NPORT-EX 2 JMM.htm HTML
JMM   

Nuveen Multi-Market Income Fund

 

Portfolio of Investments    March 31, 2021

     (Unaudited)

 

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

LONG-TERM INVESTMENTS – 133.2% (97.5% of Total Investments)

           
      ASSET-BACKED AND MORTGAGE-BACKED SECURITIES – 94.4% (69.1% of Total Investments)         
$ 200    

321 Henderson Receivables VI LLC, Series 2010-1A, 144A

     9.310%        7/15/61        Aaa      $ 236,668  
  250    

ACE Securities Corp Manufactured Housing Trust Series 2003-MH1, 144A

     6.500%        8/15/30        A+        261,226  
  500    

ACRE Commercial Mortgage Series 2021-FL4 Ltd, 144A, (1-Month LIBOR reference rate + 2.600% spread), (3)

     2.708%        12/18/37        N/R        493,760  
  500    

Adams Outdoor Advertising LP, Series 2018-1B,144A

     5.653%        11/15/48        BBB        527,618  
  400    

AIMCO CLO Series 2017-AA, 144A, (WI/DD)

     1.688%        4/20/34        N/R        400,042  
  60    

Alternative Loan Trust, Series 2003-J3

     5.250%      11/25/33        Aaa        61,342  
  85    

Alternative Loan Trust, Series 2004-J2

     6.500%        3/25/34        AA+        86,562  
  1,652    

American Homes 4 Rent Trust, Series 2015-SFR2 Trust, (I/O), 144A

     0.000%        10/17/52        N/R        17  
  175    

AMSR 2019-SFR1 Trust, 144A

     3.247%        1/19/39        Baa2        181,064  
  220    

Bayview Financial Mortgage Pass-Through Trust, Series 2005-D

     5.500%        12/28/35        Aa3        219,600  
  30    

Bayview Financial Mortgage Pass-Through Trust, Series 2006-C

     6.352%        11/28/36        Caa3        29,668  
  414    

BX Commercial Mortgage Trust 2019-XL, 144A, (1-Month LIBOR reference rate + 1.800% spread), (3)

     1.906%        10/15/36        N/R        413,576  
  500    

CARS-DB4 LP, Series 2020-1A, 144A

     4.520%      2/15/50        BBB        510,941  
  954    

CF Hippolyta LLC, Series 2020-1 B2, 144A

     2.600%        7/15/60        A–        950,955  
  91    

Chase Funding Trust Series 2003-3

     5.160%        3/25/33        BBB        93,028  
  500    

CHL GMSR Issuer Trust, Series 2018-GT1, 144A, (1-Month LIBOR reference rate + 2.750% spread), (3)

     2.859%        5/25/23        N/R        497,581  
  425    

Citigroup Commercial Mortgage Trust 2015-GC29

     4.151%        4/10/48        A–        447,442  
  600    

Citigroup Commercial Mortgage Trust 2016-P5, 144A

     3.000%        10/10/49        BBB–        471,148  
  450    

Citigroup Commercial Mortgage Trust 2018-TBR, 144A, (1-Month LIBOR reference rate + 1.800% spread), (3)

     1.906%        12/15/36        BBB–        436,488  
  87    

Citigroup Global Markets Mortgage Securities VII Inc, Series 2003-1, 144A

     6.000%        9/25/33        CCC        86,383  
  500    

COMM 2013-LC13 Mortgage Trust, 144A

     5.306%        8/10/46        BB–        456,035  
  775    

COMM 2015-CCRE22 Mortgage Trust

     4.106%        3/10/48        A–        824,838  
  450    

COMM 2015-CCRE25 Mortgage Trust

     4.534%        8/10/48        A–        474,562  
  500    

COMM 2015-CCRE26 Mortgage Trust

     4.480%        10/10/48        A–        540,615  
  61    

Commonbond Student Loan Trust, Series 2017-B-GS, 144A

     4.440%        9/25/42        Aa3        63,618  
  627    

Connecticut Avenue Securities Trust, Series 2019-R07, 144A, (1-Month LIBOR reference rate + 2.100% spread), (3)

     2.209%        10/25/39        B        627,214  
  600    

Connecticut Avenue Securities Trust, Series 2020-R02, 144A, (1-Month LIBOR reference rate + 2.000% spread), (3)

     2.109%        1/25/40        B        598,130  
  250    

CPT MORTGAGE TRUST, Series 2019-CPT, 144A

     2.997%        11/13/39        N/R        239,518  
  331    

Credit Suisse First Boston Mortgage Securities Corp, Series 2003-8

     6.174%        4/25/33        AAA        331,277  
  500    

Credit Suisse Mortgage Capital Certificates 2019-ICE4, 144A, (1-Month LIBOR reference rate + 1.600% spread), (3)

     1.706%        5/15/36        Baa3        500,314  
  156    

Credit-Based Asset Servicing and Securitization LLC, Series 2007-SP1, 144A

     4.945%        12/25/37        Aaa        159,125  
  250    

CSMC 2014-USA OA LLC, 144A

     4.373%        9/15/37        B–        206,600  
  119    

CSMC Mortgage-Backed Trust 2006-7

     6.000%        8/25/36        Caa3        74,038  
  19    

CWABS Asset-Backed Certificates Trust, Series 2004-13

     5.603%        5/25/35        Aaa        19,410  
  1,164    

DB Master Finance LLC, Series 2017-1A, 144A

     4.030%        11/20/47        BBB        1,235,481  
  1,149    

Domino’s Pizza Master Issuer LLC, Series 2015-1A, 144A

     4.474%        10/25/45        BBB+        1,213,321  
  121    

Domino’s Pizza Master Issuer LLC, Series 2017-1A, 144A

     3.082%        7/25/47        BBB+        121,443  
  603    

Driven Brands Funding LLC, Series 2018-1A, 144A

     4.739%        4/20/48        BBB–        640,200  
  1,445    

Driven Brands Funding LLC, Series 2019-1A, 144A

     4.641%        4/20/49        BBB–        1,522,907  
  400    

Dryden 49 Senior Loan Fund, 144A, (WI/DD)

     0.000%        7/18/30        Aa1        400,000  
  1,500    

Fannie Mae TBA, (MDR), (WI/DD)

     2.000%        TBA        Aaa        1,494,434  
  2,000    

Fannie Mae TBA, (MDR), (WI/DD)

     3.000%        TBA        Aaa        2,083,594  
  126    

Fannie Mae Mortgage Pool FN 310200

     3.000%        11/01/48        N/R        132,137  
  11    

Fannie Mae Mortgage Pool FN 709700, (4)

     5.500%        6/01/33        N/R        13,171  
  64    

Fannie Mae Mortgage Pool FN 745324, (4)

     6.000%        3/01/34        Aaa        70,619  
  27    

Fannie Mae Mortgage Pool FN 763687, (4)

     6.000%        1/01/34        N/R        30,897  
  64    

Fannie Mae Mortgage Pool FN 766070, (4)

     5.500%        2/01/34        N/R        73,344  
  22    

Fannie Mae Mortgage Pool FN 828346, (4)

     5.000%        7/01/35        N/R        25,190  
  11    

Fannie Mae Mortgage Pool FN 878059, (4)

     5.500%        3/01/36        N/R        12,701  
  12    

Fannie Mae Mortgage Pool FN 882685, (4)

     6.000%        6/01/36        N/R        13,969  

 

1

JMM    Nuveen Multi-Market Income Fund (continued)
   Portfolio of Investments    March 31, 2021
   (Unaudited)

 

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
      ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued)  
$ 40    

Fannie Mae Mortgage Pool FN 995018, (4)

     5.500%        6/01/38        N/R      $ 46,497  
  795    

Fannie Mae Mortgage Pool FN AS8583, (4)

     3.500%        1/01/47        Aaa        846,507  
  642    

Fannie Mae Mortgage Pool FN AW4182, (4)

     3.500%        2/01/44        N/R        692,469  
  58    

Fannie Mae Mortgage Pool FN BH4019, (4)

     4.000%        9/01/47        N/R        62,558  
  1,222    

Fannie Mae Mortgage Pool FN BM5126, (4)

     3.500%        1/01/48        N/R        1,317,493  
  327    

Fannie Mae Mortgage Pool FN BM5839, (4)

     3.500%        11/01/47        Aaa        353,806  
  370    

Fannie Mae Mortgage Pool FN BM6038, (4)

     4.000%        1/01/45        Aaa        408,263  
  1,131    

Fannie Mae Mortgage Pool FN MA3305, (4)

     3.500%        3/01/48        N/R        1,199,357  
  74    

Fannie Mae Mortgage Pool FN MA3332, (4)

     3.500%        4/01/48        Aaa        78,612  
  963    

Fannie Mae Mortgage Pool FN MA3333, (4)

     4.000%        4/01/48        Aaa        1,035,987  
  2,438    

Fannie Mae Mortgage Pool FN MA4256, (4)

     2.500%        2/01/51        N/R        2,503,987  
  69    

Fannie Mae REMIC Trust 2002-W1

     5.386%        2/25/42        Aaa        76,815  
  352    

Fannie Mae REMIC Trust 2003-W1

     3.057%        12/25/42        AAA        130,083  
  14    

Freddie Mac Gold Pool FG C00676, (4)

     6.500%        11/01/28        N/R        15,721  
  1,684    

Freddie Mac Gold Pool FG G08528, (4)

     3.000%        4/01/43        Aaa        1,784,051  
  560    

Freddie Mac Gold Pool FG G08566, (4)

     3.500%        1/01/44        N/R        604,495  
  1,322    

Freddie Mac Gold Pool FG G08747, (4)

     3.000%        2/01/47        Aaa        1,398,498  
  900    

Freddie Mac Gold Pool FG G18497, (4)

     3.000%        1/01/29        N/R        951,730  
  1,087    

Freddie Mac Gold Pool FG G60138, (4)

     3.500%        8/01/45        Aaa        1,183,037  
  571    

Freddie Mac Gold Pool FG G60238, (4)

     3.500%        10/01/45        Aaa        619,090  
  845    

Freddie Mac Gold Pool FG Q40718, (4)

     3.500%        5/01/46        N/R        904,251  
  1,229    

Freddie Mac Gold Pool FG Q40841, (4)

     3.000%        6/01/46        N/R        1,294,064  
  1,680    

Freddie Mac Pool FR ZT0541, (4)

     4.000%        6/01/48        N/R        1,843,440  
  456    

Freddie Mac Pool FR ZT0542, (4)

     4.000%        7/01/48        N/R        497,708  
  331    

Freddie Mac Structured Agency Credit Risk Debt Notes, Series STARC 2019-HQA4, 144A, (1-Month LIBOR reference rate + 2.050% spread), (3)

     2.159%        11/25/49        B+        330,811  
  724    

Freddie Mac Structured Agency Credit Risk Debt Notes, Series STARC 2019-HQA1, 144A, (1-Month LIBOR reference rate + 2.350% spread), (3)

     2.459%        2/25/49        BB–        725,171  
  500    

FREMF 2017-K724 Mortgage Trust, 144A

     3.485%        11/25/23        BBB–        521,180  
  125    

Ginnie Mae I Pool GN 604567, (4)

     5.500%        8/15/33        N/R        145,999  
  78    

Ginnie Mae I Pool GN 631574, (4)

     6.000%        7/15/34        N/R        90,110  
  500    

GS Mortgage Securities Corp Trust, Series 2018-TWR, 144A, (1-Month LIBOR reference rate + 0.900% spread), (3)

     1.006%        7/15/31        AAA        497,491  
  63    

GSMPS Mortgage Loan Trust, Series 2001-2, 144A

     7.500%        6/19/32        N/R        63,464  
  374    

GSMPS Mortgage Loan Trust, Series 2003-3, 144A

     7.000%        6/25/43        N/R        417,075  
  351    

GSMPS Mortgage Loan Trust, Series 2005-RP1, 144A

     8.500%        1/25/35        B2        395,793  
  484    

GSMPS Mortgage Loan Trust, Series 2005-RP2, 144A

     7.500%        3/25/35        AAA        501,211  
  454    

GSMPS Mortgage Loan Trust, Series 2005-RP3, 144A

     7.500%        9/25/35        AAA        473,396  
  300    

GSMPS Mortgage Loan Trust, Series 2005-RP3, 144A

     8.000%        9/25/35        Caa1        320,226  
  499    

Hardee’s Funding LLC, Series 2020-1A A2, 144A

     3.981%        12/20/50        BBB        514,755  
  478    

Horizon Aircraft Finance II Ltd, Series 2019-1, 144A

     4.703%        7/15/39        BBB        461,214  
  244    

Horizon Aircraft Finance III Ltd, Series 2019-2, 144A

     4.458%        11/15/39        BBB        235,834  
  500    

Hudson Yards Trust, Series 2019-55HY, 144A

     2.943%        12/10/41        A3        503,629  
  209    

Impac Secured Assets CMN Owner Trust, Series 2000-3

     8.000%        10/25/30        N/R        203,997  
  486    

JG Wentworth XXXVII LLC, Series 2016-1A, 144A

     5.190%        6/17/69        Baa2        521,496  
  797    

JGWPT XXV LLC, Series 2012-1A, 144A

     7.140%        2/15/67        Aa3        977,877  
  342    

JGWPT XXVI LLC, Series 2012-2A, 144A

     6.770%        10/17/61        A1        410,068  
  233    

JP Morgan Alternative Loan Trust, Series 2006-S1

     6.500%        3/25/36        N/R        186,789  
  500    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, 144A

     3.420%        12/15/49        BBB–        417,412  
  500    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-BCON, 144A

     3.756%        1/05/31        BBB–        498,609  
  500    

JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, 144A

     3.000%        10/15/50        BBB–        437,750  
  400    

Manhattan West, Series 2020-1MW, 144A

     2.335%        9/10/39        Baa3        389,986  
  267    

MASTR Alternative Loan Trust, Series 2004-1

     7.000%        1/25/34        Aaa        284,626  
  187    

MASTR Alternative Loan Trust, Series 2004-5

     7.000%        6/25/34        AA+        194,493  
  164    

MASTR Asset Securitization Trust, Series 2003-11

     5.250%        12/25/33        A        167,293  
  277    

MASTR Reperforming Loan Trust, Series 2005-1, 144A

     7.500%        8/25/34        N/R        248,000  
  592    

Mid-State Capital Corp 2004-1 Trust

     6.005%        8/15/37        AA+        628,172  
  40    

Mid-State Capital Corp 2004-1 Trust

     8.900%        8/15/37        A1        44,503  
  594    

Mid-State Capital Corp 2005-1 Trust

     5.745%        1/15/40        AA        636,727  
  201    

Mid-State Capital Trust, Series 2010-1, 144A

     5.250%        12/15/45        AAA        205,948  
  172    

Mid-State Capital Trust, Series 2010-1, 144A

     7.000%        12/15/45        AAA        177,901  

 

2

  
  
  

 

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
      ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued)         
$ 186    

Mid-State Trust XI

     5.598%        7/15/38        Baa3      $ 197,446  
  500    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C28

     4.628%        1/15/49        A3        513,393  
  63    

Morgan Stanley Mortgage Loan Trust, Series 2006-2

     5.750%        2/25/36        N/R        61,661  
  500    

MSCG Trust 2015-ALDR, 144A

     3.462%        6/07/35        BBB–        389,592  
  284    

MVW Owner Trust, Series 2017-1, 144A

     2.420%        12/20/34        AAA        290,624  
  1,000    

Natixis Commercial Mortgage Securities Trust, Series 2019-MILE, 144A, (1-Month LIBOR reference rate + 2.750% spread), (3)

     2.856%        7/15/36        N/R        999,998  
  256    

New Residential Mortgage LLC, Series 2018-FNT2, 144A

     4.920%        7/25/54        N/R        256,336  
  397    

New Residential Mortgage Loan Trust, Series 2014-1, 144A

     6.051%        1/25/54        BBB        431,013  
  700    

New Residential Mortgage Loan Trust, Series 2015-2, 144A

     5.510%        8/25/55        Baa1        753,523  
  400    

Neuberger Berman Loan Advisers CLO 31 Ltd, 144A, (WI/DD)

     0.000%        4/20/31        AA        400,000  
  247    

NRZ Excess Spread-Collateralized Notes, Series 2018-FNT1 144A

     4.690%        5/25/23        N/R        246,703  
  488    

Planet Fitness Master Issuer LLC, Series 2018-FT1, 144A

     4.666%        9/05/48        BBB–        498,069  
  500    

PNMAC FMSR ISSUER TRUST, Series 2018-FT1, 144A, (1-Month LIBOR reference rate + 2.350% spread), (3)

     2.459%        4/25/23        N/R        495,367  
  500    

PNMAC GMSR ISSUER TRUST, Series 2018-GT1, 144A, (1-Month LIBOR reference rate + 2.850% spread), (3)

     2.959%        2/25/23        N/R        499,402  
  500    

PNMAC GMSR ISSUER TRUST, Series 2018-GT2, 144A, (1-Month LIBOR reference rate + 2.650% spread), (3)

     2.759%        8/25/25        N/R        497,514  
  1    

RALI Series 2005-QS12 Trust

     5.500%        8/25/35        Caa2        764  
  485    

RBS Commercial Funding Inc 2013-SMV Trust, 144A

     3.584%        3/11/31        BBB–        475,163  
  500    

SERVPRO Master Issuer LLC, Series 2021-1A, 144A

     2.394%        4/25/51        BBB–        493,948  
  276    

Sesac Finance LLC, Series 2019-1,144A

     5.216%        7/25/49        N/R        291,333  
  307    

Sierra Timeshare 2019-3 Receivables Funding LLC, 144A

     4.180%        8/20/36        BB        311,420  
  488    

Sonic Capital LLC, Series 2018-1A, 144A

     4.026%        2/20/48        BBB        499,795  
  381    

onic Capital LLC, Series 2020-1A, 144A

     3.845%        1/20/50        BBB        394,646  
  500    

Stack Infrastructure Issuer LLC, Series 2020-1A A2, 144A

     1.893%        8/25/45        A–        501,220  
  750    

STACR Trust, Series 2018-HRP2, 144A, (1-Month LIBOR reference rate + 2.400% spread), (3)

     2.509%        2/25/47        BBB–        755,648  
  330    

START Ireland, Series 2019-1, 144A

     5.095%        3/15/44        BB        313,404  
  349    

Start Ltd/Bermuda, Series 2018-1, 144A

     4.089%        5/15/43        BBB+        345,657  
  174    

Structured Receivables Finance, Series 2010-A LLC, 144A

     5.218%        1/16/46        AAA        186,290  
  481    

Taco Bell Funding LLC, Series 2016-1A, 144A

     4.377%        5/25/46        BBB        483,367  
  602    

Taco Bell Funding LLC, Series 2016-1A, 144A

     4.970%        5/25/46        BBB        651,853  
  155    

Thunderbolt Aircraft Lease Ltd, Series 2017-A, 144A

     4.212%        5/17/32        A        157,769  
  250    

VNDO Mortgage Trust, Series 2016-350P, 144A

     3.903%        1/10/35        AA–        263,326  
  204    

Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS4 Trust

     5.500%        2/25/33        N/R        205,137  
  14    

Washington Mutual MSC Mortgage Pass-Through Certificates Series 2004-RA3 Trust

    
 5.956%
8/25/38		  
 		         Aaa        14,476  
  967    

Wendy’s Funding LLC, Series 2018-1A, 144A

     3.573%        3/15/48        BBB        994,503  
  479    

Wendy’s Funding LLC, Series 2019-1A, 144A

     3.783%        6/15/49        BBB        506,666  
  750    

WFRBS Commercial Mortgage Trust 2011-C3, 144A

     5.335%        3/15/44        A1        747,360  
  1,000    

Wingstop Funding LLC, Series 2020-1A A2, 144A

     2.841%        12/05/50        N/R        1,012,730  
$ 69,209    

Asset-Backed Securities (cost $68,047,313)

                                69,418,452  
Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
 

CORPORATE BONDS – 35.3% (25.7% of Total Investments)

           
      Aerospace & Defense – 0.9%                           
$ 300    

Boeing Co/The, (4)

     3.450%        11/01/28        Baa2      $ 310,480  
  100    

Howmet Aerospace Inc

     6.875%        5/01/25        BBB–        115,875  
  200    

Rolls-Royce PLC, 144A

     5.750%        10/15/27        BB–        212,810  
  600    

Total Aerospace & Defense

                                639,165  
      Air Freight & Logistics – 0.1%                           
  100    

Cargo Aircraft Management Inc, 144A

     4.750%        2/01/28        Ba3        103,250  
      Airlines – 0.3%                           
  35    

American Airlines Inc/AAdvantage Loyalty IP Ltd, 144A

     5.500%        4/20/26        Ba2        36,424  
  100    

Delta Air Lines Inc, 144A

     7.000%        5/01/25        Baa2        115,196  
  50    

Hawaiian Brand Intellectual Property Ltd / HawaiianMiles Loyalty Ltd, 144A

     5.750%        1/20/26        Ba3        53,130  
  185    

Total Airlines

                                204,750  

 

3

JMM    Nuveen Multi-Market Income Fund (continued)
   Portfolio of Investments    March 31, 2021
   (Unaudited)

 

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
      Auto Components – 1.4%                           
$ 250    

Adient Global Holdings Ltd, 144A

     4.875%        8/15/26        B      $ 258,395  
  100    

Adient US LLC, 144A

     9.000%        4/15/25        BB–        111,000  
  200    

Clarios Global LP / Clarios US Finance Co, 144A

     8.500%        5/15/27        CCC+        215,250  
  250    

Dana Inc

     5.375%        11/15/27        BB+        262,500  
  100    

Goodyear Tire & Rubber Co

     5.250%        4/30/31        BB–        100,000  
  50    

NESCO Holdings II Inc, 144A, (WI/DD)

     5.500%        4/15/29        B        51,290  
  950    

Total Auto Components

                                998,435  
      Automobiles – 0.8%                           
  125    

Ford Motor Co

     8.500%        4/21/23        BB+        139,375  
  400    

General Motors Financial Co Inc, (4)

     3.600%        6/21/30        BBB        421,930  
  525    

Total Automobiles

                                561,305  
      Banks – 1.8%                           
  400    

Banco Santander SA

     2.749%        12/03/30        BBB+        381,010  
  250    

Caelus Re VI Ltd, 144A, (3-Month U.S. Treasury Bill reference rate + 5.500% spread), (3)

     5.515%        6/07/23        N/R        255,025  
  300    

Truist Financial Corp

     4.800%        3/01/70        Baa2        314,571  
  400    

Wells Fargo & Co

     3.900%        3/15/70        Baa2        403,960  
  1,350    

Total Banks

                                1,354,566  
      Beverages – 0.1%                           
  50    

Triton Water Holdings Inc, 144A

     6.250%        4/01/29        CCC+        51,000  
      Capital Markets – 1.3%                           
  300    

Bank of New York Mellon Corp

     4.700%        9/20/69        Baa1        325,035  
  250    

Charles Schwab Corp

     4.000%        6/01/69        BBB        253,700  
  75    

Compass Group Diversified Holdings LLC, 144A

     5.250%        4/15/29        B+        78,632  
  200    

Donnelley Financial Solutions Inc

     8.250%        10/15/24        B+        208,500  
  100    

LPL Holdings Inc, 144A

     4.625%        11/15/27        BB        103,750  
  925    

Total Capital Markets

                                969,617  
      Chemicals – 2.2%                           
  250    

Calumet Specialty Products Partners LP / Calumet Finance Corp, 144A

     11.000%        4/15/25        B–        262,500  
  200    

CF Industries Inc

     3.450%        6/01/23        BB+        208,627  
  50    

Kraton Polymers LLC / Kraton Polymers Capital Corp, 144A

     4.250%        12/15/25        BB–        50,188  
  375    

NOVA Chemicals Corp, 144A

     5.000%        5/01/25        BB–        390,937  
  200    

OCI NV, 144A

     4.625%        10/15/25        BB        206,750  
  50    

Rayonier AM Products Inc, 144A

     7.625%        1/15/26        B1        53,125  
  175    

Tronox Inc, 144A

     6.500%        5/01/25        Ba3        187,687  
  150    

Tronox Inc, 144A

     4.625%        3/15/29        B        150,188  
  100    

Univar Solutions USA Inc/Washington, 144A

     5.125%        12/01/27        BB+        104,062  
  1,550    

Total Chemicals

                                1,614,064  
      Commercial Services & Supplies – 0.7%                           
  50    

CDW LLC / CDW Finance Corp

     3.250%        2/15/29        Ba2        49,375  
  100    

GFL Environmental Inc, 144A

     4.250%        6/01/25        BB–        103,000  
  150    

GFL Environmental Inc, 144A

     3.500%        9/01/28        BB–        145,500  
  200    

Prime Security Services Borrower LLC / Prime Finance Inc, 144A

     5.750%        4/15/26        Ba3        216,410  
  500    

Total Commercial Services & Supplies

                                514,285  
      Communications Equipment – 0.6%                           
  100    

CommScope Inc, 144A

     8.250%        3/01/27        B3        107,000  
  325    

Gray Television Inc, 144A, (4)

     4.750%        10/15/30        BB–        322,156  
  425    

Total Communications Equipment

                                429,156  
      Consumer Finance – 0.6%                           
  200    

Curo Group Holdings Corp, 144A

     8.250%        9/01/25        B–        200,500  
  250    

Navient Corp

     6.125%        3/25/24        Ba3        264,687  
  450    

Total Consumer Finance

                                465,187  

 

4

  
  
  

 

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
      Containers & Packaging – 0.5%                           
$ 200    

Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC, 144A

     3.250%        9/01/28        BB+      $ 197,674  
  75    

Ball Corp

     2.875%        8/15/30        BB+        72,244  
  100    

Silgan Holdings Inc

     4.125%        2/01/28        BB        102,732  
  375    

Total Containers & Packaging

                                372,650  
      Distributors – 0.1%                           
  100    

H&E Equipment Services Inc, 144A

     3.875%        12/15/28        BB–        97,250  
      Diversified Financial Services – 1.5%                           
  500    

GE Capital International Funding Co Unlimited Co, (4)

     3.373%        11/15/25        BBB+        542,148  
  300    

Jefferies Finance LLC / JFIN Co-Issuer Corp, 144A

     6.250%        6/03/26        BB        315,000  
  225    

Quicken Loans LLC, 144A

     5.250%        1/15/28        BB+        236,250  
  1,025    

Total Diversified Financial Services

                                1,093,398  
      Diversified Telecommunication Services – 1.8%                           
  300    

AT&T Inc, (4)

     4.300%        2/15/30        BBB+        337,731  
  100    

Avaya Inc, 144A

     6.125%        9/15/28        BB–        106,157  
  500    

Qwest Corp, (4)

     6.750%        12/01/21        BBB–        516,875  
  200    

Telenet Finance Luxembourg Notes Sarl, 144A

     5.500%        3/01/28        BB+        209,991  
  175    

Zayo Group Holdings Inc, 144A

     4.000%        3/01/27        B1        171,937  
  1,275    

Total Diversified Telecommunication Services

                                1,342,691  
      Energy Equipment & Services – 0.4%                           
  250    

Archrock Partners LP / Archrock Partners Finance Corp, 144A

     6.875%        4/01/27        B+        260,625  
      Entertainment – 0.1% (0.1% of Total Investments)                           
  100    

Cinemark USA Inc, 144A

     8.750%        5/01/25        BB+        109,500  
      Equity Real Estate Investment Trust – 3.2%                           
  500    

Brixmor Operating Partnership LP

     4.050%        7/01/30        BBB–        538,581  
  150    

GLP Capital LP / GLP Financing II Inc

     4.000%        1/15/31        BBB–        155,021  
  250    

Iron Mountain Inc, 144A

     5.250%        3/15/28        BB–        259,687  
  75    

Iron Mountain Inc, 144A

     4.500%        2/15/31        BB–        74,145  
  150    

MPH Acquisition Holdings LLC, 144A

     5.750%        11/01/28        B–        146,250  
  325    

MPT Operating Partnership LP / MPT Finance Corp, (4)

     3.500%        3/15/31        BBB–        318,929  
  500    

Regency Centers LP, (4)

     2.950%        9/15/29        BBB+        508,583  
  125    

SBA Communications Corp, 144A

     3.125%        2/01/29        BB–        120,144  
  250    

SITE Centers Corp, (4)

     4.250%        2/01/26        BBB        266,708  
  2,325    

Total Equity Real Estate Investment Trust

                                2,388,048  
      Food & Staples Retailing – 1.0%                           
  250    

Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC, 144A

     7.500%        3/15/26        BB–        276,153  
  250    

Chobani LLC / Chobani Finance Corp Inc, 144A

     4.625%        11/15/28        B1        255,000  
  150    

Del Monte Foods Inc, 144A

     11.875%        5/15/25        CCC+        172,219  
  650    

Total Food & Staples Retailing

                                703,372  
      Gas Utilities – 0.3%                           
  200    

Suburban Propane Partners LP/Suburban Energy Finance Corp

     5.875%        3/01/27        BB–        208,000  
      Health Care Equipment & Supplies – 0.1%                           
  50    

RP Escrow Issuer LLC, 144A

     5.250%        12/15/25        B–        51,813  
      Health Care Providers & Services – 1.1%                           
  100    

Centene Corp

     4.250%        12/15/27        BBB–        105,188  
  100    

Centene Corp

     4.625%        12/15/29        BBB–        108,230  
  50    

CHS/Community Health Systems Inc, 144A

     5.625%        3/15/27        B        52,375  
  50    

CHS/Community Health Systems Inc, 144A

     6.000%        1/15/29        B        52,875  
  100    

DaVita Inc, 144A

     4.625%        6/01/30        Ba3        101,886  
  250    

Global Medical Response Inc, 144A

     6.500%        10/01/25        B        258,750  

 

5

JMM    Nuveen Multi-Market Income Fund (continued)
   Portfolio of Investments    March 31, 2021
   (Unaudited)

 

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
      Health Care Providers & Services (continued)                           
$ 100    

Molina Healthcare Inc, 144A

     4.375%        6/15/28        BB–      $ 102,896  
  50    

Tenet Healthcare Corp, 144A

     4.625%        6/15/28        BB–        51,249  
  800    

Total Health Care Providers & Services

                                833,449  
      Hotels, Restaurants & Leisure – 0.8%                           
  100    

Cedar Fair LP / Canada’s Wonderland Co / Magnum Management Corp / Millennium Op, 144A

     5.500%        5/01/25        Ba2        105,254  
  50    

International Game Technology PLC, 144A

     4.125%        4/15/26        BB        51,379  
  50    

MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc, 144A

     4.625%        6/15/25        BB+        52,735  
  250    

Scientific Games International Inc, 144A

     8.625%        7/01/25        B–        271,800  
  100    

Yum! Brands Inc, 144A

     7.750%        4/01/25        BB–        109,375  
  550    

Total Hotels, Restaurants & Leisure

                                590,543  
      Household Durables – 0.4%                           
  50    

Kronos Acquisition Holdings Inc / KIK Custom Products Inc, 144A

     5.000%        12/31/26        B2        50,000  
  250    

M/I Homes Inc

     5.625%        8/01/25        BB–        257,500  
  300    

Total Household Durables

                                307,500  
      Independent Power & Renewable Electricity Producers – 0.3%                           
  200    

Calpine Corp, 144A

     3.750%        3/01/31        BB+        190,620  
      Interactive Media & Services – 0.1%                           
  50    

Arches Buyer Inc, 144A

     4.250%        6/01/28        B1        49,910  
      Internet Software & Services – 0.2%                           
  175    

J2 Global Inc, 144A

     4.625%        10/15/30        BB        176,750  
      IT Services – 0.4%                           
  50    

Booz Allen Hamilton Inc, 144A

     3.875%        9/01/28        Ba2        50,262  
  200    

Unisys Corp, 144A

     6.875%        11/01/27        BB–        219,000  
  250    

Total IT Services

                                269,262  
      Leisure Products – 0.1%                           
  48    

Mattel Inc, 144A

     6.750%        12/31/25        BB        50,470  
  50    

Mattel Inc, 144A

     3.375%        4/01/26        BB        51,622  
  98    

Total Leisure Products

                                102,092  
      Life Sciences Tools & Services – 0.1%                           
  75    

Avantor Funding Inc, 144A

     4.625%        7/15/28        BB        78,327  
      Machinery – 0.3%                           
  200    

Mueller Water Products Inc, 144A

     5.500%        6/15/26        BB        206,690  
      Media – 1.8%                           
  500    

Altice France SA/France, 144A, (4)

     7.375%        5/01/26        B        520,050  
  200    

Cablevision Lightpath LLC, 144A

     3.875%        9/15/27        B+        198,000  
  200    

DISH DBS Corp

     5.875%        11/15/24        B2        209,164  
  200    

LCPR Senior Secured Financing DAC, 144A

     5.125%        7/15/29        BB        203,524  
  200    

Radiate Holdco LLC / Radiate Finance Inc, 144A

     4.500%        9/15/26        B1        202,250  
  1,300    

Total Media

                                1,332,988  
      Metals & Mining – 1.3%                           
  250    

Alcoa Nederland Holding BV, 144A

     6.125%        5/15/28        BB+        272,300  
  250    

Constellium SE, 144A

     3.750%        4/15/29        B        239,020  
  150    

Freeport-McMoRan Inc

     3.875%        3/15/23        Ba1        156,199  
  100    

Freeport-McMoRan Inc

     5.250%        9/01/29        Ba1        109,352  
  50    

Hudbay Minerals Inc, 144A

     4.500%        4/01/26        B+        51,966  
  50    

Hudbay Minerals Inc, 144A

     6.125%        4/01/29        B+        53,375  
  85    

Joseph T Ryerson & Son Inc, 144A

     8.500%        8/01/28        B        95,200  
  935    

Total Metals & Mining

                                977,412  

 

6

  
  
  

 

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
      Mortgage Real Estate Investment Trust – 0.2%                           
$ 125    

HAT Holdings I LLC / HAT Holdings II LLC, 144A

     6.000%        4/15/25        BB+      $ 131,875  
      Oil, Gas & Consumable Fuels – 2.9%                           
  250    

Enable Midstream Partners LP, (4)

     4.400%        3/15/27        BBB–        270,224  
  100    

EnLink Midstream LLC

     5.375%        6/01/29        BB+        93,500  
  500    

MPLX LP, (4)

     4.800%        2/15/29        BBB        573,343  
  100    

NuStar Logistics LP

     5.750%        10/01/25        BB–        107,052  
  200    

Occidental Petroleum Corp

     5.875%        9/01/25        Ba2        213,760  
  50    

Occidental Petroleum Corp

     5.500%        12/01/25        Ba2        52,875  
  125    

Parkland Corp/Canada, 144A, (WI/DD)

     4.500%        10/01/29        BB        125,156  
  275    

PBF Holding Co LLC / PBF Finance Corp

     7.250%        6/15/25        B+        224,015  
  200    

Southwestern Energy Co

     7.500%        4/01/26        BB        211,604  
  250    

Western Midstream Operating LP

     5.050%        2/01/30        BB        271,470  
  2,050    

Total Oil, Gas & Consumable Fuels

                                2,142,999  
      Pharmaceuticals – 0.6%                           
  225    

Endo Dac / Endo Finance LLC / Endo Finco Inc, 144A

     5.875%        10/15/24        B+        226,125  
  220    

Teva Pharmaceutical Finance Netherlands III BV

     6.750%        3/01/28        Ba2        247,170  
  445    

Total Pharmaceuticals

                                473,295  
      Professional Services – 0.3%                           
  200    

Dun & Bradstreet Corp, 144A

     6.875%        8/15/26        BB+        213,540  
      Real Estate Management & Development – 0.4%                           
  50    

Howard Hughes Corp, 144A

     4.125%        2/01/29        BB        48,886  
  75    

Howard Hughes Corp, 144A

     4.375%        2/01/31        BB        73,453  
  75    

Kennedy-Wilson Inc

     4.750%        3/01/29        BB        75,938  
  75    

Kennedy-Wilson Inc

     5.000%        3/01/31        BB        75,956  
  275    

Total Real Estate Management & Development

                                274,233  
      Road & Rail – 0.4%                           
  250    

United Rentals North America Inc

     4.875%        1/15/28        BB        263,343  
      Semiconductors & Semiconductor Equipment – 0.6%                           
  500    

Broadcom Inc, 144A

     2.450%        2/15/31        BBB-        471,903  
      Software – 0.1%                           
  50    

Black Knight InfoServ LLC, 144A

     3.625%        9/01/28        Ba3        49,131  
      Specialty Retail – 0.8%                           
  75    

Ferrellgas Escrow LLC / FG Operating Finance Escrow Corp, 144A

     5.375%        4/01/26        B–        74,498  
  100    

Ferrellgas Escrow LLC / FG Operating Finance Escrow Corp, 144A

     5.875%        4/01/29        B–        98,650  
  50    

L Brands Inc, 144A

     6.625%        10/01/30        BB–        57,090  
  100    

Lithia Motors Inc, 144A

     4.375%        1/15/31        BB        103,794  
  200    

Staples Inc, 144A

     10.750%        4/15/27        B3        197,500  
  75    

Superior Plus LP / Superior General Partner Inc, 144A

     4.500%        3/15/29        BB–        75,765  
  600    

Total Specialty Retail

                                607,297  
      Tobacco – 0.7%                           
  500    

BAT Capital Corp, (4)

     2.726%        3/25/31        BBB+        483,563  
      Trading Companies & Distributors – 0.6%                           
  300    

Air Lease Corp, (4)

     3.875%        7/03/23        BBB        318,969  
  50    

WESCO Distribution Inc, 144A

     7.125%        6/15/25        BB–        54,675  
  50    

WESCO Distribution Inc, 144A

     7.250%        6/15/28        BB–        55,820  
  400    

Total Trading Companies & Distributors

                                429,464  

 

7

JMM    Nuveen Multi-Market Income Fund (continued)
   Portfolio of Investments    March 31, 2021
   (Unaudited)

 

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
      Wireless Telecommunication Services – 1.0%                           
$ 250    

Hughes Satellite Systems Corp

     6.625%        8/01/26        BB      $ 277,025  
  500    

T-Mobile USA Inc, 144A, (4)

     2.250%        11/15/31        BBB–        474,712  
  750    

Total Wireless Telecommunication Services

                                751,737  
$ 25,038    

Total Corporate Bonds (cost $25,483,605)

                                25,940,050  
Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
 

SOVEREIGN DEBT – 1.6% (1.2% of Total Investments)

           
      Bahrain – 0.4%                           
$ 250    

Bahrain Government International Bond, 144A

     7.000%        10/12/28        B+      $ 278,466  
      Egypt – 0.6%                           
  400    

Egypt Government International Bond, 144A

     5.875%        6/11/25        B+        421,952  
      El Salvador – 0.1%                           
  100    

El Salvador Government International Bond, 144A

     5.875%        1/30/25        B+        99,850  
      Sri Lanka – 0.2%                           
  250    

Sri Lanka Government International Bond, 144A

     6.125%        6/03/25        CCC+        157,130  
      Turkey – 0.3%                           
  250    

Turkey Government International Bond

     5.950%        1/15/31        B2        226,325  
$ 1,250    

Total Sovereign Debt (cost $1,245,586)

                                1,183,723  
Principal
Amount (000)		     Description (1), (5)   Coupon      Maturity      Ratings (2)      Value  
 

CONTINGENT CAPITAL SECURITIES – 0.9% (0.6% of Total Investments)

 

      Banks – 0.6%                           
$ 200    

Banco Bilbao Vizcaya Argentaria SA

     6.500%        N/A (6)        Ba2      $ 216,320  
  200    

Societe Generale SA, 144A

     6.750%        N/A (6)        BB        222,680  
  400    

Total Banks

                                439,000  
      Capital Markets – 0.3%                           
  200    

UBS Group AG, 144A

     7.000%        N/A (6)        BBB        219,678  
$ 600    

Total Contingent Capital Securities (cost $600,000)

                                658,678  
Principal
Amount (000)		     Description (1)   Coupon      Optional Call
Provisions (7)		      Ratings (2)      Value  
 

MUNICIPAL BONDS – 0.8% (0.6%of Total Investments)

           
      Illinois – 0.8%                           
$ 500    

Illinois State, General Obligation Bonds, Pension Funding Series 2003, 5.100%, 6/01/33

              No Opt. Call        BBB–      $ 563,320  
$ 500    

Total Municipal Bonds (cost $514,501)

                                563,320  
Shares     Description (1)                           Value  
 

PREFERRED STOCKS – 0.2% (0.2%of Total Investments)

           
      Banks – 0.2%                           
  6,000    

JPMorgan Chase & Co, (8)

                              $ 153,720  
 

Total Preferred Stocks (cost $150,000)

                                153,720  
 

Total Long-Term Investments (cost $96,041,005)

                                97,917,943  

 

8

  
  
  

 

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

SHORT-TERM INVESTMENTS – 3.5% (2.6% of Total Investments)

 

   
      REPURCHASE AGREEMENTS – 3.5% (2.6% of Total Investments)                           
$ 2,582    

Repurchase Agreement with Fixed Income Clearing Corporation,
dated 3/31/21, repurchase price $2,582,039,
collateralized $2,580,000 U.S. Treasury Notes,
1.125%, due 2/28/2025, value $2,633,743

     0.000%        4/01/21               $ 2,582,039  
 

Total Repurchase Agreements (cost $2,582,039)

                                2,582,039  
 

Total Short-Term Investments (cost $2,582,039)

                                2,582,039  
 

Total Investments (cost $98,623,044) – 136.7%

                                100,499,982  
 

Reverse Repurchase Agreements – (30.9)% (9)

                                (22,720,650 ) 
 

Other Assets Less Liabilities – (5.8)% (10)

                                (4,271,483 ) 
 

Net Assets Applicable to Common Shares – 100%

                              $ 73,507,849  

Investments in Derivatives

Futures Contracts

 

Description      Contract
Position		        Number of
Contracts		        Expiration
Date		        Notional
Amount*		        Value        Unrealized
Appreciation
(Depreciation)		      Variation
Margin
Receivable/
(Payable)		  

U.S. Treasury Ultra Bond

        Long          9          6/21        $ 1,630,969        $ 1,699,823        $ (68,854 )     $ (10,406 ) 
                    $ 1,630,969        $ 1,699,823        $ (68,854 )     $ (10,406 ) 
                                                                            

Total receivable for variation margin on futures contracts

 

                          $ (10,406 ) 
*

The aggregate amount of long positions is $1,699,823.

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 (11)		     Optional
Termination
Date		     Maturity
Date		     Value     Unrealized
Appreciation
(Depreciation)		  

Morgan Stanley Capital Services LLC

   $ 17,000,000       Receive       1-Month LIBOR       1.994 %      Monthly       6/01/18       7/01/25       7/01/27     $ (1,108,599 )    $ (1,108,599 ) 

Part F of Form N-PORT was prepared in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) and in conformity with the applicable rules and regulations of the U.S. Securities and Exchange Commission (“SEC”) related to interim filings. Part F of Form N-PORT does not include all information and footnotes required by U.S. GAAP for complete financial statements. Certain footnote disclosures normally included in financial statements prepared in accordance with U.S. GAAP have been condensed or omitted from this report pursuant to the rules of the SEC. For a full set of the Fund’s notes to financial statements, please refer to the Fund’s most recently filed annual or semi-annual report.

Fair Value Measurements

The Fund’s investments in securities are recorded at their estimated fair value utilizing valuation methods approved by the Board. 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. U.S. GAAP establishes the three-tier hierarchy which 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 management’s 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.

 

9

JMM    Nuveen Multi-Market Income Fund (continued)
   Portfolio of Investments    March 31, 2021
   (Unaudited)

 

Level 2 –   Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, credit spreads, etc.).
Level 3 –   Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

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:

              

Asset-Backed and Mortgage-Backed Securities

      $ —      $ 69,418,452      $         —      $ 69,418,452  

Corporate Bonds

        —        25,940,050        —        25,940,050  

Sovereign Debt

        —        1,183,723        —        1,183,723  

Contingent Capital Securities

        —        658,678        —        658,678  

Municipal Bonds

        —        563,320        —        563,320  

Preferred Stock

        153,720        —        —        153,720  

Short-Term Investments:

              

Repurchase Agreements

        —        2,582,039        —        2,582,039  

Investments in Derivatives:

              

Futures Contracts*

        (68,854 )       —        —        (68,854 ) 

Interest Rate Swaps*

        —        (1,108,599 )       —        (1,108,599 ) 

Total

      $ 84,866      $ 99,237,663      $ —      $ 99,322,529  
*

Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments.

 

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

 

(1)

All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted.

 

(2)

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.

 

(3)

Variable rate security. The rate shown is the coupon as of the end of the reporting period.

 

(4)

Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives and/or reverse repurchase agreements. As of the end of the reporting period, investments with a value of $24,477,834 have been pledged as collateral for reverse repurchase agreements.

 

(5)

Contingent Capital Securities (“CoCos”) are hybrid securities with loss absorption characteristics built into the terms of the security for the benefit of the issuer. For example, the terms may specify an automatic write-down of principal or a mandatory conversion into the issuer’s common stock under certain adverse circumstances, such as the issuer’s capital ratio falling below a specified level.

 

(6)

Perpetual security. Maturity date is not applicable.

 

(7)

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.

 

(8)

Non-income producing; issuer has not declared an ex-dividend date within the past twelve months.

 

(9)

Reverse Repurchase Agreements as a percentage of Total Investments is 22.6%.

 

(10)

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.

 

(11)

Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each contract.

 

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.

 

LIBOR

London Inter-Bank Offered Rate

 

MDR

Denotes investment is subject to dollar roll transactions.

 

N/A

Not Applicable.

 

TBA

To be announced. Maturity date not known prior to settlement of this transaction.

 

WI/DD

Purchased on a when-issued or delayed delivery basis.

 

10