SEC Form N-CSRS filed by Nuveen Multi-Market Income Fund (MA)
$JMM
Trusts Except Educational Religious and Charitable
Finance
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-05642
Nuveen Multi-Market Income Fund
(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive
Chicago, Illinois 60606
(Address of principal executive offices) (Zip code)
Mark L. Winget
Vice President and Secretary
333 West Wacker Drive
Chicago, Illinois 60606
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 257-8787
Date of fiscal year end: June 30
Date of reporting period: December 31, 2025
| Item 1. | Reports to Stockholders. |
Closed-End Funds
Closed-End Funds
Nuveen
December 31,
2025
Semi-Annual
Report
This semi-annual report contains the Fund's
unaudited financial statements.
Nuveen Multi-Market Income
Fund
JMM
2
Table
of
Contents
Important
Notices
3
Common
Share
Information
4
About
the Fund’s
Benchmark
5
Fund
Performance, Leverage and Holdings
Summaries
6
Portfolio
of
Investments
9
Statement
of Assets and
Liabilities
18
Statement
of
Operations
19
Statement
of Changes in Net
Assets
20
Statement
of Cash
Flows
21
Financial
Highlights
22
Notes
to Financial
Statements
24
Additional
Fund
Information
32
Glossary
of Terms Used in this Report
33
Important Notices
3
Portfolio manager
commentaries:
The Fund includes portfolio manager commentary in its annual
shareholder report. For your Fund’s most
recent annual portfolio manager
discussion, please refer to the Portfolio Managers’ Comments section of the Fund’s annual shareholder
report
.
Fund
changes:
For changes that occurred to your Fund both during and after this
reporting period, please refer to the Notes to Financial
Statements section of
this report
.
Fund principal investment policies and principal
risks:
Refer to the Shareholder Update section of your Fund’s annual
shareholder report
for information on the Fund’s principal investment
policies and principal
risks
.
Fund
performance:
For current information on your Fund’s average annual
total returns please refer to the Fund’s website at
www.nuveen.
com
. For average annual total returns as of the end of this reporting period,
please refer to the Fund Performance, Leverage and Holding
Summaries section
within this report
.
4
Common Share Information
DISTRIBUTION
INFORMATION
The following information regarding the Fund’s distributions
is current as of December 31, 2025, the Fund’s fiscal and tax year end,
and may differ from previously issued distribution
notifications.
The Fund’s distribution policy, which may be changed by
the Board, is to make regular monthly cash distributions to holders of its
common shares (stated in terms of a fixed cents per common share dividend
distribution rate which may be set from time to time).
The Fund intends to
distribute all or substantially all of its net investment income each year through its regular monthly distribution
and to distribute realized capital gains at least annually. In addition, in
any monthly period, to maintain its declared per common
share distribution
amount, the Fund may distribute more or less than its net investment income during the period. In the event the
Fund distributes more than its net investment income during any yearly
period, such distributions may also include realized gains
and/or a return
of capital. To the extent that a distribution includes a return of capital the NAV per share may erode. For additional
information, refer to the distribution information section below and in the
Notes to Financial Statements herein.
The following table provides the
estimated sources of distributions and may include amounts attributed to realized gains and/or
returns of capital. A return of capital may occur, for example, when some or
all of the money that you invested in a Fund is paid back
to you. A return
of capital distribution does not necessarily reflect a Fund’s investment performance and should not be confused
with “yield” or “income.” The Fund attributes these
estimates equally to each regular distribution throughout the year.
The
amounts and sources of distributions reported in this notice are for financial reporting purposes and are not being provided
for tax reporting purposes. The actual amounts and character of the
distributions for tax reporting purposes will be reported to
shareholders on
Form 1099-DIV, which will be sent to shareholders shortly after calendar year-end. Because distribution source
estimates are updated throughout the current fiscal year based on the
Fund’s performance, those estimates may differ from both the
tax
information reported to you in your Fund’s 1099 statement, as well as the ultimate economic sources of distributions over the
life of your investment. The figures in the table below provide the sources
of distributions and may include amounts attributed to
realized gains and/or
returns of capital. More details about the Fund’s distributions are available on www.nuveen.com/en-us/
closed-
end-funds.
NUVEEN CLOSED-END FUND DISTRIBUTION
AMOUNTS
The Nuveen Closed-End Funds’ monthly and quarterly periodic
distributions to shareholders are posted on www.nuveen.com
and can be found
on Nuveen’s enhanced closed-end fund resource page, which is at
https://www.nuveen.com/resource-center-
closed-end-funds, along with other
Nuveen closed-end fund product updates. To ensure timely access to the latest information,
shareholders may use a subscribe function, which can be activated at this
web page (https://www.nuveen.com/subscriptions).
COMMON SHARE
REPURCHASES
The Fund's Board of Trustees authorized an open-market share
repurchase program, allowing the Fund to repurchase and retire an
aggregate of up to approximately 10% of its outstanding common
shares.
During the current reporting period, the Fund did not repurchase any
of its outstanding common shares. As of December 31, 2025,
and since the
inception of the Fund’s repurchase program, the Fund has cumulatively repurchased and retired its outstanding
common shares as shown in the accompanying
table.
Data as of December 31,
2025
Fiscal
YTD
Percentage of
Distributions
Fiscal
YTD
Per Share
Amounts
Latest
Declared
Distribution
Net
Investment
Income
Realized
Gains
Return of
Capital
Total
Distributions
Net
Investment
Income
Realized
Gains
Return
of
Capital
0.0290
85.1%
0.00%
14.9%
$0.1740
$0.1480
$0.0000
$0.0260
JMM
Common shares cumulatively repurchased and
retired
1,800
Common
shares authorized for repurchase
945,000
About the Fund’s Benchmark
5
Bloomberg U.S. Corporate High Yield Bond
Index:
An index designed to measure the performance of the
USD-
denominated, fixed rate corporate high yield bond market. Index returns
assume reinvestment of distributions, but do
not reflect any applicable sales
charges or management fees.
Bloomberg U.S. Government/Mortgage Bond
Index:
An index designed to measure the performance of U.S.
Treasury securities and agency mortgage-backed securities (MBS). Index returns
assume reinvestment of distributions,
but do not reflect any applicable sales
charges or management fees.
6
Fund Performance, Leverage and Holdings
Summaries
The Fund Performance, Leverage and Holding Summaries for each Fund are shown below within
this section of the
report.
Fund
Performance
Performance data for the Fund shown below represents past
performance and does not predict or guarantee future results. Current
performance may be higher or lower than the data shown. Returns do not
reflect the deduction of taxes that shareholders may have
to pay on Fund
distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of
distributions. Comparative index return information is provided for the
Fund’s shares at NAV only. Indexes are not available for direct
investment.
Total
returns for a period of less than one year are not annualized (i.e. cumulative returns). Since inception returns are shown for
share classes that have less than 10-years of performance. For performance,
current to the most recent month-end visit Nuveen.com
or call (800)
257-8787.
Impact of
Leverage
One important factor impacting the returns of the Fund’s
common shares relative to its comparative benchmark was the Fund’s
use
of leverage through reverse repurchase agreements. The Fund uses leverage because our research has shown that, over time,
leveraging provides opportunities for additional income. The opportunity
arises when short-term rates that a Fund pays on its
leveraging instruments
are lower than the interest the Fund earns on its portfolio securities that it has bought with the proceeds of
that leverage.
However, use of leverage can expose Fund common shares to additional price
volatility. When the Fund uses leverage, the Fund’s
common shares will
experience a greater increase in their net asset value if the securities acquired through the use of leverage
increase in value, but will also experience a correspondingly larger decline
in their net asset value if the securities acquired through
leverage decline
in value. All this will make the shares’ total return performance more variable over time.
In addition, common share income in levered funds will typically decrease in
comparison to unlevered funds when short-term
interest rates increase and
increase when short-term interest rates decrease. In recent quarters, fund leverage expenses have
generally tracked the overall movement of short-term interest rates. While
fund leverage expenses are higher than their prior year
lows, leverage
nevertheless continues to provide the opportunity for incremental common share income, particularly over
longer-
term
periods.
Leverage
Ratios
“Effective Leverage” is a Fund’s effective economic
leverage, and includes both regulatory leverage and the leverage effects of
certain derivative and other investments in a Fund’s portfolio that
increase the Fund’s investment exposure. “Regulatory Leverage”
consists of preferred shares or borrowings of a Fund. Regulatory Leverage is
a part of a Fund’s capital structure. Regulatory leverage
is subject
to asset coverage limits set forth in the Investment Company Act of 1940. A Fund, however, may from time to time borrow
for temporary purposes, typically on a transient basis in connection with its day-to-day
operations, primarily in connection with the
need to settle portfolio
trades. Such temporary borrowings are excluded from the calculation of a Fund’s Effective Leverage and
Regulatory Leverage
ratios.
Holding
Summaries
The Holdings Summaries data relates to the securities held in the
Fund’s portfolio of investments as of the end of this reporting
period. It should not be construed as a measure of performance for the Fund
itself. Holdings are subject to change. Refer to the
Fund’s Portfolio
of Investments for individual security information.
For financial reporting
purposes the Fund uses credit quality ratings for its portfolio securities provided by Standard & Poor’s Group,
Moody’s Investors Service, Inc. and Fitch, Inc. If all three provide a
rating for a security, the middle is used; if two of the three
agencies
rate a security, the lower rating is used; and if only one rating agency rates a security, that rating is used. This treatment of
split-rated securities may differ from that used for other purposes, such
as for Fund investment policies. Credit ratings are subject to
change. AAA,
AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Holdings
designated N/R are not rated by these national rating agencies.
Nuveen Multi-Market Income
Fund
Fund Performance, Leverage and Holdings Summaries December 31,
2025
7
JMM
Performance*
*For
purposes of Fund performance, relative results are measured against the JMM Blended Benchmark. The Fund’s
Blended Benchmark consists of: 1) 75% Bloomberg U.S. Government/Mortgage
Bond Index and 2) 25% Bloomberg
U.S. Corporate High Yield Bond
Index.
Daily Common Share NAV and Share
Price
Total Returns as
of
December 31,
2025
Cumulative
Average
Annual
Inception
Date
6-Month
1-Year
5-Year
10-Year
JMM
at Common Share
NAV
12/30/88
3.13%
8.04%
1.76%
3.11%
JMM
at Common Share
Price
12/30/88
(1.12)%
5.55%
1.96%
3.82%
Bloomberg
U.S. Government/Mortgage Bond
Index
—
3.03%
7.09%
(0.53)%
1.46%
JMM
Blended
Benchmark
—
3.24%
7.49%
0.73%
2.76%
Common
Share
NAV
Common
Share
Price
Premium/(Discount)
to
NAV
Average
Premium/(Discount)
to
NAV
$6.62
$6.04
(8.76)%
(5.40)%
8
Fund Performance, Leverage and Holdings Summaries
December 31, 2025
(continued)
Leverage and
Holdings
Leverage
Effective
Leverage
29.12%
Regulatory
Leverage
0.00%
Fund
Allocation
(% of net
assets)
Mortgage-Backed
Securities
63.8%
Corporate
Bonds
43.4%
Asset-Backed
Securities
26.5%
Sovereign
Debt
2.5%
Variable
Rate Senior Loan
Interests
0.8%
Repurchase
Agreements
3.0%
Other
Assets & Liabilities,
Net
1.4%
Reverse
Repurchase
Agreements, including accrued
interest
(41.4)%
Net
Assets
100%
Portfolio
Credit Quality
(% of total
investments)
AAA
6.9%
AA
22.3%
A
8.5%
BBB
27.2%
BB or
Lower
27.3%
N/R
(not
rated)
5.7%
N/A
(not
applicable)
2.1%
Total
100%
Portfolio
Composition
1
(%
of total investments)
Mortgage-Backed
Securities
45.6%
Asset-Backed
Securities
18.9%
Banks
4.9%
Financial
Services
4.9%
Capital
Goods
3.6%
Utilities
2.8%
Other
17.2%
Repurchase
Agreements
2.1%
Total
100%
1
See
the Portfolio of Investments for the remaining industries/sectors comprising “Other” and not listed in the table above.
9
Portfolio of Investments December 31,
2025
JMM
See Notes to Financial Statements
(Unaudited)
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
LONG-TERM INVESTMENTS - 137.0% (97.9% of Total
Investments)
ASSET-BACKED SECURITIES - 26.5% (18.9% of
Total
Investments)
–
$
43,836
(a)
321 Henderson Receivables VI LLC, Series 2010
1A
9
.310
%
07/15/61
$
44,333
500,000
(a),(b)
ACRE Commercial Mortgage 2021-FL4 Ltd, Series 2021 FL4,
(TSFR1M +
3.214%)
6
.949
12/18/37
478,839
500,000
(a)
Adams Outdoor Advertising LP, Series 2023
1
6
.967
07/15/53
508,715
500,000
(a),(b)
AGL CLO 19 Ltd, Series 2022 19A, (TSFR3M +
1.650%)
5
.970
07/21/38
501,888
7,830
Bayview
Financial Mortgage Pass-Through Trust 2006-C, Series
2006
C
6
.352
11/28/36
6,702
375,833
(a)
Capital Automotive REIT, Series 2024
1
4
.900
05/15/54
375,637
500,000
(a)
CARS-DB4 LP, Series 2020
1A
4
.520
02/15/50
489,703
500,000
Carvana
Auto Receivables Trust 2022-P3, Series 2022
P3
5
.540
11/10/28
508,732
899,452
(a)
CF Hippolyta Issuer LLC, Series 2020
1
2
.600
07/15/60
571,931
400,000
(a),(b)
CIFC Funding 2020-II Ltd, Series 2020 2A, (TSFR3M +
1.862%)
5
.746
10/20/34
400,393
35,256
(a)
Commonbond Student Loan Trust 2017-B-GS, Series 2017
BGS
4
.440
09/25/42
30,207
30
(b)
CWABS Asset-Backed Certificates Trust 2007-4, Series 2007
4
4
.363
04/25/47
0
1,107,000
(a)
DB Master Finance LLC, Series 2017
1A
4
.030
11/20/47
1,099,630
288,000
(a)
DB Master Finance LLC, Series 2021
1A
2
.493
11/20/51
272,555
145,700
(a)
Domino's Pizza Master Issuer LLC, Series 2017
1A
4
.118
07/25/47
144,864
675,000
(a)
Driven Brands Funding LLC, Series 2025
1A
5
.296
10/20/55
672,527
400,000
(a),(b)
Dryden 49 Senior Loan Fund, Series 2017 49A, (TSFR3M +
1.862%)
5
.746
07/18/30
401,306
500,000
(a)
Frontier
Issuer LLC, Series 2023
1
6
.600
08/20/53
504,581
475,000
(a)
Hardee's Funding LLC, Series 2020
1A
3
.981
12/20/50
459,644
298,991
(a)
J.G. Wentworth XXXVII LLC, Series 2016
1A
5
.190
06/17/69
278,017
499,216
(a)
JGWPT XXV LLC, Series 2012
1A
7
.140
02/15/67
513,288
211,545
(a)
JGWPT XXVI LLC, Series 2012
2A
6
.770
10/17/61
213,632
61,623
Mid-State
Capital Corp 2005-1 Trust, Series 2005
1
5
.745
01/15/40
61,588
28,399
Mid-State
Trust XI, Series 2003
11
5
.598
07/15/38
28,483
500,000
(a),(b)
Neuberger Berman Loan Advisers CLO 48 Ltd, Series 2022
48A, (TSFR3M +
1.550%)
5
.868
04/25/36
500,265
400,000
(a),(b)
Neuberger Berman Loan Advisers Clo 56 Ltd, Series 2024 56A,
(TSFR3M +
1.750%)
6
.772
07/24/37
401,180
500,000
(a),(b)
Oak Hill Credit, Series 24A, (TSFR3M +
1.550%)
0
.000
01/20/39
500,479
400,000
(a),(b)
OHA Credit Funding 19 Ltd, Series 2024 19A, (TSFR3M +
1.700%)
5
.969
07/20/37
401,454
500,000
(a)
Planet
Fitness Master Issuer LLC, Series 2025
1A
5
.274
12/06/55
502,088
477,500
(a)
SERVPRO Master Issuer LLC, Series 2021
1A
2
.394
04/25/51
451,515
150,132
(a)
Start II LTD, Series 2019
1
5
.095
03/15/44
149,852
990,000
(a)
Subway Funding LLC, Series 2024
1A
6
.028
07/30/54
1,003,606
294,750
(a)
Taco Bell Funding LLC, Series 2021
1A
1
.946
08/25/51
287,150
500,000
(a)
Taco Bell Funding LLC, Series 2025
1A
4
.821
08/25/55
497,196
648,450
(a)
Taco Bell Funding LLC, Series 2021
1A
2
.294
08/25/51
604,510
500,000
(a),(b)
TruPS Financials Note Securitization 2025-2, Series 2025 2A,
(TSFR3M +
1.900%)
5
.872
07/15/39
502,495
250,000
(a)
VB-S1 Issuer LLC - VBTEL, Series 2022
1A
4
.288
02/15/52
246,378
553,424
(a)
Wendy's Funding LLC, Series 2021
1A
2
.370
06/15/51
515,772
381,686
(a)
Wendy's Funding LLC, Series 2018
1A
3
.884
03/15/48
375,159
985,000
(a)
Wingstop Funding LLC, Series 2020
1A
2
.841
12/05/50
954,317
172,350
(a)
Zaxbys Funding LLC, Series 2021
1A
3
.238
07/30/51
162,655
TOTAL ASSET-BACKED
SECURITIES
(Cost
$17,106,330)
16,623,266
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
27175680
CORPORATE
BONDS - 43.4% (31.0% of Total Investments)
(c)
27175680
AUTOMOBILES
& COMPONENTS - 1.5%
200,000
(a)
Clarios Global LP / Clarios US Finance
Co
6
.750
02/15/30
208,762
200,000
(d)
Ford Motor Credit Co
LLC
6
.950
03/06/26
200,451
150,000
(d)
Goodyear Tire & Rubber
Co/The
5
.250
04/30/31
144,011
135,000
(a),(d)
Phinia
Inc
6
.625
10/15/32
139,785
185,000
(a),(d)
ZF North America Capital
Inc
6
.750
04/23/30
182,812
Portfolio of Investments December 31, 2025
(continued)
JMM
10
See Notes to Financial Statements
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
AUTOMOBILES
& COMPONENTS
(continued)
$
50,000
(a)
ZF North America Capital
Inc
7
.500
%
03/24/31
$
50,538
TOTAL AUTOMOBILES &
COMPONENTS
926,359
BANKS
- 6.9%
200,000
(e),(f)
Banco Bilbao Vizcaya Argentaria
SA
9
.375
N/A
223,199
400,000
(d),(g)
Banco Santander
SA
2
.749
12/03/30
363,625
200,000
(e),(f)
Banco Santander
SA
9
.625
N/A
240,787
625,000
(d),(g)
Bank of America
Corp
5
.744
02/12/36
651,249
300,000
(e),(g)
Bank of America
Corp
6
.625
N/A
312,585
200,000
(a),(e),(f)
BNP Paribas
SA
9
.250
N/A
213,336
250,000
(e),(g)
Citigroup
Inc
7
.625
N/A
262,130
240,000
(d),(g)
JPMorgan Chase &
Co
5
.576
07/23/36
248,268
300,000
(e),(g)
JPMorgan Chase &
Co
6
.875
N/A
318,155
200,000
(e),(f)
Lloyds Banking Group
PLC
8
.000
N/A
216,365
295,000
(e),(g)
M&T Bank
Corp
3
.500
N/A
285,811
250,000
(e),(f)
NatWest Group
PLC
8
.125
N/A
281,285
300,000
(e),(g)
Truist Financial
Corp
6
.669
N/A
300,820
400,000
(e),(g)
Wells Fargo &
Co
7
.625
N/A
426,643
TOTAL
BANKS
4,344,258
CAPITAL
GOODS - 4.8%
150,000
(a)
AECOM
6
.000
08/01/33
153,729
200,000
(a)
Albion
Financing 1 SARL / Aggreko Holdings
Inc
7
.000
05/21/30
208,742
600,000
(d)
Boeing
Co/The
3
.250
02/01/28
589,709
550,000
(d)
Boeing
Co/The
3
.625
02/01/31
528,326
65,000
(a)
Carpenter Technology
Corp
5
.625
03/01/34
66,022
30,000
(a)
Gates
Corp/DE
6
.875
07/01/29
31,155
65,000
(a)
Herc Holdings
Inc
6
.625
06/15/29
67,476
85,000
(a)
Herc Holdings
Inc
7
.000
06/15/30
89,457
50,000
(a)
Herc Holdings
Inc
5
.750
03/15/31
50,742
65,000
(a)
Herc Holdings
Inc
6
.000
03/15/34
65,866
200,000
(a)
Quikrete Holdings
Inc
6
.375
03/01/32
208,176
400,000
(d)
Regal Rexnord
Corp
6
.400
04/15/33
430,254
80,000
(a)
Standard Building Solutions
Inc
6
.250
08/01/33
81,723
200,000
(a)
TransDigm
Inc
6
.375
05/31/33
205,225
100,000
(a)
WESCO Distribution
Inc
6
.375
03/15/29
103,267
135,000
(a),(d)
Windsor Holdings III
LLC
8
.500
06/15/30
142,608
TOTAL CAPITAL
GOODS
3,022,477
COMMERCIAL
& PROFESSIONAL SERVICES - 0.3%
100,000
(a)
AMN Healthcare
Inc
6
.500
01/15/31
100,018
10,000
(a)
CACI International
Inc
6
.375
06/15/33
10,347
35,000
(a)
Clean Harbors
Inc
5
.750
10/15/33
35,903
50,000
(a)
RR Donnelley & Sons
Co
9
.500
08/01/29
51,525
20,000
(a)
Science Applications International
Corp
5
.875
11/01/33
20,275
TOTAL COMMERCIAL & PROFESSIONAL
SERVICES
218,068
CONSUMER
DISCRETIONARY DISTRIBUTION & RETAIL - 1.9%
250,000
(a),(d)
Asbury Automotive Group
Inc
4
.625
11/15/29
245,788
100,000
(a),(d)
Bath & Body Works
Inc
6
.625
10/01/30
102,240
75,000
(a)
LCM Investments Holdings II
LLC
4
.875
05/01/29
73,891
50,000
(a)
Michaels Cos
Inc/The
5
.250
05/01/28
48,068
500,000
(a),(d)
Michaels Cos
Inc/The
7
.875
05/01/29
461,548
85,000
(a)
Park River Holdings
Inc
8
.000
03/15/31
87,635
125,000
(a)
QXO Building Products
Inc
6
.750
04/30/32
130,552
35,000
Veritiv
Operating
Co
10
.500
11/30/30
37,632
TOTAL CONSUMER DISCRETIONARY DISTRIBUTION &
RETAIL
1,187,354
CONSUMER
DURABLES & APPAREL - 0.2%
145,000
(a)
CD&R Smokey Buyer Inc / Radio Systems
Corp
9
.500
10/15/29
118,263
20,000
(a)
TopBuild
Corp
5
.625
01/31/34
20,232
TOTAL CONSUMER DURABLES &
APPAREL
138,495
CONSUMER
SERVICES - 2.0%
180,000
(a),(d)
Caesars Entertainment
Inc
6
.000
10/15/32
175,041
200,000
(a)
Flutter Treasury
DAC
6
.375
04/29/29
206,461
115,000
(a)
Hilton Domestic Operating Co
Inc
5
.500
03/31/34
115,790
11
See Notes to Financial Statements
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
CONSUMER
SERVICES
(continued)
$
50,000
(a)
Light & Wonder International
Inc
6
.250
%
10/01/33
$
50,620
215,000
(a)
Motion Finco
Sarl
8
.375
02/15/32
193,072
51,175
(a)
Muvico LLC, (cash 9.000%, PIK
6.000%)
9
.000
02/19/29
55,510
40,000
(a)
NCL Corp
Ltd
5
.875
01/15/31
39,849
150,000
(d)
Service Corp
International/US
5
.750
10/15/32
152,661
100,000
(a),(d)
Six Flags Entertainment Corp / Six Flags Theme Parks
Inc
6
.625
05/01/32
100,841
140,000
(a),(d)
Wynn Resorts Finance LLC / Wynn Resorts Capital
Corp
6
.250
03/15/33
143,146
TOTAL CONSUMER
SERVICES
1,232,991
CONSUMER
STAPLES DISTRIBUTION & RETAIL - 0.5%
200,000
(a),(d)
Albertsons Cos Inc / Safeway Inc / New Albertsons LP /
Albertsons
LLC
6
.250
03/15/33
205,596
40,000
(a)
Albertsons Cos Inc / Safeway Inc / New Albertsons LP /
Albertsons
LLC
5
.500
03/31/31
40,422
80,000
(a)
Albertsons Cos Inc / Safeway Inc / New Albertsons LP /
Albertsons
LLC
5
.750
03/31/34
80,324
TOTAL CONSUMER STAPLES DISTRIBUTION &
RETAIL
326,342
ENERGY
- 3.3%
250,000
(a),(d)
Antero Midstream Partners LP / Antero Midstream Finance
Corp
6
.625
02/01/32
258,771
50,000
(a)
Ascent
Resources Utica Holdings LLC / ARU Finance
Corp
6
.625
10/15/32
51,631
80,000
(a)
Buckeye Partners
LP
6
.750
02/01/30
83,980
150,000
(a)
Chord Energy
Corp
6
.750
03/15/33
155,118
30,000
(a)
Chord Energy
Corp
6
.000
10/01/30
30,368
30,000
(a)
Civitas Resources
Inc
8
.750
07/01/31
31,122
90,000
(a),(d)
Civitas Resources
Inc
8
.375
07/01/28
92,735
25,000
(a)
CNX Resources
Corp
7
.250
03/01/32
26,097
50,000
Genesis
Energy LP / Genesis Energy Finance
Corp
7
.875
05/15/32
52,120
200,000
(a),(d)
Hilcorp Energy I LP / Hilcorp Finance
Co
8
.375
11/01/33
204,211
200,000
(a)
Kinetik Holdings
LP
6
.625
12/15/28
205,935
150,000
(a)
Rockies Express Pipeline
LLC
4
.800
05/15/30
147,516
100,000
(a)
Sunoco
LP
5
.875
03/15/34
99,991
100,000
(a)
Sunoco
LP
5
.625
03/31/31
100,733
215,000
(a)
Sunoco
LP
4
.625
05/01/30
208,868
20,000
(a)
USA Compression Partners LP / USA Compression Finance
Corp
6
.250
10/01/33
20,240
140,000
(a),(d)
USA
Compression Partners LP / USA Compression Finance
Corp
7
.125
03/15/29
144,916
70,000
(a)
Venture
Global LNG
Inc
8
.125
06/01/28
70,903
40,000
(a)
Venture Global Plaquemines LNG
LLC
6
.500
01/15/34
40,970
50,000
(a)
Venture Global Plaquemines LNG
LLC
6
.125
12/15/30
50,917
TOTAL
ENERGY
2,077,142
EQUITY
REAL ESTATE INVESTMENT TRUSTS (REITS) - 0.8%
75,000
(a)
Iron Mountain
Inc
4
.500
02/15/31
71,495
175,000
(d)
MPT Operating Partnership LP / MPT Finance
Corp
3
.500
03/15/31
127,241
300,000
(a),(d)
Prologis Targeted US Logistics Fund
LP
5
.500
04/01/34
311,674
TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS
(REITS)
510,410
EQUITY
REAL ESTATE INVESTMENT TRUSTS (REITS) - 0.2%
90,000
(a)
Millrose Properties
Inc
6
.250
09/15/32
90,808
35,000
(a)
MPT Operating Partnership LP / MPT Finance
Corp
8
.500
02/15/32
37,378
TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS
(REITS)
128,186
FINANCIAL
SERVICES - 6.9%
250,000
(d),(g)
AerCap Ireland Capital DAC / AerCap Global Aviation
Trust
6
.950
03/10/55
261,959
300,000
(e),(g)
American Express
Co
3
.550
N/A
295,870
45,000
(a)
Azorra Finance
Ltd
7
.250
01/15/31
47,152
200,000
(d)
Block
Inc
6
.500
05/15/32
207,972
253,002
(a),(d)
Compass Group Diversified Holdings
LLC
5
.250
04/15/29
234,668
200,000
(a)
Encore Capital Group
Inc
8
.500
05/15/30
214,989
85,000
(a)
Encore Capital Group
Inc
6
.625
04/15/31
85,424
215,000
(a),(d)
FirstCash
Inc
6
.875
03/01/32
223,643
75,000
(a)
Freedom Mortgage Holdings
LLC
8
.375
04/01/32
78,950
150,000
(a)
Freedom Mortgage Holdings
LLC
6
.875
05/01/31
150,090
Portfolio of Investments December 31, 2025
(continued)
JMM
12
See Notes to Financial Statements
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
FINANCIAL
SERVICES
(continued)
$
493,000
Global
Payments
Inc
4
.875
%
11/15/30
$
493,550
100,000
(a)
Hunt Cos
Inc
5
.250
04/15/29
97,616
200,000
(a)
Icahn Enterprises LP / Icahn Enterprises Finance
Corp
10
.000
11/15/29
199,859
200,000
(a)
Jane Street Group / JSG Finance
Inc
6
.125
11/01/32
203,512
475,000
(d)
JPMorgan Chase &
Co
5
.572
04/22/36
498,351
115,000
OneMain
Finance
Corp
6
.125
05/15/30
117,253
80,000
OneMain
Finance
Corp
6
.750
09/15/33
81,010
150,000
(a)
PennyMac Financial Services
Inc
4
.250
02/15/29
146,704
55,000
(a)
Rocket Cos
Inc
6
.375
08/01/33
57,344
100,000
(a),(d)
Starwood Property Trust
Inc
6
.500
07/01/30
104,311
200,000
(a),(e),(f)
UBS Group
AG
9
.250
N/A
219,450
115,000
(a)
Walker & Dunlop
Inc
6
.625
04/01/33
117,981
180,000
(a)
WEX
Inc
6
.500
03/15/33
184,259
TOTAL FINANCIAL
SERVICES
4,321,917
FOOD,
BEVERAGE & TOBACCO - 0.4%
100,000
(a)
Darling Ingredients
Inc
6
.000
06/15/30
101,633
80,000
(a)
Post Holdings
Inc
6
.500
03/15/36
80,108
75,000
(a),(d)
Primo Water Holdings Inc / Triton Water Holdings
Inc
4
.375
04/30/29
72,966
TOTAL FOOD, BEVERAGE &
TOBACCO
254,707
HEALTH
CARE EQUIPMENT & SERVICES - 1.4%
126,000
(a),(d)
CHS/Community Health Systems
Inc
10
.875
01/15/32
137,522
100,000
(a),(d)
DaVita
Inc
4
.625
06/01/30
97,239
50,000
(a)
DaVita
Inc
6
.875
09/01/32
52,048
45,000
(a)
DaVita
Inc
6
.750
07/15/33
46,660
30,000
(a)
Global Medical Response
Inc
7
.375
10/01/32
31,181
130,000
(a)
IQVIA
Inc
6
.250
06/01/32
135,839
60,000
(a)
Molina Healthcare
Inc
6
.500
02/15/31
61,622
190,000
(a),(d)
Prime Healthcare Services
Inc
9
.375
09/01/29
199,500
100,000
(a)
Radiology Partners
Inc
8
.500
07/15/32
104,464
30,000
(a)
Tenet Healthcare
Corp
6
.000
11/15/33
30,888
TOTAL HEALTH CARE EQUIPMENT &
SERVICES
896,963
INSURANCE
- 2.1%
100,000
(a)
Acrisure LLC / Acrisure Finance
Inc
7
.500
11/06/30
104,165
35,000
(a)
Acrisure LLC / Acrisure Finance
Inc
6
.750
07/01/32
36,054
250,000
(a),(d)
Alliant Holdings Intermediate LLC / Alliant Holdings
Co-Issuer
6
.500
10/01/31
257,671
100,000
(a)
APH Somerset Investor 2 LLC / APH2 Somerset Investor 2 LLC /
APH3 Somerset
Inves
7
.875
11/01/29
100,998
200,000
(a)
Ardonagh Finco
Ltd
7
.750
02/15/31
209,671
65,000
(a)
Asurion,
LLC
8
.000
12/31/32
67,445
165,000
(a),(d)
Panther Escrow Issuer
LLC
7
.125
06/01/31
170,981
30,000
(a)
Ryan Specialty
LLC
5
.875
08/01/32
30,653
300,000
(a),(b)
Vitality Re XIV Ltd (UTIXX +
3.500%)
7
.812
01/05/27
305,910
TOTAL
INSURANCE
1,283,548
MATERIALS
- 1.2%
50,000
(a)
Avient
Corp
6
.250
11/01/31
51,393
75,000
(a)
Clydesdale Acquisition Holdings
Inc
8
.750
04/15/30
76,251
10,000
(a)
Mineral Resources
Ltd
7
.000
04/01/31
10,428
185,000
(a)
Olin
Corp
6
.625
04/01/33
183,607
85,000
(a)
Qnity Electronics
Inc
5
.750
08/15/32
86,908
25,000
(a)
Qnity Electronics
Inc
6
.250
08/15/33
25,914
60,000
(a)
Sealed Air Corp/Sealed Air Corp
US
7
.250
02/15/31
62,480
240,000
(a),(d)
SK Invictus Intermediate II
Sarl
5
.000
10/30/29
237,647
15,000
(a)
Solstice Advanced Materials
Inc
5
.625
09/30/33
15,132
TOTAL
MATERIALS
749,760
MEDIA
& ENTERTAINMENT - 1.1%
50,000
(a)
Directv Financing LLC / Directv Financing Co-Obligor
Inc
5
.875
08/15/27
50,293
175,000
(a)
Gray Media
Inc
4
.750
10/15/30
135,738
80,000
(a)
Gray Media
Inc
7
.250
08/15/33
81,746
60,000
(a)
Sirius XM Radio
LLC
4
.000
07/15/28
58,654
75,000
(a),(d)
Univision Communications
Inc
4
.500
05/01/29
72,043
200,000
(a)
VZ Secured Financing
BV
5
.000
01/15/32
180,991
13
See Notes to Financial Statements
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
MEDIA
& ENTERTAINMENT
(continued)
$
100,000
(a)
Ziff Davis
Inc
4
.625
%
10/15/30
$
94,976
TOTAL MEDIA &
ENTERTAINMENT
674,441
PHARMACEUTICALS,
BIOTECHNOLOGY & LIFE SCIENCES - 0.3%
200,000
(a),(d)
Organon & Co / Organon Foreign Debt Co-Issuer
BV
5
.125
04/30/31
165,639
TOTAL PHARMACEUTICALS, BIOTECHNOLOGY & LIFE
SCIENCES
165,639
REAL
ESTATE MANAGEMENT & DEVELOPMENT - 0.6%
75,000
Kennedy-Wilson
Inc
4
.750
03/01/29
72,828
325,000
(d)
Kennedy-Wilson
Inc
5
.000
03/01/31
305,657
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT
378,485
SOFTWARE
& SERVICES - 1.4%
500,000
(a),(d)
Ahead DB Holdings
LLC
6
.625
05/01/28
503,238
30,000
(a)
Fair Isaac
Corp
6
.000
05/15/33
30,814
100,000
(a)
Gen Digital
Inc
6
.250
04/01/33
103,123
100,000
(a)
Open Text
Corp
3
.875
12/01/29
94,903
150,000
(a),(d)
Rocket Software
Inc
9
.000
11/28/28
154,674
TOTAL SOFTWARE &
SERVICES
886,752
TELECOMMUNICATION
SERVICES - 1.4%
35,000
(a)
CIPHER COMPUTE
LLC
7
.125
11/15/30
35,647
200,000
(a)
Holdco II
SAS
7
.000
04/15/32
206,131
80,000
(a)
Level 3 Financing
Inc
6
.875
06/30/33
81,862
130,000
(a)
Level 3 Financing
Inc
7
.000
03/31/34
133,974
80,000
(a)
Windstream Services
LLC
7
.500
10/15/33
82,009
105,000
(a),(d)
Windstream Services LLC / Windstream Escrow Finance
Corp
8
.250
10/01/31
110,226
200,000
(a)
Zegona Finance
PLC
8
.625
07/15/29
212,136
TOTAL TELECOMMUNICATION
SERVICES
861,985
TRANSPORTATION
- 0.3%
160,000
(a)
Stonepeak Nile Parent
LLC
7
.250
03/15/32
169,327
TOTAL
TRANSPORTATION
169,327
UTILITIES
- 3.9%
200,000
(a)
ContourGlobal Power Holdings
SA
6
.750
02/28/30
206,222
100,000
(a),(d)
Ferrellgas LP / Ferrellgas Finance
Corp
5
.875
04/01/29
96,090
50,000
(a)
Ferrellgas LP / Ferrellgas Finance
Corp
9
.250
01/15/31
51,497
450,000
(d)
Interstate Power and Light
Co
5
.600
06/29/35
468,320
150,000
(a)
NRG Energy
Inc
5
.750
01/15/34
151,525
375,000
(a),(d)
Superior Plus LP / Superior General Partner
Inc
4
.500
03/15/29
366,059
115,000
(a)
Talen Energy Supply
LLC
8
.625
06/01/30
121,757
85,000
(a)
Talen Energy Supply
LLC
6
.250
02/01/34
86,693
75,000
(a)
Talen Energy Supply
LLC
6
.500
02/01/36
77,557
40,000
(a)
VoltaGrid
LLC
7
.375
11/01/30
39,630
750,000
(d),(g)
WEC Energy Group
Inc
5
.625
05/15/56
754,724
TOTAL
UTILITIES
2,420,074
TOTAL
CORPORATE BONDS
(Cost
$27,049,889)
27,175,680
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
MORTGAGE-BACKED SECURITIES - 63.8% (45.6% of Total
Investments)
–
500,000
(a),(b)
ARDN
2025-ARCP Mortgage Trust, Series 2025 ARCP, (TSFR1M
+
1.750%)
5
.500
06/15/35
501,626
400,000
(b)
Benchmark 2018-B2 Mortgage Trust, Series 2018
B2
4
.084
02/15/51
387,725
1,045,329
(d)
Benchmark 2019-B9 Mortgage Trust, Series 2019
B9
3
.751
03/15/52
1,035,698
250,000
(a),(b)
Century Plaza Towers 2019-CPT, Series 2019
CPT
2
.997
11/13/39
209,465
425,000
(b)
Citigroup Commercial Mortgage Trust 2015-GC29, Series 2015
GC29
3
.976
04/10/48
388,317
600,000
(a)
Citigroup
Commercial Mortgage Trust 2016-P5, Series 2016
P5
3
.000
10/10/49
310,578
500,000
(b)
Citigroup Commercial Mortgage Trust 2017-P8, Series 2017
P8
3
.789
09/15/50
472,097
241,000
Citigroup
Commercial Mortgage Trust 2019-GC41, Series 2019
GC41
3
.502
08/10/56
207,763
33,879
(a)
Citigroup
Global Markets Mortgage Securities VII Inc, Series
2003
1
6
.000
09/25/33
15,289
479,082
(a),(b)
COMM 2013-LC13 Mortgage Trust, Series 2013
LC13
5
.370
08/10/46
449,918
Portfolio of Investments December 31, 2025
(continued)
JMM
14
See Notes to Financial Statements
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
MORTGAGE-BACKED
SECURITIES
(continued)
$
775,000
(b)
COMM 2015-CCRE22 Mortgage Trust, Series 2015
CR22
3
.699
%
03/10/48
$
727,799
540,000
(b)
COMM 2015-CCRE26 Mortgage Trust, Series 2015
CR26
4
.613
10/10/48
511,524
87,075
(b)
COMM 2015-LC23 Mortgage Trust, Series 2015
LC23
4
.695
10/10/48
84,320
200,000
(a),(b)
Connecticut Avenue Securities Trust, Series 2023 R01,
(SOFR30A +
3.750%)
8
.106
12/25/42
209,100
1,410,000
(a),(b)
Connecticut Avenue Securities Trust, Series 2023 R06,
(SOFR30A +
2.700%)
6
.574
07/25/43
1,450,569
710,000
(a),(b)
Connecticut Avenue Securities Trust, Series 2023 R06,
(SOFR30A +
3.900%)
9
.188
07/25/43
748,521
400,000
(a),(b)
Connecticut Avenue Securities Trust 2022-R04, Series 2022
R04, (SOFR30A +
3.100%)
6
.974
03/25/42
409,896
1,000,000
(a),(b),(d)
Connecticut Avenue Securities Trust 2022-R07, Series 2022
R07, (SOFR30A +
4.650%)
8
.524
06/25/42
1,051,443
485,000
(a),(b)
Connecticut Avenue Securities Trust 2022-R08, Series 2022
R08, (SOFR +
3.600%)
7
.474
07/25/42
501,732
1,500,000
(a),(b),(d)
Connecticut Avenue Securities Trust 2023-R02, Series 2023
R02, (SOFR30A +
3.350%)
7
.706
01/25/43
1,556,383
1,000,000
(a),(b),(d)
Connecticut Avenue Securities Trust 2023-R04, Series 2023
R04, (SOFR30A +
3.550%)
7
.424
05/25/43
1,049,363
500,000
(a),(b)
Connecticut Avenue Securities Trust 2023-R08, Series 2023
R08, (SOFR30A +
3.550%)
7
.424
10/25/43
523,227
250,000
(a)
CSMC 2014-USA OA LLC, Series 2014
USA
4
.373
09/15/37
198,988
86,717
CSMC
Mortgage-Backed Trust 2006-7, Series 2006
7
6
.000
08/25/36
29,619
200,000
(a),(b)
DBSG 2024-ALTA Mortgage Trust, Series 2024
ALTA
6
.595
06/10/37
203,232
306,065
(d)
Fannie Mae Pool, FN
MA4919
5
.500
02/01/53
310,610
1,692,746
(d)
Fannie Mae Pool, FN MA4438, Series 2021
1
2
.500
10/01/51
1,442,066
376,898
(d)
Fannie Mae Pool, FN MA4644, Series 2022
1
4
.000
05/01/52
359,244
16,870
Fannie
Mae Pool, FN
995018
5
.500
06/01/38
17,639
9,753
(d)
Fannie Mae Pool, FN
882685
6
.000
06/01/36
10,119
6,258
Fannie
Mae Pool, FN
878059
5
.500
03/01/36
6,543
8,451
Fannie
Mae Pool, FN
828346
5
.000
07/01/35
8,669
16,470
(d)
Fannie Mae Pool, FN
766070
5
.500
02/01/34
16,698
3,911
(d)
Fannie Mae Pool, FN
709700
5
.500
06/01/33
3,965
574,759
(d)
Fannie Mae Pool, FN
BM5126
3
.500
01/01/48
542,287
163,176
(d)
Fannie Mae Pool, FN
BM5839
3
.500
11/01/47
155,415
511,411
(d)
Fannie Mae Pool, FN
MA4783
4
.000
10/01/52
487,315
2,472,557
(d)
Fannie Mae Pool, FN
MA4579
3
.000
04/01/52
2,193,099
455,129
(d)
Fannie Mae Pool, FN
MA4733
4
.500
09/01/52
446,123
257,593
(d)
Fannie Mae Pool, FN MA4600, Series 2022
2
3
.500
05/01/52
238,729
140,471
Fannie
Mae Pool, FN
MA5039
5
.500
06/01/53
142,914
831,329
(d)
Fannie Mae Pool, FN
MA5106
5
.000
08/01/53
831,708
1,085,181
(d)
Fannie Mae Pool, FN
MA5107
5
.500
08/01/53
1,103,552
1,201,640
(d)
Fannie Mae Pool, FN
MA5164
5
.000
10/01/53
1,201,569
776,043
(d)
Fannie Mae Pool, FN
MA5165
5
.500
10/01/53
789,001
372,907
(d)
Fannie Mae Pool, FN
MA5353
5
.500
05/01/54
378,413
34,731
(b)
Fannie Mae REMIC Trust 2002-W1, Series 2002
W1
4
.346
02/25/42
34,932
190,240
(b)
Fannie Mae REMIC Trust 2003-W1, Series 2003
W1
2
.288
12/25/42
71,371
525,182
(d)
Freddie Mac Gold Pool, FG
G60138
3
.500
08/01/45
500,911
798,422
(d)
Freddie Mac Gold Pool, FG
G08528
3
.000
04/01/43
738,786
221,677
(d)
Freddie Mac Gold Pool, FG
G08566
3
.500
01/01/44
211,325
2,652
(d)
Freddie Mac Gold Pool, FG
C00676
6
.500
11/01/28
2,754
327,711
(d)
Freddie Mac Gold Pool, FG
Q40718
3
.500
05/01/46
310,374
497,153
(d)
Freddie Mac Gold Pool, FG
Q40841
3
.000
06/01/46
453,204
329,804
(d)
Freddie Mac Pool, FR
RA7402
3
.500
05/01/52
306,599
1,458,992
(d)
Freddie Mac Pool, FR
RA6766
2
.500
02/01/52
1,254,058
150,000
(a),(b)
Freddie Mac STACR REMIC Trust 2022-DNA2, Series 2022
DNA2, (SOFR30A +
4.750%)
9
.106
02/25/42
155,988
420,000
(a),(b)
Freddie Mac STACR REMIC Trust 2022-DNA3, Series 2022
DNA3, (SOFR30A +
5.650%)
8
.647
04/25/42
444,018
320,000
(a),(b)
Freddie Mac STACR REMIC Trust 2022-HQA2, Series 2022
HQA2, (SOFR30A +
4.000%)
7
.874
07/25/42
334,508
1,400,000
(a),(b),(d)
Freddie Mac STACR REMIC Trust 2023-HQA1, Series 2023
HQA1, (SOFR30A +
3.500%)
7
.374
05/25/43
1,467,516
15
See Notes to Financial Statements
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
MORTGAGE-BACKED
SECURITIES
(continued)
$
47,878
(d)
Ginnie Mae I Pool, GN
604567
5
.500
%
08/15/33
$
48,655
30,834
(d)
Ginnie Mae I Pool, GN
631574
6
.000
07/15/34
31,451
642,000
(a),(b)
GS Mortgage Securities Corp Trust 2018-TWR, Series 2018
TWR, (TSFR1M +
1.197%)
4
.948
07/15/31
498,680
29,771
(a),(b)
GSMPS Mortgage Loan Trust 2001-2, Series 2001
2
7
.500
06/19/32
29,296
261,784
(a)
GSMPS Mortgage Loan Trust 2003-3, Series 2003
3
7
.000
06/25/43
276,637
192,783
(a)
GSMPS Mortgage Loan Trust 2005-RP1, Series 2005
RP1
8
.500
01/25/35
201,246
270,478
(a)
GSMPS Mortgage Loan Trust 2005-RP2, Series 2005
RP2
7
.500
03/25/35
270,710
142,518
(a)
GSMPS Mortgage Loan Trust 2005-RP3, Series 2005
RP3
8
.000
09/25/35
141,107
224,133
(a)
GSMPS Mortgage Loan Trust 2005-RP3, Series 2005
RP3
7
.500
09/25/35
226,739
500,000
(a),(b)
Hudson Yards 2019-55HY Mortgage Trust, Series 2019
55HY
2
.943
12/10/41
460,967
250,000
(a)
ICNQ 2024-MF Mortgage Trust, Series 2024
MF
6
.074
12/10/34
257,193
69,884
(b)
Impac Secured Assets CMN Owner Trust, Series 2000
3
8
.000
10/25/30
65,828
430,000
(a),(b)
J.P. Morgan Chase Commercial Mortgage Securities Trust
2018-AON, Series 2018
AON
4
.613
07/05/31
136,525
173,978
JP
Morgan Alternative Loan Trust 2006-S1, Series 2006
S1
6
.500
03/25/36
85,511
500,000
(a),(b)
JP Morgan Chase Commercial Mortgage Securities Trust
2016-
JP4, Series 2016
JP4
3
.378
12/15/49
375,560
368,000
(a)
JP Morgan Chase Commercial Mortgage Securities Trust
2019-
ICON UES, Series 2019
UES
4
.343
05/05/32
364,664
500,000
(a)
JP Morgan Chase Commercial Mortgage Securities Trust
2020-
NNN, Series 2020
NNN
3
.620
01/16/37
235,000
697,000
(b)
JPMDB Commercial Mortgage Securities Trust 2016-C4, Series
2016
C4
3
.018
12/15/49
597,243
500,000
(a)
JPMDB Commercial Mortgage Securities Trust 2017-C7, Series
2017
C7
3
.000
10/15/50
378,510
500,000
(a)
Legends Outlets Kansas City KS Mortgage Secured
Pass-
Through Trust, Series 2024
LGND
6
.021
11/05/39
503,482
400,000
(a),(b)
Manhattan West 2020-1MW Mortgage Trust, Series 2020
1MW
2
.335
09/10/39
380,359
206,433
MASTR
Alternative Loan Trust 2004-1, Series 2004
1
7
.000
01/25/34
209,883
65,398
MASTR
Alternative Loan Trust 2004-5, Series 2004
5
7
.000
06/25/34
67,394
75,907
MASTR
Asset Securitization Trust 2003-11, Series 2003
11
5
.250
12/25/33
77,095
250,000
(a),(b)
MHP Commercial Mortgage Trust 2025-MHIL2, Series 2025 A,
(TSFR1M +
1.500%)
5
.250
09/15/40
250,391
500,000
(b)
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28,
Series 2016
C28
4
.583
01/15/49
434,491
17,499
Morgan
Stanley Mortgage Loan Trust 2006-2, Series 2006
2
5
.750
02/25/36
16,529
325,000
(a),(b)
MTN Commercial Mortgage Trust 2022-LPFL, Series 2022 LPFL,
(TSFR1M +
1.896%)
5
.656
03/15/39
325,362
1,000,000
(a),(b)
Natixis Commercial Mortgage Securities Trust 2019-MILE,
Series 2019 MILE, (TSFR1M +
2.829%)
6
.580
07/15/36
817,323
183,763
(a),(b)
New Residential Mortgage Loan Trust 2014-1, Series 2014
1A
5
.885
01/25/54
173,905
288,848
(a),(b)
New Residential Mortgage Loan Trust 2015-2, Series 2015
2A
5
.256
08/25/55
288,550
500,000
(a),(b)
NYCT Trust 2024-3ELV, Series 2024 3ELV, (TSFR1M +
1.991%)
5
.741
08/15/29
502,235
135,000
(a)
SLG Office Trust 2021-OVA, Series 2021
OVA
2
.851
07/15/41
117,958
250,000
(a),(b)
VNDO Trust 2016-350P, Series 2016
350P
3
.903
01/10/35
248,392
4,801
(b)
Washington Mutual MSC Mortgage Pass-Through Certificates
Series 2004-RA3 Trust, Series 2004
RA3
5
.469
08/25/38
4,793
195,000
Wells
Fargo Commercial Mortgage Trust 2016-C33, Series
2016
C33
3
.896
03/15/59
188,451
500,000
(b)
Wells Fargo Commercial Mortgage Trust 2017-C38, Series
2017
C38
3
.903
07/15/50
463,020
TOTAL MORTGAGE-BACKED
SECURITIES
(Cost
$42,346,340)
39,957,349
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
1543134
SOVEREIGN
DEBT - 2.5% (1.8% of Total Investments)
1543134
BAHRAIN
- 0.4%
250,000
(a)
Bahrain Government International Bond
7
.000
10/12/28
260,569
TOTAL
BAHRAIN
260,569
Portfolio of Investments December 31, 2025
(continued)
JMM
16
See Notes to Financial Statements
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
BRAZIL
- 0.4%
$
250,000
Brazilian Government International Bond
6
.000
%
10/20/33
$
252,625
TOTAL
BRAZIL
252,625
KAZAKHSTAN
- 0.4%
250,000
(a)
Kazakhstan Government International Bond
5
.000
07/01/32
254,472
TOTAL
KAZAKHSTAN
254,472
MEXICO
- 0.4%
250,000
Mexico
Government International Bond
5
.850
07/02/32
256,853
TOTAL
MEXICO
256,853
TURKEY
- 0.9%
250,000
Turkiye
Government International Bond
5
.950
01/15/31
252,607
250,000
Turkiye
Government International Bond
7
.250
05/29/32
266,008
TOTAL
TURKEY
518,615
TOTAL
SOVEREIGN DEBT
(Cost
$1,515,225)
1,543,134
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
501235
VARIABLE
RATE SENIOR LOAN INTERESTS - 0.8% (0.6% of Total Investments)
501235
CAPITAL
GOODS - 0.3%
205,612
(b)
Core & Main LP, Term Loan B, (TSFR3M +
2.000%)
5
.690
07/27/28
206,513
TOTAL CAPITAL
GOODS
206,513
INSURANCE
- 0.3%
157,812
(b)
Alliant Holdings Intermediate, LLC, Term Loan B, (TSFR1M +
2.500%)
6
.216
09/19/31
158,346
TOTAL
INSURANCE
158,346
MATERIALS
- 0.2%
192,079
(b)
INEOS Quattro Holdings UK Ltd, First Lien Term Loan B,
(TSFR1M +
4.250%)
8
.066
03/29/29
136,376
TOTAL
MATERIALS
136,376
TOTAL
VARIABLE RATE SENIOR LOAN INTERESTS
(Cost
$554,831)
501,235
TOTAL
LONG-TERM INVESTMENTS
(Cost
$88,572,615)
85,800,664
PRINCIPAL
DESCRIPTION
RATE
MATURITY
VALUE
SHORT-TERM INVESTMENTS - 3.0%(2.1% of Total
Investments)
1,875,000
REPURCHASE
AGREEMENTS - 3.0% (2.1% of Total Investments)
1,875,000
1,875,000
(h)
Fixed
Income Clearing Corporation
3
.780
01/02/26
1,875,000
TOTAL REPURCHASE
AGREEMENTS
(Cost
$1,875,000)
1,875,000
TOTAL
SHORT-TERM INVESTMENTS
(Cost
$1,875,000)
1,875,000
TOTAL
INVESTMENTS - 140.0%
(Cost
$90,447,615)
87,675,664
REVERSE
REPURCHASE AGREEMENTS, INCLUDING ACCRUED INTEREST -
(41.4)%(i)
(
25,916,881
)
OTHER
ASSETS & LIABILITIES, NET
-
1.4%
871,667
NET
ASSETS APPLICABLE TO COMMON SHARES -
100%
$
62,630,450
PIK
Payment-in-kind
(“PIK”) security. Depending on the terms of the security, income may be received in the form of cash, securities, or
a combination of both. The PIK rate shown, where applicable, represents the
annualized rate of the last PIK payment made by the
issuer as of the end of the reporting
period.
SOFR30A
30
Day Average Secured Overnight Financing
Rate
TSFR1M
CME
Term Secured Overnight Financing Rate 1
Month
TSFR3M
CME
Term Secured Overnight Financing Rate 3
Month
UTIXX
Federated
Hermes U.S. Treasury Cash
Reserves
(a)
Security
is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities are deemed liquid
and may be resold in transactions exempt from registration, which are normally those
transactions with qualified institutional buyers.
As of the end of the fiscal period, the
aggregate value of these securities is $53,009,812 or 60.5% of Total
Investments.
(b)
Floating
or variable rate security includes the reference rate and spread, when applicable. For mortgage-backed or asset-backed
securities the variable rate is based on the underlying asset of the security. Coupon
rate reflects the rate at period end.
(c)
Contains
$1,000 Par Preferred and/or Contingent Capital Securities.
17
See Notes to Financial Statements
Investments in
Derivatives
(d)
Investment,
or portion of investment, has been pledged to collateralize the net payment obligations for investments in reverse
repurchase agreements. As of the end of the fiscal period, investments with a value of
$30,258,772 have been pledged as collateral
for reverse repurchase
agreements.
(e)
Perpetual
security. Maturity date is not
applicable.
(f)
Contingent
Capital Securities (“CoCos”) are debt or preferred securities with loss absorption characteristics built into the terms
of the security for the benefit of the issuer, for example an automatic write-down of
principal or a mandatory conversion into the
issuer’s common stock under certain
adverse circumstances, such as the issuer’s capital ratio falling below a specified level. As of
the end of the reporting period, the Fund’s total investment in CoCos was 1.6% of
Total
Investments.
(g)
$1,000
Par Institutional Preferred security. As of the end of the period, the percent of $1,000 Par Institutional Preferred securities was
5.1% of Total
Investments.
(h)
Agreement
with Fixed Income Clearing Corporation, 3.780% dated 12/31/25 to be repurchased at $1,875,394 on 1/2/26,
collateralized by Government Agency Securities, with coupon rate 3.625% and maturity date
10/31/30, valued at
$1,912,632.
(i)
Reverse
Repurchase Agreements, including accrued interest as a percentage of Total investments is
29.6%.
Futures Contracts -
Long
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
U.S.
Treasury 5-Year
Note
36
3/26
$
3,938,922
$
3,934,969
$
(
3,953
)
U.S. Treasury Ultra 10-Year
Note
64
3/26
7,386,381
7,361,000
(
25,381
)
U.S.
Treasury Ultra
Bond
45
3/26
5,377,594
5,310,000
(
67,594
)
Total
$16,702,897
$16,605,969
$(96,928)
Statement of Assets and Liabilities
See Notes to Financial Statements.
18
December 31, 2025
(Unaudited)
JMM
ASSETS
Long-term investments, at
value
†
$
85,800,664
Short-term
investments, at
value
◊
1,875,000
Cash collateral at broker for investments in futures
contracts
(1)
448,242
Cash collateral at broker for investments in reverse repurchase
agreements
(1)
9,303
Receivables:
Interest
613,682
Investments
sold
204,936
Other
283
Total
assets
88,952,110
LIABILITIES
Cash
overdraft
204,396
Reverse
repurchase agreements, including accrued
interest
25,916,881
Payables:
Management
fees
64,236
Variation
margin on futures contracts
33,094
Accrued
expenses:
Custodian
fees
51,475
Investor
relations
fees
1,955
Trustees
fees
1,908
Professional
fees
27,619
Shareholder
reporting
expenses
9,009
Shareholder
servicing agent
fees
2,496
Other
8,591
Total
liabilities
26,321,660
Net
assets applicable to common shares
$
62,630,450
Common shares
outstanding
9,462,350
Net
asset value ("NAV") per common share
outstanding
$
6
.62
NET
ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
Common shares, $0.01 par value per
share
$
94,624
Paid-in
capital
80,433,659
Total
distributable earnings
(loss)
(
17,897,833
)
Net
assets applicable to common
shares
$
62,630,450
Authorized
shares:
Common
Unlimited
†
Long-term investments,
cost
$
88,572,615
◊
Short-term investments,
cost
$
1,875,000
(1)
Cash
pledged to collateralize the net payment obligations for investments in derivatives and reverse repurchase agreements.
Statement of Operations
See Notes to Financial Statements.
19
Six Months Ended December 31, 2025
(Unaudited)
JMM
INVESTMENT
INCOME
Interest
$
2,395,260
Tax
withheld
(
1,959
)
Total
investment
income
2,393,301
EXPENSES
–
Management
fees
380,943
Shareholder
servicing agent
fees
4,742
Interest
expense
605,751
Trustees
fees
1,517
Custodian
expenses
25,698
Investor
relations
expenses
6,394
Professional
fees
32,125
Shareholder
reporting
expenses
11,502
Stock
exchange listing
fees
3,891
Other
3,110
Total
expenses
1,075,673
Net
investment income
(loss)
1,317,628
REALIZED
AND UNREALIZED GAIN (LOSS)
Realized gain (loss)
from:
Investments
(
417,953
)
Futures
contracts
480,826
Swap
contracts
34,496
Foreign
currency
transactions
1,791
Net
realized gain
(loss)
99,160
Change
in unrealized appreciation (depreciation) on:
Investments
971,658
Futures
contracts
(
388,161
)
Swap
contracts
(
40,188
)
Net
change in unrealized appreciation
(depreciation)
543,309
Net
realized and unrealized gain
(loss)
642,469
Net
increase (decrease) in net assets applicable to common shares from
operations
$
1,960,097
Statement of Changes in Net Assets
See Notes to Financial Statements
20
JMM
Unaudited
Six Months
Ended
12/31/25
Year
Ended
6/30/25
OPERATIONS
Net investment income
(loss)
$
1,317,628
$
2,501,658
Net realized gain (loss)
99,160
(
255,852
)
Net change in unrealized appreciation (depreciation)
543,309
2,297,532
Net increase (decrease) in net assets applicable to common shares from
operations
1,960,097
4,543,338
DISTRIBUTIONS TO COMMON SHAREHOLDERS
Dividends
(
1,646,449
)
(
3,158,649
)
Return
of
Capital
–
(
63,281
)
Total
distributions
(
1,646,449
)
(
3,221,930
)
Net increase (decrease) in net assets applicable to common
shares
313,648
1,321,408
Net assets applicable to common shares at the beginning of
period
62,316,802
60,995,394
Net assets applicable to common shares at the end of
period
$
62,630,450
$
62,316,802
Statement of Cash Flows
See Notes to Financial Statements
21
The following table provides a reconciliation of cash and cash collateral at
brokers to the Statement of Assets and
Liabilities:
Six Months Ended December 31, 2025
(Unaudited)
JMM
CASH
FLOWS FROM OPERATING ACTIVITIES
Net Increase (Decrease) in Net
Assets Applicable to Common Shares from
Operations
$
1,960,097
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
(
10,787,768
)
Proceeds
from sale and maturities of
investments
11,278,926
Proceeds
from (Purchase of) short-term investments,
net
(
100,000
)
Proceeds
from litigation
settlement
278
Amortization
(Accretion) of premiums and discounts,
net
15,088
(Increase)
Decrease in:
Receivable for
interest
13,496
Receivable
for
reclaims
1,959
Receivable
for investments
sold
(
203,798
)
Receivable
for variation margin on futures
contracts
80,109
Other
assets
4,975
Increase
(Decrease) in:
Payable for
interest
77,387
Payable
for investments purchased - regular
settlement
(
40,000
)
Payable
for investments purchased - when-issued/delayed-delivery
settlement
(
565,000
)
Payable
for variation margin on futures
contracts
33,094
Payable
for management
fees
2,781
Accrued
custodian
fees
17,016
Accrued
investor relations
fees
(
204
)
Accrued
Trustees
fees
(
224
)
Accrued
professional
fees
(
13,650
)
Accrued
shareholder reporting
expenses
4,270
Accrued
shareholder servicing agent
fees
732
Accrued
other
expenses
7,036
Net
realized (gain) loss from
investments
417,953
Net
realized (gain) loss from affiliated
investments
—
Net
realized (gain) loss from foreign currency
transactions
(
1,791
)
Net
realized (gain) loss from
paydowns
19,001
Net
change in unrealized (appreciation) depreciation of
investments
(
971,658
)
Net
change in unrealized (appreciation) depreciation of swap
contracts
40,188
Net
cash provided by (used in) operating
activities
1,290,293
CASH
FLOWS FROM FINANCING ACTIVITIES
Proceeds from reverse repurchase
agreements
99,077,884
(Repayments
of) reverse repurchase
agreements
(
99,051,884
)
Increase
(Decrease) in:
Cash
overdraft
204,396
Cash
collateral due to
broker
(
68,508
)
Cash
distributions paid to common
shareholders
(
1,865,980
)
Net
cash provided by (used in) financing
activities
(
1,704,092
)
Net
increase (decrease) in cash and cash collateral at
brokers
(
413,799
)
Cash
and cash collateral at brokers at the beginning of
period
871,344
Cash
and cash collateral at brokers at the end of
period
$
457,545
SUPPLEMENTAL DISCLOSURE OF CASH FLOW
INFORMATION
JMM
Cash
paid for interest
$
528,011
JMM
Cash
collateral at broker for investments in futures
contracts
$
448,242
Cash collateral at broker for investments in reverse repurchase
agreements
9,303
Total
cash and cash collateral at
brokers
$
457,545
Financial Highlights
22
The following data is for a common share outstanding for each fiscal year end unless
otherwise noted:
Investment
Operations
Less Distributions
to
Common
Shareholders
Common
Share
Common
Share
Net
Asset
Value,
Beginning
of
Period
Net
Investment
Income
(NII)
(Loss)
(a)
Net
Realized/
Unrealized
Gain
(Loss)
Total
From
NII
From
Net
Realized
Gains
Return
of
Capital
Total
Net
Asset
Value,
End
of
Period
Share
Price,
End
of
Period
JMM
12/31/25
(d)
$
6.59
$
0.14
$
0.06
$
0.20
$
(0.17)
$
—
$
—
$
(0.17)
$
6.62
$
6.04
6/30/25
6.45
0.26
0.22
0.48
(0.33)
—
(0.01)
(0.34)
6.59
6.28
6/30/24
6.38
0.24
0.16
0.40
(0.31)
—
(0.02)
(0.33)
6.45
5.97
6/30/23
6.56
0.22
(0.05)
0.17
(0.27)
—
(0.08)
(0.35)
6.38
5.80
6/30/22
7.82
0.24
(1.14)
(0.90)
(0.26)
—
(0.10)
(0.36)
6.56
6.10
6/30/21
7.48
0.26
0.40
0.66
(0.32)
—
—
(0.32)
7.82
7.46
(a)
Based on average shares
outstanding.
(b)
Total
Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested distributions at Common Share NAV, if any. The last
distribution 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 distribution declared in the period may often be based on the Fund’s 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 distributions, if any, at
the average
price paid per share at the time of reinvestment. The last distribution 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 distribution 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.
See Notes to Financial Statements
23
Ratios of Interest
Expense
to
Average Net Assets
Applicable
to
Common Shares
JMM
12/31/25
(c)
1.92
%
(e)
6/30/25
2.04
6/30/24
2.45
6/30/23
1.81
6/30/22
0.18
6/30/21
0.10
Common
Share Supplemental Data/
Ratios Applicable to Common
Shares
Common
Share
Total
Returns
Ratios to
Average
Net
Assets
Based
on
Net
Asset
Value
(b)
Based
on
Share
Price
(b)
Net
Assets,
End
of
Period
(000)
Expenses
(c)
Net
Investment
Income
(Loss)
(c)
Portfolio
Turnover
Rate
3.13
%
(1.12)
%
$
62,630
3.41
%
(e)
4.18
%
(e)
13
%
7.61
11.14
62,317
3.59
4.05
30
6.48
8.87
60,995
3.91
3.80
19
2.59
0.75
60,364
3.45
3.43
18
(12.04)
(13.94)
62,061
1.68
3.28
89
9.13
13.13
74,041
1.55
3.41
107
(c)
•
Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to reverse repurchase agreements (as described in Notes
to Financial Statements), where
applicable.
• Each ratio includes the effect of all interest expenses paid and
other costs related to reverse repurchase agreements, where applicable, as
follows:
(d)
Unaudited.
(e)
Annualized.
24
Notes to Financial Statements
(U
naudited)
1. General
Information
Fund Information:
Nuveen Multi-Market Income Fund (the “Fund”) is registered
under the Investment Company Act of 1940, as amended, as a
closed-end
management investment company. The Fund’s shares are listed on the New York Stock Exchange (“NYSE”) and trade under the ticker
symbol “JMM.” The Fund was organized as a Massachusetts business
trust on May 27, 2014 (previously organized as a Virginia
corporation).
Current Fiscal
Period:
The end of the reporting period for the Fund is December 31,
2025, and the period covered by these Notes to Financial
Statements is the
six months ended December 31, 2025 (the "current fiscal
period").
Investment Adviser and
Sub-Adviser:
The Fund’s 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 Fund, oversees the management of the
Fund's portfolio, manages the Fund’s business affairs and provides
certain clerical, bookkeeping and other administrative services, and, if
necessary, asset allocation decisions. The Adviser has entered into
a sub-
advisory agreement with Nuveen Asset Management, LLC, (the
“Sub-Adviser”), a subsidiary of the Adviser, under which the Sub-Adviser manages
the
investment portfolio of the Fund.
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. The Fund is an investment company and follows
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
Fund.
Compensation:
The Fund
pays no compensation directly to those of its officers, all of whom receive remuneration for their services to the Fund from
the Adviser or its affiliates. The 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.
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.
The Fund's distribution policy, which may be changed by the Board,
is to make regular monthly cash distributions to holders of their common shares
(stated in terms of a fixed cents per common share dividend distributions
rate which may be set from time to time). The Fund intends to distribute
all
or substantially all of its net investment income each year through its regular monthly distribution and to distribute realized capital gains at least
annually. In addition, in any monthly period, to maintain its declared per
common share distribution amount, the Fund may distribute more or less
than
its net investment income during the period. In the event the Fund distributes more than its net investment income during any yearly period,
such distributions may also include realized gains and/or a return of
capital. To the extent that a distribution includes a return of capital the NAV per
share may
erode.
Indemnifications:
Under
the Fund’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of
the performance of their duties to the Fund. In addition, in the normal
course of business, the Fund enters into contracts that provide general
indemnifications to other parties. The
Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may
be made against the Fund that have not yet occurred. However,
the Fund has not had prior claims or losses pursuant to these contracts and expects
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
foreign securities, when information is available. Non-cash dividends
received in the form of stock, if any, are recognized on the ex-dividend date
and recorded at fair value. Interest income, which reflects the
amortization of premiums and includes accretion of discounts for financial reporting
purposes, is recorded on an accrual basis. Interest income also reflects
payment-in-kind (“PIK”) interest, fees earned from reverse repurchase
agreements and paydown gains and losses, if any. PIK interest represents
income received in the form of securities in lieu of cash. Fees earned from
reverse repurchase agreements are further described in later in these Notes
to Financial
Statements.
Netting
Agreements:
In the ordinary course of business, the Fund 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 the 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, the Fund manages its cash collateral
and securities collateral on a counterparty basis. With respect to certain
counterparties, in accordance with the terms of the netting agreements,
collateral posted to the Fund is held in a segregated account by the
Fund's custodian and/or with respect to those amounts which can be sold or
repledged, are presented in the Fund's Portfolio of Investments or
Statement of Assets and Liabilities.
25
The Fund’s investments subject to netting agreements as of the end of the current
fiscal period, if any, are further described later in these Notes to
Financial
Statements.
Segment
Reporting:
The Fund represents a single operating segment. The officers of
the Fund act as the chief operating decision maker (“CODM”),
as
defined in U.S. GAAP. The CODM monitors the operating results of the Fund as a whole and is responsible for the Fund’s long-term strategic
asset allocation in accordance with the terms of its prospectus, based on a
defined investment strategy which is executed by the Fund’s portfolio
managers as a team. The financial information in the form of the Fund’s
portfolio composition, total returns, expense ratios and changes in net
assets
(i.e., changes in net assets resulting from operations, subscriptions and redemptions), which are used by the CODM to assess the segment’s
performance versus the Fund’s comparative benchmarks and to make resource
allocation decisions for the Fund’s single segment, is consistent with
that presented within the Fund’s financial statements. Segment assets are
reflected on the Statement of Assets and Liabilities as “total assets” and
significant segment revenues and expenses are
listed on the Statement of Operations.
New
Accounting Pronouncement (ASU No. 2023-09):
In December 2023, the FASB
issued Accounting Standard Update ("ASU") No. 2023-09,
Income Taxes
(Topic 740) Improvements to Income tax disclosures (“ASU 2023-09”). The primary purpose of the amendments within ASU 2023-09
is to enhance the transparency and decision usefulness of income tax
disclosures primarily related to the rate reconciliation table and income taxes
paid information. The amendments in ASU 2023-09 are effective for annual
periods beginning after December 15, 2024. During the current fiscal
period, the Fund adopted the new guidance. Management is currently
evaluating the implications of these changes on the financial
statements.
New Accounting Pronouncement (ASU No. 2025-11):
In December 2025, the FASB issued ASU No. 2025-11, Interim Reporting
(Topic 270) Narrow
Scope Improvements (“ASU 2025-11”). The
amendments in ASU 2025-11 provide a comprehensive list of interim disclosures that are required
by U.S. GAAP. ASU 2025-11 also includes a disclosure principle that requires
entities to disclose events since the end of the last annual reporting
period
that have a material impact on the entity. The amendments in ASU 2025-11 are effective for interim reporting periods within annual reporting
periods beginning after December 15, 2027. Early adoption is permitted for all
entities. Management is currently evaluating the implications of these
changes on the financial
statements.
3. Investment Valuation and Fair Value
Measurements
The Fund's investments in securities are recorded at their
estimated fair value utilizing valuation methods approved by the Adviser, subject to
oversight of the Board. Fair value is defined as the price that would be
received upon selling an investment or transferring a liability in an orderly
transaction to an independent buyer in the principal or most advantageous
market for the investment. U.S. GAAP establishes the three-tier hierarchy
which is used to maximize
the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value
measurements for disclosure purposes. Observable inputs reflect the assumptions
market participants would use in pricing the asset or liability.
Observable
inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect management’s
assumptions about the assumptions market participants would use in pricing the
asset or liability. Unobservable inputs are based on the best
information
available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input
levels.
Level 1 – Inputs are unadjusted and prices are determined using
quoted prices in active markets for identical securities.
Level 2 –
Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, credit
spreads,
etc.).
Level 3 – Prices are determined using significant unobservable
inputs (including management’s assumptions in determining the fair value of
investments).
A
description of the valuation techniques applied to the Fund's major classifications of assets and liabilities measured at fair value
follows:
Prices of fixed-income securities are generally provided by pricing
services approved by the Adviser, which is subject to review by the Adviser and
oversight of the Board. Pricing services establish a security’s 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 obligor’s credit
characteristics considered relevant. In pricing certain securities,
particularly less liquid and lower quality securities, pricing services may consider
information about a security, its issuer or market activity provided by the
Adviser. These securities are generally classified as Level 2.
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.
Swap contracts are marked-to-market daily based upon a price supplied
by a pricing service. Swaps are generally classified as Level 2.
For any
portfolio security or derivative for which market quotations are not readily available or for which the Adviser deems the valuations derived
using the valuation procedures described above not to reflect fair value, the
Adviser will determine a fair value in good faith using alternative
procedures
approved by the Adviser, subject to the oversight of the Board. As a general principle, the fair value of a security is 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
26
Notes to Financial Statements
(continued)
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 obligor’s credit characteristics considered relevant. To the extent the inputs are observable and
timely, the values would be classified as Level 2; otherwise they would be
classified as Level 3.
The following table summarizes the market value of the
Fund's investments as of the end of the current fiscal period, based on the inputs used to
value
them:
4. Portfolio Securities
Repurchase
Agreements:
In connection with transactions in repurchase agreements,
it is the Fund's 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 Fund that are subject to netting agreements as of the end of the current fiscal
period, and the collateral delivered related to those 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.
Purchases and Sales:
Long-term purchases and sales during the current fiscal period were as
follows:
The Fund 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. If the Fund has outstanding
when-issued/delayed-delivery purchases commitments as of the end of the current fiscal period, such
amounts are recognized on the Statement of Assets and
Liabilities.
5. Derivative
Investments
The Fund is authorized to invest in certain derivative
instruments. As defined by U.S. GAAP, a derivative is a financial instrument whose value is
derived from an underlying security price, foreign exchange rate, interest
rate, index of prices or rates, or other variables. Investments in derivatives
as of the end of and/or during the current fiscal period, if any, are
included within the Statement of Assets and Liabilities and the Statement of
Operations,
respectively.
JMM
Level
1
Level
2
Level
3
Total
Long-Term
Investments:
Asset-Backed
Securities
$
–
$
16,623,266
$
–
$
16,623,266
Corporate
Bonds
–
27,175,680
–
27,175,680
Mortgage-Backed
Securities
–
39,957,349
–
39,957,349
Sovereign
Debt
–
1,543,134
–
1,543,134
Variable Rate Senior Loan
Interests
–
501,235
–
501,235
Short-Term
Investments:
Repurchase
Agreements
–
1,875,000
–
1,875,000
Investments in
Derivatives:
Futures
Contracts*
(96,928)
–
–
(96,928)
Total
$
(96,928)
$
87,675,664
$
–
$
87,578,736
*
Represents net unrealized appreciation
(depreciation).
Fund
Counterparty
Short-term
Investments,
at
Value
Collateral
Pledged
(From)
Counterparty
JMM
Fixed Income Clearing
Corporation
$
1,875,000
$
(1,912,632)
Fund
Non-U.S.
Government
Purchases
U.S.
Government
Purchases
Non-U.S.
Government
Sales
and
Maturities
U.S.
Government
Sales
JMM
$
10,386,761
$
401,007
$
10,698,803
$
580,123
27
Futures
Contracts:
During the current fiscal period, the Fund used U.S. Treasury
futures as part of an overall portfolio construction strategy to
manage
portfolio duration and yield curve exposure.
A futures contract is an
agreement between two parties to buy and sell a financial instrument for a set price on a future date. Upon execution of a
futures contract, 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. Securities deposited
for initial margin, if any, are identified in the Portfolio of Investments
and cash deposited for initial margin, if any, is reflected on the Statement
of Assets and Liabilities.
During the period the futures contract is open,
changes in the market value of the contract are recognized as an unrealized gain or loss by
“marking-
to-market” on a daily basis. The Fund and the clearing
broker are obligated to settle monies on a daily basis representing the changes in the value
of the contracts. These daily cash settlements are known as “variation
margin” and is recognized on the Statement of Assets and Liabilities as a
receivable or payable for variation margin on futures contracts. When the
contract is closed or expired, the 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. The net realized
gain or loss and the change in unrealized appreciation (depreciation) on
futures contracts held during the period is included 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.
The average notional amount
of futures contracts outstanding during the current fiscal period was as
follows:
Interest Rate Swap
Contracts:
During the current fiscal period, the Fund used interest
rate swap contracts to partially hedge its interest cost of
leverage.
Interest rate swap contracts involve the Fund’s 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 the Fund’s 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 would begin at a specified date in the future (the “effective
date”).
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 Fund’s contractual rights and obligations under the contracts.
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 on such transactions
is limited to the net amount of interest payments that the Fund is to receive
from the counterparty. Payments paid (received) at the beginning of
the
measurement period are reflected as swap premiums paid (received) on the Statement of Assets and Liabilities, when applicable. Interest rate
swaps can be settled either directly with the counterparty
(“OTC”) or through a central clearinghouse (“centrally cleared”). For OTC swaps, the daily
change in the market value of the swap contract, along with any daily
interest fees accrued, are recognized as unrealized appreciation (depreciation)
on interest rate swaps contracts on the Statement of Assets and
Liabilities.
Upon the execution of a centrally cleared swap, 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. Securities deposited for initial margin, if any, are identified
in the Portfolio of Investments and cash deposited for initial margin,
if any, is reflected on the Statement of Assets and Liabilities. The Fund and
the clearing broker are obligated to settle monies on a daily basis
representing the changes in the value of the swap contracts. These daily cash
settlements are known as “variation margin” and is recognized on
the Statement of Assets and Liabilities as a receivable or payable for variation
margin on interest rate swaps
contracts.
Changes in the value of the swap contracts during the fiscal
period are recognized as net unrealized appreciation (depreciation) of swaps
contracts on the Statement of Operations. The net amount of periodic
payments settled in cash are recognized as net realized gain (loss) from swap
contracts on the Statement of Operations, in addition to the net
realized gain or loss recorded upon the termination of the swap contract.
The average notional amount of interest rate swap contracts
outstanding during the current fiscal period, was as
follows:
Fund
Average
Notional Amount of Futures
Contracts
Outstanding
*
JMM
$
15,900,491
*
The
average notional amount is calculated based on the absolute aggregate notional amount of contracts outstanding at the beginning of the current fiscal period
and at the end of each fiscal quarter within the current fiscal
period.
Fund
Average
Notional Amount of Interest Rate
Swap Contracts
Outstanding
*
JMM
$
5,666,667
*
The
average notional amount is calculated based on the absolute aggregate notional amount of contracts outstanding at the beginning of the current fiscal period
and at the end of each fiscal quarter within the current fiscal period.
28
Notes to Financial Statements
(continued)
At the end of the reporting period, the fund has invested in derivative contracts which
are reflected in the Statement of Assets and Liabilities as
follows:
During
the current fiscal period, the effect of derivative contracts on the Fund's Statement of Operations was as
follows:
Market and Counterparty Credit Risk:
In the normal course of business the 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 the Fund to counterparty credit risk, consist
principally of cash due from counterparties on forward, option and swap
transactions, when applicable. The extent of the Fund’s exposure to
counterparty credit risk in respect to these financial assets approximates their
carrying value as recorded on the Statement of Assets and
Liabilities.
The 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 the Fund with a value approximately
equal to the amount of any unrealized gain above a pre-determined threshold.
Reciprocally, when the Fund has an unrealized loss, the Fund has
instructed the custodian to pledge assets of the Fund 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.
6. Fund
Shares
Common Shares:
The Fund did not have any transactions in common shares during the
current and prior fiscal periods.
7. Income Tax
Information
The Fund intends to distribute substantially all of its net
investment income and net capital gains to shareholders and 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.
The Fund files income tax returns in U.S. federal and applicable
state and local jurisdictions. A Fund's federal income tax returns are generally
subject to examination for a period of three fiscal years after being filed.
State and local tax returns may be subject to examination for an additional
period of time
depending on the jurisdiction. Management has analyzed the Fund's tax positions taken for all open tax years and has concluded that
no provision for income tax is required in the Fund's financial
statements.
As of the end of the reporting period, the aggregate cost and
the net unrealized appreciation/(depreciation) of all investments for federal income tax
purposes were as
follows:
For purposes of this disclosure, tax cost generally includes the
cost of portfolio investments as well as up-front fees or premiums exchanged on
derivatives and any amounts unrealized for income statement reporting but
realized income and/or capital gains for tax reporting, if applicable.
As of
prior fiscal period end, the components of accumulated earnings on a tax basis were as
follows:
Asset
Derivatives
Liability
Derivatives
Derivative
Instrument
Risk
Exposure
Location
Value
Location
Value
JMM
Futures
Contracts
Interest
rate
-
$
–
Unrealized
depreciation on
futures
contracts
*
$
(96,928)
1
1
1
1
1
1
1
1
*
The fair value presented includes cumulative gain (loss) on open futures contracts;
however, the value reflected in the accompanying Statement of Assets and
Liabilities is
only the receivable or payable for variation margin on open futures
contracts.
Derivative
Instrument
Risk
Exposure
Net Realized Gain
(Loss)
Change
in
Unrealized
Appreciation
(Depreciation)
JMM
Futures
contracts
Interest
rate
$
480,826
$
(388,161)
Swap
contracts
Interest
rate
34,496
(40,188)
Fund
Tax
Cost
Gross
Unrealized
Appreciation
Gross
Unrealized
(Depreciation)
Net
Unrealized
Appreciation
(Depreciation)
JMM
$
90,563,632
$
1,009,878
$
(3,994,774)
$
(2,984,896)
29
As of prior fiscal period end, the Fund had capital loss carryforwards, which will
not expire:
8. Management Fees and Other Transactions with
Affiliates
Management Fees:
The Fund’s management fee compensates the Adviser for the
overall investment advisory and administrative services and
general office
facilities. The Sub-Adviser is compensated for its services to the Fund from the management fees paid to the
Adviser.
The Fund’s management fee consists of two components
– a fund-level fee, based only on the amount of assets within the Fund, and a
complex-
level fee, based on the aggregate amount of all eligible fund assets
managed by the Adviser. This pricing structure enables the Fund’s shareholders
to benefit from growth in the assets within the Fund as well as from growth
in the amount of complex-wide assets managed by the Adviser.
The annual
fund-level fee, payable monthly, is calculated according to the following
schedule:
The annual complex-level fee, payable monthly, is calculated
according to the following schedule:
* The complex-level fee is calculated
based upon the aggregate daily “eligible assets” of all Nuveen-branded closed-end funds and Nuveen branded open-end funds (“Nuveen Mutual
Funds”). Except as described below, eligible assets include the
assets of all Nuveen-branded closed-end funds and Nuveen Mutual Funds organized in the United States. Eligible assets do
not include the net assets of: Nuveen fund-of-funds, Nuveen money market
funds, Nuveen index funds, Nuveen Large Cap Responsible Equity Fund or Nuveen Life Large Cap Responsible
Equity Fund. In addition, eligible assets include a fixed percentage of the
aggregate net assets of the active equity and fixed income Nuveen Mutual Funds advised by the Adviser’s affiliate,
Teachers Advisors, LLC (except those identified above). The fixed percentage
will increase annually until May 1, 2033, at which time eligible assets will include all of the aggregate net assets
of the active equity and fixed income Nuveen Mutual Funds advised by
Teachers Advisors, LLC (except those identified above). Eligible assets include closed-end fund assets managed by
the Adviser that are attributable to financial leverage. For these
purposes, financial leverage includes the closed-end 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 trust’s 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 eligible assets in
certain
circumstances.
As of the end of the reporting period, the
complex-level fee rate for the Fund was as follows:
9. Fund
Leverage
Reverse Repurchase Agreements:
During the current fiscal period, the Fund utilized reverse
repurchase agreements as a means of leverage.
The Fund may enter into a
reverse repurchase agreement with brokers, dealers, banks or other financial institutions that have been determined by
the Adviser to be creditworthy. In a reverse repurchase agreement, the Fund
sells to the counterparty a security that it holds with a contemporaneous
agreement to repurchase the same security at an agreed-upon price and date,
reflecting the interest rate effective for the term of the agreement. It
Fund
Undistributed
Ordinary
Income
Undistributed
Long-Term
Capital
Gains
Unrealized
Appreciation
(Depreciation)
Capital
Loss
Carryforwards
Late-Year
Loss
Deferrals
Other
Book-to-Tax
Differences
Total
JMM
$
—
$
—
$
(4,049,070)
$
(13,888,003)
$
—
$
(274,408)
$
(18,211,481)
Fund
Short-Term
Long-Term
Total
JMM
$
1,614,905
$
12,273,098
$
13,888,003
JMM
Average
Daily Managed Assets*
Fund-Level Fee
Rate
For
the first $125
million
0.7000
%
For the next $125
million
0.6875
For
the next $150
million
0.6750
For
the next $600
million
0.6625
For
managed assets over $1
billion
0.6500
Complex-Level
Asset Breakpoint Level*
Complex-Level
Fee
For the first $124.3
billion
0.1600
%
For the next $75.7
billion
0.1350
For
the next $200
billion
0.1325
For
eligible assets over $400
billion
0.1300
Fund
Complex-Level
Fee
JMM
0.1560
%
30
Notes to Financial Statements
(continued)
may also be viewed as the borrowing of money by the Fund. Cash received in exchange for
securities delivered, plus accrued interest payments to
be made by the Fund to a
counterparty, are reflected as a liability on the Statement of Assets and Liabilities. Interest payments made by the Fund to
counterparties are recognized as a component of "Interest
expense" on the Statement of Operations.
In a reverse repurchase
agreement, the Fund retains the risk of loss associated with the sold security. Reverse repurchase agreements also involve the
risk that the purchaser fails to return the securities as agreed upon, files for
bankruptcy or becomes insolvent. Upon a bankruptcy or insolvency of a
counterparty, the Fund is considered to be an unsecured creditor with respect
to excess collateral and as such the return of excess collateral may be
delayed.
As
of the end of the current fiscal period, the Fund’s outstanding balances on its reverse repurchase agreements were as
follows:
During the current fiscal period, the average daily balance
outstanding (which was for the entire current reporting period) and average interest rate
on the Fund’s reverse repurchase agreements were as
follows:
The following table presents the reverse repurchase agreements
subject to netting agreements and the collateral delivered related to those reverse
repurchase
agreements.
10. Borrowing
Arrangements
Inter-Fund Lending Program:
The 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 Fund 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
fund’s 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 fund’s 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 fund’s inter-fund
loans to any one fund shall not exceed 5% of the lending fund’s 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 day’s 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 fund’s investment objective and investment policies. The Board is responsible for
overseeing the Inter-Fund
Program.
Fund
Counterparty
Rate
Principal
Amount
Maturity
Value
Value
and Accrued
Interest
JMM
BNP Paribas
SA
4.18%
$
(9,961,671)
1/30/26
$
(9,961,671)
$
(10,034,072)
JMM
Goldman
Sachs Group
Inc/The
4.23%
(3,318,000)
1/29/26
(3,318,000)
(3,342,951)
JMM
RBC USA Holdco
Corp
4.70%
(5,012,000)
1/12/26
(5,012,000)
(5,026,381)
JMM
TD Securities (USA),
LLC
4.53%
(7,444,600)
1/15/26
(7,444,600)
(7,513,477)
Total
$(25,736,271)
$(25,736,271)
$(25,916,881)
Fund
Utilization
Period
(Days
Outstanding)
Average
Daily
Balance
Outstanding
Average
Annual
Interest
Rate
JMM
184
$
(25,703,347
)
4.67
%
Fund
Counterparty
Reverse
Repurchase
Agreements*
Collateral
Pledged
to
Counterparty
JMM
BNP
Paribas
$
(10,034,072)
$
10,753,411
JMM
Goldman
Sachs
(3,342,951)
3,418,796
JMM
RBC
USA Holdco
Corp
(5,026,381)
6,497,067
JMM
TD
Securities (USA),
LLC
(7,513,477)
9,589,498
Total
$(25,916,881)
$30,258,772
*
Represents gross value and accrued interest for the counterparty as reported in the preceding table.
31
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 day’s 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 fiscal period, the
Fund did not enter into any inter-fund loan activity.
32
Additional Fund Information
(Unaudited)
Portfolio
of Investments Information
The 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 SEC’s website at
http://www.sec.gov.
Nuveen Funds’ Proxy Voting
Information
You may obtain (i) information regarding how the 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 Nuveen’s website at www.nuveen.com and (ii) a description
of the policies and procedures that the 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.
CEO Certification
Disclosure
The Fund’s Chief Executive Officer (CEO) has
submitted to the New York Stock
Exchange (NYSE) the annual CEO certification
as required by Section 303A.12(a) of the NYSE Listed Company Manual.
The Fund
has filed with the SEC the certification of its CEO and Chief Financial Officer required by Section 302 of the
Sarbanes-Oxley
Act.
Common Share Repurchases
The Fund intends to repurchase, through its open-market share
repurchase program,
shares of its own common stock at such times and in such
amounts as is deemed advisable. During the period covered
by this report, the
Fund repurchased shares of its common stock as shown in the accompanying table. Any future
repurchases will be reported to shareholders in the next annual or
semi-annual report.
FINRA BrokerCheck:
The Financial Industry Regulatory Authority (FINRA) provides
information regarding the
disciplinary history of FINRA member firms and
associated investment professionals. This information as well as an
investor
brochure describing FINRA BrokerCheck is available to the public by calling the FINRA BrokerCheck Hotline
number at (800) 289-9999 or by visiting
www.FINRA.org.
Board of
Trustees
Joseph A. Boateng*
Michael A. Forrester*
Thomas J.
Kenny
Amy B.R.
Lancellotta
Joanne T.
Medero
Albin F.
Moschner
John K.
Nelson
Loren M.
Starr*
Matthew Thornton
III
Terence J.
Toth
Margaret L.
Wolff
Robert L.
Young
*Serves as a
consultant.
Investment
Adviser
Nuveen Fund Advisors,
LLC
333 West Wacker
Drive
Chicago, IL
60606
Custodian
State
Street Bank
& Trust
Company
One Congress
Street
Suite
1
Boston, MA
02114-2016
Legal
Counsel
Chapman and Cutler
LLP
Chicago,
IL 60606
Independent Registered
Public Accounting
Firm
PricewaterhouseCoopers
LLP
One North Wacker
Drive
Chicago, IL
60606
Transfer Agent
and
Shareholder
Services
Computershare Trust Company,
N.A.
150 Royall
Street
Canton, MA
02021
(800)
257-8787
JMM
Common
shares repurchased
0
Glossary of Terms Used in this Report
33
(Unaudited)
Average
Annual Total Return
: This is a commonly used method to express an investment’s
performance over a particular, usually
multi-year time period. It expresses the return that
would have been necessary each year to equal the investment’s actual cumulative
performance (including change in NAV or offer price and reinvested dividends and capital
gains distributions, if any) over the time
period being
considered.
Beta:
A
measure of the variability of the change in the share price for a fund in relation to a change in the value of the fund’s market
benchmark. Securities with betas higher than 1.0 have been, and are expected to be, more
volatile than the benchmark; securities
with betas lower than 1.0 have been, and are
expected to be, less volatile than the benchmark.
Contingent Capital Securities
(CoCos):
CoCos are debt or capital securities of primarily non-U.S. issuers with loss
absorption
contingency mechanisms built into the terms of the security, for example a
mandatory conversion into common stock of the issuer,
or a principal write-down, which if
triggered would likely cause the CoCo investment to lose value. Loss absorption mechanisms
would become effective upon the occurrence of a specified contingency event, or at the
discretion of a regulatory body. Specified
contingency events, as identified in the
CoCo’s governing documents, usually reference a decline in the issuer’s capital below a
specified threshold level, and/or certain regulatory events. A loss absorption contingency
event for CoCos would likely be the result
of, or related to, the deterioration of the
issuer’s financial condition and/or its status as a going concern. In such a case, with respect
to CoCos that provide for conversion into common stock upon the occurrence of the contingency
event, the market price of the
issuer’s common stock received by the Acquiring Fund
will have likely declined, perhaps substantially, and may continue to decline
after
conversion. CoCos rated below investment grade should be considered high yield securities, or “junk,” but often are issued
by entities whose more senior securities are rated investment grade. CoCos are a relatively
new type of security; and there is a risk
that CoCo security issuers may suffer the sort of
future financial distress that could materially increase the likelihood (or the market’s
perception of the likelihood) that an automatic write-down or conversion event on those
issuers’ CoCos will occur. Additionally,
the trading behavior of a given
issuer’s CoCo may be strongly impacted by the trading behavior of other issuers’ CoCos, such
that negative information from an unrelated CoCo security may cause a decline in value of
one or more CoCos held by the Fund.
Accordingly, the trading behavior of CoCos may not
follow the trading behavior of other types of debt and preferred securities.
Despite these
concerns, the prospective reward vs. risk characteristics of at least certain CoCos may be very attractive relative to
other fixed-income
alternatives.
Duration:
Duration
is a measure of the expected period over which a bond’s principal and interest will be paid, and consequently is
a measure of the sensitivity of a bond’s or bond fund’s value to changes when
market interest rates change. Generally, the longer a
bond’s or fund’s duration,
the more the price of the bond or fund will change as interest rates
change.
Effective Leverage:
Effective leverage is a fund’s effective economic leverage, and includes both
regulatory leverage (see
leverage) and the leverage effects of certain derivative
investments in a fund’s portfolio. Currently, the leverage effects of Tender
Option
Bond (TOB) inverse floater holdings are included in effective leverage values, in addition to any regulatory
leverage.
Leverage:
Leverage is created whenever a fund has investment exposure (both reward and/or risk)
equivalent to more than 100%
of the investment
capital.
Net Asset Value (NAV) Per
Share:
A fund’s Net Assets is equal to its total assets (securities, cash,
accrued earnings and
receivables) less its total liabilities. NAV per share is equal to the
fund’s Net Assets divided by its number of shares outstanding.
Regulatory Leverage:
Regulatory leverage consists of preferred shares issued by or borrowings of a fund.
Both of these are part
of a fund’s capital structure. Regulatory leverage is subject
to asset coverage limits set in the Investment Company Act of 1940.
Nuveen Securities, LLC, member FINRA and SIPC
333 West Wacker Drive
Chicago, IL 60606
www.nuveen.com
ESA-A-1225P 5093109
Nuveen:
Serving
Investors for Generations
Since 1898, financial advisors and their clients have relied on Nuveen to provide dependable
investment solutions through continued adherence to proven, long-term investing principles. Today,
we offer a range of high quality solutions designed to be integral components of a well-diversified core
portfolio.
Focused
on meeting investor needs.
Nuveen is the investment manager of TIAA. We have grown into one of the world’s premier global
asset managers, with specialist knowledge across all major asset classes and particular strength
in solutions that provide income for investors and that draw on our expertise in alternatives and
responsible investing. Nuveen is driven not only by the independent investment processes across
the firm, but also the insights, risk management, analytics and other tools and resources that a truly
world-class platform provides. As a global asset manager, our mission is to work in partnership with
our clients to create solutions which help them secure their financial
future.
Find out how we can help
you.
To learn more about how the products and services of Nuveen may be able to help you meet your
financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read
the information
provided carefully before you invest. Investors should consider the investment objective and policies,
risk considerations, charges and expenses of any investment carefully. Where applicable, be sure
to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus,
please contact your securities representative or Nuveen, 333 W. Wacker Dr., Chicago, IL 60606.
Please read the prospectus carefully before you invest or send
money.
Learn more about Nuveen Funds at:
www.nuveen.com/closed-end-funds
NOT
FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
| Item 2. | Code of Ethics. |
Not applicable to this filing.
| Item 3. | Audit Committee Financial Expert. |
Not applicable to this filing.
| Item 4. | Principal Accountant Fees and Services. |
Not applicable to this filing.
| Item 5. | Audit Committee of Listed Registrants. |
Not applicable to this filing.
| Item 6. | Investments. |
| (a) | Schedule of Investments is included as part of the Portfolio of Investments filed under Item 1 of this Form N-CSR. |
| (b) | Not applicable. |
| Item 7. | Financial Statements and Financial Highlights for Open-End Management Investment Companies. |
Not applicable to closed-end investment companies.
| Item 8. | Changes in and Disagreements with Accountants for Open-End Management Investment Companies. |
Not applicable to closed-end investment companies.
| Item 9. | Proxy Disclosures for Open-End Management Investment Companies. |
Not applicable to closed-end investment companies.
| Item 10. | Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies. |
Not applicable to closed-end investment companies.
| Item 11. | Statement Regarding Basis for Approval of Investment Advisory Contract. |
Not applicable.
| Item 12. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable to this filing.
| Item 13. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable to this filing.
| Item 14. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
| Item 15. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board implemented after the registrant last provided disclosure in response to this Item.
| Item 16. | Controls and Procedures. |
| (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
| Item 17. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
| Item 18. | Recovery of Erroneously Awarded Compensation. |
| (a) | Not applicable. |
| (b) | Not applicable. |
| Item 19. | Exhibits. |
| (a)(1) | Not applicable to this filing. | |
| (a)(2) | Not applicable to this filing. | |
| (a)(3) | ||
| (a)(4) | Not applicable. | |
| (a)(5) | Not applicable. | |
| (b) | ||
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Nuveen Multi-Market Income Fund
| Date: March 6, 2026 | By: | /s/ David J. Lamb | ||||
| David J. Lamb | ||||||
| Chief Administrative Officer |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| Date: March 6, 2026 | By: | /s/ David J. Lamb | ||||
| David J. Lamb | ||||||
| Chief Administrative Officer | ||||||
| (principal executive officer) | ||||||
| Date: March 6, 2026 | By: | /s/ Marc Cardella | ||||
| Marc Cardella | ||||||
| Vice President and Controller | ||||||
| (principal financial officer) | ||||||