NOM Nuveen Missouri Quality Municipal Income Fund

 

Life is Complex.

Nuveen makes things e-simple.

It only takes a minute to sign up for e-Reports. Once enrolled, you’ll receive an e-mail as soon as your Nuveen Fund information is ready—no more waiting for delivery by regular mail. Just click on the link within the e-mail to see the report and save it on your computer if you wish.

Free e-Reports
right to your e-mail!


www.investordelivery.com
If you receive your Nuveen Fund
dividends and statements from your
financial professional or brokerage account.


or


www.nuveen.com/client-access
If you receive your Nuveen Fund
dividends and statements directly from
Nuveen.


NOT FDIC INSURED MAY LOSE
VALUE NO BANK GUARANTEE

 

Table of Contents

 

3

Chair’s Letter
to Shareholders

Dear Shareholders,

As 2020 draws to a close, the concerns that dominated much of the year are beginning to show signs of easing. COVID-19 vaccines are being administered around the world, with several of the vaccine candidates announcing high efficacy rates during their phase 3 trials. Markets took a generally positive view of Joe Biden winning the Electoral College, with Congress’s final confirmation of the Electoral College vote on January 7, 2021. The U.S. economy has made a significant, although incomplete, turnaround from the depths of a historic recession. In late December, the U.S. government enacted another $900 billion in aid to individuals and businesses, extending some of the programs enacted earlier in the crisis. Ongoing fiscal and monetary stimulus along with widening vaccine distribution have bolstered confidence that a semblance of normalcy can return in 2021.

While the markets’ longer-term outlook has brightened, we expect intermittent bouts of volatility to continue into the New Year. COVID-19 cases are still alarmingly high in some regions, and the renewed restrictions on social and business activity taken by local and, in some cases, national authorities will undoubtedly hinder the economy’s momentum. The pandemic’s course can still be unpredictable. The timeline of vaccine rollouts depends on many variables, public confidence can shift and real-world efficacy remains to be seen. Additionally, after Democrats won both of Georgia’s Senate run-off elections, which provided them with a democratic majority (the Democratic Vice President-elect casts the tie breaking vote in a 50/50 split Senate), this changing political landscape may cause investment outlooks to shift. Nevertheless, short-term market fluctuations can provide opportunities to invest in new ideas as well as upgrade existing positioning, within our goal of providing long-term value for our shareholders.

The New Year can be an opportune time to assess your portfolio’s resilience and readiness for what may come next. 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.

Sincerely,

Terence J. Toth
Chair of the Board
January 21, 2021

4

 

Portfolio Managers’ Comments


Nuveen Georgia Quality Municipal Income Fund (NKG)
Nuveen Maryland Quality Municipal Income Fund (NMY)
Nuveen Massachusetts Quality Municipal Income Fund (NMT)
Nuveen Minnesota Quality Municipal Income Fund (NMS)
Nuveen Missouri Quality Municipal Income Fund (NOM)
Nuveen Virginia Quality Municipal Income Fund (NPV)

These Funds feature portfolio management by Nuveen Asset Management, LLC (NAM), an affiliate of Nuveen Fund Advisors, LLC, the Funds’ investment adviser. Portfolio managers Daniel J. Close, CFA, Stephen J. Candido, CFA, Christopher L. Drahn, CFA, and Michael S. Hamilton discuss key investment strategies and the six-month performance of these six Nuveen Funds. Dan has managed the Nuveen Georgia Fund since 2007. Steve assumed portfolio management responsibility for the Maryland and Virginia Funds in 2016. Chris has managed the Missouri Fund since 2011 and assumed responsibility for the Minnesota Fund in 2016. Michael assumed portfolio management responsibility for the Massachusetts Fund in 2011.

During August 2020, the Nuveen Maryland Quality Municipal Income Fund (NMY) was approved for merger into Nuveen Quality Municipal Income Fund (NAD) by the Funds’ Board of Trustees. The merger is pending shareholder approval.

An Update on COVID-19 Coronavirus and its Impact on the Securities Markets

Renewed COVID-19 coronavirus outbreaks across the U.S. and Europe prompted tightening COVID-19 restrictions at the local and, in some cases, national levels during the fall of 2020, weighing on short-term economic indicators. Additionally, certain government programs supporting businesses and workers are expiring with little clarity on extensions or replacement options. In late December 2020 (subsequent to the close of this reporting period), the U.S. government approved a $900 billion relief package. In November 2020, three vaccine trials announced successful results, paving the way for selective distribution at year end 2020 and inoculation of the wider public during 2021.

Markets rallied on optimism for normalization in daily life and in the economy, furthering the recovery from the March 2020 sell-off. Although the detection of the virus in China was made public in December 2019, markets did not start to fully acknowledge the risks and potential economic impact until the latter portion of February 2020, when outbreaks outside of China were first reported. Global

---

This material is not intended to be a recommendation or investment advice, does not constitute a solicitation to buy, sell or hold a security or an investment strategy and is not provided in a fiduciary capacity. The information provided does not take into account the specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions should be made based on an investor’s objectives and circumstances and in consultation with his or her advisors.

Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements, and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group (S&P), Moody’s Investors Service, Inc. (Moody’s) or Fitch, Inc. (Fitch). This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings, while BB, B, CCC, CC, C and D are below investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.

Bond insurance guarantees only the payment of principal and interest on the bond when due, and not the value of the bonds themselves, which will fluctuate with the bond market and the financial success of the issuer and the insurer. Insurance relates specifically to the bonds in the portfolio and not to the share prices of a Fund. No representation is made as to the insurers’ ability to meet their commitments.

Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

5

 

Portfolio Managers’ Comments (continued)

stock markets sold off severely, with the S&P 500® index reaching a bear market (a 20% drop from the previous high) within three weeks, the fastest bear market decline in history. Even certain parts of the bond market suffered; below investment grade municipal and corporate bonds generally dropped the furthest, mostly out of concerns for the continued financial stability of lower quality issuers. Demand for safe-haven assets, along with mounting recession fears, drove the yield on the 10-year U.S. Treasury note to 0.5% in March 2020, an all-time low. Additionally, oil prices collapsed to an 18-year low on supply glut concerns, as shutdowns across the global economy sharply reduced oil demand, although oil prices have recovered to well above those lows.

While most markets have recovered most of their losses, volatility will likely remain elevated until the health crisis itself is under control (via fewer new cases, lower infection rates and/or verified treatments or widespread vaccination). The situation remains fluid, given production and logistical challenges with rolling out the vaccine as well as public trust in it, and new information is incoming daily, compounding the difficulty of modeling outcomes for epidemiologists and economists alike.

Nuveen Fund Advisors, LLC, and our portfolio management teams are monitoring the situation carefully and continuously refining our views and approaches to managing the Funds to best pursue investment objectives while mitigating risks through all market environments.

What key strategies were used to manage the Funds during the six-month reporting period ended November 30, 2020?

Each Fund seeks to provide current income exempt from both regular federal and designated state income taxes by investing primarily in a portfolio of municipal obligations issued by state and local government authorities within a single state or certain U.S. territories. Under normal market conditions, each Fund invests at least 80% of the sum of its net assets and the amount of any borrowings for investment purposes in municipal bonds that pay interest that is exempt from regular federal personal income tax and a single state’s personal income tax. The Funds may invest up to 20% in municipal securities that are exempt from regular federal income tax, but not from that single state’s income tax if, in the portfolio manager’s judgement, such purchases are expected to enhance the Fund’s after-tax total return potential. The Nuveen Minnesota Quality Municipal Income Fund (NMS) may invest only to a lesser extent in bonds not exempt from Minnesota income tax, in order to conform to a requirement imposed by the State of Minnesota that a fund derive at least 95% of its exempt-interest dividends from bonds of issuers located in Minnesota in order for the fund’s dividends to be exempt from those Minnesota income taxes. To the extent that the Fund invests in bonds of municipal issuers located in other states, the Fund’s dividends may not be exempt from state personal income tax.

The broad municipal bond market performed well in the six-month reporting period, continuing its recovery from the COVID-19 crisis downturn earlier in 2020. Municipal yields declined meaningfully and credit spreads contracted, particularly in lower rated, higher yielding areas of the market, as investors grew more comfortable with the economic outlook and the prospects for municipal bonds in general. Positive sentiment was especially strong in the final month of the reporting period, with vaccine news spurring hope for wide distribution in 2021. At the state level, the municipal markets of Georgia and Missouri performed in line with national index, while Maryland, Massachusetts, Minnesota and Virginia underperformed the national index over the six-month reporting period.

We continued to take a bottom-up approach to discovering sectors that appeared undervalued as well as individual credits that we believed had the potential to perform well over the long term. In NKG, the Fund bought primarily longer dated, 4-5% coupon structures with higher credit quality and, where possible, A ratings. The purchases spanned five different sectors: water and sewer, utility, local appropriation, local general obligation (GO) and health care, which we bought with the proceeds from the sale of bonds and maturing bonds, the sale of two pre-refunded bonds and the sale of a depreciated bond that was purchased in the summer of 2020.

In NMY, management worked to reinvest the cash from called and maturing bonds, especially in June and July 2020 when the pace of maturities was elevated in the state of Maryland. With the Fund near the upper bound of its high yield target range and fewer high yield opportunities on offer in the state, we sought enhanced yield opportunities in Guam Waterworks and Consol Energy/CNX Resources, while also investing in investment grade issues that were offered at attractive spreads. The Fund added

6

 

tax-supported bonds for Prince Georges County, Maryland transportation bonds and Maryland housing bonds. A land-backed bond for Frederick County Urbana Redevelopment District was refunded, and we partially reinvested in the position with the new issue replacement bonds.

NMT added long duration structures in the dedicated tax, health care, utilities and water sectors, which were funded using call proceeds and the sale of some short dated paper (maturing in one year or less). The overall sector and credit weightings did not change dramatically in NMS, although the state GO and high grade weightings increased very slightly as a result of supply constraints in this reporting period. A significant number of the state’s new issues tended to be structured with very low coupons and dollar prices near par. Furthermore, issuance that was structured with premium coupons tended to be very high grade which offered little to no yield spread. Given the limited availability of attractive opportunities, this was one of the more challenging periods in our memory for putting money to work in Minnesota. Due to the low couponing prevalent in many of the new issue, longer bonds during the reporting period, the Fund purchased more than usual in the intermediate and longer intermediate part of the yield curve.

NOM’s sector and credit weightings were stable over this reporting period, with new purchases mainly focused on the longest part of the yield curve. The Missouri Fund’s transportation weighting increased, specifically in issues for Kansas City Airport, which decided to continue its facilities modernization program with a bond issue in mid-October 2020 (a deal in which NOM participated). Another notable addition was Mercy Health (St Louis). Although certain sectors and ratings categories were hit harder than others in the March-April 2020 sell-off, both NMS and NOM generally sought to maintain allocations to such sectors, and occasionally added incremental and opportunistic exposure.

NPV sought opportunities to add bonds at attractive spreads, particularly in some of the sectors that were the most beaten down by pandemic-related concerns. Although spreads in the hospital sector began to recover from their widest levels during the March-April 2020 liquidity crunch, we continued to take advantage of still-attractive spread levels in June and July 2020 with the purchases of Arlington Health and Mercy Health. We also bought a senior living/life care facility bond for Fort Norfolk Retirement Community and two toll road bonds, I-66 Express Mobility Partners and 95 Express Lanes, all of which were available at attractive spreads. To make these new purchases, the Fund primarily used the proceeds from maturing and called bonds. Additionally, we made a one-for-one bond swap in a long duration housing bond for Virginia Rental Housing to enhance the Funds’ income earning capability and seek to make the Fund more tax efficient.

As of November 30, 2020, NKG, NMY, NMT, NOM and NPV continued to use inverse floating rate securities. We employ inverse floaters for a variety of reasons, including duration management, income enhancement and total return enhancement.

How did the Funds perform during the six-month reporting period ended November 30, 2020?

The tables in each Fund’s Performance Overview and Holding Summaries section of this report provide the Funds’ total returns at net asset value (NAV) for the period ended November 30, 2020. Each Fund’s total returns at common share NAV are compared with the performance of a corresponding market index.

For the six-month reporting period ended November 30, 2020, the total return at common share NAV for the six Funds outperformed their respective state’s S&P Municipal Bond Index and the national S&P Municipal Bond Index.

The Funds’ performance was affected by duration and yield curve positioning, credit ratings allocations, sector allocations and credit selection. In addition, the use of regulatory leverage was a factor affecting performance of the Funds. Leverage is discussed in more detail later in the Fund Leverage section of this report.

During the reporting period, municipal bond yields fell across most of yield curve (except for the very shortest maturities) and the yield curve distinctly flattened. Given the bullish curve flattening, longer duration bonds generally did well for the reporting period. NKG, NMY, NMT, NMS and NPV benefited from their longer duration positioning relative to their benchmark indexes, while NOM’s

7

 

Portfolio Managers’ Comments (continued)

duration was only slightly longer, which resulted in a more neutral performance impact relative to its benchmark index. In terms of yield curve positioning, NKG was most helped by an underweight to durations under 4 years. NMY’s overweight to durations of 12 years and longer and underweight to the 2- to 4-year segment were the largest contributors. NMT benefited most from its overweight to 6- to 8-year durations, despite a slightly negative impact from a small underweight to 10- to 12-year durations. For NPV, an overweight to durations of 12 years and longer and an underweight to 2- to 5-year duration bonds added the most to relative performance. We note that for NMY and NPV, the Funds’ durations drifted slightly lower over the reporting period as longer bonds were priced to shorter calls as interest rates fell, but the Funds remained longer than their index durations.

Credit quality positioning was favorable for the Funds during this reporting period. In a reversal from the significant credit spread widening during the COVID-19 crisis volatility, most credit spreads generally ground tighter during this six-month reporting period, helping relative performance rebound for many lower rated, higher yielding credits, where the Funds tended to be overweighted. NKG benefited from an underweight to AAA rated bonds and an overweight to BBB rated debt. The relative gains from these positions more than offset NKG’s modestly detracting underweight to A rated bonds. In NMY, we fully utilized the Fund’s capacity to invest in high yield debt, maintaining the high yield exposure near the 20% upper limit of our mandate. While high yield spreads continued to tighten since March 2020, spread contraction accelerated sharply after the November 2020 election. NMY’s non-rated and below investment grade exposures were strong positive contributors, as was an overweight allocation to BBB rated bonds. Additionally, NMY’s significantly underweight allocation to AAA and AA rated paper was another positive factor, as high grade bonds underperformed. For NMT, overweight allocations to bonds rated A and lower, and particularly long duration A rated credits, added the most to relative performance. NMS was most aided by overweights and holdings in the A, BBB, BB and non-rated categories while NOM’s gains largely came from overweights and holdings in BBB, BB and non-rated bonds. For NPV, an overweight to BBB rated credits (most of which were toll roads) and exposure to below investment grade bonds (namely, tobacco) were advantageous, as was a significant underweight to AAA rated debt. NPV held a very slight underweight to A rated bonds, which was a marginal detractor from performance.

Sector performance largely reflected the areas of the market where credit spreads were narrowing most prominently. The sectors that significantly underperformed during the March-April 2020 sell-off were the outperforming sectors in this reporting period. Tobacco, Puerto Rico and the more COVID and economically sensitive sectors such as health care, transportation and industrial development revenue (IDR) were among the best performing areas of the market. Dedicated tax bonds also performed well. In contrast, sectors composed of primarily high grade bonds, such as GOs and pre-refunded, which had bounced back earlier in the recovery were relative underperformers in this reporting period.

NKG’s sector allocations had a negative impact on relative performance overall. Although an overweight allocation to dedicated tax bonds contributed positively, it was offset by an underweight to the outperforming IDR sector and an overweight to the underper-forming water and sewer sector. For NMY, relative performance was boosted by a meaningful overweight to hospitals, an underweight to tax-supported debt (especially Maryland state GOs, where we have a zero allocation due to the low yields on offer) and exposure to out-of-state tobacco bonds (Maryland does not have an in-state tobacco program). NMY’s overweight to pre-refunded bonds, however, was a modest detractor. NMT held overweight allocations to higher education, hospitals and airports, which outperformed. However, an underweight to dedicated tax bonds and our selection within the sector were detrimental to the Massachusetts Fund’s relative performance. NMS benefited from its overweights in health care (both hospital and life care), as well as charter school holdings in general. The life care and charter school sectors comprise a meaningful portion of the Minnesota Fund’s BB rated and non-rated weightings. In addition, NMS held a modest underweight in GOs (primarily an underweight in state GOs as opposed to local GOs) and in utilities, which added value. However, NMS’s underweight in the rebounding broad transportation sector, relative to the national benchmark index, was a modest negative, although the Fund did benefit from a slight overweight to airports. Underperformance relative to the national index also came from an underweight in dedicated tax bonds due to their rebound during the reporting period and the general lack of such bonds backed exclusively by such revenue streams (such as

8

 

sales taxes, excise taxes, etc.) in Minnesota. NMS’s underweight in IDR bonds (not many are available in Minnesota) relative to the national index was a small negative. NOM benefited materially from its overweight in health care (both hospital and life care credits) and to a lesser extent from an underweight in GOs. The Missouri Fund was modestly hurt by an underweight in the transportation sector, relative to the national index, but did benefit materially from its additions to the airport sector during the reporting period. For NPV, overweight allocations to the transportation and health care sectors and an underweight to tax-supported bonds were advantageous, although an overweight to pre-refunded bonds detracted.

On an individual credit selection basis, NKG’s best performing positions were its tender option bond positions and lower rated, long dated credits, especially those backed by revenues related to social gatherings. These holdings more than offset relatively weaker performance from selections in shorter dated, high grade paper. NMY’s top performing holdings included Puerto Rico sales tax revenue bonds known as COFINAs, some larger positions with shorter call dates that were refunded during the reporting period (including University of Maryland Medical System and Maryland Stadium Authority for Baltimore City Public Schools), several out-of-state tobacco names and real estate-backed bonds such as Baltimore Harbor Point Project. Zero coupon bonds also performed well for NMY. While shorter dated bonds generally trailed the performance of longer bonds, no single position in the Maryland Fund stood out as a meaningful underperformer. We should also note that the credit ratings of two stressed positions in which NMY was overweighted, Baltimore Convention Center Hotel and Purple Line Transit, were downgraded but valuations began to improve during the reporting period. NMT’s selection in long duration, lower rated bonds was favorable, especially among higher education names that have recovered well since March 2020 such as Berklee College of Music, Worcester Polytechnic and Emerson College. For NPV, COFINAs were the best performing holdings, along with Marymount University and toll roads such as Chesapeake Bay Bridge and Tunnel, Metropolitan Washington D.C. Airports Authority Dulles Toll Road and I-66 Express. The Virginia Fund’s under-performers were mainly shorter dated pre-refunded bonds.

9

 

Fund Leverage

IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE

One important factor impacting the returns of the Funds’ common shares relative to their comparative benchmarks was the Funds’ use of leverage through their issuance of preferred shares and/or investments in inverse floating rate securities, which represent leveraged investments in underlying bonds. The Funds use leverage because our research has shown that, over time, leveraging provides opportunities for additional income. The opportunity arises when short-term rates that the Fund pays on its leveraging instruments are lower than the interest the Fund earns on its portfolio of long-term bonds that it has bought with the proceeds of that leverage. This has been particularly true in the recent market environment where short-term rates have been low by historical standards.

However, use of leverage can expose Fund common shares to additional price volatility. When a Fund uses leverage, the Fund’s common shares will experience a greater increase in their net asset value if the municipal bonds acquired through the use of leverage increase in value, but will also experience a correspondingly larger decline in their net asset value if the bonds acquired through leverage decline in value. 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 tax-exempt interest rates. While fund leverage expenses are somewhat higher than their recent lows, leverage nevertheless continues to provide the opportunity for incremental common share income, particularly over longer-term periods.

Leverage from issuance of preferred shares had a positive impact on the total return performance of all six Funds over the reporting period. The use of leverage through inverse floating rate securities had a negligible impact on the total return performance of the Funds over the reporting period.

As of November 30, 2020, the Funds’ percentages of leverage are as shown in the accompanying table.

 

10

 

 

Refer to Notes to Financial Statements, Note 5 – Fund Shares for further details on preferred shares and each Fund’s respective transactions.

11

 

 

Each Fund seeks to pay regular monthly dividends out of its net investment income at a rate that reflects its past and projected net income performance. To permit each Fund to maintain a more stable monthly dividend, the Fund may pay dividends at a rate that may be more or less than the amount of net income actually earned by the Fund during the period. Distributions to common shareholders are determined on a tax basis, which may differ from amounts recorded in the accounting records. In instances where the monthly dividend exceeds the earned net investment income, the Fund would report a negative undistributed net ordinary income. Refer to Note 6 – Income Tax Information for additional information regarding the amounts of undistributed net ordinary income and undistributed net long-term capital gains and the character of the actual distributions paid by the Fund during the period.

All monthly dividends paid by each Fund during the current reporting period were paid from net investment income. If a portion of the Fund’s monthly distributions is sourced or comprised of elements other than net investment income, including capital gains and/or a return of capital, shareholders will be notified of those sources. For financial reporting purposes, the per share amounts of each Fund’s distributions for the reporting period are presented in this report’s Financial Highlights. For income tax purposes, distribution information for each Fund as of its most recent tax year end is presented in Note 6 – Income Tax Information within the Notes to Financial Statements of this report.

12

 

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).

 

During the current reporting period, the Funds did not repurchase any of their outstanding common shares.

 

13

 

Risk Considerations

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 Georgia Quality Municipal Income Fund (NKG)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, derivatives risk, liquidity risk, and income risk. As interest rates rise, bond prices fall. Leverage increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage strategy will be successful. State concentration makes the Fund more susceptible to local adverse economic, political, or regulatory changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are described in more detail on the Fund’s web page at www.nuveen.com/NKG.

Nuveen Maryland Quality Municipal Income Fund (NMY)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, derivatives risk, liquidity risk, and income risk. As interest rates rise, bond prices fall. Leverage increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage strategy will be successful. State concentration makes the Fund more susceptible to local adverse economic, political, or regulatory changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are described in more detail on the Fund’s web page at www.nuveen.com/NMY.

Nuveen Massachusetts Quality Municipal Income Fund (NMT)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, derivatives risk, liquidity risk, and income risk. As interest rates rise, bond prices fall. Leverage increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage strategy will be successful. State concentration makes the Fund more susceptible to local adverse economic, political, or regulatory changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are described in more detail on the Fund’s web page at www.nuveen.com/NMT.

Nuveen Minnesota Quality Municipal Income Fund (NMS)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, derivatives risk, liquidity risk, and income risk. As interest rates rise, bond prices fall. Leverage increases return volatility and magnifies the Fund’s potential return

14

 

and its risks; there is no guarantee a fund’s leverage strategy will be successful. State concentration makes the Fund more susceptible to local adverse economic, political, or regulatory changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are described in more detail on the Fund’s web page at www.nuveen.com/NMS.

Nuveen Missouri Quality Municipal Income Fund (NOM)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, derivatives risk, liquidity risk, and income risk. As interest rates rise, bond prices fall. Leverage increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage strategy will be successful. State concentration makes the Fund more susceptible to local adverse economic, political, or regulatory changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are described in more detail on the Fund’s web page at www.nuveen.com/NOM.

Nuveen Virginia Quality Municipal Income Fund (NPV)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, derivatives risk, liquidity risk, and income risk. As interest rates rise, bond prices fall. Leverage increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage strategy will be successful. State concentration makes the Fund more susceptible to local adverse economic, political or regulatory changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are described in more detail on the Fund’s web page at www.nuveen.com/NPV.

15

 

 

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

16

 

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.

 

17

 

 

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

18

 

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.

 

1 See Portfolio of Investments for details on “other” Portfolio Composition.

19

 

 

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

20

 

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.

 

21

 

 

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

22

 

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.

 

23

 

 

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

24

 

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.

 

25

 

 

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

26

 

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.

 

27

 

 

 

29

 

 

30

 

 

31

 

 

32

 

 

 

33