Nuveen Multi-Market Income Fund

N-Q 1 d72100dnq.htm NUVEEN MULTI-MARKET INCOME FUND Nuveen Multi-Market Income Fund

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-05642

Nuveen Multi-Market Income Fund

(Exact name of registrant as specified in charter)

333 West Wacker Drive, Chicago, Illinois 60606

(Address of principal executive offices) (Zip code)

Kevin J. McCarthy—Vice President and Secretary

333 West Wacker Drive, Chicago, Illinois 60606

(Name and address of agent for service)

Registrant’s telephone number, including area code: 312-917-7700

Date of fiscal year end: June 30

Date of reporting period: September 30, 2015

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Schedule of Investments

JMM


Nuveen Multi-Market Income Fund
Portfolio of Investments		September 30, 2015 (Unaudited)


Shares		Description (1)	Coupon				Ratings (2)		Value

		LONG-TERM INVESTMENTS – 140.4% (99.1% of Total Investments)

		CONVERTIBLE PREFERRED SECURITIES – 0.8% (0.5% of Total Investments)

		Banks – 0.8%

	200	Bank of America Corporation		7.250%				BB+	$	215,400
	16,830	Bank of America Corporation		4.000%				BB+		344,005
		Total Convertible Preferred Securities (cost $439,296)								559,405

Shares		Description (1)	Coupon				Ratings (2)		Value

		$25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.1% (0.1% of Total Investments)

		Metals & Mining – 0.1%

	7,500	ArcelorMittal, Convertible Preferred		6.000%				BB–	$	61,650
		Total $25 Par (or similar) Retail Preferred (cost $153,187)								61,650

Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (2)		Value

		CORPORATE BONDS – 30.6% (21.6% of Total Investments)

		Aerospace & Defense – 0.2%

$	200	Bombardier Inc., 144A		4.750%		4/15/19		B	$	161,000

		Auto Components – 0.3%

	200	MPG Holdco I Inc.		7.375%		10/15/22		B+		208,000

		Automobiles – 0.2%

	100	Ford Motor Company		7.450%		7/16/31		BBB–		124,221

		Banks – 1.4%

	500	Bank of America Corporation		5.000%		5/13/21		A		550,941
	500	Citigroup Inc.		4.500%		1/14/22		A		540,793
	1,000	Total Banks								1,091,734

		Building Products – 0.3%

	250	NCI Building Systems, Inc., 144A		8.250%		1/15/23		B+		261,875

		Capital Markets – 0.8%

	500	Goldman Sachs Group, Inc.		5.750%		1/24/22		A		573,845

		Chemicals – 1.0%

	100	Hexion Inc.		6.625%		4/15/20		B3		85,000
	200	Momentive Performance Materials Inc., (3), (7)		8.875%		10/15/20		N/R		—
	200	Momentive Performance Materials Inc.		3.880%		10/24/21		B		154,000
	375	NOVA Chemicals Corporation, 144A		5.000%		5/01/25		BBB–		352,500
	200	Platform Specialty Products Corporation, 144A		6.500%		2/01/22		B+		172,000
	1,075	Total Chemicals								763,500

		Construction Materials – 0.5% (0.4% of Total Investments)

	385	Norbord Inc., 144A		5.375%		12/01/20		Ba2		381,150

		Consumer Finance – 0.3%

	250	Covenant Surgical Partners Inc., 144A		8.750%		8/01/19		B–		250,625


Nuveen Investments			1


JMM	Nuveen Multi-Market Income Fund
	Portfolio of Investments (continued)	September 30, 2015 (Unaudited)


Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (2)		Value

		Diversified Financial Services – 0.6%

$	200	James Hardie International Finance Limited, 144A		5.875%		2/15/23		BBB–	$	202,500
	250	Nationstar Mortgage LLC Capital Corporation		7.875%		10/01/20		B+		227,500
	450	Total Diversified Financial Services								430,000

		Diversified Telecommunication Services – 2.3%

	250	CenturyLink Inc.		6.750%		12/01/23		BB+		218,750
	200	CenturyLink Inc.		7.650%		3/15/42		BB+		153,000
	250	Frontier Communications Corporation		8.500%		4/15/20		BB		243,125
	400	IntelSat Jackson Holdings		7.500%		4/01/21		B+		369,000
	400	Qualitytech LP/QTS Finance Corp.		5.875%		8/01/22		BB–		400,000
	390	SBA Tower Trust, 144A		3.598%		4/15/43		BBB		391,713
	1,890	Total Diversified Telecommunication Services								1,775,588

		Electric Utilities – 1.0%

	225	FirstEnergy Corporation		4.250%		3/15/23		Baa3		226,176
	400	Intergen NV, 144A		7.000%		6/30/23		B+		340,000
	250	PPL Energy Supply LLC, 144A		6.500%		6/01/25		Ba3		215,000
	875	Total Electric Utilities								781,176

		Energy Equipment & Services – 0.8%

	250	Compressco Partners LP / Compressco Finance Corporation		7.250%		8/15/22		B		203,750
	200	Drill Rigs Holdings Inc., 144A		6.500%		10/01/17		B–		153,250
	300	Ensco PLC		4.700%		3/15/21		BBB+		252,629
	750	Total Energy Equipment & Services								609,629

		Food Products – 0.5%

	200	JBS Investments GmbH, 144A		7.250%		4/03/24		BB+		192,500
	200	Pilgrim’s Pride Corporation, 144A		5.750%		3/15/25		BB+		196,500
	400	Total Food Products								389,000

		Gas Utilities – 0.6%

	200	AmeriGas Finance LLC		7.000%		5/20/22		Ba2		205,000
	300	Ferrellgas LP		6.750%		1/15/22		B+		279,000
	500	Total Gas Utilities								484,000

		Health Care Equipment & Supplies – 0.4%

	350	Tenet Healthcare Corporation		6.875%		11/15/31		B3		315,000

		Health Care Providers & Services – 1.7%

	500	Community Health Systems, Inc.		6.875%		2/01/22		B+		510,605
	300	Iasis Healthcare Capital Corporation		8.375%		5/15/19		CCC+		308,625
	275	Kindred Healthcare Inc.		6.375%		4/15/22		B2		272,938
	250	Select Medical Corporation		6.375%		6/01/21		B–		243,750
	1,325	Total Health Care Providers & Services								1,335,918

		Hotels, Restaurants & Leisure – 0.2%

	200	Wynn Macau Limited, 144A		5.250%		10/15/21		Ba2		173,625

		Household Durables – 1.2%

	250	Brookfield Residential Properties Inc., 144A		6.500%		12/15/20		BB–		246,875
	200	K. Hovnanian Enterprises Inc., 144A		7.250%		10/15/20		Ba3		189,500
	250	KB Home		7.000%		12/15/21		B+		250,625
	200	William Lyon Homes Incorporated		8.500%		11/15/20		B–		214,500
	900	Total Household Durables								901,500


	2			Nuveen Investments


Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (2)		Value

		Independent Power & Renewable Electricity Producers – 0.6%

$	200	AES Corporation		5.500%		3/15/24		BB	$	177,300
	300	GenOn Energy Inc.		9.500%		10/15/18		B–		277,500
	500	Total Independent Power & Renewable Electricity Producers								454,800

		Insurance – 0.2%

	190	Genworth Holdings Inc.		4.800%		2/15/24		Ba1		142,500

		IT Services – 0.4%

	350	Zayo Group LLC / Zayo Capital Inc., 144A		6.000%		4/01/23		B–		339,500

		Machinery – 0.3%

	250	Commercial Vehicle Group		7.875%		4/15/19		B		254,375

		Media – 2.9%

	200	Altice S.A, 144A		7.750%		5/15/22		B		182,000
	300	CCO Safari II LLC, 144A		4.908%		7/23/25		BBB–		298,561
	250	CSC Holdings Inc.		8.625%		2/15/19		BB		257,500
	300	DIRECTV Holdings LLC		3.800%		3/15/22		A–		301,955
	200	Dish DBS Corporation		5.125%		5/01/20		BB–		187,500
	200	Midcontinent Communications Finance Company, 144A		6.250%		8/01/21		B		199,000
	200	Quebecor Media Inc.		5.750%		1/15/23		B+		197,000
	250	Tribune Media Company, 144A		5.875%		7/15/22		BB–		242,500
	350	WMG Acquisition Group, 144A		6.000%		1/15/21		B1		350,000
	2,250	Total Media								2,216,016

		Metals & Mining – 2.3%

	325	Alcoa Inc.		5.400%		4/15/21		BBB–		333,125
	175	Allegheny Technologies Inc.		5.950%		1/15/21		Ba2		157,500
	200	Anglogold Holdings PLC		5.125%		8/01/22		Baa3		170,750
	300	Eldorado Gold Corporation, 144A		6.125%		12/15/20		BB		261,000
	500	Freeport McMoRan, Inc.		3.550%		3/01/22		BBB		375,000
	200	Lundin Mining Corporation, 144A		7.500%		11/01/20		Ba2		193,500
	300	Vale Overseas Limited		4.375%		1/11/22		BBB+		264,582
	2,000	Total Metals & Mining								1,755,457

		Oil, Gas & Consumable Fuels – 3.9%

	200	Calumet Specialty Products		7.625%		1/15/22		B+		186,000
	200	Carrizo Oil and Gas Inc.		6.250%		4/15/23		B		174,140
	200	Chesapeake Energy Corporation		6.875%		11/15/20		BB		147,000
	250	Crestwood Midstream Partners LP		6.125%		3/01/22		BB		216,425
	200	EV Energy Partners LP / EV Energy Finance Corporation		8.000%		4/15/19		B–		136,000
	200	Genesis Energy LP		5.750%		2/15/21		B+		182,000
	245	Gibson Energy, 144A		6.750%		7/15/21		BB		235,506
	250	NGL Energy Partners LP/Fin Co		5.125%		7/15/19		BB–		227,500
	200	Niska Gas Storage Canada ULC Finance Corporation		6.500%		4/01/19		CCC+		176,000
	175	Rose Rock Midstream LP / Rose Rock Finance Corporation		5.625%		7/15/22		B1		154,000
	300	Tesoro Logistics LP Finance Corporation, 144A		6.250%		10/15/22		BB		292,500
	500	Transocean Inc.		4.300%		10/15/22		BB+		308,750
	450	Western Refining Inc.		6.250%		4/01/21		B+		436,500
	175	WPX Energy Inc.		7.500%		8/01/20		Ba1		160,125
	3,545	Total Oil, Gas & Consumable Fuels								3,032,446

		Paper & Forest Products – 1.2%

	250	Domtar Corporation		4.400%		4/01/22		BBB–		254,662
	200	Mercer International Inc.		7.750%		12/01/22		B+		202,000
	200	Millar Western Forest Products Ltd		8.500%		4/01/21		B–		146,000
	375	Resolute Forest Products		5.875%		5/15/23		BB–		279,375
	1,025	Total Paper & Forest Products								882,037


Nuveen Investments			3


JMM	Nuveen Multi-Market Income Fund
	Portfolio of Investments (continued)	September 30, 2015 (Unaudited)


Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (2)		Value

		Personal Products – 0.3%

$	250	Albea Beauty Holdings SA, 144A		8.375%		11/01/19		B	$	262,500

		Real Estate Investment Trust – 0.4%

	300	CommomWealth REIT		5.875%		9/15/20		BBB–		327,979

		Real Estate Management & Development – 0.4%

	350	Mattamy Group Corporation, 144A		6.500%		11/15/20		BB		339,500

		Road & Rail – 0.4%

	300	Watco Companies LLC Finance, 144A		6.375%		4/01/23		B		297,000

		Software – 1.3%

	1,000	Computer Sciences Corporation		4.450%		9/15/22		BBB+		1,031,391

		Specialty Retail – 0.2%

	150	Neiman Marcus Mariposa Borrower / Merger Sub LLC, 144A		8.000%		10/15/21		CCC+		154,500

		Textiles, Apparel & Luxury Goods – 0.3%

	225	Levi Strauss & Company		5.000%		5/01/25		BB		220,500

		Wireless Telecommunication Services – 1.2%

	200	Digicel Limited, 144A		6.000%		4/15/21		B1		182,500
	175	FairPoint Communications Inc., 144A		8.750%		8/15/19		B		182,000
	200	Sprint Corporation		7.250%		9/15/21		B+		163,750
	200	T-Mobile USA Inc.		6.731%		4/28/22		BB		199,500
	200	Wind Acquisition Finance SA, 144A		4.750%		7/15/20		BB		198,000
	975	Total Wireless Telecommunication Services								925,750
$	25,260	Total Corporate Bonds (cost $25,166,093)								23,647,637

Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (2)		Value

		$1,000 PAR (OR SIMILAR) INSTITUTIONAL PREFERRED – 0.4% (0.3% of Total Investments)

		Banks – 0.1%

$	100	Lloyd’s Banking Group PLC		7.500%		N/A (4)		BB+	$	102,090

		Insurance – 0.3%

	225	Sirius International Group Limited, 144A		7.506%		N/A (4)		BBB–		227,250
$	325	Total $1,000 Par (or similar) Institutional Preferred (cost $341,491)								329,340

Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (2)		Value

		ASSET-BACKED AND MORTGAGE-BACKED SECURITIES – 107.7% (76.1% of Total Investments)

$	427	321 Henderson Receivables LLC., Series 2010-1A, 144A		9.310%		7/15/61		Aa2	$	530,984
	500	321 Henderson Receivables LLC., Series 2012-1A, 144A		7.140%		2/15/67		Baa2		611,700
	500	321 Henderson Receivables Trust, Series 2012-2A, 144A		6.770%		10/17/61		Baa2		609,560
	391	ACE Securities Corporation, Manufactured Housing Trust, Series 2003-MH1, 144A		6.500%		8/15/30		AA		428,024
	750	American Homes 4 Rent, Series 2015-SFR2, 144A		5.036%		10/17/45		Baa2		758,572
	1,750	American Homes 4 Rent, Series 2015-SFR2, 144A		0.000%		10/17/45		N/R		2
	405	AmeriCold LLC Trust, Series 2010, 144A		6.811%		1/14/29		A+		465,660
	220	Bank of America Commercial Mortgage Inc. , Commercial Mortgage Pass-Through Certificates, Series 2015-UBS7		3.167%		9/15/48		BBB–		168,636
	213	Bank of America Funding Trust, Mortgage Pass-Through Certificates, Series 2007-4		5.500%		6/25/37		C		49,965
	482	Barclays BCAP LLC Trust, Resecuritized Series 2009-RR14, 144A		6.000%		5/26/37		BBB		507,044
	174	Bayview Financial Acquisition Trust 2003-AA, 144A		6.072%		2/25/33		AA		174,348
	226	Bayview Financial Acquisition Trust, Series 2006C		5.852%		11/28/36		CCC		221,263
	209	Bayview Financial Acquisition Trust, Series 2006-C		5.638%		11/28/36		Ba1		207,792


	4			Nuveen Investments


Principal Amount (000)			Description (1)	Coupon		Maturity		Ratings (2)		Value

			ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued)

$	99		Bayview Financial Acquisition Trust, Series 2006-D		5.660%		12/28/36		Aaa	$	98,707
	166		Bayview Financial Acquisition Trust, Series 2007-A		6.205%		5/28/37		AA+		174,072
	750		Bayview Financial Mortgage Pass-Through Trust, Mortgage Pass-Through Certificates Series 2005-D		5.500%		12/28/35		BB+		739,322
	281		Bayview Financial Mortgage Pass-Through Trust, Mortgage Pass-Through Certificates Series 2006-A		5.704%		2/28/41		AAA		295,150
	500		CAM Mortgage Trust 2015-1, 144A		4.750%		7/15/64		N/R		497,145
	500		CarFinance Capital Auto Trust, Automobile Receivables-Backed Notes, Series 2013-1, 144A		3.450%		3/15/19		A1		505,427
	259		Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-3		4.660%		3/25/33		BBB–		265,220
	500		Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-CD3		5.688%		10/15/48		B–		428,328
	275		Commercial Mortgage Pass-Through Certificates, Series 2015-CR22		4.266%		3/10/48		A–		262,590
	210		Commercial Mortgage Pass-Through Certificates, Series 2015-CR26 (WI/DD)		4.645%		9/10/25		A–		201,272
	309		CountryWide Alternative Loan Trust 2005-86CB A10		5.500%		2/25/36		Caa3		283,463
	210		Countrywide Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2004-J2		6.500%		3/25/34		A+		221,335
	277		Countrywide Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2005-47CB		5.500%		10/25/35		Caa3		252,770
	906		Countrywide Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2007-6 A4		5.750%		4/25/47		Ca		803,841
	348		Countrywide Asset Backed Certificates, Series 2007-4 A2		5.530%		4/25/47		Caa1		374,136
	905		Credit Suisse Commercial Mortgage Trust 2009-3R, 144A		6.000%		1/27/37		BBB		940,443
	431		Credit Suisse CSMC Mortgage-Backed Trust, Pass-Through Certificates, Series 2006-7		6.000%		8/25/36		Caa3		371,140
	662		Credit Suisse First Boston Mortgage Securities Corporation, Mortgage-Backed Pass-Through Certificates, Series 2003-8		6.193%		4/25/33		A		657,946
	753		Credit Suisse First Boston Mortgage Securities Corporation, Mortgage-Backed Pass-Through Certificates, Series 2005-11 6A7		6.000%		12/25/35		CC		223,011
	444		Credit Suisse First Boston Mortgage Securities, Home Equity Mortgage Pass-Through Certificates, Series 2004-6		5.821%		4/25/35		B1		451,559
	1,123		Credit-Based Asset Servicing and Securitization Pool 2007-SP1, 144A		6.020%		12/25/37		A+		1,173,406
	—	(6)	Fannie Mae Mortgage Pool		3.177%		7/01/27		Aaa		247
	20		Fannie Mae Mortgage Pool (5)		7.000%		7/01/17		Aaa		20,595
	38		Fannie Mae Mortgage Pool (5)		5.000%		11/01/18		Aaa		39,576
	75		Fannie Mae Mortgage Pool (5)		5.000%		2/01/21		Aaa		79,925
	1,572		Fannie Mae Mortgage Pool (5)		3.500%		12/01/26		Aaa		1,663,303
	1,492		Fannie Mae Mortgage Pool (5)		3.500%		1/01/27		Aaa		1,579,032
	64		Fannie Mae Mortgage Pool (5)		6.000%		5/01/29		Aaa		73,102
	28		Fannie Mae Mortgage Pool (5)		7.000%		9/01/31		Aaa		30,940
	38		Fannie Mae Mortgage Pool (5)		5.500%		6/01/33		Aaa		42,267
	98		Fannie Mae Mortgage Pool (5)		6.000%		1/01/34		Aaa		110,577
	195		Fannie Mae Mortgage Pool (5)		5.500%		2/01/34		Aaa		221,761
	135		Fannie Mae Mortgage Pool (5)		6.000%		3/01/34		Aaa		151,722
	128		Fannie Mae Mortgage Pool (5)		6.000%		1/01/35		Aaa		146,029
	98		Fannie Mae Mortgage Pool (5)		5.000%		7/01/35		Aaa		108,200
	51		Fannie Mae Mortgage Pool (5)		5.500%		3/01/36		Aaa		56,734
	188		Fannie Mae Mortgage Pool (5)		6.000%		6/01/36		Aaa		212,986
	157		Fannie Mae Mortgage Pool (5)		5.500%		4/01/37		Aaa		175,627
	209		Fannie Mae Mortgage Pool (5)		5.000%		6/01/37		Aaa		230,330
	154		Fannie Mae Mortgage Pool (5)		5.500%		6/01/38		Aaa		172,543
	2,450		Fannie Mae Mortgage Pool (5)		3.500%		2/01/44		Aaa		2,559,879
	145		Fannie Mae REMIC Pass-Through Certificates		6.391%		2/25/42		Aaa		170,046
	687		Fannie Mae REMIC Pass-Through Certificates		4.283%		12/25/42		AAA		424,434
	779		Fannie Mae REMIC Pass-Through Certificates		5.489%		7/25/44		Aaa		91,682
	4,605		Fannie Mae TBA Mortgage Pool, (MDR), (WI/DD)		4.000%		10/14/45		Aaa		4,912,061
	2,500		Fannie Mae TBA Mortgage Pool, (MDR), (WI/DD)		3.000%		10/14/45		Aaa		2,533,594
	2,000		Fannie Mae TBA Mortgage Pool, (MDR), (WI/DD)		3.500%		10/14/45		Aaa		2,086,312
	2,975		Fannie Mae TBA Mortgage Pool, (MDR), (WI/DD)		4.500%		10/14/45		Aaa		3,224,946
	500		Fannie Mae, Connecticut Avenue Securities, Series 2015-C03		5.194%		7/25/25		Aaa		498,496
	4,240		Federal Home Loan Mortgage Corporation, Mortgage Pool (5)		3.000%		4/01/43		Aaa		4,298,431
	160		First Horizon Alternative Mortgage Securities Trust, Pass-Through Certificates, Series 2005-FA5		5.500%		8/25/35		C		17,442


Nuveen Investments			5


JMM	Nuveen Multi-Market Income Fund
	Portfolio of Investments (continued)	September 30, 2015 (Unaudited)


Principal Amount (000)			Description (1)	Coupon		Maturity		Ratings (2)		Value

			ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued)

$	3,162		Freddie Mac Gold Mortgage Pool (5)		3.000%		1/01/29		Aaa	$	3,293,009
	42		Freddie Mac Mortgage Pool, Various (5)		6.500%		11/01/28		Aaa		48,836
	2,141		Freddie Mac Mortgage Pool (5)		3.500%		1/01/44		Aaa		2,230,538
	2,084		Freddie Mac Mortgage Pool (5)		3.500%		2/01/44		Aaa		2,171,048
	355		Freddie Mac Mortgage Trust 2013-KF02, 144A		3.194%		12/25/45		Baa3		364,584
	255		Freddie Mac Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2012-K706, 144A		4.167%		11/25/44		A2		268,049
	500		Freddie Mac Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2012-K706, 144A		4.167%		11/25/44		Baa2		519,197
	282		Freddie Mac Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2012-K708, 144A		3.886%		2/25/45		A		293,420
	500		Freddie Mac Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2012-K708, 144A		3.886%		2/25/45		BBB		511,295
	750		Freddie Mac Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2012-K709, 144A		3.872%		4/25/45		BBB		773,224
	500		Freddie Mac Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2012-K711, 144A		3.684%		8/25/45		A–		521,598
	750		Freddie Mac Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2013-K712, 144A		3.484%		5/25/45		BBB		750,728
	500		Freddie Mac Multifamily Mortgage Trust, Series 2011-K704, 144A		4.690%		10/25/30		Baa1		527,823
	—	(6)	Freddie Mac Non Gold Participation Certificates		2.113%		9/01/18		Aaa		2
	500		GMAT Trust Mortgage Pool 2013-1A, 144A		5.000%		11/25/43		N/R		474,827
	1,000		Goldman Sachs Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2014-GSFL, 144A		2.448%		7/15/31		A–		986,849
	132		Goldman Sachs Mortgage Securities Corporation, GSMPS Mortgage Pass-Through Certificates, Series 2001-2, 144A		7.500%		6/19/32		B		136,672
	929		Goldman Sachs Mortgage Securities Corporation, GSMPS Mortgage Pass-Through Certificates, Series 2003-3, 144A		7.000%		6/25/43		BBB		993,600
	1,318		Goldman Sachs Mortgage Securities Corporation, GSMPS Mortgage Pass-Through Certificates, Series 2006-RP2 B1		6.038%		4/25/36		CC		206,064
	922		Goldman Sachs Mortgage Securities Corporation, GSMPS Mortgage Pass-Through Certificates, Series 2006-RP2 B2		6.038%		4/25/36		C		51,119
	1,223		Goldman Sachs Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series 2003-1 B2, (7)		5.750%		3/25/43		Ca		12
	101		Goldman Sachs Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series 2003-10 1A1		2.697%		10/25/33		BBB+		100,477
	477		Goldman Sachs Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series 2005-RP2 1A2, 144A		7.500%		3/25/35		B1		524,857
	480		Goldman Sachs Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series 2005-RP3 1A2, 144A		7.500%		9/25/35		B1		530,320
	500		Goldman Sachs Mortgage Securities Trust, Mortgage Pass-Through Certificates, Series 2015-GC32		3.345%		7/10/48		BBB–		384,918
	85		Government National Mortgage Association Pool (5)		1.625%		12/20/22		Aaa		88,155
	343		Government National Mortgage Association Pool (5)		5.500%		8/15/33		Aaa		392,765
	224		Government National Mortgage Association Pool (5)		6.000%		7/15/34		Aaa		261,101
	750		Home Loan Servicing Solutions, HLSS Servicer Advance Receivables Backed Notes 2012-T1, 144A		3.228%		1/16/46		BBB		749,799
	900		Home Loan Servicing Solutions, HLSS Servicer Advance Receivables Backed Notes 2012-T1, 144A		4.458%		1/15/48		BBB		892,688
	750		Home Loan Servicing Solutions, HLSS Servicer Advance Receivables Backed Notes 2012-T2, 144A		4.940%		10/15/45		BBB		749,850
	500		Home Loan Servicing Solutions, HLSS Servicer Advance Receivables Backed Notes 2013-T3, 144A		3.130%		5/15/46		BBB		486,250
	361		Impac Secured Assets Corporation, Mortgage Pass-Through Certificates, Series 2000-3		8.000%		10/25/30		CCC		367,142
	805		IndyMac INDX Mortgage Loan Trust, Series 2006-AR13 A3		4.464%		7/25/36		Caa1		689,153
	177		IndyMac MBS Inc., Residential Asset Securitization Trust, Mortgage Pass-Through Certificates, Series 2004-A2		4.000%		5/25/34		A+		177,781
	473		JP Morgan Alternative Loan Trust 2006-S1, Mortgage Pass-Through Certificates		6.500%		3/25/36		D		412,628
	750		JP Morgan Chase Commercial Mortgage Securities Corporation, Commercial Mortgage Pass-Through Certificates, Series 2011-C4 C, 144A		5.457%		7/15/46		A		816,341
	270		Lavender Trust, Mortgage Pass Through Certificates, Series 2010-R10A, 144A		6.250%		9/26/36		N/R		272,858


	6			Nuveen Investments


Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (2)		Value

		ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued)

$	166	Lehman ABS Manufactured Housing Contract Asset Backed Certificates, Series 2001B		4.350%		4/15/40		AA	$	170,267
	61	Lehman Mortgage Trust, Mortgage Pass-Through Certificates, Series 2008-6		5.370%		7/25/47		BB+		61,360
	511	Master RePerforming Loan Trust 2005-1, 144A		7.500%		8/25/34		Ba3		532,798
	561	Master Resecuritization Trust 2009-1, 144A		6.000%		10/25/36		A		588,955
	473	Merrill Lynch Alternative Note Asset, 2007-F1 2A7		6.000%		3/25/37		Caa3		359,863
	1,532	Mid-State Capital Corporation Trust Notes, Series 2004-1 A		6.005%		8/15/37		AAA		1,600,716
	1,214	Mid-State Capital Corporation Trust Notes, Series 2005-1		5.745%		1/15/40		AA		1,303,760
	272	Mid-State Trust 2010-1, 144A		7.000%		12/15/45		A		295,876
	1,112	Mid-State Trust 2010-1, 144A		5.250%		12/15/45		AA		1,162,034
	338	Mid-State Trust VI		7.790%		7/01/35		Baa1		358,772
	360	Mid-State Trust XI		5.598%		7/15/38		A+		377,055
	150	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, 144A		4.385%		4/15/48		BBB–		125,728
	250	Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2011-C1 C, 144A		5.564%		9/15/47		A+		277,604
	220	Morgan Stanley Mortgage Loan Trust, Pass-Through Certificates, 2006-2		5.750%		2/25/36		Caa2		209,473
	500	Morgan Stanley Re REMIC Trust Series 2009-GG10, 144A		5.988%		8/12/45		A		529,528
	364	Mortgage Asset Securitization Transaction Inc., Alternative Loan Trust Mortgage Pass-Through Certificates Series 2004-1		7.000%		1/25/34		BBB–		376,477
	557	Mortgage Asset Securitization Transaction Inc., Alternative Loan Trust Mortgage Pass-Through Certificates, 2004-5 6A1		7.000%		6/25/34		A+		593,354
	148	Mortgage Asset Securitization Transaction Inc., Mortgage Pass-Through Certificates, Series 2003-5		5.000%		6/25/18		AA		152,017
	525	Nationstar Agency Fund Trust, Series 2013-T2A, 144A		7.385%		2/18/48		B		530,082
	350	Nationstar Agency Fund Trust, Series 2013-T2A, 144A		4.212%		2/18/48		BBB		354,018
	500	New Residential Advance Receivable Trust, Series 2015-T2, 144A		4.679%		8/17/48		BBB		499,999
	310	New Residential Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2014-2A, 144A		3.750%		5/25/54		AAA		323,060
	82	Oakwood Mortgage Investors Inc., Series 1999-A		6.090%		4/15/29		A		82,868
	171	Origen Manufactured Housing Contract Trust Collateralized Notes Series 2004-B MI		5.730%		11/15/35		AA		177,693
	366	Origen Manufactured Housing Contract Trust Collateralized Notes Series 2005B		5.990%		1/15/37		A+		383,577
	887	Origen Manufactured Housing Contract Trust Notes, Series 2004A		6.640%		1/15/35		A		958,670
	488	Renaissance Home Equity Loan Trust Asset Backed Certificates, Series 2005-4 A6		5.749%		2/25/36		Caa1		459,943
	540	Residential Asset Mortgage Products Inc., Mortgage Asset-Backed Pass-Through Certificates, Series 2003-SL1 M2		7.363%		4/25/31		CC		5
	850	Residential Asset Securities Corporation , Home Equity Mortgage Asset Backed Pass-Through Certificates, Series 2004-KS1		5.221%		2/25/34		BB+		880,566
	191	Residential Funding Mortgage Securities II, Inc., Home Loan Backed Notes Trust 2003-HI4		6.030%		2/25/29		A+		200,124
	353	Residential Funding Mortgage Trust I, 2007-S9		6.000%		10/25/37		D		296,601
	322	Salomon Brothers Commercial Mortgage Trust Pass-Through VII Certificates, Series 2003-1 A2, 144A		6.000%		9/25/33		BB		319,341
	500	Springleaf Mortgage Loan Trust 2013-2A, 144A		3.520%		12/25/65		AA		505,695
	750	Springleaf Mortgage Loan Trust, Series 2012-3, 144A		5.300%		12/25/59		BBB		751,532
	770	Springleaf Mortgage Loan Trust, Series 2013-1A ,144A		4.440%		6/25/58		BBB		775,877
	500	V Mortgage LLC, Pass Through Certificate , Series 2014-NPL1, 144A		4.750%		4/27/54		N/R		489,879
	126	Vanderbilt Acquisition Loan Trust, Series 2002-1		6.570%		5/07/27		AAA		129,173
	499	Vericrest Opportunity Loan Transferee, Series 2014-NPL7, 144A		4.750%		8/27/57		N/R		500,914
	500	Vericrest Opportunity Loan Transferee, Series 2015-NLP4, 144A		4.250%		2/25/55		N/R		492,277
	206	Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C30		5.246%		12/15/43		AAA		207,870
	414	Walter Investment Management Company Capital Trust, Series 2012-AA, 144A		4.549%		10/16/50		BBB		417,040
	83	Washington Mutual Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series 2003-MS1		5.250%		2/25/18		AA+		83,981
	58	Washington Mutual Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series 2004-RA3		6.377%		8/25/38		AA		61,718
	500	Wells Fargo Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2015-C26, 144A		3.586%		2/15/48		BBB–		394,843
	750	Wells Fargo-RBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2011-C3, 144A		5.335%		3/15/44		A2		810,188
	250	WF-RBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2011-C2, 144A		5.392%		2/15/44		A1		270,683
$	88,357	Total Asset-Backed and Mortgage-Backed Securities (cost $84,466,529)								83,340,083


Nuveen Investments			7


JMM	Nuveen Multi-Market Income Fund
	Portfolio of Investments (continued)	September 30, 2015 (Unaudited)

Shares

Description (1), (8)

Value

INVESTMENTS COMPANIES – 0.6% (0.4% of Total Investments)

32,000

Blackrock Credit Allocation Income Trust IV

389,440

7,036

Pioneer Floating Rate Trust

79,648

Total Investment Companies (cost $487,356)

469,088

Principal
Amount (000)

Description (1)

Coupon

Maturity

Ratings (2)

Value

SOVEREIGN DEBT – 0.2% (0.1% of Total Investments)

Uruguay – 0.2% (0.1% of Total Investments)

123

Republic of Uruguay

8.000%

11/18/22

BBB

151,766

123

Total Sovereign Debt (cost $124,528)

151,766

Total Long-Term Investments (cost $111,178,480)

108,558,969

Principal
Amount (000)

Description (1)

Coupon

Maturity

Value

SHORT-TERM INVESTMENTS – 1.2% (0.9% of Total Investments)

REPURCHASE AGREEMENTS – 1.2% (0.9% of Total Investments)

951

Repurchase Agreement with State Street Bank, dated 9/30/15, repurchase price $950,841, collateralized by $975,000 U.S. Treasury Notes, 1.750%, due 5/15/23, value $971,344

0.000%

10/01/15

950,841

Total Short-Term Investments (cost $950,841)

950,841

Total Investments (cost $112,129,321) – 141.6%

109,509,810

Reverse Repurchase Agreements – (25.1)%

(19,429,000

)

Other Assets Less Liabilities – (16.5)% (9)

(12,731,085

)

Net Assets – 100%

77,349,725

Investments in Derivatives as of September 30, 2015

Futures Contracts outstanding:


Description	Contract Position		Number of Contracts			Contract Expiration		Notional Amount at Value			Variation Margin Receivable/ (Payable)		Unrealized Appreciation (Depreciation)
U.S. Treasury 2-Year Note		Short		(3	)		12/15	$	(657,094	)	$	188	$	(1,085	)
U.S. Treasury 5-Year Note		Short		(97	)		12/15		(11,690,016	)		3,031		(70,851	)
U.S. Treasury 10-Year Note		Short		(73	)		12/15		(9,397,609	)		5,703		(99,888	)
U.S. Ultra Bond		Short		(9	)		12/15		(1,443,656	)		6,187		(10,161	)
								$	(23,188,375	)	$	15,109	$	(181,985	)

Fair Value Measurements

Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.


Level 1 –		Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 –		Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 –		Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).


	8			Nuveen Investments

The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:


	Level 1			Level 2		Level 3			Total
Long-Term Investments:
Convertible Preferred Securities	$	559,405		$	—	$	—		$	559,405
$25 Par (or similar) Retail Preferred		61,650			—		—			61,650
Corporate Bonds		—			23,647,637		—	**		23,647,637
$1,000 Par (or similar) Institutional Preferred		—			329,340		—			329,340
Asset-Backed and Mortgage-Backed Securities		—			83,340,083		—			83,340,083
Investment Companies		469,088			—		—			469,088
Sovereign Debt		—			151,766		—			151,766
Short-Term Investments
Repurchase Agreements		—			950,841		—			950,841
Investment in Derivatives:
Futures Contracts*		(181,985	)		—		—			(181,985	)
Total	$	908,158		$	108,419,667	$	—	**	$	109,327,825

*	Represents net unrealized appreciation (depreciation).

**	Value equals zero as of the end of the reporting period.

Income Tax Information

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 certain gains and losses on investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.

As of September 30, 2015, the cost of investments (excluding investments in derivatives) was $112,337,633.

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) as of September 30, 2015, were as follows:


Gross unrealized:
Appreciation	$	2,974,188
Depreciation		(5,802,011	)
Net unrealized appreciation (depreciation) of investments	$	(2,827,823	)

For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

(1)	All percentages shown in the Portfolio of Investments are based on net assets.

(2)

Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.

(3)	Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3.

(4)	Perpetual Security. Maturity date is not applicable

(5)	Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in reverse repurchase agreements.

(6)	Principal Amount (000) rounds to less than $1,000.

(7)

As of, or subsequent to, the end of the reporting period, this security is non-income producing. Non-income producing, in the case of a fixed-income security, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has ceased accruing additional income on the Fund’s records.

(8)	A copy of the most recent financial statements for these investment companies can be obtained directly from the Securities and Exchange Commission on its website at http:// www.sec.gov.

(9)	Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter derivatives as well as the exchange-cleared and exchange-traded derivatives, when applicable.

(WI/DD)

Investment, or portion of investment, purchased on a when-issued or delayed delivery basis.

MDR	Denotes investment is subject to dollar roll transactions.

REIT	Real Estate Investment Trust

144A	Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.


Nuveen Investments			9

Item 2. Controls and Procedures.

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


(Registrant)		Nuveen Multi-Market Income Fund

By (Signature and Title)		/s/ Kevin J. McCarthy
		Kevin J. McCarthy
		Vice President and Secretary

Date: November 27, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By (Signature and Title)		/s/ Gifford R. Zimmerman
		Gifford R. Zimmerman
		Chief Administrative Officer (principal executive officer)

Date: November 27, 2015

By (Signature and Title)		/s/ Stephen D. Foy
		Stephen D. Foy
		Vice President and Controller (principal financial officer)

Date: November 27, 2015