|
|
|
|
|
JPT
|
|
Nuveen Preferred and Income 2022 Term Fund (continued)
|
|
Portfolio of Investments July 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Description (1)
|
|
Coupon
|
|
|
|
|
|
Ratings (2)
|
|
|
Value
|
|
|
|
|
|
|
Food Products (continued)
|
|
|
|
|
|
|
|
|
31,132
|
|
|
CHS Inc
|
|
|
6.750%
|
|
|
|
|
|
|
|
N/R
|
|
|
$
|
781,413
|
|
|
81,867
|
|
|
CHS Inc
|
|
|
7.500%
|
|
|
|
|
|
|
|
N/R
|
|
|
|
2,232,513
|
|
|
|
|
|
Total Food Products
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,481,279
|
|
|
|
|
|
|
Insurance 9.1%
|
|
|
|
|
|
|
|
|
63,100
|
|
|
American Equity Investment Life Holding Co
|
|
|
5.950%
|
|
|
|
|
|
|
|
BB
|
|
|
|
1,473,385
|
|
|
32,800
|
|
|
American Equity Investment Life Holding Co
|
|
|
6.625%
|
|
|
|
|
|
|
|
BB
|
|
|
|
817,704
|
|
|
73,215
|
|
|
Aspen Insurance Holdings Ltd
|
|
|
5.950%
|
|
|
|
|
|
|
|
BB+
|
|
|
|
1,935,805
|
|
|
74,900
|
|
|
Aspen Insurance Holdings Ltd
|
|
|
5.625%
|
|
|
|
|
|
|
|
BB+
|
|
|
|
1,879,990
|
|
|
79,700
|
|
|
Athene Holding Ltd
|
|
|
6.350%
|
|
|
|
|
|
|
|
BBB
|
|
|
|
2,076,982
|
|
|
30,500
|
|
|
Athene Holding Ltd
|
|
|
6.375%
|
|
|
|
|
|
|
|
BBB
|
|
|
|
798,795
|
|
|
99,736
|
|
|
Delphi Financial Group Inc, (5)
|
|
|
3.582%
|
|
|
|
|
|
|
|
BBB
|
|
|
|
2,094,456
|
|
|
31,900
|
|
|
Enstar Group Ltd
|
|
|
7.000%
|
|
|
|
|
|
|
|
BB+
|
|
|
|
855,877
|
|
|
65,687
|
|
|
Maiden Holdings North America Ltd
|
|
|
7.750%
|
|
|
|
|
|
|
|
N/R
|
|
|
|
1,398,476
|
|
|
35,002
|
|
|
Reinsurance Group of America Inc
|
|
|
5.750%
|
|
|
|
|
|
|
|
BBB+
|
|
|
|
959,055
|
|
|
|
|
|
Total Insurance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,290,525
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 1.8%
|
|
|
|
|
|
|
|
|
92,134
|
|
|
NuStar Energy LP
|
|
|
8.500%
|
|
|
|
|
|
|
|
B1
|
|
|
|
1,771,737
|
|
|
46,191
|
|
|
NuStar Energy LP
|
|
|
7.625%
|
|
|
|
|
|
|
|
B1
|
|
|
|
807,880
|
|
|
9,998
|
|
|
NuStar Logistics LP
|
|
|
7.009%
|
|
|
|
|
|
|
|
B1
|
|
|
|
201,360
|
|
|
|
|
|
Total Oil, Gas & Consumable Fuels
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,780,977
|
|
|
|
|
|
|
Thrifts & Mortgage Finance 2.0%
|
|
|
|
|
|
|
|
|
15,135
|
|
|
Federal Agricultural Mortgage Corp
|
|
|
6.000%
|
|
|
|
|
|
|
|
N/R
|
|
|
|
416,061
|
|
|
99,776
|
|
|
New York Community Bancorp Inc
|
|
|
6.375%
|
|
|
|
|
|
|
|
Ba2
|
|
|
|
2,643,066
|
|
|
|
|
|
Total Thrifts & Mortgage Finance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,059,127
|
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,614
|
|
|
Air Lease Corp
|
|
|
6.150%
|
|
|
|
|
|
|
|
BB+
|
|
|
|
673,508
|
|
|
|
|
|
Total $25 Par (or similar) Retail Preferred (cost
$58,997,285)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
57,852,363
|
|
|
|
|
|
|
|
Principal
Amount (000)
|
|
|
Description (1), (2)
|
|
Coupon
|
|
|
Maturity
|
|
|
Ratings (2)
|
|
|
Value
|
|
|
|
|
|
|
|
|
CORPORATE BONDS 0.5% (0.4% of Total Investments)
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services 0.5%
|
|
|
|
|
|
|
|
$
|
1,420
|
|
|
ILFC E-Capital Trust II,
144A
|
|
|
3.270%
|
|
|
|
12/21/65
|
|
|
|
BB+
|
|
|
$
|
752,600
|
|
$
|
1,420
|
|
|
Total Corporate Bonds (cost $1,053,759)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
752,600
|
|
|
|
|
|
Total Long-Term Investments (cost $192,169,905)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
191,468,160
|
|
|
|
|
|
|
|
Principal
Amount (000)
|
|
|
Description
|
|
Coupon
|
|
|
Maturity
|
|
|
|
|
|
Value
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS 1.1% (0.9% of Total Investments)
|
|
|
|
|
|
|
REPURCHASE AGREEMENTS 1.1% (0.9% of Total Investments)
|
|
|
|
|
|
|
|
$
|
1,718
|
|
|
Repurchase Agreement with Fixed Income Clearing
Corporation,
dated 7/31/20, repurchase price $1,718,342,
collateralized by $1,662,600 U.S. Treasury Notes,
0.125%, due 4/15/25, value $1,752,803
|
|
|
0.000%
|
|
|
|
8/03/20
|
|
|
|
|
|
|
$
|
1,718,342
|
|
|
|
|
|
Total Short-Term Investments (cost
$1,718,342)
|
|
|
|
|
|
|
|
1,718,342
|
|
|
|
|
|
Total Investments (cost $193,888,247)
123.7%
|
|
|
|
|
|
|
|
193,186,502
|
|
|
|
|
|
Borrowings (23.9)% (6), (7)
|
|
|
|
|
|
|
|
(37,300,000
|
)
|
|
|
|
|
Other Assets Less Liabilities 0.2%
(8)
|
|
|
|
|
|
|
|
312,912
|
|
|
|
|
|
Net Assets Applicable to Common Shares
100%
|
|
|
|
|
|
|
$
|
156,199,414
|
|
58
Investments in Derivatives
Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Contract
Position
|
|
|
Number of
Contracts
|
|
|
Expiration
Date
|
|
|
Notional
Amount
|
|
|
Value
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Variation
Margin
Receivable/
(Payable)
|
|
U.S. Treasury 10-Year
Note
|
|
|
Short
|
|
|
|
(58
|
)
|
|
|
9/20
|
|
|
|
(8,039,988
|
)
|
|
$
|
(8,124,531
|
)
|
|
$
|
(84,543
|
)
|
|
$
|
(3,625
|
)
|
For Fund portfolio compliance purposes, the Funds 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 & Poors Group
(Standard & Poors), Moodys Investors Service, Inc. (Moodys) 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 & Poors, Baa by Moodys 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.
Ratings are not covered by the report of independent registered public accounting firm.
|
(3)
|
Perpetual security. Maturity date is not applicable.
|
(4)
|
Variable rate security. The rate shown is the coupon as of the end of the reporting period.
|
(5)
|
For fair value measurement disclosure purposes, investment classified as Level 2. See Notes to Financial Statements,
Note 3 Investment Valuation and Fair Value Measurements for more information.
|
(6)
|
Borrowings as a percentage of Total Investments is 19.3%.
|
(7)
|
The Fund segregates 100% of its eligible investments (excluding any investments separately pledged as collateral for
specific investments in derivatives, when applicable) in the Portfolio of Investments as collateral for borrowings.
|
(8)
|
Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (OTC) derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC
cleared and exchange-traded derivatives is recognized as part of the cash collateral at brokers and/or the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable.
|
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
|
Reg S
|
Regulation S allows U.S. companies to sell securities to persons or entities located outside of the United States without
registering those securities with the Securities and Exchange Commission. Specifically, Regulation S provides a safe harbor from the registration requirements of the Securities Act for the offers and sales of securities by both foreign and domestic
issuers that are made outside the United States.
|
See
accompanying notes to financial statements.
59
Statement of Assets and Liabilities
July 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPC
|
|
|
JPI
|
|
|
JPS
|
|
|
JPT
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-term investments, at value (cost $1,373,337,569, $740,467,899, $2,661,708,782 and $192,169,905,
respectively)
|
|
$
|
1,410,842,643
|
|
|
$
|
761,430,934
|
|
|
$
|
2,841,939,812
|
|
|
$
|
191,468,160
|
|
Short-term investments, at value (cost approximates value)
|
|
|
20,978,407
|
|
|
|
245,825
|
|
|
|
53,020,397
|
|
|
|
1,718,342
|
|
Cash
|
|
|
243,503
|
|
|
|
1,050,962
|
|
|
|
105,001
|
|
|
|
|
|
Cash collateral at brokers for investments in
futures(1)
|
|
|
439,993
|
|
|
|
399,994
|
|
|
|
|
|
|
|
105,026
|
|
Cash collateral at brokers for investments in
swaps(1)
|
|
|
16,942,853
|
|
|
|
1,341,000
|
|
|
|
|
|
|
|
|
|
Receivable for:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends
|
|
|
438,574
|
|
|
|
159,487
|
|
|
|
1,274,035
|
|
|
|
63,058
|
|
Interest
|
|
|
14,922,833
|
|
|
|
8,600,870
|
|
|
|
37,605,481
|
|
|
|
1,800,192
|
|
Investments sold
|
|
|
2,989,738
|
|
|
|
1,217,543
|
|
|
|
559,338
|
|
|
|
88,525
|
|
Reclaims
|
|
|
49,905
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other assets
|
|
|
347,906
|
|
|
|
65,127
|
|
|
|
647,353
|
|
|
|
4,728
|
|
Total assets
|
|
|
1,468,196,355
|
|
|
|
774,511,742
|
|
|
|
2,935,151,417
|
|
|
|
195,248,031
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowings
|
|
|
400,000,000
|
|
|
|
200,000,000
|
|
|
|
740,300,000
|
|
|
|
37,300,000
|
|
Reverse repurchase agreements
|
|
|
100,000,000
|
|
|
|
45,000,000
|
|
|
|
248,000,000
|
|
|
|
|
|
Unrealized depreciation on interest rate swaps
|
|
|
42,108,731
|
|
|
|
11,501,668
|
|
|
|
79,038,498
|
|
|
|
|
|
Payable for:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends
|
|
|
5,377,381
|
|
|
|
2,916,725
|
|
|
|
10,186,120
|
|
|
|
786,421
|
|
Investments purchased regular settlement
|
|
|
6,659,248
|
|
|
|
3,126,350
|
|
|
|
6,775,000
|
|
|
|
737,500
|
|
Variation margin on futures contracts
|
|
|
15,875
|
|
|
|
14,500
|
|
|
|
|
|
|
|
3,625
|
|
Accrued expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest
|
|
|
379,472
|
|
|
|
189,705
|
|
|
|
772,362
|
|
|
|
29,123
|
|
Management fees
|
|
|
945,214
|
|
|
|
532,085
|
|
|
|
1,900,678
|
|
|
|
136,085
|
|
Trustees fees
|
|
|
323,904
|
|
|
|
59,652
|
|
|
|
622,454
|
|
|
|
1,837
|
|
Other
|
|
|
193,172
|
|
|
|
111,516
|
|
|
|
322,813
|
|
|
|
54,026
|
|
Total liabilities
|
|
|
556,002,997
|
|
|
|
263,452,201
|
|
|
|
1,087,917,925
|
|
|
|
39,048,617
|
|
Net assets applicable to common shares
|
|
$
|
912,193,358
|
|
|
$
|
511,059,541
|
|
|
$
|
1,847,233,492
|
|
|
$
|
156,199,414
|
|
Common shares outstanding
|
|
|
103,355,149
|
|
|
|
22,761,391
|
|
|
|
203,779,868
|
|
|
|
6,839,180
|
|
Net asset value (NAV) per common share
outstanding
|
|
$
|
8.83
|
|
|
$
|
22.45
|
|
|
$
|
9.06
|
|
|
$
|
22.84
|
|
Net assets applicable to common shares consist of:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common shares, $0.01 par value per share
|
|
$
|
1,033,551
|
|
|
$
|
227,614
|
|
|
$
|
2,037,799
|
|
|
$
|
68,392
|
|
Paid-in-surplus
|
|
|
1,032,333,677
|
|
|
|
537,599,133
|
|
|
|
1,858,910,171
|
|
|
|
167,965,527
|
|
Total distributable earnings
|
|
|
(121,173,870
|
)
|
|
|
(26,767,206
|
)
|
|
|
(13,714,478
|
)
|
|
|
(11,834,505
|
)
|
Net assets applicable to common shares
|
|
$
|
912,193,358
|
|
|
$
|
511,059,541
|
|
|
$
|
1,847,233,492
|
|
|
$
|
156,199,414
|
|
Authorized shares:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common
|
|
|
Unlimited
|
|
|
|
Unlimited
|
|
|
|
Unlimited
|
|
|
|
Unlimited
|
|
Preferred
|
|
|
Unlimited
|
|
|
|
Unlimited
|
|
|
|
Unlimited
|
|
|
|
Unlimited
|
|
(1)
|
Cash pledged to collateralize the net payment obligations for investments in derivatives is in addition to the Funds
securities pledged as collateral as noted in the Portfolio of Investments.
|
See accompanying notes to financial statements.
60
Statement of Operations
Year Ended July 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPC
|
|
|
JPI
|
|
|
JPS
|
|
|
JPT
|
|
Investment Income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends
|
|
$
|
32,653,249
|
|
|
$
|
13,578,352
|
|
|
$
|
26,508,631
|
|
|
$
|
4,238,465
|
|
Interest
|
|
|
58,747,482
|
|
|
|
34,906,679
|
|
|
|
148,854,979
|
|
|
|
7,306,667
|
|
Other
|
|
|
252,672
|
|
|
|
97,033
|
|
|
|
320,087
|
|
|
|
|
|
Tax withheld
|
|
|
(287
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment income
|
|
|
91,653,116
|
|
|
|
48,582,064
|
|
|
|
175,683,697
|
|
|
|
11,545,132
|
|
Expenses
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Management fees
|
|
|
12,323,964
|
|
|
|
6,730,739
|
|
|
|
23,710,605
|
|
|
|
1,703,445
|
|
Interest expense
|
|
|
11,447,173
|
|
|
|
5,405,285
|
|
|
|
21,873,467
|
|
|
|
871,981
|
|
Custodian fees
|
|
|
178,960
|
|
|
|
107,993
|
|
|
|
296,572
|
|
|
|
40,694
|
|
Trustees fees
|
|
|
40,463
|
|
|
|
21,276
|
|
|
|
79,260
|
|
|
|
5,418
|
|
Professional fees
|
|
|
74,571
|
|
|
|
54,526
|
|
|
|
111,870
|
|
|
|
34,464
|
|
Shareholder reporting expenses
|
|
|
150,209
|
|
|
|
75,354
|
|
|
|
295,235
|
|
|
|
27,694
|
|
Shareholder servicing agent fees
|
|
|
1,929
|
|
|
|
128
|
|
|
|
5,155
|
|
|
|
146
|
|
Stock exchange listing fees
|
|
|
28,545
|
|
|
|
6,738
|
|
|
|
56,292
|
|
|
|
6,738
|
|
Investor relations expenses
|
|
|
92,218
|
|
|
|
47,131
|
|
|
|
178,874
|
|
|
|
12,328
|
|
Other
|
|
|
78,604
|
|
|
|
45,626
|
|
|
|
53,003
|
|
|
|
24,133
|
|
Total expenses
|
|
|
24,416,636
|
|
|
|
12,494,796
|
|
|
|
46,660,333
|
|
|
|
2,727,041
|
|
Net investment income (loss)
|
|
|
67,236,480
|
|
|
|
36,087,268
|
|
|
|
129,023,364
|
|
|
|
8,818,091
|
|
Realized and Unrealized Gain (Loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments and foreign currency
|
|
|
(65,711,069
|
)
|
|
|
(22,506,803
|
)
|
|
|
(68,779,726
|
)
|
|
|
(4,247,635
|
)
|
Futures contracts
|
|
|
(2,608,517
|
)
|
|
|
(2,379,676
|
)
|
|
|
|
|
|
|
(594,879
|
)
|
Swaps
|
|
|
(1,473,476
|
)
|
|
|
(705,667
|
)
|
|
|
(2,767,376
|
)
|
|
|
|
|
Change in net unrealized appreciation (depreciation) of:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments and foreign currency
|
|
|
(28,862,271
|
)
|
|
|
(15,637,860
|
)
|
|
|
(22,544,449
|
)
|
|
|
(3,744,189
|
)
|
Futures contracts
|
|
|
(370,240
|
)
|
|
|
(338,172
|
)
|
|
|
|
|
|
|
(84,543
|
)
|
Swaps
|
|
|
(31,798,920
|
)
|
|
|
(8,528,772
|
)
|
|
|
(59,688,741
|
)
|
|
|
|
|
Net realized and unrealized gain (loss)
|
|
|
(130,824,493
|
)
|
|
|
(50,096,950
|
)
|
|
|
(153,780,292
|
)
|
|
|
(8,671,246
|
)
|
Net increase (decrease) in net assets applicable to common shares
from operations
|
|
$
|
(63,588,013
|
)
|
|
$
|
(14,009,682
|
)
|
|
$
|
(24,756,928
|
)
|
|
$
|
146,845
|
|
See accompanying notes to financial statements.
61
Statement of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPC
|
|
|
JPI
|
|
|
|
Year
Ended
7/31/20
|
|
|
Year
Ended
7/31/19
|
|
|
Year
Ended
7/31/20
|
|
|
Year
Ended
7/31/19
|
|
Operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
$
|
67,236,480
|
|
|
$
|
72,203,943
|
|
|
$
|
36,087,268
|
|
|
$
|
37,284,869
|
|
Net realized gain (loss) from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments and foreign currency
|
|
|
(65,711,069
|
)
|
|
|
(10,856,687
|
)
|
|
|
(22,506,803
|
)
|
|
|
(4,553,349
|
)
|
Futures contracts
|
|
|
(2,608,517
|
)
|
|
|
(150,472
|
)
|
|
|
(2,379,676
|
)
|
|
|
(131,654
|
)
|
Swaps
|
|
|
(1,473,476
|
)
|
|
|
1,058,625
|
|
|
|
(705,667
|
)
|
|
|
499,227
|
|
Change in net unrealized appreciation (depreciation) of:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments and foreign currency
|
|
|
(28,862,271
|
)
|
|
|
35,636,098
|
|
|
|
(15,637,860
|
)
|
|
|
17,542,434
|
|
Futures contracts
|
|
|
(370,240
|
)
|
|
|
|
|
|
|
(338,172
|
)
|
|
|
|
|
Swaps
|
|
|
(31,798,920
|
)
|
|
|
(24,220,305
|
)
|
|
|
(8,528,772
|
)
|
|
|
(7,172,833
|
)
|
Net increase (decrease) in net assets applicable to common shares
from operations
|
|
|
(63,588,013
|
)
|
|
|
73,671,202
|
|
|
|
(14,009,682
|
)
|
|
|
43,468,694
|
|
Distributions to Common Shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends
|
|
|
(69,950,246
|
)
|
|
|
(72,875,999
|
)
|
|
|
(35,590,098
|
)
|
|
|
(36,597,335
|
)
|
Return of capital
|
|
|
(2,384,333
|
)
|
|
|
(2,763,427
|
)
|
|
|
(959,791
|
)
|
|
|
(406,048
|
)
|
Decrease in net assets applicable to common shares from distributions
to common shareholders
|
|
|
(72,334,579
|
)
|
|
|
(75,639,426
|
)
|
|
|
(36,549,889
|
)
|
|
|
(37,003,383
|
)
|
Capital Share Transactions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common shares:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net proceeds from shares issued to shareholders due to reinvestment of distributions
|
|
|
190,641
|
|
|
|
|
|
|
|
96,137
|
|
|
|
|
|
Cost of shares repurchased and retired
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets applicable to common shares
from capital share transactions
|
|
|
190,641
|
|
|
|
|
|
|
|
96,137
|
|
|
|
|
|
Net increase (decrease) in net assets applicable to common shares
|
|
|
(135,731,951
|
)
|
|
|
(1,968,224
|
)
|
|
|
(50,463,434
|
)
|
|
|
6,465,311
|
|
Net assets applicable to common shares at the beginning of
period
|
|
$
|
1,047,925,309
|
|
|
|
1,049,893,533
|
|
|
$
|
561,522,975
|
|
|
|
555,057,664
|
|
Net assets applicable to common shares at the end of
period
|
|
$
|
912,193,358
|
|
|
$
|
1,047,925,309
|
|
|
$
|
511,059,541
|
|
|
$
|
561,522,975
|
|
See accompanying notes to financial statements.
62
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPS
|
|
|
JPT
|
|
|
|
Year
Ended
7/31/20
|
|
|
Year
Ended
7/31/19
|
|
|
Year
Ended
7/31/20
|
|
|
Year
Ended
7/31/19
|
|
Operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
$
|
129,023,364
|
|
|
$
|
133,526,435
|
|
|
$
|
8,818,091
|
|
|
$
|
9,307,947
|
|
Net realized gain (loss) from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments and foreign currency
|
|
|
(68,779,726
|
)
|
|
|
3,420,882
|
|
|
|
(4,247,635
|
)
|
|
|
(2,053,791
|
)
|
Futures contracts
|
|
|
|
|
|
|
|
|
|
|
(594,879
|
)
|
|
|
(69,157
|
)
|
Swaps
|
|
|
(2,767,376
|
)
|
|
|
1,985,867
|
|
|
|
|
|
|
|
|
|
Change in net unrealized appreciation (depreciation) of:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments and foreign currency
|
|
|
(22,544,449
|
)
|
|
|
65,302,095
|
|
|
|
(3,744,189
|
)
|
|
|
4,900,089
|
|
Futures contracts
|
|
|
|
|
|
|
|
|
|
|
(84,543
|
)
|
|
|
(15,501
|
)
|
Swaps
|
|
|
(59,688,741
|
)
|
|
|
(45,466,395
|
)
|
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets applicable to common shares
from operations
|
|
|
(24,756,928
|
)
|
|
|
158,768,884
|
|
|
|
146,845
|
|
|
|
12,069,587
|
|
Distributions to Common Shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends
|
|
|
(122,286,673
|
)
|
|
|
(134,125,759
|
)
|
|
|
(9,720,057
|
)
|
|
|
(9,714,536
|
)
|
Return of capital
|
|
|
(10,169,864
|
)
|
|
|
(2,824,952
|
)
|
|
|
|
|
|
|
|
|
Decrease in net assets applicable to common shares from distributions
to common shareholders
|
|
|
(132,456,537
|
)
|
|
|
(136,950,711
|
)
|
|
|
(9,720,057
|
)
|
|
|
(9,714,536
|
)
|
Capital Share Transactions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Shares:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net proceeds from shares issued to shareholders due to reinvestment of distributions
|
|
|
|
|
|
|
|
|
|
|
149,932
|
|
|
|
29,313
|
|
Cost of shares repurchased and retired
|
|
|
|
|
|
|
(281,341
|
)
|
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets applicable to common shares
from capital share transactions
|
|
|
|
|
|
|
(281,341
|
)
|
|
|
149,932
|
|
|
|
29,313
|
|
Net increase (decrease) in net assets applicable to common shares
|
|
|
(157,213,465
|
)
|
|
|
21,536,832
|
|
|
|
(9,423,280
|
)
|
|
|
2,384,364
|
|
Net assets applicable to common shares at the beginning of
period
|
|
$
|
2,004,446,957
|
|
|
|
1,982,910,125
|
|
|
$
|
165,622,694
|
|
|
|
163,238,330
|
|
Net assets applicable to common shares at the end of
period
|
|
$
|
1,847,233,492
|
|
|
$
|
2,004,446,957
|
|
|
$
|
156,199,414
|
|
|
$
|
165,622,694
|
|
See accompanying notes to financial statements.
63
Statement of Cash Flows
Year Ended July 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPC
|
|
|
JPI
|
|
|
JPS
|
|
|
JPT
|
|
Cash Flows from Operating Activities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Increase (Decrease) In Net Assets Applicable to Common Shares from Operations
|
|
$
|
(63,588,013
|
)
|
|
$
|
(14,009,682
|
)
|
|
$
|
(24,756,928
|
)
|
|
$
|
146,845
|
|
Adjustments to reconcile the net increase (decrease) in net assets applicable to common shares from
operations to net cash provided by (used in) operating activities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchases of investments
|
|
|
(482,806,853
|
)
|
|
|
(261,100,456
|
)
|
|
|
(690,991,319
|
)
|
|
|
(42,983,628
|
)
|
Proceeds from sales and maturities of investments
|
|
|
585,956,981
|
|
|
|
287,428,588
|
|
|
|
821,871,939
|
|
|
|
49,578,382
|
|
Proceeds from (Purchases of) short-term investments, net
|
|
|
(2,668,969
|
)
|
|
|
(245,825
|
)
|
|
|
(29,976,353
|
)
|
|
|
(1,718,342
|
)
|
Taxes paid
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(144
|
)
|
Amortization (Accretion) of premiums and discounts, net
|
|
|
6,648,292
|
|
|
|
2,109,785
|
|
|
|
8,470,665
|
|
|
|
917,587
|
|
(Increase) Decrease in:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Receivable for dividends
|
|
|
(303,278
|
)
|
|
|
(140,718
|
)
|
|
|
5,061
|
|
|
|
(63,058
|
)
|
Receivable for interest
|
|
|
1,661,704
|
|
|
|
343,030
|
|
|
|
3,183,826
|
|
|
|
45,200
|
|
Receivable for investments sold
|
|
|
(2,694,256
|
)
|
|
|
(1,143,912
|
)
|
|
|
(558,633
|
)
|
|
|
971,683
|
|
Receivable for reclaims
|
|
|
3,821
|
|
|
|
15,745
|
|
|
|
125,369
|
|
|
|
|
|
Other assets
|
|
|
31,595
|
|
|
|
(5,653
|
)
|
|
|
(63,153
|
)
|
|
|
(737
|
)
|
Increase (Decrease) in:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payable for investments purchased - regular settlement
|
|
|
3,175,845
|
|
|
|
3,126,350
|
|
|
|
6,775,000
|
|
|
|
737,500
|
|
Payable for variation margin on futures contracts
|
|
|
15,875
|
|
|
|
14,500
|
|
|
|
|
|
|
|
3,625
|
|
Accrued interest
|
|
|
(1,145,193
|
)
|
|
|
(508,049
|
)
|
|
|
(2,104,528
|
)
|
|
|
(71,744
|
)
|
Accrued management fees
|
|
|
(176,364
|
)
|
|
|
(64,975
|
)
|
|
|
(208,206
|
)
|
|
|
(14,941
|
)
|
Accrued Trustees fees
|
|
|
37,617
|
|
|
|
6,835
|
|
|
|
74,378
|
|
|
|
222
|
|
Accrued other expenses
|
|
|
(49,337
|
)
|
|
|
(19,125
|
)
|
|
|
(69,772
|
)
|
|
|
(9,242
|
)
|
Net realized (gain) loss from investments and foreign currency
|
|
|
65,711,069
|
|
|
|
22,506,803
|
|
|
|
68,779,726
|
|
|
|
4,247,635
|
|
Change in net unrealized (appreciation) depreciation of:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments and foreign currency
|
|
|
28,862,271
|
|
|
|
15,637,860
|
|
|
|
22,544,449
|
|
|
|
3,744,189
|
|
Swaps
|
|
|
31,798,920
|
|
|
|
8,528,772
|
|
|
|
59,688,741
|
|
|
|
|
|
Net cash provided by (used in) operating activities
|
|
|
170,471,727
|
|
|
|
62,479,873
|
|
|
|
242,790,262
|
|
|
|
15,531,032
|
|
Cash Flows from Financing Activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (Decrease) in cash overdraft
|
|
|
|
|
|
|
(1,140,217
|
)
|
|
|
|
|
|
|
(662,404
|
)
|
Proceeds from reverse repurchase agreements
|
|
|
73,500,000
|
|
|
|
20,000,000
|
|
|
|
105,000,000
|
|
|
|
|
|
(Repayments of) repurchase agreements
|
|
|
(108,500,000
|
)
|
|
|
(35,000,000
|
)
|
|
|
(117,000,000
|
)
|
|
|
|
|
Proceeds from borrowings
|
|
|
115,690,000
|
|
|
|
69,300,000
|
|
|
|
220,000,000
|
|
|
|
13,000,000
|
|
(Repayments of) borrowings
|
|
|
(170,690,000
|
)
|
|
|
(79,300,000
|
)
|
|
|
(333,000,000
|
)
|
|
|
(18,200,000
|
)
|
Cash distributions paid to common shareholders
|
|
|
(72,970,110
|
)
|
|
|
(36,584,215
|
)
|
|
|
(133,571,140
|
)
|
|
|
(9,563,629
|
)
|
Net cash provided by (used in) financing activities
|
|
|
(162,970,110
|
)
|
|
|
(62,724,432
|
)
|
|
|
(258,571,140
|
)
|
|
|
(15,426,033
|
)
|
Net Increase (Decrease) in Cash and Cash Collateral at Brokers
|
|
|
7,501,617
|
|
|
|
(244,559
|
)
|
|
|
(15,780,878
|
)
|
|
|
104,999
|
|
Cash and cash collateral at brokers at the beginning of
period
|
|
|
10,124,732
|
|
|
|
3,036,515
|
|
|
|
15,885,879
|
|
|
|
27
|
|
Cash and cash collateral at brokers at the end of period
|
|
$
|
17,626,349
|
|
|
$
|
2,791,956
|
|
|
$
|
105,001
|
|
|
$
|
105,026
|
|
|
|
|
|
|
Supplemental Disclosure of Cash Flow Information
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash paid for interest (excluding amortization of offering costs)
|
|
$
|
12,562,366
|
|
|
$
|
5,893,334
|
|
|
$
|
23,937,995
|
|
|
$
|
934,057
|
|
Non-cash financing
activities not included herein consists of reinvestments of common share distributions
|
|
|
190,641
|
|
|
|
96,137
|
|
|
|
|
|
|
|
149,932
|
|
See accompanying notes to financial statements.
64
THIS PAGE INTENTIONALLY LEFT BLANK
65
Financial Highlights
Selected data for a share outstanding throughout each period:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Operations
|
|
|
Less Distributions to
Common Shareholders
|
|
|
Common Share
|
|
|
|
Beginning
Common
Share
NAV
|
|
|
Net
Investment
Income
(Loss)(a)
|
|
|
Net
Realized/
Unrealized
Gain (Loss)
|
|
|
Total
|
|
|
From
Net
Investment
Income
|
|
|
From
Accumulated
Net
Realized
Gains
|
|
|
Return
of
Capital
|
|
|
Total
|
|
|
Discount
per
Share
Repurchased
and Retired
|
|
|
Ending
NAV
|
|
|
Ending
Share
Price
|
|
|
|
|
|
|
|
|
JPC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 7/31:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2020
|
|
$
|
10.14
|
|
|
$
|
0.65
|
|
|
$
|
(1.26
|
)
|
|
$
|
(0.61
|
)
|
|
$
|
(0.68
|
)
|
|
$
|
|
|
|
$
|
(0.02
|
)
|
|
$
|
(0.70
|
)
|
|
$
|
|
|
|
$
|
8.83
|
|
|
$
|
8.81
|
|
2019
|
|
|
10.16
|
|
|
|
0.70
|
|
|
|
0.01
|
|
|
|
0.71
|
|
|
|
(0.70
|
)
|
|
|
|
|
|
|
(0.03
|
)
|
|
|
(0.73
|
)
|
|
|
|
|
|
|
10.14
|
|
|
|
9.91
|
|
2018
|
|
|
10.87
|
|
|
|
0.76
|
|
|
|
(0.70
|
)
|
|
|
0.06
|
|
|
|
(0.77
|
)
|
|
|
|
|
|
|
|
*
|
|
|
(0.77
|
)
|
|
|
|
|
|
|
10.16
|
|
|
|
9.44
|
|
2017
|
|
|
10.53
|
|
|
|
0.72
|
|
|
|
0.40
|
|
|
|
1.12
|
|
|
|
(0.77
|
)
|
|
|
|
|
|
|
(0.01
|
)
|
|
|
(0.78
|
)
|
|
|
|
|
|
|
10.87
|
|
|
|
10.59
|
|
2016
|
|
|
10.45
|
|
|
|
0.77
|
|
|
|
0.11
|
|
|
|
0.88
|
|
|
|
(0.80
|
)
|
|
|
|
|
|
|
|
|
|
|
(0.80
|
)
|
|
|
|
|
|
|
10.53
|
|
|
|
10.43
|
|
|
JPI
|
|
|
Year Ended 7/31:
|
|
2020
|
|
|
24.67
|
|
|
|
1.59
|
|
|
|
(2.20
|
)
|
|
|
(0.61
|
)
|
|
|
(1.57
|
)
|
|
|
|
|
|
|
(0.04
|
)
|
|
|
(1.61
|
)
|
|
|
|
|
|
|
22.45
|
|
|
|
22.20
|
|
2019
|
|
|
24.39
|
|
|
|
1.64
|
|
|
|
0.27
|
|
|
|
1.91
|
|
|
|
(1.61
|
)
|
|
|
|
|
|
|
(0.02
|
)
|
|
|
(1.63
|
)
|
|
|
|
|
|
|
24.67
|
|
|
|
24.27
|
|
2018
|
|
|
25.97
|
|
|
|
1.66
|
|
|
|
(1.55
|
)
|
|
|
0.11
|
|
|
|
(1.62
|
)
|
|
|
|
|
|
|
(0.07
|
)
|
|
|
(1.69
|
)
|
|
|
|
|
|
|
24.39
|
|
|
|
23.13
|
|
2017
|
|
|
24.60
|
|
|
|
1.75
|
|
|
|
1.46
|
|
|
|
3.21
|
|
|
|
(1.77
|
)
|
|
|
|
|
|
|
(0.07
|
)
|
|
|
(1.84
|
)
|
|
|
|
|
|
|
25.97
|
|
|
|
25.15
|
|
2016
|
|
|
24.88
|
|
|
|
1.86
|
|
|
|
(0.01
|
)
|
|
|
1.85
|
|
|
|
(1.95
|
)
|
|
|
(0.18
|
)
|
|
|
|
|
|
|
(2.13
|
)
|
|
|
|
|
|
|
24.60
|
|
|
|
24.59
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowings at the End of Period
|
|
|
|
Aggregate
Amount
Outstanding
(000)
|
|
|
Asset
Coverage
Per $1,000
|
|
|
|
|
JPC
|
|
|
|
|
|
|
|
|
|
Year Ended 7/31:
|
|
2020
|
|
$
|
400,000
|
|
|
$
|
3,280
|
|
2019
|
|
|
455,000
|
|
|
|
3,303
|
|
2018
|
|
|
437,000
|
|
|
|
3,403
|
|
2017
|
|
|
540,000
|
|
|
|
3,079
|
|
2016
|
|
|
404,100
|
|
|
|
3,526
|
|
|
|
|
JPI
|
|
|
|
|
|
|
|
|
|
Year Ended 7/31:
|
|
2020
|
|
|
200,000
|
|
|
|
3,555
|
|
2019
|
|
|
210,000
|
|
|
|
3,674
|
|
2018
|
|
|
225,000
|
|
|
|
3,467
|
|
2017
|
|
|
225,000
|
|
|
|
3,627
|
|
2016
|
|
|
225,000
|
|
|
|
3,488
|
|
(a)
|
Per share Net Investment Income (Loss) is calculated using the average daily shares method.
|
(b)
|
Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at
NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest
price for the last dividend declared in the period may often be based on the Funds market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.
|
|
Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of
reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the
following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual
reinvestment price may be different from the price used in the calculation. Total returns are not annualized.
|
66
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Share Supplemental Data/
Ratios Applicable to Common Shares
|
|
Common Share
Total Returns
|
|
|
|
|
|
Ratios to Average Net Asset(c)
|
|
|
|
|
Based
on
NAV(b)
|
|
|
Based
on
Share
Price(b)
|
|
|
Ending
Net Assets
(000)
|
|
|
Expenses
|
|
|
Net
Investment
Income (Loss)
|
|
|
Portfolio
Turnover
Rate(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(6.16
|
)%
|
|
|
(4.12
|
)%
|
|
$
|
912,193
|
|
|
|
2.50
|
%
|
|
|
6.87
|
%
|
|
|
32
|
%
|
|
7.48
|
|
|
|
13.52
|
|
|
|
1,047,925
|
|
|
|
3.04
|
|
|
|
7.10
|
|
|
|
23
|
|
|
0.57
|
|
|
|
(3.76
|
)
|
|
|
1,049,894
|
|
|
|
2.59
|
|
|
|
7.19
|
|
|
|
29
|
|
|
11.16
|
|
|
|
9.73
|
|
|
|
1,122,751
|
|
|
|
1.92
|
|
|
|
6.82
|
|
|
|
32
|
|
|
9.01
|
|
|
|
23.47
|
|
|
|
1,020,717
|
|
|
|
1.73
|
|
|
|
7.58
|
|
|
|
17
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(2.50
|
)
|
|
|
(1.93
|
)
|
|
|
511,060
|
|
|
|
2.34
|
|
|
|
6.75
|
|
|
|
34
|
|
|
8.29
|
|
|
|
12.79
|
|
|
|
561,523
|
|
|
|
2.72
|
|
|
|
6.90
|
|
|
|
27
|
|
|
0.37
|
|
|
|
(1.40
|
)
|
|
|
555,058
|
|
|
|
2.22
|
|
|
|
6.56
|
|
|
|
26
|
|
|
13.62
|
|
|
|
10.29
|
|
|
|
591,018
|
|
|
|
1.93
|
|
|
|
7.04
|
|
|
|
19
|
|
|
7.96
|
|
|
|
20.97
|
|
|
|
559,722
|
|
|
|
1.77
|
|
|
|
7.73
|
|
|
|
23
|
|
(c)
|
Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to borrowings
and/or reverse repurchase agreements (as described in Note 8 Fund Leverage), where applicable.
|
|
|
Each ratio includes the effect of all interest expenses paid and other costs related to borrowings and/or reverse
repurchase agreements, where applicable, as follows:
|
|
|
|
|
|
|
|
JPC
|
|
Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
|
|
|
Year Ended 7/31:
|
|
2020
|
|
|
1.17
|
%
|
2019
|
|
|
1.73
|
|
2018
|
|
|
1.29
|
|
2017
|
|
|
0.70
|
|
2016
|
|
|
0.50
|
|
|
|
JPI
|
|
|
|
|
|
Year Ended 7/31:
|
|
2020
|
|
|
1.01
|
|
2019
|
|
|
1.43
|
|
2018
|
|
|
0.97
|
|
2017
|
|
|
0.67
|
|
2016
|
|
|
0.50
|
|
(d)
|
Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 4
Portfolio Securities and Investments in Derivatives) divided by the average long-term market value during the period.
|
*
|
Rounds to less than $0.01 per common share.
|
See accompanying notes to financial statements.
67
Financial Highlights (continued)
Selected data for a share outstanding throughout each period:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Operations
|
|
|
Less Distributions to
Common Shareholders
|
|
|
Common Share
|
|
|
|
Beginning
Common
Share
NAV
|
|
|
Net
Investment
Income
(Loss)(a)
|
|
|
Net
Realized/
Unrealized
Gain (Loss)
|
|
|
Total
|
|
|
From
Net
Investment
Income
|
|
|
From
Accumulated
Net Realized
Gains
|
|
|
Return
of
Capital
|
|
|
Total
|
|
|
Discount
per Share
Repurchased
and Retired
|
|
|
Offering
Costs
|
|
|
Ending
NAV
|
|
|
Ending
Share
Price
|
|
|
JPS
|
|
|
Year Ended 7/31:
|
|
2020
|
|
$
|
9.84
|
|
|
$
|
0.63
|
|
|
$
|
(0.76
|
)
|
|
$
|
(0.13
|
)
|
|
$
|
(0.60
|
)
|
|
$
|
|
|
|
$
|
(0.05
|
)
|
|
$
|
(0.65
|
)
|
|
$
|
|
|
|
$
|
|
|
|
$
|
9.06
|
|
|
$
|
9.07
|
|
2019
|
|
|
9.73
|
|
|
|
0.66
|
|
|
|
0.12
|
|
|
|
0.78
|
|
|
|
(0.66
|
)
|
|
|
|
|
|
|
(0.01
|
)
|
|
|
(0.67
|
)
|
|
|
|
**
|
|
|
|
|
|
|
9.84
|
|
|
|
9.79
|
|
2018
|
|
|
10.39
|
|
|
|
0.69
|
|
|
|
(0.62
|
)
|
|
|
0.07
|
|
|
|
(0.73
|
)
|
|
|
|
|
|
|
|
|
|
|
(0.73
|
)
|
|
|
|
|
|
|
|
|
|
|
9.73
|
|
|
|
8.94
|
|
2017
|
|
|
9.67
|
|
|
|
0.71
|
|
|
|
0.75
|
|
|
|
1.46
|
|
|
|
(0.74
|
)
|
|
|
|
|
|
|
|
|
|
|
(0.74
|
)
|
|
|
|
|
|
|
|
|
|
|
10.39
|
|
|
|
10.30
|
|
2016
|
|
|
9.75
|
|
|
|
0.69
|
|
|
|
(0.07
|
)
|
|
|
0.62
|
|
|
|
(0.70
|
)
|
|
|
|
|
|
|
|
|
|
|
(0.70
|
)
|
|
|
|
|
|
|
|
|
|
|
9.67
|
|
|
|
9.63
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPT
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 7/31:
|
|
2020
|
|
|
24.24
|
|
|
|
1.29
|
|
|
|
(1.27
|
)
|
|
|
0.02
|
|
|
|
(1.42
|
)
|
|
|
|
|
|
|
|
|
|
|
(1.42
|
)
|
|
|
|
|
|
|
|
|
|
|
22.84
|
|
|
|
23.20
|
|
2019
|
|
|
23.89
|
|
|
|
1.36
|
|
|
|
0.41
|
|
|
|
1.77
|
|
|
|
(1.42
|
)
|
|
|
|
|
|
|
|
|
|
|
(1.42
|
)
|
|
|
|
|
|
|
|
|
|
|
24.24
|
|
|
|
23.90
|
|
2018
|
|
|
25.62
|
|
|
|
1.44
|
|
|
|
(1.66
|
)
|
|
|
(0.22
|
)
|
|
|
(1.51
|
)
|
|
|
|
|
|
|
|
|
|
|
(1.51
|
)
|
|
|
|
|
|
|
|
|
|
|
23.89
|
|
|
|
23.17
|
|
2017(d)
|
|
|
24.63
|
|
|
|
0.74
|
|
|
|
0.94
|
|
|
|
1.68
|
|
|
|
(0.64
|
)
|
|
|
|
|
|
|
|
|
|
|
(0.64
|
)
|
|
|
|
|
|
|
(0.05
|
)
|
|
|
25.62
|
|
|
|
25.24
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowings at End of Period
|
|
|
|
Aggregate
Amount
Outstanding
(000)
|
|
|
Asset
Coverage
Per $1,000
|
|
|
|
|
JPS
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 7/31:
|
|
|
|
|
|
|
|
|
2020
|
|
$
|
740,300
|
|
|
$
|
3,495
|
|
2019
|
|
|
853,300
|
|
|
|
3,349
|
|
2018
|
|
|
845,300
|
|
|
|
3,346
|
|
2017
|
|
|
845,300
|
|
|
|
3,506
|
|
2016
|
|
|
945,000
|
|
|
|
3,086
|
|
|
|
|
JPT
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 7/31:
|
|
|
|
|
|
|
|
|
2020
|
|
|
37,300
|
|
|
|
5,188
|
|
2019
|
|
|
42,500
|
|
|
|
4,897
|
|
2018
|
|
|
42,500
|
|
|
|
4,841
|
|
2017(d)
|
|
|
42,500
|
|
|
|
5,113
|
|
(a)
|
Per share Net Investment Income (Loss) is calculated using the average daily shares method.
|
(b)
|
Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at
NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest
price for the last dividend declared in the period may often be based on the Funds market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.
|
|
Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of
reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the
following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual
reinvestment price may be different from the price used in the calculation. Total returns are not annualized.
|
68
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Share Supplemental Data/
Ratios Applicable to Common Shares
|
|
Common Share
Total Returns
|
|
|
|
|
|
Ratios to Average Net Assets
Before Reimbursement(c)
|
|
|
|
|
Based
on
NAV(b)
|
|
|
Based
on
Share
Price(b)
|
|
|
Ending
Net Assets
(000)
|
|
|
Expenses
|
|
|
Net
Investment
Income (Loss)
|
|
|
Portfolio
Turnover
Rate(e)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1.29
|
)%
|
|
|
(0.59
|
)%
|
|
$
|
1,847,233
|
|
|
|
2.44
|
%
|
|
|
6.73
|
%
|
|
|
24
|
%
|
|
8.53
|
|
|
|
18.01
|
|
|
|
2,004,447
|
|
|
|
3.02
|
|
|
|
6.91
|
|
|
|
16
|
|
|
0.66
|
|
|
|
(6.43
|
)
|
|
|
1,982,910
|
|
|
|
2.48
|
|
|
|
6.77
|
|
|
|
13
|
|
|
15.83
|
|
|
|
15.50
|
|
|
|
2,118,545
|
|
|
|
2.03
|
|
|
|
7.18
|
|
|
|
13
|
|
|
6.77
|
|
|
|
14.48
|
|
|
|
1,970,819
|
|
|
|
1.84
|
|
|
|
7.31
|
|
|
|
36
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0.15
|
|
|
|
3.18
|
|
|
|
156,199
|
|
|
|
1.71
|
|
|
|
5.52
|
|
|
|
22
|
|
|
7.76
|
|
|
|
9.78
|
|
|
|
165,623
|
|
|
|
2.00
|
|
|
|
5.83
|
|
|
|
26
|
|
|
(0.84
|
)
|
|
|
(2.36
|
)
|
|
|
163,238
|
|
|
|
1.77
|
|
|
|
5.82
|
|
|
|
28
|
|
|
6.69
|
|
|
|
3.54
|
|
|
|
174,791
|
|
|
|
1.61
|
*
|
|
|
5.73
|
*
|
|
|
22
|
|
(c)
|
Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to borrowings
and/or reverse repurchase agreements (as described in Note 8 Fund Leverage), where applicable.
|
|
|
Each ratio includes the effect of all interest expenses paid and other costs related to borrowings and/or reverse
repurchase agreements, where applicable, as follows:
|
|
|
|
|
|
|
|
JPS
|
|
Ratios of Interest Expense
to Average Net Assets
Applicable to Common Shares
|
|
|
Year Ended 7/31:
|
|
2020
|
|
|
1.14
|
%
|
2019
|
|
|
1.73
|
|
2018
|
|
|
1.22
|
|
2017
|
|
|
0.77
|
|
2016
|
|
|
0.50
|
|
|
|
JPT
|
|
|
|
|
|
Year Ended 7/31:
|
|
2020
|
|
|
0.55
|
|
2019
|
|
|
0.83
|
|
2018
|
|
|
0.60
|
|
2017(d)
|
|
|
0.42
|
*
|
(d)
|
For the period January 26, 2017 (commencement of operations) through July 31, 2017.
|
(e)
|
Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 4
Portfolio Securities and Investments in Derivatives) divided by the average long-term market value during the period.
|
**
|
Rounds to less than $0.01 per common share.
|
See accompanying notes to financial statements.
69
Notes to Financial Statements
1. General Information
Fund Information
The funds covered in this report and their corresponding New
York Stock Exchange (NYSE) symbols are as follows (each a Fund and collectively, the Funds):
|
|
|
Nuveen Preferred & Income Opportunities Fund (JPC)
|
|
|
|
Nuveen Preferred and Income Term Fund (JPI)
|
|
|
|
Nuveen Preferred & Income Securities Fund (JPS)
|
|
|
|
Nuveen Preferred and Income 2022 Term Fund (JPT)
|
The Funds are registered under the Investment Company Act of 1940 (the 1940 Act), as amended, as diversified, closed-end management investment companies. JPC,
JPI, JPS and JPT were each organized as Massachusetts business trusts on January 27, 2003, April 18, 2012, June 24, 2002 and July 6, 2016, respectively.
The end of the reporting period for the Funds is July 31, 2020, and the period covered by these Notes to Financial Statements is the fiscal year ended July 31,
2020 (the current fiscal period).
Investment Adviser and Sub-Adviser
The Funds investment adviser is Nuveen Fund Advisors, LLC (the Adviser), a subsidiary of Nuveen, LLC (Nuveen). Nuveen is the investment
management arm of Teachers Insurance and Annuity Association of America (TIAA). The Adviser has overall responsibility for management of the Funds, oversees the management of the Funds portfolios, manages the Funds business affairs and
provides certain clerical, bookkeeping and other administrative services, and, if necessary, asset allocation decisions. The Adviser has entered into sub-advisory agreements with NWQ Investment Management Company, LLC (NWQ), an affiliate
of Nuveen, Spectrum Asset Management, Inc. (Spectrum), and/or Nuveen Asset Management LLC (NAM), a subsidiary of the Adviser, (each a Sub-Adviser and collectively, the Sub-Advisers). NWQ and NAM are
each responsible for approximately half of JPCs portfolio. NAM manages the investment portfolio of JPI and JPT, while Spectrum manages the investment portfolio of JPS. The Adviser is responsible for managing JPCs, JPIs and
JPSs investments in swap contracts.
Other Matters
The outbreak of
the novel coronavirus (COVID-19) and subsequent global pandemic began significantly impacting the U.S. and global financial markets and economies during the calendar quarter ended March 31, 2020. The worldwide spread of COVID-19 has
created significant uncertainty in the global economy. The duration and extent of COVID-19 over the long-term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds
normal course of business, results of operations, investments, and cash flows will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.
2. Significant Accounting Policies
The accompanying financial statements were
prepared in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP), which may require the use of estimates made by management and the evaluation of subsequent events. Actual results may
differ from those estimates. Each Fund is an investment company and follows the accounting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification 946, Financial Services Investment Companies.
The net asset value (NAV) for financial reporting purposes may differ from the NAV for processing security and common share transactions. The NAV for financial reporting purposes includes security and common share transactions through
the date of the report. Total return is computed based on the NAV used for processing security and common share transactions. The following is a summary of the significant accounting policies consistently followed by the Funds.
Compensation
The Funds pay no compensation directly to those of its trustees
who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Funds Board of Trustees (the Board) has adopted a deferred
compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen-advised funds. Under the plan, deferred amounts are treated as
though equal dollar amounts had been invested in shares of select Nuveen advised funds.
70
Distributions to Common Shareholders
Distributions to common shareholders are recorded on the ex-dividend date. The amount, character and timing of distributions are
determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.
Foreign Currency Transactions and Translation
To the extent that the Funds invest in securities and/or contracts that are denominated in a currency other than U.S. dollars, the Funds will be subject to currency risk,
which is the risk that an increase in the U.S. dollar relative to the foreign currency will reduce returns or portfolio value. Generally, when the U.S. dollar rises in value against a foreign currency, the Funds investments denominated in that
currency will lose value because their currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value. Investments and other assets and liabilities denominated in foreign currencies are converted into
U.S. dollars on a spot (i.e. cash) basis at the spot rate prevailing in the foreign currency exchange market at the time of valuation. Purchases and sales of investments and income denominated in foreign currencies are translated into U.S. dollars
on the respective dates of such transactions.
The books and records of the Funds are maintained in U.S. dollars. Assets, including investments, and liabilities
denominated in foreign currencies are translated into U.S. dollars at the end of each day. Purchases and sales of securities, income and expenses are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the
transactions.
Net realized foreign currency gains and losses resulting from changes in exchange rates associated with (i) foreign currency, (ii) investments and
(iii) derivatives include foreign currency gains and losses between trade date and settlement date of the transactions, foreign currency transactions, and the difference between the amounts of interest and dividends recorded on the books of the Fund
and the amounts actually received are recognized as a component of Net realized gain (loss) from investments and foreign currency on the Statement of Operations, when applicable.
The unrealized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with (i) investments and (ii)
other assets and liabilities are recognized as a component of Change in net unrealized appreciation (depreciation) of investments and foreign currency on the Statement of Operations, when applicable. The unrealized gains and losses
resulting from changes in foreign exchange rates associated with investments in derivatives are recognized as a component of the respective derivatives related Change in net unrealized appreciation (depreciation) on the Statement
of Operations, when applicable.
As of the end of the reporting period, the Funds investments in non-U.S. securities were as follows:
|
|
|
|
|
|
|
|
|
JPC
|
|
Value
|
|
|
% of Total
Investments
|
|
Country:
|
|
|
|
|
|
|
|
|
United Kingdom
|
|
$
|
101,669,733
|
|
|
|
7.1
|
%
|
Switzerland
|
|
|
56,728,084
|
|
|
|
4.0
|
|
France
|
|
|
54,513,245
|
|
|
|
3.8
|
|
Canada
|
|
|
38,401,461
|
|
|
|
2.7
|
|
Australia
|
|
|
25,450,852
|
|
|
|
1.8
|
|
Netherlands
|
|
|
21,700,051
|
|
|
|
1.5
|
|
Spain
|
|
|
14,461,706
|
|
|
|
1.0
|
|
Italy
|
|
|
12,990,250
|
|
|
|
0.9
|
|
Bermuda
|
|
|
12,199,547
|
|
|
|
0.8
|
|
Germany
|
|
|
11,324,087
|
|
|
|
0.8
|
|
Other
|
|
|
22,804,259
|
|
|
|
1.6
|
|
Total non-U.S. securities
|
|
$
|
372,243,275
|
|
|
|
26.0
|
%
|
|
|
|
JPI
|
|
|
|
|
|
|
Country:
|
|
|
|
|
|
|
|
|
United Kingdom
|
|
$
|
82,469,110
|
|
|
|
10.8
|
%
|
Switzerland
|
|
|
53,067,297
|
|
|
|
7.0
|
|
France
|
|
|
51,270,947
|
|
|
|
6.7
|
|
Australia
|
|
|
23,773,050
|
|
|
|
3.1
|
|
Netherlands
|
|
|
14,884,997
|
|
|
|
1.9
|
|
Spain
|
|
|
13,701,444
|
|
|
|
1.8
|
|
Italy
|
|
|
12,192,485
|
|
|
|
1.6
|
|
Canada
|
|
|
10,706,271
|
|
|
|
1.4
|
|
Ireland
|
|
|
10,179,603
|
|
|
|
1.3
|
|
Germany
|
|
|
4,947,980
|
|
|
|
0.7
|
|
Other
|
|
|
10,343,541
|
|
|
|
1.4
|
|
Total non-U.S. securities
|
|
$
|
287,536,725
|
|
|
|
37.7
|
%
|
71
Notes to Financial Statements (continued)
|
|
|
|
|
|
|
|
|
JPS
|
|
Value
|
|
|
% of Total
Investments
|
|
Country:
|
|
|
|
|
|
|
|
|
United Kingdom
|
|
$
|
534,004,434
|
|
|
|
18.5
|
%
|
France
|
|
|
340,964,680
|
|
|
|
11.8
|
|
Switzerland
|
|
|
217,864,422
|
|
|
|
7.5
|
|
Finland
|
|
|
84,514,133
|
|
|
|
2.9
|
|
Netherlands
|
|
|
48,781,350
|
|
|
|
1.7
|
|
Canada
|
|
|
29,077,238
|
|
|
|
1.0
|
|
Ireland
|
|
|
25,840,661
|
|
|
|
0.9
|
|
Italy
|
|
|
25,464,000
|
|
|
|
0.9
|
|
Spain
|
|
|
22,082,250
|
|
|
|
0.8
|
|
Other
|
|
|
54,217,438
|
|
|
|
1.8
|
|
Total non-U.S. securities
|
|
$
|
1,382,810,606
|
|
|
|
47.8
|
%
|
|
|
|
JPT
|
|
|
|
|
|
|
Country:
|
|
|
|
|
|
|
|
|
United Kingdom
|
|
$
|
10,005,441
|
|
|
|
5.2
|
%
|
Australia
|
|
|
6,996,423
|
|
|
|
3.6
|
|
Canada
|
|
|
4,735,630
|
|
|
|
2.5
|
|
France
|
|
|
4,022,081
|
|
|
|
2.1
|
|
Ireland
|
|
|
3,303,764
|
|
|
|
1.7
|
|
Germany
|
|
|
2,905,351
|
|
|
|
1.5
|
|
Japan
|
|
|
2,094,456
|
|
|
|
1.1
|
|
Other
|
|
|
2,379,751
|
|
|
|
1.2
|
|
Total non-U.S. securities
|
|
$
|
36,442,897
|
|
|
|
18.9
|
%
|
Indemnifications
Under the Funds
organizational documents, their officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide
general indemnifications to other parties. The Funds maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior
claims or losses pursuant to these contracts and expect the risk of loss to be remote.
Investments and Investment Income
Securities transactions are accounted for as of the trade date for financial reporting purposes. Realized gains and losses on securities transactions are based
upon the specific identification method. Dividend income is recorded on the ex-dividend date or, for certain foreign securities, when information is available. Non-cash dividends received in the form of stock, if any, are recorded on the
ex-dividend date and recorded at fair value. Interest income, which reflects the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Interest income also reflects payment-in-kind (PIK) interest and paydown gains and losses, if any. PIK interest represents income received in the form of securities in lieu of cash. Other
income is comprised of fees earned in connection with the rehypothecation of pledged collateral as further described in Note 8 Fund Leverage.
Netting Agreements
In the ordinary course of business, the Funds may enter
into transactions subject to enforceable master repurchase agreements, International Swaps and Derivatives Association, Inc. (ISDA) master agreements or other similar arrangements (netting agreements). Generally, the right to offset in
netting agreements allows each Fund to offset certain securities and derivatives with a specific counterparty, when applicable, as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally,
each Fund manages its cash collateral and securities collateral on a counterparty basis.
The Funds investments subject to netting agreements as of the end of
the reporting period, if any, are further described in Note 4 Portfolio Securities and Investments in Derivatives.
New Accounting Pronouncements and
Rule Issuances
FASB Accounting Standards Update (ASU) 2017-08 (ASU 2017-08) Premium Amortization on Purchased Callable Debt Securities
The FASB has issued ASU 2017-08, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 specifies
that the premium amortization period ends at the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15,
2018. During the current fiscal period, ASU 2017-08 became effective for the Funds. The Funds have adopted and applied ASU 2017-08 on a modified retrospective basis through a cumulative-effect adjustment as of the
72
beginning of the period of adoption. As a result of
the adoption of ASU 2017-08, as of August 1, 2019, the amortized cost basis of investments was reduced and unrealized appreciation of investments was increased for JPC, JPI, JPS and JPT by $10,633,735, $3,525,443, $28,206,191 and $1,696,981,
respectively. The adoption of ASU 2017-08 had no impact on beginning net assets, the current period results from operations, or any prior period information presented in the financial statements. Management has evaluated the impact of this ASU and
has adopted the changes into these financial statements.
Fair Value Measurement: Disclosure Framework
During August 2018, the FASB issued ASU 2018-13 (ASU 2018-13), Fair Value
Measurement: Disclosure Framework Changes to the Disclosure Requirements for Fair Value Measurements. ASU 2018-13 modifies the disclosures required by Topic 820, Fair Value Measurements. The amendments
ASU 2018-13 are effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has early implemented this guidance and it did not
have a material impact on the Funds financial statements.
Reference Rate Reform
In March 2020, FASB issued ASU 2020-04, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The main objective of the new
guidance is to provide relief to companies that will be impacted by the expected change in benchmark interest rates at the end of 2021, when participating banks will no longer be required to submit London Interbank Offered Rate (LIBOR) quotes by the
UK Financial Conduct Authority (FCA). The new guidance allows companies to, provided the only change to existing contracts are a change to an approved benchmark interest rate, account for modifications as a continuance of the existing contract
without additional analysis. For new and existing contracts, the Funds may elect to apply the optional expedients as of March 12, 2020 through December 31, 2022. Management has not yet elected to apply the optional expedients, but is currently
assessing the impact of the ASUs adoption to the Funds financial statements and various filings.
3. Investment Valuation and Fair Value Measurements
The fair valuation input levels as described below are for fair value measurement purposes.
The Funds investments in securities is recorded at their estimated fair value. Fair value is defined as the price that would be received upon selling an investment
or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of
unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market
data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are
based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.
|
|
|
Level 1
|
|
Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
|
Level 2
|
|
Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, credit spreads, etc.).
|
Level 3
|
|
Prices are determined using significant unobservable inputs (including managements assumptions in determining the fair value of investments).
|
Common stocks and other equity-type securities are valued at the last sales price on the securities exchange on which such securities are
primarily traded and are generally classified as Level 1. Securities primarily traded on the Nasdaq National Market (Nasdaq) are valued at the Nasdaq Official Closing Price and are generally classified as Level 1. However,
securities traded on a securities exchange or Nasdaq for which there were no transactions on a given day or securities not listed on a securities exchange or Nasdaq are valued at the quoted bid price and are generally classified as Level 2. Prices
of certain American Depositary Receipts (ADR) held by the Funds that trade in the United States are valued based on the last traded price, official closing price or the most recent bid price of the underlying non- U.S.-traded stock,
adjusted as appropriate for the underlying-to-ADR conversion ratio and foreign exchange rate, and from time-to-time may also be adjusted further to take into account material events that may take place after the close of the local non-U.S. market
but before the close of the NYSE, which may represent a transfer from a Level 1 to a Level 2 security.
Prices of fixed-income securities are provided by an
independent pricing service (pricing service) approved by the Board. The pricing service establishes a securitys fair value using methods that may include consideration of the following: yields or prices of investments of
comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including
the obligors credit characteristics considered relevant. These securities are generally classified as Level 2. In pricing certain securities, particularly less liquid and lower quality securities, the pricing service may consider information
about a security, its issuer or market activity, provided by the Adviser. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs.
Prices of swap contracts are also provided by a pricing service approved by the Board using the same methods as described above, and are generally classified as Level 2.
Investments in investment companies are valued at their respective NAVs on valuation date and are generally classified as Level 1.
73
Notes to Financial Statements (continued)
Repurchase agreements are valued at contract amount plus accrued interest, which approximates
market value. These securities are generally classified as Level 2.
Futures contracts are valued using the closing settlement price or, in the absence of such a
price, the last traded price, and are generally classified as Level 1.
Investments initially valued in currencies other than the U.S. dollar are converted to
the U.S. dollar using exchange rates obtained from pricing services. As a result, the NAV of the Funds shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities traded in markets
outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the NYSE is closed and an investor is not able to purchase, redeem or exchange shares. If significant market events occur
between the time of determination of the closing price of a foreign security on an exchange and the time that the Funds NAV is determined, or if under the Funds procedures, the closing price of a foreign security is not deemed to be
reliable, the security would be valued at fair value as determined in accordance with procedures established in good faith by the Board. These securities are generally classified as Level 2 or Level 3 depending on the observability of the
significant inputs.
Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the
Board and/or its appointee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a
pricing service is unable to provide a market price; securities whose trading has been formally suspended; debt securities that have gone into default and for which there is no current market quotation; a security whose market price is not available
from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Funds NAV (as may be the
case in non-U.S. markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the
securitys fair value. As a general principle, the fair value of a security would appear to be the amount that the owner might reasonably expect to receive for it in a current sale. A variety of factors may be considered in determining the fair
value of such securities, which may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations
of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligors credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3
depending on the observability of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Board and/or its appointee.
The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of
each Funds fair value measurements as of the end of the reporting period:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPC
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Long-Term Investments*:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$1,000 Par (or similar) Institutional Preferred
|
|
$
|
|
|
|
$
|
656,061,714
|
|
|
$
|
|
|
|
$
|
656,061,714
|
|
$25 Par (or similar) Retail Preferred
|
|
|
361,051,413
|
|
|
|
66,181,126
|
**
|
|
|
|
|
|
|
427,232,539
|
|
Contingent Capital Securities
|
|
|
|
|
|
|
234,075,478
|
|
|
|
|
|
|
|
234,075,478
|
|
Corporate Bonds
|
|
|
|
|
|
|
73,980,481
|
|
|
|
|
|
|
|
73,980,481
|
|
Convertible Preferred Securities
|
|
|
19,492,431
|
|
|
|
|
|
|
|
|
|
|
|
19,492,431
|
|
|
|
|
|
|
Short-Term Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements
|
|
|
|
|
|
|
20,978,407
|
|
|
|
|
|
|
|
20,978,407
|
|
|
|
|
|
|
Investments in Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Swaps***
|
|
|
|
|
|
|
(42,108,731
|
)
|
|
|
|
|
|
|
(42,108,731
|
)
|
Futures Contracts***
|
|
|
(370,240
|
)
|
|
|
|
|
|
|
|
|
|
|
(370,240
|
)
|
Total
|
|
$
|
380,173,604
|
|
|
$
|
1,009,168,475
|
|
|
$
|
|
|
|
$
|
1,389,342,079
|
|
|
|
|
|
|
JPI
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments*:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$1,000 Par (or similar) Institutional Preferred
|
|
$
|
|
|
|
$
|
351,057,493
|
|
|
$
|
|
|
|
$
|
351,057,493
|
|
Contingent Capital Securities
|
|
|
|
|
|
|
220,412,763
|
|
|
|
|
|
|
|
220,412,763
|
|
$25 Par (or similar) Retail Preferred
|
|
|
136,900,964
|
|
|
|
49,836,254
|
**
|
|
|
|
|
|
|
186,737,218
|
|
Corporate Bonds
|
|
|
|
|
|
|
3,223,460
|
|
|
|
|
|
|
|
3,223,460
|
|
|
|
|
|
|
Short-Term Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements
|
|
|
|
|
|
|
245,825
|
|
|
|
|
|
|
|
245,825
|
|
|
|
|
|
|
Investments in Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Swaps***
|
|
|
|
|
|
|
(11,501,668
|
)
|
|
|
|
|
|
|
(11,501,668
|
)
|
Futures Contracts***
|
|
|
(338,172
|
)
|
|
|
|
|
|
|
|
|
|
|
(338,172
|
)
|
Total
|
|
$
|
136,562,792
|
|
|
$
|
613,274,127
|
|
|
$
|
|
|
|
$
|
749,836,919
|
|
74
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPS
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Long-Term Investments*:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$1,000 Par (or similar) Institutional Preferred
|
|
$
|
|
|
|
$
|
1,363,440,292
|
|
|
$
|
|
|
|
$
|
1,363,440,292
|
|
Contingent Capital Securities
|
|
|
|
|
|
|
1,049,149,280
|
|
|
|
|
|
|
|
1,049,149,280
|
|
$25 Par (or similar) Retail Preferred
|
|
|
272,474,664
|
|
|
|
64,674,513
|
**
|
|
|
|
|
|
|
337,149,177
|
|
Corporate Bonds
|
|
|
|
|
|
|
36,939,067
|
|
|
|
|
|
|
|
36,939,067
|
|
Convertible Preferred Securities
|
|
|
23,678,280
|
|
|
|
10,620,000
|
**
|
|
|
|
|
|
|
34,298,280
|
|
Investment Companies
|
|
|
20,963,716
|
|
|
|
|
|
|
|
|
|
|
|
20,963,716
|
|
|
|
|
|
|
Short-Term Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements
|
|
|
|
|
|
|
53,020,397
|
|
|
|
|
|
|
|
53,020,397
|
|
|
|
|
|
|
Investments in Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Swaps***
|
|
|
|
|
|
|
(79,038,498
|
)
|
|
|
|
|
|
|
(79,038,498
|
)
|
Total
|
|
$
|
317,116,660
|
|
|
$
|
2,498,805,051
|
|
|
$
|
|
|
|
$
|
2,815,921,711
|
|
|
|
|
|
|
JPT
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments*:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$1,000 Par (or similar) Institutional Preferred
|
|
$
|
|
|
|
$
|
132,863,197
|
|
|
$
|
|
|
|
$
|
132,863,197
|
|
$25 Par (or similar) Retail Preferred
|
|
|
45,500,897
|
|
|
|
12,351,466
|
**
|
|
|
|
|
|
|
57,852,363
|
|
Corporate Bonds
|
|
|
|
|
|
|
752,600
|
|
|
|
|
|
|
|
752,600
|
|
|
|
|
|
|
Short-Term Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements
|
|
|
|
|
|
|
1,718,342
|
|
|
|
|
|
|
|
1,718,342
|
|
|
|
|
|
|
Investments in Derivatives:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts***
|
|
|
(84,543
|
)
|
|
|
|
|
|
|
|
|
|
|
(84,543
|
)
|
Total
|
|
$
|
45,416,354
|
|
|
$
|
147,685,605
|
|
|
$
|
|
|
|
$
|
193,101,959
|
|
*
|
Refer to the Funds Portfolio of Investments for industry classifications, when applicable.
|
**
|
Refer to the Funds Portfolio of Investments for securities classified as Level 2.
|
***
|
Represents net unrealized appreciation (depreciation) as reported in the Funds Portfolio of Investments.
|
4. Portfolio Securities and Investments in Derivatives
Portfolio Securities
Repurchase Agreements
In connection with transactions in repurchase agreements, it is each Funds policy that its custodian take possession of the underlying collateral securities, the
fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or
limited.
The following table presents the repurchase agreements for the Funds that are subject to netting agreements as of the end of the reporting period, and the
collateral delivered related to those repurchase agreements.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund
|
|
Counterparty
|
|
Short-Term
Investments, at Value
|
|
|
Collateral
Pledged (From)
Counterparty*
|
|
|
Net
Exposure
|
|
JPC
|
|
Fixed Income Clearing Corporation
|
|
$
|
20,978,407
|
|
|
$
|
(20,978,407
|
)
|
|
$
|
|
|
JPI
|
|
Fixed Income Clearing Corporation
|
|
|
245,825
|
|
|
|
(245,825
|
)
|
|
|
|
|
JPS
|
|
Fixed Income Clearing Corporation
|
|
|
53,020,397
|
|
|
|
(53,020,397
|
)
|
|
|
|
|
JPT
|
|
Fixed Income Clearing Corporation
|
|
|
1,718,342
|
|
|
|
(1,718,342
|
)
|
|
|
|
|
*
|
As of the end of the reporting period, the value of the collateral pledged from the counterparty exceeded the value of the
repurchase agreements. Refer to the Funds Portfolio of Investments for details on the repurchase agreements.
|
Zero Coupon Securities
A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Income to the holder of the security comes from
accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile
than the market prices of securities that pay interest periodically.
75
Notes to Financial Statements (continued)
Investment Transactions
Long-term purchases and sales (including maturities but excluding derivative transactions, where applicable) during the current fiscal period, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPC
|
|
|
JPI
|
|
|
JPS
|
|
|
JPT
|
|
Purchases
|
|
$
|
482,806,853
|
|
|
$
|
261,100,456
|
|
|
$
|
690,991,319
|
|
|
$
|
42,983,628
|
|
Sales and maturities
|
|
|
585,956,981
|
|
|
|
287,428,588
|
|
|
|
821,871,939
|
|
|
|
49,578,382
|
|
The Funds may purchase securities on a when-issued or delayed-delivery basis. Securities purchased on a when-issued or delayed-delivery
basis may have extended settlement periods; interest income is not accrued until settlement date. Any securities so purchased are subject to market fluctuation during this period. The Funds have earmarked securities in their portfolios with a
current value at least equal to the amount of the when-issued/delayed-delivery purchase commitments. If a Fund has outstanding when-issued/delayed-delivery purchases commitments as of the end of the reporting period, such amounts are recognized on
the Statement of Assets and Liabilities.
Investments in Derivatives
Each
Fund is authorized to invest in certain derivative instruments such as futures, options and swap contracts. Each Fund limits its investments in futures, options on futures and swap contracts to the extent necessary for the Adviser to claim the
exclusion from registration by the Commodity Futures Trading Commission as a commodity pool operator with respect to the Fund. The Funds record derivative instruments at fair value, with changes in fair value recognized on the Statement of
Operations, when applicable. Even though the Funds investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.
Futures Contracts
Upon execution of a futures contract, a Fund is obligated to
deposit cash or eligible securities, also known as initial margin, into an account at its clearing broker equal to a specified percentage of the contract amount. Cash held by the broker to cover initial margin requirements on
open futures contracts, if any, is recognized as Cash collateral at broker for investments in futures contracts on the Statement of Assets and Liabilities. Investments in futures contracts obligate a Fund and the clearing
broker to settle monies on a daily basis representing changes in the prior days mark-to-market of the open contracts. If a Fund has unrealized
appreciation the clearing broker would credit the Funds account with an amount equal to appreciation and conversely if a Fund has unrealized depreciation the clearing broker would debit the Funds account with an amount equal to
depreciation. These daily cash settlements are also known as variation margin. Variation margin is recognized as a receivable and/or payable for Variation margin on futures contracts on the Statement
of Assets and Liabilities.
During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by marking-to-market on a daily basis to reflect the changes in market value of the contract, which is recognized as a component of Change in
net unrealized appreciation (depreciation) of futures contracts on the Statement of Operations. When the contract is closed or expired, a Fund records a realized gain or loss equal to the difference between the value of the contract on
the closing date and value of the contract when originally entered into, which is recognized as a component of Net realized gain (loss) from futures contracts on the Statement of Operations.
Risks of investments in futures contracts include the possible adverse movement in the price of the securities or indices underlying the contracts, the possibility that
there may not be a liquid secondary market for the contracts and/or that a change in the value of the contract may not correlate with a change in the value of the underlying securities or indices.
During the current fiscal period, JPC, JPI and JPT invested in short interest rate futures to manage the Funds exposure to various points along the yield curve,
with a net effect of decreasing the Funds overall interest rate sensitivity.
The average notional amount of futures contracts outstanding during the current
fiscal period was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPC
|
|
|
JPI
|
|
|
JPT
|
|
Average notional amount of futures contracts outstanding*
|
|
$
|
21,401,915
|
|
|
$
|
19,530,653
|
|
|
$
|
4,882,663
|
|
*
|
The average notional amount is calculated based on the absolute aggregate notional of contracts outstanding at the
beginning of the current fiscal period and at the end of each quarter within the current fiscal period.
|
76
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Location on the Statement of Assets and
Liabilities
|
|
Underlying
Risk Exposure
|
|
Derivative
Instrument
|
|
Asset Derivatives
|
|
|
|
|
|
(Liability) Derivatives
|
|
|
Location
|
|
Value
|
|
|
|
|
|
Location
|
|
Value
|
|
JPC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
Futures contracts
|
|
|
|
$
|
|
|
|
|
|
|
|
Payable for variation margin on futures contracts*
|
|
$
|
(370,240
|
)
|
JPI
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
Futures contracts
|
|
|
|
$
|
|
|
|
|
|
|
|
Payable for variation margin on futures contracts*
|
|
$
|
(338,172
|
)
|
JPT
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
Futures contracts
|
|
|
|
$
|
|
|
|
|
|
|
|
Payable for variation margin on futures contracts*
|
|
$
|
(84,543
|
)
|
*
|
Value represents the cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Funds
Portfolio of Investments and not the daily asset and/or liability derivative location as described in the table above.
|
The following table presents
the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on futures contracts on the Statement of Operations during the current fiscal period, and the primary underlying risk exposure.
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund
|
|
Underlying Risk
Exposure
|
|
Derivative
Instrument
|
|
Net Realized
Gain (Loss)
from Futures
Contracts
|
|
|
Change in Net
Unrealized Appreciation
(Depreciation)
of Futures
Contracts
|
|
JPC
|
|
Interest rate
|
|
Futures contracts
|
|
$
|
(2,608,517
|
)
|
|
$
|
(370,240
|
)
|
JPI
|
|
Interest rate
|
|
Futures contracts
|
|
|
(2,379,696
|
)
|
|
|
(338,172
|
)
|
JPT
|
|
Interest rate
|
|
Futures contracts
|
|
|
(594,879
|
)
|
|
|
(84,543
|
)
|
Interest Rate Swap Contracts
Interest rate
swap contracts involve a Funds agreement with the counterparty to pay or receive a fixed rate payment in exchange for the counterparty receiving or paying a variable rate payment. Forward interest rate swap contracts involve a Funds
agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the Fund a variable or fixed rate payment, the accruals for which begin at a specified date in the future (the
effective date).
The amount of the payment obligation for an interest rate swap is based on the notional amount and the termination date of the contract.
Interest rate swap contracts do not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the net amount of interest
payments that the Fund is to receive.
Interest rate swap contracts are valued daily. Upon entering into an interest rate swap contract (and beginning on the
effective date for a forward interest rate swap contract), the Fund accrues the fixed rate payment expected to be paid or received and the variable rate payment expected to be received or paid on the interest rate swap contracts on a daily basis,
and recognizes the daily change in the fair value of the Funds contractual rights and obligations under the contracts. For an over-the-counter (OTC) swap, that is not cleared through a clearing house (OTC Uncleared),
the amount recorded on these transactions is recognized on the Statement of Assets and Liabilities as a component of Unrealized appreciation or depreciation on interest rate swaps.
Upon the execution of an OTC swap cleared through a clearing house (OTC Cleared), the Fund is obligated to deposit cash or eligible securities, also known as
initial margin, into an account at its clearing broker equal to a specified percentage of the contract amount. Cash deposited by the Fund to cover initial margin requirements on open swap contracts, if any, is recognized as a component
of Cash collateral at brokers for investments in swaps on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate the Fund and the clearing broker to settle monies on a daily basis representing changes in the
prior days mark-to-market of the swap contract. If the Fund has unrealized appreciation, the clearing broker will credit the Funds account with an amount equal to the appreciation. Conversely, if the Fund has unrealized
depreciation, the clearing broker will debit the Funds account with an amount equal to the depreciation. These daily cash settlements are also known as variation margin. Variation margin for OTC Cleared swaps is recognized as a
receivable and/or payable for Variation margin on swap contracts on the Statement of Assets and Liabilities. Upon the execution of an OTC Uncleared swap, neither the Fund nor the counterparty is required to deposit initial margin as the
trades are recorded bilaterally between both parties to the swap contract, and the terms of the variation margin are subject to a predetermined threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is
recognized as a component of Unrealized appreciation or depreciation on interest rate swaps as described in the preceding paragraph.
The net amount of
periodic payments settled in cash are recognized as a component of Net realized gain (loss) from swaps on the Statement of Operations, in addition to the net realized gain or loss recorded upon the termination of the swap contract. For
tax purposes, payments expected to be received or paid on the swap contracts are treated as ordinary income or expense, respectively. Changes in the value of the swap contracts during the fiscal period are recognized as a component of Change
in net unrealized appreciation (depreciation) of swaps on the Statement of Operations. In certain instances, payments are made or
77
Notes to Financial Statements (continued)
received upon entering into the swap contract to compensate for differences between the stated
terms of the swap agreements and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Payments received or made at the beginning of the measurement period, if any, are recognized as
Interest rate swaps premiums received and/or paid on the Statement of Assets and Liabilities.
During the current fiscal period, JPC, JPI and JPS
continued to use interest rate swap contracts to partially hedge the interest cost of leverage, which is through the use of bank borrowings.
The average notional
amount of interest rate swap contracts outstanding during the current fiscal period was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPC
|
|
|
JPI
|
|
|
JPS
|
|
Average notional amount of interest rate swap contracts
outstanding*
|
|
$
|
325,500,000
|
|
|
$
|
157,000,000
|
|
|
$
|
611,000,000
|
|
*
|
The average notional amount is calculated based on the outstanding notional at the beginning of the current fiscal period
and at the end of each fiscal quarter within the current fiscal period.
|
The following table presents the fair value of all swap contracts held by
the Funds as of the end of the reporting period, the location of these instruments on the Statement of Assets and Liabilities and the primary underlying risk exposure.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Location on the Statement of Assets and
Liabilities
|
|
Underlying
Risk Exposure
|
|
Derivative
Instrument
|
|
Asset Derivatives
|
|
|
|
|
|
(Liability) Derivatives
|
|
|
Location
|
|
Value
|
|
|
|
|
|
Location
|
|
Value
|
|
JPC
|
|
Interest rate
|
|
Swaps (OTC Uncleared)
|
|
|
|
$
|
|
|
|
|
|
|
|
Unrealized depreciation on interest rate swaps**
|
|
$
|
(42,108,731
|
)
|
JPI
|
|
Interest rate
|
|
Swaps (OTC Uncleared)
|
|
|
|
$
|
|
|
|
|
|
|
|
Unrealized depreciation on interest rate swaps**
|
|
$
|
(11,501,668
|
)
|
JPS
|
|
Interest rate
|
|
Swaps (OTC Uncleared)
|
|
|
|
$
|
|
|
|
|
|
|
|
Unrealized depreciation on interest rate swaps**
|
|
$
|
(79,038,498
|
)
|
**
|
Some swap contracts require a counterparty to pay or receive a premium, which is disclosed in the Statement of Assets and
Liabilities, when applicable, and is not reflected in the cumulative unrealized appreciation (depreciation) presented above.
|
The following table
presents the swap contracts subject to netting agreements and the collateral delivered related to those swap contracts as of the end of the reporting period.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund
|
|
Counterparty
|
|
Gross
Unrealized
Appreciation on
Interest Rate
Swaps***
|
|
|
Gross
Unrealized
(Depreciation) on
Interest Rate
Swaps***
|
|
|
Net
Unrealized
Appreciation
(Depreciation) on
Interest Rate
Swaps
|
|
|
Collateral
Pledged
to (from)
Counterparty
|
|
|
Net
Exposure
|
|
JPC
|
|
Morgan Stanley Capital Services LLC
|
|
$
|
|
|
|
$
|
(42,108,731
|
)
|
|
$
|
(42,108,731
|
)
|
|
$
|
41,651,749
|
|
|
$
|
(456,982
|
)
|
JPI
|
|
Morgan Stanley Capital Services LLC
|
|
|
|
|
|
|
(11,501,668
|
)
|
|
|
(11,501,668
|
)
|
|
|
11,203,690
|
|
|
|
(297,978
|
)
|
JPS
|
|
Morgan Stanley Capital Services LLC
|
|
|
|
|
|
|
(79,038,498
|
)
|
|
|
(79,038,498
|
)
|
|
|
76,074,240
|
|
|
|
(2,964,258
|
)
|
***
|
Represents gross unrealized appreciation (depreciation) for the counterparty as reported in the Funds Portfolio of
Investments.
|
The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation)
recognized on swap contracts on the Statement of Operations during the current fiscal period, and the primary underlying risk exposure.
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund
|
|
Underlying
Risk Exposure
|
|
Derivative
Instrument
|
|
Net Realized
Gain (Loss)
from Swaps
|
|
|
Change in Net
Unrealized
Appreciation
(Depreciation)
of Swaps
|
|
JPC
|
|
Interest rate
|
|
Swaps
|
|
$
|
(1,473,476
|
)
|
|
$
|
(31,798,920
|
)
|
JPI
|
|
Interest rate
|
|
Swaps
|
|
|
(705,667
|
)
|
|
|
(8,528,772
|
)
|
JPS
|
|
Interest rate
|
|
Swaps
|
|
|
(2,767,376
|
)
|
|
|
(59,688,741
|
)
|
Market and Counterparty Credit Risk
In the
normal course of business each Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform
(counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose each Fund to counterparty credit risk,
78
consist principally of cash due from counterparties
on forward, option and swap transactions, when applicable. The extent of each Funds exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and
Liabilities.
Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources
to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of
each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as
collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the
pre-determined threshold amount.
5. Fund Shares
Common Share
Transactions
Transactions in common shares during the Funds current and prior fiscal period were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPC
|
|
|
JPI
|
|
|
JPS
|
|
|
JPT
|
|
|
|
Year Ended
7/31/20
|
|
|
Year Ended
7/31/19
|
|
|
Year Ended
7/31/20
|
|
|
Year Ended
7/31/19
|
|
|
Year Ended
7/31/20
|
|
|
Year Ended
7/31/19
|
|
|
Year Ended
7/31/20
|
|
|
Year Ended
7/31/19
|
|
Common shares:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issued to shareholders due to reinvestment of distributions
|
|
|
22,600
|
|
|
|
|
|
|
|
4,083
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,460
|
|
|
|
1,221
|
|
Repurchased and retired
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(38,000
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average common share:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Price per share repurchased and retired
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
7.38
|
|
|
$
|
|
|
|
$
|
|
|
Discount per share repurchased and retired
|
|
|
|
%
|
|
|
|
%
|
|
|
|
%
|
|
|
|
%
|
|
|
|
%
|
|
|
17.59
|
%
|
|
|
|
%
|
|
|
|
%
|
6. Income Tax Information
Each Fund is a
separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal
Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required.
For all open tax years and all major taxing
jurisdictions, management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities
(i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Funds is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits
will significantly change in the next twelve months.
The following information is presented on an income tax basis. Differences between amounts for financial
statement and federal income tax purposes are primarily due to recognition of premium amortization and timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent in
nature, such amounts are reclassified within the capital accounts as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the NAVs of the Funds.
The table below presents the cost and unrealized appreciation (depreciation) of each Funds investment portfolio, as determined on a federal income tax basis, as of
July 31, 2020.
For purposes of this disclosure, derivative tax cost is generally the sum of any upfront fees or premiums exchanged and any amounts unrealized for
income statement reporting but realized in income and/or capital gains tax reporting. If a particular derivative category does not disclose any tax unrealized appreciation or depreciation, the change in value of those derivatives have generally been
fully realized for tax purposes.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPC
|
|
|
JPI
|
|
|
JPS
|
|
|
JPT
|
|
Tax cost of investments
|
|
$
|
1,408,898,209
|
|
|
$
|
745,062,271
|
|
|
$
|
2,721,933,416
|
|
|
$
|
195,070,056
|
|
Gross unrealized:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Appreciation
|
|
$
|
55,629,050
|
|
|
$
|
32,968,960
|
|
|
$
|
183,386,457
|
|
|
$
|
6,009,985
|
|
Depreciation
|
|
|
(75,185,180
|
)
|
|
|
(28,194,312
|
)
|
|
|
(89,398,162
|
)
|
|
|
(7,978,082
|
)
|
Net unrealized appreciation (depreciation) of investments
|
|
$
|
(19,556,130
|
)
|
|
$
|
4,774,648
|
|
|
$
|
93,988,295
|
|
|
$
|
(1,968,097
|
)
|
79
Notes to Financial Statements (continued)
Permanent differences, primarily due to bond premium amortization adjustments, treatment of
notional principal contracts, complex securities character adjustments and federal taxes paid resulted in reclassifications among the Funds components of common share net assets as of July 31, 2020, the Funds tax year end.
The tax components of undistributed net ordinary income and net long-term capital gains as of July 31, 2020, the Funds tax year end, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPC
|
|
|
JPI
|
|
|
JPS
|
|
|
JPT
|
|
Undistributed net ordinary income1
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
113,667
|
|
Undistributed net long-term capital gains
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 Undistributed net ordinary
income (on a tax basis) has not been reduced for the dividend declared on July 1, 2020 and paid on August 3, 2020. Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if
any.
|
|
The tax character of distributions paid during the Funds tax years ended July 31, 2020 and July 31, 2019 was designated
for purposes of the dividends paid deduction as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2020
|
|
JPC
|
|
|
JPI
|
|
|
JPS
|
|
|
JPT
|
|
Distributions from net ordinary income2
|
|
$
|
69,950,246
|
|
|
$
|
35,590,098
|
|
|
$
|
122,286,673
|
|
|
$
|
9,720,057
|
|
Distributions from net long-term capital gains
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Return of capital
|
|
|
2,384,333
|
|
|
|
959,791
|
|
|
|
10,169,864
|
|
|
|
|
|
|
|
|
|
|
2019
|
|
JPC
|
|
|
JPI
|
|
|
JPS
|
|
|
JPT
|
|
Distributions from net ordinary income2
|
|
$
|
72,875,999
|
|
|
$
|
36,597,335
|
|
|
$
|
134,127,887
|
|
|
$
|
9,714,392
|
|
Distributions from net long-term capital gains
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Return of capital
|
|
|
2,763,427
|
|
|
|
406,048
|
|
|
|
2,824,952
|
|
|
|
|
|
|
2 Net ordinary income consists
of net taxable income derived from dividends, interest, and net short-term capital gains, if any.
|
|
As of July 31, 2020, the Funds tax year end, the Funds had unused capital losses carrying forward available for federal income
tax purposes to be applied against future capital gains, if any. The capital losses are not subject to expiration.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPC3
|
|
|
JPI
|
|
|
JPS
|
|
|
JPT
|
|
Not subject to expiration:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-term
|
|
|
|
|
|
$
|
39,477,696
|
|
|
$
|
11,626,863
|
|
|
$
|
17,229,059
|
|
|
$
|
2,075,713
|
|
Long-term
|
|
|
|
|
|
|
56,857,408
|
|
|
|
17,188,937
|
|
|
|
81,135,766
|
|
|
|
7,093,919
|
|
Total
|
|
|
|
|
|
$
|
96,335,104
|
|
|
$
|
28,815,800
|
|
|
$
|
98,364,825
|
|
|
$
|
9,169,632
|
|
3
|
A portion of JPCs capital loss carryforward is subject to an annual limitation under the Internal Revenue Code and
related regulations.
|
7. Management Fees
Each
Funds management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Sub-Advisers are compensated for their services to the Funds from the management fees paid to the
Adviser. Spectrum also receives compensation on certain portfolio transactions for providing brokerage services to JPS. During the current fiscal period, JPS paid Spectrum commissions of $92,385.
Each Funds management fee consists of two components a fund-level fee, based only on the amount of assets within each individual Fund, and a complex-level
fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables each Funds shareholders to benefit from growth in the assets within their respective Fund as well as from growth in the
amount of complex-wide assets managed by the Adviser.
The annual fund-level fee, payable monthly, for each Fund is calculated according to the following schedule:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Daily Managed Assets*
|
|
JPC
|
|
|
JPI
|
|
|
JPS
|
|
|
JPT
|
|
For the first $500 million
|
|
|
0.6800
|
%
|
|
|
0.7000
|
%
|
|
|
0.7000
|
%
|
|
|
0.7000
|
%
|
For the next $500 million
|
|
|
0.6550
|
|
|
|
0.6750
|
|
|
|
0.6750
|
|
|
|
0.6750
|
|
For the next $500 million
|
|
|
0.6300
|
|
|
|
0.6500
|
|
|
|
0.6500
|
|
|
|
0.6500
|
|
For the next $500 million
|
|
|
0.6050
|
|
|
|
0.6250
|
|
|
|
0.6250
|
|
|
|
0.6250
|
|
For managed assets over $2 billion
|
|
|
0.5800
|
|
|
|
0.6000
|
|
|
|
0.6000
|
|
|
|
0.6000
|
|
80
The annual complex-level fee, payable monthly, for
each Fund is calculated by multiplying the current complex-wide fee rate, determined according to the following schedule by the Funds daily managed assets:
|
|
|
|
|
Complex-Level Eligible Asset Breakpoint Level*
|
|
Effective Complex-Level Fee Rate at Breakpoint Level
|
|
$55 billion
|
|
|
0.2000
|
%
|
$56 billion
|
|
|
0.1996
|
|
$57 billion
|
|
|
0.1989
|
|
$60 billion
|
|
|
0.1961
|
|
$63 billion
|
|
|
0.1931
|
|
$66 billion
|
|
|
0.1900
|
|
$71 billion
|
|
|
0.1851
|
|
$76 billion
|
|
|
0.1806
|
|
$80 billion
|
|
|
0.1773
|
|
$91 billion
|
|
|
0.1691
|
|
$125 billion
|
|
|
0.1599
|
|
$200 billion
|
|
|
0.1505
|
|
$250 billion
|
|
|
0.1469
|
|
$300 billion
|
|
|
0.1445
|
|
*
|
For the complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to
certain types of leverage. For these purposes, leverage includes the funds use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond
(TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trusts issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such
assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen open-end and closed-end funds that constitute eligible assets. Eligible
assets do not include assets attributable to investments in other Nuveen funds or assets in excess of a determined amount (originally $2 billion) added to the Nuveen fund complex in connection with the Advisers assumption of the management of
the former First American Funds effective January 1, 2011, but do not include certain assets of certain Nuveen funds that were reorganized into funds advised by an affiliate of the Adviser during the 2019 calendar year. As of July 31,
2020, the complex-level fee rate for each Fund was 0.1578%.
|
8. Fund Leverage
Borrowings
JPC, JPI, JPS, and JPT have each entered into a borrowing
arrangement (collectively, Borrowings) which permit the Funds to borrow on a secured basis as a means of leverage. As of the end of the reporting period, each Funds maximum commitment amount under these Borrowings is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPC
|
|
|
JPI
|
|
|
JPS
|
|
|
JPT
|
|
Maximum commitment amount
|
|
$
|
440,000,000
|
|
|
$
|
225,000,000
|
|
|
$
|
850,000,000
|
|
|
$
|
47,000,000
|
|
As of the end of the reporting period, each Funds outstanding balance on its Borrowings was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPC
|
|
|
JPI
|
|
|
JPS
|
|
|
JPT
|
|
Outstanding balance on Borrowings
|
|
$
|
400,000,000
|
|
|
$
|
200,000,000
|
|
|
$
|
740,300,000
|
|
|
$
|
37,300,000
|
|
For JPC, JPI and JPS interest is charged on these Borrowings at 1-Month LIBOR (London Inter-Bank Offered Rate) plus 0.75% (0.70% prior to
December 31, 2019) per annum on the amounts borrowed and 0.50% per annum on the undrawn balance if the undrawn portion of the Borrowings on a particular day is more than 20% of the maximum commitment amount. During the current fiscal
period, JPC and JPS incurred a 0.10% amendment fee on the increase in their respective maximum commitment amounts. JPTs interest is charged on the Borrowings at a rate equal to the 1-month LIBOR plus
0.70% per annum on the amount borrowed. JPT is also charged a 0.125% commitment fee on the undrawn portion of the Borrowings.
During the current fiscal period, the
average daily balance outstanding (which was for the entire reporting period) and average annual interest rate on each Funds Borrowings were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPC
|
|
|
JPI
|
|
|
JPS
|
|
|
JPT
|
|
Average daily balance outstanding
|
|
$
|
429,476,776
|
|
|
$
|
207,268,579
|
|
|
$
|
797,709,836
|
|
|
$
|
38,854,645
|
|
Average annual interest rate
|
|
|
1.98
|
%
|
|
|
1.98
|
%
|
|
|
1.98
|
%
|
|
|
2.09
|
%
|
In order to maintain these Borrowings, the Funds must meet certain collateral, asset coverage and other requirements. Borrowings
outstanding are fully secured by eligible securities held in each Funds portfolio of investments. (Pledged Collateral)
Borrowings outstanding are
recognized as Borrowings on the Statement of Assets and Liabilities. Interest expense incurred on the borrowed amount and undrawn balance and amendment fees are recognized as a component of Interest expense on the Statement
of Operations.
81
Notes to Financial Statements (continued)
Rehypothecation
JPC, JPI and JPS have each entered into a Rehypothecation Side Letter (Side Letter) with its prime brokerage lender, allowing it to re-register the Pledged
Collateral in its own name or in a name other than the Funds to pledge, repledge, hypothecate, rehypothecate, sell, lend or otherwise transfer or use the Pledged Collateral (the Hypothecated Securities) with all rights of ownership
as described in the Side Letter. Subject to certain conditions, the total value of the outstanding Hypothecated Securities shall not exceed the lesser of (i) 98% of the outstanding balance on the Borrowings to which the Pledged Collateral
relates and (ii) 331⁄3% of the Funds total assets. The Funds may designate any Pledged Collateral as ineligible for rehypothecation. The Funds may also
recall Hypothecated Securities on demand.
The Funds also have the right to apply and set-off an amount equal to one-hundred percent (100%) of the then-current
fair market value of such Pledged Collateral against the current Borrowings under the Side Letter in the event that the prime brokerage lender fails to timely return the Pledged Collateral and in certain other circumstances. In such circumstances,
however, the Funds may not be able to obtain replacement financing required to purchase replacement securities and, consequently, the Funds income generating potential may decrease. Even if a Fund is able to obtain replacement financing, it
might not be able to purchase replacement securities at favorable prices.
The Funds will receive a fee in connection with the Hypothecated Securities
(Rehypothecation Fees) in addition to any principal, interest, dividends and other distributions paid on the Hypothecated Securities.
As of the end of
the reporting period, JPC, JPI and JPS each had Hypothecated Securities as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPC
|
|
|
JPI
|
|
|
JPS
|
|
Hypothecated Securities
|
|
$
|
307,931,325
|
|
|
$
|
185,093,212
|
|
|
$
|
623,244,232
|
|
JPC, JPI and JPS earn Rehypothecation Fees, which are recognized as Other income on the Statement of Operations. During the
current fiscal period, the Rehypothecation Fees earned by each Fund were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPC
|
|
|
JPI
|
|
|
JPS
|
|
Rehypothecation Fees
|
|
$
|
252,672
|
|
|
$
|
97,033
|
|
|
$
|
320,087
|
|
Reverse Repurchase Agreements
During the
current fiscal period, JPC, JPI and JPS used reverse repurchase agreements as a means of leverage.
In a reverse repurchase agreement, the Funds sell to the
counterparty a security that it holds with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date, with the Funds retaining the risk of loss that is associated with that security. The Funds will pledge assets
determined to be liquid by the Adviser to cover its obligations under reverse repurchase agreements. Securities sold under reverse repurchase agreements are recorded as a liability and recognized as Reverse repurchase agreements on the
Statement of Assets and Liabilities.
Payments made on reverse repurchase agreements are recognized as a component of Interest expense on the Statement of
Operations.
As of the end of the reporting period, the Funds outstanding balances on its reverse repurchase agreements were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund
|
|
Counterparty
|
|
Rate
|
|
Principal
Amount
|
|
|
Maturity*
|
|
|
Value
|
|
|
Value and
Accrued Interest
|
|
JPC
|
|
BNP Paribas
|
|
1-Month LIBOR plus 0.70%
|
|
$
|
(100,000,000
|
)
|
|
|
N/A
|
|
|
$
|
(100,000,000
|
)
|
|
$
|
100,063,830
|
|
JPI
|
|
BNP Paribas
|
|
1-Month LIBOR plus 0.70%
|
|
|
(45,000,000
|
)
|
|
|
N/A
|
|
|
|
(45,000,000
|
)
|
|
|
45,033,412
|
|
JPS
|
|
BNP Paribas
|
|
1-Month LIBOR plus 0.70%
|
|
|
(248,000,000
|
)
|
|
|
N/A
|
|
|
|
(248,000,000
|
)
|
|
|
248,184,138
|
|
*
|
The Fund may repurchase the reverse repurchase agreement prior to the maturity date and/or counterparty may accelerate
maturity upon pre-specified advance notice.
|
During the current fiscal period, the average daily balance outstanding and weighted average interest
rate on the Funds reverse repurchase agreements were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPC
|
|
|
JPI
|
|
|
JPS
|
|
Average daily balance outstanding
|
|
$
|
113,554,645
|
|
|
$
|
51,841,530
|
|
|
$
|
251,754,098
|
|
Weighted average interest rate
|
|
|
1.96
|
%
|
|
|
1.96
|
%
|
|
|
1.96
|
%
|
82
The following table presents the reverse repurchase
agreements subject to netting agreements and the collateral delivered related to those reverse repurchase agreements.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund
|
|
Counterparty
|
|
|
Reverse Repurchase
Agreements**
|
|
|
Collateral
Pledged to
counterparty***
|
|
|
Net
Exposure
|
|
JPC
|
|
|
BNP Paribas
|
|
|
$
|
(100,063,830
|
)
|
|
$
|
100,063,830
|
|
|
$
|
|
|
JPI
|
|
|
BNP Paribas
|
|
|
|
(45,033,412
|
)
|
|
|
45,033,412
|
|
|
|
|
|
JPS
|
|
|
BNP Paribas
|
|
|
|
(248,184,138
|
)
|
|
|
248,184,138
|
|
|
|
|
|
**
|
Represents gross value and accrued interest for the counterparty as reported in the preceding table.
|
***
|
As of the end of the reporting period, the value of the collateral pledged to the counterparty exceeded the value of the
reverse repurchase agreements.
|
9. Inter-Fund Lending
Inter-Fund Borrowing and Lending
The Securities and Exchange Commission
(SEC) has granted an exemptive order permitting registered open-end and closed-end Nuveen funds to participate in an inter-fund lending facility whereby the
Nuveen funds may directly lend to and borrow money from each other for temporary purposes (e.g., to satisfy redemption requests or when a sale of securities fails, resulting in an unanticipated cash shortfall) (the Inter-Fund
Program). The closed-end Nuveen funds, including the Funds covered by this shareholder report, will participate only as lenders, and not as borrowers, in the Inter-Fund Program because such closed-end funds rarely, if ever, need to borrow cash to meet redemptions. The Inter-Fund Program is subject to a number of conditions, including, among other things, the requirements that (1) no fund may
borrow or lend money through the Inter-Fund Program unless it receives a more favorable interest rate than is typically available from a bank or other financial institution for a comparable transaction; (2) no fund may borrow on an unsecured
basis through the Inter-Fund Program unless the funds outstanding borrowings from all sources immediately after the inter-fund borrowing total 10% or less of its total assets; provided that if the borrowing fund has a secured borrowing
outstanding from any other lender, including but not limited to another fund, the inter-fund loan must be secured on at least an equal priority basis with at least an equivalent percentage of collateral to loan value; (3) if a funds total
outstanding borrowings immediately after an inter-fund borrowing would be greater than 10% of its total assets, the fund may borrow through the inter-fund loan on a secured basis only; (4) no fund may lend money if the loan would cause its
aggregate outstanding loans through the Inter-Fund Program to exceed 15% of its net assets at the time of the loan; (5) a funds inter-fund loans to any one fund shall not exceed 5% of the lending funds net assets; (6) the
duration of inter-fund loans will be limited to the time required to receive payment for securities sold, but in no event more than seven days; and (7) each inter-fund loan may be called on one business days notice by a lending fund and
may be repaid on any day by a borrowing fund. In addition, a Nuveen fund may participate in the Inter-Fund Program only if and to the extent that such participation is consistent with the funds investment objective and investment policies. The
Board is responsible for overseeing the Inter-Fund Program.
The limitations detailed above and the other conditions of the SEC exemptive order permitting the
Inter-Fund Program are designed to minimize the risks associated with Inter-Fund Program for both the lending fund and the borrowing fund. However, no borrowing or lending activity is without risk. When a fund borrows money from another fund, there
is a risk that the loan could be called on one days notice or not renewed, in which case the fund may have to borrow from a bank at a higher rate or take other actions to payoff such loan if an inter-fund loan is not available from another
fund. Any delay in repayment to a lending fund could result in a lost investment opportunity or additional borrowing costs.
During the current reporting period, none
of the Funds have entered into any inter-fund loan activity.
10. Subsequent Events
Borrowings
By September 2020, JPC increased the outstanding balance on its
Borrowings to $412,700,000.
By September 2020, JPI increased the outstanding balance on its Borrowings to $211,700,000.
By September 2020, JPS increased the outstanding balance on its Borrowings to $793,300,000.
Reverse Repurchase Agreements
By August 2020, JPC increased the outstanding
balance on its reverse repurchase agreement to $121,000,000.
By August 2020, JPI increased the outstanding balance on its reverse repurchase agreement to
$52,000,000.
By September 2020, JPS increased the outstanding balance on its reverse repurchase agreement to $275,000,000.
83
Shareholder Update (Unaudited)
CURRENT INVESTMENT OBJECTIVE(S), PRINCIPAL INVESTMENT POLICIES
AND PRINCIPAL RISKS OF THE FUNDS
NUVEEN
PREFERRED & INCOME OPPORTUNITIES FUND (JPC)
Investment Objectives
The Fund has a primary investment objective to provide high current income. The secondary investment objective is total return.
Investment Policies
The Fund invests primarily in preferred securities and
other income producing securities, including hybrid securities such as contingent capital securities. The Fund may also invest in other securities, primarily income-oriented securities such as corporate and taxable municipal debt and common equity.
Managed Assets means the total assets of the Fund, minus the sum of its accrued liabilities (other than Fund liabilities incurred for the express purpose
of creating leverage). Total assets for this purpose shall include assets attributable to the Funds use of leverage (whether or not those assets are reflected in the Funds financial statements for purposes of generally accepted
accounting principles), and derivatives will be valued at their market value. Assets means net assets of the Fund plus the amount of any borrowings for investment purposes.
Under normal circumstances:
|
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The Fund will invest at least 80% of its Assets in preferred securities and other income producing securities, including
hybrid securities such as contingent capital securities and up to 20% in other securities, primarily income-oriented securities such as corporate and taxable municipal debt and common equity.
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The Fund will invest at least 50% of its Managed Assets in securities rated investment grade (BBB/Baa and above) at the time
of investment. Investment grade quality securities are those securities that, at the time of investment, are (i) rated by at least one nationally recognized statistical rating organization (NRSRO) within the four highest grades (Baa
or BBB or better by Moodys Investors Service, Inc. (Moodys), Standard & Poors Corporation, a division of The McGraw-Hill Companies (S&P), or Fitch Ratings (Fitch)), or are unrated
but judged to be of comparable quality.
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The Fund will invest more than 25% of its Managed Assets in the securities of companies principally engaged in financial
services.
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The Fund is not limited in the amount of its investments in non-U.S. issuers. The
Fund may invest up to 10% of its Managed Assets in non-U.S. dollar-denominated securities. The Fund may invest up to 5% of the portion of its portfolio managed by Nuveen Asset Management in preferred
securities issued by companies located in emerging market countries.
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For purposes of the investment policies provided above such policies only
apply at the time of purchase and will not be considered violated unless an excess or deficiency occurs or exists immediately after and as a result of an acquisition of securities.
The Board of Trustees of the Fund may change a policy without a shareholder vote. However, with respect to the Funds policy of investing at least 80% of its Assets
in preferred securities and other income producing securities, such policy may not be changed without 60 days prior written notice.
The Fund may use derivative
instruments to seek to hedge some of the risk of the Funds investments or its leverage, to enhance return, to serve as a substitute for a position in an underlying asset, to reduce transaction costs, to manage the Funds effective
interest rate exposure, to maintain full market exposure, to manage cash flows or to preserve capital. Such instruments may include financial futures contracts, swap contracts (including interest rate and credit default swaps), options on equity
securities, options on financial futures or other derivative instruments.
The Fund uses leverage to pursue its investment objective. The Fund may use leverage to the
extent permitted by the 1940 Act. The Fund may source leverage through a number of methods including through borrowings, issuing preferred shares of beneficial, the issuance of debt securities and entering into reverse repurchase agreements
(effectively a borrowing). In addition, the Fund may use derivatives that may have the economic effect of leverage. The amount and sources of leverage will vary depending on market conditions.
During temporary defensive periods, the Fund may deviate from its investment policies and objective. During such periods, the Fund may invest up to 100% of its assets in
high quality, short-term securities, and in short-, intermediate-, or long-term U.S. Treasury securities. There can be no assurance that such techniques will be successful. Accordingly, during such periods, the Fund may not achieve its investment
objective.
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Principal Risks
The Fund is a diversified, closed-end management investment company designed primarily as a long-term investment and not as a
trading vehicle. The Fund is not intended to be a complete investment program and, due to the uncertainty inherent in all investments, there can be no assurance that the Fund will achieve its investment objective.
Investing in the Fund involves a number of risks, including those described below:
Portfolio Level Risks:
Below
Investment Grade Risk. Debt instruments of below investment grade quality are regarded as having predominately speculative characteristics with respect to the issuers capacity to pay interest,
dividends and repay principal, and are commonly referred to as junk bonds or high yield debt, which implies higher price volatility and default risk than investment grade instruments of comparable terms and duration. Issuers of lower grade
instruments may be highly leveraged and may not have available to them more traditional methods of financing. The prices of these lower grade instruments are typically more sensitive to negative developments, such as a decline in the issuers
revenues or a general economic downturn, than are the prices of higher grade instruments. If a below investment grade security goes into default, or its issuer enters bankruptcy, it might be difficult to sell that security in a timely manner at a
reasonable price.
Call Risk. During periods of declining interest rates or for
other purposes, issuers may exercise their option to prepay principal earlier than scheduled, forcing the Fund to reinvest in lower yielding instruments. This is known as prepayment or call risk. The Fund may invest in securities that
are subject to call risk. Debt and preferred instruments may be redeemed at the option of the issuer, or called, before their stated maturity or redemption date. In general, an issuer will call its debt or preferred instruments if they
can be refinanced by issuing new instruments which bear a lower interest or dividend rate. The Fund is subject to the possibility that during periods of falling interest rates, an issuer will call its high yielding debt or preferred instruments. The
Fund would then be forced to invest the unanticipated proceeds at lower interest or dividend rates, resulting in a decline in the Funds income.
Contingent Capital Security Risk. Contingent Capital Securities (sometimes referred to as CoCos) have loss absorption mechanisms benefitting the issuer built into
their terms. Upon the occurrence of a specified trigger or event, CoCos may be subject to automatic conversion into the issuers common stock, which likely will have declined in value and which will be subordinate to the issuers other
classes of securities, or to an automatic write-down of the principal amount of the securities, potentially to zero, which could result in the Fund losing a portion or all of its investment in such securities. CoCos are often rated below investment
grade and are subject to the risks of high yield securities.
Convertible Security Risk. Convertible securities are subject to certain risks of both equity and debt securities. The value of convertible securities may decline in response to such factors as rising interest rates and fluctuations in the market
price of the common stock underlying the convertible securities.
Counterparty
Risk. Certain derivative instruments subject the Fund to the risk that the counterparty could default on its obligations under the agreement, either through the counterpartys bankruptcy or failure to
perform its obligations. In the event of default, the Fund could experience lengthy delays in recovering some or all of its assets or no recovery at all. The Funds investments in the futures markets also introduce the risk that its futures
commission merchant (FCM) would default on an obligation set forth in an agreement between the Fund and the FCM, including the FCMs obligation to return margin posted in connection with the Funds futures contracts. The
failure or bankruptcy of the Funds FCM could result in a substantial loss of Fund assets. The payment obligation for a cleared, over-the-counter derivative
transaction is guaranteed by a central counterparty, which exposes the Fund to the creditworthiness of the central counterparty.
Credit Risk. Debt or preferred securities held by the Fund may fail to make dividend or
interest payments when due. Investments in securities below investment grade credit quality are predominantly speculative and subject to greater volatility and risk of default. Unrated securities are evaluated by Fund managers using industry data
and their own analysis processes that may be similar to that of a nationally recognized rating agency; however, such internal ratings are not equivalent to a national agency credit rating. Counterparty credit risk may arise if counterparties fail to
meet their obligations, should the Fund hold any derivative instruments for either investment exposure or hedging purposes.
Currency Risk. The prices of any non-U.S. securities
held by the Fund that are traded in U.S. dollars are typically indirectly influenced by currency fluctuations. Changes in currency exchange rates may affect the Funds net asset value, interest earned, and gains or losses realized on the sale
of securities. Changes in currency exchange rates will also affect the value of non-U.S. dollar denominated securities, the value of dividends and interest earned from such securities, gains and losses
realized on the sale of such securities, and derivative transactions tied to such securities. A strong U.S. dollar relative to these other currencies will adversely affect the value of the Funds portfolio.
Deflation Risk. Deflation risk is the risk that prices throughout the economy decline over
time, which may have an adverse effect on the market valuation of companies, their assets and revenues. In addition, deflation may have an adverse effect on the creditworthiness of issuers and may make issuer default more likely, which may result in
a decline in the value of the Funds portfolio.
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Shareholder Update (continued)
(Unaudited)
Derivatives Risk. The use of derivatives involves additional risks and transaction costs
which could leave the Fund in a worse position than if it had not used these instruments. Derivative instruments can be used to acquire or to transfer the risk and returns of a security or other asset without buying or selling the security or asset.
These instruments may entail investment exposures that are greater than their cost would suggest. As a result, a small investment in derivatives can result in losses that greatly exceed the original investment. Derivatives can be highly volatile,
illiquid and difficult to value. An over-the-counter derivative transaction between the Fund and a counterparty that is not cleared through a central counterparty
also involves the risk that a loss may be sustained as a result of the failure of the counterparty to the contract to make required payments. The payment obligation for a cleared derivative transaction is guaranteed by a central counterparty, which
exposes the Fund to the creditworthiness of the central counterparty.
It is possible that developments in the derivatives market, including changes in
government regulation, could adversely impact the Funds ability to invest in certain derivatives.
Duration Risk. Duration is the sensitivity, expressed in years, of the price of a fixed-income security to changes in the general level of interest rates (or yields). Securities with longer durations tend to be more sensitive to interest
rate (or yield) changes, which typically corresponds to increased volatility and risk, than securities with shorter durations. For example, if a security or portfolio has a duration of three years and interest rates increase by 1%, then the security
or portfolio would decline in value by approximately 3%. Duration differs from maturity in that it considers potential changes to interest rates, and a securitys coupon payments, yield, price and par value and call features, in addition to the
amount of time until the security matures. The duration of a security will be expected to change over time with changes in market factors and time to maturity.
Financial Services Sector Risk. The Funds policy to concentrate in financial services
companies makes the Fund more susceptible to adverse economic or regulatory occurrences affecting the financial services sector. Financial services companies are particularly sensitive to the adverse effects of economic recession; changes in
government regulation; the availability of capital; volatile interest rates; and the health of the commercial and residential real estate markets.
Foreign Security Risk and Risks of Emerging Markets. Securities of foreign issuers, even when dollar-denominated and publicly traded in the United States, may involve risks
not associated with the securities of domestic issuers. For certain foreign countries, political or social instability, or diplomatic developments could adversely affect the securities. There is also the risk of loss due to governmental actions such
as a change in tax statutes or the modification of individual property rights. In addition, individual foreign economies may differ favorably or unfavorably from the U.S. economy.
The risks of foreign investing are particularly significant in emerging markets. Investing in emerging markets generally involves exposure to economic structures that are
less diverse and mature, and to political systems that are less stable, than those of developed countries. In addition, issuers in emerging markets typically are subject to a greater degree of change in earnings and business prospects than are
companies in developed markets.
Illiquid Investments Risk. The risk that illiquid
investments may be difficult to sell for the value at which they are carried, if at all, or at any price within the desired time frame.
Inflation Risk. Inflation risk is the risk that the value of assets or income from investments will be worth less in the future as inflation decreases the value of money. As
inflation increases, the real value of the Common Shares and distributions can decline.
Interest Rate Risk. Interest rate risk is the risk that debt securities in the Funds portfolio will decline in value because of changes in market interest rates. Generally, when market interest rates rise, the market value of such
securities will fall, and vice versa. As interest rates decline, issuers of debt securities may prepay principal earlier than scheduled, forcing the Fund to reinvest in lower-yielding securities and potentially reducing the Funds income. As
interest rates increase, slower than expected principal payments may extend the average life of securities, potentially locking in a below-market interest rate and reducing the Funds value. In typical market interest rate environments, the
prices of longer-term debt securities generally fluctuate more than prices of shorter-term debt securities as interest rates change. The Federal Reserve recently reduced the federal Funds rate several times.
Mortgage- and Asset-Backed Securities Risk. Mortgage-backed securities are secured by
and payable from pools of mortgage loans. Similarly, asset-backed securities are supported by obligations such as automobile loans, home equity loans, corporate bonds, or commercial loans. These mortgages and other obligations generally can be
prepaid at any time without penalty. As a result, mortgage- and asset-backed securities are subject to prepayment risk, which is the risk that falling interest rates could cause prepayments of the securities to occur more quickly than expected. This
occurs because, as interest rates fall, more individuals refinance the mortgages underlying mortgage-related securities or prepay the debt obligations underlying asset-backed securities. The Fund must reinvest the prepayments at a time when interest
rates are falling, reducing the income of the Fund. In addition, when interest rates fall, prices on mortgage- and asset-backed securities may not rise as much as for other types of comparable debt securities because investors may anticipate an
increase in prepayments.
Mortgage- and asset-backed securities are also subject to extension risk, which is the risk that rising interest rates could cause
mortgages or other obligations underlying the securities to be prepaid more slowly than expected, resulting in slower prepayments of the securities. This would, in effect, convert a short- or medium-duration mortgage- or asset-backed security into a
longer-duration security, increasing its sensitivity to interest rate changes and causing its price to decline.
86
Other Investment
Companies Risk. The Fund may invest in the securities of other investment companies, including ETFs. Investing in an investment company exposes the Fund to all of the risks of that investment companys
investments. The Fund, as a holder of the securities of other investment companies, will bear its pro rata portion of the other investment companies expenses, including advisory fees. These expenses are in addition to the direct expenses of
the Funds own operations. As a result, the cost of investing in investment company shares may exceed the costs of investing directly in its underlying investments. In addition, securities of other investment companies may be leveraged. As a
result, the Fund may be indirectly exposed to leverage through an investment in such securities and therefore magnify the Funds leverage risk. Utilization of leverage is a speculative investment technique and involves certain risks. With
respect to ETFs, an ETF that is based on a specific index may not be able to replicate and maintain exactly the composition and relative weighting of securities in the index. The value of an ETF based on a specific index is subject to change
as the values of its respective component assets fluctuate according to market volatility. ETFs typically rely on a limited pool of authorized participants to create and redeem shares, and an active trading market for ETF shares may not develop or
be maintained. The market value of shares of ETFs and closed-end funds may differ from their NAV.
Preferred Security Risk. Preferred securities generally are subordinated to bonds and other debt instruments in a companys capital structure and therefore will be subject
to greater credit risk than those debt instruments. In addition, preferred securities are subject to other risks, such as having no or limited voting rights, being subject to special redemption rights, having distributions deferred or skipped,
having floating interest rates or dividends, which may result in a decline in value in a falling interest rate environment, having fixed interest rates or dividends, which may result in a decline in value in a rising interest rate environment,
having limited liquidity, changing or unfavorable tax treatments and possibly being issued by companies in heavily regulated industries.
Reinvestment Risk. Reinvestment risk is the risk that income from the Funds portfolio will decline if and when the Fund invests the proceeds from matured, traded or called
securities at market interest rates that are below the portfolios current earnings rate. A decline in income could affect the common shares market price, NAV and/or a common shareholders overall returns.
Reverse Repurchase Agreement Risk. Reverse repurchase agreements, in economic essence,
constitute a securitized borrowing by the Fund from the security purchaser. The Fund may enter into reverse repurchase agreements for the purpose of creating a leveraged investment exposure and, as such, their usage involves essentially the same
risks associated with a leveraging strategy generally since the proceeds from these agreements may be invested in additional securities. Reverse repurchase agreements tend to be short-term in tenor, and there can be no assurances that the purchaser
(lender) will commit to extend or roll a given agreement upon its agreed-upon repurchase date or an alternative purchaser can be identified on similar terms. Reverse repurchase agreements also involve the risk that the purchaser fails to
return the securities as agreed upon, files for bankruptcy or becomes insolvent. The Fund may be restricted from taking normal portfolio actions during such time, could be subject to loss to the extent that the proceeds of the agreement are less
than the value of securities subject to the agreement and may experience adverse tax consequences.
Risks of When-Issued
Purchases. The Fund may purchase securities on a when-issued or forward-commitment basis. Delivery and payment for securities that have been purchased in this manner can take place a month or more
after the transaction date. Such securities do not earn interest, are subject to market fluctuation, and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued or forward commitment basis may increase
the volatility of the Funds net asset value if the Fund makes such purchases while remaining substantially fully invested.
U.S. Government Securities Risk. U.S. government securities are guaranteed only as to the
timely payment of interest and the payment of principal when held to maturity. Accordingly, the current market values for these securities will fluctuate with changes in interest rates. Securities issued or guaranteed by U.S. government agencies and
instrumentalities are supported by varying degrees of credit but generally are not backed by the full faith and credit of the U.S. government. No assurance can be given that the U.S. government will provide financial support to its agencies and
instrumentalities if it is not obligated by law to do so.
Fund Level and Other Risks:
Anti-Takeover Provisions. The Funds Declaration of Trust and By-laws include provisions that could limit the ability of other entities or persons to acquire control of the Fund or convert the Fund to open-end status. These provisions
could have the effect of depriving the common shareholders of opportunities to sell their common shares at a premium over the then-current market price of the common shares.
Global economic risk. National and regional economies and financial markets are becoming
increasingly interconnected, which increases the possibilities that conditions in one country, region or market might adversely impact issuers in a different country, region or market. Changes in legal, political, regulatory, tax and economic
conditions may cause fluctuations in markets and securities prices around the world, which could negatively impact the value of the Funds investments. Major economic or political disruptions, particularly in large economies like Chinas,
may have global negative economic and market repercussions. Additionally, events such as war, terrorism, natural and environmental disasters and the spread of infectious illnesses or other public health emergencies may adversely affect the global
economy and the markets and issuers in which the Fund invests. Recent examples of such events include the outbreak of a novel coronavirus known as COVID-19 that was first detected in China in December 2019 and
heightened concerns regarding North Koreas nuclear weapons and long-range ballistic missile programs. These events could reduce consumer demand or economic output,
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Shareholder Update (continued)
(Unaudited)
result in market closure, travel restrictions or quarantines, and generally have a significant impact on the economy. These events could also impair the information
technology and other operational systems upon which the Funds service providers, including the investment adviser and sub-adviser, rely, and could otherwise disrupt the ability of employees of the
Funds service providers to perform essential tasks on behalf of the Fund. Governmental and quasi-governmental authorities and regulators throughout the world have in the past responded to major economic disruptions with a variety of
significant fiscal and monetary policy changes, including but not limited to, direct capital infusions into companies, new monetary programs and dramatically lower interest rates. An unexpected or quick reversal of these policies, or the
ineffectiveness of these policies, could increase volatility in securities markets, which could adversely affect the Funds investments.
Investment and Market Risk. An investment in common shares is subject to investment risk, including the possible loss of the entire principal amount that you invest. Common
shares frequently trade at a discount to their NAV. An investment in common shares represents an indirect investment in the securities owned by the Fund. Common shares at any point in time may be worth less than your original
investment, even after taking into account the reinvestment of Fund dividends and distributions.
Leverage Risk. The Funds use of leverage may cause higher volatility for the Funds per share NAV, market price, and distributions. Leverage typically magnifies the total return of the Funds portfolio, whether that
return is positive or negative. Leverage is intended to increase common share net income, but there is no assurance that the Funds leveraging strategy will be successful. Different forms of leverage, including swaps, may introduce additional
credit or interest rate risk. Leverage may also increase a Funds liquidity risk, as the Fund may need to sell securities at inopportune times to stay within Fund or regulatory limits.
Market Discount from Net Asset Value. Shares of
closed-end investment companies like the Fund frequently trade at prices lower than their NAV, which creates a risk of loss for investors when they sell shares. This characteristic is a risk separate and
distinct from the risk that the Funds NAV could decrease as a result of investment activities. Shares of closed-end investment companies like the Fund have during some periods traded at prices higher
than NAV and have during other periods traded at prices lower than NAV. Whether investors will realize gains or losses upon the sale of the common shares will depend not upon the Funds NAV but entirely upon whether the market price of the
common shares at the time of sale is above or below the investors purchase price for the common shares. Furthermore, management may have difficulty meeting the Funds investment objective and managing its portfolio when the underlying
securities are redeemed or sold during periods of market turmoil and as investors perceptions regarding closed-end funds or their underlying investments change. Because the market price of the common
shares will be determined by factors such as relative supply of and demand for the common shares in the market, general market and economic circumstances, and other factors beyond the control of the Fund, the Fund cannot predict whether the common
shares will trade at, below or above NAV. The common shares are designed primarily for long-term investors, and you should not view the Fund as a vehicle for short-term trading purposes.
Tax Risk. The tax treatment of Fund distributions may be affected by future changes in
tax laws and regulations or their interpretation by the Internal Revenue Service or state tax authorities.
Valuation
Risk. The Fund utilizes independent pricing services approved by the Board of Trustees to value portfolio instruments at their market value. If the pricing services are unable to provide a market value or
if a significant event occurs such that the valuation(s) provided are deemed unreliable, the Fund may value portfolio instrument(s) at their fair value, which is generally the amount an owner might reasonably expect to receive upon a current sale.
Valuation risks associated with investing in below investment grade debt instruments including, but not limited to: a limited number of market participants, a lack of publicly-available information, resale restrictions, settlement delays, corporate
actions and adverse market conditions may make it difficult to value or sell such instruments. Because non-U.S. instruments may trade on days when common shares are not priced or traded, NAV can change at
times when common shares cannot be sold.
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NUVEEN PREFERRED AND INCOME TERM
FUND (JPI)
Investment Objective
The Fund has an investment objective
to provide a high level of current income and total return.
Investment Policies
The Fund will generally invest in preferred securities and other income producing securities issued by U.S. and non-U.S.
companies, including debt securities, hybrid securities and convertible securities.
Preferred securities generally pay fixed or adjustable rate distributions to
investors and have preference over common stock in the payment of distributions and the liquidation of a companys assets, but are junior to most forms of such companys debt, including both senior and subordinated debt.
Managed Assets means the total assets of the Fund, minus the sum of its accrued liabilities (other than Fund liabilities incurred for the express purpose of
creating leverage). Total assets for this purpose shall include assets attributable to the Funds use of leverage (whether or not those assets are reflected in the Funds financial statements for purposes of generally accepted accounting
principles), and derivatives will be valued at their market value. Assets means net assets of the Fund plus the amount of any borrowings for investment purposes.
Under normal circumstances:
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The Fund invests at least 80% of its Assets in preferred and other income producing securities.
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The Fund may invest up to 20% of its Managed Assets in securities issued by federal, state and local governments and U.S.
government agencies.
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The Fund invests at least 50% of its Managed Assets in securities rated investment grade
(BBB-/Baa3 or higher) at the time of purchase. A security is considered to have the highest rating assigned to it by a rating agency or, in the case of an unrated security, to have the same rating as rated
securities judged by Nuveen Asset Management to be of comparable quality.
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The Fund may invest up to 10% of its Managed Assets in securities rated below B-/B3
at the time of purchase.
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The Fund may invest up to 10% of its Managed Assets in securities of issuers in emerging market countries.
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100% of its Managed Assets in U.S. dollar denominated securities.
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For purposes of the investment policies provided above such policies only apply at the time of purchase and will not be considered violated unless an excess or deficiency
occurs or exists immediately after and as a result of an acquisition of securities.
The Board of Trustees of the Fund may change a policy without a shareholder vote.
However, with respect to the Funds policy of investing at least 80% of its Assets in preferred and other income producing securities, such policy may not be changed without 60 days prior written notice.
The Fund also may invest in certain derivative instruments in pursuit of its investment objective. Such instruments may include financial futures contracts, swap
contracts (including interest rate and credit default swaps), options on financial futures, options on swap contracts, or other derivative instruments. The Fund may use derivative instruments to, among other things, seek to enhance return, to hedge
some of the risk of the Funds investments or as a substitute for a position in the underlying asset.
The Fund uses leverage to pursue its investment objective.
The Funds use of leverage will not exceed 38% of Managed Assets. The Fund may source leverage through a number of methods including through borrowings, issuing preferred shares of beneficial and the issuance of debt securities. In addition,
the Fund may use derivatives that may have the economic effect of leverage. The amount and sources of leverage will vary depending on market conditions.
During
temporary defensive periods, the Fund may deviate from its investment policies and objective. During such periods, the Fund may invest up to 100% of its assets in high quality, short-term securities, and in short-, intermediate-, or long-term U.S.
Treasury securities. There can be no assurance that such techniques will be successful. Accordingly, during such periods, the Fund may not achieve its investment objective.
On or before August 31, 2024 (the Termination Date), the Fund intends to cease its investment operations, liquidate its portfolio, retire or redeem
leverage facilities and distribute substantially all of its net assets to shareholders of record as of the date of termination. The Funds Termination Date may be extended for one period of up to 12 months by a vote of the Board of Trustees, if
the Funds Board of Trustees determines it is in the best interest of the shareholders to do so. The Funds term may not be extended further than one period without a shareholder vote. The amount distributed to common shareholders at the
termination of the Fund will be based on the Funds net asset value at that time. Depending upon a variety of factors, including the
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Shareholder Update (continued)
(Unaudited)
performance of the Funds portfolio over the life of the Fund, the amount distributed to common shareholders at the termination of the Fund may be less, and
potentially significantly less, than their original investment. As the Fund approaches the Termination Date, its monthly distributions are likely to decline.
Principal Risks
The Fund is a diversified,
closed-end management investment company designed primarily as a long-term investment and not as a trading vehicle. The Fund is not intended to be a complete investment program and, due to the uncertainty
inherent in all investments, there can be no assurance that the Fund will achieve its investment objective.
Investing in the Fund involves a number of risks,
including those described below:
Portfolio Level Risks:
Below Investment Grade Risk. Debt instruments of below investment grade quality are regarded as having predominately speculative characteristics with respect to the
issuers capacity to pay interest, dividends and repay principal, and are commonly referred to as junk bonds or high yield debt, which implies higher price volatility and default risk than investment grade instruments of comparable terms and
duration. Issuers of lower grade instruments may be highly leveraged and may not have available to them more traditional methods of financing. The prices of these lower grade instruments are typically more sensitive to negative developments, such as
a decline in the issuers revenues or a general economic downturn, than are the prices of higher grade instruments. If a below investment grade security goes into default, or its issuer enters bankruptcy, it might be difficult to sell that
security in a timely manner at a reasonable price.
Call Risk. During periods of declining interest rates or for other purposes, issuers may exercise their option to prepay principal earlier than scheduled, forcing the Fund to reinvest in lower yielding instruments. This is known as
prepayment or call risk. The Fund may invest in securities that are subject to call risk. Debt and preferred instruments may be redeemed at the option of the issuer, or called, before their stated maturity or redemption date.
In general, an issuer will call its debt or preferred instruments if they can be refinanced by issuing new instruments which bear a lower interest or dividend rate. The Fund is subject to the possibility that during periods of falling interest
rates, an issuer will call its high yielding debt or preferred instruments. The Fund would then be forced to invest the unanticipated proceeds at lower interest or dividend rates, resulting in a decline in the Funds income.
Contingent Capital Security Risk. Contingent Capital Securities (sometimes referred to as
CoCos) have loss absorption mechanisms benefitting the issuer built into their terms. Upon the occurrence of a specified trigger or event, CoCos may be subject to automatic conversion into the issuers common stock, which likely
will have declined in value and which will be subordinate to the issuers other classes of securities, or to an automatic write-down of the principal amount of the securities, potentially to zero, which could result in the Fund losing a portion
or all of its investment in such securities. CoCos are often rated below investment grade and are subject to the risks of high yield securities.
Convertible Security Risk. Convertible securities are subject to certain risks of both equity and debt securities. The value of convertible securities may decline in response to
such factors as rising interest rates and fluctuations in the market price of the common stock underlying the convertible securities.
Counterparty Risk. Certain derivative instruments subject the Fund to the risk that the counterparty could default on its obligations under the agreement, either through the
counterpartys bankruptcy or failure to perform its obligations. In the event of default, the Fund could experience lengthy delays in recovering some or all of its assets or no recovery at all. The Funds investments in the futures markets
also introduce the risk that its futures commission merchant (FCM) would default on an obligation set forth in an agreement between the Fund and the FCM, including the FCMs obligation to return margin posted in connection
with the Funds futures contracts. The failure or bankruptcy of the Funds FCM could result in a substantial loss of Fund assets. The payment obligation for a cleared,
over-the-counter derivative transaction is guaranteed by a central counterparty, which exposes the Fund to the creditworthiness of the central counterparty.
Credit Risk. Debt or preferred securities
held by the Fund may fail to make dividend or interest payments when due. Investments in securities below investment grade credit quality are predominantly speculative and subject to greater volatility and risk of default. Unrated securities are
evaluated by Fund managers using industry data and their own analysis processes that may be similar to that of a nationally recognized rating agency; however, such internal ratings are not equivalent to a national agency credit rating. Counterparty
credit risk may arise if counterparties fail to meet their obligations, should the Fund hold any derivative instruments for either investment exposure or hedging purposes.
Currency Risk. The prices of any non-U.S. securities
held by the Fund that are traded in U.S. dollars are typically indirectly influenced by currency fluctuations. Changes in currency exchange rates may affect the Funds net asset value, interest earned, and gains or losses realized on the sale
of securities.
Deflation Risk. Deflation risk is the risk that prices throughout
the economy decline over time, which may have an adverse effect on the market valuation of companies, their assets and revenues. In addition, deflation may have an adverse effect on the creditworthiness of issuers and may make issuer default more
likely, which may result in a decline in the value of the Funds portfolio.
90
Derivatives
Risk. The use of derivatives involves additional risks and transaction costs which could leave the Fund in a worse position than if it had not used these instruments. Derivative instruments can be used to
acquire or to transfer the risk and returns of a security or other asset without buying or selling the security or asset. These instruments may entail investment exposures that are greater than their cost would suggest. As a result, a small
investment in derivatives can result in losses that greatly exceed the original investment. Derivatives can be highly volatile, illiquid and difficult to value. An
over-the-counter derivative transaction between the Fund and a counterparty that is not cleared through a central counterparty also involves the risk that a loss
may be sustained as a result of the failure of the counterparty to the contract to make required payments. The payment obligation for a cleared derivative transaction is guaranteed by a central counterparty, which exposes the Fund to the
creditworthiness of the central counterparty.
It is possible that developments in the derivatives market, including changes in government regulation, could
adversely impact the Funds ability to invest in certain derivatives.
Equity Security Risk. Equity securities in the Funds portfolio may decline significantly in price over short or extended periods of time, and such declines may occur because of
declines in the equity market as a whole, or because of declines in only a particular country, company, industry, or sector of the market. Given the Funds focus on dividend-paying securities, the Fund may, from time to time, have a
greater exposure to higher dividend-yield sectors and industries than the broad equity market which would make the Fund more vulnerable to adverse developments affecting such sectors or industries.
Financial Services Sector Risk. The Funds policy to concentrate in financial services
companies makes the Fund more susceptible to adverse economic or regulatory occurrences affecting the financial services sector. Financial services companies are particularly sensitive to the adverse effects of economic recession; changes in
government regulation; the availability of capital; volatile interest rates; and the health of the commercial and residential real estate markets.
Foreign Security Risk and Risks of Emerging Markets. Securities of foreign issuers, even when dollar-denominated and publicly
traded in the United States, may involve risks not associated with the securities of domestic issuers. For certain foreign countries, political or social instability, or diplomatic developments could adversely affect the securities. There is also
the risk of loss due to governmental actions such as a change in tax statutes or the modification of individual property rights. In addition, individual foreign economies may differ favorably or unfavorably from the U.S. economy.
The risks of foreign investing are particularly significant in emerging markets. Investing in emerging markets generally involves exposure to economic structures that are
less diverse and mature, and to political systems that are less stable, than those of developed countries. In addition, issuers in emerging markets typically are subject to a greater degree of change in earnings and business prospects than are
companies in developed markets.
Illiquid Investments Risk. The risk that illiquid
investments may be difficult to sell for the value at which they are carried, if at all, or at any price within the desired time frame.
Income Risk. The Funds income could decline due to falling market interest rates. This is because, in a falling interest rate environment, the Fund generally will have to
invest the proceeds from sales of Fund shares, as well as the proceeds from maturing portfolio securities, in lower-yielding securities.
Inflation Risk. Inflation risk is the risk that the value of assets or income from investments will be worth less in the future as inflation decreases the value of money. As
inflation increases, the real value of the Common Shares and distributions can decline.
Interest Rate Risk. Interest rate risk is the risk that debt securities in the Funds portfolio will decline in value because of changes in market interest rates. Generally, when market
interest rates rise, the market value of such securities will fall, and vice versa. As interest rates decline, issuers of debt securities may prepay principal earlier than scheduled, forcing the Fund to reinvest in lower-yielding securities and
potentially reducing the Funds income. As interest rates increase, slower than expected principal payments may extend the average life of securities, potentially locking in a below-market interest rate and reducing the Funds value. In
typical market interest rate environments, the prices of longer-term debt securities generally fluctuate more than prices of shorter-term debt securities as interest rates change. The Federal Reserve recently reduced the federal Funds rate several
times.
Inverse Floaters Risk. The use of inverse floaters by the
Fund creates effective leverage. Due to the leveraged nature of these investments, they will typically be more volatile and involve greater risk than the fixed rate municipal bonds underlying the inverse floaters. An investment in certain
inverse floaters will involve the risk that the Fund could lose more than its original principal investment. Distributions on inverse floaters bear an inverse relationship to short-term municipal bond interest rates. Thus, distributions
paid to the Fund on its inverse floaters will be reduced or even eliminated as short-term municipal bond interest rates rise and will increase when short-term municipal bond interest rates fall. Inverse floaters generally will underperform the
market for fixed rate municipal bonds in a rising interest rate environment.
Municipal Securities Risk. The values of municipal securities held by the Fund may be adversely affected by local political and economic conditions and developments. Adverse conditions in an industry significant to a local economy could
have a correspondingly adverse effect on the financial condition of local issuers. The amount of public information available about municipal bonds is generally less than for certain corporate equities or bonds, meaning that the investment
performance of the Fund may be more dependent on the analytical abilities of the Funds adviser than Funds that invest in stock or other corporate investments.
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Shareholder Update (continued)
(Unaudited)
Other Investment Companies Risk. The Fund may invest in the securities of other investment
companies, including ETFs. Investing in an investment company exposes the Fund to all of the risks of that investment companys investments. The Fund, as a holder of the securities of other investment companies, will bear its pro rata portion
of the other investment companies expenses, including advisory fees. These expenses are in addition to the direct expenses of the Funds own operations. As a result, the cost of investing in investment company shares may exceed the costs
of investing directly in its underlying investments. In addition, securities of other investment companies may be leveraged. As a result, the Fund may be indirectly exposed to leverage through an investment in such securities and therefore magnify
the Funds leverage risk. Utilization of leverage is a speculative investment technique and involves certain risks. With respect to ETFs, an ETF that is based on a specific index may not be able to replicate and maintain exactly the
composition and relative weighting of securities in the index. The value of an ETF based on a specific index is subject to change as the values of its respective component assets fluctuate according to market volatility. ETFs typically rely on a
limited pool of authorized participants to create and redeem shares, and an active trading market for ETF shares may not develop or be maintained. The market value of shares of ETFs and closed-end funds may
differ from their NAV.
Preferred Security Risk. Preferred securities generally
are subordinated to bonds and other debt instruments in a companys capital structure and therefore will be subject to greater credit risk than those debt instruments. In addition, preferred securities are subject to other risks, such as having
no or limited voting rights, being subject to special redemption rights, having distributions deferred or skipped, having floating interest rates or dividends, which may result in a decline in value in a falling interest rate environment, having
fixed interest rates or dividends, which may result in a decline in value in a rising interest rate environment, having limited liquidity, changing or unfavorable tax treatments and possibly being issued by companies in heavily regulated industries.
Risks of When-Issued
Purchases. The Fund may purchase securities on a when-issued or forward-commitment basis. Delivery and payment for securities that have been purchased in
this manner can take place a month or more after the transaction date. Such securities do not earn interest, are subject to market fluctuation, and may increase or decrease in value prior to their delivery. The purchase of securities on a
when-issued or forward commitment basis may increase the volatility of the Funds net asset value if the Fund makes such purchases while remaining substantially fully invested.
U.S. Government Securities Risk. U.S. government securities are guaranteed only as to the
timely payment of interest and the payment of principal when held to maturity. Accordingly, the current market values for these securities will fluctuate with changes in interest rates. Securities issued or guaranteed by U.S. government agencies and
instrumentalities are supported by varying degrees of credit but generally are not backed by the full faith and credit of the U.S. government. No assurance can be given that the U.S. government will provide financial support to its agencies and
instrumentalities if it is not obligated by law to do so.
Fund Level and Other Risks:
Anti-Takeover Provisions. The Funds
Declaration of Trust and By-laws include provisions that could limit the ability of other entities or persons to acquire control of the Fund or convert the Fund to
open-end status. These provisions could have the effect of depriving the common shareholders of opportunities to sell their common shares at a premium over the then-current market price of the common shares.
Global economic risk. National and
regional economies and financial markets are becoming increasingly interconnected, which increases the possibilities that conditions in one country, region or market might adversely impact issuers in a different country, region or market. Changes in
legal, political, regulatory, tax and economic conditions may cause fluctuations in markets and securities prices around the world, which could negatively impact the value of the Funds investments. Major economic or political disruptions,
particularly in large economies like Chinas, may have global negative economic and market repercussions. Additionally, events such as war, terrorism, natural and environmental disasters and the spread of infectious illnesses or other public
health emergencies may adversely affect the global economy and the markets and issuers in which the Fund invests. Recent examples of such events include the outbreak of a novel coronavirus known as COVID-19
that was first detected in China in December 2019 and heightened concerns regarding North Koreas nuclear weapons and long-range ballistic missile programs. These events could reduce consumer demand or economic output, result in market closure,
travel restrictions or quarantines, and generally have a significant impact on the economy. These events could also impair the information technology and other operational systems upon which the Funds service providers, including the
investment adviser and sub-adviser, rely, and could otherwise disrupt the ability of employees of the Funds service providers to perform essential tasks on behalf of the Fund. Governmental and
quasi-governmental authorities and regulators throughout the world have in the past responded to major economic disruptions with a variety of significant fiscal and monetary policy changes, including but not limited to, direct capital infusions into
companies, new monetary programs and dramatically lower interest rates. An unexpected or quick reversal of these policies, or the ineffectiveness of these policies, could increase volatility in securities markets, which could adversely affect the
Funds investments.
Investment and Market Risk. An investment in common shares is subject to investment risk, including the possible loss of the entire principal amount that you invest. Common shares frequently trade at a discount to their NAV. An
investment in common shares represents an indirect investment in the securities owned by the Fund. Common shares at any point in time may be worth less than your original investment, even after taking into account the reinvestment of Fund dividends
and distributions.
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Leverage
Risk. The Funds use of leverage may cause higher volatility for the Funds per share NAV, market price, and distributions. Leverage typically magnifies the total return of the Funds
portfolio, whether that return is positive or negative. Leverage is intended to increase common share net income, but there is no assurance that the Funds leveraging strategy will be successful. Different forms of leverage, including swaps,
may introduce additional credit or interest rate risk. Leverage may also increase a Funds liquidity risk, as the Fund may need to sell securities at inopportune times to stay within Fund or regulatory limits.
Limited Term Risk. It is anticipated that the Fund will terminate and liquidate its
assets and return the proceeds to its shareholders on or before a specific date, although it could terminate sooner or later under certain conditions. The Fund may be required to sell portfolio securities at times when market conditions are not
favorable, negatively affecting its value.
Market Discount from Net Asset Value.
Shares of closed-end investment companies like the Fund frequently trade at prices lower than their NAV, which creates a risk of loss for investors when they sell shares. This characteristic is a risk separate
and distinct from the risk that the Funds NAV could decrease as a result of investment activities. Shares of closed-end investment companies like the Fund have during some periods traded at prices higher
than NAV and have during other periods traded at prices lower than NAV. Whether investors will realize gains or losses upon the sale of the common shares will depend not upon the Funds NAV but entirely upon whether the market price of the
common shares at the time of sale is above or below the investors purchase price for the common shares. Furthermore, management may have difficulty meeting the Funds investment objective and managing its portfolio when the underlying
securities are redeemed or sold during periods of market turmoil and as investors perceptions regarding closed-end funds or their underlying investments change. Because the market price of the common
shares will be determined by factors such as relative supply of and demand for the common shares in the market, general market and economic circumstances, and other factors beyond the control of the Fund, the Fund cannot predict whether the common
shares will trade at, below or above NAV. The common shares are designed primarily for long-term investors, and you should not view the Fund as a vehicle for short-term trading purposes.
Tax Risk. The tax treatment of Fund distributions may be affected by future changes in
tax laws and regulations or their interpretation by the Internal Revenue Service or state tax authorities.
Valuation
Risk. The Fund utilizes independent pricing services approved by the Board of Trustees to value portfolio instruments at their market value. If the pricing services are unable to provide a market value or
if a significant event occurs such that the valuation(s) provided are deemed unreliable, the Fund may value portfolio instrument(s) at their fair value, which is generally the amount an owner might reasonably expect to receive upon a current sale.
Valuation risks associated with investing in below investment grade debt instruments including, but not limited to: a limited number of market participants, a lack of publicly-available information, resale restrictions, settlement delays, corporate
actions and adverse market conditions may make it difficult to value or sell such instruments. Because non-U.S. instruments may trade on days when common shares are not priced or traded, NAV can change at
times when common shares cannot be sold.
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Shareholder Update (continued)
(Unaudited)
NUVEEN PREFERRED & INCOME SECURITIES FUND (JPS)
Investment Objectives
The Fund has a primary investment objective to high
current income consistent with capital preservation. The secondary investment objective is to enhance portfolio value relative to the market for preferred securities by investing in (i) securities that the
sub-adviser believes are underrated or undervalued or (ii) sectors that the sub-adviser believes are undervalued.
Investment Policies
The Fund invests primarily in preferred securities and
other income producing securities, including hybrid securities such as contingent capital securities. The Fund may also invest in other securities, primarily income-oriented securities such as corporate and taxable municipal debt and common equity.
Managed Assets means the total assets of the Fund, minus the sum of its accrued liabilities (other than Fund liabilities incurred for the express purpose
of creating leverage). Total assets for this purpose shall include assets attributable to the Funds use of leverage (whether or not those assets are reflected in the Funds financial statements for purposes of generally accepted
accounting principles), and derivatives will be valued at their market value. Assets means net assets of the Fund plus the amount of any borrowings for investment purposes.
Under normal circumstances:
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The Fund will invest at least 80% of its Assets in preferred securities and other income producing securities, including
hybrid securities such as contingent capital securities.
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The Fund will invest at least 50% of its Managed Assets in securities rated investment grade (BBB/Baa and above) or that are
unrated but judged to be of comparable quality. Investment grade quality securities are those securities that, at the time of investment, are (i) rated by at least one nationally recognized statistical rating organization (NRSRO)
within the four highest grades (Baa or BBB or better by Moodys Investors Service, Inc. (Moodys), Standard & Poors Corporation, a division of The McGraw-Hill Companies (S&P), or Fitch Ratings
(Fitch)), or are unrated but judged to be of comparable quality.
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The Fund will invest more than 25% of its Managed Assets in the securities of companies principally engaged in financial
services.
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The Fund may invest without limit in U.S. dollar denominated securities of foreign issuers.
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For purposes of the investment policies provided above such policies only apply at the time of purchase and will not be considered violated unless an excess or deficiency
occurs or exists immediately after and as a result of an acquisition of securities.
The Board of Trustees of the Fund may change a policy without a shareholder vote.
However, with respect to the Funds policy of investing at least 80% of its Assets in preferred securities and other income producing securities, such policy may not be changed without 60 days prior written notice.
The Fund may engage in hedging transactions from time to time. The use of derivatives for purposes of hedging the portfolio will be restricted to reducing the
portfolios exposure to interest rates. The Fund, in implementing its hedging strategies, may enter into futures transactions with a notional principal amount that will not exceed 35% of its Managed Assets, and may invest in options on futures
the purchase of which will not exceed 0.5% of its Managed Assets in any calendar quarter. The Fund may also enter into interest rate swap transactions, including forward starting swaps, in which the entire swap is scheduled to
start at a later date, and deferred swaps in which the parties do not exchange payments until a future date.
The Fund uses leverage to pursue its investment
objective. The Fund may use leverage to the extent permitted by the 1940 Act. The Fund may source leverage through a number of methods including through borrowings, issuing preferred shares of beneficial, the issuance of debt securities and entering
into reverse repurchase agreements (effectively a borrowing). In addition, the Fund may use derivatives that may have the economic effect of leverage. The amount and sources of leverage will vary depending on market conditions.
During temporary defensive periods, the Fund may deviate from its investment policies and objective. During such periods, the Fund may invest up to 100% of its assets in
high quality, short-term securities, and in short-, intermediate-, or long-term U.S. Treasury securities. There can be no assurance that such techniques will be successful. Accordingly, during such periods, the Fund may not achieve its investment
objective.
Principal Risks
The Fund is a diversified, closed-end management investment company designed primarily as a long-term investment and not as a trading vehicle. The Fund is not intended to be a complete investment program and, due to the uncertainty inherent
in all investments, there can be no assurance that the Fund will achieve its investment objective.
94
Investing in the Fund involves a number of risks,
including those described below:
Portfolio Level Risks:
Call Risk. During periods of declining interest rates or for other purposes, issuers may exercise their option to prepay principal earlier than scheduled, forcing the Fund to
reinvest in lower yielding instruments. This is known as prepayment or call risk. The Fund may invest in securities that are subject to call risk. Debt and preferred instruments may be redeemed at the option of the issuer, or
called, before their stated maturity or redemption date. In general, an issuer will call its debt or preferred instruments if they can be refinanced by issuing new instruments which bear a lower interest or dividend rate. The Fund is
subject to the possibility that during periods of falling interest rates, an issuer will call its high yielding debt or preferred instruments. The Fund would then be forced to invest the unanticipated proceeds at lower interest or dividend rates,
resulting in a decline in the Funds income.
Contingent Capital Security
Risk. Contingent Capital Securities (sometimes referred to as CoCos) have loss absorption mechanisms benefitting the issuer built into their terms. Upon the occurrence of a specified trigger or
event, CoCos may be subject to automatic conversion into the issuers common stock, which likely will have declined in value and which will be subordinate to the issuers other classes of securities, or to an automatic write-down of the
principal amount of the securities, potentially to zero, which could result in the Fund losing a portion or all of its investment in such securities. CoCos are often rated below investment grade and are subject to the risks of high yield securities.
Convertible Security Risk. Convertible securities are subject to certain risks
of both equity and debt securities. The value of convertible securities may decline in response to such factors as rising interest rates and fluctuations in the market price of the common stock underlying the convertible securities.
Counterparty Risk. Certain derivative instruments subject the Fund to the risk that the
counterparty could default on its obligations under the agreement, either through the counterpartys bankruptcy or failure to perform its obligations. In the event of default, the Fund could experience lengthy delays in recovering some or all
of its assets or no recovery at all. The Funds investments in the futures markets also introduce the risk that its futures commission merchant (FCM) would default on an obligation set forth in an agreement between the Fund
and the FCM, including the FCMs obligation to return margin posted in connection with the Funds futures contracts. The failure or bankruptcy of the Funds FCM could result in a substantial loss of Fund assets. The payment obligation
for a cleared, over-the-counter derivative transaction is guaranteed by a central counterparty, which exposes the Fund to the creditworthiness of the central
counterparty.
Credit
Risk. Debt or preferred securities held by the Fund may fail to make dividend or interest payments when due. Investments in securities below investment
grade credit quality are predominantly speculative and subject to greater volatility and risk of default. Unrated securities are evaluated by Fund managers using industry data and their own analysis processes that may be similar to that of a
nationally recognized rating agency; however, such internal ratings are not equivalent to a national agency credit rating. Counterparty credit risk may arise if counterparties fail to meet their obligations, should the Fund hold any derivative
instruments for either investment exposure or hedging purposes.
Deflation Risk.
Deflation risk is the risk that prices throughout the economy decline over time, which may have an adverse effect on the market valuation of companies, their assets and revenues. In addition, deflation may have an adverse effect on the
creditworthiness of issuers and may make issuer default more likely, which may result in a decline in the value of the Funds portfolio.
Derivatives Risk. The use of derivatives involves additional risks and transaction costs which could leave the Fund in a worse position than if it had not used these
instruments. Derivative instruments can be used to acquire or to transfer the risk and returns of a security or other asset without buying or selling the security or asset. These instruments may entail investment exposures that are greater than
their cost would suggest. As a result, a small investment in derivatives can result in losses that greatly exceed the original investment. Derivatives can be highly volatile, illiquid and difficult to value. An over-the-counter derivative transaction between the Fund and a counterparty that is not cleared through a central counterparty also involves the risk that a loss may be sustained as a result of the
failure of the counterparty to the contract to make required payments. The payment obligation for a cleared derivative transaction is guaranteed by a central counterparty, which exposes the Fund to the creditworthiness of the central
counterparty.
It is possible that developments in the derivatives market, including changes in government regulation, could adversely impact the Funds
ability to invest in certain derivatives.
Duration Risk. Duration is the sensitivity,
expressed in years, of the price of a fixed-income security to changes in the general level of interest rates (or yields). Securities with longer durations tend to be more sensitive to interest rate (or yield) changes, which typically corresponds to
increased volatility and risk, than securities with shorter durations. For example, if a security or portfolio has a duration of three years and interest rates increase by 1%, then the security or portfolio would decline in value by approximately
3%. Duration differs from maturity in that it considers potential changes to interest rates, and a securitys coupon payments, yield, price and par value and call features, in addition to the amount of time until the security matures. The
duration of a security will be expected to change over time with changes in market factors and time to maturity.
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Shareholder Update (continued)
(Unaudited)
Financial Services Sector Risk. The Funds policy to concentrate in financial services
companies makes the Fund more susceptible to adverse economic or regulatory occurrences affecting the financial services sector. Financial services companies are particularly sensitive to the adverse effects of economic recession; changes in
government regulation; the availability of capital; volatile interest rates; and the health of the commercial and residential real estate markets.
Foreign Security Risk. Securities of foreign issuers, even when dollar-denominated and publicly traded in the United States, may involve risks not associated with the
securities of domestic issuers. For certain foreign countries, political or social instability, or diplomatic developments could adversely affect the securities. There is also the risk of loss due to governmental actions such as a change in tax
statutes or the modification of individual property rights. In addition, individual foreign economies may differ favorably or unfavorably from the U.S. economy.
Illiquid Investments Risk. The risk that illiquid investments may be difficult to sell for
the value at which they are carried, if at all, or at any price within the desired time frame.
Inflation Risk. Inflation risk is the risk that the value of assets or income from investments will be worth less in the future as inflation decreases the value of money. As inflation increases, the real value of the Common Shares and
distributions can decline.
Interest Rate Risk. Interest rate risk is the risk
that debt securities in the Funds portfolio will decline in value because of changes in market interest rates. Generally, when market interest rates rise, the market value of such securities will fall, and vice versa. As interest rates
decline, issuers of debt securities may prepay principal earlier than scheduled, forcing the Fund to reinvest in lower-yielding securities and potentially reducing the Funds income. As interest rates increase, slower than expected principal
payments may extend the average life of securities, potentially locking in a below-market interest rate and reducing the Funds value. In typical market interest rate environments, the prices of longer-term debt securities generally fluctuate
more than prices of shorter-term debt securities as interest rates change. The Federal Reserve recently reduced the federal Funds rate several times.
Other Investment Companies Risk. The Fund may invest in the securities of other investment companies, including ETFs. Investing in an investment company exposes the Fund to all
of the risks of that investment companys investments. The Fund, as a holder of the securities of other investment companies, will bear its pro rata portion of the other investment companies expenses, including advisory fees. These
expenses are in addition to the direct expenses of the Funds own operations. As a result, the cost of investing in investment company shares may exceed the costs of investing directly in its underlying investments. In addition, securities of
other investment companies may be leveraged. As a result, the Fund may be indirectly exposed to leverage through an investment in such securities and therefore magnify the Funds leverage risk. Utilization of leverage is a speculative
investment technique and involves certain risks. With respect to ETFs, an ETF that is based on a specific index may not be able to replicate and maintain exactly the composition and relative weighting of securities in the index. The value of
an ETF based on a specific index is subject to change as the values of its respective component assets fluctuate according to market volatility. ETFs typically rely on a limited pool of authorized participants to create and redeem shares, and an
active trading market for ETF shares may not develop or be maintained. The market value of shares of ETFs and closed-end funds may differ from their NAV.
Preferred Security Risk. Preferred securities generally are subordinated to bonds and other
debt instruments in a companys capital structure and therefore will be subject to greater credit risk than those debt instruments. In addition, preferred securities are subject to other risks, such as having no or limited voting rights, being
subject to special redemption rights, having distributions deferred or skipped, having floating interest rates or dividends, which may result in a decline in value in a falling interest rate environment, having fixed interest rates or dividends,
which may result in a decline in value in a rising interest rate environment, having limited liquidity, changing or unfavorable tax treatments and possibly being issued by companies in heavily regulated industries.
Reinvestment Risk. Reinvestment risk is the risk that income from the Funds portfolio
will decline if and when the Fund invests the proceeds from matured, traded or called securities at market interest rates that are below the portfolios current earnings rate. A decline in income could affect the common shares market
price, NAV and/or a common shareholders overall returns
Reverse Repurchase Agreement Risk. Reverse repurchase agreements, in economic essence, constitute a securitized borrowing by the Fund from the security purchaser. The Fund may enter into reverse repurchase agreements for the purpose of creating a leveraged
investment exposure and, as such, their usage involves essentially the same risks associated with a leveraging strategy generally since the proceeds from these agreements may be invested in additional securities. Reverse repurchase agreements tend
to be short-term in tenor, and there can be no assurances that the purchaser (lender) will commit to extend or roll a given agreement upon its agreed-upon repurchase date or an alternative purchaser can be identified on similar terms.
Reverse repurchase agreements also involve the risk that the purchaser fails to return the securities as agreed upon, files for bankruptcy or becomes insolvent. The Fund may be restricted from taking normal portfolio actions during such time, could
be subject to loss to the extent that the proceeds of the agreement are less than the value of securities subject to the agreement and may experience adverse tax consequences.
U.S. Government Securities Risk. U.S. government securities are guaranteed only as to the
timely payment of interest and the payment of principal when held to maturity. Accordingly, the current market values for these securities will fluctuate with changes in interest rates. Securities issued or guaranteed by U.S. government agencies and
instrumentalities are supported by varying degrees of credit but generally are not backed by the full faith and credit of the U.S. government. No assurance can be given that the U.S. government will provide financial support to its agencies and
instrumentalities if it is not obligated by law to do so.
96
Fund Level and Other Risks:
Anti-Takeover Provisions. The Funds
Declaration of Trust and By-laws include provisions that could limit the ability of other entities or persons to acquire control of the Fund or convert the Fund to
open-end status. These provisions could have the effect of depriving the common shareholders of opportunities to sell their common shares at a premium over the then-current market price of the common shares.
Global economic risk. National and
regional economies and financial markets are becoming increasingly interconnected, which increases the possibilities that conditions in one country, region or market might adversely impact issuers in a different country, region or market. Changes in
legal, political, regulatory, tax and economic conditions may cause fluctuations in markets and securities prices around the world, which could negatively impact the value of the Funds investments. Major economic or political disruptions,
particularly in large economies like Chinas, may have global negative economic and market repercussions. Additionally, events such as war, terrorism, natural and environmental disasters and the spread of infectious illnesses or other public
health emergencies may adversely affect the global economy and the markets and issuers in which the Fund invests. Recent examples of such events include the outbreak of a novel coronavirus known as COVID-19
that was first detected in China in December 2019 and heightened concerns regarding North Koreas nuclear weapons and long-range ballistic missile programs. These events could reduce consumer demand or economic output, result in market closure,
travel restrictions or quarantines, and generally have a significant impact on the economy. These events could also impair the information technology and other operational systems upon which the Funds service providers, including the
investment adviser and sub-adviser, rely, and could otherwise disrupt the ability of employees of the Funds service providers to perform essential tasks on behalf of the Fund. Governmental and
quasi-governmental authorities and regulators throughout the world have in the past responded to major economic disruptions with a variety of significant fiscal and monetary policy changes, including but not limited to, direct capital infusions into
companies, new monetary programs and dramatically lower interest rates. An unexpected or quick reversal of these policies, or the ineffectiveness of these policies, could increase volatility in securities markets, which could adversely affect the
Funds investments.
Investment and Market Risk. An investment in common
shares is subject to investment risk, including the possible loss of the entire principal amount that you invest. Common shares frequently trade at a discount to their NAV. An investment in common shares represents an indirect
investment in the securities owned by the Fund. Common shares at any point in time may be worth less than your original investment, even after taking into account the reinvestment of Fund dividends and distributions.
Leverage Risk. The Funds use of leverage
may cause higher volatility for the Funds per share NAV, market price, and distributions. Leverage typically magnifies the total return of the Funds portfolio, whether that return is positive or negative. Leverage is intended to increase
common share net income, but there is no assurance that the Funds leveraging strategy will be successful. Different forms of leverage, including swaps, may introduce additional credit or interest rate risk. Leverage may also increase a
Funds liquidity risk, as the Fund may need to sell securities at inopportune times to stay within Fund or regulatory limits.
Market Discount from Net Asset Value. Shares of closed-end investment companies like the
Fund frequently trade at prices lower than their NAV, which creates a risk of loss for investors when they sell shares. This characteristic is a risk separate and distinct from the risk that the Funds NAV could decrease as a result of
investment activities. Shares of closed-end investment companies like the Fund have during some periods traded at prices higher than NAV and have during other periods traded at prices lower than NAV. Whether
investors will realize gains or losses upon the sale of the common shares will depend not upon the Funds NAV but entirely upon whether the market price of the common shares at the time of sale is above or below the investors purchase
price for the common shares. Furthermore, management may have difficulty meeting the Funds investment objective and managing its portfolio when the underlying securities are redeemed or sold during periods of market turmoil and as
investors perceptions regarding closed-end funds or their underlying investments change. Because the market price of the common shares will be determined by factors such as relative supply of and demand
for the common shares in the market, general market and economic circumstances, and other factors beyond the control of the Fund, the Fund cannot predict whether the common shares will trade at, below or above NAV. The common shares are designed
primarily for long-term investors, and you should not view the Fund as a vehicle for short-term trading purposes.
Tax
Risk. The tax treatment of Fund distributions may be affected by future changes in tax laws and regulations or their interpretation by the Internal Revenue
Service or state tax authorities.
Valuation Risk. The Fund utilizes independent
pricing services approved by the Board of Trustees to value portfolio instruments at their market value. If the pricing services are unable to provide a market value or if a significant event occurs such that the valuation(s) provided are deemed
unreliable, the Fund may value portfolio instrument(s) at their fair value, which is generally the amount an owner might reasonably expect to receive upon a current sale. Valuation risks associated with investing in below investment grade debt
instruments including, but not limited to: a limited number of market
participants, a lack of publicly-available information, resale restrictions, settlement
delays, corporate actions and adverse market conditions may make it difficult to value or sell such instruments. Because non-U.S. instruments may trade on days when common shares are not priced or traded, NAV
can change at times when common shares cannot be sold.
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Shareholder Update (continued)
(Unaudited)
NUVEEN PREFERRED AND INCOME 2022 TERM FUND (JPT)
Investment
Objective
The Fund has an investment objective to provide a high level of current income and total return.
Investment Policies
The Fund will generally invest in preferred securities and
other income producing securities issued by U.S. and non-U.S. companies. Preferred securities generally have preference over common stock in the payment of distributions to investors and upon the
companys liquidation, but are junior to most forms of the companys debt, including both senior and subordinated debt. Preferred securities encompass a wide range of instrument types and positions in the issuers capital structure,
including but not limited to, traditional preferred securities, capital securities, hybrid securities, so-called baby bonds, and convertible preferred securities. Other
income producing securities include corporate debt (whether senior or subordinated, and whether or not convertible into the issuers common stock), government debt, senior loans, and dividend-paying common stocks.
Managed Assets means the total assets of the Fund, minus the sum of its accrued liabilities (other than Fund liabilities incurred for the express purpose of
creating leverage). Total assets for this purpose shall include assets attributable to the Funds use of leverage (whether or not those assets are reflected in the Funds financial statements for purposes of generally accepted accounting
principles), and derivatives will be valued at their market value. Assets means net assets of the Fund plus the amount of any borrowings for investment purposes.
Under normal circumstances:
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The Fund invests at least 80% of its Assets in preferred and other income producing securities.
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The Funds levered effective duration may vary over time based on market conditions, but as a matter of policy the
Funds levered effective duration will not exceed six years. Levered effective duration takes into account the effects of leverage and optional call provisions of the securities in the Funds portfolio.
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The Fund may invest without limit in below investment grade securities (BB+/Ba1 or lower); however, the Fund may invest no
more than 10% of its Managed Assets in securities rated below B-/B3 at the time of purchase, which may include distressed securities. A security is considered to have the highest rating assigned to it by a
rating agency or, in the case of an unrated security, to have the same rating as rated securities judged by Nuveen Asset Management to be of comparable quality.
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The Fund will not invest in defaulted securities or in the securities of an issuer that is in bankruptcy or insolvency
proceedings, however the Fund may hold investments that at the time of purchase are not in default or involved in bankruptcy or insolvency proceedings, but may later become so, and the Fund is under no obligation to sell or dispose of such
securities should their solvency change.
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The Fund may invest up to 40% of its Managed Assets in securities issued by companies located anywhere in the world outside
of the U.S.; however, the Fund may invest no more than 10% of its Managed Assets in securities of issuers in emerging market countries.
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The Fund will only invest in U.S. dollar denominated securities.
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The Fund will not invest, either directly or indirectly through derivatives, in contingent capital securities.
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For purposes of the investment policies provided above such policies only apply at the time of purchase and will not be considered violated unless
an excess or deficiency occurs or exists immediately after and as a result of an acquisition of securities.
The Board of Trustees of the Fund may change a policy
without a shareholder vote. However, with respect to the Funds policy of investing at least 80% of its Assets in preferred and other income producing securities, such policy may not be changed without 60 days prior written notice.
The Fund also may invest in certain derivative instruments in pursuit of its investment objective. Such instruments may include financial futures contracts, swap
contracts (including interest rate and credit default swaps), options on financial futures, options on swap contracts, or other derivative instruments. The Fund may use derivative instruments to hedge some of the risk of the Funds investments
or as a temporary substitute for a position in the underlying asset. For example, the Fund may use derivatives to help manage the portfolios levered effective duration over time.
The Fund uses leverage to pursue its investment objective. The Fund may use leverage to the extent permitted by the 1940 Act. The Fund may source leverage through a
number of methods including through borrowings, issuing preferred shares of beneficial and the issuance of debt securities. In addition, the Fund may use derivatives that may have the economic effect of leverage. The amount and sources of leverage
will vary depending on market conditions.
98
During temporary defensive periods, the Fund may
deviate from its investment policies and objective. During such periods, the Fund may invest up to 100% of its assets in high quality, short-term securities, and in short-, intermediate-, or long-term U.S. Treasury securities. There can be no
assurance that such techniques will be successful. Accordingly, during such periods, the Fund may not achieve its investment objective.
The Fund intends to cease its
investment operations, liquidate its portfolio and retire or redeem its leverage and distribute substantially all of its net assets to shareholders on or before March 1, 2022, unless the term is extended for one period of up to six months
by a vote of the Funds Board of Trustees (the Termination Date). The amount distributed to common shareholders at the termination of the Fund will be based on the Funds net asset value at that time. Depending upon a variety
of factors, including the performance of the Funds portfolio over the life of the Fund, the amount distributed to common shareholders at the termination of the Fund may be less, and potentially significantly less, than their original
investment. As the Fund approaches the Termination Date, its monthly distributions are likely to decline.
Principal Risks
The Fund is a diversified, closed-end management investment company designed primarily as a long-term investment and not as a
trading vehicle. The Fund is not intended to be a complete investment program and, due to the uncertainty inherent in all investments, there can be no assurance that the Fund will achieve its investment objective.
Investing in the Fund involves a number of risks, including those described below:
Portfolio Level Risks:
Below
Investment Grade Risk. Debt instruments of below investment grade quality are regarded as having predominately speculative characteristics with respect to the issuers capacity to pay interest,
dividends and repay principal, and are commonly referred to as junk bonds or high yield debt, which implies higher price volatility and default risk than investment grade instruments of comparable terms and duration. Issuers of lower grade
instruments may be highly leveraged and may not have available to them more traditional methods of financing. The prices of these lower grade instruments are typically more sensitive to negative developments, such as a decline in the issuers
revenues or a general economic downturn, than are the prices of higher grade instruments. If a below investment grade security goes into default, or its issuer enters bankruptcy, it might be difficult to sell that security in a timely manner at a
reasonable price.
Call Risk.
During periods of declining interest rates or for other purposes, issuers may exercise their option to prepay principal earlier than scheduled, forcing the Fund to reinvest in lower yielding instruments. This is known as prepayment or
call risk. The Fund may invest in securities that are subject to call risk. Debt and preferred instruments may be redeemed at the option of the issuer, or called, before their stated maturity or redemption date. In general,
an issuer will call its debt or preferred instruments if they can be refinanced by issuing new instruments which bear a lower interest or dividend rate. The Fund is subject to the possibility that during periods of falling interest rates, an issuer
will call its high yielding debt or preferred instruments. The Fund would then be forced to invest the unanticipated proceeds at lower interest or dividend rates, resulting in a decline in the Funds income.
Convertible Security Risk. Convertible securities are subject to certain risks of both
equity and debt securities. The value of convertible securities may decline in response to such factors as rising interest rates and fluctuations in the market price of the common stock underlying the convertible securities.
Counterparty Risk. Certain derivative instruments subject the Fund to the risk that the
counterparty could default on its obligations under the agreement, either through the counterpartys bankruptcy or failure to perform its obligations. In the event of default, the Fund could experience lengthy delays in recovering some or all
of its assets or no recovery at all. The Funds investments in the futures markets also introduce the risk that its futures commission merchant (FCM) would default on an obligation set forth in an agreement between the Fund
and the FCM, including the FCMs obligation to return margin posted in connection with the Funds futures contracts. The failure or bankruptcy of the Funds FCM could result in a substantial loss of Fund assets. The payment obligation
for a cleared, over-the-counter derivative transaction is guaranteed by a central counterparty, which exposes the Fund to the creditworthiness of the central
counterparty.
Credit Risk. Debt or preferred securities held by the Fund
may fail to make dividend or interest payments when due. Investments in securities below investment grade credit quality are predominantly speculative and subject to greater volatility and risk of default. Unrated securities are evaluated by Fund
managers using industry data and their own analysis processes that may be similar to that of a nationally recognized rating agency; however, such internal ratings are not equivalent to a national agency credit rating. Counterparty credit risk may
arise if counterparties fail to meet their obligations, should the Fund hold any derivative instruments for either investment exposure or hedging purposes.
Currency Risk. The prices of any non-U.S. securities held by the Fund that are traded in U.S. dollars are typically indirectly influenced
by currency fluctuations. Changes in currency exchange rates may affect the Funds net asset value, interest earned, and gains or losses realized on the sale of securities.
Defaulted and Distressed Securities Risk. The Fund may not invest in any securities of an
issuer in default, bankruptcy or insolvency proceedings (such securities are commonly referred to as defaulted securities). However, the Fund may hold investments that at the time of purchase are not in default or
99
Shareholder Update (continued)
(Unaudited)
involved in bankruptcy or insolvency proceedings, but may later become so. Moreover, the Fund may invest to a limited extent in securities
rated B-/B3 or lower, or unrated but judged by the Funds sub-adviser to be of comparable quality. Some or many of these
low-rated securities, although not in default, may be distressed, meaning that the issuer is experiencing financial difficulties or distress at the time of acquisition. Such securities would
present a substantial risk of future default which may cause the Fund to incur losses, including additional expenses, to the extent it is required to seek recovery upon a default in the payment of principal or interest on those securities. In any
reorganization or liquidation proceeding relating to a portfolio security, the Fund may lose its entire investment or may be required to accept cash or securities with a value less than its original investment. Defaulted or distressed securities may
be subject to restrictions on resale.
Deflation Risk. Deflation risk is the risk that
prices throughout the economy decline over time, which may have an adverse effect on the market valuation of companies, their assets and revenues. In addition, deflation may have an adverse effect on the creditworthiness of issuers and may make
issuer default more likely, which may result in a decline in the value of the Funds portfolio.
Derivatives
Risk. The use of derivatives involves additional risks and transaction costs which could leave the Fund in a worse position than if it had not used these instruments. Derivative instruments can be used to
acquire or to transfer the risk and returns of a security or other asset without buying or selling the security or asset. These instruments may entail investment exposures that are greater than their cost would suggest. As a result, a small
investment in derivatives can result in losses that greatly exceed the original investment. Derivatives can be highly volatile, illiquid and difficult to value. An
over-the-counter derivative transaction between the Fund and a counterparty that is not cleared through a central counterparty also involves the risk that a loss
may be sustained as a result of the failure of the counterparty to the contract to make required payments. The payment obligation for a cleared derivative transaction is guaranteed by a central counterparty, which exposes the Fund to the
creditworthiness of the central counterparty.
It is possible that developments in the derivatives market, including changes in government regulation, could
adversely impact the Funds ability to invest in certain derivatives.
Duration
Risk. Duration is the sensitivity, expressed in years, of the price of a fixed-income security to changes in the general level of interest rates (or yields). Securities with longer durations tend to be more
sensitive to interest rate (or yield) changes, which typically corresponds to increased volatility and risk, than securities with shorter durations. For example, if a security or portfolio has a duration of three years and interest rates increase by
1%, then the security or portfolio would decline in value by approximately 3%. Duration differs from maturity in that it considers potential changes to interest rates, and a securitys coupon payments, yield, price and par value and call
features, in addition to the amount of time until the security matures. The duration of a security will be expected to change over time with changes in market factors and time to maturity.
Equity Security Risk. Equity
securities in the Funds portfolio may decline significantly in price over short or extended periods of time, and such declines may occur because of declines in the equity market as a whole, or because of declines in only a
particular country, company, industry, or sector of the market. Given the Funds focus on dividend-paying securities, the Fund may, from time to time, have a greater exposure to higher dividend-yield sectors and industries than the broad
equity market which would make the Fund more vulnerable to adverse developments affecting such sectors or industries.
Financial Services Sector Risk. The Funds policy to concentrate in financial services
companies makes the Fund more susceptible to adverse economic or regulatory occurrences affecting the financial services sector. Financial services companies are particularly sensitive to the adverse effects of economic recession; changes in
government regulation; the availability of capital; volatile interest rates; and the health of the commercial and residential real estate markets.
Foreign Security Risk and Risks of Emerging Markets. Securities of foreign issuers, even when dollar-denominated and publicly
traded in the United States, may involve risks not associated with the securities of domestic issuers. For certain foreign countries, political or social instability, or diplomatic developments could adversely affect the securities. There is also
the risk of loss due to governmental actions such as a change in tax statutes or the modification of individual property rights. In addition, individual foreign economies may differ favorably or unfavorably from the U.S. economy.
The risks of foreign investing are particularly significant in emerging markets. Investing in emerging markets generally involves exposure to economic structures that are
less diverse and mature, and to political systems that are less stable, than those of developed countries. In addition, issuers in emerging markets typically are subject to a greater degree of change in earnings and business prospects than are
companies in developed markets.
Illiquid Investments Risk. The risk that illiquid
investments may be difficult to sell for the value at which they are carried, if at all, or at any price within the desired time frame.
Income Risk. The Funds income could decline due to falling market interest rates. This is because, in a falling interest rate environment, the Fund generally will have to
invest the proceeds from sales of Fund shares, as well as the proceeds from maturing portfolio securities, in lower-yielding securities.
Inflation Risk. Inflation risk is the risk that the value of assets or income from investments will be worth less in the future as inflation decreases the value of money. As
inflation increases, the real value of the Common Shares and distributions can decline.
100
Interest Rate
Risk. Interest rate risk is the risk that debt securities in the Funds portfolio will decline in value because of changes in market interest rates. Generally, when market interest rates rise, the
market value of such securities will fall, and vice versa. As interest rates decline, issuers of debt securities may prepay principal earlier than scheduled, forcing the Fund to reinvest in lower-yielding securities and potentially reducing the
Funds income. As interest rates increase, slower than expected principal payments may extend the average life of securities, potentially locking in a below-market interest rate and reducing the Funds value. In typical market interest
rate environments, the prices of longer-term debt securities generally fluctuate more than prices of shorter-term debt securities as interest rates change. The Federal Reserve recently reduced the federal Funds rate several times.
Other Investment Companies Risk. The Fund may invest in the securities of other investment
companies, including ETFs. Investing in an investment company exposes the Fund to all of the risks of that investment companys investments. The Fund, as a holder of the securities of other investment companies, will bear its pro rata portion
of the other investment companies expenses, including advisory fees. These expenses are in addition to the direct expenses of the Funds own operations. As a result, the cost of investing in investment company shares may exceed the costs
of investing directly in its underlying investments. In addition, securities of other investment companies may be leveraged. As a result, the Fund may be indirectly exposed to leverage through an investment in such securities and therefore magnify
the Funds leverage risk. Utilization of leverage is a speculative investment technique and involves certain risks. With respect to ETFs, an ETF that is based on a specific index may not be able to replicate and maintain exactly the
composition and relative weighting of securities in the index. The value of an ETF based on a specific index is subject to change as the values of its respective component assets fluctuate according to market volatility. ETFs typically rely on a
limited pool of authorized participants to create and redeem shares, and an active trading market for ETF shares may not develop or be maintained. The market value of shares of ETFs and closed-end funds may
differ from their NAV.
Preferred Security Risk. Preferred securities generally
are subordinated to bonds and other debt instruments in a companys capital structure and therefore will be subject to greater credit risk than those debt instruments. In addition, preferred securities are subject to other risks, such as having
no or limited voting rights, being subject to special redemption rights, having distributions deferred or skipped, having floating interest rates or dividends, which may result in a decline in value in a falling interest rate environment, having
fixed interest rates or dividends, which may result in a decline in value in a rising interest rate environment, having limited liquidity, changing or unfavorable tax treatments and possibly being issued by companies in heavily regulated industries.
Risks of When-Issued
Purchases. The Fund may purchase securities on a when-issued or forward-commitment basis. Delivery and payment for securities that have been purchased in
this manner can take place a month or more after the transaction date. Such securities do not earn interest, are subject to market fluctuation, and may increase or decrease in value prior to their delivery. The purchase of securities on a
when-issued or forward commitment basis may increase the volatility of the Funds net asset value if the Fund makes such purchases while remaining substantially fully invested.
U.S. Government Securities Risk. U.S. government securities are guaranteed only as to the
timely payment of interest and the payment of principal when held to maturity. Accordingly, the current market values for these securities will fluctuate with changes in interest rates. Securities issued or guaranteed by U.S. government agencies and
instrumentalities are supported by varying degrees of credit but generally are not backed by the full faith and credit of the U.S. government. No assurance can be given that the U.S. government will provide financial support to its agencies and
instrumentalities if it is not obligated by law to do so.
Fund Level and Other Risks:
Anti-Takeover Provisions. The Funds
Declaration of Trust and By-laws include provisions that could limit the ability of other entities or persons to acquire control of the Fund or convert the Fund to
open-end status. These provisions could have the effect of depriving the common shareholders of opportunities to sell their common shares at a premium over the then-current market price of the common shares.
Global economic risk. National and
regional economies and financial markets are becoming increasingly interconnected, which increases the possibilities that conditions in one country, region or market might adversely impact issuers in a different country, region or market. Changes in
legal, political, regulatory, tax and economic conditions may cause fluctuations in markets and securities prices around the world, which could negatively impact the value of the Funds investments. Major economic or political disruptions,
particularly in large economies like Chinas, may have global negative economic and market repercussions. Additionally, events such as war, terrorism, natural and environmental disasters and the spread of infectious illnesses or other public
health emergencies may adversely affect the global economy and the markets and issuers in which the Fund invests. Recent examples of such events include the outbreak of a novel coronavirus known as COVID-19
that was first detected in China in December 2019 and heightened concerns regarding North Koreas nuclear weapons and long-range ballistic missile programs. These events could reduce consumer demand or economic output, result in market closure,
travel restrictions or quarantines, and generally have a significant impact on the economy. These events could also impair the information technology and other operational systems upon which the Funds service providers, including the
investment adviser and sub-adviser, rely, and could otherwise disrupt the ability of employees of the Funds service providers to perform essential tasks on behalf of the Fund. Governmental and
quasi-governmental authorities and regulators throughout the world have in the past responded to major economic disruptions with a variety of significant fiscal and monetary policy changes, including but not limited to, direct capital infusions into
companies, new monetary programs and dramatically lower
101
Shareholder Update (continued)
(Unaudited)
interest rates. An unexpected or quick reversal of these policies, or the ineffectiveness of these policies, could increase volatility in securities markets, which could
adversely affect the Funds investments.
Investment and Market Risk. An investment in common shares is subject to investment risk, including the possible loss of the entire principal amount that you invest. Common shares frequently trade at a discount to their NAV. An
investment in common shares represents an indirect investment in the securities owned by the Fund. Common shares at any point in time may be worth less than your original investment, even after taking into account the reinvestment of Fund dividends
and distributions.
Leverage Risk.
The Funds use of leverage may cause higher volatility for the Funds per share NAV, market price, and distributions. Leverage typically magnifies the total return of the Funds portfolio, whether that return is positive or negative.
Leverage is intended to increase common share net income, but there is no assurance that the Funds leveraging strategy will be successful. Different forms of leverage, including swaps, may introduce additional credit or interest rate risk.
Leverage may also increase a Funds liquidity risk, as the Fund may need to sell securities at inopportune times to stay within Fund or regulatory limits.
Limited Term Risk. It is anticipated that
the Fund will terminate and liquidate its assets and return the proceeds to its shareholders on or before a specific date, although it could terminate sooner or later under certain conditions. The Fund may be required to sell portfolio securities at
times when market conditions are not favorable, negatively affecting its value.
Market Discount from Net Asset
Value. Shares of closed-end investment companies like the Fund frequently trade at prices lower than their NAV, which
creates a risk of loss for investors when they sell shares. This characteristic is a risk separate and distinct from the risk that the Funds NAV could decrease as a result of investment activities. Shares of
closed-end investment companies like the Fund have during some periods traded at prices higher than NAV and have during other periods traded at prices lower than NAV. Whether investors will realize gains or
losses upon the sale of the common shares will depend not upon the Funds NAV but entirely upon whether the market price of the common shares at the time of sale is above or below the investors purchase price for the common shares.
Furthermore, management may have difficulty meeting the Funds investment objective and managing its portfolio when the underlying securities are redeemed or sold during periods of market turmoil and as investors perceptions regarding closed-end funds or their underlying investments change. Because the market price of the common shares will be determined by factors such as relative supply of and demand for the common shares in the market, general
market and economic circumstances, and other factors beyond the control of the Fund, the Fund cannot predict whether the common shares will trade at, below or above NAV. The common shares are designed primarily for long-term investors, and you
should not view the Fund as a vehicle for short-term trading purposes.
Tax
Risk. The tax treatment of Fund distributions may be affected by future changes in tax laws and regulations or their interpretation by the Internal Revenue
Service or state tax authorities.
Valuation Risk. The Fund utilizes independent
pricing services approved by the Board of Trustees to value portfolio instruments at their market value. If the pricing services are unable to provide a market value or if a significant event occurs such that the valuation(s) provided are deemed
unreliable, the Fund may value portfolio instrument(s) at their fair value, which is generally the amount an owner might reasonably expect to receive upon a current sale. Valuation risks associated with investing in below investment grade debt
instruments including, but not limited to: a limited number of market participants, a lack of publicly-available information, resale restrictions, settlement delays, corporate actions and adverse market conditions may make it difficult to value or
sell such instruments. Because non-U.S. instruments may trade on days when Common Shares are not priced or traded, NAV can change at times when Common Shares cannot be sold.
EFFECTS OF LEVERAGE
The following table is furnished in response to
requirements of the SEC. It is designed to illustrate the effects of leverage through the use of senior securities, as that term is defined under Section 18 of the 1940 Act, as well as certain other forms of leverage, such as reverse repurchase
agreements, on common share total return, assuming investment portfolio total returns (consisting of income and changes in the value of investments held in a Funds portfolio) of -10%, -5%, 0%, 5% and 10%. The table below reflects each Funds (i) estimated use of leverage at approximately the same percentage of Managed Assets (including assets attributable to such leverage) set forth in
the table, (ii) the estimated annual effective interest expense rate payable by the Fund on such instruments (based on market conditions as of the date hereof) as set forth in the table and (iii) the annual return that the Funds
portfolio must experience (net of expenses) in order to cover such costs of leverage based on such estimated annual effective interest expense rate. The information below does not reflect any Funds use of certain other forms of economic
leverage achieved through the use of other instruments or transactions not considered to be senior securities under the 1940 Act, such as certain derivative instruments.
The numbers are merely estimates, used for illustration. The costs of leverage may vary frequently and may be significantly higher or lower than the estimated rate. The
assumed investment portfolio returns in the table below are hypothetical figures and are not necessarily indicative of the investment portfolio returns experienced or expected to be experienced by the Fund. Your actual returns may be greater or less
than those appearing below.
102
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Nuveen
Preferred &
Income
Opportunities
Fund
(JPC)
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Nuveen
Preferred &
Income
Term Fund
(JPI)
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Nuveen
Preferred &
Income
Securities
Fund (JPS)
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Nuveen
Preferred &
Income
2022
Term
Fund
(JPT)
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Estimated Leverage as a Percentage of Managed Assets (Including Assets Attributable to Leverage)
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37.0%
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34.0%
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37.0%
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20.0%
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Estimated Annual Effective Interest Expense Rate Payable by Fund on Leverage
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0.90%
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0.90%
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0.90%
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0.90%
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Annual Return Fund Portfolio Must Experience (net of expenses) to Cover Estimated Annual Effective Interest
Expense Rate on Leverage
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0.33%
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0.31%
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0.33%
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0.18%
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Common Share Total Return for (10.00)% Assumed Portfolio Total Return
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(16.4%
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)
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(15.6%
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)
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(16.4%
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)
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(12.7%
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)
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Common Share Total Return for (5.00)% Assumed Portfolio Total Return
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(8.5%
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)
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(8.0%
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)
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(8.5%
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)
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(6.5%
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)
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Common Share Total Return for 0.00% Assumed Portfolio Total Return
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(0.5%
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)
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(0.5%
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)
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(0.5%
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(0.2%
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)
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Common Share Total Return for 5.00% Assumed Portfolio Total
Return
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7.4%
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7.1%
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7.4%
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6.0%
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Common Share total return is composed of two elements the distributions paid by a Fund to holders of common shares (the amount of
which is largely determined by the net investment income of the Fund after paying dividend payments on any preferred shares issued by the Fund and expenses on any forms of leverage outstanding) and gains or losses on the value of the securities and
other instruments the Fund owns. As required by SEC rules, the table assumes that a Fund is more likely to suffer capital losses than to enjoy capital appreciation. For example, to assume a total return of 0%, a Fund must assume that the income it
receives on its investments is entirely offset by losses in the value of those investments. This table reflects hypothetical performance of a Funds portfolio and not the actual performance of the Funds common shares, the value of which
is determined by market forces and other factors. Should a Fund elect to add additional leverage to its portfolio, any benefits of such additional leverage cannot be fully achieved until the proceeds resulting from the use of such leverage have been
received by the Fund and invested in accordance with the Funds investment objectives and policies. As noted above, a Funds willingness to use additional leverage, and the extent to which leverage is used at any time, will depend on many
factors.
CHANGES OCCURRING DURING THE PRIOR FISCAL YEAR
The following
information in this annual report is a summary of certain changes during the most recent fiscal year. This information may not reflect all of the changes that have occurred since you purchased shares of a Fund.
During the most recent fiscal year, there have been no changes to: (i) the Funds investment objectives and principal investment policies that have not been approved
by shareholders, (ii) the principal risks of the Fund, (iii) the portfolio managers of the Funds; (iv) a Funds charter or by-laws that would delay or prevent a change of control of the
Fund that have not been approved by shareholders except as follows:
Investment
Objectives and Principal Investment Policies
As previously disclosed in
the each Funds most recent semi-annual report, each Fund has adopted the following policy regarding limits to investments in illiquid securities: While there are no such limits imposed by applicable regulations, certain Nuveen Closed-End Funds formerly had investment policies that placed limits on a Funds ability to invest in illiquid securities. All exchange-listed Nuveen Closed-End Funds now
have no formal limit on their ability to invest in such illiquid securities, but each Funds portfolio management team will monitor such investments in the regular, overall management of the Funds portfolio securities.
103
Additional Fund Information
(Unaudited)
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Board of Trustees*
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Jack B. Evans
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William C. Hunter
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Albin F. Moschner
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John K. Nelson
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Judith M. Stockdale
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Carole E. Stone
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Terence J. Toth
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Margaret L. Wolff
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Robert L. Young
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*
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Matthew Thornton III has been appointed to the Board of Trustees effective November 16, 2020.
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Investment Adviser
Nuveen Fund Advisors, LLC
333 West Wacker Drive
Chicago, IL 60606
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Custodian
State Street
Bank
& Trust Company
One Lincoln Street
Boston, MA 02111
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Legal Counsel
Chapman and Cutler LLP
Chicago, IL 60603
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Independent Registered
Public Accounting Firm
KPMG LLP
200 East
Randolph Street
Chicago, IL 60601
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Transfer Agent and
Shareholder Services
Computershare
Trust
Company, N.A.
150 Royall Street
Canton, MA 02021
(800) 257-8787
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Distribution Information
The Funds hereby designate their
percentages of dividends paid from net ordinary income as dividends qualifying for the dividends received deduction (DRD) for corporations and their percentages of qualified dividend income (QDI) for individuals under Section
1(h)(11) of the Internal Revenue Code as shown in the accompanying table. The actual qualified dividend income distributions will be reported to shareholders on Form 1099-DIV which will be sent to shareholders shortly after calendar year end.
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JPC
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JPI
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JPS
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JPT
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% QDI
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100.0%
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100.0%
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91.1%
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82.1%
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% DRD
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65.1%
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59.3%
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25.5%
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70.6%
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The Funds hereby designate their percentages of dividends paid from net ordinary income as dividends qualifying as
Interest-Related Dividends as defined in Internal Revenue Code Section 871(k) for the taxable periods ending December 31, 2019 and July 31, 2020:
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JPC
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JPI
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JPS
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JPT
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% of Interest-Related Dividends for the period August 1, 2019 through December 31, 2019
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21.6%
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12.9%
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22.0%
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17.0%
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% of Interest-Related Dividends for the period January 1, 2020
through July 31, 2020
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18.2%
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7.9%
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17.9%
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17.7%
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Portfolio of Investments Information
Each Fund is required to file its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third
quarters of each fiscal year as an exhibit to its report on Form N-PORT. You may obtain this information on the SECs website at http://www.sec.gov.
Nuveen Funds Proxy Voting Information
You may obtain (i) information regarding how each fund voted proxies relating to portfolio securities held during the most recent twelve-month period
ended June 30, without charge, upon request, by calling Nuveen toll-free at (800) 257-8787 or on Nuveens website at www.nuveen.com and (ii) a description of the policies and procedures that each fund used to determine how to vote proxies
relating to portfolio securities without charge, upon request, by calling Nuveen toll free at (800) 257-8787. You may also obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov.