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Table of Contents

 

3

Chair’s Letter
to Shareholders

Dear Shareholders,

More than a year has passed since the World Health Organization declared COVID-19 a global pandemic in March 2020, resulting in a year marked by a global economic downturn, financial market turbulence and some immeasurable losses. Although the health crisis persists, with the widespread distribution of vaccines in the U.S. and extraordinary economic interventions by governments and central banks around the world, we collectively look forward to what our “new normal” might be.

Global economic activity has continued to rebound, driving both gross domestic product growth and inflation higher, especially in the U.S. Vaccinations have enabled a further reopening of economies while governments and central banks have taken extraordinary measures to support the recoveries. To extend relief programs enacted earlier in the crisis, the U.S. government passed $900 billion in aid to individuals and businesses in late December 2020. Another $1.9 trillion relief package was signed into law in March 2021 providing extended unemployment benefits, direct payments to individuals and families, assistance to state and local municipalities, grants to education and public health, and other support. Currently, Congress is working on an infrastructure spending plan, although its final shape and whether it passes remains to be seen. The U.S. Federal Reserve (Fed) and other central banks around the world have upgraded their economic forecasts but remain committed to sustaining the recovery by maintaining accommodative monetary conditions. However, as economies have reopened, the surge in consumer demand has outpaced supply chain capacity, resulting in a jump in inflation indicators in recent months. Whether inflation persists is a subject of debate by economists and market observers, while the Fed and other central banks believe it to be more transitory.

While the markets’ longer-term outlook has brightened, we expect intermittent bouts of volatility to continue. Markets are closely monitoring central bank signals, particularly if inflation remains elevated, as a sooner-than-expected shift to monetary tightening could slow the economic recovery. Additionally, COVID-19 cases are still elevated in some regions, as more virulent strains have spread and vaccination rollouts have been uneven around the country and around the world. The recovery hinges on controlling the virus, and estimates vary considerably on when economic activity might be fully restored and what level of public inoculation would be sufficient to contain the virus spread. On the political front, the Biden administration’s full policy agenda and the potential for Congressional gridlock remain to be seen, either of which could cause investment outlooks to shift. Short-term market fluctuations can provide your Fund opportunities to invest in new ideas as well as upgrade existing positioning while providing long-term value for shareholders. For more than 120 years, the careful consideration of risk and reward has guided Nuveen’s focus on delivering long-term results to our shareholders.

If you have concerns about what’s coming next, it can be an opportune time to assess your portfolio. We encourage you to review your time horizon, risk tolerance and investment goals with your financial professional. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

Terence J. Toth
Chair of the Board
July 22, 2021

4

 

Portfolio Managers’ Comments

Nuveen Georgia Quality Municipal Income Fund (NKG)

Nuveen Massachusetts Quality Municipal Income Fund (NMT)

Nuveen Minnesota Quality Municipal Income Fund (NMS)

Nuveen Missouri Quality Municipal Income Fund (NOM)

Nuveen Virginia Quality Municipal Income Fund (NPV)

These Funds feature portfolio management by Nuveen Asset Management, LLC (NAM), an affiliate of Nuveen Fund Advisors, LLC, the Funds’ investment adviser. Portfolio managers Daniel J. Close, CFA, Stephen J. Candido, CFA, Christopher L. Drahn, CFA, and Michael S. Hamilton discuss U.S. economic and market conditions, key investment strategies and the twelve-month performance of these five Nuveen Funds. Dan has managed the Nuveen Georgia Fund since 2007. Steve assumed portfolio management responsibility for the Virginia Fund in 2016. Chris has managed the Missouri Fund since 2011 and assumed responsibility for the Minnesota Fund in 2016. Michael assumed portfolio management responsibility for the Massachusetts Fund in 2011.

What factors affected the U.S. economy and the national municipal bond market during the twelve-month annual reporting period ended May 31, 2021?

The U.S. economy rebounded more quickly than expected from the deep downturn caused by the COVID-19 crisis and containment measures, but gross domestic product (GDP) shrank 3.5% in 2020 compared to 2019’s annual level. After falling into a deep recession in February 2020 due to the restrictions put on business and social activity to mitigate the COVID-19 spread, the economy bounced back with the help of several factors. These included: Federal government stimulus aiding individuals and businesses, accommodative monetary policy by the Fed that kept borrowing costs low and a gradual reopening of businesses with the roll-out of several FDA approved vaccines. U.S. GDP growth picked up pace in the first quarter of 2021, growing at an annualized rate of 6.4% according to the Bureau of Economic Analysis “second” estimate, an increase from 4.3% (annualized) in the fourth quarter of 2020. GDP measures the value of goods and services produced by the nation’s economy less the value of the goods and services used up in production, adjusted for price changes.

Consumer spending, the largest driver of the economy, rebounded markedly from the steep declines early in the health crisis. Although the momentum slowed toward the end of 2020 amid a resurgence of COVID-19 infections, consumer demand resumed in

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This material is not intended to be a recommendation or investment advice, does not constitute a solicitation to buy, sell or hold a security or an investment strategy and is not provided in a fiduciary capacity. The information provided does not take into account the specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions should be made based on an investor’s objectives and circumstances and in consultation with his or her advisors.

Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements, and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group (S&P), Moody’s Investors Service, Inc. (Moody’s) or Fitch, Inc. (Fitch). This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings, while BB, B, CCC, CC, C and D are below investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.

Bond insurance guarantees only the payment of principal and interest on the bond when due, and not the value of the bonds themselves, which will fluctuate with the bond market and the financial success of the issuer and the insurer. Insurance relates specifically to the bonds in the portfolio and not to the share prices of a Fund. No representation is made as to the insurers’ ability to meet their commitments.

Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

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Portfolio Managers’ Comments (continued)

2021 as vaccination rates increased and lockdown restrictions eased, eligible Americans received another government stimulus check and the job market continued to improve. By May 2021, the U.S. unemployment rate had fallen to 5.8%, a significant improvement from 13.3% in May 2020 and from the pandemic peak of 14.8% in April 2020, according to the Bureau of Labor Statistics (BLS). The average hourly earnings rate increased, growing at an annualized rate of 2.0% in May 2021, despite the spike in unemployment. However, the BLS pointed out that wage growth trends have been difficult to analyze given the wide variation in average hourly earnings across industries and large fluctuations in employment since February 2020. The overall trend of inflation accelerated, largely due to rising energy prices and the improving economy. The higher annual inflation rate in May 2021 is also the result of the comparison from a year ago, when consumer prices fell sharply as the first lockdowns were imposed in March 2020. The BLS said the Consumer Price Index (CPI) increased 5.0% over the twelve-month reporting period ended May 31, 2021, before seasonal adjustment.

With the onset of the COVID-19 crisis, the Federal Reserve (Fed) enacted an array of emergency measures in March 2020 to stabilize the financial system and support the markets, including cutting its main interest rate to near zero, offering lending programs to aid small and large companies and engaging in expanded bond purchases, known as quantitative easing. In August 2020, the Fed announced a change in its inflation targeting policy, moving from a program of absolute targeting to an average inflation targeting policy. Under this regime, the Fed will tolerate the inflation rate temporarily overshooting the target rate to offset periods of below-target inflation, so that inflation averages a 2% target rate over time. In their meetings throughout the first half of 2021, Fed officials continued to signal that accommodative policy measures will stay in place, asserting that recently higher inflation readings are transitory and the economic recovery remains far from the Fed’s goals.

The federal government also intervened with historic relief measures, starting with three aid packages in March and April 2020. These included $2 trillion allocated across direct payments to individuals, an expansion of unemployment insurance, loans to large and small businesses, funding to hospitals and health agencies and support to state and local governments, and more than $100 billion in funding to employers offering paid leave. In December 2020, the government enacted a $900 billion relief package extending some of these programs, and followed in March 2021 with another $1.9 trillion deal providing support to individuals and families, small businesses, state and local governments, education and public health/vaccination. The Biden administration has proposed another $2 trillion stimulus plan focused on infrastructure and jobs, but it is facing legislative hurdles.

By the start of this reporting period, markets had largely stabilized from the initial health crisis shock. In March 2020, equity and commodity markets sold off and safe-haven assets rallied as countries initiated quarantines, restricted travel and shuttered factories and businesses, while an ill-timed oil price war between the Organization of the Petroleum Exporting Countries (OPEC) and non-OPEC member Russia amplified the volatility. In late 2020, the announcement of high efficacy rates in several COVID-19 vaccine trials, followed by regulatory authorizations and public vaccination drives across Western countries improved the outlook for 2021 and led to risk-on sentiment in the markets. Increasing vaccination rates and some surprisingly strong economic readings in the first few months of 2021 led to rising inflation concerns and an increase in long-term interest rates, but central banks reassured the markets that it was too soon to withdraw stimulus measures.

Geopolitical uncertainty remained elevated during 2020 in anticipation of the U.S. presidential election in November 2020 and the Brexit transition period set to expire in December 2020. However, political risks began to ease with the election of President Joe Biden and a final deal struck between the European Union and U.K. before the end of the transition period. Although China and the U.S. signed a “phase one” trade deal in January 2020, tensions continued to flare over other trade and technology/security issues, Hong Kong’s sovereignty and the management of the COVID-19 crisis. In 2021, geopolitical concerns in the Middle East, Russia and Belarus made news headlines, but market impacts were relatively minimal.

Municipal bonds performed well in this reporting period, reflecting a significant recovery from the COVID-19 crisis sell-off in March 2020. At the time, U.S. Treasury yields fell to historic lows and interest rate volatility increased sharply while municipal bond prices became severely dislocated from Treasury prices and credit spreads widened significantly. With ongoing monetary and fiscal interventions from the Fed and U.S. government and credit fundamentals that demonstrated more resilience than initially expected, investor sentiment improved and credit spreads narrowed significantly by the end of the reporting period. Municipal bond yields generally moved lower through the first half of the reporting period, then rose over the second half as fixed income markets priced in a stronger economic growth and inflation outlook and the prospect of more government stimulus. For the 12-month reporting

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period overall, municipal yields were little changed at the short end of the yield curve, higher in the intermediate segment and lower at the longest maturities, which flattened the yield curve.

Municipal bond gross issuance nationwide remained strong in the reporting period, with deals postponed rather than canceled during the COVID-19 crisis driven sell-off. The overall low level of interest rates has encouraged issuers to continue to actively refund their outstanding debt. In these transactions the issuers are issuing new bonds and taking the bond proceeds and redeeming (calling) old bonds. These refunding transactions have represented roughly a third of total issuance in 2021 so far. Additionally, the proportion of taxable issuance has risen to about one third of total gross issuance since the advent of the Tax Cut and Jobs Act of 2017, which prohibits municipal issuers from issuing new tax-exempt bonds to pre-refund existing tax-exempt bonds. Thus, the net issuance (all bonds issued less bonds redeemed) of tax exempt municipal bonds is actually much lower than the gross issuance. This lower net issuance was an overall positive technical factor on municipal bond investment performance in recent years and in this reporting period.

While municipal bond funds suffered significant outflows in March 2020, particularly from high yield municipal bond funds, fund flows rebounded strongly over the remainder of 2020 and sustained a robust pace through early 2021. Demand has been resilient even though municipal defaults, as expected, have increased somewhat during the COVID-19 crisis. However, default activity has occurred mainly in sectors with greater COVID-19 risk exposure, such as senior living, corporate-backed and real estate-backed. Moreover, while there are some pockets of municipal credit ratings stress, a wave of downgrades has not materialized. With interest rates in the U.S. and globally still near all-time lows, even after the recent increase in long-term rates, the appetite for yield has continued to drive investors toward higher after-tax yielding assets, including U.S. municipal bonds. Additionally, as taxpayers have adjusted to the 2017 tax law, which caps the state and local tax (SALT) deduction for individuals, there has been increased demand for tax-exempt municipal bonds, especially in states with high income taxes and/or property taxes.

What were the economic and market conditions in Georgia, Massachusetts, Minnesota, Missouri and Virginia during the twelvemonth reporting period ended May 31, 2021?

Georgia is the eighth largest state, with a population of 10.7 million. Population growth has been around 1% annually for more than a decade. Its GDP totaled $619 billion in 2020, ranking eighth among states. Georgia’s economic growth has been robust since 2014, outpacing that of the nation, but has slowed a bit in recent years. As of May 2021, the unemployment rate was 4.1%, compared to 5.8% for the U.S. The state’s primary economic engine is the Atlanta metropolitan area, which prior to the COVID-19 crisis had been adding jobs and attracting businesses in a diverse range of industries, with construction and the education and health services sectors growing at a faster rate. Per capita personal income is below average for the state of Georgia and was 91.2% of the U.S. average in 2020, but is growing at faster rate than the nation. Home prices in the Atlanta region rose 12.3% year-over-year, as of April 2021 (most recent available data at the time this report was prepared), just below the national average of 14.6%, according to the S&P CoreLogic Case-Shiller Index. Before the COVID-19 crisis, strong economic growth drove robust revenue growth for Georgia; although growth slowed in Fiscal Year 2020, it remained positive. Tax revenue collections of $23.8 billion for Fiscal Year 2019 were 4.8% higher than for Fiscal Year 2018, while tax revenue collections of $24 billion for Fiscal Year 2020 increased 1.4%. Overall, general fund revenue increased at a higher rate in Fiscal Year 2020 (3.7%) than in Fiscal Year 2019 (2.4%), in part due to strong growth in intergovernmental revenues. Recent years of solid revenue growth allowed the state to build up its rainy day fund, or revenue shortfall reserve, which totals $2.7 billion in 2020. This provides the state with a substantial buffer to help weather the current downturn, along with expenditure cuts. The state’s $27.2 billion Fiscal Year 2022 budget restores most cuts made last year due to the COVID-19 crisis with the assistance of federal relief funds to plug budgetary holes. Georgia has $10.6 billion of net tax-supported debt outstanding, which represents 1.9% of personal income. The Moody’s 50-state median for 2020 is also 1.9% of personal income. Georgia’s pension liabilities are below average, so the state’s combined net debt and net pension liabilities are lower than the majority of states. As of June 2021, Georgia’s general obligation debt continued to be rated Aaa/AAA/AAA with stable outlooks from Moody’s, S&P and Fitch, respectively.

Massachusetts’ economy is led by the health care, education, financial services and technology sectors. Massachusetts enjoys a concentration of colleges and universities, which provide employment stability and a source of well educated workers for the Commonwealth’s service industries. Education accounts for about 5% of Massachusetts’ employment, twice the national average.

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Portfolio Managers’ Comments (continued)

Among the 50 states, Massachusetts has the highest percentage of population over 25 years old with a bachelor’s degree, at 43.5%. This compares with the national average of 32.6%. According to the U.S. Department of Commerce Bureau of Economic Analysis, Massachusetts’ per capita income is second highest among the 50 states. At $74,187 for calendar year 2019, it is 131.3% of the national average. Massachusetts, like all other states, was affected by the COVID-19 crisis. Unemployment in the Commonwealth peaked at 16.4% in April 2020, as compared to the nation at 14.8%. Massachusetts’ unemployment stood at 6.1% in May 2021, above the national average of 5.8% for the same period. On a statutory basis, Massachusetts’ general fund ended Fiscal Year 2020 with a $287 million surplus. This allowed for a $15 million deposit into the Commonwealth’s rainy day fund, bringing that fund to a balance of $3.5 billion on June 30, 2020. The Fiscal Year 2021 budget was adopted six months late and anticipates a $1.35 billion draw on the rainy day fund. The proposed Fiscal Year 2022 budget also relies on a $1.6 billion dollar withdrawal from the rainy day fund, leaving a projected balance of $1.1 billion at the end of Fiscal Year 2022. Massachusetts received nearly $5.3 billion from the American Rescue Plan Act. According to Moody’s, Massachusetts’ debt burden is second highest in the nation (after Connecticut) on a per capita basis ($6,258 versus the median of $1,071) and third highest as a percentage of the state GDP (7.2% versus the median of 1.9%). As of March 2021, Moody’s rated Massachusetts Aa1 with a stable outlook, and S&P rated the Commonwealth AA with a stable outlook. For the twelve months ended May 31, 2021, Massachusetts’ municipal bond supply totaled $14.5 billion, an 8.1% increase over the prior twelve-month period.

Minnesota continues to benefit from a highly diverse economy and well educated work force. However, economic growth continues to lag the nation, with Minnesota’s nominal GDP declining 2.5% in 2020 (ranking 28th among states) compared to a decline of 2.3% for the nation. As of May 2021, Minnesota’s unemployment rate was a low 4.0% and remains well below the national unemployment rate of 5.8%. Home prices in the Minneapolis area were up 11.3% year-over-year as of April 2021 (most recent data available at the time this report was prepared), according to the S&P CoreLogic Case-Shiller Index. Minnesota is now anticipating a Fiscal Year 2021 surplus of $3.4 billion, a $1.8 billion increase from February’s projections due to higher than anticipated income, sales and corporate tax revenues. Notably, the state’s rainy day funds were at the highest levels ever, at nearly $2.8 billion in Fiscal Year 2020, providing a sufficient cushion that will be bolstered by the additional surplus in Fiscal Year 2021. In addition, the state is scheduled to receive $2.8 billion in American Rescue Plan funding, which will provide additional financial flexibility for the state over the near term. The state’s biennium 2022-2023 budget contains $52 billion in appropriations. Moody’s has maintained the state’s Aa1 rating and stable outlook. S&P recently affirmed the state’s AAA rating with negative outlook on February 18, 2021.

Missouri’s economic growth has kept pace with its Midwestern peers and was nearly on par with the nation through the pandemic. After being ranked 29th among states for nominal GDP growth, Missouri’s 2020 ranking improved to 23rd. The state’s GDP declined 2.0% due to the pandemic, compared to national GDP growth of -2.3%. The state’s unemployment rate of 4.2% is lower than the national rate of 5.8% as of May 2021. The state saw growth in the finance and insurance, retail trade, and health care and social assistance sectors. Missouri’s population has grown just 2.7% since 2010 to 6.1 million, which lags the nation’s growth rate of 6.3% over the same time period. The Missouri Constitution requires that the state pass a balanced budget. Fiscal Year 2020 concluded with a $535 million surplus, which bolstered available reserves to roughly $2.1 billion. Rebounding tax revenue coupled with federal pandemic aid are attributed to the likelihood of an approximate $2.0 billion surplus for Fiscal Year 2021. In addition, the state is scheduled to receive $2.8 billion in American Rescue Plan funding from the federal government, which will provide additional financial flexibility over the near term. The Fiscal Year 2022 budget is not yet enacted, but the approved budget contains $35.6 billion in appropriations. Moody’s, S&P and Fitch rate Missouri general obligation debt at Aaa/AAA/AAA and all have stable outlooks.

Virginia’s economy is led by the government, professional and business services sectors. Its proximity to the Washington D.C. area has historically provided stability in the northern portion of the state. Government employment represents 18.1% of the Commonwealth’s job base (compared to the national average of 15.2%). The defense industry in particular plays an important role in Virginia’s economy, with the Commonwealth’s Hampton Roads area home to the nation’s largest concentration of military installations. In 2020, as a result of the pandemic, Virginia’s gross state product contracted by 0.9% compared to a decline of 2.3% for the nation’s GDP as a whole. As of May 2021, the Commonwealth’s unemployment rate registered 4.5%, below the national rate of 5.8%. Virginia continues to benefit from good socioeconomics with per capita income at 115.2% of the national average, and the Commonwealth’s poverty level of 10.6% compares favorably to the national average of 13.4%. Virginia has a history of both proac-tive and conservative fiscal management. The Commonwealth’s operating revenues are primarily dependent upon income taxes, followed by sales tax collections. With regard to expenditures, education accounts for the greatest share of operating expenses

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followed by health and human services. Despite the pandemic, the Commonwealth’s general fund posted a $1.7 billion surplus in Fiscal Year 2020. Fiscal Year 2020 general revenue collections were 2.0% higher than Fiscal Year 2019, though they were still $234 million, or 1.1%, below initial forecasts. Income tax collections grew by 3.0% in Fiscal Year 2020 over the previous year, compared with the official forecast of 4.7% growth. Fiscal Year 2020 sales tax collections grew by 3.5% over the previous year, lower than the official forecast of 7.4% growth. Year-to-date tax collections in Fiscal Year 2021 (through March) are 9.0% above Fiscal Year 2020 figures, compared to an assumed rate of 3.0% growth. The Commonwealth is now projecting a small general fund surplus for Fiscal Year 2021. The Commonwealth’s total general fund balance is good, at 14.3% of general fund revenues in Fiscal Year 2020. Included in the total fund balance are the Commonwealth’s two rainy day funds: the revenue stabilization fund and the revenue reserve fund. As of June 30, 2020, the revenue stabilization fund contained $636 million and the revenue reserve fund contained $513 million. Together, those two funds equal 4.9% of general fund revenues. Virginia also maintains a sizable reserve in its Commonwealth transportation fund. State government received $1.8 billion under the CARES Act and expects to receive $3.8 billion under the American Rescue Plan. The Commonwealth’s overall debt metrics are slightly above U.S. state averages. Moody’s June 2021 state debt median report notes that Virginia ranked 15th in net tax-supported debt per capita ($1,746 versus the national median of $1,039) and ranked 17th as a percent of personal income (2.8% versus the national median of 1.9%). The Commonwealth’s ability to issue debt is controlled through a very complex debt capacity model that is revised on an annual basis. The majority of the Commonwealth’s outstanding debt is subject to appropriation, and only about 9% of outstanding debt carries the general obligation pledge. As of May 2021, Moody’s, S&P and Fitch rated Virginia general obligation debt at Aaa/AAA/AAA with stable outlooks.

What key strategies were used to manage the Funds during the twelve-month reporting period ended May 31, 2021?

Each Fund seeks to provide current income exempt from both regular federal and designated state income taxes by investing primarily in a portfolio of municipal obligations issued by state and local government authorities within a single state or certain U.S. territories. Under normal market conditions, each Fund invests at least 80% of the sum of its net assets and the amount of any borrowings for investment purposes in municipal bonds that pay interest that is exempt from regular federal personal income tax and a single state’s personal income tax. The Funds may invest up to 20% in municipal securities that are exempt from regular federal income tax, but not from that single state’s income tax if, in the portfolio manager’s judgement, such purchases are expected to enhance the Fund’s after-tax total return potential. The Nuveen Minnesota Quality Municipal Income Fund (NMS) may invest only to a lesser extent in bonds not exempt from Minnesota income tax, in order to conform to a requirement imposed by the State of Minnesota that a fund derive at least 95% of its exempt-interest dividends from bonds of issuers located in Minnesota in order for the fund’s dividends to be exempt from those Minnesota income taxes. To the extent that the Fund invests in bonds of municipal issuers located in other states, the Fund’s dividends may not be exempt from state personal income tax.

Municipal bond performance was positive in this reporting period. Municipal bond yields rose across much of the yield curve (except for longer maturities, where yields fell) over the reporting period. An improving municipal credit outlook, along with demand for higher yielding investments lower down the credit spectrum and the increasing scarcity value of tax exempt municipal bonds, provided a favorable backdrop for credit spreads to continue to grind tighter, driving performance gains for lower rated and high yield municipal credit. Missouri’s state municipal market outperformed the national market in this reporting period, while the state markets of Georgia, Massachusetts, Minnesota and Virginia underperformed the national market.

We continued to take a bottom-up approach to discovering sectors that appeared undervalued as well as individual credits that we believed had the potential to perform well over the long term. As in the first half of the reporting period, NKG continued to buy a mix of 4% and 5% coupon structures with longer maturities and skewed toward higher credit quality. In addition to the purchases detailed in the Georgia Fund’s semiannual report dated November 30, 2020, the Fund bought bonds across three sectors in the second half of the reporting period: health care (Children’s Healthcare of Atlanta), higher education (Emory University) and industrial development revenue (George L. Smith Convention Center, a lower rated investment grade bond). The purchases were funded from the proceeds of called and maturing bonds, as well as the sale of a small position.

NMT was an active buyer during the reporting period, reinvesting the proceeds from called and maturing bonds and selling some very short-dated bonds to invest in longer-term opportunities. The Massachusetts Fund added issues for dedicated tax, housing, ports and higher education.

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Portfolio Managers’ Comments (continued)

For NMS and NOM, certain sectors which held up better in the March-April 2020 timeframe, such as general obligations (GOs) and utilities, perhaps not surprisingly, underperformed in the subsequent twelve-month reporting period. The Funds generally tried to maintain (and opportunistically add) allocations to certain other sectors and categories that had been hit harder in the March-April 2020 sell-off However, for NMS, there seemed a relative scarcity of lower investment grade credits (or other opportunities) in the Minnesota public new issue market compared to many other states during the reporting period. Also, a significant number of new issues in Minnesota continue to be structured with very low coupons and dollar prices near par, which may not perform as well from a price standpoint in the event of an eventual rise in yields. Most issuance structured with premium coupons tended to be high grade and offered little to no incremental yield spread. From an activity standpoint, the most notable changes in NMS was an increase in it’s single A rated credit weighting during the reporting period, mainly by adding to weightings in the private higher education sector. The Minnesota Fund did experience some small downgrades to several holdings, predominantly in the education sector, which resulted in a slight uptick in the Fund’s below investment grade weightings by the end of the reporting period.

NOM’s overall sector composition did not change dramatically. There was an increase in the Missouri Fund’s transportation sector weighting, primarily from adding positions in Kansas City Airport bonds, which continued its modernization capital program with a bond issue in mid-October 2020. NOM also saw a decrease in the pre-refunded sector, as older holdings reached their call dates or matured.

NPV’s trading activity was mainly driven by the reinvestment of proceeds from maturing bonds and some called bonds. There was no material selling activity during the reporting period. The Virginia Fund added to hospitals (Arlington Health System, Bon Secours Mercy Health and Carilion Clinic revenue bonds), airports (Metropolitan Washington D.C. Airports Authority revenue bonds) and Puerto Rico (sales tax revenue bonds known as COFINAs).

As of May 31, 2021, NKG, NMT, NOM and NPV continued to use inverse floating rate securities. The Fund’s employ inverse floaters for a variety of reasons, including duration management, income enhancement and total return enhancement.

How did the Funds perform during the twelve-month reporting period ended May 31, 2021?

The tables in each Fund’s Performance Overview and Holding Summaries section of this report provide the Funds’ total returns at net asset value (NAV) for the period ended May 31, 2021. Each Fund’s total returns at common share NAV are compared with the performance of a corresponding market index.

For the twelve-month reporting period ended May 31, 2021, the total return at common share NAV for the five Funds outperformed their respective state’s S&P Municipal Bond Index and the national S&P Municipal Bond Index. For the purposes of this Performance Commentary, the references to relative performance of all the Fund’s is in comparison to their respective state’s S&P Municipal Bond Index.

The Funds’ performance relative to their respective state benchmarks was affected by duration and yield curve positioning, credit ratings allocations, sector allocations and credit selection. In addition, the use of regulatory leverage was a factor affecting performance of the Funds. Leverage is discussed in more detail later in the Fund Leverage section of this report.

Given the “bullish” flattening in the yield curve, that is, longer-term rates declined by more than shorter-term rates, longer duration bonds generally outperformed shorter duration bonds in this reporting period. All five Funds were positioned favorably for this environment, with overweights to the longer duration range and underweights to shorter duration paper relative to their respective state benchmarks. Relative to the Georgia index, NKG was most helped by its underweight to durations of 4 years and shorter and an overweight to the 10- to 12-year duration category. NMT benefited relative to the Massachusetts index from its underweight to zero to 2-year durations and overweights to the 6- to 10-year duration segment and the 12 years and longer segment. NMS’s overweight in both long intermediate and long durations (and underweight in shorter durations) were positive contributors to relative performance versus the Minnesota index. Duration and yield curve positioning was a small positive performance attribution factor for NOM relative to the Missouri index, driven by the Fund’s slight overweight in both long-intermediate and long durations (and underweight in certain shorter durations). For NPV, an overweight to 8- to 12-year and longer durations added the most value relative to the Virginia index, with a smaller contribution from an underweight to 2- to 4-year durations.

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Looking at credit ratings, lower rated and high yield bonds outperformed high grade (AAA and AA rated) bonds during the reporting period, driven by the recovery in credit spreads. The five Funds generally maintained an overweight to the lower rated, higher yielding credit categories and an underweight to the highest credit qualities, which provided a performance advantage relative to their respective state benchmarks. For NKG, the benefit of an underweight to AAA rated paper and overweight BBB rated debt more than offset an overweight to AA rated bonds, which was a small detractor. NMT’s credit quality positioning was the largest positive attribution factor in this reporting period, with relative outperformance driven by the Fund’s underweights to AAA and AA rated bonds and an overweight to credits rated A and lower. Although NMT’s overweight to BB rated debt was also advantageous to relative performance, the Fund’s BB rated holdings were generally shorter duration and therefore less beneficial than if the Fund had held longer duration positions. In NMS, its overweights to the A, BBB, below investment grade and non-rated categories were a significant positive contributor, as were underweight allocations to both the AAA and the AA rated categories. NOM held overweight allocations to BBB, below investment grade and non-rated bonds, which were a major positive performance attribution factor, while underweights to AAA and AA rated paper also served the Fund well. Credit ratings allocations were the main positive contributor to NPV’s relative performance versus the Virginia index, with outperformance driven by an overweight to the BBB rated segment, exposure to below investment grade bonds and an underweight to AAA rated bonds.

Sectors generally performed in line with credit quality, as the significant narrowing of credit spreads across lower rated bonds tended to drive stronger performance among revenue sectors, where lower rated bonds are more prevalent. Conversely, higher quality sectors, such as state and local GOs and pre-refunded, generally lagged.

NKG’s sector positioning detracted modestly from performance relative to the Georgia index. Although NKG’s overweight to dedicated tax added to relative performance, an overweight to water and sewer, a sector that underperformed, detracted from performance.

NMT’s sector allocations bolstered relative performance versus the Massachusetts index. NMT’s exposure to the tax supported sector detracted, despite the Fund’s underweight and the longer duration of its holdings in the sector. However, its overweight allocations to health care, education and transportation outperformed, which more than offset the negative impact of the tax supported sector. NMS’s sector positioning overall was a somewhat positive factor driving performance relative to the Minnesota index. The Fund benefited from an underweight to state and local GO holdings, given the sector’s underperformance. But an overweight in appropriation-backed holdings, which also underperformed the broader state index, was a negative influence. NMS’s overweight and security selection in hospitals contributed positively, as hospitals were a strong performing sector. The Minnesota Fund’s overweight in the predominantly non-rated senior living/life care sector was a meaningful positive, as this sector rebounded and was one of the market’s strongest performing sectors over this reporting period. NMS also benefited from a rebound in its numerous charter school holdings, as well as several positions in private higher education credits. The Fund’s overweight in industrial development revenue bonds (and specifically holdings of the St. Paul Port Authority Gerdau Steel Mill Project bonds) was also additive. Other sector positions that detracted included a slight underweight to airports, despite the advantage of holding longer duration airport bonds, as well as an overweight to the public power sector.

NOM’s sector positioning overall had a mostly neutral impact on performance relative to the Missouri index. The Fund’s overweight to the pre-refunded sector was disadvantageous, while holdings of higher yielding Missouri special tax and transportation development districts boosted relative performance. An underweight to GOs was helpful to performance, as GOs generally underperformed revenue bonds in the state. These gains were partially offset by an overweight in appropriation-backed securities (a commonly used financing tool in Missouri). The Fund’s appropriation-backed holdings generally outperformed GO’s but underperformed the broader market. Within health care, NOM’s overweight in hospitals and the strong performing senior living/life care sector were positive contributors. In the airport sector, the Fund’s underweight detracted but security selection was favorable, primarily reflecting NOM’s position in the bonds of Kansas City Airport. NOM’s underweight to the utility sector was also a small positive contributor to relative performance.

Relative gains in NPV came from an overweight to toll roads/transportation, which included strong performing names such as I-66 Express Mobility Partners, Metropolitan Washington D.C. Airports Authority Dulles Toll Road, Chesapeake Bay Bridge and Tunnel, and Chesapeake Expressway Toll Road, and an overweight to hospitals/health care. NPV’s underweight to tax supported debt was another positive contributor, as state and local GOs underperformed. A small overweight to Virginia tobacco was also modestly beneficial.

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Portfolio Managers’ Comments (continued)

Individual credit selection was the largest driver of NKG’s outperformance relative to the Georgia index. NKG’s selection in tender option bonds and longer dated credits held for the full reporting period added meaningfully to relative performance, while the relative laggards were primarily positions in shorter dated, high quality paper and in credits bought in late 2020/early 2021 (after which prevailing rates moved higher). NMT’s security selection was also a positive factor affecting performance relative to the Massachusetts index. Holdings in lower quality, longer duration, higher education names (such as Berklee College of Music, Emerson College and Worcester Polytechnic Institute) and in some health care positions (including Beth Israel Lahey Health System) were among NMT’s top contributing holdings. NPV’s best performing credits were dominated by lower rated toll road positions such as Metropolitan Washington D.C. Airports Authority Dulles Toll Road zero coupon bonds, Chesapeake Bay Bridge and Tunnel and I-66 Express Mobility Partners. Also within the transportation sector, airport holding Metropolitan Washington D.C. Airports Authority also performed well for the Virginia Fund. Within NPV’s high yield positions, Marymount University was a standout performer. Detractors from NPV’s relative performance versus the Virginia index were shorter dated, high quality credits including certain GO bonds and pre-refunded bonds, which had positive performance but trailed the stronger performance of longer dated and lower rated holdings.

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Fund Leverage

IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE

One important factor impacting the returns of the Funds’ common shares relative to their comparative benchmarks was the Funds’ use of leverage through their issuance of preferred shares and/or investments in inverse floating rate securities, which represent leveraged investments in underlying bonds. The Funds use leverage because our research has shown that, over time, leveraging provides opportunities for additional income. The opportunity arises when short-term rates that the Fund pays on its leveraging instruments are lower than the interest the Fund earns on its portfolio of long-term bonds that it has bought with the proceeds of that leverage. This has been particularly true in the recent market environment where short-term rates have been low by historical standards.

However, use of leverage can expose Fund common shares to additional price volatility. When a Fund uses leverage, the Fund’s common shares will experience a greater increase in their net asset value if the municipal bonds acquired through the use of leverage increase in value, but will also experience a correspondingly larger decline in their net asset value if the bonds acquired through leverage decline in value. All this will make the shares’ total return performance more variable, over time.

In addition, common share income in levered funds will typically decrease in comparison to unlevered funds when short-term interest rates increase and increase when short-term interest rates decrease. In recent quarters, fund leverage expenses have generally tracked the overall movement of short-term tax-exempt interest rates. While fund leverage expenses are somewhat higher than their recent lows, leverage nevertheless continues to provide the opportunity for incremental common share income, particularly over longer-term periods.

The use of leverage had a positive impact on the total return performance of the Funds over the reporting period.

As of May 31, 2021, the Funds’ percentages of leverage are as shown in the accompanying table.

 

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Refer to Notes to Financial Statements, Note 5 – Fund Shares for further details on preferred shares and each Fund’s respective transactions.

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Each Fund seeks to pay regular monthly dividends out of its net investment income at a rate that reflects its past and projected net income performance. To permit each Fund to maintain a more stable monthly dividend, the Fund may pay dividends at a rate that may be more or less than the amount of net income actually earned by the Fund during the period. Distributions to common shareholders are determined on a tax basis, which may differ from amounts recorded in the accounting records. In instances where the monthly dividend exceeds the earned net investment income, the Fund would report a negative undistributed net ordinary income. Refer to Note 6 – Income Tax Information for additional information regarding the amounts of undistributed net ordinary income and undistributed net long-term capital gains and the character of the actual distributions paid by the Fund during the period.

All monthly dividends paid by each Fund during the current reporting period were paid from net investment income. If a portion of the Fund’s monthly distributions is sourced or comprised of elements other than net investment income, including capital gains

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Common Share Information (continued)

and/or a return of capital, shareholders will be notified of those sources. For financial reporting purposes, the per share amounts of each Fund’s distributions for the reporting period are presented in this report’s Financial Highlights. For income tax purposes, distribution information for each Fund as of its most recent tax year end is presented in Note 6 – Income Tax Information within the Notes to Financial Statements of this report.

NUVEEN CLOSED-END FUND DISTRIBUTION AMOUNTS

The Nuveen Closed-End Funds’ monthly and quarterly periodic distributions to shareholders are posted on www.nuveen.com and can be found on Nuveen’s enhanced closed-end fund resource page, which is at https://www.nuveen.com/resource-center-closed-end-funds, along with other Nuveen closed-end fund product updates. To ensure timely access to the latest information, shareholders may use a subscribe function, which can be activated at this web page (https://www.nuveen.com/subscriptions).

During the current reporting period, the Funds did not repurchase any of their outstanding common shares.

 

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Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

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This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.

 

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Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

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This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.

 

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Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

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This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.

 

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Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

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This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.

 

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Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

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This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.

 

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