CORRESP 1 filename1.htm CORRESP

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Thomas S. Harman

Partner

+1.202.373.6725

thomas.harman@morganlewis.com

April 1, 2024

VIA EDGAR

Mr. John Kernan, Esq.

Division of Investment Management, Disclosure Review & Accounting Office

U.S. Securities and Exchange Commission

100 F Street, NE

Washington, DC 20549

 

Re:

 Nuveen Closed-End Funds – Sarbanes Oxley Review

Dear Mr. Kernan:

This letter addresses the comments you provided in a telephone discussion on February 14, 2024, regarding reviews performed by the staff of the U.S. Securities and Exchange Commission (the “SEC Staff”) of certain regulatory filings made by our clients, the Nuveen closed-end registered investment companies listed on Appendix A, attached hereto (each, a “Fund” or “Registrant” and, collectively, the “Funds” or “Registrants”), each of which is advised by Nuveen Fund Advisors, LLC (the “Adviser”). Each comment is shown below followed by management’s response.

 

1.

Comment: In response to Item B.20 of Form N-CEN, filed for the period ended July 31, 2023, the Nuveen Floating Rate Income Fund (”JFR”) reported a material change in method of valuation impacting CMBS, CMOs and CLOs. In correspondence, please explain the nature of the changes, the reasons for making them and the omission of disclosure of the same pursuant to ASC 820-10-50-2.

Response: As part of an initiative to implement a single valuation policy for both the Nuveen and TIAA-CREF Fund complexes (collectively, the “Complexes”), the Adviser reviewed the pricing conventions used by asset class given that different valuation techniques had been used historically for certain asset classes within the Complexes.

 

Morgan, Lewis & Bockius LLP

 

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Mr. John Kernan, Esq.

April 1, 2024

Page 2

    

 

The Adviser determined that mid pricing was more consistent with historical transaction prices, reflected a more precise measure of estimate and was more representative of fair value for CMBS, CMOs and CLOs. Accordingly, effective September 1, 2022, the Adviser determined to change from a bid to mid pricing convention for CMBS, CMOs and CLOs. This change was applied prospectively consistent with accounting guidance under ASC 820-10-35-25 and ASC 820-10-35-26.

In preparing the Funds’ financial statements, including those of JFR, the Adviser considered the requirements of ASC 250-10-50-5, and determined that disclosure for the change in valuation technique from a bid to mid pricing convention for CMBS, CMOs and CLOs was not required. The Adviser also considered the requirements of ASC 820-10-50-2 and determined that the change in valuation technique, and the reasons for making the change, were not material to the Funds’ financial statements and therefore did not require disclosure for the following reasons:

 

  •  

As of the periods ended July 31, 2022, and September 1, 2022, a change from bid to mid pricing convention for CMBS, CMOs and CLOs was deemed immaterial to the NAV of JFR, as well as the NAVs of the other Funds, and therefore the Adviser concluded that the change in valuation technique was not required per ASC 820-10-50-2.

 

  •  

The valuation disclosure within the Notes to Financial Statements does not describe in detail the valuation techniques used for individual securities or sub-asset types as there is expected to be some variability depending on the facts and circumstances relevant for individual securities, but rather discloses the overall valuation methodology and factors considered in how fair value estimates are determined.

 

  •  

The inputs and assumptions of such valuation techniques used in determining both the bid and mid prices for securities are substantially the same and the use of both bid and mid pricing conventions is reasonable for determining the fair value of these securities held in JFR, as well as the other Funds, which have been applied consistently.

 

  •  

The use of bid or mid pricing conventions is but one factor considered by the Adviser when determining the fair value of securities. Other considerations include but are not limited to: the pricing services used by the Fund, price exception reviews including price tolerance reports comparing the current day’s price with the prior day’s price, acid test reports comparing executed trade levels with the pricing vendor’s price, price comparison reports comparing the primary pricing vendor’s price with that of secondary or alternative pricing vendors, and unchanged price reports, for example.

Mr. John Kernan, Esq.

April 1, 2024

Page 3

    

 

For the reasons set forth above, the Adviser’s response to Item B.20 of Form N-CEN should have been “No” with respect to JFR, as well as the other Funds.

 

2.

Comment: The SEC Staff notes that disclosure included in the Notes to Financial Statements titled “6. Fund Shares” states that the fair value of JFR’s Taxable Fund Preferred Shares (“TFPs”) while in Variable Rate Mode (“VRM”) are expected to approximate their liquidation preference. Please describe the impact of heightened interest rate and spread volatility on the fair value of TFPs during the fiscal year ended July 31, 2023. In your response, please (a) describe the valuation procedures undertaken to assess the fair value of the TFPs and provide the results in dollars of the Adviser’s determination of the fair value of the TFPs as of January 31, 2023, and July 31, 2023, and (b) explain the omission of disclosure required by ASC 820-10-50-2E, which is applicable to assets and liabilities not measured at fair value in the Statement of Assets and Liabilities but for which fair value is disclosed, and includes disclosure of leveling valuation techniques and inputs.

Response: TFPs while in VRM (“TFP-VRM”) are variable rate securities that pay a monthly dividend which is determined by a fixed spread (e.g., 1.00%) plus a short-term index (i.e., Secured Overnight Financing Rate (SOFR)). The “holding or commitment period” of a TFP-VRM is typically very short. The holding period is initially two years and eventually converts to a 60-day Evergreen tenor, meaning so long as either party does not initiate a tenor maturity date, the period will reset to a constant 60 days each day.

The Adviser determined that fair value of a TFP-VRM is equivalent to the liquidation preference of a TFP-VRM for the following reasons:

 

  •  

Variable rate: The variable rate on the security negates the impact of market interest rates. Because the base rate used to calculate that month’s dividend rate resets each month, it is largely immune to changes in overall interest rates. The dividend rate paid will either increase or decrease each month based upon the then-current on-market rate.

 

  •  

Credit Spread: The initial valuation of TFP-VRM is largely based upon an on-market credit spread. Since the inception of TFP-VRM, the credit spread has been stable and remained within a 0.05% to 0.15% range. A differential of 15 basis points for an entire year would only change the valuation by ~0.1% (i.e., 99.9% or 100.1%). An on-market credit spread would only materially change in the event of material risk of non-payment of liquidation preference (i.e., “default”). Additionally, TFP-VRM have kept a category rating of AA from

Mr. John Kernan, Esq.

April 1, 2024

Page 4

    

 

Nationally Recognized Statistical Ratings Organization and maintain overall asset coverage requirements making risk nearly non-existent.

 

  •  

Tenor: TFP-VRM do not have a long “tenor/maturity/holding period,” which increases the potential for having greater valuation dispersion. TFP-VRM are very short-dated, meaning that the potential for long periods of time where the current fixed spread does not approximate on-market value is remote. Additionally, under an Evergreen tenor either party has ability to take steps to re-align fixed spreads to on-market value.

For the reasons described above, the Adviser has determined:

 

  (a)

The variance of TFP-VRM’s valuation as of January 31, 2023, and July 31, 2023, was minimal, and, therefore, approximated its liquidation preference of $100,000,000 and $285,000,000, respectively. Because TFP-VRM is a variable rate security, its credit spread reflects minimal overall volatility and the overall holding tenor (if there were a change to “on-market rate”) is short. As such, heightened interest rate and spread volatility did not impact the Adviser’s determination that the fair value of TFP-VRM approximated the liquidation preference during the fiscal periods ended January 31, 2023, and July 31, 2023.

 

  (b)

ASC 820-10-50-2E applies to assets and liabilities not measured at fair value in the Statement of Assets and Liabilities but for which fair value is disclosed. Here, the fair value of a TFP-VRM is equivalent to the liquidation preference of a TFP-VRM, and the liquidation preference of TFP-VRM is disclosed in the Fund’s Statement of Assets and Liabilities. Therefore, TFP-VRM are not subject to the requirements of ASC 820-10-50-2E. However, the Registrant will continue to include the following disclosure immediately below the fair value leveling tables in the “3. Investment Valuation and Fair Value Measurements” section of the Notes to Financial Statements:

The Funds hold liabilities in preferred shares, where applicable, which are not reflected in the tables above. The fair values of the Funds’ liabilities for preferred shares approximate their liquidation preference. Preferred shares are generally classified as Level 2 and further described in these Notes to Financial Statements.

Additionally, on a prospective basis, the disclosure in “6. Fund Shares” within the Notes to Financial Statements for the Funds that hold TFP-VRM, specifically the disclosure describing how TFP Shares may be redeemed, will include a reference to the 60-day Evergreen tenor. In addition, the description of the fair value of TFP-VRM set forth under “6. Fund Shares” will be replaced with the following:

Mr. John Kernan, Esq.

April 1, 2024

Page 5

    

 

The fair value of TFP Shares while in VRM are expected to approximate their liquidation preference so long as the fixed “spread” on the shares remains roughly in line with the “spread” being demanded by investors on instruments having similar terms in the current market. During the current reporting period, the Adviser determined that the fair value of the shares approximated their liquidation preference.

* * * * *

If you have any additional questions or comments, please do not hesitate to contact me at (202) 373-6725.

Sincerely,

 

/s/ Thomas S. Harman
Thomas S. Harman

 

cc:   

K. Michael Carlton, Esq.

  

E. Scott Wickerham, Vice President and Funds’ Controller (Principal Financial Officer)

  

John McCann, Vice President and Assistant Secretary of the Funds; Managing Director and Associate General Counsel

  

Brett E. Black, Chief Compliance Officer and Managing Director of the Funds

  

Eric Fess, Chapman & Cutler, LLP, Counsel to the Independent members of the Board of Directors/Trustees of the Funds

  

Robert Zutz, K&L Gates LLP, Counsel to the Independent members of the Board of Directors/Trustees of the Funds

Mr. John Kernan, Esq.

April 1, 2024

Page 6

    

 

Appendix A

 

        CIK    File #     Registrant Name   

FYE

Reviewed

  

 

  1       0001137887    811-10345  

Nuveen Municipal Credit Income Fund

    10/31/2023
  2       0001083839    811-09297  

Nuveen Quality Municipal Income Fund

    10/31/2023
  3       0001450445    811-22253  

Nuveen AMT-Free Municipal Value Fund

    10/31/2023
  4       0001195737    811-21213  

Nuveen AMT-Free Quality Municipal Income Fund

    10/31/2023
  5       0000830271    811-05488  

Nuveen Municipal Income Fund, Inc.

    10/31/2023
  6       0001793129    811-23489  

Nuveen Dynamic Municipal Opportunities Fund

    10/31/2023
  7       0001266585    811-21449  

Nuveen Municipal High Income Opportunity Fund

    10/31/2023
  8       0001774342    811-23440  

Nuveen Municipal Credit Opportunities Fund

    10/31/2023
  9       0001090116    811-09475  

Nuveen AMT-Free Municipal Credit Income Fund

    10/31/2023
  10       0000812801    811-05120  

Nuveen Municipal Value Fund, Inc.

    10/31/2023
  11       0001861115    811-23669  

Nuveen Multi-Asset Income Fund

    12/31/2022
  12       0001777482    811-23445  

Nuveen Enhanced High Yield Municipal Bond Fund

    3/31/2023
  13       0000897419    811-07484  

Nuveen Massachusetts Quality Municipal Income Fund

    5/31/2023
  14       0000899782    811-07616  

Nuveen Missouri Quality Municipal Income Fund

    5/31/2023
  15       0001607997    811-22967  

Nuveen Minnesota Quality Municipal Income Fund

    5/31/2023
  16       0000897421    811-07490  

Nuveen Virginia Quality Municipal Income Fund

    5/31/2023
  17       0000838131    811-05642  

Nuveen Multi-Market Income Fund

    6/30/2023
  18       0001276533    811-21494  

Nuveen Floating Rate Income Fund

    7/31/2023
  19       0001547994    811-22699  

Nuveen Preferred and Income Term Fund

    7/31/2023
  20       0001176433    811-21137  

Nuveen Preferred & Income Securities Fund

    7/31/2023
  21       0001679033    811-23198  

Nuveen Preferred and Income Fund

    7/31/2023
  22       0001865389    811-23704  

Nuveen Variable Rate Preferred & Income Fund

    7/31/2023
  23       0001227476    811-21333  

Nuveen Credit Strategies Income Fund

    7/31/2023
  24       0001216583    811-21293  

Nuveen Preferred & Income Opportunities Fund

    7/31/2023