The
average
notional
amount
is
calculated
based
on
the
absolute
aggregate
notional
amount
of
contracts
outstanding
at
the
beginning
of
the
current
fiscal
period
and
at
the
end
of
each
fiscal
quarter
within
the
current
fiscal
period.
Notes
to
Financial
Statements
(Unaudited)
(continued)
swaps
can
be
settled
either
directly
with
the
counterparty
(“OTC”)
or
through
a
central
clearinghouse
(“centrally
cleared”).
For
OTC
swaps,
the
daily
change
in
the
market
value
of
the
swap
contract,
along
with
any
daily
interest
fees
accrued,
are
recognized
as
unrealized
appreciation
(depreciation)
on
interest
rate
swaps
contracts on
the
Statement
of
Assets
and
Liabilities.
Upon
the
execution
of
a
centrally
cleared
swap,
a
Fund
is
obligated
to
deposit
cash
or
eligible
securities,
also
known
as
“initial
margin,”
into
an
account
at
its
clearing
broker
equal
to
a
specified
percentage
of
the
contract
amount.
Securities
deposited
for
initial
margin,
if
any,
are
identified
in
the
Portfolio
of
Investments and
cash
deposited
for
initial
margin,
if
any,
is
reflected
on
the
Statement
of
Assets
and
Liabilities.
The
Fund
and
the
clearing
broker
are
obligated
to
settle
monies
on
a
daily
basis
representing
the
changes
in
the
value
of
the
swap
contracts.
These
daily
cash
settlements
are
known
as
“variation
margin”
and
is
recognized
on
the
Statement
of
Assets
and
Liabilities
as
a
receivable
or
payable
for
variation
margin
on
interest
rate
swaps
contracts.
Changes
in
the
value
of
the
swap
contracts
during
the
fiscal
period
are
recognized
as
net
unrealized
appreciation
(depreciation)
of
swaps
contracts on
the
Statement
of
Operations.
The
net
amount
of
periodic
payments
settled
in
cash
are
recognized
as
net
realized
gain
(loss)
contracts
from
swaps
on
the
Statement
of
Operations,
in
addition
to
the
net
realized
gain
or
loss
recorded
upon
the
termination
of
the
swap
contract.
The
average
notional
amount of
interest
rate
swap
contracts
outstanding during
the
current
fiscal
period,
was
as
follows:
The
following
table
presents
the
swap
contracts
subject
to
netting
agreements
and
the
collateral
delivered
related
to
those
swap
contracts
as
of
the
end
of
the
reporting
period.
At
the
end
of
the
reporting
period,
the
fund
has
invested
in
derivative
contracts
which
are
reflected
in
the
Statement
of
Assets
and
Liabilities
as
follows:
During
the
current
fiscal
period,
the
effect
of
derivative
contracts
on
the
Fund's
Statement
of
Operations
was
as
follows:
Market
and
Counterparty
Credit
Risk:
In
the
normal
course
of
business
the
Fund
may
invest
in
financial
instruments
and
enter
into
financial
transactions
where
risk
of
potential
loss
exists
due
to
changes
in
the
market
(market
risk)
or
failure
of
the
other
party
to
the
transaction
to
perform
(counterparty
credit
risk).
The
potential
loss
could
exceed
the
value
of
the
financial
assets
recorded
on
the
financial
statements.
Financial
assets,
which
potentially
expose the
Fund
to
counterparty
credit
risk,
consist
principally
of
cash
due
from
counterparties
on
forward,
option
and
swap
transactions,
when
applicable.
The
extent
of
the
Fund’s
exposure
to
counterparty
credit
risk
in
respect
to
these
financial
assets
approximates
their
carrying
value
as
recorded
on
the
Statement
of
Assets
and
Liabilities.
Fund
Average
Notional
Amount
of
Interest
Rate
Swap
Contracts
Outstanding
*
JMM
$
17,000,000
*
The
average
notional
amount
is
calculated
based
on
the
absolute
aggregate
notional
amount
of
contracts
outstanding
at
the
beginning
of
the
current
fiscal
period
and
at
the
end
of
each
fiscal
quarter
within
the
current
fiscal
period.
Fund
Counterparty
Gross
Unrealized
Appreciation
Interest
Rate
Swaps***
Gross
Unrealized
(Depreciation)
Interest
Rate
Swaps***
Net
Unrealized
Collateral
Pledged
to
(from)
Counterparty
Net
Exposure
JMM
Morgan
Stanley
Capital
Services
LLC
$
604,913
$
-
$
604,913
$
(634,682)
$
(29,769)
*** Represents
gross
unrealized
appreciation
(depreciation)
for
the
counterparty
as
reported
in
the
Fund's
Portfolio
of
Investments.
Asset
Derivatives
Liability
Derivatives
Derivative
Instrument
Risk
Exposure
Location
Value
Location
Value
JMM
Futures
Contracts
Interest
rate
-
$
–
Unrealized
appreciation
on
futures
contracts
*
$
662,853
Interest
Rate
Swaps
Interest
rate
Unrealized
appreciation
on
interest
rate
swaps
contracts
**
604,913
-
–
1
1
1
1
1
1
1
1
*
The
fair
value
presented
includes
cumulative
gain
(loss)
on
open
futures
contracts;
however,
the
value
reflected
in
the
accompanying
Statements
of
Assets
and
Liabilities
is
only
the
receivable
or
payable
for
variation
margin
on
open
futures
contacts.
**
Value
represents
the
cumulative
unrealized
appreciation
(depreciation)
of
cleared
derivative
contracts
as
reported
in
the
Fund’s
Portfolio
of
Investments.
The
Statement
of
Assets
and
Liabilities
only
reflects
the
current
day
variation
margin
receivable/payable
from/to
brokers
on
open
cleared
derivative
contracts.
Derivative
Instrument
Risk
Exposure
Net
Realized
Gain
(Loss)
Change
in
Unrealized
Appreciation
(Depreciation)
JMM
Futures
contracts
Interest
rate
$
(
716,593
)
$
604,489
Swap
contracts
Interest
rate
293,049
(
317,396
)
The Fund
helps
manage
counterparty
credit
risk
by
entering
into
agreements
only
with
counterparties
the
Adviser
believes
have
the
financial
resources
to
honor
their
obligations
and
by
having
the
Adviser
monitor
the
financial
stability
of
the
counterparties.
Additionally,
counterparties
may
be
required
to
pledge
collateral
daily
(based
on
the
daily
valuation
of
the
financial
asset)
on
behalf
of the
Fund
with
a
value
approximately
equal
to
the
amount
of
any
unrealized
gain
above
a
pre-determined
threshold.
Reciprocally,
when the
Fund
has
an
unrealized
loss,
the
Fund
has
instructed
the
custodian
to
pledge
assets
of
the
Fund
as
collateral
with
a
value
approximately
equal
to
the
amount
of
the
unrealized
loss
above
a
pre-determined
threshold.
Collateral
pledges
are
monitored
and
subsequently
adjusted
if
and
when
the
valuations
fluctuate,
either
up
or
down,
by
at
least
the
pre-determined
threshold
amount.
6.
Fund
Shares
Common
Shares:
The
Fund
did
not
have
any
transactions
in
common
shares
during
the
current
and
prior
fiscal
periods.
7.
Income
Tax
Information
The
Fund
intends
to
distribute
substantially
all
of
its
net
investment
income
and
net
capital
gains
to
shareholders
and
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.
The
Fund
files
income
tax
returns
in
U.S.
federal
and
applicable
state
and
local
jurisdictions.
A
Fund’s
federal
income
tax
returns
are
generally
subject
to
examination
for
a
period
of
three
fiscal
years
after
being
filed.
State
and
local
tax
returns
may
be
subject
to
examination
for
an
additional
period
of
time
depending
on
the
jurisdiction.
Management
has
analyzed
the
Fund’s
tax
positions
taken
for
all
open
tax
years
and
has
concluded
that
no
provision
for
income
tax
is
required
in
the
Fund’s
financial
statements.
As
of
the
end
of
the
reporting
period,
the
aggregate
cost
and
the
net
unrealized
appreciation/(depreciation)
of
all
investments
for
federal
income
tax
purposes
were
as
follows:
For
purposes
of
this
disclosure,
tax
cost
generally
includes
the
cost
of
portfolio
investments
as
well
as
up-front
fees
or
premiums
exchanged
on
derivatives
and
any
amounts
unrealized
for
income
statement
reporting
but
realized
income
and/or
capital
gains
for
tax
reporting,
if
applicable.
As
of
prior
fiscal
period
end,
the
components
of
accumulated
earnings
on
a
tax
basis
were
as
follows:
As
of
prior
fiscal
period
end,
the
Fund
had
capital
loss
carryforwards,
which
will
not
expire:
8.
Management
Fees
and
Other
Transactions
with
Affiliates
Management
Fees:
The Fund’s
management
fee
compensates
the
Adviser
for
the
overall
investment
advisory
and
administrative
services
and
general
office
facilities.
The
Sub-Adviser
is
compensated
for
its
services
to
the
Fund
from
the
management
fees
paid
to
the
Adviser.
The Fund’s
management
fee
consists
of
two
components
–
a
fund-level
fee,
based
only
on
the
amount
of
assets
within the
Fund,
and
a
complex-
level
fee,
based
on
the
aggregate
amount
of
all
eligible
fund
assets
managed
by
the
Adviser.
This
pricing
structure
enables the
Fund’s
shareholders
to
benefit
from
growth
in
the
assets
within
the
Fund
as
well
as
from
growth
in
the
amount
of
complex-wide
assets
managed
by
the
Adviser.
The
annual
fund-level
fee,
payable
monthly, is
calculated
according
to
the
following
schedule:
Fund
Tax
Cost
Gross
Unrealized
Appreciation
Gross
Unrealized
(Depreciation)
Net
Unrealized
Appreciation
(Depreciation)
JMM
$
93,021,774
$
973,368
$
(
7,921,971
)
$
(
6,948,603
)
Fund
Undistributed
Ordinary
Income
Undistributed
Long-Term
Capital
Gains
Unrealized
Appreciation
(Depreciation)
Capital
Loss
Carryforwards
Late-Year
Loss
Deferrals
Other
Book-to-Tax
Differences
Total
JMM
$
—
$
—
$
(
8,623,410
)
$
(
11,505,072
)
$
—
$
(
260,215
)
$
(
20,388,697
)
Fund
Short-Term
Long-Term
Total
JMM
$
1,376,588
$
10,128,484
$
11,505,072
JMM
Notes
to
Financial
Statements
(Unaudited)
(continued)
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:
*
For
the
complex-level
fees,
managed
assets
include
closed-end
fund
assets
managed
by
the
Adviser
that
are
attributable
to
certain
types
of
leverage.
For
these
purposes,
leverage
includes
the
funds’
use
of
preferred
stock
and
borrowings
and
certain
investments
in
the
residual
interest
certificates
(also
called
inverse
floating
rate
securities)
in
tender
option
bond
(TOB)
trusts,
including
the
portion
of
assets
held
by
a
TOB
trust
that
has
been
effectively
financed
by
the
trust’s
issuance
of
floating
rate
securities,
subject
to
an
agreement
by
the
Adviser
as
to
certain
funds
to
limit
the
amount
of
such
assets
for
determining
managed
assets
in
certain
circumstances.
The
complex-level
fee
is
calculated
based
upon
the
aggregate
daily
managed
assets
of
all
Nuveen
open-end
and
closed-end
funds
that
constitute
‘’eligible
assets.”
Eligible
assets
do
not
include
assets
attributable
to
investments
in
other
Nuveen
funds
or
assets
in
excess
of
a
determined
amount
(originally
$2
billion)
added
to
the
Nuveen
fund
complex
in
connection
with
the
Adviser’s
assumption
of
the
management
of
the
former
First
American
Funds
effective
January
1,
2011,
but
do
not
include
certain
assets
of
certain
Nuveen
funds
that
were
reorganized
into
funds
advised
by
an
affiliate
of
the
Adviser
during
the
2019
calendar
year.
As
of
December
31,
2023,
the
complex-level
fee
for the
Fund
was
as
follows:
9.
Fund
Leverage
Reverse
Repurchase
Agreements:
During
the
current
fiscal
period,
utilized
reverse
repurchase
agreements
as
a
means
of
leverage.
The
Fund
may
enter
into
a
reverse
repurchase
agreement
with
brokers,
dealers,
banks
or
other
financial
institutions
that
have
been
determined
by
the
Adviser
to
be
creditworthy.
In
a
reverse
repurchase
agreement,
the
Fund
sells
to
the
counterparty
a
security
that
it
holds
with
a
contemporaneous
agreement
to
repurchase
the
same
security
at
an
agreed-upon
price
and
date,
reflecting
the
interest
rate
effective
for
the
term
of
the
agreement.
It
may
also
be
viewed
as
the
borrowing
of
money
by
the
Fund.
Cash
received
in
exchange
for
securities
delivered,
plus
accrued
interest
payments
to
be
made
by
the
Fund
to
a
counterparty,
are
reflected
as
a
liability
on
the
Statement
of
Assets
and
Liabilities.
Interest
payments
made
by
the
Fund
to
counterparties
are
recognized
as
a
component
of
"Interest
expense" on
the
Statement
of
Operations.
In
a
reverse
repurchase
agreement,
the
Fund
retains
the
risk
of
loss
associated
with
the
sold
security. Reverse
repurchase
agreements
also
involve
the
risk
that
the
purchaser
fails
to
return
the
securities
as
agreed
upon,
files
for
bankruptcy
or
becomes
insolvent.
Upon
a
bankruptcy
or
insolvency
of
a
counterparty,
the
Fund
is
considered
to
be
an
unsecured
creditor
with
respect
to
excess
collateral
and
as
such
the
return
of
excess
collateral
may
be
delayed.
As
of
the
end
of
the
reporting
period,
the
Fund’s
outstanding
balances
on
its
reverse
repurchase
agreements
were
as
follows:
Average
Daily
Managed
Assets*
Fund-Level
Fee
Rate
For
the
first
$125
million
0.7000
%
For
the
next
$125
million
0.6875
For
the
next
$150
million
0.6750
For
the
next
$600
million
0.6625
For
managed
assets
over
$1
billion
0.6500
Complex-Level
Eligible
Asset
Breakpoint
Level*
Effective
Complex-Level
Fee
Rate
at
Breakpoint
Level
$55
billion
0.2000
%
$56
billion
0.1996
$57
billion
0.1989
$60
billion
0.1961
$63
billion
0.1931
$66
billion
0.1900
$71
billion
0.1851
$76
billion
0.1806
$80
billion
0.1773
$91
billion
0.1691
$125
billion
0.1599
$200
billion
0.1505
$250
billion
0.1469
$300
billion
0.1445
Fund
Complex-Level
Fee
JMM
0
.1602
%
Fund
Counterparty
Rate
Principal
Amount
Maturity
Value
Value
and
Accrued
Interest
JMM
BNP
Paribas
5.75%
$
(
7,884,000
)
1/03/24
$
(
7,884,000
)
$
(
7,923,037
)
JMM
Goldman
Sachs
5.75%
(
3,711,000
)
1/03/24
(
3,711,000
)
(
3,729,375
)
JMM
TD
Securities
(USA),
LLC
5.89%
(
12,575,000
)
1/18/24
(
12,575,000
)
(
12,742,716
)
During
the
current
fiscal
period,
the
average
daily
balance
outstanding
(which
was
for
the
entire
current
reporting
period)
and
average
interest
rate
on
the
Fund’s
reverse
repurchase
agreements
were
as
follows:
The
following
table
presents
the
reverse
repurchase
agreements
subject
to
netting
agreements
and
the
collateral
delivered
related
to
those
reverse
repurchase
agreements.
10.
Inter-Fund
Borrowing
and
Lending
Inter-Fund
Borrowing
and
Lending:
The
SEC
has
granted
an
exemptive
order
permitting
registered
open-end
and
closed-end
Nuveen
funds
to
participate
in
an
inter-fund
lending
facility
whereby
the
Nuveen
funds
may
directly
lend
to
and
borrow
money
from
each
other
for
temporary
purposes
(e.g.,
to
satisfy
redemption
requests
or
when
a
sale
of
securities
“fails,”
resulting
in
an
unanticipated
cash
shortfall)
(the
“Inter-Fund
Program”).
The
closed-end
Nuveen
funds,
including
the
Fund
covered
by
this
shareholder
report,
will
participate
only
as
lenders,
and
not
as
borrowers,
in
the
Inter-Fund
Program
because
such
closed-end
funds
rarely,
if
ever,
need
to
borrow
cash
to
meet
redemptions.
The
Inter-Fund
Program
is
subject
to
a
number
of
conditions,
including,
among
other
things,
the
requirements
that
(1)
no
fund
may
borrow
or
lend
money
through
the
Inter-Fund
Program
unless
it
receives
a
more
favorable
interest
rate
than
is
typically
available
from
a
bank
or
other
financial
institution
for
a
comparable
transaction;
(2)
no
fund
may
borrow
on
an
unsecured
basis
through
the
Inter-
Fund
Program
unless
the
fund’s
outstanding
borrowings
from
all
sources
immediately
after
the
inter-fund
borrowing
total
10%
or
less
of
its
total
assets;
provided
that
if
the
borrowing
fund
has
a
secured
borrowing
outstanding
from
any
other
lender,
including
but
not
limited
to
another
fund,
the
inter-fund
loan
must
be
secured
on
at
least
an
equal
priority
basis
with
at
least
an
equivalent
percentage
of
collateral
to
loan
value;
(3)
if
a
fund’s
total
outstanding
borrowings
immediately
after
an
inter-fund
borrowing
would
be
greater
than
10%
of
its
total
assets,
the
fund
may
borrow
through
the
inter-fund
loan
on
a
secured
basis
only;
(4)
no
fund
may
lend
money
if
the
loan
would
cause
its
aggregate
outstanding
loans
through
the
Inter-Fund
Program
to
exceed
15%
of
its
net
assets
at
the
time
of
the
loan;
(5)
a
fund’s
inter-fund
loans
to
any
one
fund
shall
not
exceed
5%
of
the
lending
fund’s
net
assets;
(6)
the
duration
of
inter-
fund
loans
will
be
limited
to
the
time
required
to
receive
payment
for
securities
sold,
but
in
no
event
more
than
seven
days;
and
(7)
each
inter-fund
loan
may
be
called
on
one
business
day’s
notice
by
a
lending
fund
and
may
be
repaid
on
any
day
by
a
borrowing
fund.
In
addition,
a
Nuveen
fund
may
participate
in
the
Inter-Fund
Program
only
if
and
to
the
extent
that
such
participation
is
consistent
with
the
fund’s
investment
objective
and
investment
policies.
The
Board
is
responsible
for
overseeing
the
Inter-Fund
Program.
The
limitations
detailed
above
and
the
other
conditions
of
the
SEC
exemptive
order
permitting
the
Inter-Fund
Program
are
designed
to
minimize
the
risks
associated
with
Inter-Fund
Program
for
both
the
lending
fund
and
the
borrowing
fund.
However,
no
borrowing
or
lending
activity
is
without
risk.
When
a
fund
borrows
money
from
another
fund,
there
is
a
risk
that
the
loan
could
be
called
on
one
day’s
notice
or
not
renewed,
in
which
case
the
fund
may
have
to
borrow
from
a
bank
at
a
higher
rate
or
take
other
actions
to
payoff
such
loan
if
an
inter-fund
loan
is
not
available
from
another
fund.
Any
delay
in
repayment
to
a
lending
fund
could
result
in
a
lost
investment
opportunity
or
additional
borrowing
costs.
During
the
current
reporting
period,
the
Fund
did
not
enter
into
any
inter-fund
loan
activity.
Fund
(continued)
Total
$(24,170,000)
$(24,170,000)
$(24,395,128)
Fund
Utilization
Period
(Days
Outstanding)
Average
Daily
Balance
Outstanding
Average
Annual
Interest
Rate
JMM
184
$
24,294,144
5
.64
%
Fund
Counterparty
Reverse
Repurchase
Agreements*
Collateral
Pledged
to
Counterparty
JMM
BNP
Paribas
$
(7,923,037)
$
8,747,449
JMM
Goldman
Sachs
(3,729,375)
4,053,016
JMM
TD
Securities
(USA),
LLC
(12,742,716)
15,927,492
Total
$(24,395,128)
$28,727,957
*
Represents
gross
value
and
accrued
interest
for
the
counterparty
as
reported
in
the
preceding
table.
Risk
Considerations
(Unaudited)
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
Multi-Market
Income
Fund
(JMM)
Investing
in
closed-end
funds
involves
risk;
principal
loss
is
possible.
There
is
no
guarantee
the
Fund’s
investment
objectives
will
be
achieved.
Closed-end
fund
shares
may
frequently
trade
at
a
discount
or
premium
to
their
net
asset
value.
Investing
in
mortgage-backed
securities
entails
credit
risk,
the
risk
that
the
servicer
fails
to
perform
its
duties,
liquidity
risks,
interest
rate
risks,
structure
risks,
pre-payment
risk,
and
geographical
concentration
risks.
Leverage
increases
return
volatility
and
magnifies
the
Fund’s
potential
return
and
its
risks;
there
is
no
guarantee
a
fund’s
leverage
strategy
will
be
successful.
These
and
other
risk
considerations
including
hedging
risk
are
described
in
more
detail
on
the
Fund’s
web
page
at
www.nuveen.com/JMM
.
Additional
Fund
Information
(Unaudited)
Portfolio
of
Investments
Information
The
Fund
is
required
to
file
its
complete
schedule
of
portfolio
holdings
with
the
Securities
and
Exchange
Commission
(SEC)
for
the
first
and
third
quarters
of
each
fiscal
year
as
an
exhibit
to
its
report
on
Form
N-PORT.
You
may
obtain
this
information
on
the
SEC’s
website
at
http://www.sec.gov.
Nuveen
Funds’
Proxy
Voting
Information
You
may
obtain
(i)
information
regarding
how
the
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
the
fund
used
to
determine
how
to
vote
proxies
relating
to
portfolio
securities
without
charge,
upon
request,
by
calling
Nuveen
toll-free
at
(800)
257-8787.
You
may
also
obtain
this
information
directly
from
the
SEC.
Visit
the
SEC
on-line
at
http://www.sec.gov.
CEO
Certification
Disclosure
The
Fund’s
Chief
Executive
Officer
(CEO)
has
submitted
to
the
New
York
Stock
Exchange
(NYSE)
the
annual
CEO
certification
as
required
by
Section
303A.12(a)
of
the
NYSE
Listed
Company
Manual.
The
Fund
has
filed
with
the
SEC
the
certification
of
its
CEO
and
Chief
Financial
Officer
required
by
Section
302
of
the
Sarbanes-Oxley
Act.
Common
Share
Repurchases
The
Fund
intends
to
repurchase,
through
its
open-market
share
repurchase
program,
shares
of
its
own
common
stock
at
such
times
and
in
such
amounts
as
is
deemed
advisable.
During
the
period
covered
by
this
report,
the
Fund
repurchased
shares
of
its
common
stock
as
shown
in
the
accompanying
table.
Any
future
repurchases
will
be
reported
to
shareholders
in
the
next
annual
or
semi-annual
report.
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.
Board
of
Trustees
Joseph
A.
Boateng
*
Jack
B.
Evans**
Michael
A.
Forrester*
William
C.
Hunter**
Thomas
J.
Kenny***
Amy
B.R.
Lancellotta
Joanne
T.
Medero
Albin
F.
Moschner
John
K.
Nelson
Loren
M.
Starr**
Matthew
Thornton
III
Terence
J.
Toth
Margaret
L.
Wolff
Robert
L.
Young
*
Serves
as
a
consultant
effective
January
1,
2024.
**
Retired
from
the
Funds'
Board
of
Trustees
effective
December
31,
2023.
***
Effective
January
1,
2024.
Investment
Adviser
Nuveen
Fund
Advisors,
LLC
333
West
Wacker
Drive
Chicago,
IL
60606
Custodian
State
Street
Bank
&
Trust
Company
One
Congress
Street
Suite
1
Boston,
MA
02114-2016
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.
150
Royall
Street
Canton,
MA
02021
(800)
257-8787
JMM
Common
shares
repurchased
0
Glossary
of
Terms
Used
in
this
Report
(Unaudited)
Average
Annual
Total
Return
:
This
is
a
commonly
used
method
to
express
an
investment’s
performance
over
a
particular,
usually
multi-year
time
period.
It
expresses
the
return
that
would
have
been
necessary
each
year
to
equal
the
investment’s
actual
cumulative
performance
(including
change
in
NAV
or
offer
price
and
reinvested
dividends
and
capital
gains
distributions,
if
any)
over
the
time
period
being
considered.
Beta:
A
measure
of
the
variability
of
the
change
in
the
share
price
for
a
fund
in
relation
to
a
change
in
the
value
of
the
fund’s
market
benchmark.
Securities
with
betas
higher
than
1.0
have
been,
and
are
expected
to
be,
more
volatile
than
the
benchmark;
securities
with
betas
lower
than
1.0
have
been,
and
are
expected
to
be,
less
volatile
than
the
benchmark.
Contingent
Capital
Securities
(CoCos):
CoCos
are
debt
or
capital
securities
of
primarily
non-U.S.
issuers
with
loss
absorption
contingency
mechanisms
built
into
the
terms
of
the
security,
for
example
a
mandatory
conversion
into
common
stock
of
the
issuer,
or
a
principal
write-down,
which
if
triggered
would
likely
cause
the
CoCo
investment
to
lose
value.
Loss
absorption
mechanisms
would
become
effective
upon
the
occurrence
of
a
specified
contingency
event,
or
at
the
discretion
of
a
regulatory
body.
Specified
contingency
events,
as
identified
in
the
CoCo’s
governing
documents,
usually
reference
a
decline
in
the
issuer’s
capital
below
a
specified
threshold
level,
and/or
certain
regulatory
events.
A
loss
absorption
contingency
event
for
CoCos
would
likely
be
the
result
of,
or
related
to,
the
deterioration
of
the
issuer’s
financial
condition
and/or
its
status
as
a
going
concern.
In
such
a
case,
with
respect
to
CoCos
that
provide
for
conversion
into
common
stock
upon
the
occurrence
of
the
contingency
event,
the
market
price
of
the
issuer’s
common
stock
received
by
the
Acquiring
Fund
will
have
likely
declined,
perhaps
substantially,
and
may
continue
to
decline
after
conversion.
CoCos
rated
below
investment
grade
should
be
considered
high
yield
securities,
or
“junk,”
but
often
are
issued
by
entities
whose
more
senior
securities
are
rated
investment
grade.
CoCos
are
a
relatively
new
type
of
security;
and
there
is
a
risk
that
CoCo
security
issuers
may
suffer
the
sort
of
future
financial
distress
that
could
materially
increase
the
likelihood
(or
the
market’s
perception
of
the
likelihood)
that
an
automatic
write-down
or
conversion
event
on
those
issuers’
CoCos
will
occur.
Additionally,
the
trading
behavior
of
a
given
issuer’s
CoCo
may
be
strongly
impacted
by
the
trading
behavior
of
other
issuers’
CoCos,
such
that
negative
information
from
an
unrelated
CoCo
security
may
cause
a
decline
in
value
of
one
or
more
CoCos
held
by
the
Fund.
Accordingly,
the
trading
behavior
of
CoCos
may
not
follow
the
trading
behavior
of
other
types
of
debt
and
preferred
securities.
Despite
these
concerns,
the
prospective
reward
vs.
risk
characteristics
of
at
least
certain
CoCos
may
be
very
attractive
relative
to
other
fixed-income
alternatives.
Duration:
Duration
is
a
measure
of
the
expected
period
over
which
a
bond’s
principal
and
interest
will
be
paid,
and
consequently
is
a
measure
of
the
sensitivity
of
a
bond’s
or
bond
fund’s
value
to
changes
when
market
interest
rates
change.
Generally,
the
longer
a
bond’s
or
fund’s
duration,
the
more
the
price
of
the
bond
or
fund
will
change
as
interest
rates
change.
Effective
Leverage:
Effective
leverage
is
a
fund’s
effective
economic
leverage,
and
includes
both
regulatory
leverage
(see
leverage)
and
the
leverage
effects
of
certain
derivative
investments
in
a
fund’s
portfolio.
Currently,
the
leverage
effects
of
Tender
Option
Bond
(TOB)
inverse
floater
holdings
are
included
in
effective
leverage
values,
in
addition
to
any
regulatory
leverage.
Leverage:
Leverage
is
created
whenever
a
fund
has
investment
exposure
(both
reward
and/or
risk)
equivalent
to
more
than
100%
of
the
investment
capital.
Net
Asset
Value
(NAV)
Per
Share:
A
fund’s
Net
Assets
is
equal
to
its
total
assets
(securities,
cash,
accrued
earnings
and
receivables)
less
its
total
liabilities.
NAV
per
share
is
equal
to
the
fund’s
Net
Assets
divided
by
its
number
of
shares
outstanding.
Regulatory
Leverage:
Regulatory
leverage
consists
of
preferred
shares
issued
by
or
borrowings
of
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.
19(a)
Notice:
Section
19(a)
of
the
Investment
Company
Act
of
1940
requires
that
the
payment
of
any
distribution
which
is
made
from
a
source
other
than
the
fund’s
net
income
be
accompanied
by
a
written
notice
that
discloses
the
estimated
sources
of
such
payment.
Nuveen
Securities,
LLC,
member
FINRA
and
SIPC
333
West
Wacker
Drive
Chicago,
IL
60606
www.nuveen.com
ESA-A-1223P
3342573-INV-B-02/25
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
NOT
FDIC
INSURED
MAY
LOSE
VALUE
NO
BANK
GUARANTEE
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3.
Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5.
Audit Committee of Listed Registrants.
Not applicable to this filing.
Item 6. Schedule of Investments.
(a) See Portfolio of Investments in Item 1.
(b) Not applicable.
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to this filing.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to this filing.
Item 9.
Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board implemented
after the registrant last provided disclosure in response to this item.
Item 11. Controls and Procedures.
| (a) |
The registrant’s principal executive and principal financial officers, or persons performing similar
functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date
within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b)
or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| (b) |
There were no changes in the registrant’s internal control over financial reporting (as defined in Rule
30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
|
Item 12. Disclosure of Securities Lending Activity for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
File the exhibits listed below as part of this Form.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the
registrant intends to satisfy the Item
2 requirements through filing of an exhibit: Not applicable to this filing.
(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: See EX-99.CERT attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period
covered by the report by or on behalf of the registrant to 10 or more persons: Not applicable.
(a)(4) Change in registrant’s
independent public accountant. Not applicable.
(b) If the report is filed under Section
13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2 (b) under the 1940 Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section
1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an Exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for purposes of Section
18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent
that the registration specifically incorporates it by reference: See EX-99.906 CERT attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused
this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Nuveen Multi-Market Income Fund
|
|
|
|
|
| By (Signature and Title) |
|
/s/ David J. Lamb |
|
|
|
|
David J. Lamb |
|
|
|
|
Chief Administrative Officer |
|
|
Date: March 7, 2024
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below
by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
|
|
|
|
| By (Signature and Title) |
|
/s/ David J. Lamb |
|
|
|
|
David J. Lamb |
|
|
|
|
Chief Administrative Officer |
|
|
|
|
(principal executive officer) |
|
|
Date: March 7, 2024
|
|
|
|
|
| By (Signature and Title) |
|
/s/ E. Scott Wickerham |
|
|
|
|
E. Scott Wickerham |
|
|
|
|
Vice President and Controller |
|
|
|
|
(principal financial officer) |
|
|
Date: March 7, 2024
EX-99.CERT
CERTIFICATIONS PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT
CERTIFICATIONS
I, David J. Lamb, certify
that:
| 1. |
I have reviewed this report on Form N-CSR of Nuveen Multi-Market Income Fund; |
| 2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a
material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
| 3. |
Based on my knowledge, the financial statements, and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the
periods presented in this report; |
| 4. |
The registrant’s other certifying officer and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and
have: |
| |
a) |
designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
being prepared; |
| |
b) |
designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles; |
| |
c) |
evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this
report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
| |
d) |
disclosed in this report any change in the registrant’s internal control over financial reporting that
occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
| 5. |
The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the
audit committee of the registrant’s board of directors (or persons performing the equivalent functions): |
| |
a) |
all significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and |
| |
b) |
any fraud, whether or not material, that involves management or other employees who have a significant role in
the registrant’s internal control over financial reporting. |
Date: March 7, 2024
|
|
|
|
|
/s/ David J. Lamb |
|
|
David J. Lamb |
|
|
Chief Administrative Officer |
|
|
(principal executive officer) |
I, E. Scott Wickerham, certify that:
| 1. |
I have reviewed this report on Form N-CSR of Nuveen Multi-Market Income Fund; |
| 2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a
material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
| 3. |
Based on my knowledge, the financial statements, and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the
periods presented in this report; |
| 4. |
The registrant’s other certifying officer and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and
have: |
| |
a) |
designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
being prepared; |
| |
b) |
designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles; |
| |
c) |
evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this
report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
| |
d) |
disclosed in this report any change in the registrant’s internal control over financial reporting that
occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
| 5. |
The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the
audit committee of the registrant’s board of directors (or persons performing the equivalent functions): |
| |
a) |
all significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and |
| |
b) |
any fraud, whether or not material, that involves management or other employees who have a significant role in
the registrant’s internal control over financial reporting. |
Date: March 7, 2024
|
|
|
|
|
/s/ E. Scott Wickerham |
|
|
E. Scott Wickerham |
|
|
Vice President and Controller |
|
|
(principal financial officer) |
EX-99.906CERT
CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT
Certification Pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002; provided by the Chief
Executive Officer and Chief Financial Officer, based on each such officer’s knowledge and belief.
The undersigned officers of Nuveen
Multi-Market Income Fund (the “Registrant”), certify that, to the best of each such officer’s knowledge and belief:
| |
1. |
The Form N-CSR of the Registrant for the period ended December 31, 2023 (the “Report”) fully complies
with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
| |
2. |
The information contained in the Report fairly presents, in all material respects, the financial condition and
results of operations of the Registrant. |
Date: March 7, 2024
|
|
|
|
|
/s/ David J. Lamb |
|
|
David J. Lamb |
|
|
Chief Administrative Officer |
|
|
(principal executive officer) |
|
|
|
|
/s/ E. Scott Wickerham |
|
|
E. Scott Wickerham |
|
|
Vice President and Controller |
|
|
(principal financial officer) |
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