N-Q 1 d412265dnq.htm NUVEEN MULTISTATE TRUST II Nuveen Multistate Trust II

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 811-07755

Nuveen Multistate Trust II

(Exact name of registrant as specified in charter)

Nuveen Investments

333 West Wacker Drive, Chicago, Illinois 60606

(Address of principal executive offices) (Zip code)

Kathleen L. Prudhomme—Vice President and Secretary

901 Marquette Avenue, Minneapolis, MN 55402

(Name and address of agent for service)

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

Date of fiscal year end: February 28

Date of reporting period: May 31, 2017

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.

Nuveen Connecticut Municipal Bond Fund
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    LONG-TERM INVESTMENTS – 98.5%        
    MUNICIPAL BONDS – 98.5%        
    Education and Civic Organizations – 13.5%        
$ 210   Albany Industrial Development Agency, New York, Revenue Bonds, Brighter Choice Charter Schools, Series 2007A, 5.000%, 4/01/20   10/17 at 100.00 B $209,719
    Connecticut Health and Educational Facilities Authority, Revenue Bonds, Brunswick School, Series 2012C:        
1,000   5.000%, 7/01/31   7/22 at 100.00 A+ 1,140,150
500   5.000%, 7/01/32   7/22 at 100.00 A+ 568,520
    Connecticut Health and Educational Facilities Authority, Revenue Bonds, Chase Collegiate School, Series 2007A:        
960   5.000%, 7/01/27  –  RAAI Insured   7/17 at 100.00 AA 963,206
400   5.000%, 7/01/32  –  RAAI Insured   7/17 at 100.00 AA 401,272
1,425   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut College, Refunding Series 2016L-1, 4.000%, 7/01/46   7/26 at 100.00 A2 1,454,383
1,185   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut College, Series 2011H, 5.000%, 7/01/41   7/21 at 100.00 A2 1,315,599
    Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, Series 2010-O:        
3,205   5.000%, 7/01/35   7/20 at 100.00 A- 3,502,168
1,000   5.000%, 7/01/40   7/20 at 100.00 A- 1,092,720
2,000   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, Series 2016Q-1, 5.000%, 7/01/46   7/26 at 100.00 A- 2,266,600
1,050   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Norwich Free Academy, Series 2013B, 4.000%, 7/01/34   7/23 at 100.00 A1 1,103,193
5,095   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Refunding Series 2015L, 5.000%, 7/01/45   7/25 at 100.00 A- 5,770,648
90   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2007K-2, 5.000%, 7/01/31  –  NPFG Insured   7/18 at 100.00 AA- 93,416
1,650   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2016M, 5.000%, 7/01/35   7/26 at 100.00 A- 1,917,762
    Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2011G:        
1,000   5.125%, 7/01/26   7/21 at 100.00 A 1,117,760
2,500   5.625%, 7/01/41   7/21 at 100.00 A 2,801,975
    Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2012H:        
1,255   5.000%, 7/01/26  –  AGM Insured   7/22 at 100.00 AA 1,416,042
1,750   5.000%, 7/01/27  –  AGM Insured   7/22 at 100.00 AA 1,965,617
1,400   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Trinity College, Refunding Series 2010M, 4.250%, 7/01/28   7/20 at 100.00 A+ 1,468,852
NUVEEN      1

Nuveen Connecticut Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Education and Civic Organizations (continued)        
$ 950   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Westminster School, Series 2014H, 3.250%, 7/01/32   7/24 at 100.00 A $970,529
2,425   Connecticut Health and Educational Facilities Authoroity, Revneue Bonds, Connecticut State University System, Series 2016P-1, 5.000%, 11/01/28   11/26 at 100.00 A+ 2,935,681
630   University of Connecticut, Student Fee Revenue Bonds, Refunding Series 2010A, 5.000%, 11/15/27   11/19 at 100.00 Aa2 687,916
31,680   Total Education and Civic Organizations       35,163,728
    Health Care – 21.3%        
4,600   Connecticut Health and Educational Facilities Authority Revenue Bonds, Hartford HealthCare, Series 2015F, 5.000%, 7/01/45   7/25 at 100.00 A 5,061,610
2,920   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health Series 2010A, 5.000%, 11/15/40   11/19 at 100.00 AA+ 3,141,248
    Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B:        
455   5.500%, 7/01/21  –  RAAI Insured   7/17 at 100.00 AA 456,670
4,025   5.500%, 7/01/32  –  RAAI Insured   7/17 at 100.00 AA 4,032,808
6,975   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford HealthCare, Series 2011A, 5.000%, 7/01/41   7/21 at 100.00 A 7,498,822
500   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford HealthCare, Series 2014E, 5.000%, 7/01/42   7/24 at 100.00 A 556,625
1,555   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Lawrence and Memorial Hospitals, Series 2011F, 5.000%, 7/01/36   7/21 at 100.00 A- 1,680,488
    Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2011N:        
495   5.000%, 7/01/25   7/21 at 100.00 A3 550,480
500   5.000%, 7/01/27   7/21 at 100.00 A3 551,090
1,745   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2015O, 5.000%, 7/01/36   7/25 at 100.00 A3 1,936,933
4,020   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2010-I, 5.000%, 7/01/30   7/20 at 100.00 A 4,357,479
4,000   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2012J, 5.000%, 7/01/42   7/22 at 100.00 A 4,304,080
2,000   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2016K, 4.000%, 7/01/46   7/26 at 100.00 A 2,042,780
    Connecticut Health and Educational Facilities Authority, Revenue Bonds, Trinity Health Credit Group, Series 2016CT:        
2,350   5.000%, 12/01/41   6/26 at 100.00 AA- 2,690,374
1,195   5.000%, 12/01/45   6/26 at 100.00 AA- 1,362,061
4,160   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011M, 5.375%, 7/01/41   7/21 at 100.00 A 4,551,997
2,000   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011N, 5.000%, 7/01/29   7/21 at 100.00 A 2,194,960
2      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Health Care (continued)        
    Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Health Issue, Series 2014E:        
$ 2,400   5.000%, 7/01/32   7/24 at 100.00 AA- $2,787,240
2,520   5.000%, 7/01/33   7/24 at 100.00 AA- 2,915,968
830   5.000%, 7/01/34   7/24 at 100.00 AA- 957,513
1,670   Orange County Health Facilities Authority, Florida, Hospital Revenue Bonds, Orlando Health, Inc., Series 2009, 5.125%, 10/01/26   10/19 at 100.00 A 1,821,369
50,915   Total Health Care       55,452,595
    Long-Term Care – 1.8%        
1,100   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Duncaster, Inc., Series 2014A, 5.000%, 8/01/44   8/24 at 100.00 BBB- 1,145,617
570   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Healthcare Facility Expansion Church Home of Hartford Inc. Project, Series 2016A, 5.000%, 9/01/46   9/26 at 100.00 BB 579,246
2,755   Connecticut Housing Finance Authority, State Supported Special Obligation Bonds, Refunding Series 2010-16, 5.000%, 6/15/30   6/20 at 100.00 A+ 3,018,846
4,425   Total Long-Term Care       4,743,709
    Tax Obligation/General – 17.8%        
    Bridgeport, Connecticut, General Obligation Bonds, Series 2014A:        
600   5.000%, 7/01/32  –  AGM Insured   7/24 at 100.00 AA 679,734
1,000   5.000%, 7/01/33  –  AGM Insured   7/24 at 100.00 AA 1,128,110
1,065   5.000%, 7/01/34  –  AGM Insured   7/24 at 100.00 AA 1,196,378
2,000   Bridgeport, Connecticut, General Obligation Bonds, Series 2016D, 5.000%, 8/15/41  –  AGM Insured   8/26 at 100.00 AA 2,252,700
2,000   Connecticut State, General Obligation Bonds, Refunding Series 2012E, 5.000%, 9/15/32   9/22 at 100.00 A+ 2,264,200
    Connecticut State, General Obligation Bonds, Series 2008C:        
1,000   5.000%, 11/01/26   11/18 at 100.00 A+ 1,055,390
1,015   5.000%, 11/01/27   11/18 at 100.00 A+ 1,071,069
1,015   5.000%, 11/01/28   11/18 at 100.00 A+ 1,070,927
1,000   Connecticut State, General Obligation Bonds, Series 2011D, 5.000%, 11/01/31   11/21 at 100.00 A+ 1,129,580
2,400   Connecticut State, General Obligation Bonds, Series 2014A, 5.000%, 3/01/31   3/24 at 100.00 A+ 2,725,752
3,000   Connecticut State, General Obligation Bonds, Series 2014F, 5.000%, 11/15/34   11/24 at 100.00 A+ 3,398,130
2,370   Connecticut State, General Obligation Bonds, Series 2015F, 5.000%, 11/15/34   11/25 at 100.00 A+ 2,666,985
3,270   Connecticut State, General Obligation Bonds, Series 2017A, 5.000%, 4/15/35   4/27 at 100.00 A+ 3,729,075
100   Greenwich, Connecticut, General Obligation Bonds, Refunding Series 2016, 4.000%, 7/15/33   7/24 at 100.00 Aaa 109,115
500   Hamden, Connecticut, General Obligation Bonds, Series 2016, 5.000%, 8/15/33  –  BAM Insured   8/24 at 100.00 AA 563,655
1,000   New Haven, Connecticut, General Obligation Bonds, Refunding Series 2016A, 5.000%, 8/15/36  –  AGM Insured   8/26 at 100.00 AA 1,131,420
NUVEEN      3

Nuveen Connecticut Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/General (continued)        
    New Haven, Connecticut, General Obligation Bonds, Series 2014A:        
$ 810   5.000%, 8/01/30  –  AGM Insured   8/24 at 100.00 AA $923,732
700   5.000%, 8/01/31  –  AGM Insured   8/24 at 100.00 AA 794,962
850   5.000%, 8/01/32  –  AGM Insured   8/24 at 100.00 AA 962,965
850   5.000%, 8/01/34  –  AGM Insured   8/24 at 100.00 AA 955,366
    New Haven, Connecticut, General Obligation Bonds, Series 2015:        
795   5.000%, 9/01/32  –  AGM Insured   9/25 at 100.00 AA 901,705
1,620   5.000%, 9/01/33  –  AGM Insured   9/25 at 100.00 AA 1,831,151
500   5.000%, 9/01/35  –  AGM Insured   9/25 at 100.00 AA 561,310
485   North Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 7/15/24   No Opt. Call Aa1 590,895
600   Stratford, Connecticut, General Obligation Bonds, Series 2014, 5.000%, 12/15/34   12/22 at 100.00 AA 676,800
    Waterbury, Connecticut, General Obligation Bonds, Lot A Series 2015:        
555   5.000%, 8/01/30  –  BAM Insured   8/25 at 100.00 AA 644,810
485   5.000%, 8/01/31  –  BAM Insured   8/25 at 100.00 AA 560,859
765   5.000%, 8/01/32  –  BAM Insured   8/25 at 100.00 AA 881,043
555   5.000%, 8/01/33  –  BAM Insured   8/25 at 100.00 AA 636,579
555   5.000%, 8/01/34  –  BAM Insured   8/25 at 100.00 AA 633,122
3,000   Waterbury, Connecticut, General Obligation Bonds, Series 2012A, 5.000%, 8/01/30   8/22 at 100.00 AA- 3,395,250
2,000   West Haven, Connecticut, General Obligation Bonds, Series 2012, 5.000%, 8/01/24  –  AGM Insured   8/22 at 100.00 AA 2,276,220
    Williamson & Johnson Counties Community Unit School District 2, Marion, Illinois, General Obligation Bonds, Series 2011:        
1,280   7.000%, 12/01/24  –  AGM Insured   12/20 at 100.00 AA 1,486,195
1,415   7.000%, 12/01/25  –  AGM Insured   12/20 at 100.00 AA 1,642,942
41,155   Total Tax Obligation/General       46,528,126
    Tax Obligation/Limited – 10.9%        
1,050   Connecticut Higher Education Supplemental Loan Authority, Revenue Bonds, CHELSA Loan Program, Series 2010A, 4.000%, 11/15/30   11/20 at 100.00 A1 1,079,778
2,500   Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes Series 2013A, 5.000%, 10/01/33   10/23 at 100.00 AA 2,905,225
1,390   Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes Series 2015A, 5.000%, 8/01/33   8/25 at 100.00 AA 1,600,849
4,500   Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes Series 2016A, 5.000%, 9/01/33   9/26 at 100.00 AA 5,210,280
    Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes, Series 2014A:        
1,165   5.000%, 9/01/33   9/24 at 100.00 AA 1,353,637
1,625   5.000%, 9/01/34   9/24 at 100.00 AA 1,881,116
    Government of Guam, Business Privilege Tax Bonds, Series 2011A:        
2,400   5.250%, 1/01/36   1/22 at 100.00 A 2,558,568
600   5.125%, 1/01/42   1/22 at 100.00 A 632,490
4      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
    University of Connecticut, General Obligation Bonds, Series 2009A:        
$ 1,000   5.000%, 2/15/27   2/19 at 100.00 AA- $1,064,250
1,000   5.000%, 2/15/28   2/19 at 100.00 AA- 1,064,250
2,500   University of Connecticut, General Obligation Bonds, Series 2013A, 5.000%, 8/15/32   8/23 at 100.00 AA- 2,910,200
740   University of Connecticut, General Obligation Bonds, Series 2014A, 5.000%, 2/15/31   2/24 at 100.00 AA- 845,680
1,590   University of Connecticut, General Obligation Bonds, Series 2015A, 5.000%, 2/15/34   2/25 at 100.00 AA- 1,814,301
3,000   University of Connecticut, General Obligation Bonds, Series 2017A, 5.000%, 1/15/36   1/27 at 100.00 AA- 3,430,710
25,060   Total Tax Obligation/Limited       28,351,334
    U.S. Guaranteed – 11.3% (4)        
1,135   Connecticut Health and Educational Facilities Authority, Child Care Facilities Program Revenue Bonds, Series 2008G, 6.000%, 7/01/28 (Pre-refunded 7/01/18)  –  AGC Insured   7/18 at 100.00 AA (4) 1,198,776
    Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hospital For Special Care, Series 2007C:        
195   5.250%, 7/01/22 (Pre-refunded 7/01/17)  –  AGC Insured   7/17 at 100.00 AA (4) 195,723
305   5.250%, 7/01/22 (Pre-refunded 7/01/17)  –  AGC Insured   7/17 at 100.00 AA (4) 306,132
640   5.250%, 7/01/32 (Pre-refunded 7/01/17)  –  AGC Insured   7/17 at 100.00 AA (4) 642,374
375   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Lutheran General Healthcare System - Parkside Lodges Projects, Series 1989, 7.375%, 7/01/19 (ETM)   7/17 at 100.00 Aaa 400,440
2,500   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2007K-2, 5.000%, 7/01/31 (Pre-refunded 7/01/18)  –  NPFG Insured   7/18 at 100.00 AA- (4) 2,613,300
3,500   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, Series 2010G, 5.000%, 7/01/39 (Pre-refunded 7/01/20)   7/20 at 100.00 AA (4) 3,920,595
    Connecticut Health and Educational Facilities Authority, Revenue Bonds, William W. Backus Hospital, Series 2005F:        
2,000   5.000%, 7/01/28 (Pre-refunded 7/01/18)  –  AGM Insured   7/18 at 100.00 AA (4) 2,090,860
60   5.125%, 7/01/35 (Pre-refunded 7/01/18)  –  AGM Insured   7/18 at 100.00 AA (4) 62,806
3,000   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (Pre-refunded 7/01/17)   7/17 at 100.00 AAA 3,010,710
1,305   Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2010M, 5.500%, 7/01/40 (Pre-refunded 7/01/20)   7/20 at 100.00 Aa3 (4) 1,481,580
5,000   Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purpose Series 2008A, 5.000%, 11/01/28 (Pre-refunded 11/01/18)   11/18 at 100.00 AA (4) 5,294,200
2,200   Guam Government, Limited Obligation Section 30 Revenue Bonds, Series 2009A, 5.750%, 12/01/34 (Pre-refunded 12/01/19)   12/19 at 100.00 BBB+ (4) 2,458,434
1,395   Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA, 5.500%, 7/01/19  –  NPFG Insured (ETM)   No Opt. Call A3 (4) 1,526,228
1,720   Stamford, Connecticut, Special Obligation Revenue Bonds, Mill River Corridor Project, Series 2011aA, 7.000%, 4/01/41 (Pre-refunded 4/01/21)   4/21 at 100.00 N/R (4) 2,089,387
1,725   Williamson & Johnson Counties Community Unit School District 2, Marion, Illinois, General Obligation Bonds, Series 2011, 7.000%, 12/01/27 (Pre-refunded 12/01/20)  –  AGM Insured   12/20 at 100.00 AA (4) 2,076,244
27,055   Total U.S. Guaranteed       29,367,789
NUVEEN      5

Nuveen Connecticut Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Utilities – 8.2%        
$ 5,625   Connecticut Development Authority, Water Facility Revenue Bonds, Aquarion Water Company Project, Series 2007, 5.100%, 9/01/37  –  SYNCORA GTY Insured (Alternative Minimum Tax)   9/17 at 100.00 N/R $5,651,100
415   Connecticut Municipal Electric Energy Cooperative, Power Supply System Revenue Bonds, Series 2013A, 5.000%, 1/01/38   1/23 at 100.00 Aa3 463,244
    Connecticut Municipal Electric Energy Cooperative, Transmission Services Revenue Bonds, Series 2012A:        
955   5.000%, 1/01/24   1/22 at 100.00 Aa3 1,098,842
880   5.000%, 1/01/25   1/22 at 100.00 Aa3 1,007,098
3,170   Connecticut Transmission Municipal Electric Energy Cooperative, Transmission System Revenue Bonds, Series 2012A, 5.000%, 1/01/42   1/22 at 100.00 Aa3 3,549,037
4,360   Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A, 5.500%, 1/01/20 (Alternative Minimum Tax)   7/17 at 100.00 A- 4,376,830
1,000   Guam Power Authority, Revenue Bonds, Series 2014A, 5.000%, 10/01/39   10/24 at 100.00 AA 1,123,740
4,000   Puerto Rico Electric Power Authority, Power Revenue Refunding Bonds, Series 2002, 5.000%, 7/01/20  –  NPFG Insured   No Opt. Call AA- 4,260,560
20,405   Total Utilities       21,530,451
    Water and Sewer – 13.7%        
3,500   Connecticut, State Revolving Fund General Revenue Bonds, Series 2013A, 5.000%, 3/01/25   3/23 at 100.00 AAA 4,169,200
    Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Refunding Series 2014B:        
500   5.000%, 8/15/30   8/24 at 100.00 AA 585,085
1,000   5.000%, 8/15/32   8/24 at 100.00 AA 1,156,740
60   Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A, 5.000%, 8/15/35  –  NPFG Insured   11/17 at 100.00 AA 60,191
2,350   Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 5.625%, 7/01/40   7/20 at 100.00 A- 2,508,860
1,040   Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2016, 5.000%, 1/01/46   7/26 at 100.00 A- 1,138,426
    Hartford County Metropolitan District, Connecticut, Clean Water Project Revenue Bonds, Refunding Green Bond Series 2014A:        
2,250   5.000%, 11/01/35   11/24 at 100.00 AA 2,563,222
6,085   5.000%, 11/01/42   11/24 at 100.00 AA 6,862,845
2,500   Hartford County Metropolitan District, Connecticut, Clean Water Project Revenue Bonds, Series 2013A, 5.000%, 4/01/39   4/22 at 100.00 AA 2,802,150
1,000   New York City Municipal Water Finance Authority, New York, Water and Sewer System Revenue Bonds, Second Generation Resolution, Fiscal 2011 Series EE, 5.375%, 6/15/43   12/20 at 100.00 AA+ 1,131,410
    South Central Connecticut Regional Water Authority Water System Revenue Bonds, Thirtieth Series 2014A:        
1,010   5.000%, 8/01/39   8/24 at 100.00 AA- 1,145,623
1,055   5.000%, 8/01/44   8/24 at 100.00 AA- 1,191,570
1,245   South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Refunding Thirty-Second Series 2016B, 4.000%, 8/01/36   8/26 at 100.00 AA- 1,334,802
6      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Water and Sewer (continued)        
$ 5,130   South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twentieth-Sixth Series, 2011, 5.000%, 8/01/41   8/21 at 100.00 AA- $5,756,937
500   South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twenty-Eighth Series 2013A, 5.000%, 8/01/38   8/22 at 100.00 AA- 569,930
2,000   South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twenty-Seventh Series 2012, 5.000%, 8/01/30  –  FGIC Insured   8/22 at 100.00 AA- 2,300,860
500   Stamford, Connecticut, Water Pollution Control System and Facility Revenue Bonds, Series 2013A, 5.250%, 8/15/43   8/23 at 100.00 AA+ 581,685
31,725   Total Water and Sewer       35,859,536
 
$ 232,420   Total Long-Term Investments (cost $243,574,021)       256,997,268
    Other Assets Less Liabilities – 1.5%       3,841,272
    Net Assets – 100%       $ 260,838,540
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).
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 the Fund’s fair value measurements as of the end of the reporting period:
  Level 1 Level 2 Level 3 Total
Long-Term Investments:        
Municipal Bonds $ — $256,997,268 $ — $256,997,268
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 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 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 May 31, 2017, the cost of investments was $242,954,734.
NUVEEN      7

Nuveen Connecticut Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Gross unrealized appreciation and gross unrealized depreciation of investments as of May 31, 2017, were as follows:
Gross unrealized:  
Appreciation $14,437,960
Depreciation (395,426)
Net unrealized appreciation (depreciation) of investments $14,042,534
(1) All percentages shown in the Portfolio of Investments are based on net assets.  
(2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns.  
(3) For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.  
(4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.  
(ETM) Escrowed to maturity.  
8      NUVEEN

Nuveen Massachusetts Municipal Bond Fund
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    LONG-TERM INVESTMENTS – 98.9%        
    MUNICIPAL BONDS – 98.9%        
    Education and Civic Organizations – 27.0%        
$ 1,270   Massachusetts Development Finance Agency, Revenue Bonds, Bentley University, Series 2010, 5.000%, 7/01/28   7/20 at 100.00 A3 $1,386,548
    Massachusetts Development Finance Agency, Revenue Bonds, Berklee College of Music, Series 2016:        
1,260   5.000%, 10/01/39   10/26 at 100.00 A 1,461,537
4,000   5.000%, 10/01/46   10/26 at 100.00 A 4,608,200
1,500   Massachusetts Development Finance Agency, Revenue Bonds, Boston College, Series 2010R-1, 5.000%, 7/01/40   7/20 at 100.00 AA- 1,645,695
3,000   Massachusetts Development Finance Agency, Revenue Bonds, Boston College, Series 2013S, 5.000%, 7/01/32   7/23 at 100.00 AA- 3,505,560
    Massachusetts Development Finance Agency, Revenue Bonds, Boston College, Series 2017T:        
2,350   5.000%, 7/01/39   7/27 at 100.00 AA- 2,790,037
1,020   5.000%, 7/01/42   7/27 at 100.00 AA- 1,208,047
5,000   Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2013X, 5.000%, 10/01/48   10/23 at 100.00 A+ 5,634,350
2,230   Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2016BB-1, 5.000%, 10/01/46   10/26 at 100.00 A+ 2,569,071
3,000   Massachusetts Development Finance Agency, Revenue Bonds, Brandeis University, Series 2008N, 5.000%, 10/01/39   10/18 at 100.00 A1 3,145,080
1,000   Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2010A, 5.000%, 1/01/40   1/20 at 100.00 BBB+ 1,046,290
3,000   Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2015, 5.000%, 1/01/35   1/25 at 100.00 BBB+ 3,331,110
    Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2016A:        
1,510   5.250%, 1/01/42   1/27 at 100.00 BBB+ 1,730,143
1,500   5.000%, 1/01/47   1/27 at 100.00 BBB+ 1,670,175
    Massachusetts Development Finance Agency, Revenue Bonds, Lesley University, Series 2016:        
2,055   5.000%, 7/01/36   7/26 at 100.00 A- 2,354,989
810   5.000%, 7/01/39   7/26 at 100.00 A- 923,432
    Massachusetts Development Finance Agency, Revenue Bonds, MCPHS University Issue, Series 2015H:        
550   3.500%, 7/01/35   7/25 at 100.00 AA 564,300
235   5.000%, 7/01/37   7/25 at 100.00 AA 269,963
700   Massachusetts Development Finance Agency, Revenue Bonds, Merrimack College, Series 2017, 5.000%, 7/01/37   7/26 at 100.00 BBB- 766,969
NUVEEN      9

Nuveen Massachusetts Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Education and Civic Organizations (continued)        
    Massachusetts Development Finance Agency, Revenue Bonds, Northeastern University, Series 2014A:        
$ 1,125   5.000%, 3/01/39   3/24 at 100.00 A2 $1,261,508
1,850   5.000%, 3/01/44   3/24 at 100.00 A2 2,066,098
1,550   Massachusetts Development Finance Agency, Revenue Bonds, Phillips Academy , Series 2014A, 5.000%, 9/01/43   9/23 at 100.00 AAA 1,818,894
1,000   Massachusetts Development Finance Agency, Revenue Bonds, Simmons College, Series 2013J, 5.250%, 10/01/39   10/23 at 100.00 BBB+ 1,115,420
2,495   Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art Institute, Series 2015, 5.000%, 7/01/33   7/25 at 100.00 AA 2,926,984
2,000   Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art Institute, Series 2016, 4.000%, 7/01/41   1/27 at 100.00 AA 2,094,060
3,500   Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2011A, 5.250%, 4/01/37   4/21 at 100.00 AA- 3,929,730
875   Massachusetts Development Finance Agency, Revenue Bonds, Tufts University, Series 2015Q, 5.000%, 8/15/38   8/25 at 100.00 Aa2 1,013,828
215   Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2007, 5.000%, 9/01/37  –  NPFG Insured   9/17 at 100.00 AA- 217,045
2,400   Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2012, 5.000%, 9/01/50   9/22 at 100.00 A1 2,651,088
840   Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2016, 5.000%, 9/01/37   9/26 at 100.00 A1 972,586
    Massachusetts Development Finance Authority, Revenue Bonds, Suffolk University, Refunding Series 2017:        
700   5.000%, 7/01/35   7/27 at 100.00 Baa2 797,482
500   5.000%, 7/01/36   7/27 at 100.00 Baa2 567,795
2,100   Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2002A, 5.750%, 1/01/42  –  AMBAC Insured   No Opt. Call A+ 2,902,242
    Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2016:        
2,360   4.000%, 1/01/38   7/26 at 100.00 A+ 2,484,891
2,495   5.000%, 1/01/40   7/26 at 100.00 A+ 2,867,728
    Massachusetts Educational Financing Authority, Education Loan Revenue Bonds Issue K Series 2013:        
2,500   5.000%, 7/01/20 (Alternative Minimum Tax)   No Opt. Call AA 2,723,150
1,710   5.250%, 7/01/29 (Alternative Minimum Tax)   7/22 at 100.00 AA 1,880,949
820   Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Series 2008H, 6.350%, 1/01/30  –  AGC Insured (Alternative Minimum Tax)   1/18 at 100.00 AA 858,679
895   Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Series 2009I, 6.000%, 1/01/28   1/20 at 100.00 AA 949,121
950   Massachusetts Educational Financing Authority, Educational Loan Revenue, Series 2011J, 5.625%, 7/01/33 (Alternative Minimum Tax)   7/21 at 100.00 AA 1,031,054
1,000   Massachusetts Educational Financing Authority, Student Loan Revenue Bonds, Issue I Series 2014, 5.000%, 1/01/27 (Alternative Minimum Tax)   1/25 at 100.00 AA 1,147,140
10      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Education and Civic Organizations (continued)        
$ 505   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Suffolk University, Refunding Series 2009A, 5.750%, 7/01/39   7/19 at 100.00 BBB $544,042
7,500   University of Massachusetts Building Authority, Project Revenue Bonds, Senior Lien Series 2013-1, 5.000%, 11/01/39   11/22 at 100.00 Aa2 8,588,625
2,500   University of Massachusetts Building Authority, Project Revenue Bonds, Senior Series 2015-1, 5.000%, 11/01/40   11/25 at 100.00 Aa2 2,911,850
80,375   Total Education and Civic Organizations       90,933,485
    Health Care – 19.9%        
5,000   Massachusetts Development Finance Agency Revenue Bonds, Children's Hospital Issue, Series 2014P, 5.000%, 10/01/46   10/24 at 100.00 AA 5,756,700
2,160   Massachusetts Development Finance Agency Revenue Bonds, South Shore Hospital, Series 2016I, 5.000%, 7/01/41   7/26 at 100.00 A- 2,410,193
2,340   Massachusetts Development Finance Agency, Hospital Revenue Bonds, Cape Cod Healthcare Obligated Group, Series 2013, 5.250%, 11/15/41   11/23 at 100.00 A 2,648,342
3,200   Massachusetts Development Finance Agency, Revenue Bonds, Baystate Medical Center Issue, Series 2014N, 5.000%, 7/01/44   7/24 at 100.00 A+ 3,566,688
    Massachusetts Development Finance Agency, Revenue Bonds, Berkshire Health Systems, Series 2012G:        
3,005   5.000%, 10/01/28   10/21 at 100.00 A 3,326,595
500   5.000%, 10/01/30   10/21 at 100.00 A 549,185
    Massachusetts Development Finance Agency, Revenue Bonds, Boston Medical Center Issue, Series 2016E:        
2,000   5.000%, 7/01/32   7/26 at 100.00 BBB 2,238,260
625   5.000%, 7/01/36   7/26 at 100.00 BBB 689,713
    Massachusetts Development Finance Agency, Revenue Bonds, CareGroup Issue, Refunding Series 2016-I:        
2,135   5.000%, 7/01/29   7/26 at 100.00 A- 2,544,322
1,935   5.000%, 7/01/38   7/26 at 100.00 A- 2,225,714
    Massachusetts Development Finance Agency, Revenue Bonds, CareGroup Issue, Series 2015H-1:        
900   5.000%, 7/01/30   7/25 at 100.00 A- 1,048,698
1,000   5.000%, 7/01/32   7/25 at 100.00 A- 1,148,780
500   5.000%, 7/01/33   7/25 at 100.00 A- 570,525
6,100   Massachusetts Development Finance Agency, Revenue Bonds, Dana-Farber Cancer Institute Issue, Series 2016N, 5.000%, 12/01/46   12/26 at 100.00 A1 6,971,873
    Massachusetts Development Finance Agency, Revenue Bonds, Lahey Health System Obligated Group Issue, Series 2015F:        
1,300   5.000%, 8/15/35   8/25 at 100.00 A+ 1,489,852
5,325   5.000%, 8/15/45   8/25 at 100.00 A+ 5,999,411
1,320   Massachusetts Development Finance Agency, Revenue Bonds, Milford Regional Medical Center Issue, Series 2014F, 5.750%, 7/15/43   7/23 at 100.00 BBB- 1,477,714
NUVEEN      11

Nuveen Massachusetts Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Health Care (continued)        
    Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System Issue, Series 2016Q:        
$ 1,250   4.000%, 7/01/41   7/26 at 100.00 AA- $1,306,175
2,250   5.000%, 7/01/41   7/26 at 100.00 AA- 2,563,177
4,950   5.000%, 7/01/47   7/26 at 100.00 AA- 5,609,191
1,000   Massachusetts Development Finance Agency, Revenue Bonds, Southcoast Health System Obligated Group Issue, Series 2013F, 5.000%, 7/01/37   7/23 at 100.00 A3 1,111,020
3,800   Massachusetts Development Finance Agency, Revenue Bonds, The Lowell General Hospital, Series 2013G, 5.000%, 7/01/44   7/23 at 100.00 BBB+ 4,053,992
890   Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health Care Obligated Group Issue, Series 2017K, 5.000%, 7/01/38   1/27 at 100.00 A- 1,004,828
555   Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health Care, Series 2016I, 5.000%, 7/01/36   7/26 at 100.00 A- 618,825
2,065   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Baystate Medical Center, Series 2009I, 5.750%, 7/01/36   7/19 at 100.00 A+ 2,267,618
735   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Harvard Pilgrim Healthcare, Series 1998A, 4.750%, 7/01/22  –  AGM Insured   7/17 at 100.00 AA 737,007
    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional Medical Center, Series 2007E:        
2,040   5.000%, 7/15/32   7/17 at 100.00 BBB- 2,047,283
1,000   5.000%, 7/15/37   7/17 at 100.00 BBB- 1,003,470
59,880   Total Health Care       66,985,151
    Housing/Multifamily – 1.4%        
1,535   Boston Housing Authority, Massachusetts, Capital Program Revenue Bonds, Series 2008, 5.000%, 4/01/20  –  AGM Insured   4/18 at 100.00 AA 1,586,469
3,010   Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48   7/17 at 100.00 BB- 3,014,635
4,545   Total Housing/Multifamily       4,601,104
    Long-Term Care – 2.2%        
560   Massachusetts Development Finance Agency, Revenue Bonds, Berkshire Retirement Community Lennox, Series 2015, 5.000%, 7/01/31   7/25 at 100.00 A 641,150
240   Massachusetts Development Finance Agency, Revenue Bonds, Carleton-Willard Village, Series 2010, 5.625%, 12/01/30   12/19 at 100.00 A- 259,961
    Massachusetts Development Finance Agency, Revenue Bonds, Loomis Communities, Series 2013A:        
240   5.250%, 1/01/26   1/23 at 100.00 BBB- 269,400
790   5.750%, 1/01/28   1/23 at 100.00 BBB- 885,795
1,000   Massachusetts Development Finance Agency, Revenue Bonds, North Hill Communities Issue, Series 2013A, 6.250%, 11/15/28   11/23 at 100.00 N/R 1,077,640
4,220   Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, 5.250%, 10/01/26   10/17 at 100.00 N/R 4,237,597
7,050   Total Long-Term Care       7,371,543
    Tax Obligation/General – 6.3%        
1,045   Boston, Massachusetts, General Obligation Bonds, Series 2013A, 4.000%, 3/01/25   3/23 at 100.00 AAA 1,186,368
12      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/General (continued)        
$ 1,750   Hudson, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2011, 5.000%, 2/15/32   2/20 at 100.00 AA $1,908,602
1,005   Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21   No Opt. Call AA+ 1,149,026
1,220   Massachusetts State, General Obligation Bonds, Consolidated Loan, Refunding Series 2014C, 5.000%, 8/01/22   No Opt. Call AA+ 1,448,482
5,000   Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2015C, 5.000%, 7/01/45   7/25 at 100.00 AA+ 5,786,750
1,190   Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2016A, 5.000%, 3/01/46   3/24 at 100.00 AA+ 1,358,599
3,000   Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2017A, 5.000%, 4/01/42   4/27 at 100.00 AA+ 3,546,810
1,000   North Reading, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2012, 5.000%, 5/15/35  –  AMBAC Insured   5/22 at 100.00 Aa2 1,142,890
1,490   Puerto Rico, General Obligation and Public Improvement Bonds, Series 2001A, 5.500%, 7/01/17  –  AGM Insured   No Opt. Call AA 1,495,409
2,000   Quincy, Massachusetts, General Obligation Bonds, State Qualified Municipal Purpose Loan Series 2011, 5.125%, 12/01/33   12/20 at 100.00 Aa2 2,222,420
120   Worcester, Massachusetts, General Obligation Bonds, Series 2001A, 5.500%, 8/15/18  –  FGIC Insured   8/17 at 100.00 AA 120,456
18,820   Total Tax Obligation/General       21,365,812
    Tax Obligation/Limited – 11.9%        
1,000   Government of Guam, Business Privilege Tax Bonds, Refunding Series 2015D, 5.000%, 11/15/39   11/25 at 100.00 A 1,075,580
2,505   Government of Guam, Business Privilege Tax Bonds, Series 2011A, 5.125%, 1/01/42   1/22 at 100.00 A 2,640,646
805   Government of Guam, Business Privilege Tax Bonds, Series 2012B-1, 5.000%, 1/01/37   1/22 at 100.00 A 846,643
500   Guam Government, Limited Obligation Section 30 Revenue Bonds, Series 2016A, 5.000%, 12/01/46   12/26 at 100.00 BBB+ 547,470
1,010   Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, Refunding Green Series 2014, 5.000%, 5/01/33  –  BAM Insured   11/24 at 100.00 AA 1,162,237
500   Martha's Vineyard Land Bank, Massachusetts, Revenue Refunding Bonds, Green Bonds, Series 2017, 5.000%, 5/01/36  –  BAM Insured   5/27 at 100.00 AA 589,445
2,545   Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2012A, 5.000%, 7/01/41   7/22 at 100.00 AAA 2,910,920
2,500   Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2015A, 5.000%, 7/01/45   7/25 at 100.00 AA+ 2,877,775
1,890   Massachusetts College Building Authority, Project Revenue Bonds, Green Series 2014B, 5.000%, 5/01/44   5/24 at 100.00 AA 2,149,762
    Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B:        
2,025   5.375%, 5/01/22  –  SYNCORA GTY Insured   No Opt. Call Aa2 2,420,725
1,125   5.375%, 5/01/23  –  SYNCORA GTY Insured   No Opt. Call Aa2 1,384,324
1,310   Massachusetts College Building Authority, Revenue Bonds, Refunding Series 2011A, 5.000%, 5/01/24   No Opt. Call AA 1,597,663
NUVEEN      13

Nuveen Massachusetts Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
$ 1,145   Massachusetts College Building Authority, Revenue Bonds, Refunding Series 2012B, 5.000%, 5/01/37   5/22 at 100.00 AA $1,303,915
1,650   Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Senior Refunding Series 2015C, 5.000%, 8/15/37   8/25 at 100.00 AA+ 1,923,619
3,125   Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Senior Series 2013A, 5.000%, 5/15/38   5/23 at 100.00 AA+ 3,582,687
1,650   Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2011B, 5.000%, 10/15/41   10/21 at 100.00 AA+ 1,867,965
1,130   Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20  –  FGIC Insured   No Opt. Call AA- 1,240,412
800   Massachusetts, Transportation Fund Revenue Bonds, Accelerated Bridge Program, Series 2012A, 4.000%, 6/01/35   6/21 at 100.00 AAA 842,600
3,500   Massachusetts, Transportation Fund Revenue Bonds, Rail Enhancement Program, Series 2015A, 5.000%, 6/01/45   6/25 at 100.00 AAA 4,064,795
2,800   Massachusetts, Transportation Fund Revenue Bonds, Rail Enhancement Program, Series 2016A, 5.000%, 6/01/41   6/26 at 100.00 AAA 3,291,932
1,650   Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2004J, 5.000%, 7/01/18  –  NPFG Insured   7/17 at 100.00 AA- 1,653,762
35,165   Total Tax Obligation/Limited       39,974,877
    Transportation – 6.5%        
1,840   Massachusetts Department of Transportation, Metropolitan Highway System Revenue Bonds, Refunding Senior Lien Series 2010B, 5.000%, 1/01/32   1/20 at 100.00 A+ 2,004,036
2,000   Massachusetts Port Authority, Airport System Revenue Bonds, Series 2010A, 5.000%, 7/01/30   7/20 at 100.00 AA 2,213,000
2,750   Massachusetts Port Authority, Revenue Bonds, Series 2012B, 5.000%, 7/01/32   7/22 at 100.00 AA 3,143,992
1,780   Massachusetts Port Authority, Revenue Bonds, Series 2014A, 5.000%, 7/01/34   7/24 at 100.00 AA 2,072,223
    Massachusetts Port Authority, Revenue Bonds, Series 2015A:        
1,425   5.000%, 7/01/40   7/25 at 100.00 AA 1,655,936
2,000   5.000%, 7/01/45   7/25 at 100.00 AA 2,314,700
2,600   Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series 2007, 5.000%, 7/01/32  –  FGIC Insured (Alternative Minimum Tax)   7/17 at 100.00 AA- 2,606,734
500   Massachusetts Port Authority, Special Facilities Revenue Bonds, ConRac Project, Series 2011A, 5.125%, 7/01/41   7/21 at 100.00 A 545,760
4,055   Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series 2001A, 5.000%, 1/01/27  –  AMBAC Insured (Alternative Minimum Tax)   7/17 at 100.00 N/R 4,094,820
840   Metropolitan Boston Transit Parking Corporation, Massachusetts, Systemwide Senior Lien Parking Revenue Bonds, Series 2011, 5.000%, 7/01/41   7/21 at 100.00 A+ 938,162
395   Virgin Islands Port Authority, Marine Revenue Bonds, Refunding Series 2014B, 5.000%, 9/01/44   9/24 at 100.00 BBB+ 410,642
20,185   Total Transportation       22,000,005
    U.S. Guaranteed – 16.8% (4)        
1,110   Atlanta, Georgia, Water and Wastewater Revenue Bonds, Refunding Series 2009B, 5.375%, 11/01/39 (Pre-refunded 11/01/19)  –  AGM Insured   11/19 at 100.00 Aa2 (4) 1,227,527
14      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    U.S. Guaranteed (4) (continued)        
$ 1,000   Boston Water and Sewer Commission, Massachusetts, General Revenue Bonds, Refunding Senior Lien Series 2010A, 5.000%, 11/01/30 (Pre-refunded 11/01/19)   11/19 at 100.00 AA+ (4) $1,095,680
190   Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21 (Pre-refunded 3/01/18)   3/18 at 100.00 N/R (4) 198,753
    Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2006C:        
75   5.000%, 7/01/26 (Pre-refunded 7/01/18)   7/18 at 100.00 AA+ (4) 78,374
1,805   5.000%, 7/01/34 (Pre-refunded 7/01/18)   7/18 at 100.00 AA+ (4) 1,886,189
2,500   Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 5/01/33 (Pre-refunded 5/01/18)  –  AGC Insured   5/18 at 100.00 AA (4) 2,595,075
1,015   Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2008U-4, 5.600%, 10/01/35 (Pre-refunded 10/01/19)   10/19 at 100.00 A1 (4) 1,123,514
4,150   Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1, 5.000%, 10/01/29 (Pre-refunded 10/01/19)   10/19 at 100.00 A+ (4) 4,536,365
6,000   Massachusetts Development Finance Agency, Revenue Bonds, Draper Laboratory, Series 2008, 5.875%, 9/01/30 (Pre-refunded 9/01/18)   9/18 at 100.00 Aa3 (4) 6,373,980
3,000   Massachusetts Development Finance Agency, Revenue Bonds, Harvard University, Series 2010B-1, 5.000%, 10/15/40 (Pre-refunded 10/15/20)   10/20 at 100.00 AAA 3,397,350
1,000   Massachusetts Development Finance Agency, Revenue Bonds, SABIS International Charter School, Series 2009A, 8.000%, 4/15/39 (Pre-refunded 10/15/19)   10/19 at 100.00 N/R (4) 1,163,960
1,000   Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art Institute, Series 2011A, 5.000%, 7/01/41 (Pre-refunded 7/01/21)   7/21 at 100.00 AA (4) 1,155,730
680   Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2007, 5.000%, 9/01/37 (Pre-refunded 9/01/17)  –  NPFG Insured   9/17 at 100.00 AA- (4) 687,126
500   Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Dominion Energy Brayton Point Project, Refunding Series 2009, 5.750%, 12/01/42 (Pre-refunded 5/01/19)   5/19 at 100.00 BBB (4) 545,375
    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston Medical Center, Series 2008B:        
315   5.250%, 7/01/38 (Pre-refunded 7/01/18)   7/18 at 100.00 N/R (4) 329,666
2,575   5.250%, 7/01/38 (Pre-refunded 7/01/18)   7/18 at 100.00 BBB (4) 2,694,892
1,000   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Healthcare Obligated Group, Series 2004D, 5.125%, 11/15/35 (Pre-refunded 11/15/19)  –  AGC Insured   11/19 at 100.00 AA (4) 1,100,130
1,000   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc., Auction Rate Series 2004D, 5.250%, 7/01/24 (Pre-refunded 7/01/18)  –  NPFG Insured   7/18 at 100.00 AA- (4) 1,047,340
295   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21)  –  NPFG Insured   7/21 at 100.00 AA- (4) 335,117
350   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., Series B1 Capital Asset Program Converted June 13,2008., 5.375%, 2/01/28 (Pre-refunded 8/01/18)  –  NPFG Insured   8/18 at 100.00 AA- (4) 368,316
NUVEEN      15

Nuveen Massachusetts Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    U.S. Guaranteed (4) (continued)        
    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., Series B2, Capital Asset Program, Converted June 9, 2009:        
$ 500   5.000%, 2/01/25 (Pre-refunded 8/01/18)  –  NPFG Insured   8/18 at 100.00 AA- (4) $523,990
100   5.375%, 2/01/27 (Pre-refunded 8/01/18)  –  NPFG Insured   8/18 at 100.00 AA- (4) 105,233
800   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Harvard University, Tender Option Bond Trust 2016-XL0017, 12.126%, 12/15/34 (Pre-refunded 11/15/19) (IF) (5)   12/19 at 100.00 AAA 1,046,128
2,000   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Medical Center, Series 2007D, 5.250%, 8/15/28 (Pre-refunded 8/15/17)   8/17 at 100.00 A+ (4) 2,018,260
1,000   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lesley University, Series 2009A, 5.000%, 7/01/29 (Pre-refunded 7/01/19)  –  AGC Insured   7/19 at 100.00 AA (4) 1,083,340
995   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Suffolk University, Refunding Series 2009A, 5.750%, 7/01/39 (Pre-refunded 7/01/19)   7/19 at 100.00 N/R (4) 1,093,067
3,000   Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Tufts University, Series 2008O, 5.375%, 8/15/38 (Pre-refunded 8/15/18)   8/18 at 100.00 Aa2 (4) 3,163,290
    Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2007A:        
2,955   5.000%, 8/15/19 (Pre-refunded 8/15/17)  –  AMBAC Insured   8/17 at 100.00 AA+ (4) 2,980,738
1,400   5.000%, 8/15/22 (Pre-refunded 8/15/17)  –  AMBAC Insured   8/17 at 100.00 AA+ (4) 1,412,194
5   5.000%, 8/15/37 (Pre-refunded 8/15/17)  –  AMBAC Insured   8/17 at 100.00 AA+ (4) 5,044
995   5.000%, 8/15/37 (Pre-refunded 8/15/17)  –  AMBAC Insured   8/17 at 100.00 Aa2 (4) 1,003,666
1,390   Massachusetts Water Resources Authority, General Revenue Bonds, Refunding Series 2006B, 5.000%, 8/01/22 (Pre-refunded 8/01/18)  –  AMBAC Insured   8/18 at 100.00 Aa1 (4) 1,456,887
    Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A:        
100   5.000%, 8/01/27 (Pre-refunded 8/01/17)   8/17 at 100.00 Aa1 (4) 100,698
1,550   5.000%, 8/01/27 (Pre-refunded 8/01/17)   8/17 at 100.00 AA+ (4) 1,560,897
45   5.000%, 8/01/28 (Pre-refunded 8/01/17)   8/17 at 100.00 Aa1 (4) 45,314
705   5.000%, 8/01/28 (Pre-refunded 8/01/17)   8/17 at 100.00 AA+ (4) 709,956
130   5.000%, 8/01/29 (Pre-refunded 8/01/17)   8/17 at 100.00 Aa1 (4) 130,907
1,950   5.000%, 8/01/29 (Pre-refunded 8/01/17)   8/17 at 100.00 AA+ (4) 1,963,709
    Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005B:        
155   5.000%, 8/01/35 (Pre-refunded 8/01/17)  –  NPFG Insured   8/17 at 100.00 Aa1 (4) 156,082
2,345   5.000%, 8/01/35 (Pre-refunded 8/01/17)  –  NPFG Insured   8/17 at 100.00 AA+ (4) 2,361,485
1,500   Springfield Water and Sewer Commission, Massachusetts, General Revenue Bonds, Refunding Series 2010B, 5.000%, 11/15/30 (Pre-refunded 11/15/20)  –  AGC Insured   11/20 at 100.00 AA (4) 1,702,320
53,180   Total U.S. Guaranteed       56,563,664
    Utilities – 1.9%        
1,435   Guam Power Authority, Revenue Bonds, Series 2010A, 5.000%, 10/01/37  –  AGM Insured   10/20 at 100.00 AA 1,575,056
2,060   Massachusetts Development Finance Agency, Resource Recovery Revenue Refunding Bonds, Covanta Energy Project, Series 2012B, 4.875%, 11/01/42   11/17 at 100.00 BB+ 2,064,285
2,900   Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2004PP, 5.000%, 7/01/22  –  NPFG Insured   7/17 at 100.00 AA- 2,904,669
6,395   Total Utilities       6,544,010
16      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Water and Sewer – 5.0%        
$ 590   Atlanta, Georgia, Water and Wastewater Revenue Bonds, Refunding Series 2009B, 5.375%, 11/01/39  –  AGM Insured   11/19 at 100.00 Aa2 $648,416
1,170   Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2016, 5.000%, 1/01/46   7/26 at 100.00 A- 1,280,729
2,700   Massachusetts Clean Water Trust, State Revolving Fund Bonds, Green 18 Series 2015, 5.000%, 2/01/45   2/24 at 100.00 AAA 3,095,982
60   Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2003-9, 5.000%, 8/01/22   8/17 at 100.00 AAA 60,205
4,000   Massachusetts Water Resources Authority, General Revenue Bonds, Refunding Green Series 2016C, 5.000%, 8/01/40   8/26 at 100.00 AA+ 4,724,720
    Massachusetts Water Resources Authority, General Revenue Bonds, Refunding Series 2016B:        
1,345   4.000%, 8/01/40   8/26 at 100.00 AA+ 1,434,268
1,045   5.000%, 8/01/40   8/26 at 100.00 AA+ 1,234,333
1,000   Massachusetts Water Resources Authority, General Revenue Bonds, Series 2002J, 5.250%, 8/01/19  –  AGM Insured   No Opt. Call AA+ 1,094,740
    Massachusetts Water Resources Authority, General Revenue Bonds, Series 2017B:        
1,000   5.000%, 8/01/39   8/27 at 100.00 AA+ 1,199,320
1,870   5.000%, 8/01/42   8/27 at 100.00 AA+ 2,237,230
14,780   Total Water and Sewer       17,009,943
 
$ 300,375   Total Long-Term Investments (cost $315,518,406)       333,349,594
    Other Assets Less Liabilities – 1.1%       3,548,710
    Net Assets – 100%       $ 336,898,304
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).
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 the Fund’s fair value measurements as of the end of the reporting period:
  Level 1 Level 2 Level 3 Total
Long-Term Investments:        
Municipal Bonds $ — $333,349,594 $ — $333,349,594
NUVEEN      17

Nuveen Massachusetts Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
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 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 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 May 31, 2017, the cost of investments was $315,234,647.
Gross unrealized appreciation and gross unrealized depreciation of investments as of May 31, 2017, were as follows:
Gross unrealized:  
Appreciation $18,482,047
Depreciation (367,100)
Net unrealized appreciation (depreciation) of investments $18,114,947
(1) All percentages shown in the Portfolio of Investments are based on net assets.  
(2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns.  
(3) For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.  
(4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.  
(5) Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions.  
(IF) Inverse floating rate investment.  
18      NUVEEN

Nuveen New Jersey Municipal Bond Fund
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    LONG-TERM INVESTMENTS – 99.1%        
    MUNICIPAL BONDS – 99.1%        
    Consumer Discretionary – 0.1%        
    Middlesex County Improvement Authority, New Jersey, Senior Revenue Bonds, Heldrich Center Hotel/Conference Center Project, Series 2005A:        
$ 280   5.000%, 1/01/32   7/17 at 100.00 Caa1 $219,002
240   5.125%, 1/01/37   7/17 at 100.00 Caa1 178,392
520   Total Consumer Discretionary       397,394
    Consumer Staples – 3.9%        
    Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds, Series 2007-1A:        
2,700   4.500%, 6/01/23   6/17 at 100.00 BBB+ 2,716,389
7,900   4.750%, 6/01/34   6/17 at 100.00 BB- 7,887,202
2,300   5.000%, 6/01/41   6/17 at 100.00 B 2,299,034
12,900   Total Consumer Staples       12,902,625
    Education and Civic Organizations – 17.3%        
870   New Jersey Economic Development Authority, Revenue Bonds, The Seeing Eye Inc., Refunding Series 2015, 5.000%, 3/01/25   No Opt. Call A 1,054,214
    New Jersey Education Facilities Authority Revenue Bonds, The College of New Jersey Issue, Series 2013A:        
770   5.000%, 7/01/38   7/23 at 100.00 AA- 862,762
1,015   5.000%, 7/01/43   7/23 at 100.00 AA- 1,131,268
    New Jersey Educational Facilities Authority, Revenue Bonds, College of New Jersey, Refunding Series 2016F:        
750   4.000%, 7/01/35   7/26 at 100.00 AA- 783,705
1,805   3.000%, 7/01/40   7/26 at 100.00 AA- 1,615,692
1,840   New Jersey Educational Facilities Authority, Revenue Bonds, Kean University, Refunding Series 2009A, 5.500%, 9/01/36  –  AGC Insured   9/19 at 100.00 AA 1,992,370
1,800   New Jersey Educational Facilities Authority, Revenue Bonds, Kean University, Refunding Series 2015H, 4.000%, 7/01/39  –  AGM Insured   7/25 at 100.00 AA 1,853,892
    New Jersey Educational Facilities Authority, Revenue Bonds, Montclair State University, Series 2015D:        
2,000   5.000%, 7/01/31   7/25 at 100.00 AA- 2,294,460
1,055   3.750%, 7/01/33   7/25 at 100.00 AA- 1,081,691
1,725   New Jersey Educational Facilities Authority, Revenue Bonds, New Jersey City University, Series 2015A, 5.000%, 7/01/45   7/25 at 100.00 AA 1,935,433
    New Jersey Educational Facilities Authority, Revenue Bonds, Ramapo College, Refunding Series 2012B:        
525   5.000%, 7/01/37   7/22 at 100.00 A 580,671
100   5.000%, 7/01/42   7/22 at 100.00 A 110,180
NUVEEN      19

Nuveen New Jersey Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Education and Civic Organizations (continued)        
    New Jersey Educational Facilities Authority, Revenue Bonds, Rider University, Series 2012A:        
$ 250   5.000%, 7/01/32   7/21 at 100.00 Baa2 $268,377
230   5.000%, 7/01/37   7/21 at 100.00 Baa2 244,184
470   New Jersey Educational Facilities Authority, Revenue Bonds, Rowan College, Series 2007B, 4.250%, 7/01/34  –  NPFG Insured   7/17 at 100.00 AA- 470,442
1,225   New Jersey Educational Facilities Authority, Revenue Bonds, Seton Hall University, Refunding Series 2015C, 5.000%, 7/01/32   7/25 at 100.00 A- 1,406,300
740   New Jersey Educational Facilities Authority, Revenue Bonds, Seton Hall University, Series 2013D, 5.000%, 7/01/38   7/23 at 100.00 A- 829,148
    New Jersey Educational Facilities Authority, Revenue Bonds, Seton Hall University, Series 2016C:        
220   3.000%, 7/01/37   7/26 at 100.00 A- 207,339
1,425   3.000%, 7/01/41   7/26 at 100.00 A- 1,327,744
2,630   3.000%, 7/01/46   7/26 at 100.00 A- 2,401,637
3,200   4.000%, 7/01/46   7/26 at 100.00 A- 3,290,848
    New Jersey Educational Facilities Authority, Revenue Bonds, Stevens Institute of Technology, Series 2017A:        
1,310   5.000%, 7/01/47   7/27 at 100.00 A- 1,495,863
500   4.000%, 7/01/47   7/27 at 100.00 A- 511,185
590   New Jersey Educational Facilities Authority, Revenue Bonds, Stockton University Issue, Refunding Series 2016A, 5.000%, 7/01/41   7/26 at 100.00 A 645,838
    New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Senior Lien Series 2016-1A:        
2,470   3.500%, 12/01/32 (Alternative Minimum Tax)   12/25 at 100.00 AA 2,433,345
570   4.000%, 12/01/39 (Alternative Minimum Tax)   12/25 at 100.00 AA 574,913
1,000   New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Senior Lien Series 2017-1A, 3.750%, 12/01/33 (Alternative Minimum Tax) (WI/DD, Settling 6/01/17)   12/26 at 100.00 Aaa 1,008,770
2,475   New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2008A, 6.125%, 6/01/30  –  AGC Insured (Alternative Minimum Tax)   6/18 at 100.00 AA 2,561,600
380   New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2010-1A, 5.000%, 12/01/25   12/19 at 100.00 Aaa 402,344
510   New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2010-2, 5.000%, 12/01/30   12/20 at 100.00 Aa3 544,568
1,455   New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2012-1A, 4.375%, 12/01/26 (Alternative Minimum Tax)   12/22 at 100.00 AA 1,571,575
400   New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2012-1B, 5.750%, 12/01/39 (Alternative Minimum Tax)   12/22 at 100.00 A 434,564
20      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Education and Civic Organizations (continued)        
    New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2013-1A:        
$ 1,695   3.625%, 12/01/25 (Alternative Minimum Tax)   12/22 at 100.00 AA $1,738,951
885   4.000%, 12/01/28 (Alternative Minimum Tax)   12/22 at 100.00 AA 922,905
1,400   4.000%, 12/01/31 (Alternative Minimum Tax)   12/22 at 100.00 AA 1,438,976
1,475   4.125%, 12/01/35 (Alternative Minimum Tax)   12/22 at 100.00 AA 1,509,633
    New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2014-1A-1:        
1,500   4.250%, 12/01/32 (Alternative Minimum Tax)   12/23 at 100.00 AA 1,564,905
1,500   4.500%, 12/01/36 (Alternative Minimum Tax)   12/23 at 100.00 AA 1,574,070
2,230   New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Series 2015-1A, 4.000%, 12/01/30 (Alternative Minimum Tax)   12/24 at 100.00 AA 2,319,802
1,715   New Jersey Higher Education Assistance Authority, Student Loan Revenue Bonds, Subordinate Series 2017-C, 4.250%, 12/01/47 (Alternative Minimum Tax) (WI/DD, Settling 6/01/17)   12/26 at 100.00 Aaa 1,729,320
1,425   New Jersey Institute of Technology, New Jersey, General Obligation Bonds, Series 2012A, 5.000%, 7/01/42   7/22 at 100.00 A1 1,591,155
3,000   New Jersey Institute of Technology, New Jersey, General Obligation Bonds, Series 2015A, 5.000%, 7/01/45   7/25 at 100.00 A1 3,397,830
1,000   Rutgers State University, New Jersey, Revenue Bonds, Refunding Series 2013L, 5.000%, 5/01/43   5/23 at 100.00 Aa3 1,121,480
54,130   Total Education and Civic Organizations       56,835,949
    Financials – 0.5%        
    New Jersey Economic Development Authority, Revenue Refunding Bonds, Kapkowski Road Landfill Project, Series 2002:        
855   5.750%, 10/01/21   No Opt. Call Ba2 903,555
500   6.500%, 4/01/28   No Opt. Call Ba2 591,570
1,355   Total Financials       1,495,125
    Health Care – 10.7%        
    Camden County Improvement Authority, New Jersey, Health Care Redevelopment Revenue Bonds, Cooper Health System Obligated Group Issue, Refunding Series 2014A:        
1,720   5.000%, 2/15/25   2/24 at 100.00 BBB+ 1,995,716
2,000   5.000%, 2/15/33   2/24 at 100.00 BBB+ 2,211,800
840   Camden County Improvement Authority, New Jersey, Health Care Redevelopment Revenue Bonds, Cooper Health System Obligated Group Issue, Series 2013A, 5.750%, 2/15/42   2/23 at 100.00 BBB+ 947,117
195   New Jersey Health Care Facilities Finance Authority, Revenue Bonds, AHS Hospital Corporation, Series 2008A, 5.000%, 7/01/27   7/18 at 100.00 AA- 203,015
    New Jersey Health Care Facilities Financing Authority, New Jersey, Revenue Bonds, Saint Peters University Hospital, Refunding Series 2011:        
800   6.000%, 7/01/26   7/21 at 100.00 BB+ 860,008
75   6.250%, 7/01/35   7/21 at 100.00 BB+ 80,886
NUVEEN      21

Nuveen New Jersey Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Health Care (continued)        
$ 545   New Jersey Health Care Facilities Financing Authority, New Jersey, Revenue Bonds, Saint Peters University Hospital, Series 2007, 5.750%, 7/01/37   7/18 at 100.00 BB+ $558,990
400   New Jersey Health Care Facilities Financing Authority, Revenue and Refunding Bonds, Barnabas Health, Series 2012A, 5.000%, 7/01/24   7/22 at 100.00 A+ 458,976
    New Jersey Health Care Facilities Financing Authority, Revenue and Refunding Bonds, Palisades Medical Center Obligated Group Issue, Series 2013:        
660   5.250%, 7/01/31   7/23 at 100.00 A- 806,183
360   5.500%, 7/01/43   7/23 at 100.00 A- 444,960
490   New Jersey Health Care Facilities Financing Authority, Revenue Bonds, AHS Hospital Corporation, Refunding Series 2016, 4.000%, 7/01/41   1/27 at 100.00 AA- 508,576
1,000   New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Barnabas Health, Refunding Series 2014A, 5.000%, 7/01/44   7/24 at 100.00 A+ 1,108,570
1,500   New Jersey Health Care Facilities Financing Authority, Revenue Bonds, CentraState Medical Center, Series 2006A, 5.000%, 7/01/30  –  AGC Insured   7/17 at 100.00 AA 1,503,495
2,040   New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Hackensack Meridian Health Obligated Group, Refunding Series 2017A, 5.000%, 7/01/57   7/27 at 100.00 AA- 2,301,650
    New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Hunterdon Medical Center, Refunding Series 2014A:        
595   5.000%, 7/01/45   7/24 at 100.00 A+ 659,201
1,000   4.000%, 7/01/45   7/24 at 100.00 A+ 1,021,020
    New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Kennedy Health System Obligated Group Issue, Refunding Series 2012:        
1,420   4.000%, 7/01/17   No Opt. Call A3 1,423,607
10   3.750%, 7/01/27   No Opt. Call A3 10,462
1,125   5.000%, 7/01/31   7/22 at 100.00 A3 1,239,806
1,080   5.000%, 7/01/42   7/22 at 100.00 A3 1,164,197
570   New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Meridian Health System Obligated Group, Refunding Series 2013A, 5.000%, 7/01/32   7/23 at 100.00 A+ 642,738
    New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Princeton HealthCare System, Series 2016A:        
460   5.000%, 7/01/32   7/26 at 100.00 Baa2 533,853
575   5.000%, 7/01/33   7/26 at 100.00 Baa2 662,371
200   5.000%, 7/01/34   7/26 at 100.00 Baa2 229,026
    New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Robert Wood Johnson University Hospital Issue, Series 2014A:        
2,000   5.000%, 7/01/39   7/24 at 100.00 A+ 2,231,860
630   5.000%, 7/01/43   7/24 at 100.00 A+ 700,503
780   New Jersey Health Care Facilities Financing Authority, Revenue Bonds, RWJ Barnabas Health Obligated Group, Refunding Series 2016A, 5.000%, 7/01/43   7/26 at 100.00 A+ 883,319
22      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Health Care (continued)        
    New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Saint Joseph's Healthcare System Obligated Group Issue, Refunding Series 2016:        
$ 600   3.000%, 7/01/32   7/26 at 100.00 BBB- $542,046
200   4.000%, 7/01/34   7/26 at 100.00 BBB- 202,276
3,335   5.000%, 7/01/41   7/26 at 100.00 BBB- 3,661,396
2,025   4.000%, 7/01/48   7/26 at 100.00 BBB- 1,992,175
460   New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Saint Luke's Warren Hospital Obligated Group, Series 2013, 4.000%, 8/15/37   8/23 at 100.00 A- 468,082
    New Jersey Health Care Facilities Financing Authority, Revenue Bonds, University Hospital Issue, Refunding Series 2015A:        
1,500   4.125%, 7/01/38  –  AGM Insured   7/25 at 100.00 AA 1,567,080
1,255   5.000%, 7/01/46  –  AGM Insured   7/25 at 100.00 AA 1,384,642
32,445   Total Health Care       35,209,602
    Housing/Multifamily – 5.4%        
600   New Jersey Economic Development Authority, Revenue Bonds, Provident Group - Rowan Properties LLC - Rowan University Student Housing Project, Series 2017A, 5.000%, 7/01/47   1/27 at 100.00 BBB- 647,616
1,770   New Jersey Economic Development Authority, Revenue Bonds, West Campus Housing LLC - New Jersey City University Student Housing Project, Series 2015, 5.000%, 7/01/47   7/25 at 100.00 BBB- 1,850,800
    New Jersey Economic Development Authority, Student Housing Revenue Bonds, Provident Group-Montclair Properties LLC, Montclair State University Student Housing Project, Series 2010A:        
2,055   5.750%, 6/01/31   6/20 at 100.00 Baa3 2,238,183
1,100   5.875%, 6/01/42   6/20 at 100.00 Baa3 1,193,544
    New Jersey Housing and Mortgage Finance Agency, Multifamily Housing Revenue Bonds, Series 2013-2:        
1,770   4.350%, 11/01/33 (Alternative Minimum Tax)   11/22 at 100.00 AA 1,876,784
1,015   4.600%, 11/01/38 (Alternative Minimum Tax)   11/22 at 100.00 AA 1,065,537
1,010   4.750%, 11/01/46 (Alternative Minimum Tax)   11/22 at 100.00 AA 1,062,096
3,000   New Jersey Housing and Mortgage Finance Agency, Multifamily Revenue Bonds, Series 2009A, 4.950%, 5/01/41   11/19 at 100.00 AA- 3,116,130
660   New Jersey Housing and Mortgage Finance Agency, Multifamily Revenue Bonds, Series 2015A, 4.000%, 11/01/45   11/24 at 100.00 AA- 675,305
1,135   New Jersey Housing and Mortgage Finance Agency, Multifamily Revenue Bonds, Series 2016A, 3.750%, 11/01/45   11/25 at 100.00 AA- 1,143,138
2,040   New Jersey Housing and Mortgage Finance Agency, Multifamily Revenue Bonds, Series 2016B, 3.600%, 11/01/40   11/25 at 100.00 AA- 2,056,504
875   New Jersey Housing and Mortgage Finance Agency, Multifamily Revenue Bonds, Series 2017D, 3.900%, 11/01/32 (Alternative Minimum Tax)   5/26 at 100.00 AA- 900,235
17,030   Total Housing/Multifamily       17,825,872
    Housing/Single Family – 0.3%        
920   New Jersey Housing and Mortgage Finance Agency, Single Family Housing Revenue Bonds, Series 2007T, 4.700%, 10/01/37 (Alternative Minimum Tax)   10/17 at 100.00 AA 920,745
NUVEEN      23

Nuveen New Jersey Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Housing/Single Family (continued)        
$ 95   New Jersey Housing and Mortgage Finance Agency, Single Family Housing Revenue Bonds, Series 2008AA, 6.375%, 10/01/28   10/18 at 100.00 AA $ 97,997
1,015   Total Housing/Single Family       1,018,742
    Industrials – 0.5%        
1,660   Gloucester County Improvement Authority, New Jersey, Solid Waste Resource Recovery Revenue Refunding Bonds, Waste Management Inc. Project, Series 1999B, 2.125%, 12/01/29 (Mandatory Put 12/01/17)   No Opt. Call A- 1,667,271
    Long-Term Care – 1.5%        
3,010   Burlington County Bridge Commission, New Jersey, Economic Development Revenue Bonds, The Evergreens Project, Series 2007, 5.625%, 1/01/38   1/18 at 100.00 N/R 3,047,083
150   New Jersey Economic Development Authority, Fixed Rate Revenue Bonds, Lions Gate Project, Series 2014, 5.250%, 1/01/44   1/24 at 100.00 N/R 155,737
1,205   New Jersey Economic Development Authority, Revenue Bonds, United Methodist Homes of New Jersey Obligated Group Issue, Refunding Series 2013, 5.000%, 7/01/34   7/23 at 100.00 BBB- 1,284,193
405   New Jersey Economic Development Authority, Revenue Bonds, United Methodist Homes of New Jersey Obligated Group Issue, Refunding Series 2014A, 5.000%, 7/01/29   7/24 at 100.00 BBB- 444,014
4,770   Total Long-Term Care       4,931,027
    Tax Obligation/General – 10.0%        
    Cumberland County Improvement Authority, New Jersey, County General Obligation Revenue Bonds, Technical High School Project, Series 2014:        
1,000   3.000%, 9/01/30  –  AGM Insured   9/24 at 100.00 AA 1,012,580
1,775   5.000%, 9/01/39  –  AGM Insured   9/24 at 100.00 AA 2,019,559
    Jefferson Township School District, Morris County, New Jersey, General Obligation Bonds, Refunding Series 2012:        
755   4.000%, 9/15/26   9/22 at 100.00 AA- 830,779
1,270   4.000%, 9/15/27   9/22 at 100.00 AA- 1,389,723
525   Middletown Township Board of Education, Monmouth County, New Jersey, Refunding Series 2010, 5.000%, 8/01/27   8/20 at 100.00 AA 588,945
1,000   Monroe Township Board of Education, Middlesex County, New Jersey, General Obligation Bonds, Refunding Series 2012, 4.000%, 8/01/24   8/22 at 100.00 AA- 1,110,270
610   Monroe Township Board of Education, Middlesex County, New Jersey, General Obligation Bonds, Refunding Series 2015, 5.000%, 3/01/38   3/25 at 100.00 AA- 697,858
    Montclair Township, Essex County, New Jersey, General Obligation Bonds, Refunding Parking Utility Series 2014A:        
330   3.750%, 1/01/33   1/24 at 100.00 AAA 340,098
220   5.000%, 1/01/37   1/24 at 100.00 AAA 250,611
570   New Brunswick Parking Authority, Middlesex County, New Jersey, Guaranteed Parking Revenue Bonds, Refunding Series 2012, 5.000%, 9/01/30   9/22 at 100.00 A+ 641,672
    New Brunswick Parking Authority, Middlesex County, New Jersey, Guaranteed Parking Revenue Bonds, Refunding Series 2016A:        
3,140   5.000%, 9/01/29  –  BAM Insured   9/26 at 100.00 AA 3,753,996
1,325   5.000%, 9/01/39  –  BAM Insured   9/26 at 100.00 AA 1,532,972
24      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/General (continued)        
    New Brunswick Parking Authority, Middlesex County, New Jersey, Guaranteed Parking Revenue Bonds, Refunding Series 2016B:        
$ 680   3.000%, 9/01/39  –  AGM Insured   9/26 at 100.00 AA $628,918
1,655   4.000%, 9/01/40  –  AGM Insured   9/26 at 100.00 AA 1,738,544
1,735   Passaic County, New Jersey, General Obligation Bonds, Refunding Series 2015, 5.000%, 2/01/20   No Opt. Call AA 1,916,255
    Readington Township, New Jersey, General Obligation Bonds, General Improvement Series 2011:        
875   5.125%, 1/15/28   1/21 at 100.00 AA 966,753
875   5.250%, 1/15/30   1/21 at 100.00 AA 964,828
1,010   Ridgewood Township Board of Education, Bergen County, New Jersey, General Obligation Bonds, Refunding Series 2016A, 3.000%, 3/15/35   3/27 at 100.00 AA+ 991,083
    South Brunswick Township Board of Education, Middlesex County, New Jersey, General Obligation Bonds, Refunding Series 2012:        
450   4.000%, 12/01/23   6/22 at 100.00 AA+ 502,632
305   4.000%, 12/01/24   6/22 at 100.00 AA+ 337,906
1,010   Sparta Township Board of Education, Sussex County, New Jersey, General Obligation Bonds, Refunding Series 2015, 5.000%, 2/15/33   2/25 at 100.00 AA- 1,175,933
1,630   Sussex County, New Jersey, General Obligation Bonds, Refunding Series 2014, 4.000%, 2/15/21   No Opt. Call AA+ 1,800,857
3,685   Union County Utilities Authority, New Jersey, Resource Recovery Facility Lease Revenue Bonds, Covantan Union Inc. Lessee, Refunding Series 2011B, 5.250%, 12/01/31 (Alternative Minimum Tax)   12/21 at 100.00 AA+ 4,018,640
2,515   Union County Utilities Authority, New Jersey, Solid Waste System County Deficiency Revenue Bonds, Series 2011A, 5.000%, 6/15/41   6/21 at 100.00 Aaa 2,749,021
1,000   West Deptford Township, Gloucester County, New Jersey, General Obligation Bonds, Refunding Series 2014, 4.000%, 9/01/28  –  BAM Insured   9/24 at 100.00 AA 1,093,310
29,945   Total Tax Obligation/General       33,053,743
    Tax Obligation/Limited – 19.2%        
650   Bergen County Improvement Authority, New Jersey, Guaranteed Lease Revenue Bonds, County Administration Complex Project, Series 2005, 5.000%, 11/15/26   No Opt. Call Aaa 823,810
390   Burlington County Bridge Commission, New Jersey, Governmental Leasing Program Revenue Bonds, County Guaranteed, Series 2016A, 2.500%, 10/01/31   4/26 at 100.00 AA 363,679
820   Essex County Improvement Authority, New Jersey, Project Consolidation Revenue Bonds, Refunding Series 2007, 5.250%, 12/15/22  –  AMBAC Insured   No Opt. Call AA+ 989,420
2,395   Garden State Preservation Trust, New Jersey, Open Space and Farmland Preservation Bonds, Series 2005A, 5.750%, 11/01/28  –  AGM Insured   No Opt. Call AA 2,998,253
1,050   Government of Guam, Business Privilege Tax Bonds, Series 2011A, 5.250%, 1/01/36   1/22 at 100.00 A 1,119,374
    Hudson County Improvement Authority, New Jersey, County Secured Lease Revenue Bonds, Hudson County Vocational Technical Schools Project, Series 2016:        
6,490   5.000%, 5/01/46   5/26 at 100.00 AA 7,504,257
1,080   5.250%, 5/01/51   5/26 at 100.00 AA 1,260,565
NUVEEN      25

Nuveen New Jersey Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
    New Jersey Economic Development Authority, Cigarette Tax Revenue Refunding Bonds, Series 2012:        
$ 1,385   5.000%, 6/15/19   No Opt. Call BBB+ $1,461,729
350   5.000%, 6/15/21   No Opt. Call BBB+ 383,219
2,850   5.000%, 6/15/25   6/22 at 100.00 BBB+ 3,108,637
450   5.000%, 6/15/28   6/22 at 100.00 BBB+ 484,983
1,000   New Jersey Economic Development Authority, Revenue Bonds, Motor Vehicle Surcharge, Series 2004A, 5.000%, 7/01/29  –  NPFG Insured   7/17 at 100.00 AA- 1,024,310
    New Jersey Economic Development Authority, Revenue Bonds, Newark Downtown District Management Corporation Project, Series 2007:        
85   5.125%, 6/15/27   6/17 at 100.00 Baa3 85,163
145   5.125%, 6/15/37   6/17 at 100.00 Baa3 145,203
1,500   New Jersey Economic Development Authority, School Facilities Construction Financing Program Bonds, Refunding Series 2014PP, 5.000%, 6/15/26   6/24 at 100.00 A- 1,594,065
4,000   New Jersey Economic Development Authority, School Facilities Construction Financing Program Bonds, Refunding Series 2015WW, 5.250%, 6/15/40   6/25 at 100.00 A- 4,194,920
2,000   New Jersey Economic Development Authority, Sublease Revenue Bonds, New Jersey Transit Corporation Projects, Refunding Series 2017B, 5.000%, 11/01/25   No Opt. Call A- 2,163,160
    New Jersey Health Care Facilities Financing Authority, State Contract Bonds, Hospital Asset Transformation Program, Series 2008A:        
2,520   5.000%, 10/01/28   10/18 at 100.00 BBB+ 2,562,437
1,515   5.250%, 10/01/38   10/18 at 100.00 BBB+ 1,541,043
2,010   New Jersey Health Care Facilities Financing Authority, State Contract Bonds, Hospital Asset Transformation Program, Series 2009A, 5.750%, 10/01/31   10/19 at 100.00 A- 2,156,710
    New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement Revenue Notes, Series 2016A-1:        
225   5.000%, 6/15/29   6/26 at 100.00 A+ 244,105
125   5.000%, 6/15/30   6/26 at 100.00 A+ 134,706
14,305   New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Capital Appreciation Series 2010A, 0.000%, 12/15/30   No Opt. Call A- 7,453,048
1,900   New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Refunding Series 2006A, 5.500%, 12/15/22   No Opt. Call A- 2,116,676
    New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Refunding Series 2006C:        
6,925   0.000%, 12/15/32  –  AGM Insured   No Opt. Call AA 3,627,315
4,765   0.000%, 12/15/33  –  AGM Insured   No Opt. Call AA 2,371,064
1,000   0.000%, 12/15/34  –  AGM Insured   No Opt. Call AA 472,140
500   New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2007A, 5.000%, 12/15/26  –  AMBAC Insured   12/17 at 100.00 A- 509,630
1,510   New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2010D, 5.000%, 12/15/24   No Opt. Call A- 1,648,074
1,140   Passaic County Improvement Authority, New Jersey, Lease Revenue Bonds, Preakness Healthcare Center Expansion Project, Refunding Series 2015, 3.750%, 5/01/36   5/25 at 100.00 AA 1,185,953
26      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
    Passaic County Improvement Authority, New Jersey, Lease Revenue Bonds, Preakness Healthcare Center Expansion Project, Series 2012:        
$ 1,465   5.000%, 5/01/21   No Opt. Call Aa3 $1,673,953
1,815   3.500%, 5/01/35   5/22 at 100.00 Aa3 1,839,557
3,000   Union County Improvement Authority, New Jersey, Lease Revenue Bonds, Plainfield - Park Madison Redevelopment Project, Refunding Series 2013A, 5.000%, 3/01/34   No Opt. Call AA+ 3,844,710
71,360   Total Tax Obligation/Limited       63,085,868
    Transportation – 14.7%        
1,100   Delaware River and Bay Authority, Delaware and New Jersey, Revenue Bonds, Series 2012A, 5.000%, 1/01/42   1/23 at 100.00 A1 1,238,182
    Delaware River and Bay Authority, Delaware and New Jersey, Revenue Bonds, Series 2014A:        
360   5.000%, 1/01/34   1/24 at 100.00 A1 406,382
1,510   4.125%, 1/01/39   1/24 at 100.00 A1 1,583,144
2,000   5.000%, 1/01/44   1/24 at 100.00 A1 2,229,720
1,635   Delaware River Joint Toll Bridge Commission, New Jersey and Pennsylvania, Bridge System Revenue Bonds, Refunding Series 2015, 4.000%, 7/01/35  –  BAM Insured   7/25 at 100.00 AA 1,735,863
    Delaware River Joint Toll Bridge Commission, New Jersey and Pennsylvania, Bridge System Revenue Bonds, Series 2017:        
1,000   5.000%, 7/01/42   7/27 at 100.00 A1 1,165,310
2,980   5.000%, 7/01/47   7/27 at 100.00 A1 3,455,400
500   Delaware River Joint Toll Bridge Commission, Pennsylvania, Bridge System Revenue Bonds, Refunding Series 2012A, 5.000%, 7/01/26   7/22 at 100.00 A1 577,260
1,760   Delaware River Port Authority, New Jersey and Pennsylvania, Revenue Bonds, Series 2013, 5.000%, 1/01/40   1/24 at 100.00 A 1,986,758
    Delaware River Port Authority, Pennsylvania and New Jersey, Revenue Refunding Bonds, Port District Project, Series 2012:        
1,000   5.000%, 1/01/24   1/23 at 100.00 A- 1,120,260
1,095   5.000%, 1/01/26   1/23 at 100.00 A- 1,218,932
1,100   5.000%, 1/01/27   1/23 at 100.00 A- 1,217,964
    New Jersey Economic Development Authority, Private Activity Bonds, The Goethals Bridge Replacement Project, Series 2013:        
1,465   5.000%, 1/01/31  –  AGM Insured (Alternative Minimum Tax)   1/24 at 100.00 AA 1,615,353
515   5.125%, 7/01/42  –  AGM Insured (Alternative Minimum Tax)   1/24 at 100.00 AA 568,751
1,255   5.625%, 1/01/52 (Alternative Minimum Tax)   1/24 at 100.00 BBB 1,416,770
    New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental Airlines Inc., Series 1999:        
400   5.125%, 9/15/23 (Alternative Minimum Tax)   9/17 at 100.00 BB- 433,880
800   5.250%, 9/15/29 (Alternative Minimum Tax)   8/22 at 101.00 BB- 873,408
300   New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental Airlines Inc., Series 2000A & 2000B, 5.625%, 11/15/30 (Alternative Minimum Tax)   3/24 at 101.00 BB- 338,316
2,000   New Jersey Turnpike Authority, Revenue Bonds, Refunding Series 2016A, 5.000%, 1/01/34   1/26 at 100.00 A+ 2,317,060
NUVEEN      27

Nuveen New Jersey Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Transportation (continued)        
$ 1,300   New Jersey Turnpike Authority, Revenue Bonds, Series 2005A, 5.250%, 1/01/29  –  AGM Insured   No Opt. Call AA $1,660,594
3,500   New Jersey Turnpike Authority, Revenue Bonds, Series 2009I, 5.000%, 1/01/35   1/20 at 100.00 A+ 3,780,490
1,380   New Jersey Turnpike Authority, Revenue Bonds, Series 2012B, 5.000%, 1/01/28   1/23 at 100.00 A+ 1,589,788
5,000   New Jersey Turnpike Authority, Revenue Bonds, Series 2013A, 5.000%, 1/01/43   7/22 at 100.00 A+ 5,572,900
900   Passaic County Improvement Authority, New Jersey, County Guaranteed Parking Revenue Bonds, 200 Hospital Plaza Project, Series 2010, 5.000%, 5/01/42   5/20 at 100.00 Aa3 980,667
2,000   Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Fifty Third Series 2008, 5.000%, 7/15/38   7/18 at 100.00 AA- 2,088,840
1,810   Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Seventy Ninth Series 2013, 5.000%, 12/01/43   12/23 at 100.00 AA- 2,079,925
    Port Authority of New York and New Jersey, Special Project Bonds, JFK International Air Terminal LLC, Sixth Series 1997:        
2,000   5.750%, 12/01/22  –  NPFG Insured (Alternative Minimum Tax)   6/17 at 100.00 AA- 2,024,240
3,125   5.750%, 12/01/25  –  NPFG Insured (Alternative Minimum Tax)   6/17 at 100.00 AA- 3,162,875
43,790   Total Transportation       48,439,032
    U.S. Guaranteed – 10.7% (4)        
5   Essex County Improvement Authority, New Jersey, Project Consolidation Revenue Bonds, Refunding Series 2007, 5.250%, 12/15/22  –  AMBAC Insured (ETM)   No Opt. Call Aa2 (4) 6,039
35   Monmouth County Improvement Authority, New Jersey, Governmental Loan Revenue Bonds, Series 2005, 4.000%, 12/01/17 (Pre-refunded 6/01/17)  –  AMBAC Insured   6/17 at 100.00 N/R (4) 35,075
175   New Jersey Economic Development Authority, Revenue Bonds, Yeshiva Ktana of Passaic, Series 1993, 8.000%, 9/15/18 (ETM)   No Opt. Call N/R (4) 184,104
    New Jersey Economic Development Authority, School Facilities Construction Financing Program Bonds, Series 2007U:        
525   5.000%, 9/01/37 (Pre-refunded 9/01/17)  –  AMBAC Insured   9/17 at 100.00 AAA (4) 530,512
305   5.000%, 9/01/37 (Pre-refunded 9/01/17)  –  AMBAC Insured   9/17 at 100.00 A- (4) 308,202
1,195   New Jersey Educational Facilities Authority, Revenue Bonds, Kean University, Series 2007D, 5.000%, 7/01/32 (Pre-refunded 7/01/17)  –  FGIC Insured   7/17 at 100.00 AA- (4) 1,199,218
2,000   New Jersey Educational Facilities Authority, Revenue Bonds, Richard Stockton College of New Jersey, Refunding Series 2008A, 5.375%, 7/01/38 (Pre-refunded 7/01/18)   7/18 at 100.00 A (4) 2,098,040
30   New Jersey Educational Facilities Authority, Revenue Bonds, Rowan College, Series 2007B, 4.250%, 7/01/34 (Pre-refunded 7/01/17)  –  NPFG Insured   7/17 at 100.00 AA- (4) 30,085
2,520   New Jersey Educational Facilities Authority, Revenue Bonds, University of Medicine and Dentistry of New Jersey, Refunding Series 2009B, 7.500%, 12/01/32 (Pre-refunded 6/01/19)   6/19 at 100.00 N/R (4) 2,848,306
4,260   New Jersey Health Care Facilities Finance Authority, Revenue Bonds, AHS Hospital Corporation, Series 2008A, 5.000%, 7/01/27 (Pre-refunded 7/01/18)   7/18 at 100.00 N/R (4) 4,448,803
    New Jersey Health Care Facilities Financing Authority, Revenue and Refunding Bonds, Palisades Medical Center Obligated Group Issue, Series 2013:        
140   5.250%, 7/01/31 (Pre-refunded 7/01/23)   7/23 at 100.00 N/R (4) 170,827
80   5.500%, 7/01/43 (Pre-refunded 7/01/23)   7/23 at 100.00 N/R (4) 98,775
1,170   New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Atlanticare Regional Medical Center, Series 2007, 5.000%, 7/01/37 (Pre-refunded 7/01/17)   7/17 at 100.00 N/R (4) 1,174,177
28      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    U.S. Guaranteed (4) (continued)        
    New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Meridian Health, Series 2007:        
$ 5,175   5.000%, 7/01/38 (Pre-refunded 7/01/18)  –  AGC Insured   7/18 at 100.00 AA (4) $5,406,633
1,185   5.000%, 7/01/38 (Pre-refunded 7/01/18)  –  AGC Insured   7/18 at 100.00 AA (4) 1,238,041
360   New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Saint Barnabas Health Care System, Refunding Series 2011A, 5.625%, 7/01/37 (Pre-refunded 7/01/21)   7/21 at 100.00 A+ (4) 424,552
3,050   New Jersey Health Care Facilities Financing Authority, Revenue Bonds, Saint Joseph's Healthcare System Obligated Group Issue, Series 2008, 6.625%, 7/01/38 (Pre-refunded 7/01/18)   7/18 at 100.00 Baa3 (4) 3,239,344
845   New Jersey Health Care Facilities Financing Authority, Revenue Bonds, St. Clare's Hospital, Series 2004A, 5.250%, 7/01/20  –  RAAI Insured (ETM)   No Opt. Call AA (4) 951,293
    New Jersey Health Care Facilities Financing Authority, State Contract Bonds, Hospital Asset Transformation Program, Series 2008A:        
725   5.000%, 10/01/28 (Pre-refunded 10/01/18)   10/18 at 100.00 N/R (4) 765,092
440   5.250%, 10/01/38 (Pre-refunded 10/01/18)   10/18 at 100.00 N/R (4) 465,788
2,750   Newark Housing Authority, New Jersey, City-Secured Police Facility Revenue Bonds, South Ward Police Facility, Series 2009A, 6.750%, 12/01/38 (Pre-refunded 12/01/19)  –  AGC Insured   12/19 at 100.00 A3 (4) 3,143,250
120   North Hudson Sewerage Authority, New Jersey, Gross Revenue Senior Lien Lease Certificates, Series 2012A, 5.000%, 6/01/27 (Pre-refunded 6/01/22)   6/22 at 100.00 N/R (4) 141,566
1,680   Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Forty Eighth Series 2007, 5.000%, 8/15/32 (Pre-refunded 8/15/17)  –  AGM Insured   8/17 at 100.00 AA (4) 1,694,633
4,000   Puerto Rico Public Finance Corporation, Commonwealth Appropriation Bonds, Series 1998A, 5.125%, 6/01/24  –  AMBAC Insured (ETM)   No Opt. Call Aaa 4,570,000
32,770   Total U.S. Guaranteed       35,172,355
    Utilities – 1.7%        
2,430   Essex County Improvement Authority, New Jersey, Solid Waste Disposal Revenue Bonds, Covanta Project, Series 2015, 5.250%, 7/01/45 (Alternative Minimum Tax)   7/20 at 100.00 Ba2 2,446,354
    New Jersey Economic Development Authority, Energy Facilities Revenue Bonds, UMM Energy Partners, LLC Project, Series 2012A:        
500   5.000%, 6/15/37 (Alternative Minimum Tax)   6/22 at 100.00 Baa3 519,945
1,000   5.125%, 6/15/43 (Alternative Minimum Tax)   6/22 at 100.00 Baa3 1,038,610
960   New Jersey Economic Development Authority, Water Facilities Revenue Bonds, New Jersey-American Water Company Inc. Project, Refunding Series 2010D, 4.875%, 11/01/29 (Alternative Minimum Tax)   11/20 at 100.00 A+ 1,045,815
640   Salem County Pollution Control Financing Authority, New Jersey, Pollution Control Revenue Bonds, Chambers Project, Refunding Series 2014A, 5.000%, 12/01/23 (Alternative Minimum Tax)   No Opt. Call BBB- 700,371
5,530   Total Utilities       5,751,095
    Water and Sewer – 2.6%        
    New Jersey Economic Development Authority, Water Facilities Revenue Bonds, Middlesex Water Company, Series 2012C:        
1,045   5.000%, 10/01/23   No Opt. Call A+ 1,235,535
2,175   4.250%, 10/01/47 (Alternative Minimum Tax)   10/22 at 100.00 A+ 2,240,598
NUVEEN      29

Nuveen New Jersey Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Water and Sewer (continued)        
$ 1,770   New Jersey Environmental Infrastructure Trust, Environmental Infrastructure Bonds, Tender Option Bond Trust 2016-XF0395, 6.535%, 9/01/21 (IF) (5)   No Opt. Call AAA $2,184,198
    North Hudson Sewerage Authority, New Jersey, Gross Revenue Senior Lien Lease Certificates, Series 2012A:        
1,380   5.000%, 6/01/27   6/22 at 100.00 A 1,561,787
1,215   5.000%, 6/01/42  –  NPFG Insured   6/22 at 100.00 A 1,347,289
7,585   Total Water and Sewer       8,569,407
 
$ 316,805   Total Long-Term Investments (cost $310,379,025)       326,355,107
    Other Assets Less Liabilities – 0.9%       2,949,161
    Net Assets – 100%       $ 329,304,268
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).
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 the Fund’s fair value measurements as of the end of the reporting period:
  Level 1 Level 2 Level 3 Total
Long-Term Investments:        
Municipal Bonds $ — $326,355,107 $ — $326,355,107
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 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 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 May 31, 2017, the cost of investments was $309,865,003.
Gross unrealized appreciation and gross unrealized depreciation of investments as of May 31, 2017, were as follows:
Gross unrealized:  
Appreciation $18,065,642
Depreciation (1,575,538)
Net unrealized appreciation (depreciation) of investments $16,490,104
30      NUVEEN

(1) All percentages shown in the Portfolio of Investments are based on net assets.  
(2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns.  
(3) For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.  
(4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.  
(5) Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions.  
(ETM) Escrowed to maturity.  
(IF) Inverse floating rate investment.  
(WI/DD) Investment, or portion of investment, purchased on a when-issued or delayed delivery basis.  
NUVEEN      31

Nuveen New York Municipal Bond Fund
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    LONG-TERM INVESTMENTS – 100.6%        
    MUNICIPAL BONDS – 100.6%        
    Consumer Staples – 5.2%        
$ 15,870   Erie County Tobacco Asset Securitization Corporation, New York, Tobacco Settlement Asset-Backed Bonds, 1st Subordinate Series 2005B, 0.000%, 6/01/47   6/17 at 100.00 N/R $2,175,460
    Erie County Tobacco Asset Securitization Corporation, New York, Tobacco Settlement Asset-Backed Bonds, Series 2005A:        
15,010   5.000%, 6/01/38   6/17 at 100.00 BB 15,013,152
1,055   5.000%, 6/01/45   6/17 at 100.00 BB- 1,054,916
101,105   Erie County Tobacco Asset Securitization Corporation, New York, Tobacco Settlement Asset-Backed Bonds, Series 2005C, 0.000%, 6/01/50   6/17 at 100.00 N/R 9,549,367
1,850   Nassau County Tobacco Settlement Corporation, New York, Tobacco Settlement Asset-Backed Bonds, Refunding Series 2006A-2, 5.250%, 6/01/26   6/17 at 100.00 B- 1,850,222
4,450   Nassau County Tobacco Settlement Corporation, New York, Tobacco Settlement Asset-Backed Bonds, Series 2006A-3, 5.000%, 6/01/35   6/17 at 100.00 B- 4,429,619
1,565   New York Counties Tobacco Trust VI, New York, Tobacco Settlement Pass-Through Bonds, Turbo Term Series 2016A. Including 2016A-1, 2016A-2A and 2016A-2B, 5.000%, 6/01/51   6/26 at 100.00 N/R 1,670,481
6,970   TSASC Inc., New York, Tobacco Asset-Backed Bonds, Series 2006, 5.000%, 6/01/48   6/27 at 100.00 N/R 7,219,735
147,875   Total Consumer Staples       42,962,952
    Education and Civic Organizations – 15.5%        
660   Albany Industrial Development Agency, New York, Revenue Bonds, Albany Law School, Series 2007A, 5.000%, 7/01/31   7/17 at 100.00 BBB 661,604
    Albany Industrial Development Agency, New York, Revenue Bonds, Brighter Choice Charter Schools, Series 2007A:        
520   5.000%, 4/01/20   10/17 at 100.00 B 519,303
1,000   5.000%, 4/01/27   10/17 at 100.00 B 930,700
290   5.000%, 4/01/37   10/17 at 100.00 B 245,587
2,190   Buffalo and Erie County Industrial Land Development Corporation, New York, Revenue Bonds, Enterprise Charter School Project, Series 2011A, 7.500%, 12/01/40   12/20 at 100.00 B+ 2,231,785
    Build New York City Resource Corporation, New York, Revenue Bonds, Bronx Charter School for Excellence, Series 2013A:        
1,630   5.000%, 4/01/33   4/23 at 100.00 BBB- 1,684,181
1,250   5.500%, 4/01/43   4/23 at 100.00 BBB- 1,310,325
    Build New York City Resource Corporation, New York, Revenue Bonds, Children's Aid Society Project, Series 2015:        
2,500   5.000%, 7/01/40   7/25 at 100.00 A+ 2,820,125
2,500   5.000%, 7/01/45   7/25 at 100.00 A+ 2,808,750
32      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Education and Civic Organizations (continued)        
    Build New York City Resource Corporation, New York, Revenue Bonds, City University of New York - Queens College, Q Student Residences, LLC Project, Refunding Series 2014A:        
$ 1,000   5.000%, 6/01/38   6/24 at 100.00 Aa2 $1,148,560
4,050   5.000%, 6/01/43   6/24 at 100.00 Aa2 4,637,736
    Build New York City Resource Corporation, New York, Revenue Bonds, South Bronx Charter School for International Cultures and the Arts Project, Series 2013A:        
1,050   5.000%, 4/15/33   4/23 at 100.00 BB+ 1,057,907
1,875   5.000%, 4/15/43   4/23 at 100.00 BB+ 1,861,425
1,750   Dormitory Authority of the State of New York, Brooklyn Law School Revenue Bonds, Series 2009, 5.750%, 7/01/33   7/19 at 100.00 Baa1 1,880,812
2,655   Dormitory Authority of the State of New York, General Revenue Bonds, Manhattan College, Series 2007A, 5.000%, 7/01/32  –  RAAI Insured   7/17 at 100.00 AA 2,663,682
595   Dormitory Authority of the State of New York, General Revenue Bonds, Saint Johns University, Series 2015A, 5.000%, 7/01/37   7/25 at 100.00 A- 681,680
    Dormitory Authority of the State of New York, Housing Revenue Bonds, Fashion Institute of Technology, Series 2007:        
1,670   5.250%, 7/01/29  –  FGIC Insured   No Opt. Call AA- 2,019,230
735   5.250%, 7/01/34  –  FGIC Insured   No Opt. Call AA- 897,185
1,500   Dormitory Authority of the State of New York, Lease Revenue Bonds, State University Dormitory Facilities, Refunding Series 2013A, 5.000%, 7/01/27   7/23 at 100.00 Aa3 1,754,670
1,600   Dormitory Authority of the State of New York, Revenue Bonds, Barnard College, Refunding Series 2015A, 5.000%, 7/01/43   7/25 at 100.00 A1 1,828,144
85   Dormitory Authority of the State of New York, Revenue Bonds, Barnard College, Series 2007A, 5.000%, 7/01/37  –  NPFG Insured   7/17 at 100.00 AA- 85,276
7,740   Dormitory Authority of the State of New York, Revenue Bonds, Columbia University, Series 2011A, 5.000%, 10/01/41   4/21 at 100.00 AAA 8,707,655
750   Dormitory Authority of the State of New York, Revenue Bonds, Convent of the Sacred Heart, Series 2011, 5.625%, 11/01/32  –  AGM Insured   5/21 at 100.00 AA 859,245
2,760   Dormitory Authority of the State of New York, Revenue Bonds, Icahn School of Medicine at Mount Sinai, Refunding Series 2015A, 5.000%, 7/01/40   7/25 at 100.00 A- 3,105,028
4,590   Dormitory Authority of the State of New York, Revenue Bonds, New School University, Series 2015A, 5.000%, 7/01/45   7/25 at 100.00 A- 5,181,238
1,055   Dormitory Authority of the State of New York, Revenue Bonds, New York University, Series 2001-1, 5.500%, 7/01/40  –  AMBAC Insured   No Opt. Call Aa2 1,447,650
3,450   Dormitory Authority of the State of New York, Revenue Bonds, New York University, Series 2015A, 5.000%, 7/01/35   7/25 at 100.00 Aa2 4,058,338
1,200   Dormitory Authority of the State of New York, Revenue Bonds, Non State Supported Debt, Cornell University, Series 2008C, 5.000%, 7/01/37   7/20 at 100.00 Aa1 1,331,448
5,000   Dormitory Authority of the State of New York, Revenue Bonds, Pratt Institute, Series 2015A, 5.000%, 7/01/44   7/24 at 100.00 A3 5,569,600
3,450   Dormitory Authority of the State of New York, Revenue Bonds, Vaughn College of Aeronautics & Technology, Series 2016A, 5.500%, 12/01/36   12/26 at 100.00 BB- 3,547,669
3,040   Glen Cove Local Economic Assistance Corporation, New York, Revenue Bonds, Garvies Point Public Improvement Project, Capital Appreciation Series 2016C, 0.000%, 1/01/55 (4)   1/34 at 100.00 N/R 2,234,187
NUVEEN      33

Nuveen New York Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Education and Civic Organizations (continued)        
$ 250   Hempstead Town Local Development Corporation, New York, Revenue Bonds, Adelphi University Project, Series 2009B, 5.250%, 2/01/39   2/19 at 100.00 A- $265,188
1,175   Hempstead Town Local Development Corporation, New York, Revenue Bonds, Molloy College Project, Series 2009, 5.750%, 7/01/39   7/19 at 100.00 BBB 1,264,841
    New Rochelle Corporation, New York, Local Development Revenue Bonds, Iona College Project, Series 2015A:        
160   5.000%, 7/01/40   7/25 at 100.00 BBB 175,702
600   5.000%, 7/01/45   7/25 at 100.00 BBB 656,682
2,500   New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Polytechnic University, Series 2007, 5.250%, 11/01/37  –  ACA Insured   11/17 at 100.00 AA- 2,546,625
    New York City Industrial Development Agency, New York, PILOT Revenue Bonds, Queens Baseball Stadium Project, Series 2006:        
4,000   5.000%, 1/01/31  –  AMBAC Insured   7/17 at 100.00 BBB 4,009,640
1,060   5.000%, 1/01/39  –  AMBAC Insured   7/17 at 100.00 BBB 1,062,555
1,795   4.750%, 1/01/42  –  AMBAC Insured   7/17 at 100.00 BBB 1,796,633
5,170   5.000%, 1/01/46  –  AMBAC Insured   7/17 at 100.00 BBB 5,182,408
    New York City Industrial Development Authority, New York, PILOT Revenue Bonds, Yankee Stadium Project, Series 2006:        
720   5.000%, 3/01/31  –  FGIC Insured   9/17 at 100.00 Baa1 721,735
2,500   5.000%, 3/01/36  –  NPFG Insured   9/17 at 100.00 AA- 2,537,150
2,140   4.500%, 3/01/39  –  FGIC Insured   9/17 at 100.00 Baa1 2,144,858
1,150   4.750%, 3/01/46  –  NPFG Insured   9/17 at 100.00 AA- 1,153,278
2,000   New York City Trust for Cultural Resources, New York, Revenue Bonds, Carnegie Hall, Series 2009A, 5.000%, 12/01/39   12/19 at 100.00 A+ 2,164,580
740   New York City Trust for Cultural Resources, New York, Revenue Bonds, Whitney Museum of American Art, Series 2011, 5.000%, 7/01/31   1/21 at 100.00 A 825,899
5,375   New York City Trust for Cultural Resources, New York, Revenue Bonds, Wildlife Conservation Society, Series 2013A, 5.000%, 8/01/33   8/23 at 100.00 AA- 6,265,261
    New York City Trust for Cultural Resources, New York, Revenue Bonds, Wildlife Conservation Society, Series 2014A:        
3,800   5.000%, 8/01/38   8/23 at 100.00 AA- 4,405,568
10,000   5.000%, 8/01/43   8/23 at 100.00 AA- 11,463,200
    Onondaga Civic Development Corporation, New York, Revenue Bonds, Le Moyne College Project, Series 2012:        
1,000   5.000%, 7/01/32   7/22 at 100.00 Baa2 1,079,900
1,745   5.000%, 7/01/42   7/22 at 100.00 Baa2 1,856,680
1,600   Troy Capital Resource Corporation, New York, Revenue Bonds, Rensselaer Polytechnic Institute, Series 2010A, 5.125%, 9/01/40   9/20 at 100.00 A3 1,756,512
    Yonkers Economic Development Corporation, New York, Revenue Bonds, Charter School Educational Excellence Project, Series 2010A:        
1,285   6.000%, 10/15/30   10/20 at 100.00 BB+ 1,353,233
2,300   6.250%, 10/15/40   10/20 at 100.00 BB+ 2,417,875
117,205   Total Education and Civic Organizations       126,876,728
34      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Financials – 1.4%        
$ 5,710   New York Liberty Development Corporation, Revenue Bonds, Goldman Sachs Headquarters Issue, Series 2005, 5.250%, 10/01/35   No Opt. Call A $7,214,071
3,475   New York Liberty Development Corporation, Revenue Bonds, Goldman Sachs Headquarters Issue, Series 2007, 5.500%, 10/01/37   No Opt. Call A 4,551,868
9,185   Total Financials       11,765,939
    Health Care – 4.0%        
550   Dormitory Authority of the State of New York, Highland Hospital of Rochester Revenue Bonds, Series 2010, 5.200%, 7/01/32   7/20 at 100.00 A 596,761
2,500   Dormitory Authority of the State of New York, Revenue Bonds, North Shore Long Island Jewish Obligated Group, Series 2011A, 5.000%, 5/01/41   5/21 at 100.00 A 2,752,375
2,300   Dormitory Authority of the State of New York, Revenue Bonds, North Shore Long Island Jewish Obligated Group, Series 2015A, 5.000%, 5/01/43   5/25 at 100.00 A 2,608,085
1,000   Dormitory Authority of the State of New York, Revenue Bonds, Orange Regional Medical Center Obligated Group, Series 2015, 5.000%, 12/01/29   6/25 at 100.00 Baa3 1,122,840
200   Dormitory Authority of the State of New York, Revenue Bonds, Orange Regional Medical Center Obligated Group, Series 2017, 5.000%, 12/01/36   6/27 at 100.00 Baa3 221,568
    Dutchess County Industrial Development Agency, New York, Civic Facility Revenue Bonds, Vassar Brothers Medical Center Facility, Series 2005:        
545   5.500%, 4/01/30   10/20 at 100.00 AA 605,735
950   5.500%, 4/01/34   10/20 at 100.00 AA 1,051,166
6,430   Dutchess County Local Development Corporation, New York, Revenue Bonds, Health Quest Systems, Inc. Project, Series 2016B, 5.000%, 7/01/46   7/26 at 100.00 A- 7,238,701
375   Monroe County Industrial Development Corporation Tax-Exempt Revenue Bonds, New York, Highland Hospital of Rochester Project, Series 2015, 5.000%, 7/01/34   7/25 at 100.00 A 428,471
    Monroe County Industrial Development Corporation, New York, FHA Insured Mortgage Revenue Bonds, Unity Hospital of Rochester Project, Series 2010:        
2,720   5.750%, 8/15/35   2/21 at 100.00 AA 3,143,504
5,000   5.500%, 8/15/40   2/21 at 100.00 AA 5,710,150
1,395   Monroe County Industrial Development Corporation, New York, Revenue Bonds, Rochester General Hospital Project, Series 2013A, 5.000%, 12/01/42   12/22 at 100.00 A- 1,522,921
1,715   Suffolk County Economic Development Corporation, New York, Revenue Bonds, Catholic Health Services of Long Island Obligated Group Project, Refunding Series 2011, 5.000%, 7/01/28   7/21 at 100.00 A- 1,889,536
1,000   Westchester County Local Development Corporation, New York, Revenue Bonds, Westchester Medical Center Obligated Group Project, Refunding Series 2016, 5.000%, 11/01/46   11/25 at 100.00 BBB 1,091,740
2,000   Yonkers Industrial Development Agency, New York, Revenue Bonds, St. John's Riverside Hospital, Series 2001A, 7.125%, 7/01/31   7/17 at 100.00 BB- 2,003,740
1,060   Yonkers Industrial Development Agency, New York, Revenue Bonds, St. John's Riverside Hospital, Series 2001B, 7.125%, 7/01/31   7/17 at 100.00 BB- 1,061,982
29,740   Total Health Care       33,049,275
    Housing/Multifamily – 0.9%        
155   East Syracuse Housing Authority, New York, FHA-Insured Section 8 Assisted Revenue Refunding Bonds, Bennet Project, Series 2001A, 6.700%, 4/01/21   10/17 at 100.00 AA 155,576
NUVEEN      35

Nuveen New York Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Housing/Multifamily (continued)        
$ 855   New York City Housing Development Corporation, New York, Multifamily Housing Revenue Bonds, Series 2010D-1A, 5.000%, 11/01/42   5/20 at 100.00 AA+ $922,425
2,500   New York State Housing Finance Agency, Affordable Housing Revenue Bonds, Series 2007B, 5.300%, 11/01/37 (Alternative Minimum Tax)   11/17 at 100.00 Aa2 2,515,825
705   New York State Housing Finance Agency, Affordable Housing Revenue, Series 2007A, 5.250%, 11/01/38 (Alternative Minimum Tax)   11/17 at 100.00 Aa2 708,969
25   New York State Housing Finance Agency, Mortgage Revenue Refunding Bonds, Housing Project, Series 1996A, 6.125%, 11/01/20  –  AGM Insured   11/17 at 100.00 AA 25,079
1,605   New York State Housing Finance Agency, Multifamily Housing Revenue Bonds, Cannon Street Senior Housing Project, Series 2007A, 5.300%, 2/15/39 (Alternative Minimum Tax)   8/17 at 100.00 Aa1 1,609,719
1,000   New York State Housing Finance Agency, Secured Mortgage Program Multifamily Housing Revenue Bonds, Series 2001G, 5.400%, 8/15/33 (Alternative Minimum Tax)   8/17 at 100.00 Aa1 1,001,410
6,845   Total Housing/Multifamily       6,939,003
    Industrials – 1.9%        
2,145   Build New York City Resource Corporation, New York, Solid Waste Disposal Revenue Bonds, Pratt Paper NY, Inc. Project, Series 2014, 5.000%, 1/01/35 (Alternative Minimum Tax)   1/25 at 100.00 N/R 2,316,085
12,520   New York Liberty Development Corporation, New York, Liberty Revenue Bonds, 3 World Trade Center Project, Class 1 Series 2014, 5.000%, 11/15/44   11/24 at 100.00 N/R 13,462,005
14,665   Total Industrials       15,778,090
    Long-Term Care – 0.7%        
650   Dormitory Authority of the State of New York, Non-State Supported Debt, Ozanam Hall of Queens Nursing Home Revenue Bonds, Series 2006, 5.000%, 11/01/31   11/17 at 100.00 Baa1 650,676
1,700   East Rochester Housing Authority, New York, Senior Living Revenue Bonds, Woodland Village Project, Series 2006, 5.500%, 8/01/33   8/18 at 100.00 N/R 1,707,293
    New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Special Needs Facilities Pooled Program, Series 2008A-1:        
630   5.800%, 7/01/23   7/17 at 100.00 N/R 622,075
975   6.100%, 7/01/28   7/17 at 100.00 N/R 953,550
210   6.200%, 7/01/33   7/17 at 100.00 N/R 203,960
1,225   Suffolk County Economic Development Corporation, New York, Revenue Bonds, Peconic Landing At Southold, Inc. Project, Refunding Series 2010, 6.000%, 12/01/40   12/20 at 100.00 BBB- 1,338,570
5,390   Total Long-Term Care       5,476,124
    Tax Obligation/General – 4.3%        
3,000   Nassau County, New York, General Obligation Bonds, General Improvement Series 2016C, 5.000%, 4/01/35   4/26 at 100.00 A+ 3,462,450
505   New York City, New York, General Obligation Bonds, Fiscal 2008 Series D-1, 5.125%, 12/01/26   12/17 at 100.00 AA 515,762
    New York City, New York, General Obligation Bonds, Fiscal 2012 Series A-1:        
1,900   5.000%, 10/01/30   10/22 at 100.00 AA 2,207,819
1,915   5.000%, 10/01/31   10/22 at 100.00 AA 2,210,484
3,000   5.000%, 10/01/33   10/22 at 100.00 AA 3,454,710
36      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/General (continued)        
    New York City, New York, General Obligation Bonds, Fiscal 2013 Series F-1:        
$ 1,810   5.000%, 3/01/32   3/23 at 100.00 AA $2,092,849
6,100   5.000%, 3/01/37   3/23 at 100.00 AA 6,982,121
2,000   New York City, New York, General Obligation Bonds, Fiscal 2014 Series D-1, 5.000%, 8/01/30   8/23 at 100.00 AA 2,344,940
2,500   New York City, New York, General Obligation Bonds, Fiscal 2015 Series A, 5.000%, 8/01/32   8/24 at 100.00 AA 2,930,950
1,650   New York City, New York, General Obligation Bonds, Fiscal 2017 Series B-1, 5.000%, 12/01/41   12/26 at 100.00 AA 1,932,942
6,670   New York City, New York, General Obligation Bonds, Series 2011D-I, 5.000%, 10/01/34   10/21 at 100.00 AA 7,550,573
31,050   Total Tax Obligation/General       35,685,600
    Tax Obligation/Limited – 22.8%        
255   Albany Parking Authority, New York, Revenue Refunding Bonds, Series 1992A, 0.000%, 11/01/17   No Opt. Call N/R 253,294
    Dormitory Authority of the State of New York, Residential Institutions for Children Revenue Bonds, Series 2008-A1:        
2,000   5.000%, 6/01/33   6/18 at 100.00 Aa1 2,073,940
2,500   5.000%, 6/01/38   6/18 at 100.00 Aa1 2,590,150
20   Dormitory Authority of the State of New York, Revenue Bonds, School Districts Financing Program, Series 2009C, 5.125%, 10/01/36  –  AGC Insured   10/19 at 100.00 AA 21,756
430   Dormitory Authority of the State of New York, Revenue Bonds, State University Educational Facilities, Series 1993C, 5.250%, 5/15/19   11/17 at 100.00 AA 449,892
5,955   Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose Series 2011C, 5.000%, 3/15/34   3/21 at 100.00 AAA 6,692,110
1,000   Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose Series 2012D, 5.000%, 2/15/37   2/22 at 100.00 AAA 1,140,820
3,000   Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose Series 2014C, Group C, 5.000%, 3/15/44   3/24 at 100.00 AAA 3,417,300
6,000   Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose Series 2015A, 5.000%, 3/15/31   3/25 at 100.00 AAA 7,144,320
2,835   Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose Series 2015B Group B, 5.000%, 2/15/32   2/25 at 100.00 AAA 3,348,447
1,000   Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose Series 2015B Group C, 5.000%, 2/15/38   2/25 at 100.00 AAA 1,158,250
7,120   Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose Series 2016A Group A, 5.000%, 2/15/36   8/26 at 100.00 AAA 8,459,343
3,025   Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose, Series 2009A, 5.000%, 2/15/34   2/19 at 100.00 AAA 3,227,554
    Dormitory Authority of the State of New York, State Sales Tax Revenue Bonds, Series 2014A:        
5,000   5.000%, 3/15/33   3/24 at 100.00 AAA 5,881,700
2,500   5.000%, 3/15/37   3/24 at 100.00 AAA 2,896,400
2,825   Dormitory Authority of the State of New York, State Sales Tax Revenue Bonds, Series 2015B. Group A,B&C, 5.000%, 3/15/35   9/25 at 100.00 AAA 3,343,698
NUVEEN      37

Nuveen New York Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
$ 4,000   Dormitory Authority of the State of New York, State Sales Tax Revenue Bonds, Series 2016A. Groups A,B&C, 5.000%, 3/15/29   9/26 at 100.00 AAA $4,968,040
    Government of Guam, Business Privilege Tax Bonds, Refunding Series 2015D:        
2,000   5.000%, 11/15/28   11/25 at 100.00 A 2,252,020
2,000   5.000%, 11/15/32   11/25 at 100.00 A 2,196,400
10,710   Hudson Yards Infrastructure Corporation, New York, Revenue Bonds, Second Indenture Fiscal 2017 Series A, 5.000%, 2/15/45   2/27 at 100.00 Aa3 12,511,422
12,000   Hudson Yards Infrastructure Corporation, New York, Revenue Bonds, Senior Fiscal 2012 Series 2011A, 5.250%, 2/15/47   2/21 at 100.00 AA- 13,371,720
4,000   Monroe County Industrial Development Agency, New York, School Facility Revenue Bonds, Rochester Schools Modernization Project, Series 2013, 5.000%, 5/01/28   5/23 at 100.00 AA 4,694,040
7,800   New York City Transitional Finance Authority, New York, Building Aid Revenue Bonds, Fiscal Series 2007S-2, 5.000%, 1/15/28  –  FGIC Insured   7/17 at 100.00 AA 7,868,874
4,520   New York City Transitional Finance Authority, New York, Building Aid Revenue Bonds, Fiscal Series 2009-S1, 5.500%, 7/15/31   7/18 at 100.00 AA 4,753,232
8,500   New York City Transitional Finance Authority, New York, Building Aid Revenue Bonds, Fiscal Series 2015S-2, 5.000%, 7/15/40   7/25 at 100.00 AA 9,849,885
3,950   New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Subordinate Fiscal 2013 Series I, 5.000%, 5/01/38   5/23 at 100.00 AAA 4,550,913
2,500   New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Subordinate Fiscal 2014 Series B-1, 5.000%, 11/01/36   5/24 at 100.00 AAA 2,896,400
5,715   New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Subordinate Fiscal 2014 Series D-1, 5.000%, 2/01/35   2/24 at 100.00 AAA 6,613,741
10,000   New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Subordinate Fiscal 2015 Series E-1, 5.000%, 2/01/41   2/25 at 100.00 AAA 11,537,900
5,000   New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Subordinate Fiscal 2017 Series B-1, 5.000%, 8/01/36   8/26 at 100.00 AAA 5,928,150
1,375   New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Subordinate Fiscal 2017 Series E-1, 5.000%, 2/01/35   2/27 at 100.00 AAA 1,645,023
9,000   New York City Transitional Finance Authority, New York, Future Tax Secured Revenue Bonds, Subordinate Lien Series 2011C, 5.000%, 11/01/39   11/20 at 100.00 AAA 10,029,150
5,500   New York State Thruway Authority, Highway and Bridge Trust Fund Bonds, Series 2005B, 5.500%, 4/01/20  –  AMBAC Insured (UB) (5)   No Opt. Call AA+ 6,195,420
5,000   New York State Thruway Authority, Second General Highway and Bridge Trust Fund Bonds, Series 2011A-1, 5.000%, 4/01/31   4/21 at 100.00 AA+ 5,635,050
2,000   Suffolk County Judicial Facilities Agency, New York, Lease Revenue Bonds, H. Lee Dennison Building, Series 2013, 5.000%, 11/01/33   11/23 at 100.00 A- 2,244,260
    Syracuse Industrial Development Authority, New York, PILOT Revenue Bonds, Carousel Center Project, Refunding Series 2016A:        
3,000   5.000%, 1/01/30 (Alternative Minimum Tax)   1/26 at 100.00 A- 3,478,080
2,900   5.000%, 1/01/31 (Alternative Minimum Tax)   1/26 at 100.00 A- 3,345,440
1,250   5.000%, 1/01/34 (Alternative Minimum Tax)   1/26 at 100.00 A- 1,421,700
1,000   5.000%, 1/01/35 (Alternative Minimum Tax)   1/26 at 100.00 A- 1,133,340
5,430   5.000%, 1/01/36 (Alternative Minimum Tax)   1/26 at 100.00 A- 6,136,606
164,615   Total Tax Obligation/Limited       187,355,780
38      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Transportation – 20.9%        
$ 1,500   Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Climate Green Certified, Series 2017A-1, 5.250%, 11/15/57   5/27 at 100.00 AA- $1,751,790
2,125   Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Refunding Series 2012H, 5.000%, 11/15/31   11/22 at 100.00 AA- 2,458,880
4,845   Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2010D, 5.250%, 11/15/40   11/20 at 100.00 AA- 5,417,243
3,520   Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2013A, 5.000%, 11/15/31   5/23 at 100.00 AA- 4,041,875
1,000   Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2013C, 5.000%, 11/15/32   5/23 at 100.00 AA- 1,138,710
2,500   Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2013E, 5.000%, 11/15/32   11/23 at 100.00 AA- 2,873,650
    Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2014B:        
2,000   5.250%, 11/15/38   5/24 at 100.00 AA- 2,338,000
1,000   5.250%, 11/15/44   5/24 at 100.00 AA- 1,161,400
    Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2015C-1:        
5,000   5.250%, 11/15/29   11/25 at 100.00 AA- 6,088,400
8,610   5.250%, 11/15/31   11/25 at 100.00 AA- 10,419,047
    New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Bronx Parking Development Company, LLC Project, Series 2007:        
2,800   5.750%, 10/01/37 (6)   10/17 at 102.00 N/R 899,752
2,000   5.875%, 10/01/46 (6)   10/17 at 102.00 N/R 642,680
9,500   New York City, Industrial Development Agency, Senior Airport Facilities Revenue Refunding Bonds, TrIPs Obligated Group, Series 2012A, 5.000%, 7/01/28 (Alternative Minimum Tax)   7/22 at 100.00 BBB 10,203,855
3,370   New York Liberty Development Corporation, New York, Liberty Revenue Bonds, 4 World Trade Center Project, Series 2011, 5.000%, 11/15/44   11/21 at 100.00 A+ 3,751,686
    New York State Thruway Authority, General Revenue Junior Indebtedness Obligations, Series 2016A:        
2,225   5.000%, 1/01/36   1/26 at 100.00 A- 2,585,072
8,515   5.000%, 1/01/46   1/26 at 100.00 A- 9,746,524
    New York Transportation Development Corporation, New York, Special Facility Revenue Bonds, American Airlines, Inc. John F Kennedy International Airport Project, Refunding Series 2016:        
3,285   5.000%, 8/01/26 (Alternative Minimum Tax)   8/21 at 100.00 BB 3,542,281
12,260   5.000%, 8/01/31 (Alternative Minimum Tax)   8/21 at 100.00 BB 13,080,317
13,685   New York Transportation Development Corporation, Special Facilities Bonds, LaGuardia Airport Terminal B Redevelopment Project, Series 2016A, 5.000%, 7/01/46 (Alternative Minimum Tax)   7/24 at 100.00 BBB 14,962,632
3,330   Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Eighty-Forth Series 2014, 5.000%, 9/01/39   9/24 at 100.00 AA- 3,857,239
NUVEEN      39

Nuveen New York Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Transportation (continued)        
    Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Eighty-Ninth Series 2015:        
$ 2,520   5.000%, 5/01/40   5/25 at 100.00 AA- $2,915,035
480   5.000%, 5/01/45   5/25 at 100.00 AA- 551,568
5,000   Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Fifty Second Series 2007, 5.000%, 11/01/28 (Alternative Minimum Tax)   5/18 at 100.00 AA- 5,182,150
3,730   Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Ninety-Eighth Series 2016, 5.000%, 11/15/46   11/26 at 100.00 AA- 4,360,221
10,000   Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Ninety-Fourth Series 2015, 5.250%, 10/15/55   10/25 at 100.00 AA- 11,669,800
5,000   Port Authority of New York and New Jersey, Consolidated Revenue Bonds, Two Hundredth Series 2017, 5.250%, 10/15/57   4/27 at 100.00 AA- 5,921,350
3,585   Port Authority of New York and New Jersey, Special Project Bonds, JFK International Air Terminal LLC Project, Eighth Series 2010, 6.000%, 12/01/36   12/20 at 100.00 Baa1 4,051,588
4,585   Port Authority of New York and New Jersey, Special Project Bonds, JFK International Air Terminal LLC, Sixth Series 1997, 5.750%, 12/01/25  –  NPFG Insured (Alternative Minimum Tax)   6/17 at 100.00 AA- 4,640,570
3,905   Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Bonds, MTA Bridges & Tunnels, Series 2014A, 5.000%, 11/15/39   5/24 at 100.00 AA- 4,487,040
19,500   Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Bonds, MTA Bridges & Tunnels, Series 2017A, 5.000%, 11/15/37   5/27 at 100.00 AA- 23,260,770
1,560   Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Bonds, Refunding Subordinate Lien Series 2002E, 5.500%, 11/15/20  –  NPFG Insured   No Opt. Call AA- 1,804,187
1,500   Triborough Bridge and Tunnel Authority, New York, Subordinate Lien General Purpose Revenue Refunding Bonds, Tender Option Bond Trust 2016-XG0004, 8.431%, 11/15/33 (IF) (5)   11/18 at 100.00 AA- 1,679,310
154,435   Total Transportation       171,484,622
    U.S. Guaranteed – 11.2% (7)        
1,000   Albany Capital Resource Corporation, New York, St. Peter's Hospital Project, Series 2011, 6.125%, 11/15/30 (Pre-refunded 11/15/20)   11/20 at 100.00 N/R (7) 1,171,410
8,065   Albany Industrial Development Agency, New York, Revenue Bonds, Saint Peter's Hospital, Series 2008A, 5.250%, 11/15/32 (Pre-refunded 11/15/17)   11/17 at 100.00 N/R (7) 8,227,994
3,875   Brooklyn Arena Local Development Corporation, New York, Payment in Lieu of Taxes Revenue Bonds, Barclays Center Project, Series 2009, 6.375%, 7/15/43 (Pre-refunded 1/15/20)   1/20 at 100.00 AA+ (7) 4,412,424
1,600   Canton Capital Resource Corporation, New York, Student Housing Facility Revenue Bonds, Grasse River LLC at SUNY Canton Project Series 2010A, 5.000%, 5/01/40 (Pre-refunded 5/01/20)   5/20 at 100.00 AA (7) 1,783,024
1,880   Dormitory Authority of the State of New York, General Revenue Bonds, Saint Johns University, Series 2007A, 5.250%, 7/01/32 (Pre-refunded 7/01/17)  –  NPFG Insured   7/17 at 100.00 AA- (7) 1,886,862
40      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    U.S. Guaranteed (7) (continued)        
    Dormitory Authority of the State of New York, Insured Revenue Bonds, NYSARC Inc. Projects, Series 2007B:        
$ 290   6.000%, 7/01/26 (Pre-refunded 7/01/19)  –  AMBAC Insured   7/19 at 100.00 Aa2 (7) $320,583
310   6.000%, 7/01/27 (Pre-refunded 7/01/19)  –  AMBAC Insured   7/19 at 100.00 Aa2 (7) 342,693
330   6.000%, 7/01/28 (Pre-refunded 7/01/19)  –  AMBAC Insured   7/19 at 100.00 Aa2 (7) 364,802
350   6.000%, 7/01/29 (Pre-refunded 7/01/19)  –  AMBAC Insured   7/19 at 100.00 Aa2 (7) 386,911
1,460   6.000%, 7/01/36 (Pre-refunded 7/01/19)  –  AMBAC Insured   7/19 at 100.00 Aa2 (7) 1,613,972
1,000   Dormitory Authority of the State of New York, Insured Revenue Bonds, NYSARC Inc. Projects, Series 2009A, 6.000%, 7/01/38 (Pre-refunded 7/01/19)   7/19 at 100.00 Aa2 (7) 1,105,460
    Dormitory Authority of the State of New York, Orange Regional Medical Center Obligated Group Revenue Bonds, Series 2008:        
6,895   6.125%, 12/01/29 (Pre-refunded 12/01/18)   12/18 at 100.00 Baa3 (7) 7,429,500
4,500   6.250%, 12/01/37 (Pre-refunded 12/01/18)   12/18 at 100.00 Baa3 (7) 4,861,980
350   Dormitory Authority of the State of New York, Revenue Bonds, Barnard College, Series 2007A, 5.000%, 7/01/37 (Pre-refunded 7/01/17)  –  NPFG Insured   7/17 at 100.00 AA- (7) 351,218
350   Dormitory Authority of the State of New York, Revenue Bonds, New School University, Series 2010, 5.250%, 7/01/30 (Pre-refunded 7/01/20)   7/20 at 100.00 A- (7) 394,027
585   Dormitory Authority of the State of New York, Revenue Bonds, New York University, Series 2007, 5.000%, 7/01/32 (Pre-refunded 7/01/17)  –  AMBAC Insured   7/17 at 100.00 Aa2 (7) 587,059
1,500   Dormitory Authority of the State of New York, Revenue Bonds, New York University, Series 2009B, 5.000%, 7/01/39 (Pre-refunded 7/01/19)   7/19 at 100.00 Aa2 (7) 1,626,960
1,000   Dormitory Authority of the State of New York, Revenue Bonds, North Shore Long Island Jewish Obligated Group, Series 2009A, 5.500%, 5/01/37 (Pre-refunded 5/01/19)   5/19 at 100.00 A (7) 1,087,680
5,600   Dormitory Authority of the State of New York, Revenue Bonds, NYU Hospitals Center, Series 2007B, 5.625%, 7/01/37 (Pre-refunded 7/01/17)   7/17 at 100.00 N/R (7) 5,622,680
1,480   Dormitory Authority of the State of New York, Revenue Bonds, School Districts Financing Program, Series 2009C, 5.125%, 10/01/36 (Pre-refunded 10/01/19)  –  AGC Insured   10/19 at 100.00 AA (7) 1,624,581
4,025   Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, Education Series 2008A, 5.000%, 3/15/28 (Pre-refunded 3/15/18)   3/18 at 100.00 AAA 4,158,550
5   Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, General Purpose, Series 2009A, 5.000%, 2/15/34 (Pre-refunded 2/15/19)   2/19 at 100.00 N/R (7) 5,345
1,460   Erie County Industrial Development Agency, New York, School Facility Revenue Bonds, Buffalo City School District Project, Series 2008A, 5.750%, 5/01/27 (Pre-refunded 5/01/18)  –  AGM Insured   5/18 at 100.00 AA (7) 1,526,138
11,675   Hudson Yards Infrastructure Corporation, New York, Revenue Bonds, Series 2006A, 5.000%, 2/15/47 (Pre-refunded 6/30/17)  –  FGIC Insured   6/17 at 100.00 AA- (7) 11,715,979
1,250   Long Island Power Authority, New York, Electric System Revenue Bonds, Refunding Series 2009A, 6.250%, 4/01/33 (Pre-refunded 4/01/19)   4/19 at 100.00 A- (7) 1,370,950
    Long Island Power Authority, New York, Electric System Revenue Bonds, Series 2008A:        
5,000   5.500%, 5/01/33 (Pre-refunded 5/01/19)  –  BHAC Insured   5/19 at 100.00 AA+ (7) 5,434,350
10,250   6.000%, 5/01/33 (Pre-refunded 5/01/19)   5/19 at 100.00 A- (7) 11,237,587
735   New York City, New York, General Obligation Bonds, Fiscal 2008 Series D-1, 5.125%, 12/01/26 (Pre-refunded 12/01/17)   12/17 at 100.00 N/R (7) 750,913
NUVEEN      41

Nuveen New York Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    U.S. Guaranteed (7) (continued)        
    New York State Environmental Facilities Corporation, State Personal Income Tax Revenue Bonds, Series 2008A:        
$ 5,050   5.000%, 12/15/26 (Pre-refunded 12/15/17) (UB)   12/17 at 100.00 AAA $5,164,988
60   5.000%, 12/15/27 (Pre-refunded 12/15/17) (UB)   12/17 at 100.00 AAA 61,366
1,535   Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Forty Eighth Series 2008, Tender Option Bond Trust 2015-XF2178, 15.809%, 8/15/32 (Pre-refunded 8/15/17)  –  AGM Insured (IF) (5)   8/17 at 100.00 AA (7) 1,588,479
    Saratoga County Industrial Development Agency, New York, Civic Facility Revenue Bonds, Saratoga Hospital Project, Series 2007B:        
1,000   5.125%, 12/01/27 (Pre-refunded 12/01/17)   12/17 at 100.00 A- (7) 1,021,610
500   5.250%, 12/01/32 (Pre-refunded 12/01/17)   12/17 at 100.00 A- (7) 511,115
615   Seneca County Industrial Development Authority, New York, Revenue Bonds, New York Chiropractic College, Series 2007, 5.000%, 10/01/27 (Pre-refunded 10/01/17)   10/17 at 100.00 N/R (7) 623,592
290   Suffolk County Economic Development Corporation, New York, Revenue Bonds, Catholic Health Services of Long Island Obligated Group Project, Refunding Series 2011, 5.000%, 7/01/28 (Pre-refunded 7/01/21)   7/21 at 100.00 N/R (7) 335,791
1,000   Yonkers Industrial Development Agency, New York, Civic Facility Revenue Bonds, Sarah Lawrence College Project, Series 2001A Remarketed, 6.000%, 6/01/41 (Pre-refunded 6/01/19)   6/19 at 100.00 BBB (7) 1,101,110
86,870   Total U.S. Guaranteed       91,809,683
    Utilities – 8.2%        
7,075   Chautauqua County Industrial Development Agency, New York, Exempt Facility Revenue Bonds, NRG Dunkirk Power Project, Series 2009, 5.875%, 4/01/42   2/20 at 100.00 Baa3 7,426,132
1,200   Guam Power Authority, Revenue Bonds, Series 2010A, 5.000%, 10/01/37  –  AGM Insured   10/20 at 100.00 AA 1,317,120
420   Guam Power Authority, Revenue Bonds, Series 2012A, 5.000%, 10/01/34   10/22 at 100.00 BBB 446,607
6,000   Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 1998A, 0.000%, 12/01/19  –  AGM Insured   No Opt. Call AA 5,789,280
    Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2000A:        
2,350   0.000%, 6/01/20  –  AGM Insured   No Opt. Call AA 2,247,188
2,000   0.000%, 6/01/24  –  AGM Insured   No Opt. Call AA 1,735,020
2,000   0.000%, 6/01/25  –  AGM Insured   No Opt. Call AA 1,669,180
2,980   Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2014A, 5.000%, 9/01/44   9/24 at 100.00 A- 3,367,698
10,000   Long Island Power Authority, New York, Electric System Revenue Bonds, Series 2011A, 5.000%, 5/01/38   5/21 at 100.00 A- 11,128,700
11,785   Niagara Area Development Corporation, New York, Solid Waste Disposal Facility Revenue Refunding Bonds, Covanta Energy Project, Series 2012A, 5.250%, 11/01/42 (Alternative Minimum Tax)   11/17 at 100.00 BB+ 11,846,989
2,780   Suffolk County Industrial Development Agency, New York, Revenue Bonds, Nissequogue Cogeneration Partners Facility, Series 1998, 5.500%, 1/01/23 (Alternative Minimum Tax)   7/17 at 100.00 N/R 2,780,250
10,000   Utility Debt Securitization Authority, New York, Restructuring Bonds, Refunding Series 2015, 5.000%, 12/15/32   12/25 at 100.00 AAA 12,056,500
42      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Utilities (continued)        
$ 5,095   Utility Debt Securitization Authority, New York, Restructuring Bonds, Series 2013TE, 5.000%, 12/15/41   12/23 at 100.00 AAA $ 5,908,926
63,685   Total Utilities       67,719,590
    Water and Sewer – 3.6%        
10,000   New York City Municipal Water Finance Authority, New York, Water and Sewer System Second General Resolution Revenue Bonds, Fiscal 2013 Series DD, 5.000%, 6/15/35   6/23 at 100.00 AA+ 11,605,900
4,465   New York City Municipal Water Finance Authority, New York, Water and Sewer System Second General Resolution Revenue Bonds, Fiscal 2017 Series CC-1, 5.000%, 6/15/46   6/26 at 100.00 AA+ 5,201,948
500   New York State Environmental Facilities Corporation, State Clean Water and Drinking Water Revolving Funds Revenue Bonds, New York City Municipal Water Finance Authority Projects, Second Resolution Subordinated Series 2014A, 5.000%, 6/15/30   6/24 at 100.00 AAA 602,430
6,675   New York State Environmental Facilities Corporation, State Clean Water and Drinking Water Revolving Funds Revenue Bonds, New York City Municipal Water Finance Authority Projects, Second Resolution Subordinated SRF Series, 5.000%, 6/15/34   6/25 at 100.00 AAA 7,969,216
2,000   New York State Environmental Facilities Corporation, State Clean Water and Drinking Water Revolving Funds Revenue Bonds, New York City Municipal Water Finance Authority Projects-Second Resolution Bonds, Subordinated SRF, 5.000%, 6/15/42   6/27 at 100.00 AAA 2,398,220
    Water Authority of Western Nassau County, New York, Water System Revenue Bonds, Series 2015A:        
675   5.000%, 4/01/40   4/25 at 100.00 AA- 766,071
1,050   5.000%, 4/01/45   4/25 at 100.00 AA- 1,186,983
25,365   Total Water and Sewer       29,730,768
 
$ 856,925   Total Long-Term Investments (cost $778,229,178)       826,634,154
    Floating Rate Obligations – (1.0)%       (7,955,000)
    Other Assets Less Liabilities – 0.4%       2,753,376
    Net Assets – 100%       $ 821,432,530
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).
NUVEEN      43

Nuveen New York Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
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 the Fund’s fair value measurements as of the end of the reporting period:
  Level 1 Level 2 Level 3 Total
Long-Term Investments:        
Municipal Bonds $ — $826,634,154 $ — $826,634,154
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 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 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 May 31, 2017, the cost of investments was $770,244,326.
Gross unrealized appreciation and gross unrealized depreciation of investments as of May 31, 2017, were as follows:
Gross unrealized:  
Appreciation $52,006,330
Depreciation (3,571,637)
Net unrealized appreciation (depreciation) of investments $48,434,693
(1) All percentages shown in the Portfolio of Investments are based on net assets.  
(2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns.  
(3) For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.  
(4) Step-up coupon. The rate shown is the coupon as of the end of the reporting period.  
(5) Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions.  
(6) 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.  
(7) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.  
(IF) Inverse floating rate investment.  
(UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction.  
44      NUVEEN

Nuveen California High Yield Municipal Bond Fund
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    LONG-TERM INVESTMENTS – 109.7%        
    MUNICIPAL BONDS – 109.2%        
    Consumer Discretionary – 0.2%        
    Louisiana Local Government Environmental Facilities and Community Development Authority, Revenue Bonds, Southgate Suites Retail Project, Series 2007A:        
$ 1,000   6.750%, 12/15/37 (4)   12/17 at 100.00 N/R $649,310
160   6.000%, 12/15/37 (4)   8/17 at 100.00 N/R 79,889
15   Louisiana Local Government Environmental Facilities and Community Development Authority, Revenue Bonds, Southgate Suites Retail Project, Series 2007B, 9.000%, 12/15/17 (4)   No Opt. Call N/R 7,490
500   Morongo Band of Mission Indians, California, Enterprise Revenue Bonds, Series 2008B, 6.500%, 3/01/28   3/18 at 100.00 N/R 515,555
1,675   Total Consumer Discretionary       1,252,244
    Consumer Staples – 9.9%        
27,000   California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Alameda County Tobacco Asset Securitization Corporation, Subordinate Series 2006A, 0.000%, 6/01/50   6/17 at 13.33 N/R 2,798,820
1,155   California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Golden Gate Tobacco Funding Corporation, Turbo, Series 2007A, 5.000%, 6/01/47   6/17 at 100.00 N/R 1,154,908
    California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Los Angeles County Securitization Corporation, Series 2006A:        
25   5.600%, 6/01/36   12/18 at 100.00 B3 25,646
1,000   5.650%, 6/01/41   12/18 at 100.00 B2 1,018,320
1,205   5.700%, 6/01/46   12/18 at 100.00 B2 1,208,952
1,860   California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Merced County Tobacco Funding Corporation, Series 2005A, 5.125%, 6/01/38   6/17 at 100.00 B1 1,859,963
50   California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Sonoma County Tobacco Securitization Corporation, Series 2005, 5.250%, 6/01/45   8/17 at 100.00 B- 49,999
20,000   California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Stanislaus County Tobacco Funding Corporation, Series 2006A, 0.000%, 6/01/46   6/17 at 19.32 N/R 2,937,400
14,400   Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Senior Convertible Series 2007A-2, 5.300%, 6/01/37   6/22 at 100.00 B3 14,658,480
    Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Series 2007A-1:        
10,055   5.000%, 6/01/33   6/17 at 100.00 B3 10,104,269
8,840   5.750%, 6/01/47   6/17 at 100.00 B3 8,905,416
15,250   5.125%, 6/01/47   6/17 at 100.00 B- 15,249,237
19,050   Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Revenue Bonds, First Subordinate Series 2007B-1, 0.000%, 6/01/47   6/17 at 17.48 CCC+ 2,687,384
NUVEEN      45

Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Consumer Staples (continued)        
$ 2,000   Guam Economic Development & Commerce Authority, Tobacco Settlement Asset-Backed Bonds, Series 2007A, 5.625%, 6/01/47   6/17 at 100.00 N/R $1,939,740
22,000   Inland Empire Tobacco Securitization Authority, California, Tobacco Settlement Asset-Backed Bonds, Series 2007C-2, 0.000%, 6/01/47   6/17 at 13.65 N/R 2,711,940
    Silicon Valley Tobacco Securitization Authority, California, Tobacco Settlement Asset-Backed Bonds, Santa Clara County Tobacco Securitization Corporation, Series 2007A:        
1,000   0.000%, 6/01/36   6/17 at 34.85 N/R 348,480
7,500   0.000%, 6/01/47   6/17 at 18.52 N/R 994,650
    Tobacco Securitization Authority of Northern California, Tobacco Settlement Asset-Backed Bonds, Series 2005A-1:        
1,800   5.375%, 6/01/38   8/17 at 100.00 B- 1,799,874
460   5.500%, 6/01/45   8/17 at 100.00 B- 458,827
    Tobacco Securitization Authority of Southern California, Tobacco Settlement Asset-Backed Bonds, San Diego County Tobacco Asset Securitization Corporation, Senior Series 2006A:        
3,295   5.000%, 6/01/37   6/17 at 100.00 B2 3,295,264
10,330   5.125%, 6/01/46   8/17 at 100.00 B2 10,330,207
168,275   Total Consumer Staples       84,537,776
    Education and Civic Organizations – 11.0%        
2,000   California Infrastructure and Economic Development Bank, Revenue Bonds, Academy of Motion Picture Arts and Sciences Obligated Group, Series 2015A, 5.000%, 11/01/41   11/23 at 100.00 A 2,292,140
    California Municipal Finance Authority Charter School Revenue Bonds, John Adams Academies, Inc. Project, Series 2015A:        
900   5.000%, 10/01/35   10/22 at 102.00 BBB- 943,254
500   5.250%, 10/01/45   10/22 at 102.00 BBB- 526,040
1,335   5.250%, 10/01/45   10/22 at 102.00 BBB- 1,404,527
1,000   California Municipal Finance Authority, Charter School Lease Revenue Bonds, Nova Academy Project, Series 2016A, 5.000%, 6/15/46   6/26 at 100.00 BB+ 997,280
985   California Municipal Finance Authority, Charter School Lease Revenue Bonds, Rocketship 7-Alma Academy Elementary School, Series 2012A, 6.250%, 6/01/43   12/21 at 101.00 N/R 1,062,785
    California Municipal Finance Authority, Charter School Lease Revenue Bonds, Santa Rosa Academy Project, Series 2015:        
400   5.125%, 7/01/35   7/25 at 100.00 BB+ 418,840
425   5.375%, 7/01/45   7/25 at 100.00 BB+ 445,400
    California Municipal Finance Authority, Charter School Revenue Bonds, John Adams Academies, Inc. Project, Series 2014A:        
1,400   5.000%, 10/01/34   10/22 at 102.00 BBB- 1,467,284
465   5.000%, 10/01/44   10/22 at 102.00 BBB- 482,005
1,145   California Municipal Finance Authority, Charter School Revenue Bonds, Palmdale Aerospace Academy Project, Series 2016A, 5.000%, 7/01/46   7/26 at 100.00 BB 1,172,881
46      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Education and Civic Organizations (continued)        
    California Municipal Finance Authority, Charter School Revenue Bonds, Partnerships to Uplift Communities Project, Series 2012A:        
$ 1,330   5.000%, 8/01/32   8/22 at 100.00 BB $1,374,169
4,580   5.250%, 8/01/42   8/22 at 100.00 BB 4,728,942
1,795   5.300%, 8/01/47   8/22 at 100.00 BB 1,853,284
2,245   California Municipal Finance Authority, Charter School Revenue Bonds, Rocketship Education Multiple Projects, Series 2014A, 7.000%, 6/01/34   6/22 at 102.00 N/R 2,537,299
    California Municipal Finance Authority, Charter School Revenue Bonds, Urban Discovery Academy Project, Series 2014A:        
875   5.500%, 8/01/34   8/24 at 100.00 BB- 887,775
1,650   6.000%, 8/01/44   8/24 at 100.00 BB- 1,696,068
    California Municipal Finance Authority, Education Revenue Bonds, American Heritage Foundation Project, Series 2016A:        
840   5.000%, 6/01/36   6/26 at 100.00 BBB- 915,029
1,415   5.000%, 6/01/46   6/26 at 100.00 BBB- 1,522,398
1,335   California Municipal Finance Authority, Educational Facilities Revenue Bonds, OCEAA Project, Series 2008A, 7.000%, 10/01/39   10/18 at 100.00 N/R 1,369,590
    California Municipal Finance Authority, Revenue Bonds, Azusa Pacific University Project, Refunding Series 2015B:        
1,435   5.000%, 4/01/35   4/25 at 100.00 Baa3 1,560,433
770   5.000%, 4/01/41   4/25 at 100.00 Baa3 830,784
1,500   California Municipal Finance Authority, Revenue Bonds, Biola University, Refunding Series 2008A, 5.875%, 10/01/34   4/18 at 100.00 Baa1 1,600,110
1,880   California Municipal Finance Authority, Revenue Bonds, California Baptist University, Series 2016A, 5.000%, 11/01/46   11/26 at 100.00 N/R 1,945,706
    California Municipal Finance Authority, Revenue Bonds, Creative Center of Los Altos Project Pinewood & Oakwood Schools, Series 2016B, 144A:        
500   4.000%, 11/01/36   11/26 at 100.00 N/R 466,615
600   4.500%, 11/01/46   11/26 at 100.00 N/R 564,570
1,290   California Municipal Finance Authority, Revenue Bonds, Emerson College, Series 2011, 5.000%, 1/01/28   1/22 at 100.00 Baa2 1,434,725
300   California Municipal Finance Authority, Revenue Bonds, Goodwill Industries of Sacramento Valley & Northern Nevada Project, Series 2012A, 6.625%, 1/01/32   1/22 at 100.00 N/R 324,369
3,700   California Municipal Finance Authority, Revenue Bonds, Goodwill Industries of Sacramento Valley & Northern Nevada Project, Series 2014A, 5.250%, 1/01/45   1/25 at 100.00 N/R 3,641,540
    California Municipal Finance Authority, Revenue Bonds, Touro College and University System, Series 2014A:        
1,245   5.250%, 1/01/34   7/24 at 100.00 BBB- 1,370,658
250   5.250%, 1/01/40   7/24 at 100.00 BBB- 273,435
700   California Public Finance Authority, Charter School Lease Revenue Bonds, Multicultural Learning Center Project, Series 2017A, 6.250%, 6/15/47   6/27 at 100.00 N/R 704,900
1,075   California School Finance Authority Charter School Facility Revenue Bonds, Grimmway Schools-Obligated Group, Series 2016A, 5.000%, 7/01/46   7/26 at 100.00 BB+ 1,077,483
NUVEEN      47

Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Education and Civic Organizations (continued)        
$ 1,020   California School Finance Authority Charter School Revenue Bonds, California, ACE Charter Schools, Obligated Group, Series 2016A, 5.000%, 6/01/52   6/26 at 100.00 N/R $959,188
1,100   California School Finance Authority, California, Charter School Revenue Bonds, Aspire Public Schools, Refunding Series 2015A, 5.000%, 8/01/45   8/25 at 100.00 BBB 1,182,720
1,100   California School Finance Authority, California, Charter School Revenue Bonds, Encore Education Obligated Group, Series 2016A, 5.000%, 6/01/52   6/26 at 100.00 N/R 1,042,701
1,300   California School Finance Authority, California, Charter School Revenue Bonds, TEACH Public Schools Obligated Group, Series 2016A, 5.875%, 6/01/52   6/26 at 100.00 N/R 1,227,538
    California School Finance Authority, Charter School Revenue Bonds, City Charter School Obligated Group, Series 2016A:        
2,520   5.000%, 6/01/42   6/26 at 100.00 N/R 2,539,984
2,930   5.000%, 6/01/52   6/26 at 100.00 N/R 2,920,390
600   California School Finance Authority, Charter School Revenue Bonds, Coastal Academy Project, Series 2013A, 5.000%, 10/01/42   10/22 at 100.00 BBB- 623,094
    California School Finance Authority, Charter School Revenue Bonds, Downtown College Prep - Obligated Group, Series 2016:        
1,500   4.750%, 6/01/36   6/26 at 100.00 N/R 1,503,270
1,180   5.000%, 6/01/46   6/26 at 100.00 N/R 1,191,245
675   California School Finance Authority, Charter School Revenue Bonds, Kepler Neighborhood School, Series 2017A, 5.750%, 5/01/37   5/27 at 100.00 N/R 679,016
2,500   California School Finance Authority, Charter School Revenue Bonds, Rocketship Education - Obligated Group, Series 2016A, 5.000%, 6/01/46   6/25 at 100.00 N/R 2,522,300
    California School Finance Authority, Charter School Revenue Bonds, Rocketship Education, Obligated Group, Series 2017A:        
275   5.125%, 6/01/47   6/26 at 100.00 N/R 279,903
1,300   5.250%, 6/01/52   6/26 at 100.00 N/R 1,322,386
1,220   California School Finance Authority, Educational Facilities Revenue Bonds, Tri-Valley Learning Corporation, Series 2012A, 7.000%, 6/01/47 (4)   6/20 at 102.00 N/R 854,000
    California School Finance Authority, Educational Facility Revenue Bonds, New Designs Charter School Project, Series 2014A:        
1,000   5.750%, 6/01/34   6/24 at 100.00 BB+ 1,089,370
1,500   6.000%, 6/01/44   6/24 at 100.00 BB+ 1,640,415
    California School Finance Authority, Educational Facility Revenue Bonds, Partnerships to Uplift Communities Valley Project, Series 2014:        
1,605   6.400%, 8/01/34   2/24 at 100.00 BB- 1,770,684
2,040   6.750%, 8/01/44   2/24 at 100.00 BB- 2,281,128
    California School finance Authority, School Facility Revenue Bonds, ICEF - View Park Elementary and Middle Schools, Series 2014A:        
575   5.625%, 10/01/34   10/24 at 100.00 BB 612,766
1,000   5.875%, 10/01/44   10/24 at 100.00 BB 1,073,060
520   6.000%, 10/01/49   10/24 at 100.00 BB 560,295
1,000   California School Finance Authority, School Facility Revenue Bonds, Alliance for College-Ready Public Schools Project, Series 2015A, 4.125%, 7/01/35   7/25 at 100.00 BBB 1,005,490
48      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Education and Civic Organizations (continued)        
$ 1,000   California School Finance Authority, School Facility Revenue Bonds, Alliance for College-Ready Public Schools Project, Series 2015A, 144A, 5.000%, 7/01/45   7/25 at 100.00 BBB $1,073,870
1,015   California School Finance Authority, School Facility Revenue Bonds, Alta Public Schools Project, Series 2014A, 6.500%, 11/01/34   11/24 at 100.00 N/R 1,105,051
    California School Finance Authority, School Facility Revenue Bonds, Granada Hills Charter High School Obligated Group, Series 2017A:        
1,000   5.000%, 7/01/37   7/21 at 105.00 BBB- 1,057,540
1,735   5.000%, 7/01/48   7/21 at 105.00 BBB- 1,820,483
600   California School Finance Authority, School Facility Revenue Bonds, KIPP LA Projects, Series 2014A, 5.000%, 7/01/34   7/24 at 100.00 BBB- 645,822
1,250   California School Finance Authority, School Facility Revenue Bonds, Value Schools, Series 2013, 6.650%, 7/01/33   7/23 at 100.00 BB+ 1,408,775
355   California School Finance Authority, School Facility Revenue Bonds, Value Schools, Series 2016A, 144A, 6.000%, 7/01/51   7/26 at 100.00 BB+ 367,283
1,000   California Statewide Communities Development Authority, Charter School Revenue Bonds - Albert Einstein Academy for Letters, Arts, & Sciences Charter School Series 2012, 6.000%, 11/01/32   11/20 at 102.00 N/R 1,036,340
1,000   California Statewide Communities Development Authority, Charter School Revenue Bonds, Rocketship 4 - Mosaic Elementary Charter School, Series 2011A, 8.500%, 12/01/41   12/21 at 100.00 N/R 1,165,740
1,000   California Statewide Communities Development Authority, Revenue Bonds, Buck Institute for Research on Aging, Tender Option Bond Trust 2015-XF1035, 18.220%, 11/15/49  –  AGM Insured (IF) (5)   11/24 at 100.00 A+ 1,660,400
850   California Statewide Communities Development Authority, Revenue Bonds, The Culinary Institute of America, Series 2016B, 5.000%, 7/01/46   7/26 at 100.00 Baa2 938,009
1,040   California Statewide Communities Development Authority, School Facility Revenue Bonds, Alliance College-Ready Public Schools, Series 2011A, 7.000%, 7/01/46   7/21 at 100.00 BBB- 1,177,062
815   California Statewide Community Development Authority, Charter School Revenue Bonds, Rocklin Academy Charter, Series 2011A, 8.250%, 6/01/41   6/21 at 100.00 BB+ 941,325
2,745   California Statewide Community Development Authority, Revenue Bonds, Bentley School, Series 2010A, 7.000%, 7/01/40   7/20 at 101.00 N/R 3,111,183
1,000   California Statewide Community Development Authority, Revenue Bonds, California Baptist University, Series 2007A, 5.500%, 11/01/38   11/17 at 102.00 N/R 1,024,380
200   Hawaii Department of Budget and Finance, Private School Revenue Bonds, Montessori of Maui, Series 2007, 5.500%, 1/01/37   7/17 at 100.00 N/R 200,380
335   Pingree Grove Village, Illinois, Charter School Revenue Bonds, Cambridge Lakes Learning Center, Series 2007, 6.000%, 6/01/36   6/18 at 100.00 N/R 335,834
1,250   University of California, General Revenue Bonds, Tender Option Bond Trust 2016-XL0001, 15.930%, 5/15/39 (IF) (5)   5/23 at 100.00 AA 2,021,400
88,515   Total Education and Civic Organizations       93,864,138
NUVEEN      49

Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Health Care – 16.7%        
    Antelope Valley Healthcare District, California, Revenue Bonds, Series 2016A:        
$ 815   5.000%, 3/01/31   3/26 at 100.00 Ba3 $838,562
1,250   5.250%, 3/01/36   3/26 at 100.00 Ba3 1,285,750
3,280   5.000%, 3/01/41   3/26 at 100.00 Ba3 3,237,098
5,600   5.000%, 3/01/46   3/26 at 100.00 Ba3 5,519,696
2,000   California Health Facilities Financing Authority, California, Revenue Bonds, Sutter Health, Refunding Series 2016B, 4.000%, 11/15/41 (UB) (5)   11/26 at 100.00 AA- 2,076,620
8,750   California Health Facilities Financing Authority, California, Revenue Bonds, Sutter Health, Series 2016A, 5.000%, 11/15/46 (UB)   11/25 at 100.00 AA- 9,979,025
1,570   California Health Facilities Financing Authority, Revenue Bonds, El Camino Hospital, Series 2017, 5.000%, 2/01/47 (UB) (5)   2/27 at 100.00 A+ 1,776,753
625   California Health Facilities Financing Authority, Revenue Bonds, Kaiser Permanante System, Tender Option Bond Trust 2015-XF1002, 14.932%, 4/01/42 (IF) (5)   4/22 at 100.00 A+ 913,825
5,000   California Health Facilities Financing Authority, Revenue Bonds, Kaiser Permanente System, Series 2017A-2, 4.000%, 11/01/44 (UB)   11/27 at 100.00 A+ 5,176,750
1,220   California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children's Hospital, Series 2012A, 5.000%, 8/15/51 (UB) (5)   8/22 at 100.00 AA- 1,361,008
7,800   California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children's Hospital, Series 2016B, 5.000%, 8/15/55 (UB) (5)   8/26 at 100.00 AA- 8,844,264
    California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children's Hospital, Tender Option Bond Trust 2015-XF0152:        
695   15.881%, 8/15/31 (IF) (5)   8/22 at 100.00 AA- 1,016,312
260   15.859%, 8/15/43 (IF) (5)   8/24 at 100.00 AA- 389,329
80   California Health Facilities Financing Authority, Revenue Bonds, Providence Health & Services, Tender Option Bond Trust 2015-XF0120, 19.157%, 10/01/38 (IF) (5)   10/24 at 100.00 AA- 141,396
    California Health Facilities Financing Authority, Revenue Bonds, Providence Health & Services, Tender Option Bond Trust 2015-XF1034:        
3,600   19.253%, 10/01/44 (IF) (5)   10/24 at 100.00 AA- 5,802,120
795   19.185%, 10/01/44 (IF) (5)   10/24 at 100.00 AA- 1,279,465
    California Health Facilities Financing Authority, Revenue Bonds, Stanford Hospitals and Clinics, Tender Option Bond Trust 2015-XF0131:        
200   19.405%, 8/15/51 (IF) (5)   8/22 at 100.00 AA- 320,750
200   19.395%, 8/15/51 (IF) (5)   8/22 at 100.00 AA- 320,682
    California Health Facilities Financing Authority, Revenue Bonds, Stanford Hospitals and Clinics, Tender Option Bond Trust 2016-XG0049:        
1,000   15.878%, 8/15/51 (IF) (5)   8/22 at 100.00 AA- 1,482,860
250   15.882%, 8/15/51 (IF) (5)   8/22 at 100.00 AA- 370,750
1,000   California Municipal Finance Authority, Revenue Bonds, Community Medical Centers, Series 2015A, 5.000%, 2/01/46   2/25 at 100.00 Baa1 1,103,590
1,230   California Municipal Finance Authority, Revenue Bonds, Community Medical Centers, Series 2017A, 5.000%, 2/01/47   2/27 at 100.00 Baa1 1,384,427
750   California Municipal Finance Authority, Revenue Bonds, Eisenhower Medical Center, Series 2010A, 5.750%, 7/01/40   7/20 at 100.00 Baa2 821,183
50      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Health Care (continued)        
$ 1,000   California Municipal Finance Authority, Revenue Bonds, Eisenhower Medical Center, Series 2017A, 5.000%, 7/01/42 (WI/DD, Settling 6/06/17)   7/27 at 100.00 BBB $1,134,520
    California Municipal Finance Authority, Revenue Bonds, NorthBay Healthcare Group, Series 2015:        
200   5.000%, 11/01/35   11/24 at 100.00 BBB- 221,924
1,000   5.000%, 11/01/40   11/24 at 100.00 BBB- 1,099,270
1,250   5.000%, 11/01/44   11/24 at 100.00 BBB- 1,369,800
    California Municipal Finance Authority, Revenue Bonds, NorthBay Healthcare Group, Series 2017A:        
1,315   5.250%, 11/01/41   11/26 at 100.00 BBB- 1,494,826
1,000   5.250%, 11/01/47   11/26 at 100.00 BBB- 1,126,290
4,950   5.000%, 11/01/47   11/26 at 100.00 BBB- 5,444,158
1,780   California Public Finance Authority, Revenue Bonds, Henry Mayo Newhall Hospital, Series 2017, 5.000%, 10/15/47   10/26 at 100.00 BBB- 1,939,702
1,000   California Statewide Communities Development Authority, California, Redlands Community Hospital, Revenue Bonds, Series 2016, 4.000%, 10/01/41   10/26 at 100.00 BBB 1,025,040
    California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda University Medical Center, Series 2014A:        
3,800   5.250%, 12/01/44   12/24 at 100.00 BB 4,128,244
9,600   5.500%, 12/01/54   12/24 at 100.00 BB 10,531,680
    California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda University Medical Center, Series 2016A, 144A:        
415   5.000%, 12/01/46   6/26 at 100.00 BB 448,648
3,295   5.250%, 12/01/56   6/26 at 100.00 BB 3,603,214
    California Statewide Communities Development Authority, Revenue Bonds, Cottage Health System Obligated Group, Refunding Series 2015:        
200   5.000%, 11/01/32   11/24 at 100.00 A+ 231,016
200   5.000%, 11/01/33   11/24 at 100.00 A+ 230,146
    California Statewide Communities Development Authority, Revenue Bonds, Henry Mayo Newhall Memorial Hospital, Series 2014:        
2,540   5.000%, 10/01/34  –  AGM Insured   10/24 at 100.00 A2 2,872,080
1,625   5.250%, 10/01/43  –  AGM Insured   10/24 at 100.00 A2 1,837,729
9,000   California Statewide Communities Development Authority, Revenue Bonds, John Muir Health, Series 2016A, 5.000%, 8/15/51 (UB) (5)   8/26 at 100.00 A+ 10,189,260
    California Statewide Community Development Authority, Revenue Bonds, Children's Hospital of Los Angeles, Series 2007:        
250   5.000%, 8/15/39  –  NPFG Insured   8/17 at 100.00 A3 251,755
5,750   5.000%, 8/15/47   8/17 at 100.00 Baa2 5,787,145
    California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005A:        
3,115   5.750%, 7/01/24 (6)   8/17 at 100.00 CCC 3,098,740
2,055   5.750%, 7/01/30 (6)   8/17 at 100.00 CCC 2,008,762
2,045   5.750%, 7/01/35 (6)   8/17 at 100.00 CCC 1,958,496
9,280   5.500%, 7/01/39 (6)   8/17 at 100.00 CCC 8,462,246
NUVEEN      51

Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Health Care (continued)        
$ 230   California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005H, 5.250%, 7/01/25 (6)   7/17 at 100.00 CCC $227,939
715   California Statewide Community Development Authority, Revenue Bonds, Sutter Health, Tender Option Bond Trust 2015-XF2186, 16.501%, 11/15/48 (IF) (5)   5/18 at 100.00 AA- 821,792
1,285   California Statewide Community Development Authority, Revenue Bonds, Sutter Health, Tender Option Bond Trust 2016-XF2351, 16.783%, 11/15/48 (IF) (5)   5/18 at 100.00 AA- 1,476,928
    Marysville, California, Revenue Bonds, Fremont-Rideout Health Group, Series 2011:        
500   5.125%, 1/01/33   1/21 at 100.00 B1 501,845
650   5.250%, 1/01/42   1/21 at 100.00 B1 652,386
1,060   Oak Valley Hospital District, Stanislaus County, California, Revenue Bonds, Series 2010A, 7.000%, 11/01/35   11/20 at 100.00 BB 1,102,665
500   Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2010, 6.000%, 11/01/41   11/20 at 100.00 Ba1 545,685
1,085   Palomar Pomerado Health System, California, Revenue Bonds, Refunding Series 2016, 5.000%, 11/01/36   11/26 at 100.00 Ba1 1,192,632
5,500   Rancho Mirage Joint Powers Financing Authority, California, Revenue Bonds, Eisenhower Medical Center, Refunding Series 2007A, 5.000%, 7/01/38   7/17 at 100.00 Baa2 5,511,880
    San Buenaventura, California, Revenue Bonds, Community Memorial Health System, Series 2011:        
1,000   8.000%, 12/01/26   12/21 at 100.00 Ba2 1,252,000
600   7.500%, 12/01/41   12/21 at 100.00 Ba2 706,230
2,500   Tulare Local Health Care District, California, Revenue Bonds, Series 2007, 5.200%, 11/01/32   11/17 at 100.00 BB- 2,465,500
150   Washington Township Health Care District, California, Revenue Bonds, Refunding Series 2007A, 5.000%, 7/01/32   7/17 at 100.00 Baa1 150,318
200   Washington Township Health Care District, California, Revenue Bonds, Series 2017A, 5.000%, 7/01/42   7/27 at 100.00 Baa1 222,244
60   Weatherford Hospital Authority, Oklahoma, Sales Tax Revenue Bonds, Series 2006, 6.000%, 5/01/31   5/19 at 100.00 N/R 61,251
130,670   Total Health Care       142,828,201
    Housing/Multifamily – 3.1%        
2,000   California Housing Finance Agency, Multifamily Housing Revenue Bonds, Series 2014A-III, 4.600%, 8/01/39   2/24 at 100.00 A1 2,148,180
1,270   California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Affordable Housing Inc. Projects, Series 2014B, 5.875%, 8/15/49   8/24 at 100.00 N/R 1,404,455
85   California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects Series 2010A, 6.400%, 8/15/45   8/20 at 100.00 BBB 92,656
1,385   California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects Series 2010B, 7.250%, 8/15/45   8/20 at 100.00 N/R 1,522,544
480   California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects Series 2012B, 7.250%, 8/15/47   8/22 at 100.00 A1 549,317
2,000   California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Windsor Mobile Country Club, Subordinate Series 2013B, 7.000%, 11/01/48   11/23 at 100.00 N/R 2,307,580
52      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Housing/Multifamily (continued)        
    California Municipal Finance Authority, Mobile Home Park Senior Revenue Bonds, Caritas Affordable Housing, Inc. Projects, Series 2014A:        
$ 1,515   5.250%, 8/15/39   8/24 at 100.00 BBB $1,678,257
575   5.250%, 8/15/49   8/24 at 100.00 BBB 633,115
350   California Municipal Finance Authority, Student Housing Revenue Bonds, Bowles Hall Foundation, Series 2015A, 5.000%, 6/01/35   6/25 at 100.00 Baa3 379,141
165   California Public Finance Authority, University Housing Revenue Bonds, National Campus Community Development - Claremont Properties LLC Claremont Colleges Project, Series 2017A, 144A, 5.000%, 7/01/37   7/27 at 100.00 Ba2 179,576
    California Statewide Communities Development Authority, Revenue Bonds, Lancer Educational Student Housing Project, Refunding Series 2016A:        
1,000   5.000%, 6/01/36   6/26 at 100.00 N/R 1,034,650
2,090   5.000%, 6/01/46   6/26 at 100.00 N/R 2,139,136
330   California Statewide Community Development Authority, Multifamily Housing Revenue Bonds, Magnolia City Lights, Series 1999X, 6.650%, 7/01/39 (Alternative Minimum Tax)   7/17 at 100.00 N/R 330,363
    Independent Cities Finance Authority, California, Mobile Home Park Revenue Bonds, Augusta Communities Mobile Home Park, Series 2012A:        
740   5.000%, 5/15/39   5/22 at 100.00 A+ 788,181
1,010   5.000%, 5/15/47   5/22 at 100.00 A+ 1,071,519
1,000   Independent Cities Finance Authority, California, Mobile Home Park Revenue Bonds, Palomar Estates West, Refunding Series 2015, 5.000%, 9/15/36   9/25 at 100.00 N/R 1,066,990
    Independent Cities Finance Authority, California, Mobile Home Park Revenue Bonds, Santa Rosa Leisure Mobile Home Park, Refunding Series 2016:        
1,000   5.000%, 8/15/36   8/26 at 100.00 A 1,145,930
2,570   5.000%, 8/15/46   8/26 at 100.00 A 2,905,565
1,340   Independent Cities Lease Finance Authority, California, Mobile Home Park Refunding Bonds, Rancho Feliz and Las Casitas De Sonoma, Series 2012, 5.000%, 10/15/47   10/22 at 100.00 BBB 1,431,107
315   La Verne, California, Mobile Home Park Revenue Bonds, Copacabana Mobile Home Park, Refunding Series 2014, 5.000%, 6/15/49   6/24 at 100.00 A 345,539
2,110   Palmdale Housing Authority, California, Multifamily Housing Revenue Bonds, Impression, La Quinta, Park Vista & Summerwood Apartments, Series 2015, 5.250%, 6/01/45   6/25 at 100.00 N/R 2,171,042
465   Santa Clara County Housing Authority, California, Multifamily Housing Revenue Bonds, Blossom River Project, Series 1998A, 6.500%, 9/01/39 (Alternative Minimum Tax)   9/17 at 100.00 N/R 465,470
535   Ventura County Area Housing Authority, California, Mira Vista Senior Apartments Project, Junior Subordinate Series 2006C, 6.500%, 12/01/39 (Alternative Minimum Tax)(Mandatory Put 7/01/16)   No Opt. Call N/R 501,846
480   Wilson County Health and Educational Facilities Board, Tennessee, Senior Living Revenue Bonds, Rutland Place Inc. Project, Series 2015A, 5.500%, 1/01/46   7/17 at 100.00 N/R 430,536
24,810   Total Housing/Multifamily       26,722,695
    Housing/Single Family – 0.0%        
180   California Housing Finance Agency, California, Home Mortgage Revenue Bonds, Series 2007E, 4.800%, 8/01/37 (Alternative Minimum Tax)   8/17 at 100.00 A2 180,207
NUVEEN      53

Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Industrials – 0.3%        
$ 3,000   California Pollution Control Financing Authority, Solid Waste Disposal Revenue Bonds, Aemerge Redpak Services, LLC., Series 2016, 7.000%, 12/01/27 (Alternative Minimum Tax)   12/23 at 102.00 N/R $2,942,520
750   Western Reserve Port Authority, Ohio, Solid Waste Facility Revenue Bonds, Central Waste Inc., Series 2007A, 6.350%, 7/01/27 (Alternative Minimum Tax) (4)   7/17 at 102.00 N/R 7
3,750   Total Industrials       2,942,527
    Long-Term Care – 1.2%        
3,000   ABAG Finance Authority for Nonprofit Corporations, California, Revenue Bonds, Episcopal Senior Communities, Series 2012A, 5.000%, 7/01/47   7/22 at 100.00 BBB+ 3,229,530
3,700   California Statewide Communities Development Authority, Revenue Bonds, 899 Charleston Project, Refunding Series 2014A, 5.250%, 11/01/44   11/24 at 100.00 N/R 3,813,183
520   California Statewide Communities Development Authority, Revenue Bonds, American Baptist Homes of the West, Series 2010, 6.250%, 10/01/39   10/19 at 100.00 BBB+ 568,495
1,000   California Statewide Communities Development Authority, Revenue Bonds, Terraces San Joaquin Gardens, Series 2012A, 5.625%, 10/01/32   10/22 at 100.00 N/R 1,071,090
450   California Statewide Community Development Authority, Revenue Bonds, Los Angeles Jewish Home for the Aging-Fountainview Gonda, Series 2014D, 4.750%, 8/01/20   11/17 at 100.00 N/R 450,279
1,000   Wisconsin Public Finance Authority, Revenue Bonds, SearStone Retirement Community of Cary North Carolina, Series 2012A, 8.625%, 6/01/47   6/22 at 100.00 N/R 1,145,230
9,670   Total Long-Term Care       10,277,807
    Tax Obligation/General – 8.1%        
1,000   Aromas-San Juan Unified School District, San Benito, Santa Cruz and Monterey Counties, California, General Obligation Bonds, Series 2013B, 0.000%, 8/01/52  –  AGM Insured   8/37 at 100.00 AA 567,120
    Bakersfield City School District, Kern County, California, General Obligation Bonds, Series 2012C:        
1,700   0.000%, 5/01/37 (7)   No Opt. Call A+ 979,540
6,925   0.000%, 5/01/42 (7)   5/40 at 100.00 A+ 4,183,254
5,500   0.000%, 5/01/47 (7)   5/40 at 100.00 A+ 3,295,325
1,250   California State, General Obligation Bonds, Tender Option Bond Trust 2015-XF1039, 15.620%, 10/01/44 (IF) (5)   10/24 at 100.00 AA- 2,035,500
1,630   California State, General Obligation Bonds, Various Purpose Series 2013, 5.000%, 4/01/43   4/23 at 100.00 AA- 1,854,598
1,500   California State, General Obligation Bonds, Various Purpose Series 2015, 5.000%, 3/01/45 (UB) (5)   3/25 at 100.00 AA- 1,731,795
5,000   California State, General Obligation Bonds, Various Purpose Series 2017, 5.000%, 8/01/46 (UB)   8/26 at 100.00 AA- 5,857,250
1,250   California State, General Obligation Bonds, Various Purpose, Tender Option Bond Trust 2015-XF1037, 15.821%, 8/01/35 (IF) (5)   8/24 at 100.00 AA- 2,086,750
    California State, General Obligation Bonds, Various Purpose, Tender Option Bond Trust 2015-XF1041:        
750   11.562%, 11/01/44 (IF) (5)   11/24 at 100.00 Aa3 883,080
545   11.086%, 11/01/44 (IF) (5)   11/24 at 100.00 Aa3 641,705
1,250   11.086%, 11/01/44 (IF) (5)   11/24 at 100.00 Aa3 1,471,800
1,005   11.074%, 11/01/44 (IF) (5)   11/24 at 100.00 Aa3 1,183,096
54      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/General (continued)        
$ 4,610   Central Unified School District, Fresno County, California, General Obligation Bonds, Election 2008 Series 2013B, 0.000%, 8/01/37  –  AGM Insured   8/22 at 44.31 A2 $1,786,698
11,090   Cupertino Union School District, Santa Clara County, California, General Obligation Bonds, Election 2012, Series 2016C, 4.000%, 8/01/40 (UB) (5)   8/26 at 100.00 AA+ 11,826,043
1,115   Denair Unified School District, Stanislaus County, California, General Obligation Bonds, Series 2002A, 0.000%, 8/01/26  –  FGIC Insured   No Opt. Call A3 844,579
1,205   Jamul Dulzura Union School District, San Diego County, California, General Obligation Bonds, Election 1995 Series 2004A, 0.000%, 11/01/28  –  NPFG Insured   No Opt. Call A3 865,467
1,000   Montebello Unified School District, Los Angeles County, California, General Obligation Bonds, Election 1998 Series 2004, 0.000%, 8/01/26  –  FGIC Insured   No Opt. Call A3 795,010
650   Newman-Crows Landing Unified School District, Stanislaus County, California, General Obligation Bonds, 2008 Election, Series 2010B, 0.000%, 8/01/49  –  AGM Insured   No Opt. Call A1 450,015
2,250   Orland Joint Unified School District, Glenn and Tehama Counties, California, General Obligation Bonds, 2008 Election, Series 2012B, 0.000%, 8/01/51  –  AGM Insured   No Opt. Call AA 1,334,363
970   Orland Joint Unified School District, Glenn and Tehama Counties, California, General Obligation Bonds, 2008 Election, Series 2013C, 0.000%, 8/01/43  –  BAM Insured   8/38 at 100.00 AA 546,973
1,350   Paso Robles Joint Unified School District, San Luis Obispo and Monterey Counties, California, General Obligation Bonds, Election 2006 Series 2010A, 0.000%, 9/01/34   No Opt. Call A1 712,422
10,000   San Diego Unified School District, San Diego County, California, General Obligation Bonds, Election of 2012 Series 2013C, 4.000%, 7/01/42 (UB)   7/23 at 100.00 AA- 10,405,100
1,980   San Diego Unified School District, San Diego County, California, General Obligation Bonds, Tender Option Bond 2016-XF2355, 12.070%, 7/01/38 (IF) (5)   7/23 at 100.00 AA- 2,323,094
7,655   Savanna Elementary School District, Orange County, California, General Obligation Bonds, Election 2008 Series 2012B, 0.000%, 2/01/52  –  AGM Insured (7)   No Opt. Call A2 5,195,142
5,730   Southwestern Community College District, San Diego County, California, General Obligation Bonds, Election of 2008, Series 2011C, 0.000%, 8/01/46   No Opt. Call AA- 1,723,813
2,145   Turlock Unified School District, Stanislaus and Merced Counties, California, General Obligation Bonds, Elementary School Facilities Improvement District 1, 2016 Election Series 2017, 4.000%, 8/01/46  –  AGM Insured   8/26 at 100.00 Aa3 2,252,464
1,880   Walnut Valley Unified School District, Los Angeles County, California, General Obligation Bonds, Election 2000 Series 2003D, 0.000%, 8/01/28  –  FGIC Insured   No Opt. Call AA- 1,366,854
82,935   Total Tax Obligation/General       69,198,850
    Tax Obligation/Limited – 39.6%        
1,000   Adelanto Community Facilities District Number 2006-2, San Bernardino County, California, Special Tax Bonds, Series 2015A, 5.000%, 9/01/45   9/25 at 100.00 N/R 1,054,520
1,650   Alameda Community Facilities District No. 13-1, California, Alameda Landing Public Improvements, Special Tax Bonds, Series 2016, 5.000%, 9/01/46   9/24 at 102.00 N/R 1,804,984
    Anaheim Public Financing Authority, California, Lease Revenue Bonds, Public Improvement Project, Series 1997C:        
330   0.000%, 9/01/28  –  AGM Insured   No Opt. Call A2 228,218
240   0.000%, 9/01/30  –  AGM Insured   No Opt. Call A2 149,230
4,475   0.000%, 9/01/34  –  AGM Insured   No Opt. Call A2 2,288,739
4,305   0.000%, 9/01/35  –  AGM Insured   No Opt. Call A2 2,106,523
435   Arvin Community Redevelopment Agency, California, Tax Allocation Bonds, Arvin Redevelopment Project, Series 2005, 5.125%, 9/01/35   9/17 at 100.00 N/R 435,479
NUVEEN      55

Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
$ 1,000   Azusa Redevelopment Agency, California, Tax Allocation Refunding Bonds, Merged West End Development, Series 2007B, 5.300%, 8/01/36   8/17 at 100.00 N/R $1,002,470
940   Azusa, California, Special Tax Bonds, Community Facilities District 2005-1 Rosedale Improvement Area 1, Series 2007, 5.000%, 9/01/37   9/17 at 100.00 N/R 943,168
1,035   Beaumont Financing Authority, California, Local Agency Revenue Bonds, Improvement Area 17A, Series 2013B, 5.000%, 9/01/34   9/23 at 100.00 N/R 1,117,997
1,875   Beaumont Financing Authority, California, Local Agency Revenue Bonds, Improvement Area 19A, Series 2015B, 5.000%, 9/01/35   9/25 at 100.00 N/R 2,074,931
1,000   Beaumont Financing Authority, California, Local Agency Revenue Bonds, Improvement Area 20 Series 2012B, 5.950%, 9/01/35   9/22 at 100.00 N/R 1,118,540
2,600   Beaumont Financing Authority, California, Local Agency Revenue Bonds, Improvement Area 7A-1, Series 2015A, 5.000%, 9/01/45   9/25 at 100.00 N/R 2,834,416
1,000   Beaumont Financing Authority, California, Local Agency Revenue Bonds, Improvement Area 8C, Series 2007E, 6.250%, 9/01/38   9/17 at 100.00 N/R 1,002,150
    Beaumont Financing Authority, California, Local Agency Revenue Bonds, Improvement Area 8D & 17B, Series 2009B:        
60   8.875%, 9/01/34   9/17 at 100.00 N/R 60,253
125   8.625%, 9/01/39   9/17 at 100.00 N/R 125,486
1,900   Blythe Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Redevelopment Project 1, Refunding Series 2015, 5.000%, 5/01/38   11/25 at 100.00 N/R 2,027,585
    Brea Redevelopment Agency, Orange County, California, Tax Allocation Bonds, Project Area AB, Series 2003:        
1,500   0.000%, 8/01/28  –  AMBAC Insured   No Opt. Call AA- 1,017,060
2,300   0.000%, 8/01/29  –  AMBAC Insured   No Opt. Call AA- 1,486,490
6,710   0.000%, 8/01/30  –  AMBAC Insured   No Opt. Call AA- 4,147,921
4,700   Brentwood Infrastructure Financing Authority, California, Infrastructure Revenue Bonds, Refunding Subordinated Series 2014B, 5.000%, 9/02/36   9/24 at 100.00 N/R 5,231,664
5,600   California Community College Financing Authority, Lease Revenue Bonds, Refunding Series 2003, 0.000%, 6/01/33  –  AMBAC Insured   No Opt. Call A+ 2,661,904
2,000   California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Series 2013I, 5.000%, 11/01/38   11/23 at 100.00 A+ 2,283,220
2,000   California Statewide Communities Development Authority, Lease Revenue Bonds, Community Center Project, Series 2014, 5.000%, 10/01/34  –  AGM Insured   10/24 at 100.00 AA 2,278,420
2,500   California Statewide Communities Development Authority, Special Tax Bonds, Community Facilities District 15-2 Rio Bravo, Series 2015A, 5.625%, 9/01/45   9/25 at 100.00 N/R 2,561,900
1,000   California Statewide Communities Development Authority, Special Tax Bonds, Community Facilities District 2007-1 Orinda Wilder Project, Refunding Series 2015, 5.000%, 9/01/37   9/25 at 100.00 N/R 1,102,860
1,000   California Statewide Communities Development Authority, Special Tax Bonds, Community Facilities District 2012-01, Fancher Creek, Series 2013A, 5.700%, 9/01/43   9/22 at 100.00 N/R 1,095,070
    California Statewide Communities Development Authority, Special Tax Bonds, Community Facilities District 2012-02, Manteca Lifestyle Center, Series 2013A:        
1,000   5.000%, 9/01/33   9/23 at 100.00 N/R 1,088,180
2,000   5.125%, 9/01/42   9/23 at 100.00 N/R 2,160,520
56      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
    California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Refunding Series 2015R-1:        
$ 3,650   5.000%, 9/02/35   9/25 at 100.00 N/R $3,964,703
1,200   5.000%, 9/02/40   9/25 at 100.00 N/R 1,288,224
1,020   California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2011A, 8.000%, 9/02/41   9/21 at 100.00 N/R 1,083,607
2,275   California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2014A, 5.000%, 9/02/43   9/22 at 100.00 N/R 2,383,153
2,060   California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2014B, 5.000%, 9/02/44   9/24 at 100.00 N/R 2,188,894
    California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2016A:        
1,030   5.000%, 9/02/36   9/26 at 100.00 N/R 1,108,383
2,250   5.000%, 9/02/45   9/26 at 100.00 N/R 2,384,910
    California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2016B:        
1,690   5.000%, 9/02/36   9/26 at 100.00 N/R 1,818,609
3,310   5.000%, 9/02/46   9/26 at 100.00 N/R 3,508,468
490   California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2017A, 5.000%, 9/02/46   9/27 at 100.00 N/R 519,836
650   Cathedral City Public Financing Authority, California, Tax Allocation Bonds, Merged Redevelopment Project Area, Series 2007A, 4.500%, 8/01/35  –  AMBAC Insured   8/17 at 100.00 Ba1 653,146
850   Cathedral City Public Financing Authority, California, Tax Allocation Bonds, Merged Redevelopment Project Area, Series 2007C, 4.500%, 8/01/35   8/17 at 100.00 BBB- 850,433
315   Chino Public Financing Authority, California, Revenue Bonds, Refunding Series 2012, 5.000%, 9/01/38   9/22 at 100.00 N/R 337,778
1,000   Compton Community Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Projects, Housing Second Lien Series 2010A, 5.500%, 8/01/30   8/20 at 100.00 N/R 1,086,300
500   Compton Community Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Projects, Second Lien Series 2010B, 5.750%, 8/01/26   8/20 at 100.00 N/R 552,270
    Compton Public Finance Authority, California, Lease Revenue Bonds, Refunding & Various Capital Projects, Series 2008:        
590   5.000%, 9/01/22  –  AMBAC Insured   9/18 at 100.00 N/R 613,069
500   5.250%, 9/01/27  –  AMBAC Insured   9/18 at 100.00 N/R 520,425
210   5.000%, 9/01/32  –  AMBAC Insured   9/18 at 100.00 N/R 216,361
670   Corona, California, Special Tax Bonds, Community Facilities District 2002-1 Dos Lagos Improvement Area 1, Refunding Series 2017, 5.000%, 9/01/37   9/24 at 103.00 N/R 738,802
855   Corona, California, Special Tax Bonds, Community Facilities District 2002-1 Dos Lagos, Refunding Series 2017, 5.000%, 9/01/34   9/24 at 103.00 N/R 950,153
    Corona-Norco Unified School District, Riverside County, California, Special Tax Bonds, Community Facilities District 05-1, Series 2016:        
1,500   5.000%, 9/01/36   9/26 at 100.00 N/R 1,694,535
1,000   4.000%, 9/01/45   9/26 at 100.00 N/R 1,021,700
NUVEEN      57

Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
    Dana Point, California, Special Tax Bonds, Community Facilities District No. 2006-1, Series 2014:        
$ 250   5.000%, 9/01/38   9/23 at 100.00 N/R $270,293
1,250   5.000%, 9/01/45   9/23 at 100.00 N/R 1,340,587
990   Davis Redevelopment Agency, California, Tax Allocation Bonds, Davis Redevelopment Project, Subordinate Series 2011A, 7.000%, 12/01/36   12/21 at 100.00 A+ 1,206,176
    Desert Hot Springs Redevelopment Agency, California, Tax Allocation Bonds, Merged Redevelopment Project, Series 2008A-2:        
1,610   5.000%, 9/01/23   9/18 at 100.00 B- 1,463,667
2,010   5.600%, 9/01/38   9/18 at 100.00 B- 1,719,253
1,800   Eastern Municipal Water District, California, Special Tax Bonds, Community Facilities District 2001-01 French Valley Improvement Area A, Series 2015, 5.000%, 9/01/36   9/25 at 100.00 N/R 1,987,884
250   El Dorado County, California, Special Tax Bonds, Community Facilities District 2005-2, Series 2006, 5.100%, 9/01/36   9/17 at 100.00 N/R 250,960
430   Fairfield, California, Community Facilities District 2007-1 Special Tax Bonds, Fairfield Commons Project, Series 2008, 6.875%, 9/01/38   9/18 at 100.00 N/R 447,514
    Fillmore, California, Special Tax Bonds, Community Facilities District 5, Improvement Area, Series 2015A:        
1,500   5.000%, 9/01/40   9/23 at 102.00 N/R 1,635,225
2,530   5.000%, 9/01/45   9/23 at 102.00 N/R 2,749,149
1,350   Fontana, California, Community Facilities District No. 22, Special Tax Refunding Bonds, Sierra Hills South, Series 2014, 5.000%, 9/01/34   9/24 at 100.00 N/R 1,481,328
1,000   Fontana, California, Special Tax Bonds, Community Facilities District 31 Citrus Heights North, Series 2006, 5.000%, 9/01/36   9/17 at 100.00 N/R 1,003,960
2,305   Fullerton, California, Special Tax Bonds, Community Facilities District 2 Amerige Heights, Series 2014, 5.000%, 9/01/44   9/23 at 100.00 N/R 2,469,393
    Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement Asset-Backed Revenue Bonds, Refunding Series 2015A:        
5,000   5.000%, 6/01/40 (UB) (5)   6/25 at 100.00 A+ 5,714,200
2,000   5.000%, 6/01/45 (UB) (5)   6/25 at 100.00 A+ 2,279,580
3,750   Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Tender Option Bond Trust 2015-XF1038, 15.088%, 6/01/45 (IF) (5)   6/25 at 100.00 A+ 5,846,700
500   Government of Guam, Business Privilege Tax Bonds, Series 2012B-1, 5.000%, 1/01/42   1/22 at 100.00 A 523,935
    Guam Government Department of Education, Certificates of Participation, John F. Kennedy High School Project, Series 2010A:        
880   6.625%, 12/01/30   12/20 at 100.00 B+ 925,258
1,175   6.875%, 12/01/40   12/20 at 100.00 B+ 1,243,596
    Hercules Redevelopment Agency, California, Tax Allocation Bonds, Merged Project Area, Series 2005:        
1,000   5.000%, 8/01/25  –  AMBAC Insured   8/17 at 100.00 N/R 1,002,820
1,000   5.000%, 8/01/35  –  AMBAC Insured   8/17 at 100.00 N/R 1,002,140
58      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
    Hercules Redevelopment Agency, California, Tax Allocation Bonds, Merged Project Area, Series 2007A:        
$ 365   4.625%, 8/01/37  –  AMBAC Insured   2/18 at 100.00 N/R $365,920
745   4.750%, 8/01/42  –  AMBAC Insured   2/18 at 100.00 N/R 746,989
150   5.000%, 8/01/42  –  AMBAC Insured   2/18 at 100.00 N/R 150,498
    Hesperia Public Financing Authority, California, Redevelopment and Housing Projects Tax Allocation Bonds, Series 2007A:        
1,250   5.500%, 9/01/22  –  SYNCORA GTY Insured   9/17 at 100.00 N/R 1,261,300
1,000   5.500%, 9/01/27  –  SYNCORA GTY Insured   9/17 at 100.00 N/R 1,007,500
1,105   5.000%, 9/01/31  –  SYNCORA GTY Insured   9/17 at 100.00 N/R 1,110,171
1,920   5.000%, 9/01/37  –  SYNCORA GTY Insured   9/17 at 100.00 N/R 1,926,662
3,935   Hesperia Unified School District, San Bernardino County, California, Certificates of Participation, Refunding Series 2016, 5.000%, 2/01/41  –  BAM Insured   2/26 at 100.00 AA 4,502,466
1,990   Hesperia, California, Special Tax Bonds, Community Facilities District 2005-1 Belgate Development Restructuring Series 2014, 5.000%, 9/01/35   9/24 at 100.00 N/R 2,179,567
1,035   Imperial, California, Special Tax Bonds, Community Facilities District 2005-1 Springfield, Series 2015A, 5.000%, 9/01/36   9/25 at 100.00 N/R 1,145,362
500   Indio Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Subordinate Lien Refunding Series 2008A, 5.250%, 8/15/28   8/18 at 100.00 BBB- 523,215
625   Indio, California, Special Tax Bonds, Community Facilities District 2004-3 Terra Lago, Improvement Area 1, Series 2015, 5.000%, 9/01/35   9/25 at 100.00 N/R 691,644
    Inglewood Public Financing Authority, California, Lease Revenue Bonds, Refunding Series 2012:        
2,530   0.000%, 8/01/23   No Opt. Call A2 2,136,256
1,600   0.000%, 8/01/25   No Opt. Call A2 1,165,184
1,050   0.000%, 8/01/28   8/22 at 66.37 A2 607,824
2,430   0.000%, 8/01/33   No Opt. Call A2 943,958
1,650   0.000%, 8/01/35   No Opt. Call A2 544,714
795   Irvine, California, Limited Obligation Improvement Bonds, Reassessment District 15-2, Series 2015, 5.000%, 9/02/42   9/25 at 100.00 N/R 872,624
845   Irvine, California, Special Tax Bonds, Community Facilities District 2004-1 Central Park, Series 2015A, 5.000%, 9/01/45   9/25 at 100.00 N/R 931,283
500   Irvine, California, Special Tax Bonds, Community Facilities District 2013-3 Great Park, Improvement Area 1, Refunding Series 2014, 5.000%, 9/01/39   9/24 at 100.00 N/R 548,305
900   Irvine, California, Special Tax Bonds, Community Facilities District 2013-3 Great Park, Improvement Area 4, Series 2016, 4.000%, 9/01/49   9/23 at 103.00 N/R 919,728
    Jurupa Community Services District, California, Special Tax Bonds, Community Facilities District 37 Eastvale Improvement Area 1,Series 2016:        
600   3.125%, 9/01/40   9/21 at 103.00 N/R 525,966
500   3.250%, 9/01/46   9/21 at 103.00 N/R 437,490
    Jurupa Community Services District, California, Special Tax Bonds, Community Facilities District 37 Eastvale Improvement Area 2,Series 2016A:        
500   3.125%, 9/01/40   9/21 at 103.00 N/R 438,305
700   3.250%, 9/01/46   9/21 at 103.00 N/R 612,486
NUVEEN      59

Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
$ 1,400   Jurupa Community Services District, California, Special Tax Bonds, Community Facilities District 43, Series 2016, 5.000%, 9/01/45   9/26 at 100.00 N/R $1,539,090
1,000   Jurupa Public Financing Authority, California, Special Tax Revenue Bonds, Series 2015A, 5.000%, 9/01/43   9/25 at 100.00 BBB+ 1,107,380
3,380   Jurupa Unified School District, California, Special Tax Bonds, Community Facilities District 9, Series 2015A, 5.000%, 9/01/45   9/25 at 100.00 N/R 3,684,741
335   Lake Elsinore Public Financing Authority, California, Local Agency Revenue Bonds, Canyon Hills Improvement Area C, Series 2012C, 5.000%, 9/01/37   9/22 at 100.00 N/R 357,401
1,400   Lake Elsinore Public Financing Authority, California, Local Agency Revenue Bonds, Refunding Series 2015, 5.000%, 9/01/40   9/25 at 100.00 N/R 1,522,416
1,220   Lake Elsinore Unified School District, California, Special Tax Bonds, Community Facilities District 2004-2, Series 2005, 5.350%, 9/01/35   9/17 at 100.00 N/R 1,225,429
3,000   Lammersville Joint Unified School District, San Joaquin County, California, Special Tax Bonds, Community Facilities District 2002 Mountain House, Series 2013, 5.000%, 9/01/37   9/22 at 100.00 N/R 3,210,990
2,000   Lammersville School District, California, Special Tax Refunding Bonds, Community Facilities District 2002 Mountain House, Series 2012, 5.375%, 9/01/32   9/22 at 100.00 N/R 2,105,060
710   Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Redevelopment Project Areas Housing Programs, Series 2009, 6.875%, 8/01/39   8/19 at 100.00 BBB 800,291
1,000   Lathrop, California, Limited Obligation Improvement Bonds, Crossroads Assessment District, Series 2015, 5.000%, 9/02/40   9/25 at 100.00 N/R 1,015,140
    Lee Lake Public Financing Authority, California, Junior Lien Revenue Bonds, Series 2013B:        
795   5.125%, 9/01/28   9/23 at 100.00 N/R 889,788
395   5.250%, 9/01/32   9/23 at 100.00 N/R 436,985
    Lincoln, California, Special Tax Bonds, Community Facilities District 2005-1 Sorrento Project, Series 2014A:        
600   5.000%, 9/01/34   9/24 at 100.00 N/R 658,368
935   5.000%, 9/01/39   9/24 at 100.00 N/R 1,015,335
1,825   5.000%, 9/01/43   9/24 at 100.00 N/R 1,953,389
1,545   Long Beach, California, Marina Revenue Bonds, Alamitos Bay Marina Project, Series 2015, 5.000%, 5/15/45   5/25 at 100.00 BBB 1,695,699
2,615   Los Alamitos Unified School District, Orange County, California, Certificates of Participation, Series 2012, 0.000%, 8/01/42 (7)   8/29 at 100.00 AA- 2,332,371
1,715   Lower Magnolia Green Community Development Authority, Virginia, Special Assessment Bonds, Series 2015, 5.000%, 3/01/45   3/25 at 100.00 N/R 1,746,162
1,275   Lynwood Redevelopment Agency, California, Project A Revenue Bonds, Subordinate Lien Series 2011A, 7.250%, 9/01/38   9/21 at 100.00 A- 1,544,624
2,022   Manteca Unified School District, San Joaquin County, California, Certificates of Participation, Series 2004, 0.000%, 9/15/33  –  NPFG Insured   No Opt. Call A3 1,096,935
    Menifee Union School District Public Financing Authority, California, Special Tax Revenue Bonds, Series 2016A:        
735   5.000%, 9/01/36  –  BAM Insured   9/25 at 100.00 AA 846,330
1,100   5.000%, 9/01/38  –  BAM Insured   9/25 at 100.00 AA 1,261,414
60      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
    Menifee Union School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2006-1, Series 2014:        
$ 500   4.125%, 9/01/39   9/17 at 103.00 N/R $511,625
500   4.250%, 9/01/44   9/17 at 103.00 N/R 514,435
    Menifee Union School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2011-1, Improvement Area 1, Series 2015:        
2,000   5.000%, 9/01/39   9/24 at 100.00 N/R 2,171,840
500   4.250%, 9/01/44   9/24 at 100.00 N/R 514,435
1,000   5.000%, 9/01/44   9/24 at 100.00 N/R 1,081,290
    Merced Redevelopment Agency, California, Tax Allocation Bonds, Merced Redevelopment Project 2, Series 2003A:        
1,890   0.000%, 12/01/21  –  AMBAC Insured   No Opt. Call N/R 1,591,267
1,055   0.000%, 12/01/23  –  AMBAC Insured   No Opt. Call N/R 788,412
1,080   Merced, California, Community Facilities District 2005-1, Improvement Area 1 Special Tax Bonds, Bellevue Ranch West, Series 2006, 5.300%, 9/01/36   9/17 at 100.00 N/R 1,080,130
945   Moorpark, California, Special Tax Bonds, Community Facilities District 2004-1, Refunding Junior Lien Series 2014B, 5.000%, 9/01/33   9/24 at 100.00 N/R 1,040,105
65   Moreno Valley Unified School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2004-5, Series 2006, 5.200%, 9/01/36   9/17 at 100.00 N/R 65,289
1,000   Moreno Valley, California, Special Tax Bonds, Community Facilities District 5, Series 2007, 5.000%, 9/01/37   9/17 at 100.00 N/R 1,003,470
1,310   Murrieta Valley Unified School District Public Finance Authority, Riverside County, California, Refunding Bonds Series 2013, 5.000%, 9/01/33   9/23 at 100.00 N/R 1,429,367
825   Murrieta, California, Special Tax Bonds, Community Facilities District 2005-5 Golden City Improvement Area A, Series 2017, 5.000%, 9/01/46   9/27 at 100.00 N/R 901,750
415   Novato Redevelopment Agency, California, Tax Allocation Bonds, Hamilton Field Redevelopment Project, Series 2011, 6.750%, 9/01/40   9/21 at 100.00 BBB+ 490,082
1,265   Oakdale Public Financing Authority, California, Revenue Bonds, Refunding Series 2015, 5.000%, 9/01/35   9/25 at 100.00 N/R 1,410,121
2,500   Oakley Public Financing Authority, Contra Costa County, California, Revenue Bonds, Refunding Series 2014, 5.000%, 9/02/36  –  BAM Insured   9/24 at 100.00 AA 2,849,825
1,250   Oceanside, California, Special Tax Bonds, Community Facilities District 2006-1, Pacific Coast Business Park, Series 2017, 5.000%, 9/01/38   9/25 at 102.00 N/R 1,408,800
    Ontario, California, Special Tax Bonds, Community Facilities District 24 Park Place Facilities Phase I, Series 2016:        
1,000   5.000%, 9/01/41   9/26 at 100.00 N/R 1,108,430
1,300   5.000%, 9/01/46   9/26 at 100.00 N/R 1,432,366
1,200   Ontario, California, Special Tax Bonds, Community Facilities District 28 New Haven Facilities - Area A, Series 2017, 5.000%, 9/01/47   9/24 at 103.00 N/R 1,292,484
2,000   Orange County, California, Special Tax Bonds, Community Facilities District 2015-1 Esencia Village, Series 2015A, 5.250%, 8/15/45   8/25 at 100.00 N/R 2,243,120
3,530   Palm Desert, California, Limited Obligation Improvement Bonds, Section 29 Assessment District 2004-02, Series 2007, 5.100%, 9/02/37   9/17 at 101.00 N/R 3,563,429
NUVEEN      61

Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
    Palm Desert, California, Special Tax Bonds, Community Facilities District 2005-1 University Park, Series 2006:        
$ 235   5.000%, 9/01/21   9/17 at 100.00 N/R $236,819
285   5.300%, 9/01/32   9/17 at 100.00 N/R 286,342
740   5.450%, 9/01/32   9/17 at 100.00 N/R 743,759
1,095   5.500%, 9/01/36   9/17 at 100.00 N/R 1,100,278
1,600   Palm Drive Health Care District, Sonoma County, California, Certificates of Participation, Parcel Tax Secured Financing Program, Series 2010, 7.500%, 4/01/35   10/17 at 102.00 CCC+ 1,530,848
1,395   Palm Drive Health Care District, Sonoma County, California, Parcel Tax Revenue Bonds, Series 2005, 5.250%, 4/01/30   10/17 at 100.00 CCC+ 1,313,462
500   Palm Springs Financing Authority, California, Lease Revenue Bonds, Downtown Revitalization Project, Series 2012B, 5.000%, 6/01/35   6/22 at 100.00 AA 561,910
1,230   Palmdale Community Redevelopment Agency, California, Tax Allocation Bonds, Merged Redevelopment Project Areas, Series 2002, 0.000%, 12/01/30  –  AMBAC Insured   No Opt. Call A 723,154
1,230   Palmdale, California, Special Tax Bonds, Community Facilities District 2005-1, Series 2005, 6.750%, 9/01/35   9/17 at 100.00 N/R 1,230,197
985   Patterson Public Financing Authority, California, Revenue Bonds, Community Facilities District 2001-1, Senior Series 2013A, 5.750%, 9/01/39   9/23 at 100.00 N/R 1,075,059
985   Perris Joint Powers Authority, California, Local Agency Revenue Bonds, Community Facilities District 2001-1 May Farms Improvement Area 6 &7, Refunding Series 2014E, 4.250%, 9/01/38   9/24 at 100.00 N/R 1,019,761
1,110   Perris Joint Powers Authority, California, Local Agency Revenue Bonds, Community Facilities District 2006-1, Meritage Homes, Refunding Series 2014B, 5.000%, 9/01/38   9/23 at 100.00 N/R 1,195,581
    Pittsburg Redevelopment Agency, California, Tax Allocation Bonds, Los Medanos Community Development Project, Series 1999:        
2,990   0.000%, 8/01/27  –  AMBAC Insured   No Opt. Call A 2,182,251
2,500   0.000%, 8/01/28  –  AMBAC Insured   No Opt. Call A 1,734,625
1,000   Poway Unified School District Public Financing Authority, California, Special Tax Revenue Bonds, Series 2014, 5.000%, 10/01/41  –  BAM Insured   10/23 at 100.00 AA 1,104,820
1,445   Poway Unified School District Public Financing Authority, California, Special Tax Revenue Refunding Bonds, Series 2015B, 4.000%, 9/01/36  –  BAM Insured   9/25 at 100.00 AA 1,523,883
560   Poway Unified School District, San Diego County, California, Special Tax Bonds, Community Facilities District 15 Del Sur East Improvement Area C, Series 2016, 5.000%, 9/01/41   9/26 at 100.00 N/R 627,424
2,000   Rancho Cardova, California, Special Tax Bonds, Community Facilities District 2004-1 Sunridge Park Area, Series 2007, 6.125%, 9/01/37   9/17 at 100.00 N/R 2,012,720
1,200   Rancho Cardova, California, Special Tax Bonds, Community Facilities District 2005-1 Sunridge North Douglas Series 2015, 5.000%, 9/01/40   9/25 at 100.00 N/R 1,318,932
3,000   Rancho Cordova, California, Special Tax Bonds, Community Facilities District 2003-1 Sunridge Anatolia Area, Junior Lien Series 2014, 5.650%, 10/01/38   8/17 at 100.00 N/R 3,004,800
    Redwood City Redevelopment Agency, California, Tax Allocation Bonds, Project Area 2, Series 2003A:        
1,755   0.000%, 7/15/29  –  AMBAC Insured   No Opt. Call A 1,136,450
1,260   0.000%, 7/15/31  –  AMBAC Insured   No Opt. Call A 746,122
62      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
$ 1,250   Riverside County Asset Leasing Corporation, California, Lease Revenue Bonds, Capital Project, Tender Option Bond Trust 2015-XF1020, 15.855%, 11/01/45 (Alternative Minimum Tax) (IF) (5)   11/25 at 100.00 A+ $2,130,000
1,295   Riverside County Asset Leasing Corporation, California, Leasehold Revenue Bonds, Riverside County Hospital Project, Series 1997, 0.000%, 6/01/26  –  NPFG Insured   No Opt. Call A1 1,023,944
    Riverside County Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Desert Communities Redevelopment Project, Refunding Series 2014A:        
650   5.000%, 10/01/30  –  AGM Insured   10/24 at 100.00 AA 759,902
1,380   5.000%, 10/01/32  –  AGM Insured   10/24 at 100.00 AA 1,595,791
3,160   Riverside County Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Interstate 215 Corridor Redevelopment Project Area, Refunding Series 2014E, 4.000%, 10/01/37  –  AGM Insured   10/24 at 100.00 AA 3,313,418
955   Riverside County Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Redevelopment Project Area 1, Refunding Series 2014A, 5.000%, 10/01/30  –  AGM Insured   10/24 at 100.00 AA 1,116,471
2,000   Riverside County Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Refunding Series 2014A, 5.000%, 10/01/34  –  AGM Insured   10/24 at 100.00 AA 2,294,080
500   Riverside County Redevelopment Agency, California, Tax Allocation Bonds, Interstate 215 Corridor Redevelopment Project Area, Series 2010E, 6.500%, 10/01/40   10/20 at 100.00 Baa1 590,285
205   Riverside County Redevelopment Agency, California, Tax Allocation Housing Bonds, Series 2011A, 7.125%, 10/01/42   10/21 at 100.00 A3 249,370
2,115   Riverside County, California, Special Tax Bonds, Community Facilities District 03-1 Newport Road, Series 2014, 5.000%, 9/01/30   9/24 at 100.00 N/R 2,354,672
870   Riverside County, California, Special Tax Bonds, Community Facilities District 04-2 Lake Hill Crest, Series 2012, 5.000%, 9/01/35   9/22 at 100.00 N/R 932,048
    Riverside County, California, Special Tax Bonds, Community Facilities District 05-8 Scott Road, Series 2013:        
660   5.000%, 9/01/32   9/22 at 100.00 N/R 711,995
2,000   5.000%, 9/01/42   9/22 at 100.00 N/R 2,124,880
    Riverside County, California, Special Tax Bonds, Community Facilities District 07-2 Clinton Keith, Series 2017:        
1,000   5.000%, 9/01/42 (WI/DD, Settling 6/01/17)   9/27 at 100.00 N/R 1,091,560
535   5.000%, 9/01/45 (WI/DD, Settling 6/01/17)   9/27 at 100.00 N/R 582,412
    Riverside Public Financing Authority, California, Tax Allocation Bonds, University Corridor/Sycamore Canyon Merged Redevelopment Project, Arlington Redevelopment Project, Hunter Park/Northside Redevelopment Project,:        
2,000   4.500%, 8/01/30  –  NPFG Insured   8/17 at 100.00 BBB+ 2,008,660
510   5.000%, 8/01/37  –  NPFG Insured   8/17 at 100.00 BBB+ 512,632
    Rocklin Unified School District, Placer County, California, Special Tax Bonds, Community Facilities District 2, Series 2007:        
1,010   0.000%, 9/01/34  –  NPFG Insured   No Opt. Call A3 510,484
1,155   0.000%, 9/01/35  –  NPFG Insured   No Opt. Call A3 558,131
1,000   Rocklin, Placer County, California, Special Tax Bonds, Community Facilities District 10 Whitney Ranch, Series 2015, 5.000%, 9/01/39   9/25 at 100.00 N/R 1,096,120
NUVEEN      63

Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
$ 935   Rohnert Park Community Development Agency, California, Tax Allocation Bonds, Series 1999, 0.000%, 8/01/33   No Opt. Call A3 $497,981
3,775   Romoland School District, California, Special Tax Bonds, Community Facilities District 2004-1 Heritage Lake Improvement Area 3, Series 2013, 5.000%, 9/01/43   9/23 at 100.00 N/R 4,046,385
1,000   Roseville, California, Special Tax Bonds, Community Facilities District 1 Diamond Creek, Series 2007, 5.000%, 9/01/37   9/17 at 100.00 N/R 1,003,290
1,500   Roseville, California, Special Tax Bonds, Community Facilities District 1 Fiddyment Ranch, Refunding Series 2017, 5.000%, 9/01/35 (WI/DD, Settling 6/14/17)   9/27 at 100.00 N/R 1,697,265
1,800   Roseville, California, Special Tax Bonds, Community Facilities District 1 Fiddyment Ranch, Series 2006, 5.125%, 9/01/26   9/17 at 100.00 N/R 1,810,008
1,050   Roseville, California, Special Tax Bonds, Community Facilities District 1 Hewlett Pakard Campus Oaks, Series 2016, 5.500%, 9/01/46   9/26 at 100.00 N/R 1,141,077
1,645   Roseville, California, Special Tax Bonds, Community Facilities District 1 The Fountains, Refunding Series 2016, 5.000%, 9/01/38   9/26 at 100.00 N/R 1,812,494
1,100   Roseville, California, Special Tax Bonds, Community Facilities District 1 Westbrook, Series 2014, 5.000%, 9/01/34   9/24 at 100.00 N/R 1,202,828
500   Roseville, California, Special Tax Bonds, Community Facilities District 1 Westpark, Refunding Series 2015, 5.000%, 9/01/33   9/25 at 100.00 N/R 553,690
1,500   Roseville, California, Special Tax Bonds, Community Facilities District 5 Fiddyment Ranch Public Facilities, Series 2017, 5.000%, 9/01/47 (WI/DD, Settling 6/14/17)   9/27 at 100.00 N/R 1,602,345
230   Sabal Palm Community Development District, Florida, Special Assessment Bonds, Series 2016, 5.500%, 11/01/46   11/26 at 100.00 N/R 233,650
1,510   Sacramento City Financing Authority California, Lease Revenue Bonds, Master Lease Program Facilities Projects, Tender Option Bond Trust 2016-XG0100, 16.044%, 12/01/33  –  AMBAC Insured (IF) (5)   No Opt. Call A+ 3,132,404
    Sacramento City Financing Authority, California, Tax Allocation Revenue Bonds, Merged Downtown Sacramento and Oak Park Projects, Series 2005A:        
4,295   0.000%, 12/01/31  –  FGIC Insured   No Opt. Call A3 2,533,019
4,435   0.000%, 12/01/32  –  FGIC Insured   No Opt. Call A3 2,450,204
1,250   Sacramento County, California, Special Tax Bonds, Community Facilities District 2005-2 North Vineyard Station 1, Series 2016, 5.000%, 9/01/40   9/26 at 100.00 N/R 1,393,175
335   Sacramento, California, Special Tax Bonds, Community Facilities District 05-1 College Square, Series 2007, 5.900%, 9/01/37   9/17 at 100.00 N/R 337,037
428   Saint Louis, Missouri, Tax Increment Financing Revenue Bonds, Grace Lofts Redevelopment Projects, Series 2007A, 6.000%, 3/27/26   6/17 at 100.00 N/R 403,578
535   San Bernardino County Financing Authority, California, Revenue Bonds, Courthouse Facilities Project, Series 2007, 5.500%, 6/01/37  –  NPFG Insured   No Opt. Call A3 564,885
550   San Bernardino County, California, Special Tax Bonds, Community Facilities District 2006-1 Lytle Creek North Improvement Area 1, Series 2015, 5.000%, 9/01/40   9/25 at 100.00 N/R 602,041
345   San Clemente, California, Special Tax Revenue Bonds, Community Facilities District 2006-1 Marblehead Coastal, Series 2015, 5.000%, 9/01/46   9/25 at 100.00 N/R 374,573
1,000   San Francisco City and County Redevelopment Agency Successor Agency, California, Special Tax Bonds, Community Facilities District 7, Hunters Point Shipyard Phase One Improvements, Refunding Series 2014, 5.000%, 8/01/39   8/24 at 100.00 N/R 1,085,060
64      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
$ 1,250   San Francisco City and County Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Mission Bay South Redevelopment Project, Series 2014A, 5.000%, 8/01/43   8/24 at 100.00 A- $1,404,950
22,610   San Francisco City and County Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Mission Bay South Redevelopment Project, Subordinate Series 2016D, 0.000%, 8/01/43   8/21 at 33.74 N/R 5,430,696
405   San Francisco, California, Community Facilities District 6, Mission Bay South Public Improvements, Special Tax Refunding Bonds, Series 2013A, 5.000%, 8/01/33   8/22 at 100.00 N/R 438,141
    San Jacinto Unified School District, California, Community Facilities District 2003-1 Infrastructure Projects, Series 2016:        
600   3.250%, 9/01/41   9/17 at 103.00 N/R 531,672
1,000   3.375%, 9/01/46   9/17 at 103.00 N/R 888,020
1,000   San Jacinto, California, Special Tax Bonds, Community Facilities District 2002-1 Rancho San Jacinto Phase 2, Series 2016, 5.000%, 9/01/34   9/26 at 100.00 N/R 1,123,490
100   San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2003, 4.900%, 8/01/33  –  FGIC Insured   8/17 at 100.00 A2 101,355
360   San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2005A, 5.000%, 8/01/20  –  NPFG Insured   8/17 at 100.00 A2 361,199
165   San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2006B, 4.500%, 8/01/35  –  RAAI Insured   8/17 at 100.00 A2 165,431
    San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2006C:        
500   5.000%, 8/01/24  –  NPFG Insured   8/17 at 100.00 A2 503,400
1,000   3.750%, 8/01/28  –  NPFG Insured   8/17 at 100.00 A2 1,004,380
320   4.250%, 8/01/30  –  NPFG Insured   8/17 at 100.00 A2 321,280
2,025   San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2007B, 4.250%, 8/01/36  –  SYNCORA GTY Insured   8/17 at 100.00 A 2,027,511
500   San Marcos Public Facilities Authority, California, Revenue Refunding Bonds, Series 2012B, 5.000%, 9/01/32  –  AGM Insured   9/22 at 100.00 BBB+ 552,565
1,000   San Marcos Public Facilities Authority, California, Special Tax Revenue Bonds, Refunding Series 2014A, 5.000%, 9/01/33  –  AGM Insured   9/24 at 100.00 AA 1,158,330
250   Santa Ana Financing Authority, California, Lease Revenue Bonds, Police Administration and Housing Facility, Series 1994A, 6.250%, 7/01/24   No Opt. Call A3 309,303
1,245   Saugus/Hart School Facilities Financing Authority, California, Special Tax Bonds, Community Facilities District 2006-1, Series 2016, 5.000%, 9/01/41   3/26 at 100.00 N/R 1,377,057
1,000   South Tahoe Joint Powers Financing Authority, California, Revenue Bonds, South Tahoe Redevelopment Project Area 1, Series 2014A, 4.000%, 10/01/34  –  AGM Insured   10/24 at 100.00 AA 1,049,220
2,500   Stockton, California, Special Tax Bonds, Arch Road Community Facilities District 99-02, Refunding Series 2007, 5.875%, 9/01/37   9/17 at 102.00 N/R 2,563,775
5,000   Sulphur Springs Union School District, California, Special Tax Bonds, Community Facilities District 2002-1, Series 2014A, 5.000%, 9/01/39   3/24 at 100.00 BBB+ 5,469,150
    Tejon Ranch Public Facilities Financing Authority, California, Special Tax Bonds, Community Facilities District 2000-1, Tejon Industrial Complex Public Improvements, Refunding Series 2012:        
1,635   5.500%, 9/01/30   9/22 at 100.00 N/R 1,812,545
500   5.500%, 9/01/33   9/22 at 100.00 N/R 549,565
NUVEEN      65

Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
$ 2,000   Tejon Ranch Public Facilities Financing Authority, California, Special Tax Bonds, Community Facilities District 2008-1 Tejon Industrial Complex East 2012B, 5.250%, 9/01/42   3/23 at 100.00 N/R $2,162,360
2,000   Tejon Ranch Public Facilities Financing Authority, California, Special Tax Bonds, Community Facilities District 2008-1, Tejon Industrial Complex Public Improvements-East, Series 2015A, 5.000%, 9/01/45   9/25 at 100.00 N/R 2,180,320
1,055   Temecula Public Financing Authority, California, Special Tax Bonds, Community Facilities District 16-01, Series 2017, 144A, 6.250%, 9/01/47   9/27 at 100.00 N/R 1,095,143
    Temecula Valley Unified School District Financing Authority, Riverside County, California, Special Tax Revenue Bonds, Series 2015:        
500   5.000%, 9/01/34  –  BAM Insured   3/25 at 100.00 AA 574,635
2,825   5.000%, 9/01/40  –  BAM Insured   3/25 at 100.00 AA 3,206,714
400   Temecula Valley Unified School District, Riverside County, California, Special Tax Bonds, Community Facilities District 2011-1, Series 2014, 4.250%, 9/01/44   9/17 at 103.00 N/R 412,392
605   Tustin, California, Special Tax Bonds, Community Facilities District 06-1 Tustin Legacy/Columbus Villages, Refunding Series 2015A, 5.000%, 9/01/37   9/25 at 100.00 BBB+ 681,980
900   Tustin, California, Special Tax Bonds, Community Facilities District 14-1 Tustin Legacy/Standard Pacific, Refunding Series 2015A, 5.000%, 9/01/45   9/25 at 100.00 N/R 985,158
650   Twentynine Palms Redevelopment Agency, California, Tax Allocation Bonds, Four Corners Project Area, Series 2011A, 7.650%, 9/01/42   9/21 at 100.00 BBB+ 791,173
500   Union City Community Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Project, Subordinate Lien Series 2011, 6.875%, 12/01/33   12/21 at 100.00 A+ 606,500
500   Victor Elementary School District, Los Angeles County, California, Community Facilities District 2005-1 Special Tax Bonds, Series 2007A, 5.500%, 9/01/37   9/17 at 100.00 N/R 502,350
700   Victor Valley Union High School District, San Bernardino County, California, Special Tax Bonds, Community Facilities District 2007-1, Series 2013, 5.000%, 9/01/43   9/23 at 100.00 N/R 750,323
600   West Hollywood Community Development Commission, California, Tax Allocation Revenue Bonds, East Side Redevelopment Project Series 2011A, 7.500%, 9/01/42   9/21 at 100.00 A- 735,984
    West Patterson Financing Authority, California, Special Tax Bonds, Community Facilities District 2015-1 Arambel-KDN, Refunding Series 2015:        
350   5.250%, 9/01/35   9/25 at 100.00 N/R 361,480
785   5.250%, 9/01/45   9/25 at 100.00 N/R 801,799
3,705   West Sacramento Financing Authority, California, Special Tax Revenue Bonds, Series 2014, 5.500%, 9/01/31   9/22 at 102.00 N/R 4,157,158
2,805   West Sacramento, California, Special Tax Bonds, Community Facilities District 27 Bridge District, Refunding Series 2016, 5.000%, 9/01/40   9/26 at 100.00 N/R 3,097,533
465   Western Riverside Water and Wastewater Financing Authority, California, Local Agency Revenue Bonds, Refunding Series 2016A, 5.000%, 9/01/44   9/26 at 100.00 BBB+ 519,689
500   Westminster Redevelopment Agency, California, Tax Allocation Bonds, Commercial Redevelopment Project 1, Subordinate Lien Series 2011A, 5.875%, 11/01/41   11/21 at 100.00 A 581,385
1,445   William S. Hart Union High School District, Los Angeles County, California, Special Tax Bonds, Community Facilities District 2015-1, Series 2017, 5.000%, 9/01/47   9/26 at 100.00 N/R 1,580,035
2,000   Woodland, California, Special Tax Bonds, Community Facilities District 2004-1 Spring Lake, Refunding & Capital Projects Series 2016, 4.000%, 9/01/45   9/26 at 100.00 N/R 2,016,860
290   Yorkville United City Business District, Illinois, Storm Water and Water Improvement Project Revenue Bonds, Series 2007, 6.000%, 1/01/27 (8)   1/19 at 100.00 N/R 173,878
66      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
$ 135   Yuba County, California, Special Tax Bonds, Community Facilities District 2004-1 Edgewater, Series 2005, 5.125%, 9/01/35   9/17 at 100.00 N/R $ 135,146
357,575   Total Tax Obligation/Limited       338,066,173
    Transportation – 8.9%        
3,000   Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Bonds, Refunding Junior Lien Series 2013C, 6.250%, 1/15/33   1/24 at 100.00 BB+ 3,556,770
    Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Bonds, Refunding Senior Lien Series 2015A:        
6,255   0.000%, 1/15/33   No Opt. Call Ba1 3,200,746
3,000   0.000%, 1/15/35  –  AGM Insured   No Opt. Call BBB- 1,504,500
    Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Bonds, Refunding Series 2013A:        
5,000   0.000%, 1/15/37  –  AGM Insured   No Opt. Call BBB- 2,274,400
1,775   5.000%, 1/15/42  –  AGM Insured   1/24 at 100.00 BBB- 1,992,384
1,030   5.750%, 1/15/46   1/24 at 100.00 Ba1 1,189,372
    Guam International Airport Authority, Revenue Bonds, Series 2013C:        
745   6.250%, 10/01/34 (Alternative Minimum Tax)   10/23 at 100.00 BBB 847,467
500   6.125%, 10/01/43  –  AGM Insured (Alternative Minimum Tax)   10/23 at 100.00 A2 579,490
33,890   Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Subordinate Lien Series 2016A, 5.000%, 5/15/42 (Alternative Minimum Tax) (UB)   5/26 at 100.00 A1 38,635,278
    Palm Springs Financing Authority, California, Palm Springs International Airport Revenue Bonds, Series 2006:        
35   5.450%, 7/01/20 (Alternative Minimum Tax)   8/17 at 100.00 N/R 35,030
40   5.550%, 7/01/28 (Alternative Minimum Tax)   8/17 at 100.00 N/R 40,036
    Palm Springs, California, Airport Passenger Facility Charge Subordinate Refunding Revenue Bonds, Palm Springs International Airport, Series 2008:        
250   6.400%, 7/01/23 (Alternative Minimum Tax)   7/17 at 100.00 N/R 250,402
355   6.500%, 7/01/27 (Alternative Minimum Tax)   7/17 at 100.00 N/R 355,600
1,290   San Francisco Airports Commission, California, Revenue Bonds, San Francisco International Airport, Tender Option Bond Trust Series 2015-XF1032, 14.912%, 5/01/44 (IF) (5)   5/24 at 100.00 A+ 2,005,460
    San Joaquin Hills Transportation Corridor Agency, Orange County, California, Toll Road Revenue Bonds, Refunding Junior Lien Series 2014B:        
5,000   5.250%, 1/15/44   1/25 at 100.00 BB+ 5,463,900
2,000   5.250%, 1/15/49   1/25 at 100.00 BB+ 2,177,560
    San Joaquin Hills Transportation Corridor Agency, Orange County, California, Toll Road Revenue Bonds, Refunding Senior Lien Series 2014A:        
8,250   5.000%, 1/15/44   1/25 at 100.00 BBB- 9,146,445
1,650   5.000%, 1/15/50   1/25 at 100.00 BBB- 1,813,680
50   San Joaquin Hills Transportation Corridor Agency, Orange County, California, Toll Road Revenue Bonds, Refunding Series 1997A, 0.000%, 1/15/31  –  NPFG Insured   No Opt. Call BBB- 28,555
NUVEEN      67

Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Transportation (continued)        
    Stockton Public Financing Authority, California, Lease Revenue Bonds, Parking & Capital Projects, Series 2004:        
$ 305   5.125%, 9/01/30  –  FGIC Insured   9/17 at 100.00 A3 $306,257
235   5.250%, 9/01/34  –  FGIC Insured   8/17 at 100.00 A3 235,014
74,655   Total Transportation       75,638,346
    U.S. Guaranteed – 3.9% (9)        
865   Antelope Valley Healthcare District, California, Revenue Bonds, Series 2011A, 6.875%, 3/01/26 (Pre-refunded 3/01/21)   3/21 at 100.00 N/R (9) 999,153
1,125   Bay Area Toll Authority, California, Revenue Bonds, San Francisco Bay Area Toll Bridge, Tender Option Bond Trust 2015-XF2179, 15.562%, 4/01/34 (Pre-refunded 4/01/19) (IF) (5)   4/19 at 100.00 Aa3 (9) 1,460,700
    California Municipal Finance Authority, Revenue Bonds, Harbor Regional Center Project, Series 2009:        
500   8.000%, 11/01/29 (Pre-refunded 11/01/19)   11/19 at 100.00 A3 (9) 583,660
1,040   8.500%, 11/01/39 (Pre-refunded 11/01/19)   11/19 at 100.00 A3 (9) 1,226,399
    California Statewide Communities Development Authority, Educational Facilities Revenue Bonds, Huntington Park Charter School Project, Series 2007A:        
2,090   5.150%, 7/01/30 (Pre-refunded 7/01/17)   7/17 at 100.00 N/R (9) 2,097,545
1,500   5.250%, 7/01/42 (Pre-refunded 7/01/17)   7/17 at 100.00 N/R (9) 1,505,535
1,000   California Statewide Communities Development Authority, Recovery Zone Facility Bonds, SunEdison Huntington Beach Solar Projects, Series 2010, 7.500%, 1/01/31 (Pre-refunded 1/01/21)   1/21 at 100.00 N/R (9) 1,226,240
1,380   California Statewide Communities Development Authority, Recovery Zone Facility Bonds, SunEdison Irvine Unified School District Solar Projects, Series 2010, 7.500%, 7/01/30 (Pre-refunded 1/01/20)   1/20 at 100.00 N/R (9) 1,638,474
1,000   California Statewide Communities Development Authority, Revenue Bonds, Saint Joseph Health System, Tender Option Bond Trust 2016-XG0041, 16.912%, 7/01/47 (Pre-refunded 7/01/18)  –  AGM Insured (IF)   7/18 at 100.00 AA (9) 1,189,800
3,350   California Statewide Communities Development Authority, Revenue Bonds, ValleyCare Health System, Series 2007A, 5.125%, 7/15/31 (Pre-refunded 7/15/17)   7/17 at 100.00 AA+ (9) 3,367,453
480   California Statewide Community Development Authority, Health Facility Revenue Bonds, Catholic Healthcare West, Series 2008A, 5.500%, 7/01/30 (Pre-refunded 7/01/17)   7/17 at 100.00 A3 (9) 481,906
750   California Statewide Community Development Authority, Revenue Bonds, St. Joseph Health System, Series 2007C, 5.750%, 7/01/47 (Pre-refunded 7/01/18)  –  FGIC Insured   7/18 at 100.00 AA- (9) 789,622
    Compton Public Finance Authority, California, Lease Revenue Bonds, Refunding & Various Capital Projects, Series 2008:        
1,500   5.250%, 9/01/27 (Pre-refunded 9/01/18)  –  AMBAC Insured   9/18 at 100.00 N/R (9) 1,582,440
625   5.000%, 9/01/32 (Pre-refunded 9/01/18)  –  AMBAC Insured   9/18 at 100.00 N/R (9) 657,412
    Guam Government, General Obligation Bonds, 2009 Series A:        
1,000   6.750%, 11/15/29 (Pre-refunded 11/15/19)   11/19 at 100.00 N/R (9) 1,138,930
1,500   7.000%, 11/15/39 (Pre-refunded 11/15/19)   11/19 at 100.00 N/R (9) 1,717,065
500   Guam Government, General Obligation Bonds, Series 2007A, 5.250%, 11/15/37 (Pre-refunded 11/15/17)   11/17 at 100.00 BB- (9) 510,070
70   Irvine Unified School District Financing Authority, Orange County, California, Special Tax Bonds, Group II, Series 2006A, 5.125%, 9/01/36 (Pre-refunded 9/01/17)   9/17 at 100.00 N/R (9) 73,739
68      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    U.S. Guaranteed (9) (continued)        
$ 1,115   Jurupa Community Services District, California, Special Tax Bonds, Community Facilities District 25 Eastvale Area, Series 2008A, 8.375%, 9/01/28 (Pre-refunded 9/01/18)   9/18 at 100.00 N/R (9) $1,220,602
955   Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Redevelopment Project Areas Housing Programs, Series 2009, 6.875%, 8/01/39 (Pre-refunded 8/01/19)   8/19 at 100.00 N/R (9) 1,077,106
1,490   Loma Linda, California, Hospital Revenue Bonds, Loma Linda University Medical Center, Series 2008A, 8.250%, 12/01/38 (Pre-refunded 12/01/17)   12/17 at 100.00 BB (9) 1,544,862
    March Joint Powers Redevelopment Agency, California, Tax Allocation Revenue Bonds, March Air Force Base Redevelopment Project, Series 2011A:        
300   7.250%, 8/01/31 (Pre-refunded 8/01/21)   8/21 at 100.00 N/R (9) 374,907
1,550   7.500%, 8/01/41 (Pre-refunded 8/01/21)   8/21 at 100.00 N/R (9) 1,952,752
500   March Joint Powers Redevelopment Agency, California, Tax Allocation Revenue Bonds, March Air Force Base Redevelopment Project, Series 2011B, 7.500%, 8/01/41 (Pre-refunded 8/01/21)   8/21 at 100.00 N/R (9) 629,920
    Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2009:        
25   5.500%, 11/01/19 (ETM)   No Opt. Call Ba1 (9) 26,451
500   6.750%, 11/01/39 (Pre-refunded 11/01/19)   11/19 at 100.00 Ba1 (9) 569,805
250   Palomar Pomerado Health, California, General Obligation Bonds, Tender Option Bond Trust 2016-XG0017, 15.819%, 8/01/37 (Pre-refunded 8/01/17)  –  NPFG Insured (IF) (5)   8/17 at 100.00 A (9) 257,340
1,500   Pittsburg Redevelopment Agency, California, Tax Allocation Bonds, Los Medanos Community Development Project, Refunding Series 2008A, 6.500%, 9/01/28 (Pre-refunded 9/01/18)   9/18 at 100.00 N/R (9) 1,607,085
250   Santa Ana Financing Authority, California, Lease Revenue Bonds, Police Administration and Housing Facility, Series 1994A, 6.250%, 7/01/24  –  NPFG Insured (ETM)   No Opt. Call A3 (9) 307,438
530   Turlock Public Financing Authority, California, Tax Allocation Revenue Bonds, Series 2011, 7.250%, 9/01/29 (Pre-refunded 3/01/21)   3/21 at 100.00 A- (9) 650,008
470   Yuba City Redevelopment Agency, California, Tax Allocation Bonds, Redevelopment Project, Series 2007, 5.250%, 9/01/39 (Pre-refunded 9/01/17)  –  RAAI Insured   9/17 at 100.00 AA (9) 474,587
29,710   Total U.S. Guaranteed       32,939,006
    Utilities – 2.1%        
25   Long Beach Bond Finance Authority, California, Natural Gas Purchase Revenue Bonds, Series 2007A, 5.500%, 11/15/28   No Opt. Call BBB+ 30,775
700   Long Beach Bond Finance Authority, California, Natural Gas Purchase Revenue Bonds, Series 2007B, 2.126%, 11/15/26   No Opt. Call BBB+ 660,282
    Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2016B:        
1,790   5.000%, 7/01/42 (UB) (5)   1/26 at 100.00 AA- 2,091,543
2,240   5.000%, 7/01/45 (UB) (5)   1/26 at 100.00 AA- 2,609,914
7,565   Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2017A, 5.000%, 7/01/42 (UB) (5)   1/27 at 100.00 AA- 8,955,220
50   M-S-R Energy Authority, California, Gas Revenue Bonds, Citigroup Prepay Contracts, Series 2009A, 6.500%, 11/01/39   No Opt. Call BBB+ 71,783
1,000   M-S-R Energy Authority, California, Gas Revenue Bonds, Citigroup Prepay Contracts, Series 2009B, 6.500%, 11/01/39   No Opt. Call BBB+ 1,435,660
NUVEEN      69

Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Utilities (continued)        
    Southern California Public Power Authority, Natural Gas Project 1 Revenue Bonds, Series 2007A:        
$ 1,000   5.000%, 11/01/29   No Opt. Call BBB+ $1,195,700
720   5.000%, 11/01/33   No Opt. Call BBB+ 872,122
15,090   Total Utilities       17,922,999
    Water and Sewer – 4.2%        
    California Pollution Control Financing Authority, Water Furnishing Revenue Bonds, Poseidon Resources Channelside LP Desalination Project, Series 2012, 144A:        
200   5.000%, 7/01/37 (Alternative Minimum Tax)   7/22 at 100.00 Baa3 214,286
2,000   5.000%, 11/21/45 (Alternative Minimum Tax)   7/22 at 100.00 Baa3 2,141,720
    California Pollution Control Financing Authority, Water Furnishing Revenue Bonds, San Diego County Water Authority Desalination Project Pipeline, Series 2012, 144A:        
2,000   5.000%, 7/01/37   7/17 at 100.00 Baa3 2,003,840
6,250   5.000%, 11/21/45   7/17 at 100.00 Baa3 6,262,000
500   Dinuba Financing Authority, California, Wastewater System Revenue Bonds, Series 2007, 5.375%, 9/01/38   9/17 at 100.00 N/R 501,850
    Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010:        
1,000   5.250%, 7/01/25   7/20 at 100.00 BBB- 1,080,030
1,000   5.500%, 7/01/30   7/20 at 100.00 BBB- 1,075,220
    Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2013:        
500   5.250%, 7/01/33   7/23 at 100.00 BBB- 556,825
1,000   5.500%, 7/01/43   7/23 at 100.00 BBB- 1,114,500
500   Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2016, 5.000%, 1/01/46   7/26 at 100.00 BBB- 547,320
10,000   Los Angeles Department of Water and Power, California, Waterworks Revenue Bonds, Series 2016A, 5.000%, 7/01/46 (UB)   1/26 at 100.00 Aa2 11,643,100
2,000   Los Angeles Department of Water and Power, California, Waterworks Revenue Bonds, Series 2017A, 4.000%, 7/01/47 (UB) (5)   1/27 at 100.00 Aa2 2,119,240
2,000   Los Angeles Department of Water and Power, California, Waterworks Revenue Bonds, Tender Option Bond Trust 2015-XF2053, 19.403%, 7/01/44 (IF) (5)   7/24 at 100.00 Aa2 3,563,940
1,500   Pico Rivera Water Authority, California, Revenue Bonds, Refunding Water System Project, Series 1999A, 5.500%, 5/01/29  –  NPFG Insured   No Opt. Call A3 1,810,050
1,250   Stockton Public Financing Authority, California, Water Revenue Bonds, Delta Water Supply Project, Series 2010A, 6.250%, 10/01/40   10/23 at 100.00 A3 1,528,475
31,700   Total Water and Sewer       36,162,396
$ 1,019,210   Total Municipal Bonds (cost $883,475,889)       932,533,365
    
70      NUVEEN

Shares   Description       Value
    COMMON STOCKS – 0.5%        
    Airlines – 0.5%        
94,060   American Airlines Group Inc. (10)       $ 4,553,445
    Total Common Stocks (cost $2,851,418)       4,553,445
 
    Total Long-Term Investments (cost $886,327,307)       937,086,810
    Floating Rate Obligations – (11.7)%       (99,775,000)
    Other Assets Less Liabilities – 2.0% (11)       16,535,404
    Net Assets – 100%       $ 853,847,214
    
Investments in Derivatives as of May 31, 2017            
Interest Rate Swaps (OTC Uncleared)            
Counterparty Notional
Amount 		Fund
Pay/Receive
Floating Rate 		Floating Rate Index Fixed Rate
(Annualized) 		Fixed Rate
Payment
Frequency 		Effective
Date (12) 		Optional
Termination
Date 		Termination
Date 		Unrealized
Appreciation
(Depreciation)
JPMorgan Chase Bank, N.A. $17,100,000 Receive USD-SIFMA 1.665% Quarterly 11/20/17 3/20/18 11/20/47 $1,843,566
    
Interest Rate Swaps (OTC Cleared)            
Clearing Broker Notional
Amount 		Fund
Pay/Receive
Floating Rate 		Floating Rate Index Fixed Rate
(Annualized) 		Fixed Rate
Payment
Frequency 		Effective
Date (12) 		Termination
Date 		Variation
Margin
Receivable/
(Payable) 		Unrealized
Appreciation
(Depreciation)
Citigroup Global Markets Inc.* $38,000,000 Receive 3-Month USD-LIBOR-ICE 1.592% Semi-Annually 9/19/17 9/19/28 $(74,770) $2,429,676
* LCH.Clearnet Limited is the clearing house for this transaction.
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).
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 the Fund’s fair value measurements as of the end of the reporting period:
  Level 1 Level 2 Level 3 Total
Long-Term Investments:        
Municipal Bonds $  — $932,533,365 $ — $932,533,365
Common Stocks 4,553,445  —  — 4,553,445
Investments in Derivatives:        
Interest Rate Swaps*  — 4,273,242  — 4,273,242
Total $4,553,445 $936,806,607 $ — $941,360,052
    
* Represents net unrealized appreciation (depreciation) as reported in the Fund's Portfolio of Investments.
NUVEEN      71

Nuveen California High Yield Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
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 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 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 May 31, 2017, the cost of investments (excluding investments in derivatives) was $785,468,190.
Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) as of May 31, 2017, were as follows:
Gross unrealized:  
Appreciation $61,213,288
Depreciation (9,369,285)
Net unrealized appreciation (depreciation) of investments $51,844,003
(1) All percentages shown in the Portfolio of Investments are based on net assets.  
(2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns.  
(3) For financial reporting purposes, the ratings disclosed are the lowest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.  
(4) 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.  
(5) Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions.  
(6) The coupon for this security increased 0.25% effective January 1, 2016 and increased an additional 0.25% effective May 11, 2016.  
(7) Step-up coupon. The rate shown is the coupon as of the end of the reporting period.  
(8) On July 1, 2014, the Fund's Adviser determined it was unlikely that this borrower would fulfill its entire obligation on this security, and therefore reduced the security's interest rate of accrual from 6.000% to 4.200%.  
(9) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.  
(10) On November 28, 2011, AMR Corp. (“AMR”), the parent company of American Airlines Group, Inc. (“AAL”) filed for federal bankruptcy protection. On December 9, 2013, AMR emerged from federal bankruptcy with the acceptance of its reorganization plan by the bankruptcy court. Under the settlement agreement established to meet AMR’s unsecured bond obligations, the bondholders, including the Fund, received a distribution of AAL preferred stock which was converted to AAL common stock over a 120-day period. Every 30 days, a quarter of the preferred stock was converted to AAL common stock based on the 5-day volume-weighted average price and the amount of preferred shares tendered during the optional preferred conversion period.  
(11) Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (“OTC”) derivatives as well as the OTC cleared and exchange-traded derivatives, when applicable.  
(12) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each contract.  
(ETM) Escrowed to maturity.  
(IF) Inverse floating rate investment.  
(UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction.  
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.  
USD-LIBOR-ICE United States Dollar-London Inter-Bank Offered Rate-Intercontinental Exchange  
USD-SIFMA United States Dollar-Securities Industry and Financial Market Association  
(WI/DD) Investment, or portion of investment, purchased on a when-issued or delayed delivery basis.  
72      NUVEEN

Nuveen California Municipal Bond Fund
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    LONG-TERM INVESTMENTS – 99.3%        
    MUNICIPAL BONDS – 99.3%        
    Consumer Staples – 6.4%        
$ 1,660   California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Alameda County Tobacco Asset Securitization Corporation, Series 2002, 5.750%, 6/01/29   8/17 at 100.00 Baa1 $1,669,960
8,000   California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Gold Country Settlement Funding Corporation, Refunding Series 2006, 5.250%, 6/01/46   8/17 at 100.00 CCC 7,999,440
    California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Los Angeles County Securitization Corporation, Series 2006A:        
2,480   5.600%, 6/01/36   12/18 at 100.00 B3 2,544,083
3,500   5.650%, 6/01/41   12/18 at 100.00 B2 3,564,120
5,000   5.700%, 6/01/46   12/18 at 100.00 B2 5,016,400
    California County Tobacco Securitization Agency, Tobacco Settlement Asset-Backed Bonds, Sonoma County Tobacco Securitization Corporation, Series 2005:        
130   4.250%, 6/01/21   8/17 at 100.00 BBB+ 130,030
2,315   5.125%, 6/01/38   6/17 at 100.00 B- 2,314,954
8,000   Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Senior Convertible Series 2007A-2, 5.300%, 6/01/37   6/22 at 100.00 B 8,143,600
    Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Series 2007A-1:        
8,830   5.000%, 6/01/33   6/17 at 100.00 B+ 8,873,267
25,520   5.125%, 6/01/47   6/17 at 100.00 B- 25,518,724
    Tobacco Securitization Authority of Northern California, Tobacco Settlement Asset-Backed Bonds, Series 2005A-1:        
9,835   5.375%, 6/01/38   8/17 at 100.00 B- 9,834,311
3,105   5.500%, 6/01/45   8/17 at 100.00 B- 3,097,082
3,700   Tobacco Securitization Authority of Southern California, Tobacco Settlement Asset-Backed Bonds, San Diego County Tobacco Asset Securitization Corporation, Senior Series 2006A, 5.000%, 6/01/37   6/17 at 100.00 BB+ 3,700,296
82,075   Total Consumer Staples       82,406,267
    Education and Civic Organizations – 4.9%        
5,000   California Educational Facilities Authority, Revenue Bonds, Chapman University, Series 2015, 5.000%, 4/01/40   4/25 at 100.00 A2 5,663,450
3,915   California Educational Facilities Authority, Revenue Bonds, Pepperdine University, Series 2015, 5.000%, 9/01/40   9/25 at 100.00 AA 4,564,225
1,000   California Educational Facilities Authority, Revenue Bonds, Pitzer College, Refunding Series 2009, 5.375%, 4/01/34   4/20 at 100.00 A2 1,097,420
3,000   California Educational Facilities Authority, Revenue Bonds, University of the Pacific, Refunding Series 2015, 5.000%, 11/01/36   11/25 at 100.00 A2 3,450,510
NUVEEN      73

Nuveen California Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Education and Civic Organizations (continued)        
    California Infrastructure and Economic Development Bank, Revenue Bonds, The Walt Disney Family Museum, Refunding Series 2016:        
$ 250   5.000%, 2/01/30   2/26 at 100.00 A+ $297,955
250   5.000%, 2/01/31   2/26 at 100.00 A+ 296,068
1,500   California Municipal Finance Authority Charter School Revenue Bonds, Albert Einstein Academies Project, Series 2013A, 6.750%, 8/01/33   8/23 at 100.00 B+ 1,637,820
1,125   California Municipal Finance Authority, Charter School Revenue Bonds, Rocketship Education-Multiple Projects, Series 2014A, 7.250%, 6/01/43   6/22 at 102.00 N/R 1,281,251
    California Municipal Finance Authority, Educational Facilities Revenue Bonds, OCEAA Project, Series 2008A:        
865   6.750%, 10/01/28   10/18 at 100.00 N/R 887,758
1,500   7.000%, 10/01/39   10/18 at 100.00 N/R 1,538,865
    California Municipal Finance Authority, Revenue Bonds, Biola University, Refunding Series 2008A:        
610   5.000%, 10/01/18   No Opt. Call Baa1 631,850
500   5.625%, 10/01/23   4/18 at 100.00 Baa1 531,715
815   California Municipal Finance Authority, Revenue Bonds, Goodwill Industries of Sacramento Valley & Northern Nevada Project, Series 2012A, 5.750%, 1/01/22   No Opt. Call N/R 857,942
1,275   California Municipal Finance Authority, Revenue Bonds, Goodwill Industries of Sacramento Valley & Northern Nevada Project, Series 2014A, 5.000%, 1/01/35   1/25 at 100.00 N/R 1,266,101
1,500   California Municipal Finance Authority, Revenue Bonds, University of La Verne, Series 2010A, 6.125%, 6/01/30   6/20 at 100.00 A3 1,727,685
410   California School Finance Authority, Charter School Revenue Bonds, Downtown College Prep - Obligated Group, Series 2016, 5.000%, 6/01/46   6/26 at 100.00 N/R 413,907
375   California School Finance Authority, Charter School Revenue Bonds, Kepler Neighborhood School, Series 2017A, 5.750%, 5/01/37   5/27 at 100.00 N/R 377,231
285   California School Finance Authority, Charter School Revenue Bonds, Rocketship Education - Obligated Group, Series 2016A, 5.000%, 6/01/36   6/25 at 100.00 N/R 289,811
750   California School Finance Authority, School Facility Revenue Bonds, Alliance for College-Ready Public Schools Project, Series 2015A, 144A, 5.000%, 7/01/45   7/25 at 100.00 BBB 805,403
830   California School Finance Authority, School Facility Revenue Bonds, Alliance for College-Ready Public Schools Project, Series 2016A, 144A, 5.000%, 7/01/46   7/25 at 100.00 BBB 891,312
5,235   California School Finance Authority, School Facility Revenue Bonds, Alliance for College-Ready Public Schools Project, Series 2016C, 5.250%, 7/01/52   7/25 at 101.00 BBB 5,708,035
    California School Finance Authority, School Facility Revenue Bonds, Value Schools, Series 2013:        
2,000   6.900%, 7/01/43   7/23 at 100.00 BB+ 2,269,700
4,040   7.000%, 7/01/48   7/23 at 100.00 BB+ 4,596,550
500   California State Public Works Board, Lease Revenue Bonds, California State University, Various University Projects, Series 2010B-1, 5.400%, 3/01/26   3/20 at 100.00 Aa3 555,590
1,035   California State Public Works Board, Lease Revenue Refunding Bonds, Community College Projects, Series 2004B, 5.500%, 6/01/19   6/17 at 100.00 A+ 1,038,974
    California State University, Systemwide Revenue Bonds, Refunding Series 2015A:        
2,650   5.000%, 11/01/35   11/25 at 100.00 Aa2 3,134,526
2,970   5.000%, 11/01/38   11/25 at 100.00 Aa2 3,483,602
74      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Education and Civic Organizations (continued)        
    California State University, Systemwide Revenue Bonds, Series 2016A:        
$ 3,640   5.000%, 11/01/30   5/26 at 100.00 Aa2 $4,415,611
3,445   4.000%, 11/01/38   5/26 at 100.00 Aa2 3,662,759
2,000   5.000%, 11/01/41   5/26 at 100.00 Aa2 2,338,140
1,700   California Statewide Communities Development Authority, School Facility Revenue Bonds, Alliance College-Ready Public Schools, Series 2011A, 7.000%, 7/01/46   7/21 at 100.00 BBB- 1,924,043
1,115   San Diego County, California, Limited Revenue Obligations, Sanford Burnham Prebys Medical Discovery Institute, Series 2015A, 5.000%, 11/01/28   11/25 at 100.00 A3 1,299,588
56,085   Total Education and Civic Organizations       62,935,397
    Health Care – 12.0%        
430   California Health Facilities Financing Authority, California, Revenue Bonds, Sutter Health, Refunding Series 2015A, 5.000%, 8/15/43   8/25 at 100.00 AA- 488,441
15,000   California Health Facilities Financing Authority, California, Revenue Bonds, Sutter Health, Refunding Series 2016B, 5.000%, 11/15/46   11/26 at 100.00 AA- 17,200,950
10,845   California Health Facilities Financing Authority, California, Revenue Bonds, Sutter Health, Series 2016A, 5.000%, 11/15/41   11/25 at 100.00 AA- 12,427,936
2,025   California Health Facilities Financing Authority, Refunding Revenue Bonds, Stanford Hospital and Clinics, Series 2010B, 5.750%, 11/15/31   11/20 at 100.00 AA 2,319,637
500   California Health Facilities Financing Authority, Revenue Bonds, Adventist Health System/West, Series 2009C, 5.250%, 3/01/21   3/19 at 100.00 A 532,735
1,000   California Health Facilities Financing Authority, Revenue Bonds, Catholic Healthcare West, Series 2008G, 5.500%, 7/01/25   7/18 at 100.00 A 1,045,580
3,000   California Health Facilities Financing Authority, Revenue Bonds, Catholic Healthcare West, Series 2009F, 5.625%, 7/01/25   7/19 at 100.00 A 3,254,790
455   California Health Facilities Financing Authority, Revenue Bonds, Cedars-Sinai Medical Center, Refunding Series 2015, 5.000%, 11/15/32   11/25 at 100.00 Aa3 537,783
1,000   California Health Facilities Financing Authority, Revenue Bonds, Children's Hospital Los Angeles, Series 2012A, 5.000%, 11/15/29   11/22 at 100.00 BBB+ 1,122,890
915   California Health Facilities Financing Authority, Revenue Bonds, Children's Hospital Los Angeles, Series 2017A, 5.000%, 8/15/47 (WI/DD, Settling 6/06/17)   8/27 at 100.00 BBB+ 1,034,957
1,000   California Health Facilities Financing Authority, Revenue Bonds, Children's Hospital of Orange County, Series 2009A, 6.500%, 11/01/38   11/19 at 100.00 A 1,127,650
3,940   California Health Facilities Financing Authority, Revenue Bonds, El Camino Hospital, Refunding Series 2015A, 5.000%, 2/01/40   2/25 at 100.00 A+ 4,410,081
830   California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children's Hospital, Series 2014A, 5.000%, 8/15/43   8/24 at 100.00 AA 933,377
905   California Health Facilities Financing Authority, Revenue Bonds, Providence Health & Services, Refunding Series 2014A, 5.000%, 10/01/38   10/24 at 100.00 AA- 1,043,908
1,825   California Health Facilities Financing Authority, Revenue Bonds, Providence Health & Services, Series 2014B, 5.000%, 10/01/44   10/24 at 100.00 AA- 2,048,270
14,345   California Health Facilities Financing Authority, Revenue Bonds, Providence Saint Joseph Health, Refunding Series 2016A, 4.000%, 10/01/47   10/26 at 100.00 AA- 14,841,911
6,000   California Health Facilities Financing Authority, Revenue Bonds, Rady Children's Hospital - San Diego, Series 2011, 5.000%, 8/15/31   8/21 at 100.00 AA 6,722,400
NUVEEN      75

Nuveen California Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Health Care (continued)        
$ 200   California Health Facilities Financing Authority, Revenue Bonds, Scripps Health, Refunding Series 2008A, 5.000%, 10/01/22   10/18 at 100.00 AA $210,828
2,000   California Health Facilities Financing Authority, Revenue Bonds, Sutter Health, Series 2011B, 144A, 6.000%, 8/15/42   8/20 at 100.00 AA- 2,290,080
250   California Municipal Finance Authority, Revenue Bonds, Eisenhower Medical Center, Series 2017A, 5.000%, 7/01/42 (WI/DD, Settling 6/06/17)   7/27 at 100.00 BBB 283,630
    California Municipal Finance Authority, Revenue Bonds, NorthBay Healthcare Group, Series 2017A:        
1,810   5.250%, 11/01/36   11/26 at 100.00 BBB- 2,077,844
5,310   5.250%, 11/01/47   11/26 at 100.00 BBB- 5,980,600
5,295   California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda University Medical Center, Series 2014A, 5.250%, 12/01/34   12/24 at 100.00 BB+ 5,861,141
2,400   California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda University Medical Center, Series 2016A, 5.000%, 12/01/41   6/26 at 100.00 BB+ 2,600,664
17,650   California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda University Medical Center, Series 2016A, 144A, 5.250%, 12/01/56   6/26 at 100.00 BB+ 19,300,981
    California Statewide Communities Development Authority, Revenue Bonds, Adventist Health System/West, Series 2015A:        
1,305   5.000%, 3/01/35   3/26 at 100.00 A 1,508,841
1,000   5.000%, 3/01/45   3/26 at 100.00 A 1,129,050
    California Statewide Communities Development Authority, Revenue Bonds, Huntington Memorial Hospital, Refunding Series 2014B:        
25   5.000%, 7/01/25   7/24 at 100.00 A- 29,659
1,170   5.000%, 7/01/31   7/24 at 100.00 A- 1,321,480
    California Statewide Communities Development Authority, Revenue Bonds, John Muir Health, Series 2016A:        
100   5.000%, 8/15/46   8/26 at 100.00 A+ 113,397
235   5.000%, 8/15/51   8/26 at 100.00 A+ 266,053
6,500   California Statewide Communities Development Authority, Revenue Bonds, Kaiser Permanente, Series 2012A, 5.000%, 4/01/42   4/22 at 100.00 AA- 7,250,945
1,000   California Statewide Community Development Authority, Health Facility Revenue Bonds, Catholic Healthcare West, Series 2008C, 5.625%, 7/01/35   7/18 at 100.00 A 1,049,370
    California Statewide Community Development Authority, Health Revenue Bonds, Enloe Medical Center, Refunding Series 2008A:        
125   5.250%, 8/15/19   8/18 at 100.00 AA- 131,453
500   5.500%, 8/15/23   8/18 at 100.00 AA- 526,810
2,235   California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005A, 5.750%, 7/01/30 (4)   8/17 at 100.00 CCC 2,184,712
3,260   California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005G, 5.000%, 7/01/22 (4)   7/17 at 100.00 CCC 3,218,696
3,000   Kaweah Delta Health Care District, California, Revenue Bonds, Series 2015B, 5.000%, 6/01/40   6/25 at 100.00 A3 3,338,190
76      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Health Care (continued)        
    Marysville, California, Revenue Bonds, Fremont-Rideout Health Group, Series 2011:        
$ 2,040   5.250%, 1/01/27   1/21 at 100.00 BBB- $2,064,113
515   5.125%, 1/01/33   1/21 at 100.00 BBB- 516,900
1,260   5.200%, 1/01/34   1/21 at 100.00 BBB- 1,264,637
4,125   5.250%, 1/01/35   1/21 at 100.00 BBB- 4,140,139
275   5.250%, 1/01/37   1/21 at 100.00 BBB- 276,009
4,580   5.250%, 1/01/42   1/21 at 100.00 BBB- 4,596,809
1,335   Northern Inyo County Local Hospital District, Inyo County, California, Revenue Bonds, Series 2010, 6.375%, 12/01/25   12/20 at 100.00 BB 1,430,439
1,580   Oak Valley Hospital District, Stanislaus County, California, Revenue Bonds, Series 2010A, 7.000%, 11/01/35   11/20 at 100.00 BB 1,643,595
3,625   Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2010, 6.000%, 11/01/41   11/20 at 100.00 BBB- 3,956,216
3,040   Upland, California, Certificates of Participation, San Antonio Community Hospital, Series 2011, 6.500%, 1/01/41   1/21 at 100.00 BBB+ 3,426,414
141,760   Total Health Care       155,082,991
    Housing/Multifamily – 1.1%        
1,450   California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects Series 2010A, 6.400%, 8/15/45   8/20 at 100.00 BBB 1,580,602
1,580   California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects Series 2012A, 5.500%, 8/15/47   8/22 at 100.00 BBB 1,751,304
1,000   California Municipal Finance Authority, Mobile Home Park Revenue Bonds, Caritas Projects Series 2012B, 7.250%, 8/15/47   8/22 at 100.00 A1 1,144,410
    California Municipal Finance Authority, Mobile Home Park Senior Revenue Bonds, Caritas Affordable Housing, Inc. Projects, Series 2014A:        
170   5.250%, 8/15/39   8/24 at 100.00 BBB 188,319
455   5.250%, 8/15/49   8/24 at 100.00 BBB 500,987
4,115   California Statewide Community Development Authority, Multifamily Housing Revenue Senior Bonds, Westgate Courtyards Apartments, Series 2001X-1, 5.420%, 12/01/34  –  AMBAC Insured (Alternative Minimum Tax)   6/17 at 100.00 N/R 4,118,415
1,800   Independent Cities Finance Authority, California, Mobile Home Park Revenue Bonds, Palomar Estates West, Refunding Series 2015, 5.000%, 9/15/25   No Opt. Call N/R 2,007,126
1,595   San Dimas Housing Authority, California, Mobile Home Park Revenue Bonds, Charter Oak Mobile Home Estates Acquisition Project, Series 1998A, 5.700%, 7/01/28   7/17 at 100.00 N/R 1,597,584
1,070   San Jose, California, Multifamily Housing Senior Lien Revenue Bonds, Fallen Leaves Apartments, Series 2002J1, 4.950%, 12/01/22  –  AMBAC Insured (Alternative Minimum Tax)   8/17 at 100.00 N/R 1,071,059
1,000   Ventura County Area Housing Authority, California, Multifamily Revenue Bonds, Mira Vista Senior Apartments Project, Series 2006A, 5.150%, 12/01/31  –  AMBAC Insured (Alternative Minimum Tax)   8/17 at 100.00 N/R 1,001,190
14,235   Total Housing/Multifamily       14,960,996
    Long-Term Care – 0.5%        
3,000   ABAG Finance Authority for Non-Profit Corporations, California, Health Facility Revenue Bonds, The Institute on Aging, Series 2008A, 5.650%, 8/15/38   8/18 at 100.00 AA- 3,177,090
NUVEEN      77

Nuveen California Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Long-Term Care (continued)        
$ 1,275   California Health Facilities Financing Authority, Revenue Bonds, Northern California Presbyterian Homes & Services Inc., Refunding Series 2015, 5.000%, 7/01/44   7/25 at 100.00 AA- $1,445,060
560   California Statewide Community Development Authority, Revenue Bonds, Los Angeles Jewish Home for the Aging, Series 2008, 4.500%, 11/15/19   5/18 at 100.00 AA- 578,603
750   California Statewide Community Development Authority, Revenue Bonds, Los Angeles Jewish Home for the Aging-Fountainview Gonda, Series 2014D, 4.750%, 8/01/20   11/17 at 100.00 N/R 750,465
5,585   Total Long-Term Care       5,951,218
    Tax Obligation/General – 23.2%        
1,000   Acalanes Union High School District, Contra Costa County, California, General Obligation Bonds, Refunding Series 2010A, 0.000%, 8/01/26   No Opt. Call Aa1 804,430
4,000   Alum Rock Union Elementary School District, Santa Clara County, California, General Obligation Bonds, Refunding Series 2013A, 6.000%, 8/01/39   8/23 at 100.00 AA- 4,933,160
5,570   Bakersfield City School District, Kern County, California, General Obligation Bonds, Series 2012C, 0.000%, 5/01/42 (5)   5/40 at 100.00 Aa2 3,364,726
3,565   California State, General Obligation Bonds, Refunding Various Purpose Series 2016, 5.000%, 9/01/32   9/26 at 100.00 AA- 4,290,299
    California State, General Obligation Bonds, Various Purpose Refunding Series 2014:        
1,265   5.000%, 8/01/31   8/24 at 100.00 AA- 1,498,620
6,780   5.000%, 8/01/32   8/24 at 100.00 AA- 8,002,570
1,205   5.000%, 8/01/33   8/24 at 100.00 AA- 1,416,188
    California State, General Obligation Bonds, Various Purpose Refunding Series 2015:        
5,275   5.000%, 8/01/31   2/25 at 100.00 AA- 6,254,356
5,000   5.000%, 8/01/32   2/25 at 100.00 AA- 5,903,000
28,370   5.000%, 8/01/33   2/25 at 100.00 AA- 33,289,358
    California State, General Obligation Bonds, Various Purpose Series 2009:        
600   5.625%, 4/01/26   4/19 at 100.00 AA- 652,638
5,000   5.500%, 11/01/34   11/19 at 100.00 AA- 5,509,900
4,060   6.000%, 11/01/39   11/19 at 100.00 AA- 4,548,093
    California State, General Obligation Bonds, Various Purpose Series 2010:        
5,000   5.250%, 3/01/30   3/20 at 100.00 AA- 5,553,800
10,000   5.500%, 3/01/40   3/20 at 100.00 AA- 11,119,300
4,000   5.250%, 11/01/40   11/20 at 100.00 AA- 4,517,680
2,000   California State, General Obligation Bonds, Various Purpose Series 2011, 5.250%, 10/01/32   10/21 at 100.00 AA- 2,310,760
    California State, General Obligation Bonds, Various Purpose Series 2013:        
5,860   5.000%, 2/01/38   2/23 at 100.00 AA- 6,672,548
1,430   5.000%, 2/01/43   2/23 at 100.00 AA- 1,621,792
    California State, General Obligation Bonds, Various Purpose Series 2014:        
15,000   5.000%, 10/01/37   10/24 at 100.00 AA- 17,476,050
2,470   5.000%, 5/01/44   5/24 at 100.00 AA- 2,837,956
78      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/General (continued)        
    California State, General Obligation Bonds, Various Purpose Series 2015:        
$ 5,545   5.000%, 3/01/33   3/25 at 100.00 AA- $6,515,985
3,000   5.000%, 3/01/45   3/25 at 100.00 AA- 3,463,590
3,000   5.000%, 8/01/45   8/25 at 100.00 AA- 3,485,850
3,000   Coast Community College District, Orange County, California, General Obligation Bonds, Refunding Series 2015, 5.000%, 8/01/33   8/25 at 100.00 AA+ 3,575,250
1,000   College of the Sequoias Visalia Area Improvement District 2, Tulare County, California, General Obligation Bonds, Sequoias Community College District, Election 2008 Series 2009A, 5.250%, 8/01/29  –  AGC Insured   8/19 at 100.00 AA 1,084,170
500   Corona-Norco Unified School District, Riverside County, California, General Obligation Bonds, Capital Appreciation, Election 2006 Refunding Series 2009C, 0.000%, 8/01/39  –  AGM Insured (5)   8/27 at 100.00 AA 686,455
18,500   Desert Community College District, Riverside County, California, General Obligation Bonds, Election 2004 Series 2007C, 0.000%, 8/01/46  –  AGM Insured   No Opt. Call AA 3,828,760
4,000   Desert Community College District, Riverside County, California, General Obligation Bonds, Refunding Series 2016, 5.000%, 8/01/37   2/26 at 100.00 AA 4,699,800
    Fontana Unified School District, San Bernardino County, California, General Obligation Bonds, Refunding Series 2012:        
11,200   0.000%, 8/01/40   No Opt. Call Aa3 3,519,040
19,700   0.000%, 8/01/41   8/22 at 34.18 Aa3 5,810,318
    Golden West Schools Financing Authority, California, General Obligation Revenue Refunding Bonds, School District Program, Series 1999A:        
320   5.800%, 8/01/22  –  NPFG Insured   No Opt. Call AA- 385,674
345   5.800%, 8/01/23  –  NPFG Insured   No Opt. Call AA- 425,878
460   Jefferson Union High School District, San Mateo County, California, General Obligation Bonds, Series 2000A, 6.250%, 8/01/20  –  NPFG Insured   No Opt. Call AA- 501,961
30   Long Beach Unified School District, Los Angeles County, California, General Obligation Bonds, Election of 2008, Series 2009A, 5.500%, 8/01/29   8/19 at 100.00 Aa2 32,813
    Los Angeles Community College District, California, General Obligation Bonds, Refunding Series 2015A:        
32,835   5.000%, 8/01/30   8/24 at 100.00 AA+ 39,508,385
6,000   5.000%, 8/01/31   8/24 at 100.00 AA+ 7,171,380
150   Los Angeles Unified School District, Los Angeles County, California, General Obligation Bonds, Series 2009D, 5.000%, 1/01/34   7/19 at 100.00 Aa2 162,260
100   Lucia Mar Unified School District, San Luis Obispo County, California, General Obligation Bonds, Refunding Series 2005, 5.250%, 8/01/22  –  FGIC Insured   No Opt. Call Aa2 119,864
10,000   Newport-Mesa Unified School District, Orange County, California, General Obligation Bonds, Election of 2005, Series 2011, 0.000%, 8/01/41   8/21 at 24.49 Aaa 2,258,400
    Oakland Unified School District, Alameda County, California, General Obligation Bonds, Refunding Series 2016:        
4,500   5.000%, 8/01/28   8/26 at 100.00 AAA 5,546,295
4,000   5.000%, 8/01/29   8/26 at 100.00 AAA 4,900,880
9,440   Paramount Unified School District, Los Angeles County, California, General Obligation Bonds, Election 2006 Series 2011, 0.000%, 8/01/45   No Opt. Call A+ 9,032,286
NUVEEN      79

Nuveen California Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/General (continued)        
$ 1,155   Pittsburg Unified School District, Contra Costa County, California, General Obligation Bonds, Series 2009B, 5.500%, 8/01/34  –  AGM Insured   8/18 at 100.00 AA $1,216,192
13,835   Rio Hondo Community College District, California, General Obligation Bonds, Election of 2004, Series 2010C, 0.000%, 8/01/42 (5)   8/34 at 100.00 AA 13,896,566
3,125   Rosemead School District, Los Angeles County, California, General Obligation Bonds, Election 2008 Series 2013B, 0.000%, 8/01/43  –  AGM Insured (5)   8/23 at 100.00 AA 3,469,594
3,000   Sacramento City Unified School District, Sacramento County, California, General Obligation Bonds, Measure Q Election 2012, Series 2017E, 4.000%, 5/01/47   8/27 at 100.00 AAA 3,152,910
2,580   Sacramento City Unified School District, Sacramento County, California, General Obligation Bonds, Measure R Election 2012, Series 2017C, 4.000%, 5/01/47   8/27 at 100.00 AAA 2,711,503
1,935   San Benito High School District, San Benito and Santa Clara Counties, California, General Obligation Bonds, 2016 Election Series 2017, 5.250%, 8/01/42   8/27 at 100.00 Aa3 2,365,286
    San Diego Community College District, California, General Obligation Bonds, Refunding Series 2016:        
10,000   5.000%, 8/01/31   8/26 at 100.00 Aaa 12,186,700
2,000   5.000%, 8/01/41   8/26 at 100.00 Aaa 2,382,000
1,535   San Leandro Unified School District, Alameda County, California, General Obligation Bonds, Election 2006 Series 2010C, 0.000%, 8/01/39  –  AGC Insured   8/28 at 100.00 AA 1,247,848
1,000   San Lorenzo Unified School District, Alameda County, California, General Obligation Bonds, Election of 2008 Series 2011B, 6.000%, 8/01/41   8/21 at 100.00 A+ 1,165,990
1,000   Santa Ana Unified School District, Orange County, California, General Obligation Bonds, Series 2008A, 5.250%, 8/01/28   8/18 at 100.00 Aa3 1,049,980
    Tulare Local Health Care District, California, General Obligation Bonds, Series 2009B-1:        
500   6.375%, 8/01/25   8/19 at 100.00 Baa3 548,025
1,005   6.500%, 8/01/26   8/19 at 100.00 Baa3 1,101,108
2,000   Victor Valley Union High School District, San Bernardino County, California, General Obligation Bonds, Series 2009A, 0.000%, 8/01/31  –  AGC Insured (5)   8/26 at 100.00 AA 2,195,940
1,395   Walnut Valley Unified School District, Los Angeles County, California, General Obligation Bonds, Election 2007 Measure S, Series 2014C, 5.000%, 8/01/39   8/24 at 100.00 Aa2 1,624,477
645   Washington Township Health Care District, Alameda County, California, General Obligation Bonds, 2012 Election Series 2013A, 5.500%, 8/01/40   8/24 at 100.00 Aa3 772,620
2,365   West Contra Costa Unified School District, Contra Costa County, California, General Obligation Bonds, Refunding Series 2016A, 5.000%, 8/01/34   8/25 at 100.00 AA+ 2,751,772
1,100   West Contra Costa Unified School District, Contra Costa County, California, General Obligation Bonds, Series 2008B, 6.000%, 8/01/24   No Opt. Call AA- 1,425,446
770   West Covina Unified School District, Los Angeles County, California, General Obligation Bonds, Series 2002A Refunding, 5.350%, 2/01/20  –  NPFG Insured   No Opt. Call AA- 851,281
1,000   Whittier Union High School District, Los Angeles County, California, General Obligation Bonds, Series 2009A, 0.000%, 8/01/34   8/19 at 38.81 AA- 376,990
3,500   Yosemite Community College District, California, General Obligation Bonds, Capital Appreciation, Election 2004, Series 2010D, 0.000%, 8/01/42 (5)   No Opt. Call Aa2 2,413,670
1,700   Yosemite Community College District, California, General Obligation Bonds, Refunding Series 2015, 5.000%, 8/01/32   8/25 at 100.00 Aa2 2,021,810
312,220   Total Tax Obligation/General       300,220,226
80      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited – 22.5%        
$ 1,000   Beaumont Financing Authority, California, Local Agency Revenue Bonds, Improvement Area 17B, Series 2011A, 6.125%, 9/01/31   9/21 at 100.00 N/R $1,127,170
1,000   Beaumont Financing Authority, California, Local Agency Revenue Bonds, Improvement Area 19A, Series 2015B, 5.000%, 9/01/35   9/25 at 100.00 N/R 1,106,630
1,655   Bell Community Housing Authority, California, Lease Revenue Bonds, Series 2005, 5.000%, 10/01/36  –  AMBAC Insured   8/17 at 100.00 N/R 1,556,941
2,250   Brea and Olinda Unified School District, Orange County, California, Certificates of Participation Refunding, Series 2002A, 5.125%, 8/01/26  –  AGM Insured   8/17 at 100.00 AA 2,257,762
2,665   Brea Redevelopment Agency, Orange County, California, Tax Allocation Bonds, Project Area AB, Series 2011A, 0.000%, 8/01/34   8/21 at 36.61 AA- 873,667
2,725   California Community College Financing Authority, Lease Revenue Bonds, Refunding Series 2003, 0.000%, 6/01/33  –  AMBAC Insured   No Opt. Call A+ 1,295,301
1,960   California Infrastructure and Economic Development Bank, Revenue Bonds, North County Center for Self-Sufficiency Corporation, Series 2004, 5.000%, 12/01/25  –  AMBAC Insured   8/17 at 100.00 AA 2,022,642
2,000   California State Public Works Board, Lease Revenue Bonds, Department of Corrections & Rehabilitation, Various Correctional Facilities Series 2014A, 5.000%, 9/01/39   9/24 at 100.00 A+ 2,300,960
1,000   California State Public Works Board, Lease Revenue Bonds, Department of Education Riverside Campus Project, Series 2009B, 5.750%, 4/01/23   4/19 at 100.00 A+ 1,085,010
    California State Public Works Board, Lease Revenue Bonds, Judicial Council of California, New Stockton Courthouse, Series 2014B:        
5,120   5.000%, 10/01/32   10/24 at 100.00 A+ 5,998,797
2,600   5.000%, 10/01/33   10/24 at 100.00 A+ 3,032,978
3,820   5.000%, 10/01/34   10/24 at 100.00 A+ 4,439,451
2,000   5.000%, 10/01/39   10/24 at 100.00 A+ 2,304,100
1,000   California State Public Works Board, Lease Revenue Bonds, Judicial Council of California, Various Projects Series 2013A, 5.000%, 3/01/30   3/23 at 100.00 A+ 1,150,820
765   California Statewide Communities Development Authority, Statewide Community Infrastructure Program Revenue Bonds, Series 2011A, 8.000%, 9/02/41   9/21 at 100.00 N/R 812,705
    Chula Vista Municipal Finance Authority, California, Special Tax Revenue Bonds, Refunding Series 2013:        
1,915   5.500%, 9/01/27   9/23 at 100.00 BBB+ 2,252,691
2,165   5.500%, 9/01/29   9/23 at 100.00 BBB+ 2,525,386
1,520   5.500%, 9/01/30   9/23 at 100.00 BBB+ 1,769,204
660   Compton Community Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Projects, Housing Second Lien Series 2010A, 5.500%, 8/01/30   8/20 at 100.00 N/R 716,958
1,425   Compton Community Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Projects, Second Lien Series 2010B, 5.000%, 8/01/25   8/20 at 100.00 N/R 1,549,189
1,060   Davis Redevelopment Agency, California, Tax Allocation Bonds, Davis Redevelopment Project, Subordinate Series 2011A, 7.000%, 12/01/36   12/21 at 100.00 A+ 1,291,462
1,500   Elk Grove Financing Authority, California, Special Tax Revenue Bonds, Series 2015, 5.000%, 9/01/38  –  BAM Insured   9/25 at 100.00 AA 1,708,335
35,000   Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement Asset-Backed Revenue Bonds, Refunding Series 2015A, 5.000%, 6/01/40   6/25 at 100.00 A+ 39,999,400
NUVEEN      81

Nuveen California Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
$ 1,650   Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement Asset-Backed Revenue Bonds, Series 2005A, 4.550%, 6/01/22  –  AGM Insured   6/18 at 100.00 AA $1,705,308
    Government of Guam, Business Privilege Tax Bonds, Refunding Series 2015D:        
7,500   5.000%, 11/15/28   11/25 at 100.00 A 8,445,075
6,375   5.000%, 11/15/29   11/25 at 100.00 A 7,123,425
3,725   5.000%, 11/15/39   11/25 at 100.00 A 4,006,535
2,075   Hesperia Community Redevelopment Agency, California, Tax Allocation Bonds, Series 2005A, 5.000%, 9/01/35  –  SYNCORA GTY Insured   8/17 at 100.00 BBB 2,080,208
1,660   Highland, California, Special Tax Bonds, Community Facilities District 01-1, Refunding, Series 2011, 5.500%, 9/01/28   9/21 at 100.00 A- 1,803,623
1,000   Huntington Beach, California, Special Tax Bonds, Community Facilities District 2003-1 Huntington Center, Refunding Series 2013, 5.375%, 9/01/33   9/23 at 100.00 N/R 1,109,120
625   Indio, California, Special Tax Bonds, Community Facilities District 2004-3 Terra Lago, Improvement Area 1, Series 2015, 5.000%, 9/01/35   9/25 at 100.00 N/R 691,644
740   Irvine Unified School District, Orange County, California, Special Tax Bonds, Community Facilities District 06-1, Series 2010, 6.700%, 9/01/35   9/20 at 100.00 N/R 822,843
1,090   Irvine, California, Limited Obligation Improvement Bonds, Reassessment District 15-2, Series 2015, 5.000%, 9/02/42   9/25 at 100.00 N/R 1,196,428
    Irvine, California, Special Tax Bonds, Community Facilities District 2013-3 Great Park, Improvement Area 1, Refunding Series 2014:        
500   5.000%, 9/01/39   9/24 at 100.00 N/R 548,305
750   5.000%, 9/01/44   9/24 at 100.00 N/R 818,603
150   Jurupa Public Financing Authority, California, Special Tax Revenue Bonds, Series 2015A, 5.000%, 9/01/23   No Opt. Call BBB+ 175,253
790   Lake Elsinore Public Financing Authority, California, Local Agency Revenue Bonds, Canyon Hills Improvement Area A & C, Series 2014C, 5.000%, 9/01/40   9/24 at 100.00 N/R 856,834
2,000   Lake Elsinore Public Financing Authority, California, Local Agency Revenue Bonds, Refunding Series 2015, 5.000%, 9/01/40   9/25 at 100.00 N/R 2,174,880
    Lammersville Joint Unified School District, California, Special Tax Bonds, Community Facilities District 2007-1 Mountain House - Shea Homes Improvement Area 1, Series 2013:        
1,000   6.000%, 9/01/38   9/23 at 100.00 N/R 1,164,020
1,750   6.000%, 9/01/43   9/23 at 100.00 N/R 2,031,627
1,870   Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Area Sheriff's Facilities Projects, Refunding Series 2004, 5.000%, 12/01/23  –  SYNCORA GTY Insured   8/17 at 100.00 A 1,876,152
    Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Fire Protection Facilities Project, Refunding Series 2004:        
800   5.250%, 12/01/17  –  SYNCORA GTY Insured   8/17 at 100.00 A 802,840
1,120   5.000%, 12/01/23  –  SYNCORA GTY Insured   8/17 at 100.00 A 1,123,685
215   Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Redevelopment Project Areas Housing Programs, Series 2009, 6.875%, 8/01/39   8/19 at 100.00 BBB 242,342
1,000   Lathrop, California, Limited Obligation Improvement Bonds, Crossroads Assessment District, Series 2015, 5.000%, 9/02/40   9/25 at 100.00 N/R 1,015,140
82      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
$ 1,875   Los Angeles County Metropolitan Transportation Authority, California, Measure R Sales Tax Revenue Bonds, Senior Series 2016A, 5.000%, 6/01/36   6/26 at 100.00 AAA $2,232,375
    Los Angeles County Metropolitan Transportation Authority, California, Proposition C Sales Tax Revenue Bonds, Senior Lien Series 2017A:        
15,075   5.000%, 7/01/39   7/27 at 100.00 AA+ 18,043,870
5,075   5.000%, 7/01/42   7/27 at 100.00 AA+ 6,059,651
    Los Angeles County Redevelopment Refunding Authority, California, Tax Allocation Revenue Bonds, Long Beach Redevelopment Agency Successor Agency Project Areas, Refunding Series 2015A:        
5,965   5.000%, 8/01/33   8/25 at 100.00 AA- 6,945,228
5,810   5.000%, 8/01/34   8/25 at 100.00 AA- 6,737,102
7,420   5.000%, 8/01/35   8/25 at 100.00 AA- 8,586,424
255   Los Angeles, California, Certificates of Participation, Department of Public Social Services, Sonnenblick Del Rio West LA, Senior Lien Series 2000, 6.000%, 11/01/19  –  AMBAC Insured   8/17 at 100.00 Aa3 256,086
    Menifee Union School District Public Financing Authority, California, Special Tax Revenue Bonds, Series 2016A:        
435   5.000%, 9/01/23   No Opt. Call N/R 509,624
760   5.000%, 9/01/33  –  BAM Insured   9/25 at 100.00 AA 883,591
1,600   5.000%, 9/01/35  –  BAM Insured   9/25 at 100.00 AA 1,847,440
115   5.000%, 9/01/36  –  BAM Insured   9/25 at 100.00 AA 132,419
415   Milpitas, California, Local Improvement District 20 Limited Obligation Bonds, Series 1998A, 5.700%, 9/02/18   9/17 at 103.00 N/R 430,973
1,505   Modesto, California, Special Tax Bonds, Community Facilities District 2004-1 Village One 2, Refunding Series 2014, 5.000%, 9/01/28   9/24 at 100.00 BBB- 1,724,354
    Murrieta Valley Unified School District, California, Special Tax Bonds, Community Facilities District 2006-1 Improvement Area B, Series 2013A:        
1,450   5.750%, 9/01/38   9/17 at 103.00 N/R 1,500,619
1,500   5.875%, 9/01/43   9/17 at 103.00 N/R 1,552,560
    National City Community Development Commission, California, Tax Allocation Bonds, National City Redevelopment Project, Series 2011:        
625   6.500%, 8/01/24   8/21 at 100.00 A 752,431
5,455   7.000%, 8/01/32   8/21 at 100.00 A 6,568,529
1,000   Norco Redevelopment Agency, California, Tax Allocation Refunding Bonds, Project Area 1, Refunding Series 2010, 6.000%, 3/01/36   3/20 at 100.00 A+ 1,120,480
4,055   Novato Redevelopment Agency, California, Tax Allocation Bonds, Hamilton Field Redevelopment Project, Series 2011, 6.750%, 9/01/40   9/21 at 100.00 BBB+ 4,788,631
    Oakland Redevelopment Successor Agency, California, Tax Allocation Bonds, Refunding Subordinated Series 2015-TE:        
3,250   5.000%, 9/01/35  –  AGM Insured   9/25 at 100.00 AA 3,711,565
3,215   5.000%, 9/01/36  –  AGM Insured   9/25 at 100.00 AA 3,659,024
260   Orange County, California, Special Tax Bonds, Community Facilities District 2015-1 Esencia Village, Series 2015A, 5.250%, 8/15/45   8/25 at 100.00 N/R 291,606
NUVEEN      83

Nuveen California Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
$ 2,500   Palm Drive Health Care District, Sonoma County, California, Certificates of Participation, Parcel Tax Secured Financing Program, Series 2010, 7.500%, 4/01/35   10/17 at 102.00 CCC+ $2,391,950
430   Patterson Public Finance Authority, California, Revenue Bonds, Community Facilities District 2001-1, Subordinate Lien Series 2013B, 5.875%, 9/01/39   9/23 at 100.00 N/R 472,755
    Patterson Public Financing Authority, California, Revenue Bonds, Community Facilities District 2001-1, Senior Series 2013A:        
2,680   5.250%, 9/01/30   9/23 at 100.00 N/R 2,922,754
2,405   5.750%, 9/01/39   9/23 at 100.00 N/R 2,624,889
    Rancho Cucamonga Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Rancho Redevelopment Project, Series 2014:        
1,600   5.000%, 9/01/30   9/24 at 100.00 AA+ 1,856,384
2,800   5.000%, 9/01/31   9/24 at 100.00 AA+ 3,233,328
2,400   5.000%, 9/01/32   9/24 at 100.00 AA+ 2,761,152
1,100   Rancho Cucamonga, California, Limited Obligation Improvement Bonds, Masi Plaza Assessment District 93-1, Series 1997, 6.250%, 9/02/22   9/17 at 100.00 N/R 1,111,099
1,115   Rio Elementary School District, California, Special Tax Bonds, Community Facilities District 1, Series 2013, 5.500%, 9/01/39   9/23 at 100.00 N/R 1,230,592
    Riverside County Redevelopment Agency, California, Tax Allocation Bonds, Interstate 215 Corridor Redevelopment Project Area, Series 2010E:        
2,950   6.250%, 10/01/30   10/20 at 100.00 A- 3,458,580
480   6.500%, 10/01/40   10/20 at 100.00 A- 566,674
100   Riverside County Redevelopment Agency, California, Tax Allocation Bonds, Jurupa Valley Project Area, Series 2011B, 6.500%, 10/01/25   10/21 at 100.00 A 119,274
6,470   Riverside County Transportation Commission, California, Sales Tax Revenue Bonds, Limited Tax Series 2013A, 5.250%, 6/01/39   6/23 at 100.00 AA+ 7,609,302
    Roseville, California, Special Tax Bonds, Community Facilities District 1 Westpark, Refunding Series 2015:        
1,000   5.000%, 9/01/28   9/25 at 100.00 N/R 1,139,930
1,000   5.000%, 9/01/29   9/25 at 100.00 N/R 1,130,080
1,000   5.000%, 9/01/30   9/25 at 100.00 N/R 1,124,920
3,500   Sacramento Area Flood Control Agency, California, Consolidated Capital Assessment District 2 Bonds, Series 2016A, 5.000%, 10/01/41   10/26 at 100.00 AA 4,109,595
1,195   Sacramento City Financing Authority, California, Lease Revenue Refunding Bonds, Series 1993A, 5.400%, 11/01/20  –  AMBAC Insured   No Opt. Call A+ 1,289,142
350   Sacramento City Financing Authority, California, Lease Revenue Refunding Bonds, Series 1993B, 5.400%, 11/01/20   No Opt. Call A+ 375,218
200   San Clemente, California, Special Tax Revenue Bonds, Community Facilities District 2006-1 Marblehead Coastal, Series 2015, 5.000%, 9/01/40   9/25 at 100.00 N/R 218,478
450   San Francisco City and County Redevelopment Agency Successor Agency, California, Special Tax Bonds, Community Facilities District 7, Hunters Point Shipyard Phase One Improvements, Refunding Series 2014, 5.000%, 8/01/39   8/24 at 100.00 N/R 488,277
1,955   San Francisco City and County Redevelopment Agency, California, Hotel Occupancy Tax Revenue Bonds, Refunding Series 2011, 5.000%, 6/01/25  –  AGM Insured   6/21 at 100.00 AA 2,223,089
5,255   San Francisco City and County, California, Certificates of Participation, Refunding Series 2010A, 5.000%, 10/01/30   10/20 at 100.00 AA 5,875,721
84      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
$ 3,500   San Jose Redevelopment Agency, California, Housing Set-Aside Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2010A-1, 5.500%, 8/01/35   8/20 at 100.00 AA $3,848,775
    San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Refunding Series 2006D:        
1,900   5.000%, 8/01/18  –  AMBAC Insured   8/17 at 100.00 A+ 1,912,977
645   5.000%, 8/01/19  –  AMBAC Insured   8/17 at 100.00 A+ 649,392
540   5.000%, 8/01/21  –  AMBAC Insured   8/17 at 100.00 A+ 543,672
2,990   San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2003, 5.000%, 8/01/19  –  FGIC Insured   8/17 at 100.00 AA- 3,000,016
350   San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2005A, 5.000%, 8/01/20  –  NPFG Insured   8/17 at 100.00 AA- 351,166
590   San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2006C, 5.000%, 8/01/25  –  NPFG Insured   8/17 at 100.00 AA- 593,988
    San Jose Redevelopment Agency, California, Tax Allocation Bonds, Merged Area Redevelopment Project, Series 2008B:        
1,085   6.375%, 8/01/21   8/18 at 100.00 A+ 1,143,178
480   6.500%, 8/01/23   8/18 at 100.00 A+ 509,947
2,140   Santa Ana Community Redevelopment Agency, California, Tax Allocation Bonds, Merged Project Area, Series 2011A, 6.750%, 9/01/28   3/21 at 100.00 AA+ 2,508,551
180   Signal Hill Redevelopment Agency, California, Project 1 Tax Allocation Bonds, Series 2011, 7.000%, 10/01/26   4/21 at 100.00 N/R 206,935
105   Temecula Public Financing Authority, California, Special Tax Bonds, Community Facilities District 16-01, Series 2017, 144A, 6.125%, 9/01/37   9/27 at 100.00 N/R 109,216
1,015   Temecula Redevelopment Agency, California, Redevelopment Project 1 Tax Allocation Housing Bonds Series 2011A, 6.750%, 8/01/31   8/21 at 100.00 BBB+ 1,216,579
    Tustin, California, Special Tax Bonds, Community Facilities District 06-1 Tustin Legacy/Columbus Villages, Refunding Series 2015A:        
500   5.000%, 9/01/35   9/25 at 100.00 BBB+ 567,110
395   5.000%, 9/01/37   9/25 at 100.00 BBB+ 445,260
100   Tustin, California, Special Tax Bonds, Community Facilities District 14-1 Tustin Legacy/Standard Pacific, Refunding Series 2015A, 5.000%, 9/01/45   9/25 at 100.00 N/R 109,462
50   Tustin, California,Special Tax Bonds, Community Facilities District 14-1 Tustin Legacy/Standard Pacific, Refunding Series 2015A, 5.000%, 9/01/40   9/25 at 100.00 N/R 54,956
1,045   Ukiah Redevelopment Agency, California, Tax Allocation Bonds, Ukiah Redevelopment Project, Series 2011A, 6.500%, 12/01/28   6/21 at 100.00 A+ 1,229,380
240   Union City Community Redevelopment Agency, California, Tax Allocation Revenue Bonds, Redevelopment Project, Subordinate Lien Series 2011, 6.375%, 12/01/23   12/21 at 100.00 A+ 287,256
25   Vernon Redevelopment Agency, California, Tax Allocation Bonds, Industrial Redevelopment Project, Series 2005, 5.000%, 9/01/35  –  NPFG Insured   8/17 at 100.00 AA- 25,022
    Vista, California, Community Development Commission Taxable Non-Housing Tax Allocation Revenue Bonds, Vista Redevelopment Project, Series 2011:        
7,600   6.000%, 9/01/33   9/21 at 100.00 AA- 8,941,020
7,920   6.125%, 9/01/37   9/21 at 100.00 AA- 9,283,270
1,540   Westminster Redevelopment Agency, California, Tax Allocation Bonds, Commercial Redevelopment Project 1, Subordinate Lien Series 2011A, 5.875%, 11/01/45   11/21 at 100.00 A 1,790,666
NUVEEN      85

Nuveen California Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/Limited (continued)        
$ 320   Yorba Linda Redevelopment Agency, Orange County, California, Tax Allocation Revenue Bonds, Yorba Linda Redevelopment Project, Subordinate Lien Series 2011A, 6.500%, 9/01/32   9/21 at 100.00 A- $ 377,949
260,495   Total Tax Obligation/Limited       291,364,957
    Transportation – 5.1%        
    Alameda Corridor Transportation Authority, California, Revenue Bonds, Refunding Second Subordinate Lien Series 2016B:        
2,000   5.000%, 10/01/34   10/26 at 100.00 BBB+ 2,298,840
2,570   5.000%, 10/01/37   10/26 at 100.00 BBB+ 2,927,256
50   Alameda Corridor Transportation Authority, California, Revenue Bonds, Refunding Subordinate Lien Series 2016A, 5.000%, 10/01/25   No Opt. Call BBB+ 60,078
3,780   Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Bonds, Refunding Junior Lien Series 2013C, 6.500%, 1/15/43   1/24 at 100.00 BB+ 4,542,653
    Foothill/Eastern Transportation Corridor Agency, California, Toll Road Revenue Bonds, Refunding Series 2013A:        
8,335   5.750%, 1/15/46   1/24 at 100.00 BBB- 9,624,674
8,415   6.000%, 1/15/53   1/24 at 100.00 BBB- 9,711,920
4,000   Guam International Airport Authority, Revenue Bonds, Series 2013C, 5.000%, 10/01/21 (Alternative Minimum Tax)   No Opt. Call BBB 4,346,400
    Long Beach, California, Harbor Revenue Bonds, Series 2015D:        
1,000   5.000%, 5/15/33   5/25 at 100.00 AA 1,179,340
2,785   5.000%, 5/15/34   5/25 at 100.00 AA 3,271,289
3,135   Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Senior Lien Series 2015D, 5.000%, 5/15/35 (Alternative Minimum Tax)   5/25 at 100.00 AA 3,602,084
    Los Angeles Department of Airports, California, Revenue Bonds, Los Angeles International Airport, Senior Lien Series 2015E:        
250   5.000%, 5/15/32   5/25 at 100.00 AA 296,220
600   5.000%, 5/15/33   5/25 at 100.00 AA 707,604
1,305   5.000%, 5/15/35   5/25 at 100.00 AA 1,530,817
355   5.000%, 5/15/41   5/25 at 100.00 AA 411,995
    Palm Springs Financing Authority, California, Palm Springs International Airport Revenue Bonds, Series 2006:        
285   5.450%, 7/01/20 (Alternative Minimum Tax)   8/17 at 100.00 N/R 285,242
170   5.550%, 7/01/28 (Alternative Minimum Tax)   8/17 at 100.00 N/R 170,155
    Riverside County Transportation Commission, California, Toll Revenue Senior Lien Bonds, Series 2013A:        
3,500   5.750%, 6/01/44   6/23 at 100.00 BBB- 3,977,610
8,250   5.750%, 6/01/48   6/23 at 100.00 BBB- 9,365,152
6,500   San Francisco Airports Commission, California, Revenue Bonds, San Francisco International Airport, Second Governmental Purpose Series 2016C, 5.000%, 5/01/46   5/26 at 100.00 A+ 7,504,835
57,285   Total Transportation       65,814,164
86      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    U.S. Guaranteed – 10.8% (6)        
    Antelope Valley Healthcare District, California, Revenue Bonds, Series 2011A:        
$ 1,810   7.000%, 3/01/31 (Pre-refunded 3/01/21)   3/21 at 100.00 N/R (6) $2,171,421
2,000   7.250%, 3/01/36 (Pre-refunded 3/01/21)   3/21 at 100.00 N/R (6) 2,417,520
3,000   Brentwood Infrastructure Financing Authority, California, Water Revenue Bonds, Series 2008, 5.750%, 7/01/38 (Pre-refunded 7/01/18)   7/18 at 100.00 AA (6) 3,163,530
1,000   California Educational Facilities Authority, Revenue Bonds, University of Redlands, Series 2008A, 5.000%, 8/01/28 (Pre-refunded 8/01/18)   8/18 at 100.00 A3 (6) 1,049,380
2,010   California Municipal Finance Authority, Certificates of Participation, Community Hospitals of Central California Obligated Group, Series 2009, 5.500%, 2/01/39 (Pre-refunded 2/01/19)   2/19 at 100.00 A- (6) 2,163,926
1,000   California Municipal Finance Authority, Revenue Bonds, Harbor Regional Center Project, Series 2009, 8.000%, 11/01/29 (Pre-refunded 11/01/19)   11/19 at 100.00 A3 (6) 1,167,320
2,000   California Municipal Finance Authority, Senior Living Revenue Bonds, Pilgrim Place at Claremont, Series 2009A, 6.125%, 5/15/39 (Pre-refunded 5/15/19)   5/19 at 100.00 AA- (6) 2,203,040
695   California State Public Works Board, Lease Revenue Bonds, California State University, J. Paul Leonard & Sutro Library, Series 2009J, 5.500%, 11/01/26 (Pre-refunded 11/01/19)   11/19 at 100.00 Aaa 771,485
    California State Public Works Board, Lease Revenue Bonds, California State University, Various University Projects, Series 2012D:        
3,000   5.000%, 9/01/33 (Pre-refunded 9/01/22)   9/22 at 100.00 Aaa 3,567,630
4,000   5.000%, 9/01/34 (Pre-refunded 9/01/22)   9/22 at 100.00 Aaa 4,756,840
1,250   California State Public Works Board, Lease Revenue Bonds, University of California Regents, Series 2009E, 5.000%, 4/01/34 (Pre-refunded 4/01/19)   4/19 at 100.00 Aaa 1,344,037
2,500   California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Series 2009G-1, 5.750%, 10/01/30 (Pre-refunded 10/01/19)   10/19 at 100.00 A+ (6) 2,780,525
2,000   California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Series 2009-I, 6.375%, 11/01/34 (Pre-refunded 11/01/19)   11/19 at 100.00 Aaa 2,261,840
3,000   California State Public Works Board, Lease Revenue Bonds, Various Capital Projects, Series 2010A-1, 6.000%, 3/01/35 (Pre-refunded 3/01/20)   3/20 at 100.00 A+ (6) 3,412,560
2,000   California Statewide Communities Development Authority, Health Facility Revenue Bonds, Community Hospital of the Monterey Peninsula, Series 2011A, 6.000%, 6/01/33 (Pre-refunded 6/01/21)   6/21 at 100.00 AA- (6) 2,387,820
410   California Statewide Communities Development Authority, Student Housing Revenue Bonds, University of California, Irvine East Campus Apartments, Phase II CHF-Irvine, LLC, Seris 2008, 5.500%, 5/15/26 (Pre-refunded 5/15/18)   5/18 at 100.00 Aaa 428,663
2,155   California Statewide Community Development Authority, Health Revenue Bonds, Enloe Medical Center, Refunding Series 2008A, 6.250%, 8/15/28 (Pre-refunded 8/15/18)   8/18 at 100.00 AA- (6) 2,297,424
    California Statewide Community Development Authority, Insured Health Facility Revenue Bonds, Henry Mayo Newhall Memorial Hospital, Series 2007A:        
500   5.000%, 10/01/20 (Pre-refunded 10/01/17)   10/17 at 100.00 AA- (6) 507,080
400   5.000%, 10/01/27 (Pre-refunded 10/01/17)   10/17 at 100.00 AA- (6) 405,664
2,010   California Statewide Community Development Authority, Revenue Bonds, Methodist Hospital Project, Series 2009, 6.750%, 2/01/38 (Pre-refunded 8/01/19)   8/19 at 100.00 N/R (6) 2,260,466
8,225   California Statewide Community Development Authority, Revenue Bonds, St. Joseph Health System, Series 2007A, 5.750%, 7/01/47 (Pre-refunded 7/01/18)  –  FGIC Insured   7/18 at 100.00 AA- (6) 8,659,527
1,100   California Statewide Community Development Authority, Revenue Bonds, St. Joseph Health System, Series 2007B, 5.500%, 7/01/27 (Pre-refunded 7/01/18)  –  FGIC Insured   7/18 at 100.00 AA- (6) 1,155,154
NUVEEN      87

Nuveen California Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    U.S. Guaranteed (6) (continued)        
$ 500   California Statewide Community Development Authority, Revenue Bonds, St. Joseph Health System, Series 2007C, 5.500%, 7/01/27 (Pre-refunded 7/01/18)  –  FGIC Insured   7/18 at 100.00 AA- (6) $525,070
855   Central Unified School District, Fresno County, California, General Obligation Bonds, Election 2008 Series 2009A, 5.625%, 8/01/33 (Pre-refunded 8/01/19)  –  AGC Insured   8/19 at 100.00 AA (6) 942,125
500   Corona-Norco Unified School District, Riverside County, California, General Obligation Bonds, Election 2006 Series 2009B, 5.375%, 2/01/34 (Pre-refunded 8/01/18)  –  AGC Insured   8/18 at 100.00 AA (6) 527,055
1,705   Cupertino Union School District, Santa Clara County, California, General Obligation Bonds, Series 2010D, 0.000%, 8/01/30 (Pre-refunded 8/01/20)   8/20 at 52.75 AA+ (6) 868,408
    Desert Sands Unified School District, Riverside County, California, General Obligation Bonds, Election 2001, Series 2008:        
365   5.250%, 8/01/23 (Pre-refunded 8/01/18)   8/18 at 100.00 Aa2 (6) 384,221
100   5.000%, 8/01/27 (Pre-refunded 8/01/18)   8/18 at 100.00 Aa2 (6) 104,976
1,000   Eden Township Healthcare District, California, Certificates of Participation, Installment Sale Agreement with Eden Hospital Health Services Corporation, Series 2010, 6.000%, 6/01/30 (Pre-refunded 6/01/20)   6/20 at 100.00 N/R (6) 1,147,460
950   Grossmont Union High School District, San Diego County, California, General Obligation Bonds, Election 2008 Series 2009A, 5.500%, 8/01/31 (Pre-refunded 8/01/19)   8/19 at 100.00 Aa2 (6) 1,044,259
100   Irvine Unified School District Financing Authority, Orange County, California, Special Tax Bonds, Group II, Series 2006A, 5.000%, 9/01/26 (Pre-refunded 9/01/17)   9/17 at 100.00 N/R (6) 105,186
    Jurupa Community Services District, California, Special Tax Bonds, Community Facilities District 25 Eastvale Area, Series 2008A:        
1,000   8.375%, 9/01/28 (Pre-refunded 9/01/18)   9/18 at 100.00 N/R (6) 1,094,710
3,205   8.875%, 9/01/38 (Pre-refunded 9/01/18)   9/18 at 100.00 N/R (6) 3,528,449
285   Lancaster Redevelopment Agency, California, Tax Allocation Bonds, Combined Redevelopment Project Areas Housing Programs, Series 2009, 6.875%, 8/01/39 (Pre-refunded 8/01/19)   8/19 at 100.00 N/R (6) 321,440
3,065   Loma Linda, California, Hospital Revenue Bonds, Loma Linda University Medical Center, Series 2008A, 8.250%, 12/01/38 (Pre-refunded 12/01/17)   12/17 at 100.00 BB (6) 3,177,853
470   Long Beach Unified School District, Los Angeles County, California, General Obligation Bonds, Election of 2008, Series 2009A, 5.500%, 8/01/29 (Pre-refunded 8/01/19)   8/19 at 100.00 N/R (6) 516,633
510   Los Angeles Harbors Department, California, Revenue Bonds, Series 1988, 7.600%, 10/01/18 (ETM)   No Opt. Call AA+ (6) 536,969
2,080   Los Angeles, California, Wastewater System Revenue Bonds, Refunding Series 2009A, 5.750%, 6/01/26 (Pre-refunded 6/01/19)   6/19 at 100.00 NA (6) 2,279,139
805   Oakdale Irrigation District, California, Certificates of Participation, Water Facilities Project, Series 2009, 5.500%, 8/01/34 (Pre-refunded 8/01/19)   8/19 at 100.00 AA (6) 884,872
7,600   Palomar Pomerado Health Care District, California, Certificates of Participation, Series 2009, 6.750%, 11/01/39 (Pre-refunded 11/01/19)   11/19 at 100.00 Ba1 (6) 8,661,036
3,355   Pittsburg Redevelopment Agency, California, Tax Allocation Bonds, Los Medanos Community Development Project, Refunding Series 2008A, 6.500%, 9/01/28 (Pre-refunded 9/01/18)   9/18 at 100.00 N/R (6) 3,594,513
4,000   Pittsburg Unified School District Financing Authority, Contra Costa County, California, General Obligation Bonds, Pittsburg Unified School District Bond Program, Series 2011, 0.000%, 9/01/38 (Pre-refunded 9/01/21)  –  AGM Insured   9/21 at 27.77 AA (6) 1,053,520
88      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    U.S. Guaranteed (6) (continued)        
$ 1,045   Rancho Santa Fe CSD Financing Authority, California, Revenue Bonds, Superior Lien Series 2011A, 5.750%, 9/01/30 (Pre-refunded 9/01/21)   9/21 at 100.00 A- (6) $1,246,507
    Rowland Water District, California, Certificates of Participation, Recycled Water Project, Series 2008:        
565   5.750%, 12/01/24 (Pre-refunded 12/01/18)   12/18 at 100.00 A+ (6) 607,042
480   5.750%, 12/01/25 (Pre-refunded 12/01/18)   12/18 at 100.00 A+ (6) 515,717
500   6.250%, 12/01/39 (Pre-refunded 12/01/18)   12/18 at 100.00 A+ (6) 540,930
1,265   San Bernardino Community College District, California, General Obligation Bonds, Election 2002 Series 2008A, 6.500%, 8/01/27 (Pre-refunded 8/01/18)   8/18 at 100.00 Aa2 (6) 1,349,641
2,000   San Diego Unified School District, San Diego County, California, General Obligation Bonds, Series 2009A, 0.000%, 7/01/33 (Pre-refunded 7/01/24) (5)   7/24 at 100.00 Aa2 (6) 2,310,520
525   San Francisco Redevelopment Finance Authority, California, Tax Allocation Revenue Bonds, Mission Bay North Redevelopment Project, Series 2009C, 6.375%, 8/01/32 (Pre-refunded 8/01/19)   8/19 at 100.00 A- (6) 586,688
1,185   San Francisco Redevelopment Finance Authority, California, Tax Allocation Revenue Bonds, Mission Bay North Redevelopment Project, Series 2011C, 6.750%, 8/01/41 (Pre-refunded 2/01/21)   2/21 at 100.00 A- (6) 1,429,596
    San Francisco Redevelopment Financing Authority, California, Tax Allocation Revenue Bonds, Mission Bay South Redevelopment Project, Series 2011D:        
80   7.000%, 8/01/33 (Pre-refunded 2/01/21)   2/21 at 100.00 BBB+ (6) 97,198
105   7.000%, 8/01/41 (Pre-refunded 2/01/21)   2/21 at 100.00 BBB+ (6) 127,573
1,505   San Mateo Union High School District, San Mateo County, California, Certificates of Participation, Phase 1, Series 2007A, 5.000%, 12/15/30 (Pre-refunded 12/15/17)  –  AMBAC Insured   12/17 at 100.00 N/R (6) 1,539,434
1,000   Santa Barbara Community College District, California, General Obligation Bonds, Election 2008 Series 2008A, 5.250%, 8/01/27 (Pre-refunded 8/01/18)   8/18 at 100.00 AA+ (6) 1,052,660
    Santa Cruz County Redevelopment Agency, California, Tax Allocation Bonds, Live Oak-Soquel Community Improvement Project Area, Series 2009A:        
1,860   6.625%, 9/01/29 (Pre-refunded 9/01/19)   9/19 at 100.00 A+ (6) 2,097,578
2,805   7.000%, 9/01/36 (Pre-refunded 9/01/19)   9/19 at 100.00 A+ (6) 3,185,638
3,500   Santee Community Development Commission, California, Santee Redevelopment Project Tax Allocation Bonds, Series 2011A, 6.500%, 8/01/26 (Pre-refunded 2/01/21)   2/21 at 100.00 A (6) 4,188,205
8,500   Tahoe Forest Hospital District, Placer and Nevada Counties, California, General Obligation Bonds, Election 2007 Series 2010B, 5.500%, 8/01/35 (Pre-refunded 8/01/18)   8/18 at 100.00 Aa3 (6) 8,971,240
1,225   Turlock Public Financing Authority, California, Tax Allocation Revenue Bonds, Series 2011, 7.000%, 9/01/25 (Pre-refunded 3/01/21)   3/21 at 100.00 A- (6) 1,491,143
2,000   Tustin, California, Special Tax Bonds, Community Facilities District 07-1 Tustin Legacy-Retail Center, Series 2007, 6.000%, 9/01/37 (Pre-refunded 9/01/17)   9/17 at 100.00 N/R (6) 2,025,840
    University of California, General Revenue Bonds, Series 2009O:        
925   5.250%, 5/15/39 (Pre-refunded 5/15/19)   5/19 at 100.00 N/R (6) 1,002,682
1,620   5.250%, 5/15/39 (Pre-refunded 5/15/19)   5/19 at 100.00 N/R (6) 1,756,048
3,145   5.250%, 5/15/39 (Pre-refunded 5/15/19)   5/19 at 100.00 AA (6) 3,409,117
1,555   Victor Valley Community College District, San Bernardino County, California, General Obligation Bonds, Election of 2008 Series 2009A, 5.000%, 8/01/31 (Pre-refunded 8/01/19)   8/19 at 100.00 Aa2 (6) 1,691,591
NUVEEN      89

Nuveen California Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    U.S. Guaranteed (6) (continued)        
    Westminster Redevelopment Agency, California, Tax Allocation Bonds, Commercial Redevelopment Project 1, Police Facility Subordinate Series 2009:        
$ 10,710   6.250%, 11/01/39 (Pre-refunded 11/01/19)   11/19 at 100.00 A2 (6) $12,077,453
2,395   5.750%, 11/01/45 (Pre-refunded 11/01/19)   11/19 at 100.00 A2 (6) 2,672,245
1,615   Yuba City Redevelopment Agency, California, Tax Allocation Bonds, Redevelopment Project, Series 2007, 5.250%, 9/01/39 (Pre-refunded 9/01/17)  –  RAAI Insured   9/17 at 100.00 AA (6) 1,630,762
130,625   Total U.S. Guaranteed       140,233,794
    Utilities – 1.8%        
1,855   California Statewide Communities Development Authority, Certificates of Participation, Rio Bravo Fresno Project, Refunding Series 1999A, 6.500%, 12/01/18   6/17 at 100.00 N/R 1,854,833
1,985   Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2014D, 5.000%, 7/01/44   7/24 at 100.00 Aa2 2,285,807
3,300   Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2016A, 5.000%, 7/01/40   1/26 at 100.00 Aa2 3,861,429
4,165   Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2016B, 5.000%, 7/01/37   1/26 at 100.00 Aa2 4,894,458
8,870   Los Angeles Department of Water and Power, California, Power System Revenue Bonds, Series 2017A, 5.000%, 7/01/42   1/27 at 100.00 Aa2 10,500,040
20,175   Total Utilities       23,396,567
    Water and Sewer – 11.0%        
2,400   California Department of Water Resources, Central Valley Project Water System Revenue Bonds, Refunding Series 2016AW, 5.000%, 12/01/35   12/26 at 100.00 AAA 2,895,552
    California Pollution Control Financing Authority, Water Furnishing Revenue Bonds, Poseidon Resources Channelside LP Desalination Project, Series 2012, 144A:        
5,000   5.000%, 7/01/37 (Alternative Minimum Tax)   7/22 at 100.00 Baa3 5,357,150
5,060   5.000%, 11/21/45 (Alternative Minimum Tax)   7/22 at 100.00 Baa3 5,418,552
2,000   California Pollution Control Financing Authority, Water Furnishing Revenue Bonds, San Diego County Water Authority Desalination Project Pipeline, Series 2012, 144A, 5.000%, 11/21/45   7/17 at 100.00 Baa3 2,003,840
355   California Statewide Community Development Authority, Water and Wastewater Revenue Bonds, Pooled Financing Program, Series 2003A, 5.250%, 10/01/23  –  AGM Insured   8/17 at 100.00 AA 356,257
870   Compton, California, Sewer Revenue Bonds, Series 1998 Refunding, 5.375%, 9/01/23  –  NPFG Insured   9/17 at 100.00 AA- 873,236
5,695   East Bay Municipal Utility District, Alameda and Contra Costa Counties, California, Water System Revenue Bonds, Refunding Series 2015A, 5.000%, 6/01/37   6/25 at 100.00 AAA 6,717,025
1,500   Eastern Municipal Water District Financing Authority, California, Water and Wastewater Revenue Bonds, Series 2015B, 5.000%, 7/01/40   7/25 at 100.00 AA+ 1,736,025
3,495   Eastern Municipal Water District, California, Water and Wastewater Revenue Bonds, Refunding Series 2016A, 5.000%, 7/01/42   7/26 at 100.00 AA+ 4,107,848
6,000   Irvine Ranch Water District, California, Certificates of Participation, Irvine Ranch Water District Series 2016, 5.000%, 3/01/41   9/26 at 100.00 AAA 7,106,460
90      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Water and Sewer (continued)        
    Los Angeles Department of Water and Power, California, Waterworks Revenue Bonds, Refunding Series 2016B:        
$ 5,000   5.000%, 7/01/29   1/26 at 100.00 AA+ $6,091,750
3,460   5.000%, 7/01/33   1/26 at 100.00 AA+ 4,124,424
4,955   5.000%, 7/01/35   1/26 at 100.00 AA+ 5,860,279
    Los Angeles Department of Water and Power, California, Waterworks Revenue Bonds, Series 2017A:        
15,000   5.000%, 7/01/44   1/27 at 100.00 AA+ 17,742,750
5,000   5.250%, 7/01/44   1/27 at 100.00 AA+ 6,074,850
10,000   Los Angeles, California, Wastewater System Revenue Bonds, Green Series 2015C, 5.000%, 6/01/45   6/25 at 100.00 AA+ 11,652,700
    Los Angeles, California, Wastewater System Revenue Bonds, Refunding Green Series 2015A:        
5,000   5.000%, 6/01/31   6/25 at 100.00 AA+ 6,025,900
5,000   5.000%, 6/01/32   6/25 at 100.00 AA+ 5,997,500
1,665   Los Angeles, California, Wastewater System Revenue Bonds, Refunding Series 2009A, 5.750%, 6/01/26   6/19 at 100.00 AA+ 1,825,456
2,600   Los Angeles, California, Wastewater System Revenue Bonds, Refunding Subordinate Lien Series 2013A, 5.000%, 6/01/35   6/23 at 100.00 AA 3,016,624
1,000   Norco Financing Authority, California, Enterprise Revenue Refunding Bonds, Series 2009, 5.625%, 10/01/34  –  AGM Insured   10/19 at 100.00 AA 1,088,130
1,950   San Diego Public Facilities Financing Authority, California, Sewerage Revenue Bonds, Refunding Senior Lien Series 2016A, 5.000%, 5/15/35   5/26 at 100.00 AA+ 2,337,251
    San Diego Public Facilities Financing Authority, California, Water Utility Revenue Bonds, Refunding Subordinate Lien Series 2016B:        
4,000   5.000%, 8/01/30   8/26 at 100.00 Aa3 4,888,840
6,700   5.000%, 8/01/31   8/26 at 100.00 Aa3 8,121,941
7,330   5.000%, 8/01/32   8/26 at 100.00 Aa3 8,849,362
5,245   San Francisco City and County Public Utilities Commission, California, Water Revenue Bonds, Refunding Series 2016A, 5.000%, 11/01/35   11/26 at 100.00 AA- 6,270,974
4,510   Santa Clara Valley Water District, California, Water System Revenue Bonds, Refunding Series 2016A, 5.000%, 6/01/41   12/25 at 100.00 Aa1 5,315,666
120,790   Total Water and Sewer       141,856,342
 
$ 1,201,330   Total Long-Term Investments (cost $1,202,205,722)       1,284,222,919
    Other Assets Less Liabilities – 0.7%       9,578,510
    Net Assets – 100%       $ 1,293,801,429
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.
NUVEEN      91

Nuveen California Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
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).
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 the Fund’s fair value measurements as of the end of the reporting period:
  Level 1 Level 2 Level 3 Total
Long-Term Investments:        
Municipal Bonds $ — $1,284,222,919 $ — $1,284,222,919
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 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 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 May 31, 2017, the cost of investments was $1,202,190,085.
Gross unrealized appreciation and gross unrealized depreciation of investments as of May 31, 2017, were as follows:
Gross unrealized:  
Appreciation $84,875,289
Depreciation (2,842,455)
Net unrealized appreciation (depreciation) of investments $82,032,834
(1) All percentages shown in the Portfolio of Investments are based on net assets.  
(2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns.  
(3) For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.  
(4) The coupon for this security increased 0.25% effective January 1, 2016 and increased an additional 0.25% effective May 11, 2016.  
(5) Step-up coupon. The rate shown is the coupon as of the end of the reporting period.  
(6) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.  
(ETM) Escrowed to maturity.  
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.  
(WI/DD) Investment, or portion of investment, purchased on a when-issued or delayed delivery basis.  
92      NUVEEN

Nuveen California Intermediate Municipal Bond Fund
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    LONG-TERM INVESTMENTS – 103.2%        
    MUNICIPAL BONDS – 103.2%        
    Consumer Staples – 5.2%        
$ 315   Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Series 2007A-1, 5.000%, 6/01/33   6/17 at 100.00 B+ $ 316,544
    Education and Civic Organizations – 5.7%        
15   California Educational Facilities Authority, Revenue Bonds, Chapman University, Series 2015, 5.000%, 4/01/27   4/25 at 100.00 A2 17,923
175   California Infrastructure and Economic Development Bank, Revenue Bonds, Salvation Army Western Territory, Refunding Series 2016, 5.000%, 9/01/27   9/26 at 100.00 A1 214,106
100   California School Finance Authority, School Facility Revenue Bonds, Alliance for College-Ready Public Schools Project, Series 2016C, 5.000%, 7/01/21   No Opt. Call BBB 111,304
290   Total Education and Civic Organizations       343,333
    Health Care – 20.4%        
150   California Health Facilities Financing Authority, Revenue Bonds, El Camino Hospital, Series 2017, 5.000%, 2/01/26   No Opt. Call A+ 183,388
100   California Municipal Finance Authority, Revenue Bonds, Eisenhower Medical Center, Series 2017A, 5.000%, 7/01/27 (WI/DD, Settling 6/06/17)   No Opt. Call BBB 120,405
60   California Municipal Finance Authority, Revenue Bonds, NorthBay Healthcare Group, Series 2015, 5.000%, 11/01/22   No Opt. Call BBB- 68,962
100   California Municipal Finance Authority, Revenue Bonds, NorthBay Healthcare Group, Series 2017A, 5.000%, 11/01/25   No Opt. Call BBB- 117,978
100   California Public Finance Authority, Revenue Bonds, Henry Mayo Newhall Hospital, Series 2017, 5.000%, 10/15/23   No Opt. Call BBB- 114,687
125   California Statewide Communities Development Authority, California, Redlands Community Hospital, Revenue Bonds, Series 2016, 5.000%, 10/01/25   No Opt. Call A- 147,908
100   California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda University Medical Center, Series 2016A, 5.000%, 12/01/28   6/26 at 100.00 BB+ 113,611
200   California Statewide Communities Development Authority, Revenue Bonds, Huntington Memorial Hospital, Refunding Series 2014B, 5.000%, 7/01/25   7/24 at 100.00 A- 237,268
    Marysville, California, Revenue Bonds, Fremont-Rideout Health Group, Series 2011:        
100   5.250%, 1/01/28   1/21 at 100.00 BBB- 101,182
30   5.000%, 1/01/31   1/21 at 100.00 BBB- 29,911
1,065   Total Health Care       1,235,300
    Tax Obligation/General – 9.4%        
150   California State, General Obligation Bonds, Refunding Various Purpose Series 2017, 5.000%, 8/01/26   No Opt. Call AA- 188,493
150   Los Angeles Unified School District, Los Angeles County, California, General Obligation Bonds, Refunding Series 2017A, 5.000%, 7/01/27   No Opt. Call AAA 191,380
NUVEEN      93

Nuveen California Intermediate Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    Tax Obligation/General (continued)        
$ 150   Sacramento City Unified School District, Sacramento County, California, General Obligation Bonds, Measure Q Election 2012, Series 2017E, 5.000%, 8/01/28   8/27 at 100.00 AAA $ 187,992
450   Total Tax Obligation/General       567,865
    Tax Obligation/Limited – 25.6%        
100   Indian Wells Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Consolidated Whitewater Project Area, Refunding Subordinate Series 2015A, 5.000%, 9/01/23  –  AGM Insured   No Opt. Call AA 118,963
50   Indio, California, Special Tax Bonds, Community Facilities District 2004-3 Terra Lago, Improvement Area 1, Series 2015, 5.000%, 9/01/25   No Opt. Call N/R 58,304
100   Jurupa Public Financing Authority, California, Special Tax Revenue Bonds, Series 2015A, 5.000%, 9/01/23   No Opt. Call BBB+ 116,835
150   Lammersville Joint Unified School District, San Joaquin County, California, Special Tax Bonds, Community Facilities District 2002 Mountain House, Series 2017, 5.000%, 9/01/26 (WI/DD, Settling 6/07/17)   No Opt. Call N/R 178,561
100   Poway Unified School District Public Financing Authority, California, Special Tax Revenue Bonds, Refunding Series 2017A, 5.000%, 9/01/24   No Opt. Call BBB+ 118,395
200   San Diego Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Refunding Series 2016A, 5.000%, 9/01/25   No Opt. Call AA 250,364
100   San Francisco City and County Redevelopment Agency Successor Agency, California, Special Tax Bonds, Community Facilities District 7, Hunters Point Shipyard Phase One Improvements, Refunding Series 2014, 5.000%, 8/01/26   8/24 at 100.00 N/R 113,244
65   San Francisco City and County Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Mission Bay North Redevelopment Project, Refunding Series 2016A, 5.000%, 8/01/26   No Opt. Call A 80,495
25   San Mateo Redevelopment Agency Successor Agency, California, Tax Allocation Bonds, Refunding Series 2015A, 5.000%, 8/01/27   8/25 at 100.00 A 29,883
100   Santee Community Development Commission Successor Agency, California, Tax Allocation Bonds, Santee Community Redevelopment Project, Refunding Series 2016A, 5.000%, 8/01/26  –  BAM Insured   No Opt. Call AA 121,729
100   Saugus/Hart School Facilities Financing Authority, California, Special Tax Bonds, Community Facilities District 2006-1, Series 2016, 5.000%, 9/01/26   3/26 at 100.00 N/R 118,155
200   Stockton Redevelopment Agency, California, Tax Allocation Bonds, Refunding Series 2016A, 5.000%, 9/01/26  –  AGM Insured   No Opt. Call AA 240,140
1,290   Total Tax Obligation/Limited       1,545,068
    Transportation – 4.0%        
100   Alameda Corridor Transportation Authority, California, Revenue Bonds, Refunding Subordinate Lien Series 2016A, 5.000%, 10/01/25   No Opt. Call BBB+ 120,156
100   San Jose, California, Airport Revenue Bonds, Refunding Series 2017A, 5.000%, 3/01/26 (Alternative Minimum Tax)   No Opt. Call A2 121,850
200   Total Transportation       242,006
    U.S. Guaranteed – 18.1% (4)        
200   California Health Facilities Financing Authority, Revenue Bonds, Providence Health & Services, Refunding Series 2008C, 6.250%, 10/01/28 (Pre-refunded 10/01/18)   10/18 at 100.00 AA- (4) 214,452
200   California State University, Systemwide Revenue Bonds, Series 2009A, 5.250%, 11/01/29 (Pre-refunded 5/01/19)   5/19 at 100.00 Aa2 (4) 216,666
94      NUVEEN

Principal Amount (000)   Description (1)   Optional Call Provisions (2) Ratings (3) Value
    U.S. Guaranteed (4) (continued)        
$ 200   Desert Sands Unified School District, Riverside County, California, General Obligation Bonds, Election 2001, Series 2008, 5.000%, 8/01/27 (Pre-refunded 8/01/18)   8/18 at 100.00 Aa2 (4) $209,952
200   Ohlone Community College District, Alameda County, California, General Obligation Bonds, Election 2010 Series 2011A-1, 5.250%, 8/01/41 (Pre-refunded 8/01/21)   8/21 at 100.00 AA (4) 234,048
200   San Francisco City and County Public Utilities Commission, California, Water Revenue Bonds, Refunding Series 2009A, 5.125%, 11/01/39 (Pre-refunded 11/01/19)   11/19 at 100.00 AA- (4) 220,120
1,000   Total U.S. Guaranteed       1,095,238
    Utilities – 1.4%        
40   Banning Financing Authority, California, Revenue Bonds, Electric System Project, Refunding Series 2015, 5.000%, 6/01/27  –  AGM Insured   6/25 at 100.00 AA 48,002
30   Roseville Natural Gas Financing Authority, California, Gas Revenue Bonds, Series 2007, 5.000%, 2/15/23   No Opt. Call A 33,862
70   Total Utilities       81,864
    Water and Sewer – 13.4%        
200   Central Basin Municipal Water District, California, Revenue Bonds, Refunding Series 2016A, 5.000%, 8/01/24  –  AGM Insured   No Opt. Call AA 242,670
100   Los Angeles County Sanitation Districts Financing Authority, California, Capital Projects Revenue Bonds, District 20, Refunding Green Series 2016A, 5.000%, 10/01/26   No Opt. Call AA- 125,206
150   Los Angeles, California, Wastewater System Revenue Bonds, Green Bonds, Subordinate Lien Series 2017B, 5.000%, 6/01/27   No Opt. Call AA 191,803
200   Santa Clara Valley Water District, California, Certificates of Participation, Refunding & Improvement Series 2017A, 5.000%, 2/01/27   2/26 at 100.00 Aa1 248,656
650   Total Water and Sewer       808,335
 
$ 5,330   Total Long-Term Investments (cost $6,141,800)       6,235,553
    Other Assets Less Liabilities – (3.2)%       (192,090)
    Net Assets – 100%       $ 6,043,463
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).
NUVEEN      95

Nuveen California Intermediate Municipal Bond Fund (continued)
Portfolio of Investments May 31, 2017 (Unaudited)
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 the Fund’s fair value measurements as of the end of the reporting period:
  Level 1 Level 2 Level 3 Total
Long-Term Investments:        
Municipal Bonds $ — $6,235,553 $ — $6,235,553
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 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 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 May 31, 2017, the cost of investments was $6,141,795.
Gross unrealized appreciation and gross unrealized depreciation of investments as of May 31, 2017, were as follows:
Gross unrealized:  
Appreciation $108,529
Depreciation (14,771)
Net unrealized appreciation (depreciation) of investments $ 93,758
(1) All percentages shown in the Portfolio of Investments are based on net assets.  
(2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns.  
(3) For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.  
(4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.  
(WI/DD) Investment, or portion of investment, purchased on a when-issued or delayed delivery basis.  
96      NUVEEN

Item 2. Controls and Procedures.

 

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

 

  (b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the 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: See 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 Multistate Trust II

 

 

 

By (Signature and Title)

    /s/ Kathleen L. Prudhomme
   Kathleen L. Prudhomme
   Vice President and Secretary

Date: July 28, 2017

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/ Greg A. Bottjer
   Greg A. Bottjer
  

Chief Administrative Officer

(principal executive officer)

Date: July 28, 2017

 

 

By (Signature and Title)

    /s/ Stephen D. Foy
   Stephen D. Foy
  

Vice President and Controller

(principal financial officer)

Date: July 28, 2017