NPORT-EX 2 JMM.htm HTML
JMM   

Nuveen Multi-Market Income Fund

 

Portfolio of Investments    March 31, 2022

     (Unaudited)

 

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

LONG-TERM INVESTMENTS – 136.6% (98.0% of Total Investments)

 

  
      ASSET-BACKED AND MORTGAGE-BACKED SECURITIES – 87.2% (62.5% of Total Investments)  
$ 163    

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

    9.310%        7/15/61        Aaa      $ 179,684  
  36    

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

    6.500%        8/15/30        Aa3        35,969  
  500    

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

    3.068%        12/18/37        N/R        490,405  
  500    

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

    5.653%        11/15/48        BBB        503,770  
  400    

AIMCO CLO Series 2017-AA, 144A, (3-Month LIBOR reference rate + 1.500% spread), (3)

    1.754%        4/20/34        AA        391,979  
  49    

Alternative Loan Trust, Series 2003-J3

    5.250%        11/25/33        Aaa        48,764  
  59    

Alternative Loan Trust, Series 2004-J2

    6.500%        3/25/34        AA+        57,955  
  1,633    

American Homes 4 Rent Trust, Series 2015-SFR2 Trust, 144A

    0.000%        10/17/52        N/R        16  
  175    

AMSR 2019-SFR1 Trust, 144A

    3.247%        1/19/39        A1        165,708  
  8    

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

    5.500%        12/28/35        Aa3        7,470  
  20    

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

    6.352%        11/28/36        Caa3        18,996  
  500    

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

    4.520%        2/15/50        BBB        489,507  
  250    

Century Plaza Towers, Series 2019-CPT, 144A

    2.997%        11/13/39        N/R        213,286  
  921    

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

    2.600%        7/15/60        A–        846,537  
  76    

Chase Funding Trust, Series 2003-3

    5.160%        3/25/33        A        72,714  
  500    

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

    3.207%        5/25/23        N/R        495,012  
  400    

CIFC Funding 2020-II Ltd, Series 2020-2A, 144A, (3-Month LIBOR reference rate + 1.600% spread), (3)

    1.854%        10/20/34        AA        395,868  
  150    

Citigroup Commercial Mortgage Trust 2014-GC23

    4.578%        7/10/47        A3        148,599  
  425    

Citigroup Commercial Mortgage Trust 2015-GC29

    4.142%        4/10/48        A–        417,089  
  600    

Citigroup Commercial Mortgage Trust 2016-P5, 144A

    3.000%        10/10/49        BBB–        505,972  
  450    

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

    2.197%        12/15/36        BBB–        439,861  
  241    

Citigroup Commercial Mortgage Trust 2019-GC41

    3.502%        8/10/56        A–        223,590  
  76    

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

    6.000%        9/25/33        CCC        62,045  
  500    

COMM 2013-LC13 Mortgage Trust, 144A

    5.262%        8/10/46        BB–        469,181  
  775    

COMM 2015-CCRE22 Mortgage Trust

    4.106%        3/10/48        A–        762,851  
  450    

COMM 2015-CCRE25 Mortgage Trust

    4.530%        8/10/48        A–        440,381  
  540    

COMM 2015-CCRE26 Mortgage Trust

    4.478%        10/10/48        A–        532,818  
  108    

COMM 2015-LC23 Mortgage Trust

    4.607%        10/10/48        A–        106,450  
  42    

Commonbond Student Loan Trust, Series 2017-BGS, 144A

    4.440%        9/25/42        Aa3        42,119  
  500    

Connecticut Avenue Securities Trust, Series 2022-R01, 144A, (SOFR30A reference rate + 1.900% spread), (3)

    1.999%        12/25/41        BBB        476,833  
  145    

Connecticut Avenue Securities Trust, Series 2022-R03, 144A, (SOFR30A reference rate + 3.500% spread), (3)

    3.599%        3/25/42        BBB–        146,547  
  297    

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

    6.198%        4/25/33        AAA        288,796  
  500    

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

    1.997%        5/15/36        Baa1        494,361  
  38    

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

    4.689%        12/25/37        Aaa        37,970  
  250    

CSMC 2014-USA OA LLC, 144A

    4.373%        9/15/37        B–        211,262  
  94    

CSMC Mortgage-Backed Trust, Series 2006-7

    6.000%        8/25/36        Caa3        50,832  
  1,152    

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

    4.030%        11/20/47        BBB        1,155,243  
  299    

DB Master Finance LLC, Series 2021-1A, 144A

    2.493%        11/20/51        BBB        269,780  
  1,137    

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

    4.474%        10/25/45        BBB+        1,146,193  
  1,431    

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

    4.641%        4/20/49        BBB–        1,424,324  
  400    

Dryden 49 Senior Loan Fund, Series 2017-49A, 144A, (3-Month LIBOR reference rate + 1.600% spread), (3)

    1.841%        7/18/30        Aa1        397,544  
  375    

ELP Commercial Mortgage Trust, Series 2021-ELP, 144A, (1-Month LIBOR reference rate + 2.118% spread), (3)

    2.515%        11/15/38        N/R        362,995  
  750    

Fannie Mae Connecticut Avenue Securities, Series 2021-R02, 144A, (SOFR30A reference rate + 2.000% spread), (3)

    2.050%        11/25/41        BB        715,391  
  3,225    

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

    3.000%        TBA        Aaa        3,154,453  
  2,000    

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

    2.500%        TBA        Aaa        1,908,125  

 

1


JMM    Nuveen Multi-Market Income Fund (continued)
   Portfolio of Investments    March 31, 2022
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (2)      Value  
      ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued)                
$ 7    

Fannie Mae Mortgage Pool FN 709700, (4)

    5.500%        6/01/33        N/R      $ 7,416  
  47    

Fannie Mae Mortgage Pool FN 745324, (4)

    6.000%        3/01/34        Aaa        49,636  
  58    

Fannie Mae Mortgage Pool FN 766070, (4)

    5.500%        2/01/34        N/R        62,975  
  17    

Fannie Mae Mortgage Pool FN 828346, (4)

    5.000%        7/01/35        N/R        18,588  
  10    

Fannie Mae Mortgage Pool FN 878059, (4)

    5.500%        3/01/36        N/R        11,393  
  12    

Fannie Mae Mortgage Pool FN 882685, (4)

    6.000%        6/01/36        N/R        12,734  
  29    

Fannie Mae Mortgage Pool FN 995018, (4)

    5.500%        6/01/38        N/R        32,461  
  475    

Fannie Mae Mortgage Pool FN AS8583, (4)

    3.500%        1/01/47        Aaa        481,276  
  387    

Fannie Mae Mortgage Pool FN AW4182, (4)

    3.500%        2/01/44        N/R        394,400  
  32    

Fannie Mae Mortgage Pool FN BH4019, (4)

    4.000%        9/01/47        N/R        32,705  
  888    

Fannie Mae Mortgage Pool FN BM5126, (4)

    3.500%        1/01/48        N/R        900,914  
  245    

Fannie Mae Mortgage Pool FN BM5839, (4)

    3.500%        11/01/47        Aaa        249,701  
  235    

Fannie Mae Mortgage Pool FN BM6038, (4)

    4.000%        1/01/45        Aaa        244,671  
  644    

Fannie Mae Mortgage Pool FN MA3305, (4)

    3.500%        3/01/48        N/R        651,377  
  503    

Fannie Mae Mortgage Pool FN MA3333, (4)

    4.000%        4/01/48        Aaa        514,521  
  2,273    

Fannie Mae Mortgage Pool FN MA4438, (4)

    2.500%        10/01/51        N/R        2,171,221  
  58    

Fannie Mae REMIC Trust 2002-W1

    5.080%        2/25/42        Aaa        59,918  
  302    

Fannie Mae REMIC Trust 2003-W1

    2.797%        12/25/42        AAA        142,916  
  11    

Freddie Mac Gold Pool FG C00676, (4)

    6.500%        11/01/28        N/R        11,580  
  1,172    

Freddie Mac Gold Pool FG G08528, (4)

    3.000%        4/01/43        Aaa        1,170,786  
  342    

Freddie Mac Gold Pool FG G08566, (4)

    3.500%        1/01/44        N/R        348,942  
  627    

Freddie Mac Gold Pool FG G18497, (4)

    3.000%        1/01/29        N/R        634,356  
  830    

Freddie Mac Gold Pool FG G60138, (4)

    3.500%        8/01/45        Aaa        846,820  
  486    

Freddie Mac Gold Pool FG Q40718, (4)

    3.500%        5/01/46        N/R        494,065  
  751    

Freddie Mac Gold Pool FG Q40841, (4)

    3.000%        6/01/46        N/R        746,790  
  1,048    

Freddie Mac Pool FR ZT0541, (4)

    4.000%        6/01/48        N/R        1,084,252  
  301    

Freddie Mac Pool FR ZT0542, (4)

    4.000%        7/01/48        N/R        311,673  
  600    

Freddie Mac STACR Remic Trust 2020-DNA2, 144A, (1-Month LIBOR reference rate + 2.500% spread), (3)

    2.957%        2/25/50        B        565,250  
  300    

Freddie Mac STACR Remic Trust 2021-HQA1, 144A, (SOFR30A reference rate + 2.250% spread), (3)

    2.349%        8/25/33        Ba1        288,273  
  500    

Freddie Mac STACR Remic Trust 2022-DNA1, 144A, (SOFR30A reference rate + 2.500% spread), (3)

    2.599%        1/25/42        BB        467,410  
  200    

Freddie Mac STACR Remic Trust 2022-HQA1, 144A, (SOFR30A reference rate + 3.500% spread), (3)

    3.550%        3/25/42        BBB–        203,631  
  750    

Freddie Mac STACR Remic Trust 2022-DNA2, 144A, (SOFR30A reference rate + 2.400% spread), (3)

    2.499%        2/25/42        BBB        729,758  
  500    

FREMF 2017-K724 Mortgage Trust, 144A

    3.528%        12/25/49        BBB        495,755  
  105    

Ginnie Mae I Pool GN 604567, (4)

    5.500%        8/15/33        N/R        116,583  
  66    

Ginnie Mae I Pool GN 631574, (4)

    6.000%        7/15/34        N/R        72,699  
  500    

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

    1.297%        7/15/31        AAA        492,405  
  260    

GS Mortgage Securities Trust, Series 2013-GC16

    5.161%        11/10/46        Aa1        261,534  
  200    

GS Mortgage Securities Trust, Series 2013-GC14, 144A

    4.735%        8/10/46        A2        195,262  
  55    

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

    7.500%        6/19/32        N/R        52,612  
  332    

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

    7.000%        6/25/43        N/R        362,200  
  314    

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

    8.500%        1/25/35        B2        330,185  
  420    

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

    7.500%        3/25/35        AAA        420,835  
  400    

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

    7.500%        9/25/35        AAA        401,596  
  264    

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

    8.000%        9/25/35        Caa1        269,044  
  494    

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

    3.981%        12/20/50        BBB        477,489  
  500    

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

    2.943%        12/10/41        A1        456,678  
  140    

Impac Secured Assets CMN Owner Trust, Series 2000-3

    8.000%        10/25/30        N/R        130,855  
  447    

J.G. Wentworth XXXVII LLC, Series 2016-1A, 144A

    5.190%        6/17/69        Baa2        465,411  
  430    

J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, 144A

    4.613%        7/05/31        BBB–        431,668  
  500    

J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2018-BCON, 144A

    3.756%        1/05/31        BBB–        497,677  
  719    

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

    7.140%        2/15/67        Aa3        829,935  
  310    

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

    6.770%        10/17/61        A1        349,079  
  203    

JP Morgan Alternative Loan Trust, Series 2006-S1

    6.500%        3/25/36        N/R        151,149  
  500    

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

    3.388%        12/15/49        BBB–        406,258  

 

2


  
  
  

 

Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (2)      Value  
      ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued)                
$ 280    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-UES, 144A

    4.343%        5/05/32        A–      $ 275,245  
  500    

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN, 144A

    3.620%        1/16/37        BBB–        478,631  
  697    

JPMDB Commercial Mortgage Securities Trust, Series 2016-C4

    3.071%        12/15/49        A–        645,125  
  500    

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

    3.000%        10/15/50        BBB–        409,427  
  400    

Manhattan West, Series 2020-1MW, 144A

    2.335%        9/10/39        Baa2        355,119  
  238    

MASTR Alternative Loan Trust, Series 2004-1

    7.000%        1/25/34        Aaa        241,007  
  167    

MASTR Alternative Loan Trust, Series 2004-5

    7.000%        6/25/34        AA+        168,337  
  130    

MASTR Asset Securitization Trust, Series 2003-11

    5.250%        12/25/33        N/R        128,739  
  445    

Mid-State Capital Corp 2005-1 Trust

    5.745%        1/15/40        AA        448,693  
  146    

Mid-State Trust XI

    5.598%        7/15/38        Baa2        146,228  
  530    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14

    4.863%        2/15/47        AAA        538,643  
  250    

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20

    4.453%        2/15/48        N/R        243,433  
  500    

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

    4.613%        1/15/49        A3        477,662  
  39    

Morgan Stanley Mortgage Loan Trust, Series 2006-2

    5.750%        2/25/36        N/R        36,891  
  500    

MSCG Trust, Series 2015-ALDR, 144A

    3.462%        6/07/35        BBB–        395,210  
  184    

MVW Owner Trust, Series 2017-1A, 144A

    2.420%        12/20/34        AAA        183,236  
  1,000    

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

    3.147%        7/15/36        N/R        991,028  
  400    

Neuberger Berman Loan Advisers CLO 31 Ltd, 144A, (3-Month LIBOR reference rate + 1.550% spread), (3)

    1.804%        4/20/31        AA        396,510  
  500    

Neuberger Berman Loan Advisers CLO 48 Ltd, 144A, (CME Term SOFR 3 Month reference rate + 1.800% spread), (3)

    2.528%        4/25/36        AA        498,775  
  339    

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

    6.065%        1/25/54        BBB        345,373  
  630    

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

    5.449%        8/25/55        Baa1        638,070  
  482    

Planet Fitness Master Issuer LLC, Series 2018-1A, 144A

    4.666%        9/05/48        BBB–        479,826  
  300    

Planet Fitness Master Issuer LLC, Series 2022-1A, 144A

    3.251%        12/05/51        BBB–        284,890  
  500    

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

    2.807%        4/25/23        N/R        493,818  
  500    

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

    3.307%        2/25/23        N/R        497,844  
  500    

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

    3.107%        8/25/25        N/R        495,065  
  485    

RBS Commercial Funding Inc 2013-SMV Trust, 144A

    3.584%        3/11/31        BBB–        482,739  
  496    

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

    2.394%        4/25/51        BBB–        446,234  
  273    

Sesac Finance LLC, Series 2019-1, 144A

    5.216%        7/25/49        N/R        269,601  
  94    

Sierra Timeshare 2019-3A Receivables Funding LLC, 144A

    4.180%        8/20/36        BB        91,657  
  135    

SLG Office Trust, Series 2021-OVA, 144A

    2.851%        7/15/41        BBB–        117,309  
  379    

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

    3.845%        1/20/50        BBB        369,250  
  500    

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

    1.893%        8/25/45        A–        468,716  
  324    

START Ireland, Series 2019-1, 144A

    5.095%        3/15/44        BB        266,391  
  129    

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

    5.218%        1/16/46        AAA        131,828  
  595    

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

    4.970%        5/25/46        BBB        605,330  
  658    

Taco Bell Funding LLC, Series 2021-1A, 144A

    2.294%        8/25/51        BBB        587,011  
  299    

Taco Bell Funding LLC, Series 2021-1A, 144A

    1.946%        8/25/51        BBB        270,640  
  250    

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

    3.903%        1/10/35        AA–        247,698  
  11    

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

    5.849%        8/25/38        Aaa        11,250  
  195    

Wells Fargo Commercial Mortgage Trust, Series 2016-C33

    3.896%        3/15/59        A–        187,697  
  459    

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

    3.783%        6/15/49        BBB        452,907  
  576    

Wendy’s Funding LLC, Series 2021-1A, 144A

    2.370%        6/15/51        BBB        511,990  
  995    

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

    2.841%        12/05/50        N/R        922,839  
  179    

Zaxby’s Funding LLC, Series 2021-1A A2, 144A

    3.238%        7/30/51        N/R        165,175  
$ 62,628    

Total Asset-Backed and Mortgage-Backed Securities (cost $61,301,487)

 

     59,313,650  

 

3


JMM    Nuveen Multi-Market Income Fund (continued)
   Portfolio of Investments    March 31, 2022
   (Unaudited)

 

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

CORPORATE BONDS – 44.0% (31.6% of Total Investments)

          
      Aerospace & Defense – 1.1%                           
$ 200    

Boeing Co, (4)

    3.625%        2/01/31        Baa2      $ 194,669  
  350    

Boeing Co/The, (4)

    3.250%        2/01/28        Baa2        337,153  
  200    

Rolls-Royce PLC, 144A

    5.750%        10/15/27        BB–        205,280  
  750    

Total Aerospace & Defense

                               737,102  
      Air Freight & Logistics – 0.1%                           
  100    

Cargo Aircraft Management Inc, 144A

    4.750%        2/01/28        BB        97,608  
      Auto Components – 0.5%                           
  250    

Adient Global Holdings Ltd, 144A

    4.875%        8/15/26        BB–        237,927  
  50    

Dana Inc

    4.250%        9/01/30        BB+        45,760  
  100    

Goodyear Tire & Rubber Co/The

    5.250%        4/30/31        BB–        93,627  
  400    

Total Auto Components

                               377,314  
      Automobiles – 0.8%                           
  175    

Ford Motor Co

    3.250%        2/12/32        BB+        156,298  
  400    

General Motors Financial Co Inc, (4)

    3.600%        6/21/30        BBB        382,605  
  575    

Total Automobiles

                               538,903  
      Banks – 4.4%                           
  400    

Banco Santander SA

    2.749%        12/03/30        BBB+        352,038  
  900    

Bank of America Corp, (4)

    1.898%        7/23/31        AA–        785,944  
  150    

Caelus Re VI Ltd, 144A, (3-Month U.S. Treasury Bill reference rate + 5.380% spread), (3)

    5.888%        6/07/23        N/R        152,205  
  500    

JPMorgan Chase & Co, (4)

    2.580%        4/22/32        AA–        458,077  
  300    

JPMorgan Chase & Co

    3.650%        N/A (5)        BBB+        280,500  
  295    

M&T Bank Corp

    3.500%        N/A (5)        Baa2        265,125  
  300    

Truist Financial Corp

    4.800%        N/A (5)        Baa2        294,750  
  400    

Wells Fargo & Co

    3.900%        N/A (5)        Baa2        383,420  
  3,245    

Total Banks

                               2,972,059  
      Beverages – 0.7%                           
  75    

Primo Water Holdings Inc, 144A

    4.375%        4/30/29        B1        67,883  
  450    

Triton Water Holdings Inc, 144A

    6.250%        4/01/29        CCC+        383,665  
  525    

Total Beverages

                               451,548  
      Capital Markets – 1.6%                           
  300    

Bank of New York Mellon Corp/The

    4.700%        N/A (5)        Baa1        307,200  
  250    

Compass Group Diversified Holdings LLC, 144A

    5.250%        4/15/29        B+        235,000  
  500    

Goldman Sachs Group Inc, (4)

    1.992%        1/27/32        A2        433,140  
  100    

LPL Holdings Inc, 144A

    4.625%        11/15/27        BB        98,221  
  1,150    

Total Capital Markets

                               1,073,561  
      Chemicals – 2.2%                           
  25    

ASP Unifrax Holdings Inc, 144A

    5.250%        9/30/28        BB        23,224  
  250    

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

    11.000%        4/15/25        B–        259,256  
  240    

EverArc Escrow Sarl, 144A

    5.000%        10/30/29        BB–        219,300  
  375    

NOVA Chemicals Corp, 144A, (4)

    5.000%        5/01/25        BB–        376,125  
  160    

OCI NV, 144A

    4.625%        10/15/25        BB+        161,200  
  298    

Rayonier AM Products Inc, 144A, (4)

    7.625%        1/15/26        B+        295,020  
  120    

Tronox Inc, 144A

    4.625%        3/15/29        BB–        112,350  
  50    

WR Grace Holdings LLC, 144A

    5.625%        8/15/29        B+        46,755  
  1,518    

Total Chemicals

                               1,493,230  
      Commercial Services & Supplies – 1.3%                           
  100    

GFL Environmental Inc, 144A

    4.250%        6/01/25        BB–        99,370  
  150    

GFL Environmental Inc, 144A

    3.500%        9/01/28        BB–        140,827  

 

4


  
  
  

 

Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (2)      Value  
      Commercial Services & Supplies (continued)                           
$ 500    

Pitney Bowes Inc, 144A, (4)

    7.250%        3/15/29        BB      $ 471,635  
  200    

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

    5.750%        4/15/26        BB–        204,035  
  950    

Total Commercial Services & Supplies

                               915,867  
      Communications Equipment – 0.8%                           
  100    

Avaya Inc, 144A

    6.125%        9/15/28        BB        98,617  
  500    

T-Mobile USA Inc, (4)

    2.250%        11/15/31        BBB–        437,361  
  600    

Total Communications Equipment

                               535,978  
      Consumer Finance – 1.0%                           
  300    

American Express Co

    3.550%        N/A (5)        Baa2        273,390  
  250    

Navient Corp, (4)

    6.125%        3/25/24        Ba3        254,375  
  170    

OneMain Finance Corp

    3.500%        1/15/27        BB        157,250  
  720    

Total Consumer Finance

                               685,015  
      Containers & Packaging – 0.4%                           
  200    

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

    3.250%        9/01/28        BB+        181,500  
  100    

Silgan Holdings Inc

    4.125%        2/01/28        BB+        96,000  
  300    

Total Containers & Packaging

                               277,500  
      Diversified Financial Services – 1.1%         
  491    

GE Capital International Funding Co Unlimited Co, (4)

    4.418%        11/15/35        BBB+        527,230  
  250    

Putnam RE PTE Ltd, 144A, (1-Month U.S. Treasury Bill reference rate + 5.500% spread), (3)

    6.018%        6/07/24        N/R        251,400  
  741    

Total Diversified Financial Services

                               778,630  
      Diversified Telecommunication Services – 1.7%                           
  200    

Altice France SA/France, 144A

    5.125%        7/15/29        B        179,250  
  275    

Altice France SA/France, 144A

    5.500%        10/15/29        B        246,752  
  600    

AT&T Inc, (4)

    2.750%        6/01/31        BBB+        562,607  
  200    

Iliad Holding SASU, 144A

    6.500%        10/15/26        BB–        200,540  
  1,275    

Total Diversified Telecommunication Services

                               1,189,149  
      Electronic Equipment, Instruments & Components – 0.3%                           
  200    

Imola Merger Corp, 144A

    4.750%        5/15/29        BB+        192,592  
      Energy Equipment & Services – 0.4%                           
  250    

Archrock Partners LP / Archrock Partners Finance Corp, 144A, (4)

    6.875%        4/01/27        B+        252,805  
      Entertainment – 0.6%                           
  70    

Cinemark USA Inc, 144A

    8.750%        5/01/25        BB+        73,237  
  235    

Magallanes Inc, 144A, (4)

    4.279%        3/15/32        BBB–        236,046  
  75    

Univision Communications Inc, 144A

    4.500%        5/01/29        B+        71,391  
  380    

Total Entertainment

                               380,674  
      Equity Real Estate Investment Trust – 3.9%                           
  650    

Brixmor Operating Partnership LP, (4)

    4.050%        7/01/30        BBB–        652,169  
  200    

Essential Properties LP, (4)

    2.950%        7/15/31        BBB–        174,967  
  500    

GLP Capital LP / GLP Financing II Inc, (4)

    4.000%        1/15/30        BBB–        485,305  
  150    

GLP Capital LP / GLP Financing II Inc

    4.000%        1/15/31        BBB–        145,482  
  250    

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

    3.375%        6/15/26        BB+        237,500  
  250    

Iron Mountain Inc, 144A, (4)

    5.250%        3/15/28        BB–        246,650  
  75    

Iron Mountain Inc, 144A

    4.500%        2/15/31        BB–        69,263  
  100    

Kite Realty Group Trust

    4.750%        9/15/30        BBB        103,346  
  325    

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

    3.500%        3/15/31        BBB–        301,832  
  250    

SITE Centers Corp, (4)

    4.250%        2/01/26        BBB        252,917  
  2,750    

Total Equity Real Estate Investment Trust

                               2,669,431  

 

5


JMM    Nuveen Multi-Market Income Fund (continued)
   Portfolio of Investments    March 31, 2022
   (Unaudited)

 

Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (2)      Value  
      Food Products – 0.3%                           
$ 250    

Chobani LLC / Chobani Finance Corp Inc, 144A, (4)

    4.625%        11/15/28        B1      $ 230,625  
      Gas Utilities – 1.2%                           
  75    

Ferrellgas LP / Ferrellgas Finance Corp, 144A

    5.375%        4/01/26        B–        70,820  
  100    

Ferrellgas LP / Ferrellgas Finance Corp, 144A

    5.875%        4/01/29        B–        92,297  
  200    

Suburban Propane Partners LP/Suburban Energy Finance Corp

    5.875%        3/01/27        BB–        202,750  
  475    

Superior Plus LP / Superior General Partner Inc, 144A, (4)

    4.500%        3/15/29        BB–        446,324  
  850    

Total Gas Utilities

                               812,191  
      Health Care Providers & Services – 1.3%                           
  35    

Centene Corp

    2.450%        7/15/28        BBB–        31,980  
  50    

CHS/Community Health Systems Inc, 144A

    5.625%        3/15/27        BB–        50,922  
  100    

DaVita Inc, 144A

    4.625%        6/01/30        Ba3        93,380  
  270    

LifePoint Health Inc, 144A

    5.375%        1/15/29        CCC+        255,118  
  50    

Tenet Healthcare Corp, 144A

    4.625%        6/15/28        BB–        49,062  
  400    

Tenet Healthcare Corp, 144A, (4)

    4.375%        1/15/30        BB–        383,972  
  905    

Total Health Care Providers & Services

                               864,434  
      Hotels, Restaurants & Leisure – 0.7%                           
  100    

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

    5.500%        5/01/25        Ba2        102,691  
  50    

International Game Technology PLC, 144A

    4.125%        4/15/26        BB+        49,375  
  55    

Marriott Ownership Resorts Inc, 144A

    4.500%        6/15/29        B+        51,838  
  250    

Scientific Games International Inc, 144A

    8.625%        7/01/25        B–        262,812  
  455    

Total Hotels, Restaurants & Leisure

                               466,716  
      Insurance – 0.6%                           
  25    

AmWINS Group Inc, 144A

    4.875%        6/30/29        B–        24,000  
  410    

BroadStreet Partners Inc, 144A

    5.875%        4/15/29        CCC+        382,325  
  435    

Total Insurance

                               406,325  
      Interactive Media & Services – 0.1%                           
  50    

Arches Buyer Inc, 144A

    4.250%        6/01/28        B1        46,643  
      IT Services – 2.7%                           
  500    

Ahead DB Holdings LLC, 144A

    6.625%        5/01/28        CCC+        446,710  
  50    

Booz Allen Hamilton Inc, 144A

    3.875%        9/01/28        Baa3        48,265  
  45    

Booz Allen Hamilton Inc, 144A

    4.000%        7/01/29        Baa3        43,940  
  500    

CA Magnum Holdings, 144A

    5.375%        10/31/26        BB–        492,500  
  150    

MPH Acquisition Holdings LLC, 144A

    5.500%        9/01/28        Ba3        143,792  
  660    

Presidio Holdings Inc, 144A

    8.250%        2/01/28        CCC+        673,200  
  1,905    

Total IT Services

                               1,848,407  
      Life Sciences Tools & Services – 0.6%                           
  75    

Avantor Funding Inc, 144A

    4.625%        7/15/28        BB        74,175  
  340    

Avantor Funding Inc, 144A, (4)

    3.875%        11/01/29        BB        319,600  
  415    

Total Life Sciences Tools & Services

                               393,775  
      Machinery – 0.1%                           
  50    

WASH Multifamily Acquisition Inc, 144A

    5.750%        4/15/26        B–        50,125  
      Media – 1.6%                           
  50    

Directv Financing LLC / Directv Financing Co-Obligor Inc, 144A

    5.875%        8/15/27        BBB–        49,187  
  200    

DISH DBS Corp

    5.875%        11/15/24        B        199,500  
  180    

DISH DBS Corp, 144A

    5.250%        12/01/26        Ba3        171,450  
  325    

Gray Television Inc, 144A, (4)

    4.750%        10/15/30        BB–        301,844  
  200    

LCPR Senior Secured Financing DAC, 144A

    5.125%        7/15/29        BB+        190,939  
  30    

Sirius XM Radio Inc, 144A

    3.125%        9/01/26        BB        28,364  
  135    

Sirius XM Radio Inc, 144A

    4.000%        7/15/28        BB        128,250  
  1,120    

Total Media

                               1,069,534  

 

6


  
  
  

 

Principal
Amount (000)
    Description (1)   Coupon      Maturity      Ratings (2)      Value  
      Metals & Mining – 1.1%                           
$ 250    

Constellium SE, 144A

    3.750%        4/15/29        B      $ 224,375  
  57    

Joseph T Ryerson & Son Inc, 144A

    8.500%        8/01/28        BB–        61,702  
  500    

SunCoke Energy Inc, 144A, (4)

    4.875%        6/30/29        BB        471,385  
  807    

Total Metals & Mining

                               757,462  
      Mortgage Real Estate Investment Trust – 0.2%                           
  125    

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

    6.000%        4/15/25        BB+        128,125  
      Oil, Gas & Consumable Fuels – 3.7%                           
  35    

DT Midstream Inc, 144A

    4.125%        6/15/29        BB+        33,558  
  30    

DT Midstream Inc, 144A

    4.375%        6/15/31        BB+        28,725  
  250    

Energy Transfer LP, (4)

    4.400%        3/15/27        BBB–        254,173  
  100    

EnLink Midstream LLC

    5.375%        6/01/29        BB+        99,750  
  50    

EQT Corp, 144A

    3.125%        5/15/26        BBB–        48,564  
  500    

MEG Energy Corp, 144A, (4)

    5.875%        2/01/29        BB–        506,875  
  500    

MPLX LP, (4)

    4.800%        2/15/29        BBB        532,340  
  200    

Occidental Petroleum Corp, (4)

    5.875%        9/01/25        BB+        212,439  
  50    

Occidental Petroleum Corp

    5.500%        12/01/25        BB+        52,615  
  125    

Parkland Corp, 144A

    4.500%        10/01/29        BB        115,893  
  315    

Parkland Corp/Canada, 144A

    4.625%        5/01/30        BB        292,950  
  125    

Santos Finance Ltd, 144A

    3.649%        4/29/31        BBB        116,803  
  250    

Western Midstream Operating LP, (4)

    5.300%        2/01/30        BBB–        248,750  
  2,530    

Total Oil, Gas & Consumable Fuels

                               2,543,435  
      Personal Products – 0.1%                           
  50    

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

    5.000%        12/31/26        B2        46,125  
      Pharmaceuticals – 0.9%                           
  225    

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

    5.875%        10/15/24        B-        212,062  
  200    

Organon & Co/ORG, 144A

    5.125%        4/30/31        BB–        193,000  
  220    

Teva Pharmaceutical Finance Netherlands III BV

    6.750%        3/01/28        Ba2        230,615  
  645    

Total Pharmaceuticals

                               635,677  
      Real Estate Management & Development – 0.6%                           
  50    

Howard Hughes Corp/The, 144A

    4.125%        2/01/29        BB        46,913  
  75    

Kennedy-Wilson Inc

    4.750%        3/01/29        BB        72,310  
  325    

Kennedy-Wilson Inc, (4)

    5.000%        3/01/31        BB        312,000  
  450    

Total Real Estate Management & Development

                               431,223  
      Road & Rail – 0.5%                           
  110    

First Student Bidco Inc / First Transit Parent Inc, 144A

    4.000%        7/31/29        BB+        102,577  
  250    

United Rentals North America Inc, (4)

    4.875%        1/15/28        BB+        253,949  
  360    

Total Road & Rail

                               356,526  
      Semiconductors & Semiconductor Equipment – 0.6%                           
  500    

Broadcom Inc, 144A, (4)

    2.450%        2/15/31        BBB–        446,039  
      Software – 0.4%                           
  285    

Open Text Corp, 144A

    3.875%        12/01/29        BB        270,750  
      Specialty Retail – 1.8%                           
  365    

Asbury Automotive Group Inc, 144A

    4.625%        11/15/29        BB        339,906  
  325    

Asbury Automotive Group Inc, 144A, (4)

    5.000%        2/15/32        BB        302,101  
  50    

Bath & Body Works Inc, 144A

    6.625%        10/01/30        BB        52,500  
  75    

LCM Investments Holdings II LLC, 144A

    4.875%        5/01/29        BB–        70,836  
  50    

Michaels Cos Inc, 144A

    5.250%        5/01/28        Ba3        45,905  
  500    

Michaels Cos Inc, 144A

    7.875%        5/01/29        B3        428,125  
  1,365    

Total Specialty Retail

                               1,239,373  

 

7


JMM    Nuveen Multi-Market Income Fund (continued)
   Portfolio of Investments    March 31, 2022
   (Unaudited)

 

Principal
Amount (000)
    Description (1)                   Coupon      Maturity      Ratings (2)      Value  
      Tobacco – 0.8%                                         
$ 600    

BAT Capital Corp, (4)

 

     2.726%        3/25/31        BBB+      $ 528,779  
      Trading Companies & Distributors – 0.9%                              
  455    

Albion Financing 2SARL, 144A

 

     8.750%        4/15/27        BB–        438,028  
  100    

H&E Equipment Services Inc, 144A

 

     3.875%        12/15/28        BB–        93,750  
  50    

WESCO Distribution Inc, 144A

 

     7.250%        6/15/28        BB        53,107  
  605    

Total Trading Companies & Distributors

 

                                584,885  
      Wireless Telecommunication Services – 0.3%                              
  200    

Vmed O2 UK Financing I PLC, 144A

 

     4.750%        7/15/31        BB+        188,500  
$ 31,386    

Total Corporate Bonds (cost $31,929,718)

 

                                29,964,640  
Principal
Amount (000)
    Description (1)   Coupon (6)      Reference
Rate (6)
     Spread (6)      Maturity (7)      Ratings (2)      Value  
 

VARIABLE RATE SENIOR LOAN INTERESTS – 2.5% (1.8% of Total Investments) (6)

 

      Aerospace & Defense – 0.4%                                         
$ 250    

Maxar Technologies Ltd., Term Loan B

    3.210%        1-Week LIBOR        2.750%        10/05/24        B      $ 246,629  
      Beverages – 0.4%                                         
  298    

Triton Water Holdings, Inc, Term Loan

    4.506%        3-Month LIBOR        3.500%        3/31/28        B1        290,997  
      Building Products – 0.4%                                         
  298    

Quikrete Holdings, Inc., Term Loan, First Lien

    2.957%        1-Month LIBOR        2.500%        1/31/27        BB–        291,179  
      Chemicals – 0.6%                                         
  249    

Atotech B.V., Term Loan B

    3.000%        1-Month LIBOR        2.500%        3/18/28        B+        246,293  
  198    

INEOS Styrolution US Holding LLC, Term Loan B

    3.250%        1-Month LIBOR        2.750%        1/29/26        BB+        195,349  
  447    

Total Chemicals

 

                                441,642  
      Insurance – 0.3%                                         
  199    

Alliant Holdings Intermediate, LLC, Term Loan B4

    4.000%        1-Month LIBOR        3.500%        11/12/27        B        198,019  
      Trading Companies & Distributors – 0.4%                       
  248    

Core & Main LP, Term Loan B

    2.947%        1-Month LIBOR        2.500%        6/10/28        Ba3        246,557  
$ 1,740    

Total Variable Rate Senior Loan Interests (cost $1,734,749)

 

                                1,715,023  
Principal
Amount (000)
    Description (1), (8)                   Coupon      Maturity      Ratings (2)      Value  
 

CONTINGENT CAPITAL SECURITIES – 1.5% (1.1% of Total Investments)

 

           
      Banks – 1.2%                                     
$ 200    

Banco Bilbao Vizcaya Argentaria SA

 

        6.500%        N/A (5)        Ba2      $ 200,750  
  200    

Banco Santander SA

 

        4.750%        N/A (5)        Ba1        184,400  
  200    

Lloyds Banking Group PLC

 

        7.500%        N/A (5)        Baa3        212,583  
  200    

Societe Generale SA, 144A

 

              4.750%        N/A (5)        BB+        186,250  
  800    

Total Banks

                                                 783,983  
      Capital Markets – 0.3%                                         
  200    

UBS Group AG, 144A

                      7.000%        N/A (5)        BBB        208,662  
$ 1,000    

Total Contingent Capital Securities (cost $1,037,500)

 

                                992,645  

 

8


  
  
  

 

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

SOVEREIGN DEBT – 1.4% (1.0% of Total Investments)

          
      Bahrain – 0.4%                           
$ 250    

Bahrain Government International Bond, 144A

    7.000%        10/12/28        B+      $ 270,657  
      Egypt – 0.6%                           
  400    

Egypt Government International Bond, 144A

    5.875%        6/11/25        B+        393,382  
      El Salvador – 0.1%                           
  100    

El Salvador Government International Bond, 144A

    5.875%        1/30/25        B–        55,370  
      Turkey – 0.3%                           
  250    

Turkey Government International Bond

    5.950%        1/15/31        B+        215,313  
$ 1,000    

Total Sovereign Debt (cost $1,006,098)

                               934,722  
 

Total Long-Term Investments (cost $97,009,552)

                               92,920,680  
Principal
Amount (000)
    Description (1)   Coupon      Maturity              Value  
 

SHORT-TERM INVESTMENTS – 2.8% (2.0% of Total Investments)

 

  
      REPURCHASE AGREEMENTS – 2.8% (2.0% of Total Investments)         
$ 1,944    

Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/22, repurchase price $1,944,307, collateralized by $1,690,100, U.S. Treasury Inflation Index Notes, 0.250%, due 7/15/29, value $1,983,306

    0.000%        4/01/22               $ 1,944,307  
 

Total Short-Term Investments (cost $1,944,307)

                               1,944,307  
 

Total Investments (cost $98,953,859) – 139.4%

                               94,864,987  
 

Reverse Repurchase Agreements, including accrued interest – (33.5)% (9)

 

                       (22,804,153
 

Other Assets Less Liabilities – (5.9)% (10)

                               (4,031,941
 

Net Assets Applicable to Common Shares – 100%

                             $ 68,028,893  

Investments in Derivatives

Futures Contracts – Long

 

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

U.S. Treasury Ultra Bond

       9          6/22        $ 1,653,211        $ 1,594,125        $ (59,086      $ 9,563  

Futures Contracts – Short

 

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

U.S. Treasury 10-Year Ultra Note

       (11        6/22        $ (1,535,746      $ (1,490,156      $ 45,590        $ (4,469

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     $ 2,986     $ 2,986  

 

9


JMM    Nuveen Multi-Market Income Fund (continued)
   Portfolio of Investments    March 31, 2022
   (Unaudited)

 

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 of Directors/Trustees. 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.
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 following table summarizes the market value of the Fund’s investments as of the end of the reporting period, based on the inputs used to value them:

 

      Level 1      Level 2      Level 3      Total  

Long-Term Investments:

           

Asset-Backed Securities

   $      $ 59,313,650      $      $ 59,313,650  

Corporate Bonds

            29,964,640               29,964,640  

Variable Rate Senior Loan Interests

            1,715,023               1,715,023  

Contingent Capital Securities

            992,645               992,645  

Sovereign Debt

            934,722               934,722  

Short-Term Investments:

           

Repurchase Agreements

            1,944,307               1,944,307  

Investments in Derivatives:

           

Futures Contracts*

     (13,496            (13,496

Interest Rate Swaps*

            2,986               2,986  

Total

   $ (13,496    $ 94,867,973      $     —      $ 94,854,477  
*

Represents net unrealized appreciation (depreciation).

 

10


  
  
  

 

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 reverse repurchase agreements. As of the end of the reporting period, investments with a value of $24,350,834 have been pledged as collateral for reverse repurchase agreements.

 

(5)

Perpetual security. Maturity date is not applicable.

 

(6)

Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate (Reference Rate) plus an assigned fixed rate (Spread). These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks. Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. The rate shown is the coupon as of the end of the reporting period.

 

(7)

Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments of senior loans may occur. As a result, the actual remaining maturity of senior loans held may be substantially less than the stated maturities shown.

 

(8)

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.

 

(9)

Reverse Repurchase Agreements, including accrued interest as a percentage of Total Investments is 24.0%.

 

(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.

 

SOFR

Secured Overnight Financing Rate

 

SOFR30A

30 Day Average Secured Overnight Financing Rate

 

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.

 

11