Statement of Assets and Liabilities
April 30, 2020 (Unaudited)
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NUV
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NUW
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NMI
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NEV
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Assets
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Long-term investments, at value (cost $1,954,692,826, $230,341,033,
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$92,536,708 and $480,403,940, respectively)
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$
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2,087,133,478
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$
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245,138,404
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$
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94,166,047
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$
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471,985,142
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Cash
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347,757
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174,277
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1,575,287
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—
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Cash Collateral at brokers for investments in futures contracts(1)
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—
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542,996
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—
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—
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Receivable for:
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Interest
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24,081,032
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2,518,881
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1,216,668
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8,768,138
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Investments sold
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7,240,000
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—
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35,000
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2,075,000
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Deferred offering costs
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—
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160,000
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—
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—
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Other assets
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382,551
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70
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28
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25,125
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Total assets
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2,119,184,818
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248,534,628
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96,993,030
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482,853,405
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Liabilities
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Cash overdraft
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—
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—
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—
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2,352,937
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Floating rate obligations
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29,705,000
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2,000,000
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—
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127,412,000
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Payable for:
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Dividends
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5,827,475
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582,956
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280,975
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1,400,719
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Interest
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166,317
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1,473
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—
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1,818,644
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Investments purchased - regular settlement
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—
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—
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—
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1,786,549
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Investments purchased - when-issued/delayed-delivery settlement
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5,393,550
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1,078,710
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—
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—
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Variation margin on futures contracts
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—
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25,219
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—
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—
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Accrued expenses:
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Management fees
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779,942
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114,577
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48,640
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270,730
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Directors/Trustees fees
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395,916
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1,958
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767
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27,398
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Other
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362,690
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31,155
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47,163
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78,289
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Total liabilities
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42,630,890
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3,836,048
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377,545
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135,147,266
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Net assets applicable to common shares
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$
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2,076,553,928
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$
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244,698,580
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$
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96,615,485
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$
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347,706,139
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Common shares outstanding
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206,996,511
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15,516,082
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9,153,546
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24,950,068
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Net asset value (“NAV”) per common share outstanding
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$
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10.03
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$
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15.77
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$
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10.55
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$
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13.94
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Net assets applicable to common shares consist of:
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Common shares, $0.01 par value per share
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$
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2,069,965
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$
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155,161
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$
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91,535
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$
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249,501
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Paid-in-surplus
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1,957,683,170
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229,910,880
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95,047,997
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347,118,270
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Total distributable earnings
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116,800,793
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14,632,539
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1,475,953
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338,368
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Net assets applicable to common shares
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$
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2,076,553,928
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$
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244,698,580
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$
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96,615,485
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$
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347,706,139
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Authorized common shares
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350,000,000
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Unlimited
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200,000,000
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Unlimited
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(1) Cash pledged to collateralize the net payment obligations for investments in derivatives.
See accompanying notes to financial statements.
69
Six Months Ended April 30, 2020 (Unaudited)
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NUV
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NUW
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NMI
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NEV
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Investment Income
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$
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43,924,305
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$
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4,675,936
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$
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2,240,204
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$
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11,607,354
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Expenses
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Management fees
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4,748,123
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722,196
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303,093
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1,694,326
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Interest expense
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263,572
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17,653
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—
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1,185,523
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Custodian fees
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113,477
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22,280
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17,326
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34,246
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Directors/Trustees fees
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24,805
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2,963
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1,151
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4,252
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Professional fees
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40,137
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18,361
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19,757
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24,886
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Shareholder reporting expenses
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108,190
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15,191
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10,287
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18,731
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Shareholder servicing agent fees
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193,549
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116
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3,489
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111
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Stock exchange listing fees
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29,022
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3,738
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3,724
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3,500
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Investor relations expenses
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61,683
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7,615
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3,266
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10,976
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Other
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42,310
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9,076
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12,146
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13,694
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Total expenses
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5,624,868
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819,189
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374,239
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2,990,245
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Net investment income (loss)
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38,299,437
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3,856,747
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1,865,965
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8,617,109
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Realized and Unrealized Gain (Loss)
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Net realized gain (loss) from:
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Investments
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(1,988,584
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)
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2,067,991
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(190,338
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)
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12,021,403
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Futures contracts
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—
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(402,348
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)
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—
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—
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Change in net unrealized appreciation (depreciation) of:
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Investments
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(109,490,373
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)
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|
|
(17,273,012
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)
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(6,538,552
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)
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|
|
(44,435,002
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)
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Futures contracts
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|
—
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|
(1,985,653
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)
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|
|
—
|
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|
|
—
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Net realized and unrealized gain (loss)
|
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|
(111,478,957
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)
|
|
|
(17,593,022
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)
|
|
|
(6,728,890
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)
|
|
|
(32,413,599
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)
|
Net increase (decrease) in net assets applicable to common shares
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
from operations
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$
|
(73,179,520
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)
|
|
$
|
(13,736,275
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)
|
|
$
|
(4,862,925
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)
|
|
$
|
(23,796,490
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)
|
See accompanying notes to financial statements.
70
Statement of Changes in Net Assets
(Unaudited)
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NUV
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NUW
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Six Months
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|
|
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Six Months
|
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|
|
|
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|
Ended
|
|
|
Year Ended
|
|
|
Ended
|
|
|
Year Ended
|
|
|
|
4/30/20
|
|
|
10/31/19
|
|
|
4/30/20
|
|
|
10/31/19
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|
Operations
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
$
|
38,299,437
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|
|
$
|
77,305,974
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|
|
$
|
3,856,747
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|
|
$
|
9,172,492
|
|
Net realized gain (loss) from:
|
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|
|
|
|
|
|
|
|
|
|
|
|
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Investments
|
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|
(1,988,584
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)
|
|
|
2,207,524
|
|
|
|
2,067,991
|
|
|
|
830,880
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|
Futures contracts
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|
|
—
|
|
|
|
—
|
|
|
|
(402,348
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)
|
|
|
(1,126,291
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)
|
Change in net unrealized appreciation (depreciation) of:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments
|
|
|
(109,490,373
|
)
|
|
|
149,146,468
|
|
|
|
(17,273,012
|
)
|
|
|
17,969,895
|
|
Futures contracts
|
|
|
—
|
|
|
|
—
|
|
|
|
(1,985,653
|
)
|
|
|
267,165
|
|
Net increase (decrease) in net assets applicable to common shares
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
from operations
|
|
|
(73,179,520
|
)
|
|
|
228,659,966
|
|
|
|
(13,736,275
|
)
|
|
|
27,114,141
|
|
Distributions to Common Shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends
|
|
|
(38,490,149
|
)
|
|
|
(76,957,670
|
)
|
|
|
(3,754,892
|
)
|
|
|
(11,574,595
|
)
|
Decrease in net assets applicable to common shares from
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
distributions to common shareholders
|
|
|
(38,490,149
|
)
|
|
|
(76,957,670
|
)
|
|
|
(3,754,892
|
)
|
|
|
(11,574,595
|
)
|
Capital Share Transactions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Proceeds from shelf offering, net of offering costs
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
1,920,037
|
|
Net proceeds from common shares issued to common shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
due to reinvestment of distributions
|
|
|
1,300,694
|
|
|
|
—
|
|
|
|
—
|
|
|
|
118,439
|
|
Net increase (decrease) in net assets applicable to common shares
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
from capital share transactions
|
|
|
1,300,694
|
|
|
|
—
|
|
|
|
—
|
|
|
|
2,038,476
|
|
Net increase (decrease) in net assets applicable to common shares
|
|
|
(110,368,975
|
)
|
|
|
151,702,296
|
|
|
|
(17,491,167
|
)
|
|
|
17,578,022
|
|
Net assets applicable to common shares at the beginning of period
|
|
|
2,186,922,903
|
|
|
|
2,035,220,607
|
|
|
|
262,189,747
|
|
|
|
244,611,725
|
|
Net assets applicable to common shares at the end of period
|
|
$
|
2,076,553,928
|
|
|
$
|
2,186,922,903
|
|
|
$
|
244,698,580
|
|
|
$
|
262,189,747
|
|
See accompanying notes to financial statements.
71
Statement of Changes in Net Assets (Unaudited) (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NMI
|
|
|
NEV
|
|
|
|
Six Months
|
|
|
|
|
|
Six Months
|
|
|
|
|
|
|
Ended
|
|
|
Year Ended
|
|
|
Ended
|
|
|
Year Ended
|
|
|
|
4/30/20
|
|
|
10/31/19
|
|
|
4/30/20
|
|
|
10/31/19
|
|
Operations
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
$
|
1,865,965
|
|
|
$
|
3,736,918
|
|
|
$
|
8,617,109
|
|
|
$
|
18,229,243
|
|
Net realized gain (loss) from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments
|
|
|
(190,338
|
)
|
|
|
310,265
|
|
|
|
12,021,403
|
|
|
|
1,410,685
|
|
Futures contracts
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Change in net unrealized appreciation (depreciation) of:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments
|
|
|
(6,538,552
|
)
|
|
|
3,889,403
|
|
|
|
(44,435,002
|
)
|
|
|
21,894,612
|
|
Futures contracts
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Net increase (decrease) in net assets applicable to common shares
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
from operations
|
|
|
(4,862,925
|
)
|
|
|
7,936,586
|
|
|
|
(23,796,490
|
)
|
|
|
41,534,540
|
|
Distributions to Common Shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends
|
|
|
(2,204,119
|
)
|
|
|
(4,407,671
|
)
|
|
|
(8,458,073
|
)
|
|
|
(16,916,146
|
)
|
Decrease in net assets applicable to common shares from
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
distributions to common shareholders
|
|
|
(2,204,119
|
)
|
|
|
(4,407,671
|
)
|
|
|
(8,458,073
|
)
|
|
|
(16,916,146
|
)
|
Capital Share Transactions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Proceeds from shelf offering, net of offering costs
|
|
|
3,768,508
|
|
|
|
828,032
|
|
|
|
—
|
|
|
|
—
|
|
Net proceeds from common shares issued to common shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
due to reinvestment of distributions
|
|
|
91,686
|
|
|
|
69,151
|
|
|
|
—
|
|
|
|
—
|
|
Net increase (decrease) in net assets applicable to common shares
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
from capital share transactions
|
|
|
3,860,194
|
|
|
|
897,183
|
|
|
|
—
|
|
|
|
—
|
|
Net increase (decrease) in net assets applicable to common shares
|
|
|
(3,206,850
|
)
|
|
|
4,426,098
|
|
|
|
(32,254,563
|
)
|
|
|
24,618,394
|
|
Net assets applicable to common shares at the beginning of period
|
|
|
99,822,335
|
|
|
|
95,396,237
|
|
|
|
379,960,702
|
|
|
|
355,342,308
|
|
Net assets applicable to common shares at the end of period
|
|
$
|
96,615,485
|
|
|
$
|
99,822,335
|
|
|
$
|
347,706,139
|
|
|
$
|
379,960,702
|
|
See accompanying notes to financial statements.
72
Six Months Ended April 30, 2020 (Unaudited)
|
|
|
|
|
|
NEV
|
|
Cash Flows from Operating Activities:
|
|
|
|
Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations
|
|
$
|
(23,796,490
|
)
|
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
|
|
|
(86,771,469
|
)
|
Proceeds from sales and maturities of investments
|
|
|
62,971,880
|
|
Amortization (Accretion) of premiums and discounts, net
|
|
|
128,581
|
|
(Increase) Decrease in:
|
|
|
|
|
Receivable for interest
|
|
|
(527,025
|
)
|
Receivable for investments sold
|
|
|
4,342,951
|
|
Other assets
|
|
|
248
|
|
Increase (Decrease) in:
|
|
|
|
|
Payable for interest
|
|
|
908,556
|
|
Payable for investments purchased – regular settlement
|
|
|
(522,149
|
)
|
Accrued management fees
|
|
|
(22,222
|
)
|
Accrued Directors/Trustees fees
|
|
|
485
|
|
Accrued other expenses
|
|
|
(534
|
)
|
Net realized (gain) loss from:
|
|
|
|
|
Investments
|
|
|
(12,021,403
|
)
|
Paydowns
|
|
|
63
|
|
Change in net unrealized (appreciation) depreciation of investments
|
|
|
44,435,002
|
|
Net cash provided by (used in) operating activities
|
|
|
(10,873,526
|
)
|
Cash Flows from Financing Activities:
|
|
|
|
|
Increase (Decrease) in cash overdraft
|
|
|
2,352,937
|
|
Proceeds from borrowings
|
|
|
10,900,000
|
|
(Repayments) of borrowings
|
|
|
(10,900,000
|
)
|
Proceeds from floating rate obligations
|
|
|
8,520,000
|
|
Cash distributions paid to common shareholders
|
|
|
(8,457,885
|
)
|
Net cash provided by (used in) financing activities
|
|
|
2,415,052
|
|
Net Increase (Decrease) in Cash and Cash Collateral at Brokers
|
|
|
(8,458,474
|
)
|
Cash and Cash Collateral at Brokers at the beginning of period
|
|
|
8,458,474
|
|
Cash and Cash Collateral at Brokers at the end of period
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Disclosures of Cash Flow Information
|
|
NEV
|
|
Cash paid for interest
|
|
$
|
276,967
|
|
See accompanying notes to financial statements.
73
Financial Highlights (Unaudited)
Selected data for a common share outstanding throughout each period:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Operations
|
|
|
Less Distributions
to Common Shareholders
|
|
|
Common Share
|
|
|
|
Beginning
Common
Share
NAV
|
|
|
Net
Investment
Income
(Loss)
|
|
|
Net
Realized/
Unrealized
Gain (Loss)
|
|
|
Total
|
|
|
From
Net
Investment
Income
|
|
|
From
Accumu-
lated Net
Realized
Gains
|
|
|
Total
|
|
|
Shelf
Offering
Costs
|
|
|
Premium
from
Shares
Sold
through
Shelf
Offering
|
|
|
Ending
NAV
|
|
|
Ending
Share
Price
|
|
NUV
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2020(d)
|
|
$
|
10.57
|
|
|
$
|
0.19
|
|
|
$
|
(0.54
|
)
|
|
$
|
(0.35
|
)
|
|
$
|
(0.19
|
)
|
|
$
|
—
|
|
|
$
|
(0.19
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
10.03
|
|
|
$
|
9.60
|
|
2019
|
|
|
9.84
|
|
|
|
0.37
|
|
|
|
0.73
|
|
|
|
1.10
|
|
|
|
(0.37
|
)
|
|
|
—
|
|
|
|
(0.37
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
10.57
|
|
|
|
10.43
|
|
2018
|
|
|
10.30
|
|
|
|
0.38
|
|
|
|
(0.45
|
)
|
|
|
(0.07
|
)
|
|
|
(0.39
|
)
|
|
|
—
|
|
|
|
(0.39
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
9.84
|
|
|
|
9.18
|
|
2017
|
|
|
10.39
|
|
|
|
0.40
|
|
|
|
(0.10
|
)
|
|
|
0.30
|
|
|
|
(0.39
|
)
|
|
|
—
|
|
|
|
(0.39
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
10.30
|
|
|
|
10.12
|
|
2016
|
|
|
10.20
|
|
|
|
0.40
|
|
|
|
0.18
|
|
|
|
0.58
|
|
|
|
(0.39
|
)
|
|
|
—
|
|
|
|
(0.39
|
)
|
|
|
—
|
|
|
|
—
|
*
|
|
|
10.39
|
|
|
|
9.98
|
|
2015
|
|
|
10.21
|
|
|
|
0.42
|
|
|
|
(0.03
|
)
|
|
|
0.39
|
|
|
|
(0.40
|
)
|
|
|
—
|
|
|
|
(0.40
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
10.20
|
|
|
|
10.07
|
|
|
|
NUW
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2020(d)
|
|
|
16.90
|
|
|
|
0.25
|
|
|
|
(1.14
|
)
|
|
|
(0.89
|
)
|
|
|
(0.24
|
)
|
|
|
—
|
|
|
|
(0.24
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
15.77
|
|
|
|
14.49
|
|
2019
|
|
|
15.88
|
|
|
|
0.60
|
|
|
|
1.16
|
|
|
|
1.76
|
|
|
|
(0.65
|
)
|
|
|
(0.10
|
)
|
|
|
(0.75
|
)
|
|
|
—
|
|
|
|
0.01
|
|
|
|
16.90
|
|
|
|
16.83
|
|
2018
|
|
|
16.99
|
|
|
|
0.70
|
|
|
|
(0.92
|
)
|
|
|
(0.22
|
)
|
|
|
(0.72
|
)
|
|
|
(0.18
|
)
|
|
|
(0.90
|
)
|
|
|
—
|
|
|
|
0.01
|
|
|
|
15.88
|
|
|
|
14.36
|
|
2017
|
|
|
17.22
|
|
|
|
0.75
|
|
|
|
(0.26
|
)
|
|
|
0.49
|
|
|
|
(0.73
|
)
|
|
|
—
|
|
|
|
(0.73
|
)
|
|
|
(0.01
|
)
|
|
|
0.02
|
|
|
|
16.99
|
|
|
|
17.17
|
|
2016
|
|
|
17.17
|
|
|
|
0.76
|
|
|
|
0.06
|
|
|
|
0.82
|
|
|
|
(0.79
|
)
|
|
|
—
|
|
|
|
(0.79
|
)
|
|
|
(0.01
|
)
|
|
|
0.03
|
|
|
|
17.22
|
|
|
|
16.96
|
|
2015
|
|
|
17.19
|
|
|
|
0.80
|
|
|
|
(0.04
|
)
|
|
|
0.76
|
|
|
|
(0.79
|
)
|
|
|
—
|
|
|
|
(0.79
|
)
|
|
|
—
|
|
|
|
0.01
|
|
|
|
17.17
|
|
|
|
17.22
|
|
|
|
(a)
|
Total Return Based on Common Shares NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is
typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not
its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.
|
|
Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share
at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last
dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not
annualized.
|
74
|
|
|
|
|
|
Common Share Supplemental Data/
Ratio Applicable to Common Shares
|
|
Common Share
Total Returns
|
|
|
|
|
|
Ratios to Average Net Assets
|
|
|
|
|
|
|
|
|
|
|
Based
on
NAV(a)
|
|
|
Based
on
Share
Price(a)
|
|
|
Ending
Net
Assets
(000)
|
|
|
Expenses(b)
|
|
|
Net
Investment
Income (Loss)
|
|
|
Portfolio
Turnover
Rate(c)
|
|
|
|
|
|
|
(3.41
|
)%
|
|
|
(6.29
|
)%
|
|
$
|
2,076,554
|
|
|
|
0.52
|
%***
|
|
|
3.54
|
%***
|
|
|
6
|
%
|
|
11.35
|
|
|
|
17.92
|
|
|
|
2,186,923
|
|
|
|
0.54
|
|
|
|
3.63
|
|
|
|
13
|
|
|
(0.71
|
)
|
|
|
(5.55
|
)
|
|
|
2,035,221
|
|
|
|
0.54
|
|
|
|
3.76
|
|
|
|
20
|
|
|
3.03
|
|
|
|
5.48
|
|
|
|
2,130,046
|
|
|
|
0.52
|
|
|
|
3.89
|
|
|
|
17
|
|
|
5.74
|
|
|
|
2.91
|
|
|
|
2,150,444
|
|
|
|
0.51
|
|
|
|
3.87
|
|
|
|
11
|
|
|
3.94
|
|
|
|
8.86
|
|
|
|
2,096,508
|
|
|
|
0.53
|
|
|
|
4.08
|
|
|
|
16
|
|
|
|
|
|
|
|
|
(5.32
|
)
|
|
|
(12.60
|
)
|
|
|
244,699
|
|
|
|
0.63
|
***
|
|
|
2.97
|
***
|
|
|
9
|
|
|
11.38
|
|
|
|
22.81
|
|
|
|
262,190
|
|
|
|
0.73
|
|
|
|
3.61
|
|
|
|
31
|
|
|
(1.31
|
)
|
|
|
(11.54
|
)
|
|
|
244,612
|
|
|
|
0.80
|
|
|
|
4.26
|
|
|
|
30
|
|
|
3.02
|
|
|
|
5.71
|
|
|
|
256,281
|
|
|
|
0.81
|
|
|
|
4.45
|
|
|
|
16
|
|
|
4.90
|
|
|
|
2.99
|
|
|
|
247,394
|
|
|
|
0.71
|
|
|
|
4.38
|
|
|
|
12
|
|
|
4.56
|
|
|
|
6.79
|
|
|
|
228,952
|
|
|
|
0.72
|
|
|
|
4.72
|
|
|
|
6
|
|
|
|
(b)
|
The expense ratios reflect, among other things, the interest expense deemed to have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters held by the Fund
(as described in Note 4 – Portfolio Securities and Investments in Derivatives), where applicable, as follows:
|
|
|
|
|
|
NUV
|
|
|
NUW
|
|
Year Ended 10/31:
|
|
|
Year Ended 10/31:
|
|
2020(d)
|
0.02%***
|
|
2020(d)
|
0.01%***
|
2019
|
0.04
|
|
2019
|
0.07
|
2018
|
0.03
|
|
2018
|
0.10
|
2017
|
0.01
|
|
2017
|
0.06
|
2016
|
0.01
|
|
2016
|
0.03
|
2015
|
0.00**
|
|
2015
|
0.02
|
|
|
(c)
|
Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 4 – Portfolio Securities and Investments in Derivatives) divided by the average long-term market value during the period.
|
(d)
|
For the six months ended April 30, 2020.
|
*
|
Rounds to less than $0.01 per share.
|
**
|
Rounds to less than 0.01%
|
***
|
Annualized.
|
See accompanying notes to financial statements.
75
Financial Highlights (Unaudited) (continued)
Selected data for a common share outstanding throughout each period:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Operations
|
|
|
Less Distributions
to Common Shareholders
|
|
|
Common Share
|
|
|
|
Beginning
Common
Share
NAV
|
|
|
Net
Investment
Income
(Loss)
|
|
|
Net
Realized/
Unrealized
Gain (Loss)
|
|
|
Total
|
|
|
From
Net
Investment
Income
|
|
|
From
Accumu-
lated Net
Realized
Gains
|
|
|
Total
|
|
|
Shelf
Offering
Costs
|
|
|
Premium
from
Shares
Sold
through
Shelf
Offering
|
|
|
Ending
NAV
|
|
|
Ending
Share
Price
|
|
NMI
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2020(e)
|
|
$
|
11.32
|
|
|
$
|
0.21
|
|
|
$
|
(0.74
|
)
|
|
$
|
(0.53
|
)
|
|
$
|
(0.21
|
)
|
|
$
|
(0.04
|
)
|
|
$
|
(0.25
|
)
|
|
$
|
—
|
|
|
$
|
0.01
|
|
|
$
|
10.55
|
|
|
$
|
10.26
|
|
2019
|
|
|
10.92
|
|
|
|
0.43
|
|
|
|
0.47
|
|
|
|
0.90
|
|
|
|
(0.43
|
)
|
|
|
(0.07
|
)
|
|
|
(0.50
|
)
|
|
|
—
|
|
|
|
—
|
*
|
|
|
11.32
|
|
|
|
11.33
|
|
2018
|
|
|
11.38
|
|
|
|
0.43
|
|
|
|
(0.43
|
)
|
|
|
—
|
|
|
|
(0.46
|
)
|
|
|
—
|
|
|
|
(0.46
|
)
|
|
|
(0.01
|
)
|
|
|
0.01
|
|
|
|
10.92
|
|
|
|
10.09
|
|
2017
|
|
|
11.61
|
|
|
|
0.48
|
|
|
|
(0.22
|
)
|
|
|
0.26
|
|
|
|
(0.49
|
)
|
|
|
—
|
|
|
|
(0.49
|
)
|
|
|
(0.01
|
)
|
|
|
0.01
|
|
|
|
11.38
|
|
|
|
11.45
|
|
2016
|
|
|
11.47
|
|
|
|
0.50
|
|
|
|
0.15
|
|
|
|
0.65
|
|
|
|
(0.51
|
)
|
|
|
—
|
|
|
|
(0.51
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
11.61
|
|
|
|
12.20
|
|
2015
|
|
|
11.52
|
|
|
|
0.51
|
|
|
|
(0.05
|
)
|
|
|
0.46
|
|
|
|
(0.51
|
)
|
|
|
—
|
|
|
|
(0.51
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
11.47
|
|
|
|
11.05
|
|
|
|
NEV
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2020(e)
|
|
|
15.23
|
|
|
|
0.35
|
|
|
|
(1.30
|
)
|
|
|
(0.95
|
)
|
|
|
(0.34
|
)
|
|
|
—
|
|
|
|
(0.34
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
13.94
|
|
|
|
12.88
|
|
2019
|
|
|
14.24
|
|
|
|
0.73
|
|
|
|
0.94
|
|
|
|
1.67
|
|
|
|
(0.68
|
)
|
|
|
—
|
|
|
|
(0.68
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
15.23
|
|
|
|
14.60
|
|
2018
|
|
|
15.03
|
|
|
|
0.75
|
|
|
|
(0.77
|
)
|
|
|
(0.02
|
)
|
|
|
(0.77
|
)
|
|
|
—
|
|
|
|
(0.77
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
14.24
|
|
|
|
12.70
|
|
2017
|
|
|
15.58
|
|
|
|
0.82
|
|
|
|
(0.55
|
)
|
|
|
0.27
|
|
|
|
(0.82
|
)
|
|
|
—
|
|
|
|
(0.82
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
15.03
|
|
|
|
14.28
|
|
2016
|
|
|
15.59
|
|
|
|
0.85
|
|
|
|
0.04
|
|
|
|
0.89
|
|
|
|
(0.95
|
)
|
|
|
—
|
|
|
|
(0.95
|
)
|
|
|
—
|
|
|
|
0.05
|
|
|
|
15.58
|
|
|
|
14.75
|
|
2015
|
|
|
15.69
|
|
|
|
0.93
|
|
|
|
(0.06
|
)
|
|
|
0.87
|
|
|
|
(0.97
|
)
|
|
|
—
|
|
|
|
(0.97
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
15.59
|
|
|
|
15.38
|
|
|
|
(a)
|
Total Return Based on Common Shares NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is
typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not
its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.
|
|
Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share
at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last
dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not
annualized.
|
76
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Share Supplemental Data/
Ratio Applicable to Common Shares
|
|
Common Share
Total Returns
|
|
|
|
|
|
Ratios to Average Net Assets
|
|
|
|
|
|
|
|
|
|
|
Based
on
NAV(a)
|
|
|
Based
on
Share
Price(a)
|
|
|
Ending
Net
Assets
(000)
|
|
|
Expenses(b)
|
|
|
Net
Investment
Income (Loss)
|
|
|
Portfolio
Turnover
Rate(d)
|
|
|
|
|
|
|
(4.73
|
)%
|
|
|
(7.43
|
)%
|
|
$
|
96,615
|
|
|
|
0.75
|
%**
|
|
|
3.74
|
%**
|
|
|
9
|
%
|
|
8.45
|
|
|
|
17.61
|
|
|
|
99,822
|
|
|
|
0.79
|
|
|
|
3.83
|
|
|
|
10
|
|
|
(0.05
|
)
|
|
|
(8.14
|
)
|
|
|
95,396
|
|
|
|
0.89
|
|
|
|
3.87
|
|
|
|
17
|
|
|
2.34
|
|
|
|
(2.04
|
)
|
|
|
97,138
|
|
|
|
0.79
|
|
|
|
4.23
|
|
|
|
12
|
|
|
5.71
|
|
|
|
15.22
|
|
|
|
96,532
|
|
|
|
0.76
|
|
|
|
4.33
|
|
|
|
4
|
|
|
4.08
|
|
|
|
2.31
|
|
|
|
95,149
|
|
|
|
0.74
|
|
|
|
4.43
|
|
|
|
10
|
|
|
|
|
|
|
|
|
(6.38
|
)
|
|
|
(9.69
|
)
|
|
|
347,706
|
|
|
|
1.59
|
**
|
|
|
4.59
|
**
|
|
|
13
|
|
|
11.92
|
|
|
|
20.66
|
|
|
|
379,961
|
|
|
|
1.61
|
|
|
|
4.92
|
|
|
|
11
|
|
|
(0.17
|
)
|
|
|
(5.93
|
)
|
|
|
355,342
|
|
|
|
1.42
|
|
|
|
5.14
|
|
|
|
15
|
|
|
1.93
|
|
|
|
2.50
|
|
|
|
375,081
|
|
|
|
1.14
|
|
|
|
5.47
|
|
|
|
8
|
|
|
6.10
|
|
|
|
1.85
|
|
|
|
388,835
|
|
|
|
1.03
|
|
|
|
5.44
|
|
|
|
6
|
|
|
5.68
|
|
|
|
9.90
|
|
|
|
328,856
|
|
|
|
1.05(c
|
)
|
|
|
5.93(c
|
)
|
|
|
12
|
|
|
|
(b)
|
The expense ratios reflect, among other things, the interest expense deemed to have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters held by the Fund
(as described in Note 4 – Portfolio Securities and Investments in Derivatives), where applicable, as follows:
|
|
|
|
|
|
NMI
|
|
|
NEV
|
|
Year Ended 10/31:
|
|
|
Year Ended 10/31:
|
|
2020(e)
|
—%**
|
|
2020(e)
|
0.63%**
|
2019
|
—
|
|
2019
|
0.61
|
2018
|
—
|
|
2018
|
0.40
|
2017
|
—
|
|
2017
|
0.17
|
2016
|
0.03
|
|
2016
|
0.07
|
2015
|
0.01
|
|
2015
|
0.07
|
|
|
(c)
|
During the fiscal year ended October 31, 2015, the Adviser voluntarily reimbursed the Fund for certain expenses incurred in connection with its common shares equity shelf program. As a result, the Expenses and Net Investment Income
(Loss) Ratios to Average Net Assets Applicable to Common Shares reflect this voluntary expense reimbursement from Adviser. The Expenses and Net Investment Income (Loss) Ratios to Average Net Assets Applicable to Common Shares excluding
this expense reimbursement from Adviser are as follows:
|
|
|
|
|
Ratios to Average Net Assets
|
|
|
Net Investment
|
NEV
|
Expenses
|
Income (Loss)
|
Year Ended 10/31:
|
|
|
2015
|
1.08%
|
5.91%
|
|
|
(d)
|
Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 4 – Portfolio Securities and Investments in Derivatives) divided by the average long-term market value during the period.
|
(e)
|
For the six months ended April 30, 2020.
|
*
|
Rounds to less than $0.01 per share.
|
**
|
Annualized.
|
See accompanying notes to financial statements.
77
Financial Statements (Unaudited)
1. General Information
Fund Information
The funds covered in this report and their corresponding New York Stock Exchange (“NYSE”) symbols are as follows (each a “Fund” and collectively, the “Funds”):
• Nuveen Municipal Value Fund, Inc. (NUV)
• Nuveen AMT-Free Municipal Value Fund (NUW)
• Nuveen Municipal Income Fund, Inc. (NMI)
• Nuveen Enhanced Municipal Value Fund (NEV)
The Funds are registered under the Investment Company Act of 1940 (the “1940 Act”), as amended, as diversified closed-end management investment companies. NUV and NMI were incorporated under the state laws of
Minnesota on April 8, 1987 and February 26, 1988, respectively. NUW and NEV were organized as Massachusetts business trusts on November 19, 2008 and July 27, 2009, respectively.
The end of the reporting period for the Funds is April 30, 2020, and the period covered by these Notes to Financial Statements is the six months ended April 30, 2020 (the “current fiscal period”).
Investment Adviser and Sub-Adviser
The Funds’ 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 Funds, oversees the management of the Funds’ portfolios, manages the Funds’ business affairs and provides certain clerical, bookkeeping and other administrative services, and,
if necessary, asset allocation decisions. The Adviser has entered into sub-advisory agreements with Nuveen Asset Management, LLC (the “Sub-Adviser”), a subsidiary of the Adviser, under which the Sub-Adviser manages the investment portfolios of
the Funds.
Other Matters
The outbreak of the novel coronavirus (“COVID-19”) and subsequent global pandemic began significantly impacting the U.S. and global financial markets and economies during the calendar quarter ended March 31, 2020.
The worldwide spread of COVID-19 has created significant uncertainty in the global economy. The duration and extent of COVID-19 over the long-term cannot be reasonably estimated at this time. There have been no comparable recent events that
provide guidance as to the effect the spread of COVID-19 as a global pandemic may have on the Funds’ financial performance. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds’ normal course of business, results of
operations, investments, and cash flows will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
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. Each Fund is an investment company and follows the 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 Funds.
Compensation
The Funds pay no compensation directly to those of its directors/trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Funds from the Adviser or
its affiliates. The Funds’ Board of Directors/Trustees (“the Board”) has adopted a deferred compensation plan for independent directors/trustees that enables directors/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.
78
Indemnifications
Under the Funds’ organizational documents, their officers and directors/trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal
course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that
have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
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. Investment
income is comprised of interest income, which is recorded on an accrual basis and includes the accretion of discounts and the amortization of premiums for financial reporting purposes. Investment income also reflects payment-in-kind (“PIK”)
interest and paydown gains and losses, if any. PIK interest represents income received in the form of securities in lieu of cash. Investment income also reflects dividend income, which is recorded on the ex-dividend date.
Netting Agreements
In the ordinary course of business, the Funds may enter into transactions subject to enforceable International Swaps and Derivatives Association, Inc. (ISDA) master agreements or other similar arrangements (“netting
agreements”). Generally, the right to offset in netting agreements allows each Fund to offset certain securities and derivatives with a specific counterparty, when applicable, as well as any collateral received or delivered to that counterparty
based on the terms of the agreements. Generally, each Fund manages its cash collateral and securities collateral on a counterparty basis.
The Funds’ investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 4 – Portfolio Securities and Investments in Derivatives.
New Accounting Pronouncements and Rule Issuances
FASB Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities
The FASB has issued ASU 2017-08, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 specifies that the premium amortization period ends at the
earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. During the current fiscal period, ASU 2017-08
became effective for the Funds and it did not have a material impact on the Funds’ financial statements.
Fair Value Measurement: Disclosure Framework
During August 2018, the FASB issued ASU 2018-13 (“ASU 2018-13”), Fair Value Measurement: Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurements. ASU 2018-13 modifies the
disclosures required by Topic 820, Fair Value Measurements. The amendments in ASU 2018-13 are effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has early
implemented this guidance and it did not have a material impact on the Funds’ financial statements.
Reference Rate Reform
In March 2020, FASB issued 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 at the end of 2021, 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 Funds may elect to apply the amendments as of March 12, 2020 through December 31, 2022. Management has not yet elected to apply the amendments, but is currently assessing the impact of the ASU's adoption to the Funds'
financial statements and various filings.
3. Investment Valuation and Fair Value Measurements
The fair valuation input levels as described below are for fair value measurement purposes.
The Funds’ investments in securities are recorded at their estimated fair value. Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly
transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish
classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources
independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information
available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.
79
Notes to Financial Statements (Unaudited) (continued)
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).
Prices of fixed income securities are provided by an independent pricing service (“pricing service”) approved by the Board. The pricing service establishes a security’s fair value using methods that may include
consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral,
general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2. In pricing certain securities, particularly less liquid and
lower quality securities, the pricing service may consider information about a security, its issuer or market activity, provided by the Adviser. These securities are generally classified as Level 2 or Level 3 depending on the observability of the
significant inputs.
Common stocks and other equity-type securities are valued at the last sales price on the securities exchange on which such securities are primarily traded and are generally classified as Level 1. Securities
primarily traded on the Nasdaq National Market (“Nasdaq”) are valued, at the Nasdaq Official Closing Price and are generally classified as Level 1. However, securities traded on a securities exchange or Nasdaq for which there were no transactions
on a given day or securities not listed on a securities exchange or Nasdaq are valued at the quoted bid price and are generally classified as Level 2.
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.
Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the Board and/or its appointee at fair value. These securities generally
include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose
trading has been formally suspended; debt securities that have gone into default and for which there is no current market quotation; a security whose market price is not available from a pre-established pricing source; a security with respect to
which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s NAV (as may be the case in non-U.S. markets on which the security is primarily traded) or
make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the security’s fair value. As a general principle, the fair value of a security would
appear to be the amount that the owner might reasonably expect to receive for it in a current sale. A variety of factors may be considered in determining the fair value of such securities, which may include consideration of the following: yields
or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other
information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs. Regardless of the method
employed to value a particular security, all valuations are subject to review by the Board and/or its appointee.
The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of each Fund’s fair value measurements as of the
end of the reporting period:
|
|
|
|
|
|
|
|
|
|
|
|
|
NUV
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
|
|
Long-Term Investments*:
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Bonds
|
|
$
|
—
|
|
|
$
|
2,087,133,478
|
|
|
$
|
—
|
|
|
$
|
2,087,133,478
|
|
|
|
NUW
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments*:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Bonds
|
|
$
|
—
|
|
|
$
|
245,138,404
|
|
|
$
|
—
|
|
|
$
|
245,138,404
|
|
Investments in Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts****
|
|
|
(1,718,488
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(1,718,488
|
)
|
Total
|
|
$
|
(1,718,488
|
)
|
|
$
|
245,138,404
|
|
|
$
|
—
|
|
|
$
|
243,419,916
|
|
80
|
|
|
|
|
NMI
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Long-Term Investments*:
|
|
|
|
|
Municipal Bonds
|
$ —
|
$93,324,827
|
$841,220**
|
$94,166,047
|
|
|
|
|
|
NEV
|
|
|
|
|
Long-Term Investments*:
|
|
|
|
|
Municipal Bonds
|
$ —
|
$463,837,298
|
$42,390**
|
$463,879,688
|
Common Stock
|
—
|
8,105,454***
|
—
|
8,105,454
|
Total
|
$ —
|
$471,942,752
|
$42,390
|
$471,985,142
|
* Refer to the Fund’s Portfolio of Investments for state classifications.
** Refer to the Fund’s Portfolio of Investments for securities classified as Level 3.
*** Refer to the Fund’s Portfolio of Investments for securities classified as Level 2.
**** Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments.
4. Portfolio Securities and Investments in Derivatives
Portfolio Securities
Inverse Floating Rate Securities
Each Fund is authorized to invest in inverse floating rate securities. An inverse floating rate security is created by depositing a municipal bond (referred to as an “Underlying Bond”), typically with a fixed
interest rate, into a special purpose tender option bond (“TOB”) trust (referred to as the “TOB Trust”) created by or at the direction of one or more Funds. In turn, the TOB Trust issues (a) floating rate certificates (referred to as “Floaters”),
in face amounts equal to some fraction of the Underlying Bond’s par amount or market value, and (b) an inverse floating rate certificate (referred to as an “Inverse Floater”) that represents all remaining or residual interest in the TOB Trust.
Floaters typically pay short-term tax-exempt interest rates to third parties who are also provided a right to tender their certificate and receive its par value, which may be paid from the proceeds of a remarketing of the Floaters, by a loan to
the TOB Trust from a third party liquidity provider (“Liquidity Provider”), or by the sale of assets from the TOB Trust. The Inverse Floater is issued to a long term investor, such as one or more of the Funds. The income received by the Inverse
Floater holder varies inversely with the short-term rate paid to holders of the Floaters, and in most circumstances the Inverse Floater holder bears substantially all of the Underlying Bond’s downside investment risk and also benefits
disproportionately from any potential appreciation of the Underlying Bond’s value. The value of an Inverse Floater will be more volatile than that of the Underlying Bond because the interest rate is dependent on not only the fixed coupon rate of
the Underlying Bond but also on the short-term interest paid on the Floaters, and because the Inverse Floater essentially bears the risk of loss (and possible gain) of the greater face value of the Underlying Bond.
The Inverse Floater held by a Fund gives the Fund the right to (a) cause the holders of the Floaters to tender their certificates at par (or slightly more than par in certain circumstances), and (b) have the trustee
of the TOB Trust (the “Trustee”) transfer the Underlying Bond held by the TOB Trust to the Fund, thereby collapsing the TOB Trust.
The Fund may acquire an Inverse Floater in a transaction where it (a) transfers an Underlying Bond that it owns to a TOB Trust created by a third party or (b) transfers an Underlying Bond that it owns, or that it
has purchased in a secondary market transaction for the purpose of creating an Inverse Floater, to a TOB Trust created at its direction, and in return receives the Inverse Floater of the TOB Trust (referred to as a “self-deposited Inverse
Floater”). A Fund may also purchase an Inverse Floater in a secondary market transaction from a third party creator of the TOB Trust without first owning the Underlying Bond (referred to as an “externally-deposited Inverse Floater”).
An investment in a self-deposited Inverse Floater is accounted for as a “financing” transaction (i.e., a secured borrowing). For a self-deposited Inverse Floater, the Underlying Bond deposited into the TOB Trust is
identified in the Fund’s Portfolio of Investments as “(UB) – Underlying bond of an inverse floating rate trust reflected as a financing transaction,” with the Fund recognizing as liabilities, labeled “Floating rate obligations” on the Statement
of Assets and Liabilities, (a) the liquidation value of Floaters issued by the TOB Trust, and (b) the amount of any borrowings by the TOB Trust from a Liquidity Provider to enable the TOB Trust to purchase outstanding Floaters in lieu of a
remarketing. In addition, the Fund recognizes in “Investment Income” the entire earnings of the Underlying Bond, and recognizes (a) the interest paid to the holders of the Floaters or on the TOB Trust’s borrowings, and (b) other expenses related
to remarketing, administration, trustee, liquidity and other services to a TOB Trust, as a component of “Interest expense and amortization of offering costs” on the Statement of Operations. Earnings due from the Underlying Bond and interest due
to the holders of the Floaters as of the end of the reporting period are recognized as components of “Receivable for interest” and “Payable for interest” on the Statement of Assets and Liabilities, respectively.
In contrast, an investment in an externally-deposited Inverse Floater is accounted for as a purchase of the Inverse Floater and is identified in the Fund’s Portfolio of Investments as “(IF) – Inverse floating rate
investment.” For an externally-deposited Inverse Floater, a Fund’s Statement of Assets and Liabilities recognizes the Inverse Floater and not the Underlying Bond as an asset, and the Fund does not recognize the Floaters, or any related borrowings
from a Liquidity Provider, as a liability. Additionally, the Fund reflects in “Investment Income” only the net amount of earnings on the
81
Notes to Financial Statements (Unaudited) (continued)
Inverse Floater (net of the interest paid to the holders of the Floaters or the Liquidity Provider as lender, and the expenses of the Trust), and does not show the amount of that interest paid or the expenses of the
TOB Trust as described above as interest expense on the Statement of Operations.
Fees paid upon the creation of a TOB Trust for self-deposited Inverse Floaters and externally-deposited Inverse Floaters are recognized as part of the cost basis of the Inverse Floater and are capitalized over the
term of the TOB Trust.
As of the end of the reporting period, the aggregate value of Floaters issued by each Fund’s TOB Trust for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Obligations Outstanding
|
|
NUV
|
|
|
NUW
|
|
|
NMI
|
|
|
NEV
|
|
Floating rate obligations: self-deposited Inverse Floaters
|
|
$
|
29,705,000
|
|
|
$
|
2,000,000
|
|
|
$
|
—
|
|
|
$
|
127,412,000
|
|
Floating rate obligations: externally-deposited Inverse Floaters
|
|
|
—
|
|
|
|
1,339,000
|
|
|
|
—
|
|
|
|
73,645,000
|
|
Total
|
|
$
|
29,705,000
|
|
|
$
|
3,339,000
|
|
|
$
|
—
|
|
|
$
|
201,057,000
|
|
During the current fiscal period, the average amount of Floaters (including any borrowings from a Liquidity Provider) outstanding, and average annual interest rate and fees related to self-deposited Inverse
Floaters, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Self-Deposited Inverse Floaters
|
|
NUV
|
|
|
NUW
|
|
|
NMI
|
|
|
NEV
|
|
Average floating rate obligations outstanding
|
|
$
|
29,705,000
|
|
|
$
|
2,000,000
|
|
|
$
|
—
|
|
|
$
|
122,738,099
|
|
Average annual interest rate and fees
|
|
|
1.78
|
%
|
|
|
1.78
|
%
|
|
|
—
|
%
|
|
|
1.94
|
%
|
TOB Trusts are supported by a liquidity facility provided by a Liquidity Provider pursuant to which the Liquidity Provider agrees, in the event that Floaters are (a) tendered to the Trustee for remarketing and the
remarketing does not occur, or (b) subject to mandatory tender pursuant to the terms of the TOB Trust agreement, to either purchase Floaters or to provide the Trustee with an advance from a loan facility to fund the purchase of Floaters by the
TOB Trust. In certain circumstances, the Liquidity Provider may otherwise elect to have the Trustee sell the Underlying Bond to retire the Floaters that were tendered and not remarketed prior to providing such a loan. In these circumstances, the
Liquidity Provider remains obligated to provide a loan to the extent that the proceeds of the sale of the Underlying Bond is not sufficient to pay the purchase price of the Floaters.
The size of the commitment under the loan facility for a given TOB Trust is at least equal to the balance of that TOB Trust’s outstanding Floaters plus any accrued interest. In consideration of the loan facility,
fee schedules are in place and are charged by the Liquidity Provider(s). Any loans made by the Liquidity Provider will be secured by the purchased Floaters held by the TOB Trust. Interest paid on any outstanding loan balances will be effectively
borne by the Fund that owns the Inverse Floaters of the TOB Trust that has incurred the borrowing and may be at a rate that is greater than the rate that would have been paid had the Floaters been successfully remarketed.
As described above, any amounts outstanding under a liquidity facility are recognized as a component of “Floating rate obligations” on the Statement of Assets and Liabilities by the Fund holding the corresponding
Inverse Floaters issued by the borrowing TOB Trust. As of the end of the reporting period, there were no loans outstanding under any such facility.
Each Fund may also enter into shortfall and forbearance agreements (sometimes referred to as a “recourse arrangement”) (TOB Trusts involving such agreements are referred to herein as “Recourse Trusts”), under which
a Fund agrees to reimburse the Liquidity Provider for the Trust’s Floaters, in certain circumstances, for the amount (if any) by which the liquidation value of the Underlying Bond held by the TOB Trust may fall short of the sum of the liquidation
value of the Floaters issued by the TOB Trust plus any amounts borrowed by the TOB Trust from the Liquidity Provider, plus any shortfalls in interest cash flows. Under these agreements, a Fund’s potential exposure to losses related to or on an
Inverse Floater may increase beyond the value of the Inverse Floater as a Fund may potentially be liable to fulfill all amounts owed to holders of the Floaters or the Liquidity Provider. Any such shortfall amount in the aggregate is recognized as
“Unrealized depreciation on Recourse Trusts” on the Statement of Assets and Liabilities.
As of the end of the reporting period, each Fund’s maximum exposure to the Floaters issued by Recourse Trusts for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Floating Rate Obligations – Recourse Trusts
|
|
NUV
|
|
|
NUW
|
|
|
NMI
|
|
|
NEV
|
|
Maximum exposure to Recourse Trusts: self-deposited Inverse Floaters
|
|
$
|
29,705,000
|
|
|
$
|
2,000,000
|
|
|
$
|
—
|
|
|
$
|
119,412,000
|
|
Maximum exposure to Recourse Trusts: externally-deposited Inverse Floaters
|
|
|
—
|
|
|
|
1,339,000
|
|
|
|
—
|
|
|
|
71,135,000
|
|
Total
|
|
$
|
29,705,000
|
|
|
$
|
3,339,000
|
|
|
$
|
—
|
|
|
$
|
190,547,000
|
|
Zero Coupon Securities
A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Income to the holder of the security comes from accretion of the difference between the original purchase
price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest
periodically.
82
Investment Transactions
Long-term purchases and sales (including maturities but excluding derivative transactions, where applicable) during the current fiscal period were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUV
|
|
|
NUW
|
|
|
NMI
|
|
|
NEV
|
|
Purchases
|
|
$
|
146,339,089
|
|
|
$
|
23,086,714
|
|
|
$
|
11,059,815
|
|
|
$
|
86,771,469
|
|
Sales and maturities
|
|
|
141,172,032
|
|
|
|
23,168,473
|
|
|
|
8,809,066
|
|
|
|
62,971,880
|
|
The Funds 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. The Funds have earmarked securities in their portfolios with a current value at least equal to the amount of the when-issued/
delayed-delivery purchase commitments. If a 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.
Investments in Derivatives
In addition to the inverse floating rate securities in which each Fund may invest, which are considered portfolio securities for financial reporting purposes, each Fund is authorized to invest in certain other
derivative instruments, such as futures, options and swap contracts. Each Fund limits its investments in futures, options on futures and swap contracts to the extent necessary for the Adviser to claim the exclusion from registration by the
Commodity Futures Trading Commission as a commodity pool operator with respect to the Fund. The Funds record derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though
the Funds’ investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.
Futures Contracts
Upon execution of a futures contract, 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. Cash held by the broker to cover initial margin requirements on open futures contracts, if any, is recognized as “Cash collateral at brokers for investments in futures contracts” on the Statement of Assets and Liabilities.
Investments in futures contracts obligate a Fund and the clearing broker to settle monies on a daily basis representing changes in the prior days “mark-to-market” of the open contracts. If a Fund has unrealized appreciation the clearing broker
would credit the Fund’s account with an amount equal to appreciation and conversely if a Fund has unrealized depreciation the clearing broker would debit the Fund’s account with an amount equal to depreciation. These daily cash settlements are
also known as “variation margin.” Variation margin is recognized as a receivable and/or payable for “Variation margin on futures contracts” on the Statement of Assets and Liabilities.
During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by “marking-to-market” on a daily basis to reflect the changes in market value of the
contract, which is recognized as a component of “Change in net unrealized appreciation (depreciation) of futures contracts” on the Statement of Operations. When the contract is closed or expired, a Fund records a realized gain or loss equal to
the difference between the value of the contract on the closing date and value of the contract when originally entered into, which is recognized as a component of “Net realized gain (loss) from futures contracts” on the Statement of Operations.
Risks of investments in futures contracts include the possible adverse movement in the price of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for
the contracts and/or that a change in the value of the contract may not correlate with a change in the value of the underlying securities or indices.
During the current reporting period, NUW managed the duration of its portfolio by shorting interest rate futures contracts.
The average notional amount of futures contracts outstanding during the current fiscal period was as follows:
|
|
|
|
|
|
NUW
|
|
Average notional amount of futures contracts outstanding*
|
|
$
|
36,625,490
|
|
* The average notional amount is calculated based on the absolute aggregate notional amount of contracts outstanding at the beginning of the current fiscal period and at the
end of each fiscal quarter within the current fiscal period.
The following table presents the fair value of all futures contracts held by the Fund as of the end of the reporting period, the location of these instruments on the Statement of Assets and Liabilities and the
primary underlying risk exposure.
|
|
|
|
|
|
|
|
|
Location on the Statement of Assets and Liabilities
|
Underlying
|
Derivative
|
Asset Derivatives
|
|
(Liability) Derivatives
|
Risk Exposure
|
Instrument
|
Location
|
Value
|
|
Location
|
Value
|
NUW
|
|
|
|
|
|
|
Interest rate
|
Futures contracts
|
—
|
—
|
|
Payable for variation margin
|
$(1,718,488)
|
|
|
|
|
|
on futures contracts*
|
|
* Value represents the cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Fund’s Portfolio of Investments and not the asset and/or
liability derivative location as described in the table above.
83
Notes to Financial Statements (Unaudited) (continued)
The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on futures contracts on the Statement of Operations during the current fiscal
period, and the primary underlying risk exposure.
|
|
|
|
|
|
|
|
Net Realized
|
Change in Net Unrealized
|
|
Underlying Risk
|
Derivative
|
Gain (Loss) from
|
Appreciation (Depreciation) of
|
Fund
|
Exposure
|
Instrument
|
Futures Contracts
|
Futures Contracts
|
NUW
|
Interest rate
|
Futures contracts
|
$(402,348)
|
$(1,985,653)
|
Market and Counterparty Credit Risk
In the normal course of business each Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the
other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose each Fund to counterparty
credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of each Fund’s exposure to counterparty credit risk in respect to these financial assets approximates their
carrying value as recorded on the Statement of Assets and Liabilities.
Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the
financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any
unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the
unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the pre-determined threshold amount.
5. Fund Shares
Common Share Equity Shelf Programs and Offering Costs
The following Funds have each filed registration statements with the Securities and Exchange Commission (“SEC”) authorizing each Fund to issue additional common shares through one or more equity shelf programs
(“Shelf Offering”), which became effective with the SEC during a prior fiscal period.
Under these Shelf Offerings, the Funds, subject to market conditions, may raise additional equity capital by issuing additional common shares from time to time in varying amounts and by different offering methods at
a net price at or above each Fund’s NAV per common share. In the event each Fund’s Shelf Offering registration statement is no longer current, the Funds may not issue additional common shares until a post-effective amendment to the registration
statement has been filed with the SEC.
Additional authorized common shares, common shares sold and offering proceeds, net of offering costs under each Fund’s Shelf Offering during the Funds’ current and prior fiscal period were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUW
|
|
|
NMI
|
|
|
|
Six Months
|
|
|
Year
|
|
|
Six Months
|
|
|
Year
|
|
|
|
Ended
|
|
|
Ended
|
|
|
Ended
|
|
|
Ended
|
|
|
|
4/30/20
|
|
|
10/31/19
|
|
|
4/30/20
|
|
|
10/31/19
|
|
Additional authorized common shares
|
|
|
1,500,000
|
|
|
|
1,500,000
|
|
|
|
800,000
|
*
|
|
|
800,000
|
|
Common shares sold
|
|
|
—
|
|
|
|
109,938
|
|
|
|
330,371
|
|
|
|
72,629
|
|
Offering proceeds, net of offering costs
|
|
$
|
—
|
|
|
$
|
1,920,037
|
|
|
$
|
3,768,508
|
|
|
$
|
828,032
|
|
* Represents additional authorized common shares for the period November 1, 2019 through March 8, 2020.
Costs incurred by the Funds in connection with their initial shelf registrations are recorded as a prepaid expense and recognized as “Deferred offering costs” on the Statement of Assets and Liabilities. These costs
are amortized pro rata as common shares are sold and are recognized as a component of “Proceeds from shelf offering, net of offering costs” on the Statement of Changes in Net Assets. Any deferred offering costs remaining one year after
effectiveness of the initial shelf registration will be expensed. Costs incurred by the Funds to keep the shelf registration current are expensed as incurred and recognized as a component of “Other expenses” on the Statement of Operations.
84
Common Share Transactions
Transactions in common shares during the Funds’ current and prior fiscal period, where applicable, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUV
|
|
|
NUW
|
|
|
NMI
|
|
|
|
Six Months
|
|
|
Year
|
|
|
Six Months
|
|
|
Year
|
|
|
Six Months
|
|
|
Year
|
|
|
|
Ended
|
|
|
Ended
|
|
|
Ended
|
|
|
Ended
|
|
|
Ended
|
|
|
Ended
|
|
|
|
4/30/20
|
|
|
10/31/19
|
|
|
4/30/20
|
|
|
10/31/19
|
|
|
4/30/20
|
|
|
10/31/19
|
|
Common shares:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issued to shareholders due to reinvestment of distributions
|
|
|
121,062
|
|
|
|
—
|
|
|
|
—
|
|
|
|
7,010
|
|
|
|
8,094
|
|
|
|
6,120
|
|
Sold through shelf offering
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
109,938
|
|
|
|
330,371
|
|
|
|
72,629
|
|
Weighted average common share:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Premium to NAV per shelf offering common share sold
|
|
|
—
|
%
|
|
|
—
|
%
|
|
|
—
|
%
|
|
|
5.25
|
%
|
|
|
1.39
|
%
|
|
|
1.40
|
%
|
6. Income Tax Information
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and to otherwise comply with the
requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required. Furthermore, each Fund intends to satisfy conditions that will enable interest from
municipal securities, which is exempt from regular federal income tax, and in the case of NUW the alternative minimum tax applicable to individuals, to retain such tax-exempt status when distributed to shareholders of the Funds. Net realized
capital gains and ordinary income distributions paid by the Funds are subject to federal taxation.
For all open tax years and all major taxing jurisdictions, management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open
tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Funds is also not aware of any tax positions for which it
is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing taxable
market discount, timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate securities reflected as financing transactions, if any. To the extent that
differences arise that are permanent in nature, such amounts are reclassified within the capital accounts as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the NAVs of the
Funds.
The table below presents the cost and unrealized appreciation (depreciation) of each Fund’s investment portfolio, as determined on a federal income tax basis, as of April 30, 2020.
For purposes of this disclosure, derivative tax cost is generally the sum of any upfront fees or premiums exchanged and any amounts unrealized for income statement reporting but realized in income and/or capital
gains for tax reporting. If a particular derivative category does not disclose any tax unrealized appreciation or depreciation, the change in value of those derivatives have generally been fully realized for tax purposes.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUV
|
|
|
NUW
|
|
|
NMI
|
|
|
NEV
|
|
Tax cost of investments
|
|
$
|
1,919,260,465
|
|
|
$
|
225,947,764
|
|
|
$
|
92,437,246
|
|
|
$
|
352,733,325
|
|
Gross unrealized:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Appreciation
|
|
$
|
167,786,134
|
|
|
$
|
20,983,778
|
|
|
$
|
4,098,531
|
|
|
$
|
13,730,921
|
|
Depreciation
|
|
|
(29,618,133
|
)
|
|
|
(5,511,626
|
)
|
|
|
(2,369,730
|
)
|
|
|
(21,889,139
|
)
|
Net unrealized appreciation (depreciation) of investments
|
|
$
|
138,168,001
|
|
|
$
|
15,472,152
|
|
|
$
|
1,728,801
|
|
|
$
|
(8,158,218
|
)
|
Permanent differences, primarily due to taxable market discount, expiration of capital loss carryforwards and distribution reallocations resulted in reclassifications among the Funds’ components of net assets as of
October 31, 2019, the Funds’ last tax year end.
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains as of October 31, 2019, the Funds’ last tax year end, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUV
|
|
|
NUW
|
|
|
NMI
|
|
|
NEV
|
|
Undistributed net tax-exempt income1
|
|
$
|
8,041,006
|
|
|
$
|
—
|
|
|
$
|
228,467
|
|
|
$
|
2,195,771
|
|
Undistributed net ordinary income2
|
|
|
2,536,534
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Undistributed net long-term capital gains
|
|
|
—
|
|
|
|
—
|
|
|
|
315,472
|
|
|
|
—
|
|
|
1 Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividend declared on October 1, 2019 and paid on November 1, 2019.
|
2 Net ordinary income consists of taxable market discount income and net short-term capital gains, if any.
|
85
Notes to Financial Statements (Unaudited) (continued)
The tax character of distributions paid during the Funds’ last tax year ended October 31, 2019 was designated for purposes of the dividends paid deduction as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUV
|
|
|
NUW
|
|
|
NMI
|
|
|
NEV
|
|
Distributions from net tax-exempt income
|
|
$
|
75,629,909
|
|
|
$
|
9,785,093
|
|
|
$
|
3,665,241
|
|
|
$
|
16,589,036
|
|
Distributions from net ordinary income2
|
|
|
1,327,761
|
|
|
|
346,584
|
|
|
|
111,090
|
|
|
|
327,110
|
|
Distributions from net long-term capital gains
|
|
|
—
|
|
|
|
1,576,014
|
|
|
|
628,561
|
|
|
|
—
|
|
|
2 Net ordinary income consists of taxable market discount income and net short-term capital gains, if any.
|
As of October 31, 2019, the Funds’ last tax year end, the following Funds had unused capital losses carrying forward available for federal income tax purposes to be applied against future capital gains, if any. The
capital losses are not subject to expiration.
|
|
|
|
|
|
|
|
|
|
|
|
NUV
|
|
|
NUW
|
|
|
NEV
|
|
Not subject to expiration:
|
|
|
|
|
|
|
|
|
|
Short-term
|
|
$
|
10,969,504
|
|
|
$
|
26,821
|
|
|
$
|
4,354,156
|
|
Long-term
|
|
|
12,568,429
|
|
|
|
—
|
|
|
|
784,747
|
|
Total
|
|
$
|
23,537,933
|
|
|
$
|
26,821
|
|
|
$
|
5,138,903
|
|
As of October 31, 2019, the Funds’ last tax year end, $16,146,849 of NEV’s capital loss carryforward expired.
During the Funds’ last tax year ended October 31, 2019, the following Funds utilized capital loss carryforwards as follows:
|
|
|
|
|
|
|
|
|
NUV
|
|
|
NEV
|
|
Utilized capital loss carryforwards
|
|
$
|
1,619,489
|
|
|
$
|
1,426,087
|
|
7. Management Fees and Other Transactions with Affiliates
Management Fees
Each 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 Funds from the
management fees paid to the Adviser.
Each Fund’s management fee consists of two components – a fund-level fee, based only on the amount of assets within each individual Fund, and a complex-level fee, based on the aggregate amount of all eligible fund
assets managed by the Adviser and for NUV a gross interest income component. This pricing structure enables Fund shareholders to benefit from growth in the assets within their respective Fund as well as from growth in the amount of complex-wide
assets managed by the Adviser.
The annual fund-level fee, payable monthly, for NUV is calculated according to the following schedule:
|
|
|
|
|
|
NUV
|
|
Average Daily Net Assets
|
|
Fund-Level Fee Rate
|
|
For the first $500 million
|
|
|
0.1500
|
%
|
For the next $500 million
|
|
|
0.1250
|
|
For net assets over $1 billion
|
|
|
0.1000
|
|
In addition, NUV pays an annual management fee, payable monthly, based on gross interest income (excluding interest on bonds underlying a “self-deposited inverse floater” trust that is attributed to the Fund over
and above the net interest earned on the inverse floater itself) as follows:
|
|
|
|
|
|
NUV
|
|
Gross Interest Income
|
|
Gross Income Fee Rate
|
|
For the first $50 million
|
|
|
4.125
|
%
|
For the next $50 million
|
|
|
4.000
|
|
For gross income over $100 million
|
|
|
3.875
|
|
86
The annual fund-level fee, payable monthly, for NUW, NMI and NEV is calculated according to the following schedules:
|
|
|
|
|
|
NUW
|
|
Average Daily Managed Assets*
|
|
Fund-Level Fee Rate
|
|
For the first $125 million
|
|
|
0.4000
|
%
|
For the next $125 million
|
|
|
0.3875
|
|
For the next $250 million
|
|
|
0.3750
|
|
For the next $500 million
|
|
|
0.3625
|
|
For the next $1 billion
|
|
|
0.3500
|
|
For the next $3 billion
|
|
|
0.3250
|
|
For managed assets over $5 billion
|
|
|
0.3125
|
|
|
|
|
|
|
|
|
NMI
|
|
Average Daily Net Assets
|
|
Fund-Level Fee Rate
|
|
For the first $125 million
|
|
|
0.4500
|
%
|
For the next $125 million
|
|
|
0.4375
|
|
For the next $250 million
|
|
|
0.4250
|
|
For the next $500 million
|
|
|
0.4125
|
|
For the next $1 billion
|
|
|
0.4000
|
|
For the next $3 billion
|
|
|
0.3750
|
|
For net assets over $5 billion
|
|
|
0.3625
|
|
|
|
|
|
|
|
|
NEV
|
|
Average Daily Managed Assets*
|
|
Fund-Level Fee Rate
|
|
For the first $125 million
|
|
|
0.4500
|
%
|
For the next $125 million
|
|
|
0.4375
|
|
For the next $250 million
|
|
|
0.4250
|
|
For the next $500 million
|
|
|
0.4125
|
|
For the next $1 billion
|
|
|
0.4000
|
|
For the next $3 billion
|
|
|
0.3750
|
|
For managed assets over $5 billion
|
|
|
0.3625
|
|
87
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 (net
assets for NUV and NMI):
|
|
|
|
Complex-Level Eligible Asset Breakpoint Level*
|
|
Effective Complex-Level Fee Rate at Breakpoint Level
|
|
$55 billion
|
|
|
0.2000
|
%
|
$56 billion
|
|
|
0.1996
|
|
$57 billion
|
|
|
0.1989
|
|
$60 billion
|
|
|
0.1961
|
|
$63 billion
|
|
|
0.1931
|
|
$66 billion
|
|
|
0.1900
|
|
$71 billion
|
|
|
0.1851
|
|
$76 billion
|
|
|
0.1806
|
|
$80 billion
|
|
|
0.1773
|
|
$91 billion
|
|
|
0.1691
|
|
$125 billion
|
|
|
0.1599
|
|
$200 billion
|
|
|
0.1505
|
|
$250 billion
|
|
|
0.1469
|
|
$300 billion
|
|
|
0.1445
|
|
* For the complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes,
leverage includes the funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets
held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain
circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen open-end and closed-end funds that constitute “eligible assets.” Eligible assets do not include assets attributable to investments in
other Nuveen funds or assets in excess of a determined amount (originally $2 billion) added to the Nuveen fund complex in connection with the Adviser’s assumption of the management of the former First American Funds effective January 1, 2011, but
do 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 April 30, 2020, the complex-level fee rate for each Fund was 0.1593%.
Other Transactions with Affiliates
Each Fund is permitted to purchase or sell securities from or to certain other funds or accounts managed by the Sub-Adviser (“Affiliated Entity”) under specified conditions outlined in procedures adopted by the
Board (“cross-trade”). These procedures have been designed to ensure that any cross-trade of securities by the Fund from or to an Affiliated Entity by virtue of having a common investment adviser (or affiliated investment adviser), common officer
and/or common trustee complies with Rule 17a-7 under the 1940 Act. These transactions are effected at the current market price (as provided by an independent pricing service) without incurring broker commissions.
During the current fiscal period, the following Funds engaged in cross-trades pursuant to these procedures as follows:
|
|
|
|
|
|
|
|
|
|
Cross-Trades
|
|
NUV
|
|
|
NUW
|
|
|
NMI
|
|
Purchases
|
|
$
|
301,030
|
|
|
$
|
667,911
|
|
|
$
|
384,338
|
|
Sales
|
|
|
317,475
|
|
|
|
—
|
|
|
|
386,350
|
|
8. Borrowing Arrangements
Committed Line of Credit
The Funds, along with certain other funds managed by the Adviser (“Participating Funds”), have established a 364-day, $2.65 billion standby credit facility with a group of lenders, under which the Participating
Funds may borrow for various purposes other than leveraging for investment purposes. Each Participating Fund is allocated a designated proportion of the facility’s capacity (and its associated costs, as described below) based upon a multi-factor
assessment of the likelihood and frequency of its need to draw on the facility, the size of the Fund and its anticipated draws, and the potential importance of such draws to the operations and well-being of the Fund, relative to those of the
other Funds. A Fund may effect draws on the facility in excess of its designated capacity if and to the extent that other Participating Funds have undrawn capacity. The credit facility expires in June 2020 unless extended or renewed.
The credit facility has the following terms: a fee of 0.15% per annum on unused commitment amounts, and interest at a rate equal to the higher of (a) one-month LIBOR (London Inter-Bank Offered Rate) plus 1.00% per
annum or (b) the Fed Funds rate plus 1.00% per annum on amounts borrowed. Participating Funds paid administration, legal and arrangement fees, which are recognized as a component of “Other expenses” on the Statement of Operations, and along with
commitment fees, have been allocated among such Participating Funds based upon the relative proportions of the facility’s aggregate capacity reserved for them and other factors deemed relevant by the Adviser and the Board of each Participating
Fund.
88
During the current fiscal period, the following Funds utilized this facility. Each Fund’s maximum outstanding balance during the utilization period was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
NUV
|
|
|
NMI
|
|
|
NEV
|
|
Maximum outstanding balance
|
|
$
|
12,800,000
|
|
|
$
|
332,736
|
|
|
$
|
10,900,000
|
|
During each Fund’s utilization period(s), during the current fiscal period, the average daily balance outstanding and average annual interest rate on the Borrowings were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
NUV
|
|
|
NMI
|
|
|
NEV
|
|
Utilization period (days outstanding)
|
|
|
10
|
|
|
|
2
|
|
|
|
2
|
|
Average daily balance outstanding
|
|
$
|
11,844,916
|
|
|
$
|
332,736
|
|
|
$
|
10,900,000
|
|
Average annual interest rate
|
|
|
2.05
|
%
|
|
|
2.76
|
%
|
|
|
2.66
|
%
|
Borrowings outstanding as of the end of the reporting period, if any, are recognized as “Borrowings” on the Statement of Assets and Liabilities, where applicable.
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 Funds covered by
this shareholder report, will participate only as lenders, and not as borrowers, in the Inter-Fund Program because such closed-end funds rarely, if ever, need to borrow cash to meet redemptions. The Inter-Fund Program is subject to a number of
conditions, including, among other things, the requirements that (1) no fund may borrow or lend money through the Inter-Fund Program unless it receives a more favorable interest rate than is typically available from a bank or other financial
institution for a comparable transaction; (2) no fund may borrow on an unsecured basis through the Inter-Fund Program unless the fund’s outstanding borrowings from all sources immediately after the inter-fund borrowing total 10% or less of its
total assets; provided that if the borrowing fund has a secured borrowing outstanding from any other lender, including but not limited to another fund, the inter-fund loan must be secured on at least an equal priority basis with at least an
equivalent percentage of collateral to loan value; (3) if a fund’s total outstanding borrowings immediately after an inter-fund borrowing would be greater than 10% of its total assets, the fund may borrow through the inter-fund loan on a secured
basis only; (4) no fund may lend money if the loan would cause its aggregate outstanding loans through the Inter-Fund Program to exceed 15% of its net assets at the time of the loan; (5) a fund’s inter-fund loans to any one fund shall not exceed
5% of the lending fund’s net assets; (6) the duration of inter-fund loans will be limited to the time required to receive payment for securities sold, but in no event more than seven days; and (7) each inter-fund loan may be called on one
business day’s notice by a lending fund and may be repaid on any day by a borrowing fund. In addition, a Nuveen fund may participate in the Inter-Fund Program only if and to the extent that such participation is consistent with the fund’s
investment objective and investment policies. The Board is responsible for overseeing the Inter-Fund Program.
The limitations detailed above and the other conditions of the SEC exemptive order permitting the Inter-Fund Program are designed to minimize the risks associated with Inter-Fund Program for both the lending fund
and the borrowing fund. However, no borrowing or lending activity is without risk. When a fund borrows money from another fund, there is a risk that the loan could be called on one day’s notice or not renewed, in which case the fund may have to
borrow from a bank at a higher rate or take other actions to payoff such loan if an inter-fund loan is not available from another fund. Any delay in repayment to a lending fund could result in a lost investment opportunity or additional borrowing
costs.
During the current reporting period, none of the Funds covered by this shareholder report have entered into any inter-fund loan activity.
9. Subsequent Events
Committed Line of Credit
During June 2020, the Participating Funds renewed the standby credit facility through June 2021. In conjunction with this renewal the commitment amount decreased from $2.65 billion to $2.405 billion and the interest
rate increased from LIBOR plus 1.00% to LIBOR plus 1.25%. The Participating Funds also incurred a 0.10% upfront fee. All other terms remain unchanged.
89
Additional Fund Information