Nuveen makes things e-simple.
The Funds include portfolio manager commentary in their annual shareholder reports. For the Funds most
recent annual portfolio manager discussion, please refer to the Portfolio Managers Comments section of each Funds December 31, 2021 annual shareholder report.
For current information on your Funds investment objectives, portfolio management team and average annual total returns please refer to the Funds website at
www.nuveen.com.
For changes that occurred to your Fund both during and subsequent to this reporting period, please refer to the Notes to Financial Statements
section of this report.
For average annual total returns as of the end of this reporting period, please refer to the Performance Overview and Holding Summaries
section within this report.
One important factor impacting the common share returns of the Funds relative to their comparative benchmarks was the use of leverage through bank borrowings and reverse
repurchase agreements (for NPCT and JLS). The Funds use leverage because our research has shown that, over time, leveraging provides opportunities for additional income. The opportunity arises when short-term rates that the Fund pays on its
leveraging instruments are lower than the interest the Fund earns on its portfolio securities that it has bought with the proceeds of that leverage. This has been particularly true in the recent market environment where short-term rates have been
low by historical standards.
However, use of leverage can expose Fund common shares to additional price volatility. When a Fund uses leverage, the Funds
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 somewhat higher than their recent lows, leverage nevertheless continues to provide the opportunity for incremental common share income, particularly over longer-term periods.
The Funds use of leverage significantly detracted from relative performance during the reporting period. However, the Funds use of leverage was accretive to
overall common share income.
JGH also continued to use interest rate swap contracts to partially hedge its future interest cost of leverage. The impact of the swap
contracts on total return performance was positive during this reporting period.
As of June 30, 2022, the Funds percentages of leverage are shown in the
accompanying table.
Refer to Notes to Financial Statements, Note 8 Fund Leverage for further details.
Refer to Notes to Financial Statements, Note 8 Fund Leverage for further details.
The following
information regarding the distributions for JGH and JLS are current as of June 30, 2022.
The Funds implemented a level distribution program. The goal of the level
distribution program is to provide shareholders with stable, but not guaranteed, cash flow, independent of the amount or timing of income earned or capital gains realized by the Funds. The Funds intend to distribute all or substantially all of their
net investment income through their regular monthly distribution and to distribute realized capital gains at least annually. In any monthly period, in order to maintain its level distribution amount, each Fund may pay out more or less than its net
investment income during the period. As a result, regular distributions throughout the year are expected to include net investment income and potentially a return of capital or capital gains for tax purposes. You should not draw any conclusions
about the Funds investment performance from the amount of the distribution or from the terms of the level distribution program. A return of capital is a non-taxable distribution of a portion of a
Funds capital. A return of capital distribution does not necessarily reflect a Funds investment performance and should not be confused with yield or income.
Actual amounts and sources for tax reporting purposes will be determined as of each Funds fiscal year-end and reported to shareholders on Form 1099-DIV. Because
distribution source estimates are updated throughout the current fiscal year based on a Funds performance, these estimates may differ from both the tax information reported to you in your Funds 1099 statement, as well as the ultimate
economic sources of distributions over the life of your investment. The figures in the table below provide an estimate of the sources of distributions and may include amounts attributed to realized gains and/or returns of capital. The Funds
attribute these estimates equally to each regular distribution throughout the year. Consequently, the estimated information shown below is for the current distribution, and also represents an updated estimate for all prior months in the fiscal year.
These estimates should not be used for tax reporting purposes. The final determination for all distributions paid in 2021 will be made in early 2022 and reported to you on Form 1099-DIV. More details about each Funds distributions and the
basis for these estimates are available on www.nuveen.com/en-us/closed-end-funds.
The following table provides information regarding
Fund distributions and total return performance over various time periods. This information is intended to help you better understand whether Fund returns for the specified time periods were sufficient to meet Fund distributions.
The following information regarding the Funds distributions is current as of June 30, 2022. This notice provides shareholders with information regarding fund
distributions, as required by current securities laws. You should not draw any conclusions about the Funds investment performance from the amount of the distribution or from the terms of the Funds Managed Distribution Policy.
The following table provides estimates of the Funds distribution sources, reflecting year-to-date cumulative experience through the month-end prior to the latest
distribution. The Fund attributes these estimates equally to each regular distribution throughout the year. Consequently, the estimated information as of the specified month-end shown below is for the current distribution, and also represents an
updated estimate for all prior months in the year. For the Fund, it is estimated that the Fund has distributed more than its income and net realized capital gains; therefore, a portion of the distributions may be (and is shown below as being
estimated to be) a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A return of capital distribution does not necessarily reflect the Funds
investment performance and should not be confused with yield or income.
The amounts and sources of distributions reported in this notice are
only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will depend upon the Funds investment experience during the remainder of its fiscal year and may be
subject to changes based on tax regulations. The Fund will send a Form 1099-DIV for the calendar year that will tell you how to report these distributions for federal income tax purposes. More details about the Funds distributions and the
basis for these estimates are available on www.nuveen.com/cef
The Nuveen Closed-End Funds monthly and quarterly periodic distributions to shareholders are posted on www.nuveen.com and can be found on Nuveens enhanced
closed-end fund resource page, which is at https://www.nuveen.com/resource-center-closed-end-funds, along with other Nuveen closed-end fund product updates. To ensure timely access to the latest information, shareholders may use a subscribe
function, which can be activated at this web page (https://www.nuveen.com/subscriptions).
During August 2022 (subsequent to the close of the reporting period), the Funds Board of Trustees reauthorized an open-market common share repurchase program,
allowing each Fund to repurchase an aggregate of up to approximately 10% of its outstanding common shares.
During the current reporting period, the Funds did not
repurchase any of their outstanding common shares. As of June 30, 2022 (and since the inception of the Funds repurchase program), each Fund has cumulatively repurchased and retired its outstanding common shares as shown in the
accompanying table.
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within
this section.
Since inception returns are from 11/24/14. Performance data shown 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 Funds shares at NAV only. Indexes are not available for direct investment.
The Fund uses credit quality ratings for its portfolio securities provided by Standard & Poors Group, Moodys 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.
Refer to Glossary of Terms Used in this Report for further definition of terms used in this
section.
Since inception
returns are from 4/27/21. Performance data shown 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 Funds shares at NAV
only. Indexes are not available for direct investment.
The Fund uses credit quality ratings for its portfolio securities provided by Standard & Poors Group, Moodys 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.
Refer to Glossary of Terms Used in this Report for further definition of terms used in this
section.
Performance prior to October 14, 2019, reflects the Funds performance under the management of a sub-adviser using
investment strategies that differed from those currently in place. Performance data shown 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 Funds shares at NAV only. Indexes are not available for direct investment.
The ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poors Group, Moodys Investors
Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B,
CCC, CC, C and D are below-investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.
For Fund portfolio compliance purposes, the
Funds industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund
management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.
|
|
|
NPCT |
|
Nuveen Core Plus Impact Fund
Portfolio of Investments June 30, 2022 |
|
|
(Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount (000) |
|
|
Description (1) |
|
Coupon |
|
|
Maturity |
|
|
Ratings (2) |
|
|
Value |
|
|
|
|
|
|
|
LONGTERM INVESTMENTS 159.0% (100.0% of Total Investments) |
|
|
|
|
|
|
|
|
|
|
|
CORPORATE BONDS 86.2% (54.2% of Total Investments) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
2,000 |
|
|
Delta Air Lines Inc |
|
|
3.750% |
|
|
|
10/28/29 |
|
|
|
Baa3 |
|
|
$ |
1,584,950 |
|
|
|
|
|
|
|
|
|
|
Auto Components 1.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,000 |
|
|
Dana Inc, (3) |
|
|
4.250% |
|
|
|
9/01/30 |
|
|
|
BB+ |
|
|
|
3,881,014 |
|
|
|
|
|
|
|
|
|
|
Automobiles 3.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,510 |
|
|
Ford Motor Co |
|
|
3.250% |
|
|
|
2/12/32 |
|
|
|
BB+ |
|
|
|
2,625,129 |
|
|
15,300 |
|
|
HarleyDavidson Inc, (3) |
|
|
4.625% |
|
|
|
7/28/45 |
|
|
|
BBB+ |
|
|
|
11,767,708 |
|
|
18,810 |
|
|
Total Automobiles |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,392,837 |
|
|
|
|
|
|
|
|
|
|
Banks 9.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,000 |
|
|
Alimentation CoucheTard Inc, 144A |
|
|
3.625% |
|
|
|
5/13/51 |
|
|
|
BBB |
|
|
|
3,620,924 |
|
|
17,000 |
|
|
Intesa Sanpaolo SpA, 144A |
|
|
4.950% |
|
|
|
6/01/42 |
|
|
|
BB+ |
|
|
|
11,485,861 |
|
|
10,000 |
|
|
Standard Chartered PLC, 144A, (3) |
|
|
5.300% |
|
|
|
1/09/43 |
|
|
|
BBB+ |
|
|
|
8,776,676 |
|
|
15,000 |
|
|
UniCredit SpA, 144A |
|
|
5.459% |
|
|
|
6/30/35 |
|
|
|
Baa3 |
|
|
|
12,122,756 |
|
|
47,000 |
|
|
Total Banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36,006,217 |
|
|
|
|
|
|
|
|
|
|
Capital Markets 2.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,000 |
|
|
Banco BTG Pactual SA/Cayman Islands, 144A |
|
|
2.750% |
|
|
|
1/11/26 |
|
|
|
Ba2 |
|
|
|
7,996,050 |
|
|
|
|
|
|
|
|
|
|
Chemicals 4.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,000 |
|
|
LG Chem Ltd, 144A |
|
|
2.375% |
|
|
|
7/07/31 |
|
|
|
A3 |
|
|
|
4,185,219 |
|
|
5,000 |
|
|
LYB International Finance III LLC |
|
|
3.800% |
|
|
|
10/01/60 |
|
|
|
BBB |
|
|
|
3,543,508 |
|
|
8,227 |
|
|
Star Energy Geothermal Wayang Windu Ltd, 144A |
|
|
6.750% |
|
|
|
4/24/33 |
|
|
|
Ba3 |
|
|
|
7,737,494 |
|
|
18,227 |
|
|
Total Chemicals |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,466,221 |
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,040 |
|
|
New York Public Library Astor Lenox & Tilden
Foundations |
|
|
4.305% |
|
|
|
7/01/45 |
|
|
|
AA |
|
|
|
1,981,116 |
|
|
|
|
|
|
|
|
|
|
Communications Equipment 1.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,000 |
|
|
Vodafone Group PLC |
|
|
5.125% |
|
|
|
6/04/81 |
|
|
|
BB+ |
|
|
|
6,662,500 |
|
|
|
|
|
|
|
|
|
|
Diversified Consumer Services 1.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,160 |
|
|
YMCA of Greater New York |
|
|
2.303% |
|
|
|
8/01/26 |
|
|
|
BBB |
|
|
|
5,642,434 |
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services 1.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,400 |
|
|
Community Preservation Corp |
|
|
2.867% |
|
|
|
2/01/30 |
|
|
|
AA |
|
|
|
2,137,057 |
|
|
5,400 |
|
|
Power Finance Corp Ltd, Reg S |
|
|
1.841% |
|
|
|
9/21/28 |
|
|
|
Baa3 |
|
|
|
4,698,057 |
|
|
7,800 |
|
|
Total Diversified Financial Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,835,114 |
|
|
|
|
|
|
|
|
|
|
Electric Utilities 18.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,000 |
|
|
EDP Energias de Portugal SA, Reg S |
|
|
1.875% |
|
|
|
3/14/82 |
|
|
|
BB+ |
|
|
|
3,628,527 |
|
|
8,762 |
|
|
India Cleantech Energy, 144A |
|
|
4.700% |
|
|
|
8/10/26 |
|
|
|
Ba3 |
|
|
|
7,079,292 |
|
|
6,650 |
|
|
Interchile SA, 144A |
|
|
4.500% |
|
|
|
6/30/56 |
|
|
|
Baa1 |
|
|
|
5,464,144 |
|
|
10,794 |
|
|
Inversiones Latin America Power Ltda, 144A |
|
|
5.125% |
|
|
|
6/15/33 |
|
|
|
Ba1 |
|
|
|
6,179,790 |
|
|
2,000 |
|
|
Leeward Renewable Energy Operations LLC, 144A |
|
|
4.250% |
|
|
|
7/01/29 |
|
|
|
Ba3 |
|
|
|
1,594,770 |
|
|
7,330 |
|
|
Liberty Utilities Finance GP 1, 144A, (3) |
|
|
2.050% |
|
|
|
9/15/30 |
|
|
|
BBB+ |
|
|
|
6,010,280 |
|
|
7,000 |
|
|
Pattern Energy Operations LP / Pattern Energy Operations Inc, 144A, (3) |
|
|
4.500% |
|
|
|
8/15/28 |
|
|
|
BB |
|
|
|
6,090,000 |
|
|
2,806 |
|
|
Solar Star Funding LLC, 144A, (3) |
|
|
5.375% |
|
|
|
6/30/35 |
|
|
|
BBB |
|
|
|
3,037,946 |
|
|
13,000 |
|
|
Southern California Edison Co, (3) |
|
|
3.650% |
|
|
|
6/01/51 |
|
|
|
A |
|
|
|
10,081,166 |
|
|
5,000 |
|
|
Star Energy Geothermal Darajat II / Star Energy Geothermal Salak, 144A |
|
|
4.850% |
|
|
|
10/14/38 |
|
|
|
Baa3 |
|
|
|
4,237,500 |
|
32
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount (000) |
|
|
Description (1) |
|
Coupon |
|
|
Maturity |
|
|
Ratings (2) |
|
|
Value |
|
|
|
|
|
|
|
|
|
|
Electric Utilities (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,504 |
|
|
Topaz Solar Farms LLC, 144A, (3) |
|
|
5.750% |
|
|
|
9/30/39 |
|
|
|
BB |
|
|
$
|
4,087,719 |
|
|
10,160 |
|
|
Topaz Solar Farms LLC, 144A |
|
|
4.875% |
|
|
|
9/30/39 |
|
|
|
BB |
|
|
|
8,763,011 |
|
|
5,800 |
|
|
Vena Energy Capital Pte Ltd, Reg S |
|
|
3.133% |
|
|
|
2/26/25 |
|
|
|
BBB |
|
|
|
5,531,772 |
|
|
88,806 |
|
|
Total Electric Utilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
71,785,917 |
|
|
|
|
|
|
|
|
|
|
Electrical Equipment 1.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,000 |
|
|
Sociedad de Transmision Austral SA, 144A |
|
|
4.000% |
|
|
|
1/27/32 |
|
|
|
Baa2 |
|
|
|
3,883,800 |
|
|
|
|
|
|
|
Electronic Equipment, Instruments & Components 1.2% |
|
|
|
|
|
|
|
|
|
|
|
5,000 |
|
|
SK Battery America Inc, Reg S |
|
|
2.125% |
|
|
|
1/26/26 |
|
|
|
Baa3 |
|
|
|
4,522,083 |
|
|
|
|
|
|
|
Equity Real Estate Investment Trust 4.1% |
|
|
|
|
|
|
|
|
|
|
|
9,915 |
|
|
HAT Holdings I LLC / HAT Holdings II LLC, 144A, (3) |
|
|
3.375% |
|
|
|
6/15/26 |
|
|
|
Baa3 |
|
|
|
8,526,900 |
|
|
2,000 |
|
|
HAT Holdings I LLC / HAT Holdings II LLC, 144A |
|
|
3.750% |
|
|
|
9/15/30 |
|
|
|
Baa3 |
|
|
|
1,595,000 |
|
|
2,000 |
|
|
Host Hotels & Resorts LP |
|
|
2.900% |
|
|
|
12/15/31 |
|
|
|
BBB |
|
|
|
1,587,933 |
|
|
5,000 |
|
|
Scentre Group Trust 2, 144A |
|
|
5.125% |
|
|
|
9/24/80 |
|
|
|
BBB+ |
|
|
|
4,122,192 |
|
|
18,915 |
|
|
Total Equity Real Estate Investment Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,832,025 |
|
|
|
|
|
|
|
|
|
|
Gas Utilities 3.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,000 |
|
|
Brooklyn Union Gas Co, 144A, (3) |
|
|
4.273% |
|
|
|
3/15/48 |
|
|
|
BBB+ |
|
|
|
12,255,740 |
|
|
4,000 |
|
|
Southern Co Gas Capital Corp |
|
|
3.150% |
|
|
|
9/30/51 |
|
|
|
BBB+ |
|
|
|
2,834,230 |
|
|
19,000 |
|
|
Total Gas Utilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,089,970 |
|
|
|
|
|
|
|
|
|
|
Household Durables 1.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,000 |
|
|
Arcelik AS, Reg S |
|
|
3.000% |
|
|
|
5/27/26 |
|
|
|
BB+ |
|
|
|
4,460,644 |
|
|
|
|
|
|
|
Independent Power & Renewable Electricity Producers 11.9% |
|
|
|
|
|
|
|
|
|
|
|
5,000 |
|
|
AES Corp |
|
|
2.450% |
|
|
|
1/15/31 |
|
|
|
BBB |
|
|
|
4,021,339 |
|
|
6,270 |
|
|
Atlantica Sustainable Infrastructure PLC, 144A |
|
|
4.125% |
|
|
|
6/15/28 |
|
|
|
BB+ |
|
|
|
5,459,797 |
|
|
6,746 |
|
|
Azure Power Energy Ltd, 144A |
|
|
3.575% |
|
|
|
8/19/26 |
|
|
|
BB+ |
|
|
|
5,564,018 |
|
|
2,400 |
|
|
Clearway Energy Operating LLC, 144A |
|
|
4.750% |
|
|
|
3/15/28 |
|
|
|
BB |
|
|
|
2,159,236 |
|
|
5,100 |
|
|
Clearway Energy Operating LLC, 144A |
|
|
3.750% |
|
|
|
1/15/32 |
|
|
|
BB |
|
|
|
4,041,750 |
|
|
7,050 |
|
|
Colbun SA, 144A |
|
|
3.150% |
|
|
|
1/19/32 |
|
|
|
BBB+ |
|
|
|
5,663,265 |
|
|
1,972 |
|
|
Continuum Energy Levanter Pte Ltd, 144A |
|
|
4.500% |
|
|
|
2/09/27 |
|
|
|
BB+ |
|
|
|
1,556,224 |
|
|
8,075 |
|
|
Sunnova Energy Corp, 144A, (3) |
|
|
5.875% |
|
|
|
9/01/26 |
|
|
|
B1 |
|
|
|
7,025,309 |
|
|
10,000 |
|
|
Sweihan PV Power Co PJSC, 144A |
|
|
3.625% |
|
|
|
1/31/49 |
|
|
|
BBB+ |
|
|
|
8,270,680 |
|
|
2,846 |
|
|
UEP Penonome II SA, 144A |
|
|
6.500% |
|
|
|
10/01/38 |
|
|
|
BB |
|
|
|
2,650,214 |
|
|
55,459 |
|
|
Total Independent Power & Renewable Electricity
Producers |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
46,411,832 |
|
|
|
|
|
|
|
|
|
|
Machinery 1.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,000 |
|
|
Mueller Water Products Inc, 144A, (3) |
|
|
4.000% |
|
|
|
6/15/29 |
|
|
|
Ba1 |
|
|
|
4,361,700 |
|
|
2,305 |
|
|
YMCA of Greater New York |
|
|
5.021% |
|
|
|
8/01/38 |
|
|
|
BBB |
|
|
|
2,275,165 |
|
|
7,305 |
|
|
Total Machinery |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,636,865 |
|
|
|
|
|
|
|
|
|
|
Media 1.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,000 |
|
|
Discovery Communications LLC, (3) |
|
|
4.000% |
|
|
|
9/15/55 |
|
|
|
BBB |
|
|
|
7,005,059 |
|
|
|
|
|
|
|
|
|
|
Metals & Mining 1.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,000 |
|
|
Teck Resources Ltd |
|
|
5.200% |
|
|
|
3/01/42 |
|
|
|
BBB |
|
|
|
4,557,636 |
|
|
|
|
|
|
|
Mortgage Real Estate Investment Trust 2.5% |
|
|
|
|
|
|
|
|
|
|
|
5,745 |
|
|
Starwood Property Trust Inc, 144A |
|
|
3.625% |
|
|
|
7/15/26 |
|
|
|
BB+ |
|
|
|
4,868,887 |
|
|
5,710 |
|
|
Starwood Property Trust Inc, 144A |
|
|
4.375% |
|
|
|
1/15/27 |
|
|
|
BB+ |
|
|
|
4,956,623 |
|
|
11,455 |
|
|
Total Mortgage Real Estate Investment Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,825,510 |
|
|
|
|
|
|
|
|
|
|
Multiline Retail 1.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,000 |
|
|
Nordstrom Inc |
|
|
5.000% |
|
|
|
1/15/44 |
|
|
|
BBB |
|
|
|
7,125,000 |
|
33
|
|
|
|
|
NPCT |
|
Nuveen Core Plus Impact Fund (continued) |
|
Portfolio of Investments June 30, 2022 |
|
|
(Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount (000) |
|
|
Description (1) |
|
Coupon |
|
|
Maturity |
|
|
Ratings (2) |
|
|
Value |
|
|
|
|
|
|
|
|
|
|
MultiUtilities 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,244 |
|
|
Consolidated Edison Co of New York Inc |
|
|
4.300% |
|
|
|
12/01/56 |
|
|
|
A |
|
|
$
|
1,966,113 |
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 4.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
4,828 |
|
|
Kinder Morgan Inc, (3) |
|
|
5.300% |
|
|
|
12/01/34 |
|
|
|
BBB |
|
|
|
4,716,176 |
|
|
15,000 |
|
|
Santos Finance Ltd, 144A, (3) |
|
|
3.649% |
|
|
|
4/29/31 |
|
|
|
BBB |
|
|
|
12,722,934 |
|
|
19,828 |
|
|
Total Oil, Gas & Consumable Fuels |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,439,110 |
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,250 |
|
|
GTC Aurora Luxembourg SA, Reg S |
|
|
2.250% |
|
|
|
6/23/26 |
|
|
|
BBB |
|
|
|
1,792,171 |
|
|
|
|
|
|
|
|
|
|
Road & Rail 2.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
5,000 |
|
|
Kansas City Southern/Old |
|
|
4.200% |
|
|
|
11/15/69 |
|
|
|
BBB |
|
|
|
4,056,408 |
|
|
7,000 |
|
|
Norfolk Southern Corp |
|
|
4.100% |
|
|
|
N/A (4) |
|
|
|
BBB+ |
|
|
|
5,263,922 |
|
|
12,000 |
|
|
Total Road & Rail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,320,330 |
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors 1.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
10,800 |
|
|
GATX Corp, (3) |
|
|
3.100% |
|
|
|
6/01/51 |
|
|
|
BBB |
|
|
|
7,166,568 |
|
$ |
414,099 |
|
|
Total Corporate Bonds (cost $433,035,624) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
335,269,086 |
|
|
|
|
|
|
|
Principal Amount (000) |
|
|
Description (1) |
|
Coupon |
|
|
Maturity |
|
|
Ratings (2) |
|
|
Value |
|
|
|
|
|
|
|
$1,000 PAR (OR SIMILAR) INSTITUTIONAL PREFERRED 25.0% (15.7% of Total
Investments) |
|
|
|
|
|
|
|
|
|
|
Banks 8.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
10,375 |
|
|
Banco Nacional de Comercio Exterior SNC/Cayman Islands, 144A |
|
|
2.720% |
|
|
|
8/11/31 |
|
|
|
Baa3 |
|
|
$ |
9,106,760 |
|
|
6,250 |
|
|
Citigroup Inc |
|
|
4.150% |
|
|
|
N/A (4) |
|
|
|
BBB |
|
|
|
5,015,625 |
|
|
6,250 |
|
|
JPMorgan Chase & Co |
|
|
3.650% |
|
|
|
N/A (4) |
|
|
|
BBB+ |
|
|
|
5,118,750 |
|
|
11,195 |
|
|
PNC Financial Services Group Inc |
|
|
3.400% |
|
|
|
N/A (4) |
|
|
|
Baa2 |
|
|
|
8,500,603 |
|
|
6,820 |
|
|
SVB Financial Group |
|
|
4.000% |
|
|
|
N/A (4) |
|
|
|
Baa2 |
|
|
|
5,196,704 |
|
|
40,890 |
|
|
Total Banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,938,442 |
|
|
|
|
|
|
|
|
|
|
Communications Equipment 1.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,000 |
|
|
Vodafone Group PLC |
|
|
4.125% |
|
|
|
6/04/81 |
|
|
|
BB+ |
|
|
|
3,739,408 |
|
|
|
|
|
|
|
|
|
|
Consumer Finance 2.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,200 |
|
|
American Express Co |
|
|
3.550% |
|
|
|
N/A (4) |
|
|
|
Baa2 |
|
|
|
9,112,432 |
|
|
|
|
|
|
|
|
|
|
Electric Utilities 1.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,500 |
|
|
CMS Energy Corp |
|
|
3.750% |
|
|
|
12/01/50 |
|
|
|
BBB |
|
|
|
1,911,075 |
|
|
5,000 |
|
|
Southern Co, (3) |
|
|
3.750% |
|
|
|
9/15/51 |
|
|
|
BBB |
|
|
|
4,248,350 |
|
|
7,500 |
|
|
Total Electric Utilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,159,425 |
|
|
|
|
|
|
|
|
|
|
Independent Power & Renewable Electricity Producers 1.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,331 |
|
|
AES Andes SA, 144A |
|
|
6.350% |
|
|
|
10/07/79 |
|
|
|
BB |
|
|
|
3,827,498 |
|
|
1,500 |
|
|
Vistra Corp, 144A |
|
|
7.000% |
|
|
|
N/A (4) |
|
|
|
Ba3 |
|
|
|
1,361,250 |
|
|
5,831 |
|
|
Total Independent Power & Renewable Electricity
Producers |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,188,748 |
|
|
|
|
|
|
|
|
|
|
Insurance 3.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,000 |
|
|
Swiss Re Finance Luxembourg SA, 144A, (3) |
|
|
5.000% |
|
|
|
4/02/49 |
|
|
|
A |
|
|
|
14,193,750 |
|
|
|
|
|
|
|
|
|
|
MultiUtilities 4.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,000 |
|
|
Algonquin Power & Utilities Corp |
|
|
4.750% |
|
|
|
1/18/82 |
|
|
|
BB+ |
|
|
|
4,149,907 |
|
|
2,500 |
|
|
CMS Energy Corp |
|
|
4.750% |
|
|
|
6/01/50 |
|
|
|
BBB |
|
|
|
2,190,550 |
|
|
8,000 |
|
|
Engie SA, Reg S |
|
|
1.875% |
|
|
|
N/A (4) |
|
|
|
BBB |
|
|
|
5,784,013 |
|
|
4,600 |
|
|
Sempra Energy, (3) |
|
|
4.125% |
|
|
|
4/01/52 |
|
|
|
BBB |
|
|
|
3,688,145 |
|
|
20,100 |
|
|
Total MultiUtilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,812,615 |
|
34
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount (000) |
|
|
Description (1) |
|
Coupon |
|
|
Maturity |
|
|
Ratings (2) |
|
|
Value |
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors 2.6% |
|
|
|
|
|
|
|
|
|
|
|
|
$
|
12,000 |
|
|
Air Lease Corp |
|
|
4.650% |
|
|
|
N/A (4) |
|
|
|
BB+ |
|
|
$
|
9,964,677 |
|
$ |
117,521 |
|
|
Total $1,000 Par (or similar) Institutional Preferred (cost
$121,842,397) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
97,109,497 |
|
|
|
|
|
|
|
Principal Amount (000) |
|
|
Description (1) |
|
Coupon |
|
|
Maturity |
|
|
Ratings (2) |
|
|
Value |
|
|
|
|
|
|
|
ASSETBACKED SECURITIES 13.5% ( 8.5% of Total Investments) |
|
|
|
|
|
|
|
$ |
6,500 |
|
|
Alen 2021ACEN Mortgage Trust, 144A, (1Month LIBOR reference rate + 4.000% spread),
(5) |
|
|
5.324% |
|
|
|
4/15/34 |
|
|
|
BB |
|
|
$ |
6,147,855 |
|
|
5,000 |
|
|
BAMLL Commercial Mortgage Securities Trust 2021JACX, 144A, (1Month LIBOR reference rate +
3.750% spread), (5) |
|
|
5.074% |
|
|
|
9/15/38 |
|
|
|
Ba2 |
|
|
|
4,725,141 |
|
|
65,637 |
|
|
Freddie Mac Multifamily ML Certificates, 144A |
|
|
0.771% |
|
|
|
3/25/38 |
|
|
|
N/R |
|
|
|
3,970,411 |
|
|
46,434 |
|
|
Freddie Mac Multifamily ML Certificates, (I/O) |
|
|
1.299% |
|
|
|
7/25/41 |
|
|
|
N/R |
|
|
|
5,143,445 |
|
|
2,273 |
|
|
GoodLeap Sustainable Home Solutions Trust 20213, 144A |
|
|
3.500% |
|
|
|
5/20/48 |
|
|
|
N/R |
|
|
|
1,868,429 |
|
|
2,565 |
|
|
GoodLeap Sustainable Home Solutions Trust 20214, 144A |
|
|
3.500% |
|
|
|
7/20/48 |
|
|
|
BB |
|
|
|
2,128,622 |
|
|
10,000 |
|
|
MFT Trust 2020ABC, 144A |
|
|
3.593% |
|
|
|
2/10/42 |
|
|
|
N/R |
|
|
|
7,949,919 |
|
|
4,913 |
|
|
Mosaic Solar Loan Trust 20192, 144A |
|
|
0.000% |
|
|
|
9/20/40 |
|
|
|
N/R |
|
|
|
3,120,045 |
|
|
6,119 |
|
|
Mosaic Solar Loan Trust 20201, 144A |
|
|
0.000% |
|
|
|
4/20/46 |
|
|
|
N/R |
|
|
|
5,812,722 |
|
|
5,661 |
|
|
Natixis Commercial Mortgage Securities Trust 2019MILE, 144A, (1Month LIBOR reference rate +
2.750% spread), (5) |
|
|
4.074% |
|
|
|
7/15/36 |
|
|
|
N/R |
|
|
|
5,497,277 |
|
|
700 |
|
|
Natixis Commercial Mortgage Securities Trust 2019MILE, 144A, (1Month LIBOR reference rate +
3.500% spread), (5) |
|
|
4.824% |
|
|
|
7/15/36 |
|
|
|
N/R |
|
|
|
668,753 |
|
|
7,420 |
|
|
NYC Commercial Mortgage Trust 2021909, 144A |
|
|
3.312% |
|
|
|
4/10/43 |
|
|
|
N/R |
|
|
|
5,492,626 |
|
$ |
163,222 |
|
|
Total AssetBacked Securities (cost $58,595,593) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
52,525,245 |
|
|
|
|
|
|
|
Principal Amount (000) |
|
|
Description (1) |
|
Coupon |
|
|
Maturity |
|
|
Ratings (2) |
|
|
Value |
|
|
|
|
|
|
|
MORTGAGEBACKED SECURITIES 11.0% (7.0% of Total Investments) |
|
|
|
|
|
|
|
$ |
4,000 |
|
|
BBCMS Mortgage Trust 2020C6, 144A |
|
|
3.811% |
|
|
|
2/15/53 |
|
|
|
N/R |
|
|
$ |
3,070,914 |
|
|
3,840 |
|
|
Benchmark 2019B10 Mortgage Trust, 144A |
|
|
4.029% |
|
|
|
3/15/62 |
|
|
|
N/R |
|
|
|
2,971,896 |
|
|
7,887 |
|
|
COMM 2020CX Mortgage Trust, 144A |
|
|
2.773% |
|
|
|
11/10/46 |
|
|
|
N/R |
|
|
|
5,766,418 |
|
|
28,727 |
|
|
Freddie Mac Multifamily ML Certificates |
|
|
2.126% |
|
|
|
1/25/38 |
|
|
|
N/R |
|
|
|
5,232,591 |
|
|
3,000 |
|
|
Hudson Yards 201955HY Mortgage Trust, 144A |
|
|
3.041% |
|
|
|
12/10/41 |
|
|
|
N/R |
|
|
|
2,319,877 |
|
|
5,000 |
|
|
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018AON, 144A |
|
|
4.767% |
|
|
|
7/05/31 |
|
|
|
B |
|
|
|
4,794,340 |
|
|
80,369 |
|
|
SLG Office Trust 2021OVA, (I/O), 144A |
|
|
0.258% |
|
|
|
7/15/41 |
|
|
|
AA |
|
|
|
1,409,809 |
|
|
3,860 |
|
|
SLG Office Trust 2021OVA, 144A |
|
|
2.851% |
|
|
|
7/15/41 |
|
|
|
N/R |
|
|
|
2,986,550 |
|
|
8,000 |
|
|
SLG Office Trust 2021OVA, 144A |
|
|
2.851% |
|
|
|
7/15/41 |
|
|
|
N/R |
|
|
|
5,915,880 |
|
|
3,500 |
|
|
SUMIT 2022BVUE Mortgage Trust, 144A |
|
|
2.989% |
|
|
|
2/12/41 |
|
|
|
N/R |
|
|
|
2,571,057 |
|
|
7,000 |
|
|
VNDO Trust 2016350P, 144A |
|
|
4.033% |
|
|
|
1/10/35 |
|
|
|
B |
|
|
|
5,920,609 |
|
$ |
155,183 |
|
|
Total MortgageBacked Securities (cost $51,749,995) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,959,941 |
|
|
|
|
|
|
|
Shares |
|
|
Description (1) |
|
Coupon |
|
|
|
|
|
Ratings (2) |
|
|
Value |
|
|
|
|
|
|
|
$25 PAR (OR SIMILAR) RETAIL PREFERRED 9.2% (5.8% of Total Investments) |
|
|
|
|
|
|
|
|
|
|
Banks 1.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
300,000 |
|
|
First Republic Bank/CA |
|
|
4.000% |
|
|
|
|
|
|
|
BBB |
|
|
$ |
5,136,000 |
|
|
75,000 |
|
|
First Republic Bank/CA |
|
|
4.250% |
|
|
|
|
|
|
|
BBB |
|
|
|
1,332,000 |
|
|
|
|
|
Total Banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,468,000 |
|
|
|
|
|
|
|
|
|
|
Capital Markets 1.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
300,000 |
|
|
Affiliated Managers Group Inc |
|
|
4.200% |
|
|
|
|
|
|
|
Baa1 |
|
|
|
5,247,000 |
|
|
|
|
|
|
|
|
|
|
Equity Real Estate Investment Trust 1.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
400,000 |
|
|
Hudson Pacific Properties Inc |
|
|
4.750% |
|
|
|
|
|
|
|
Baa3 |
|
|
|
7,620,000 |
|
|
|
|
|
|
|
Independent Power & Renewable Electricity Producers 1.1% |
|
|
|
|
|
|
|
|
|
|
|
200,000 |
|
|
Brookfield Renewable Partners LP |
|
|
5.250% |
|
|
|
|
|
|
|
BBB |
|
|
|
4,161,000 |
|
35
|
|
|
|
|
NPCT |
|
Nuveen Core Plus Impact Fund (continued) |
|
Portfolio of Investments June 30, 2022 |
|
|
(Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
Description (1) |
|
|
|
|
|
|
|
Coupon |
|
|
|
|
|
Ratings (2) |
|
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
MultiUtilities 1.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
100,426 |
|
|
Brookfield Infrastructure Partners LP |
|
|
|
|
|
|
|
5.125% |
|
|
|
|
|
|
|
BBB |
|
|
$
|
1,877,464 |
|
|
200,000 |
|
|
CMS Energy Corp |
|
|
|
|
|
|
|
|
|
|
4.200% |
|
|
|
|
|
|
|
BBB |
|
|
|
3,554,000 |
|
|
|
|
|
Total MultiUtilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,431,464 |
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
77,904 |
|
|
Brookfield Property Partners LP |
|
|
|
|
|
|
|
|
|
|
5.750% |
|
|
|
|
|
|
|
BB |
|
|
|
1,330,600 |
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors 1.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
269,000 |
|
|
Triton International Ltd |
|
|
|
|
|
|
|
|
|
|
5.750% |
|
|
|
|
|
|
|
BB |
|
|
|
5,708,180 |
|
|
|
|
|
Total $25 Par (or similar) Retail Preferred (cost
$48,440,556) |
|
|
|
|
|
|
|
35,966,244 |
|
|
|
|
|
|
|
|
|
Principal Amount (000) |
|
|
Description (1) |
|
|
|
|
|
|
|
Coupon |
|
|
Maturity |
|
|
Ratings (2) |
|
|
Value |
|
|
|
|
|
|
|
SOVEREIGN DEBT6.3% (3.9% of Total Investments) |
|
|
|
|
|
|
|
|
|
|
|
|
Benin1.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
10,000 |
|
|
Benin Government International Bond, 144A |
|
|
|
4.950% |
|
|
|
1/22/35 |
|
|
|
B+ |
|
|
$ |
6,808,199 |
|
|
|
|
|
|
|
|
|
|
|
|
Chile1.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,000 |
|
|
Chile Government International Bond |
|
|
|
3.100% |
|
|
|
5/07/41 |
|
|
|
A1 |
|
|
|
3,804,252 |
|
|
|
|
|
|
|
|
|
|
|
|
Egypt0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,500 |
|
|
Egypt Government International Bond, 144A |
|
|
|
5.250% |
|
|
|
10/06/25 |
|
|
|
B+ |
|
|
|
2,043,680 |
|
|
|
|
|
|
|
|
|
|
|
|
Mexico0.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,000 |
|
|
Mexico Government International Bond |
|
|
|
2.250% |
|
|
|
8/12/36 |
|
|
|
BBB |
|
|
|
3,635,162 |
|
|
|
|
|
|
|
|
|
|
|
|
Peru2.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,870 |
|
|
Peruvian Government International Bond |
|
|
|
3.000% |
|
|
|
1/15/34 |
|
|
|
Baa1 |
|
|
|
8,096,412 |
|
$ |
32,370 |
|
|
Total Sovereign Debt (cost $34,771,923) |
|
|
|
|
|
|
|
|
|
|
|
24,387,705 |
|
|
|
|
|
|
|
|
|
Principal Amount (000) |
|
|
Description (1) |
|
Coupon (6) |
|
|
Reference Rate (6) |
|
|
Spread (6) |
|
|
Maturity (7) |
|
|
Ratings (2) |
|
|
Value |
|
|
|
|
|
|
|
VARIABLE RATE SENIOR LOAN INTERESTS4.0% (2.5% of Total Investments) (6) |
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies2.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
10,524 |
|
|
Liberty Tire Recycling Holdco, LLC, Term Loan |
|
|
6.750% |
|
|
|
3-Month LIBOR |
|
|
|
4.500% |
|
|
|
5/07/28 |
|
|
|
B |
|
|
$ |
9,682,399 |
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities1.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,137 |
|
|
ExGen Renewables IV, LLC, Term Loan |
|
|
4.080% |
|
|
|
3-Month LIBOR |
|
|
|
2.500% |
|
|
|
12/15/27 |
|
|
|
BB |
|
|
|
5,936,954 |
|
$ |
16,661 |
|
|
Total Variable Rate Senior Loan Interests (cost
$16,620,494) |
|
|
|
|
|
|
|
|
|
|
|
15,619,353 |
|
|
|
|
|
|
|
|
|
Principal Amount (000) |
|
|
Description (1) |
|
|
|
|
|
|
|
|
|
|
Optional Call Provisions (8) |
|
|
Ratings (2) |
|
|
Value |
|
|
|
|
|
|
|
MUNICIPAL BONDS3.8% (2.4% of Total Investments) |
|
|
|
|
|
|
|
|
|
|
|
|
Arizona 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
810 |
|
|
Arizona Industrial Development Authority, Arizona,
Education Revenue Bonds, KIPPC NYC Public Charter Schools - Gerard Facility Project, Series 2021C, 3.250%, 7/01/31 |
|
|
|
|
|
|
|
No Opt. Call |
|
|
|
BBB |
|
|
$ |
719,001 |
|
|
|
|
|
|
|
|
|
|
|
|
District of Columbia 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
220 |
|
|
District of Columbia Water and Sewer Authority, Public
Utility Revenue Bonds, Taxable Senior Lien Green Series 2014A, 4.814%, 10/01/14 |
|
|
|
|
|
|
|
No Opt. Call |
|
|
|
AAA |
|
|
|
221,687 |
|
36
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount (000) |
|
|
Description (1) |
|
|
|
|
|
|
|
|
|
|
Optional Call Provisions (8) |
|
|
Ratings (2) |
|
|
Value |
|
|
|
|
|
|
|
|
|
|
|
|
Florida 0.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,395 |
|
|
Florida Development Finance Corporation, Revenue
Bonds, Brightline Passenger Rail Expansion Project, Series 2021A-1, 6.750%, 12/01/56 (AMT) (Mandatory Put 8/15/23),144A |
|
|
|
|
|
|
|
7/22 at 100.00 |
|
|
|
N/R |
|
|
$
|
3,356,738 |
|
|
|
|
|
|
|
|
|
|
|
|
Michigan 1.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
City of Detroit MI: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,000 |
|
|
2.960%, 4/01/27 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
No Opt. Call |
|
|
|
BB |
|
|
|
916,724 |
|
|
500 |
|
|
3.110%, 4/01/28 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
No Opt. Call |
|
|
|
BB |
|
|
|
449,334 |
|
|
2,245 |
|
|
3.244%, 4/01/29 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
No Opt. Call |
|
|
|
BB |
|
|
|
1,986,412 |
|
|
425 |
|
|
3.344%, 4/01/30 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
No Opt. Call |
|
|
|
BB |
|
|
|
371,540 |
|
|
1,575 |
|
|
Detroit, Wayne County, Michigan, General Obligation
Bonds, Taxable Series 2021B, 3.644%, 4/01/34 |
|
|
|
|
|
|
|
4/31 at 100.00 |
|
|
|
BB |
|
|
|
1,347,618 |
|
|
5,745 |
|
|
Total Michigan |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,071,628 |
|
|
|
|
|
|
|
|
|
|
|
|
New York 1.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,300 |
|
|
Metropolitan Transportation Authority, New York,
Transportation Revenue Bonds, Taxable Green Climate Certified Series 2020C-2, 5.175%, 11/15/49 |
|
|
|
|
|
|
|
No Opt. Call |
|
|
|
A3 |
|
|
|
5,492,390 |
|
$ |
15,470 |
|
|
Total Municipal Bonds (cost $17,323,275) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,861,444 |
|
|
|
|
|
Total Long-Term Investments (cost
$782,379,857) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
618,698,515 |
|
|
|
|
|
Borrowings (33.6)% (9), (10) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(130,600,000 |
) |
|
|
|
|
Reverse Repurchase Agreements, including
accrued interest (28.7)% (11) |
|
|
|
|
|
|
|
(111,634,660 |
) |
|
|
|
|
Other Assets Less Liabilities 3.3%
(12) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,615,786 |
|
|
|
|
|
Net Assets 100% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
389,079,641 |
|
Investments in Derivatives
Forward Foreign
Currency Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency Purchased |
|
Notional Amount Local Currency) |
|
|
Currency Sold |
|
Notional Amount (Local Currency) |
|
|
Counterparty |
|
Settlement Date |
|
|
Unrealized Appreciation (Depreciation) |
|
U.S. Dollar |
|
|
8,267,223 |
|
|
Euro |
|
|
7,668,164 |
|
|
Morgan Stanley Capital Services LLC |
|
|
8/26/2022 |
|
|
$ |
202,340 |
|
Cross Currency Swaps OTC Uncleared
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Terms of payments to be paid |
|
Terms of payments to be received |
|
|
Currency |
|
|
Maturity Date |
|
|
Amount Local Currency) |
|
|
Value |
|
|
Premiums Paid (Received) |
|
|
Appreciation Depreciation) |
|
Citibank N.A. |
|
|
|
|
Fixed semi-annual 3.562 |
% |
|
|
USD |
|
|
|
6/23/26 |
|
|
|
2,725,875 |
|
|
$ |
340,512 |
|
|
$ |
24,714 |
|
|
$ |
315,798 |
|
|
|
Fixed annual 2.250% |
|
|
|
|
|
|
EUR |
|
|
|
|
|
|
|
2,250,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Morgan Stanley Capital Services LLC |
|
|
|
|
Fixed annual 3.337 |
% |
|
|
USD |
|
|
|
9/21/28 |
|
|
|
6,376,320 |
|
|
|
724,351 |
|
|
|
(3 |
) |
|
|
724,354 |
|
|
|
Fixed semi-annual 1.841% |
|
|
|
|
|
|
EUR |
|
|
|
|
|
|
|
5,400,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Morgan Stanley Capital Services LLC |
|
|
|
|
Fixed annual 4.330 |
% |
|
|
USD |
|
|
|
5/27/26 |
|
|
|
6,088,500 |
|
|
|
814,548 |
|
|
|
4,250 |
|
|
|
810,298 |
|
|
|
Fixed semi-annual 3.000% |
|
|
|
|
|
|
EUR |
|
|
|
|
|
|
|
5,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
J.P. Morgan Securities Inc. |
|
|
|
|
Fixed annual 3.431 |
% |
|
|
USD |
|
|
|
6/14/29 |
|
|
|
5,905,000 |
|
|
|
722,962 |
|
|
|
(3,983 |
) |
|
|
726,945 |
|
|
|
Fixed semi-annual 1.875% |
|
|
|
|
|
|
EUR |
|
|
|
|
|
|
|
5,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A. |
|
|
|
|
Fixed annual 3.775 |
% |
|
|
USD |
|
|
|
8/12/36 |
|
|
|
5,909,000 |
|
|
|
1,002,048 |
|
|
|
12,259 |
|
|
|
989,789 |
|
|
|
Fixed semi-annual 2.250% |
|
|
|
|
|
|
EUR |
|
|
|
|
|
|
|
5,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A. |
|
|
|
|
Fixed annual 3.472 |
% |
|
|
USD |
|
|
|
7/2/31 |
|
|
|
5,904,500 |
|
|
|
856,155 |
|
|
|
16,692 |
|
|
|
839,463 |
|
|
|
Fixed semi-annual 1.875% |
|
|
|
|
|
|
EUR |
|
|
|
|
|
|
|
5,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Citibank N.A. |
|
|
|
|
Fixed annual 3.493 |
% |
|
|
USD |
|
|
|
7/2/31 |
|
|
|
3,543,900 |
|
|
|
521,325 |
|
|
|
(6,741 |
) |
|
|
528,066 |
|
|
|
Fixed semi-annual 1.875% |
|
|
|
|
|
|
EUR |
|
|
|
|
|
|
|
3,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
4,981,901 |
|
|
$ |
47,188 |
|
|
$ |
4,934,713 |
|
37
|
|
|
|
|
NPCT |
|
Nuveen Core Plus Impact Fund (continued) |
|
Portfolio of Investments June 30, 2022 |
|
|
(Unaudited) |
For Fund portfolio compliance purposes, the Funds industry classifications refer to any one or more of the industry sub-classifications used by one
or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.
(1) |
All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise
noted. |
(2) |
The Fund uses credit quality ratings for its portfolio securities provided by Standard & Poors Group
(Standard & Poors), Moodys Investors Service, Inc. (Moodys) and Fitch, Inc. (Fitch). 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 splitrated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by
Standard & Poors, Baa by Moodys or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. |
(3) |
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in
reverse repurchase agreements. As of the end of the reporting period, investments with a value of $134,351,856 have been pledged as collateral for reverse repurchase agreements. |
(4) |
Perpetual security. Maturity date is not applicable. |
(5) |
Variable rate security. The rate shown is the coupon as of the end of the reporting period. |
(6) |
Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating
lending rate (Reference Rate) plus an assigned fixed rate (Spread). These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (LIBOR), or (ii) the prime rate offered by one
or more major United States banks. Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. The rate shown is
the coupon as of the end of the reporting period. |
(7) |
Senior loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment
conditions and because there may be significant economic incentives for a borrower to prepay, prepayments of senior loans may occur. As a result, the actual remaining maturity of senior loans held may be substantially less than the stated maturities
shown. |
(8) |
Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be
other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. |
(9) |
Borrowings as a percentage of Total Investments is 21.1%. |
(10) |
The Fund may pledge up to 100% of its eligible investments (excluding any investments separately pledged as collateral for
specific investments in derivatives, when applicable) in the Portfolio of Investments as collateral for borrowings. |
(11) |
Reverse Repurchase Agreements, including accrued interest as a percentage of Total Investments is 18.0%.
|
(12) |
Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (OTC) derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC
cleared and exchange-traded derivatives is recognized as part of the cash collateral at brokers and/or the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable. |
144A |
Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may
only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers. |
AMT |
Alternative Minimum Tax |
I/O |
Interest only security |
LIBOR |
London Inter-Bank Offered Rate |
Reg S |
Regulation S allows U.S. companies to sell securities to persons or entities located outside of the United States without
registering those securities with the Securities and Exchange Commission. Specifically, Regulation S provides a safe harbor from the registration requirements of the Securities Act for the offers and sales of securities by both foreign and domestic
issuers that are made outside the United States. |
See
accompanying notes to financial statements.
38
|
|
|
JLS |
|
Nuveen Mortgage and Income Fund
Portfolio of Investments June 30, 2022 |
|
|
(Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount (000) |
|
|
Description (1) |
|
Coupon |
|
|
Maturity |
|
|
Ratings (2) |
|
|
Value |
|
|
|
|
|
|
|
|
|
|
|
LONG-TERM INVESTMENTS 142.1% (100% of Total Investments) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MORTGAGE-BACKED SECURITIES 101.3% (71.3% of Total Investments) |
|
|
|
|
|
|
|
$ |
1,500 |
|
|
ACRE Commercial Mortgage 2021-FL4 Ltd, 144A, (1-Month LIBOR reference rate + 2.600% spread), (3), (4) |
|
|
4.212% |
|
|
|
12/18/37 |
|
|
|
N/R |
|
|
$ |
1,439,550 |
|
|
500 |
|
|
Alen 2021-ACEN Mortgage Trust, 144A, (1-Month LIBOR reference rate
+ 4.000% spread), (4) |
|
|
5.324% |
|
|
|
4/15/34 |
|
|
|
BB |
|
|
|
472,912 |
|
|
1,000 |
|
|
Angel Oak Mortgage Trust 20195, 144A |
|
|
3.957% |
|
|
|
10/25/49 |
|
|
|
BB |
|
|
|
942,388 |
|
|
1,000 |
|
|
BANK 2017-BNK6, (3) |
|
|
3.851% |
|
|
|
7/15/60 |
|
|
|
A |
|
|
|
906,700 |
|
|
1,000 |
|
|
BANK 2019-BNK21, 144A |
|
|
2.500% |
|
|
|
10/17/52 |
|
|
|
BBB |
|
|
|
710,008 |
|
|
1,000 |
|
|
BBCMS Mortgage Trust 2020-C6, 144A |
|
|
3.811% |
|
|
|
2/15/53 |
|
|
|
N/R |
|
|
|
871,547 |
|
|
1,500 |
|
|
Benchmark 2020-B18 Mortgage Trust, 144A, (3) |
|
|
4.139% |
|
|
|
7/15/53 |
|
|
|
B |
|
|
|
1,294,257 |
|
|
845 |
|
|
CD 2016-CD1 Mortgage Trust, (3) |
|
|
3.631% |
|
|
|
8/10/49 |
|
|
|
A |
|
|
|
763,153 |
|
|
1,500 |
|
|
CD 2016-CD2 Mortgage Trust |
|
|
4.114% |
|
|
|
11/10/49 |
|
|
|
A |
|
|
|
1,322,688 |
|
|
1,028 |
|
|
CD 2017-CD3 Mortgage Trust, (3) |
|
|
4.699% |
|
|
|
2/10/50 |
|
|
|
A |
|
|
|
932,594 |
|
|
25 |
|
|
CF 2020-P1 Mortgage Trust, 144A |
|
|
2.840% |
|
|
|
4/15/25 |
|
|
|
N/R |
|
|
|
23,903 |
|
|
672 |
|
|
CFK Trust 2019-FAX, 144A |
|
|
4.791% |
|
|
|
1/15/39 |
|
|
|
N/R |
|
|
|
604,875 |
|
|
503 |
|
|
CHL Mortgage Pass-Through Trust 2006-HYB1 |
|
|
2.761% |
|
|
|
3/20/36 |
|
|
|
Caa3 |
|
|
|
478,012 |
|
|
1,500 |
|
|
COMM 2013-LC13 Mortgage Trust, 144A, (3) |
|
|
5.425% |
|
|
|
8/10/46 |
|
|
|
BB |
|
|
|
1,368,516 |
|
|
700 |
|
|
COMM 2014-CCRE15 Mortgage Trust, 144A |
|
|
4.822% |
|
|
|
2/10/47 |
|
|
|
Baa2 |
|
|
|
677,864 |
|
|
925 |
|
|
COMM 2014-CCRE15 Mortgage Trust |
|
|
4.822% |
|
|
|
2/10/47 |
|
|
|
A2 |
|
|
|
911,852 |
|
|
1,469 |
|
|
COMM 2014-CCRE19 Mortgage Trust, 144A, (3) |
|
|
4.854% |
|
|
|
8/10/47 |
|
|
|
BBB |
|
|
|
1,343,578 |
|
|
500 |
|
|
Comm 2014-UBS2 Mortgage Trust, (3) |
|
|
5.113% |
|
|
|
3/10/47 |
|
|
|
Baa1 |
|
|
|
487,694 |
|
|
1,500 |
|
|
COMM 2014-UBS3 Mortgage Trust, 144A, (3) |
|
|
4.926% |
|
|
|
6/10/47 |
|
|
|
N/R |
|
|
|
1,358,219 |
|
|
1,400 |
|
|
COMM 2015-CCRE22 Mortgage Trust, 144A |
|
|
3.000% |
|
|
|
3/10/48 |
|
|
|
BB |
|
|
|
1,143,033 |
|
|
2,000 |
|
|
COMM 2015-CCRE23 Mortgage Trust, (3) |
|
|
4.428% |
|
|
|
5/10/48 |
|
|
|
N/R |
|
|
|
1,768,672 |
|
|
800 |
|
|
COMM 2015-CCRE25 Mortgage Trust, (3) |
|
|
4.679% |
|
|
|
8/10/48 |
|
|
|
A |
|
|
|
736,789 |
|
|
1,245 |
|
|
COMM 2015-CCRE25 Mortgage Trust |
|
|
3.929% |
|
|
|
8/10/48 |
|
|
|
BB |
|
|
|
1,043,705 |
|
|
3,030 |
|
|
Connecticut Avenue Securities Trust 2021-R01, 144A, (SOFR30A reference rate + 3.100% spread), (4) |
|
|
4.026% |
|
|
|
10/25/41 |
|
|
|
B+ |
|
|
|
2,595,519 |
|
|
3,000 |
|
|
Connecticut Avenue Securities Trust 2021-R01, 144A, (SOFR30A reference rate + 6.000% spread), (4) |
|
|
6.926% |
|
|
|
10/25/41 |
|
|
|
N/R |
|
|
|
2,494,514 |
|
|
625 |
|
|
Connecticut Avenue Securities Trust 2021-R03, 144A, (SOFR30A reference rate + 5.500% spread), (4) |
|
|
6.426% |
|
|
|
12/25/41 |
|
|
|
N/R |
|
|
|
509,673 |
|
|
2,300 |
|
|
Connecticut Avenue Securities Trust 2022-R01, 144A, (SOFR30A reference rate + 3.150% spread), (3),
(4) |
|
|
4.076% |
|
|
|
12/25/41 |
|
|
|
BB |
|
|
|
1,962,225 |
|
|
2,100 |
|
|
Connecticut Avenue Securities Trust 2022-R01, 144A, (SOFR30A reference rate + 6.000% spread), (4) |
|
|
6.926% |
|
|
|
12/25/41 |
|
|
|
N/R |
|
|
|
1,709,131 |
|
|
3,000 |
|
|
Connecticut Avenue Securities Trust 2022-R02, 144A, (SOFR30A reference rate + 4.500% spread), (3),
(4) |
|
|
5.426% |
|
|
|
1/25/42 |
|
|
|
B+ |
|
|
|
2,629,760 |
|
|
1,000 |
|
|
Connecticut Avenue Securities Trust 2022-R03, 144A, (SOFR30A reference rate + 3.500% spread), (3),
(4) |
|
|
4.426% |
|
|
|
3/25/42 |
|
|
|
BBB |
|
|
|
951,349 |
|
|
450 |
|
|
Connecticut Avenue Securities Trust 2022-R03, 144A, (SOFR30A reference rate + 6.250% spread), (4) |
|
|
6.349% |
|
|
|
3/25/42 |
|
|
|
BB |
|
|
|
439,466 |
|
|
440 |
|
|
Connecticut Avenue Securities Trust 2022-R04, 144A, (SOFR30A reference rate + 5.250% spread), (4) |
|
|
6.176% |
|
|
|
3/25/42 |
|
|
|
BB |
|
|
|
410,269 |
|
|
200 |
|
|
Connecticut Avenue Securities Trust 2022-R04, 144A, (SOFR30A reference rate + 3.100% spread), (4) |
|
|
4.026% |
|
|
|
3/25/42 |
|
|
|
BBB |
|
|
|
187,018 |
|
|
460 |
|
|
Connecticut Avenue Securities Trust 2022-R06, 144A, (SOFR30A reference rate + 3.850% spread), (4) |
|
|
4.798% |
|
|
|
5/25/42 |
|
|
|
BBB |
|
|
|
447,355 |
|
|
250 |
|
|
Connecticut Avenue Securities Trust 2022-R06, 144A, (SOFR30A reference rate + 6.350% spread), (4) |
|
|
7.298% |
|
|
|
5/25/42 |
|
|
|
BB |
|
|
|
245,318 |
|
|
33,000 |
|
|
DOLP Trust 2021-NYC, (I/O), 144A |
|
|
0.665% |
|
|
|
5/10/41 |
|
|
|
A |
|
|
|
1,437,127 |
|
|
4,900 |
|
|
Fannie Mae Connecticut Avenue Securities, 144A, (SOFR30A reference rate + 3.300% spread), (4) |
|
|
4.226% |
|
|
|
11/25/41 |
|
|
|
B+ |
|
|
|
4,190,876 |
|
|
685 |
|
|
Farmer Mac Agricultural Real Estate Trust 1992-A, 144A |
|
|
3.237% |
|
|
|
7/25/51 |
|
|
|
N/R |
|
|
|
561,123 |
|
|
587 |
|
|
First Horizon Alternative Mortgage Securities Trust 2005-AA7 |
|
|
2.448% |
|
|
|
9/25/35 |
|
|
|
N/R |
|
|
|
530,693 |
|
|
90 |
|
|
Flagstar Mortgage Trust 2017-2, 144A |
|
|
4.049% |
|
|
|
10/25/47 |
|
|
|
Aa3 |
|
|
|
86,244 |
|
|
7,739 |
|
|
Freddie Mac Multifamily ML Certificates, (I/O) |
|
|
1.299% |
|
|
|
7/25/41 |
|
|
|
N/R |
|
|
|
857,241 |
|
|
2,970 |
|
|
Freddie Mac Stacr Remic Trust 2020-DNA1, 144A, (1-Month LIBOR reference rate + 2.300% spread),
(4) |
|
|
3.924% |
|
|
|
12/25/49 |
|
|
|
B |
|
|
|
2,654,361 |
|
|
4,900 |
|
|
Freddie Mac STACR Remic Trust 2020-DNA2, 144A, (1-Month LIBOR reference rate + 2.500% spread), (3),
(4) |
|
|
4.124% |
|
|
|
2/25/50 |
|
|
|
B |
|
|
|
4,191,819 |
|
39
|
|
|
|
|
JLS |
|
Nuveen Mortgage and Income Fund (continued) |
|
Portfolio of Investments June 30, 2022 |
|
|
(Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount (000) |
|
|
Description (1) |
|
Coupon |
|
|
Maturity |
|
|
Ratings (2) |
|
|
Value |
|
|
|
|
|
|
MORTGAGE-BACKED SECURITIES (continued) |
|
|
|
|
|
|
|
$
|
1,650 |
|
|
Freddie Mac STACR REMIC Trust 2020-DNA6, 144A, (SOFR30A reference rate + 3.000% spread), (4) |
|
|
3.926% |
|
|
|
12/25/50 |
|
|
|
B+ |
|
|
$
|
1,379,341 |
|
|
3,000 |
|
|
Freddie Mac STACR REMIC Trust 2021-DNA5, 144A, (SOFR30A reference rate + 3.050% spread), (3), (4) |
|
|
3.976% |
|
|
|
1/25/34 |
|
|
|
BB |
|
|
|
2,574,823 |
|
|
2,000 |
|
|
Freddie Mac STACR REMIC Trust 2021-DNA6, 144A, (SOFR30A reference rate + 7.500% spread), (4) |
|
|
8.426% |
|
|
|
10/25/41 |
|
|
|
N/R |
|
|
|
1,705,281 |
|
|
1,000 |
|
|
Freddie Mac STACR REMIC Trust 2021-DNA6, 144A, (SOFR30A reference rate + 3.400% spread), (4) |
|
|
4.326% |
|
|
|
10/25/41 |
|
|
|
BB |
|
|
|
855,403 |
|
|
3,300 |
|
|
Freddie Mac STACR REMIC Trust 2021-HQA4, 144A, (SOFR30A reference rate + 3.750% spread),
(3), (4) |
|
|
4.676% |
|
|
|
12/25/41 |
|
|
|
N/R |
|
|
|
2,724,055 |
|
|
3,000 |
|
|
Freddie Mac STACR REMIC Trust 2022-DNA1, 144A, (SOFR30A reference rate + 3.400% spread), (4) |
|
|
4.326% |
|
|
|
1/25/42 |
|
|
|
B+ |
|
|
|
2,527,993 |
|
|
1,000 |
|
|
Freddie Mac STACR REMIC Trust 2022-DNA1, 144A, (SOFR30A reference rate + 7.100% spread), (4) |
|
|
8.026% |
|
|
|
1/25/42 |
|
|
|
N/R |
|
|
|
803,348 |
|
|
300 |
|
|
Freddie Mac STACR REMIC Trust 2022-DNA3, 144A, (SOFR30A reference rate + 2.900% spread), (4) |
|
|
3.826% |
|
|
|
4/25/42 |
|
|
|
BBB |
|
|
|
282,008 |
|
|
1,000 |
|
|
Freddie Mac STACR REMIC Trust 2022-DNA3, 144A, (SOFR30A reference rate + 5.650% spread), (4) |
|
|
6.576% |
|
|
|
4/25/42 |
|
|
|
B+ |
|
|
|
915,351 |
|
|
500 |
|
|
Freddie Mac STACR REMIC Trust 2022-DNA4, 144A, (SOFR30A reference rate + 3.350% spread), (4) |
|
|
4.276% |
|
|
|
5/25/42 |
|
|
|
BBB |
|
|
|
475,347 |
|
|
500 |
|
|
Freddie Mac STACR REMIC Trust 2022-DNA4, 144A, (SOFR30A reference rate + 5.250% spread), (4) |
|
|
6.176% |
|
|
|
5/25/42 |
|
|
|
BB |
|
|
|
467,038 |
|
|
1,000 |
|
|
Freddie Mac STACR REMIC Trust 2022-HQA1, 144A, (SOFR30A reference rate + 5.250% spread), (3), (4) |
|
|
6.176% |
|
|
|
3/25/42 |
|
|
|
B+ |
|
|
|
930,453 |
|
|
3,000 |
|
|
Freddie Mac STACR Trust 2019-DNA4, 144A, (1-Month LIBOR reference rate + 2.700% spread), (4) |
|
|
4.324% |
|
|
|
10/25/49 |
|
|
|
BB |
|
|
|
2,842,369 |
|
|
136 |
|
|
Freddie Mac Strips, (I/O), (1-Month LIBOR reference rate + 5.920% spread), (4) |
|
|
4.596% |
|
|
|
3/15/44 |
|
|
|
N/R |
|
|
|
16,881 |
|
|
1,270 |
|
|
Freddie Mac Structured Agency Credit Risk Debt Notes, 144A, (SOFR30A reference rate + 3.750%
spread), (3), (4) |
|
|
4.676% |
|
|
|
2/25/42 |
|
|
|
BB |
|
|
|
1,140,185 |
|
|
1,500 |
|
|
Freddie Mac Structured Agency Credit Risk Debt Notes, 144A, (SOFR30A reference rate + 4.750% spread),
(4) |
|
|
5.676% |
|
|
|
2/25/42 |
|
|
|
B+ |
|
|
|
1,320,108 |
|
|
1,020 |
|
|
Freddie Mac Structured Agency Credit Risk Debt Notes, 144A, (SOFR30A reference rate + 4.000% spread),
(4) |
|
|
4.926% |
|
|
|
11/25/50 |
|
|
|
Ba3 |
|
|
|
960,591 |
|
|
1,400 |
|
|
GS Mortgage Securities Corp II, 144A, (1-Month LIBOR reference rate + 3.350% spread), (4) |
|
|
4.674% |
|
|
|
11/15/36 |
|
|
|
N/R |
|
|
|
1,325,900 |
|
|
1,500 |
|
|
GS Mortgage Securities Corp Trust 2017-SLP, 144A |
|
|
4.744% |
|
|
|
10/10/32 |
|
|
|
B |
|
|
|
1,458,398 |
|
|
1,000 |
|
|
GS Mortgage Securities Corp Trust 2018-TWR, 144A, (1-Month LIBOR reference rate + 1.450%
spread), (3), (4) |
|
|
2.774% |
|
|
|
7/15/31 |
|
|
|
BBB |
|
|
|
958,804 |
|
|
1,100 |
|
|
GS Mortgage Securities Corp Trust 2018-TWR, 144A, (1-Month LIBOR reference rate + 1.600%
spread), (4) |
|
|
2.924% |
|
|
|
7/15/31 |
|
|
|
BB |
|
|
|
1,043,032 |
|
|
700 |
|
|
GS Mortgage Securities Corp Trust 2018-TWR, 144A, (1-Month LIBOR reference rate + 2.100%
spread), (4) |
|
|
3.424% |
|
|
|
7/15/31 |
|
|
|
B |
|
|
|
664,388 |
|
|
700 |
|
|
GS Mortgage Securities Corp Trust 2018-TWR, 144A, (1-Month LIBOR reference rate + 2.800%
spread), (4) |
|
|
4.124% |
|
|
|
7/15/31 |
|
|
|
CCC |
|
|
|
663,379 |
|
|
700 |
|
|
GS Mortgage Securities Corp Trust 2018-TWR, 144A, (1-Month LIBOR reference rate + 3.925%
spread), (4) |
|
|
5.249% |
|
|
|
7/15/31 |
|
|
|
N/R |
|
|
|
624,166 |
|
|
2,000 |
|
|
GS Mortgage Securities Trust 2016-GS4, (3) |
|
|
4.080% |
|
|
|
11/10/49 |
|
|
|
A |
|
|
|
1,773,107 |
|
|
1,000 |
|
|
Hudson Yards , 144A |
|
|
3.041% |
|
|
|
12/10/41 |
|
|
|
N/R |
|
|
|
773,292 |
|
|
287 |
|
|
JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES, 144A |
|
|
4.601% |
|
|
|
5/05/32 |
|
|
|
BBB |
|
|
|
272,614 |
|
|
441 |
|
|
JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES, 144A |
|
|
4.601% |
|
|
|
5/05/32 |
|
|
|
BB |
|
|
|
410,606 |
|
|
366 |
|
|
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN, 144A |
|
|
3.972% |
|
|
|
1/16/37 |
|
|
|
N/R |
|
|
|
335,342 |
|
|
898 |
|
|
JP Morgan Mortgage Trust 2018-6, 144A |
|
|
3.868% |
|
|
|
12/25/48 |
|
|
|
Baa3 |
|
|
|
820,108 |
|
|
1,600 |
|
|
JPMBB Commercial Mortgage Securities Trust 2014-C22, (3) |
|
|
4.702% |
|
|
|
9/15/47 |
|
|
|
BBB |
|
|
|
1,461,870 |
|
|
1,000 |
|
|
JPMBB Commercial Mortgage Securities Trust 2015-C27, (3) |
|
|
3.898% |
|
|
|
2/15/48 |
|
|
|
N/R |
|
|
|
954,730 |
|
|
760 |
|
|
JPMBB Commercial Mortgage Securities Trust 2015-C29, (3) |
|
|
4.118% |
|
|
|
5/15/48 |
|
|
|
AA |
|
|
|
724,610 |
|
|
1,189 |
|
|
JPMBB Commercial Mortgage Securities Trust 2016-C1, (3) |
|
|
4.890% |
|
|
|
3/17/49 |
|
|
|
A |
|
|
|
1,141,576 |
|
|
1,849 |
|
|
JPMCC Commercial Mortgage Securities Trust 2017-JP7, 144A, (3) |
|
|
4.531% |
|
|
|
9/15/50 |
|
|
|
BBB |
|
|
|
1,555,152 |
|
|
600 |
|
|
Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19, (3) |
|
|
4.000% |
|
|
|
12/15/47 |
|
|
|
N/R |
|
|
|
569,523 |
|
|
226 |
|
|
Morgan Stanley Capital I Trust 2015-MS1 |
|
|
4.169% |
|
|
|
5/15/48 |
|
|
|
N/R |
|
|
|
218,610 |
|
|
196 |
|
|
Morgan Stanley Mortgage Loan Trust 2007-15AR |
|
|
2.789% |
|
|
|
11/25/37 |
|
|
|
CCC |
|
|
|
153,272 |
|
|
1,000 |
|
|
MRCD 2019-MARK Mortgage Trust, 144A |
|
|
2.718% |
|
|
|
12/15/36 |
|
|
|
N/R |
|
|
|
901,644 |
|
|
500 |
|
|
MRCD 2019-MARK Mortgage Trust, 144A |
|
|
2.718% |
|
|
|
12/15/36 |
|
|
|
BBB |
|
|
|
456,035 |
|
40
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount (000) |
|
|
Description (1) |
|
Coupon |
|
|
Maturity |
|
|
Ratings (2) |
|
|
Value |
|
|
|
|
|
|
MORTGAGE-BACKED SECURITIES (continued) |
|
|
|
|
|
|
|
$
|
250 |
|
|
MSCG Trust 2015-ALDR, 144A |
|
|
3.577% |
|
|
|
6/07/35 |
|
|
|
BBB |
|
|
$
|
206,375 |
|
|
750 |
|
|
MSCG Trust 2015-ALDR, 144A |
|
|
3.577% |
|
|
|
6/07/35 |
|
|
|
A |
|
|
|
649,377 |
|
|
1,000 |
|
|
Natixis Commercial Mortgage Securities Trust 2019-MILE, 144A,
(1-Month LIBOR reference rate + 2.750% spread), (3), (4) |
|
|
4.074% |
|
|
|
7/15/36 |
|
|
|
N/R |
|
|
|
971,079 |
|
|
1,050 |
|
|
Natixis Commercial Mortgage Securities Trust 2019-MILE, 144A,
(1-Month LIBOR reference rate + 4.250% spread), (4) |
|
|
5.574% |
|
|
|
7/15/36 |
|
|
|
N/R |
|
|
|
992,266 |
|
|
2,000 |
|
|
OPG Trust 2021-PORT, 144A, (1-Month LIBOR reference rate + 1.529% spread), (4) |
|
|
2.853% |
|
|
|
10/15/36 |
|
|
|
N/R |
|
|
|
1,824,311 |
|
|
1,000 |
|
|
PKHL Commercial Mortgage Trust 2021-MF, 144A, (1-Month LIBOR reference rate + 2.000% spread), (3),
(4) |
|
|
3.325% |
|
|
|
7/15/38 |
|
|
|
BBB |
|
|
|
937,549 |
|
|
40,180 |
|
|
SLG Office Trust 2021-OVA, (I/O), 144A |
|
|
0.258% |
|
|
|
7/15/41 |
|
|
|
AA |
|
|
|
704,826 |
|
|
1,688 |
|
|
SMR 2022-IND Mortgage Trust, 144A, (CME Term SOFR 1-Month reference rate + 3.950% spread), (3),
(4) |
|
|
5.229% |
|
|
|
2/15/39 |
|
|
|
Baa3 |
|
|
|
1,606,152 |
|
|
1,500 |
|
|
Spruce Hill Mortgage Loan Trust 2020-SH1, 144A |
|
|
3.827% |
|
|
|
1/28/50 |
|
|
|
BBB |
|
|
|
1,404,094 |
|
|
127,100 |
|
|
SUMIT 2022-BVUE Mortgage Trust, 144A |
|
|
0.179% |
|
|
|
2/12/41 |
|
|
|
A1 |
|
|
|
839,419 |
|
|
1,000 |
|
|
UBS-Barclays Commercial Mortgage Trust 2013-C5, 144A, (3) |
|
|
3.649% |
|
|
|
3/10/46 |
|
|
|
AA |
|
|
|
974,273 |
|
|
1,500 |
|
|
VNDO Trust 2016-350P, 144A |
|
|
4.033% |
|
|
|
1/10/35 |
|
|
|
B |
|
|
|
1,268,702 |
|
|
1,190 |
|
|
Wells Fargo Commercial Mortgage Trust 2012-LC5, 144A, (3) |
|
|
4.869% |
|
|
|
10/15/45 |
|
|
|
A |
|
|
|
1,179,120 |
|
|
1,300 |
|
|
Wells Fargo Commercial Mortgage Trust 2015-NXS1, (3) |
|
|
4.288% |
|
|
|
5/15/48 |
|
|
|
BBB |
|
|
|
1,182,536 |
|
$ |
323,534 |
|
|
Total Mortgage-Backed Securities (cost $119,215,891) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
106,614,402 |
|
|
|
|
|
|
|
Principal Amount (000) |
|
|
Description (1) |
|
Coupon |
|
|
Maturity |
|
|
Ratings (2) |
|
|
Value |
|
|
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES 40.8% ( 28.7% of Total Investments) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,057 |
|
|
AASET 2020-1 Trust, 144A |
|
|
6.413% |
|
|
|
1/16/40 |
|
|
|
B |
|
|
$ |
158,550 |
|
|
894 |
|
|
Adams Outdoor Advertising LP, 144A |
|
|
4.810% |
|
|
|
11/15/48 |
|
|
|
A |
|
|
|
879,644 |
|
|
1,500 |
|
|
Adams Outdoor Advertising LP, 144A |
|
|
7.356% |
|
|
|
11/15/48 |
|
|
|
BB |
|
|
|
1,457,778 |
|
|
750 |
|
|
Affirm Asset Securitization Trust 2021-B, 144A |
|
|
2.540% |
|
|
|
8/17/26 |
|
|
|
N/R |
|
|
|
683,955 |
|
|
500 |
|
|
AGL CLO 19 Ltd, 144A, (CME Term SOFR 3 Month reference rate + 2.750% spread), (4) |
|
|
3.938% |
|
|
|
7/21/35 |
|
|
|
AA |
|
|
|
493,550 |
|
|
1,014 |
|
|
Air Canada 2020-2 Class A Pass Through Trust, 144A, (3) |
|
|
5.250% |
|
|
|
4/01/29 |
|
|
|
A |
|
|
|
1,013,240 |
|
|
918 |
|
|
Air Canada 2020-2 Class B Pass Through Trust, 144A, (3) |
|
|
9.000% |
|
|
|
10/01/25 |
|
|
|
BBB |
|
|
|
951,448 |
|
|
1,300 |
|
|
Avis Budget Rental Car Funding AESOP LLC, 144A |
|
|
4.080% |
|
|
|
2/20/28 |
|
|
|
Ba2 |
|
|
|
1,162,774 |
|
|
299 |
|
|
Bojangles Issuer LLC, 144A |
|
|
3.832% |
|
|
|
10/20/50 |
|
|
|
N/R |
|
|
|
283,583 |
|
|
500 |
|
|
Bonanza RE Ltd, 144A, (3-Month U.S. Treasury Bill reference rate + 4.750% spread), (4) |
|
|
6.448% |
|
|
|
12/23/24 |
|
|
|
N/R |
|
|
|
492,750 |
|
|
250 |
|
|
Bonanza RE Ltd, 144A, (3-Month U.S. Treasury Bill reference rate + 5.750% spread), (4) |
|
|
7.425% |
|
|
|
3/16/25 |
|
|
|
N/R |
|
|
|
246,525 |
|
|
556 |
|
|
British Airways 2020-1 Class A Pass Through Trust, 144A, (3) |
|
|
4.250% |
|
|
|
11/15/32 |
|
|
|
A |
|
|
|
534,169 |
|
|
504 |
|
|
British Airways 2020-1 Class B Pass Through Trust, 144A, (3) |
|
|
8.375% |
|
|
|
11/15/28 |
|
|
|
BBB |
|
|
|
528,366 |
|
|
550 |
|
|
Caelus Re VI Ltd, 144A, (3-Month U.S. Treasury Bill reference rate + 5.380% spread), (4) |
|
|
7.075% |
|
|
|
6/07/23 |
|
|
|
N/R |
|
|
|
542,300 |
|
|
2,000 |
|
|
Cars Net Lease Mortgage Notes Series 2020-1, 144A |
|
|
4.690% |
|
|
|
12/15/50 |
|
|
|
BBB |
|
|
|
1,882,939 |
|
|
775 |
|
|
CARS-DB4 LP, 144A |
|
|
4.520% |
|
|
|
2/15/50 |
|
|
|
BBB |
|
|
|
701,269 |
|
|
2 |
|
|
Carvana Auto Receivables Trust, 144A |
|
|
0.000% |
|
|
|
5/10/28 |
|
|
|
N/R |
|
|
|
1,200,000 |
|
|
250 |
|
|
Cayuga Park CLO Ltd, 144A, (3-Month LIBOR reference rate + 6.000% spread), (4) |
|
|
7.044% |
|
|
|
7/17/34 |
|
|
|
BB |
|
|
|
218,869 |
|
|
385 |
|
|
CIFC Funding 2020-II Ltd, 144A, (3-Month LIBOR reference rate + 6.500% spread), (4) |
|
|
7.563% |
|
|
|
10/20/34 |
|
|
|
BB |
|
|
|
344,616 |
|
|
375 |
|
|
CIFC Funding 2022-II Ltd, 144A, (CME Term SOFR 3 Month reference rate + 7.000% spread), (4) |
|
|
7.737% |
|
|
|
4/19/35 |
|
|
|
Ba3 |
|
|
|
337,261 |
|
|
750 |
|
|
CIFC Funding 2022-IV Ltd, 144A, (SOFR reference rate + 3.550% spread), (4) |
|
|
5.152% |
|
|
|
7/16/35 |
|
|
|
BBB |
|
|
|
705,354 |
|
|
250 |
|
|
Citrus Re Ltd, 144A, (3-Month U.S. Treasury Bill reference rate + 5.100% spread), (4) |
|
|
6.900% |
|
|
|
6/07/25 |
|
|
|
N/R |
|
|
|
249,000 |
|
|
408 |
|
|
DB Master Finance LLC, 144A |
|
|
4.021% |
|
|
|
5/20/49 |
|
|
|
BBB |
|
|
|
393,853 |
|
|
750 |
|
|
EWC Master Issuer LLC, 144A |
|
|
5.500% |
|
|
|
3/15/52 |
|
|
|
N/R |
|
|
|
725,480 |
|
|
500 |
|
|
Goldentree Loan Opportunities IX Ltd, 144A, (3-Month LIBOR reference rate + 5.660% spread), (4) |
|
|
6.899% |
|
|
|
10/29/29 |
|
|
|
BB |
|
|
|
440,460 |
|
|
500 |
|
|
GoldentTree Loan Management US CLO 1 Ltd, 144A, (3-Month LIBOR reference rate + 7.500% spread),
(4) |
|
|
7.617% |
|
|
|
10/20/34 |
|
|
|
B |
|
|
|
433,155 |
|
|
375 |
|
|
Gracie Point International Funding 2021-1, 144A, (1-Month LIBOR reference rate + 2.400% spread),
(4) |
|
|
3.462% |
|
|
|
11/01/23 |
|
|
|
N/R |
|
|
|
370,175 |
|
|
492 |
|
|
Hardees Funding LLC, 144A |
|
|
3.981% |
|
|
|
12/20/50 |
|
|
|
BBB |
|
|
|
447,247 |
|
41
|
|
|
|
|
JLS |
|
Nuveen Mortgage and Income Fund (continued) |
|
Portfolio of Investments June 30, 2022 |
|
|
(Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal Amount (000) |
|
|
Description (1) |
|
Coupon |
|
|
Maturity |
|
|
Ratings (2) |
|
|
Value |
|
|
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
500 |
|
|
Hertz Vehicle Financing III LLC, 144A |
|
|
4.850% |
|
|
|
6/25/26 |
|
|
|
Ba2 |
|
|
$
|
447,203 |
|
|
250 |
|
|
Hestia Re Ltd, 144A, (3-Month U.S. Treasury Bill reference rate + 9.500% spread), (4) |
|
|
9.500% |
|
|
|
4/22/25 |
|
|
|
N/R |
|
|
|
247,300 |
|
|
382 |
|
|
HIN Timeshare Trust 2020-A, 144A |
|
|
5.500% |
|
|
|
10/09/39 |
|
|
|
BB |
|
|
|
366,795 |
|
|
273 |
|
|
HIN Timeshare Trust 2020-A, 144A |
|
|
6.500% |
|
|
|
10/09/39 |
|
|
|
B |
|
|
|
261,796 |
|
|
648 |
|
|
Jack in the Box Funding LLC, 144A |
|
|
4.476% |
|
|
|
8/25/49 |
|
|
|
BBB |
|
|
|
620,954 |
|
|
282 |
|
|
LUNAR AIRCRAFT 2020-1 LTD, 144A |
|
|
4.335% |
|
|
|
2/15/45 |
|
|
|
BB |
|
|
|
221,040 |
|
|
500 |
|
|
Madison Park Funding XXXVI Ltd, 144A, (CME Term SOFR 3 Month reference rate + 5.460% spread), (4) |
|
|
5.764% |
|
|
|
4/15/35 |
|
|
|
BBB |
|
|
|
467,173 |
|
|
1,125 |
|
|
Magnetite XXIII Ltd, 144A, (3-Month LIBOR reference rate + 6.300% spread), (4) |
|
|
7.484% |
|
|
|
1/25/35 |
|
|
|
BB |
|
|
|
992,690 |
|
|
285 |
|
|
Matterhorn Re Ltd, 144A |
|
|
0.000% |
|
|
|
12/07/22 |
|
|
|
N/R |
|
|
|
259,207 |
|
|
250 |
|
|
Matterhorn Re Ltd, 144A, (SOFR reference rate + 5.315% spread), (4) |
|
|
6.771% |
|
|
|
3/24/25 |
|
|
|
N/R |
|
|
|
244,000 |
|
|
1,630 |
|
|
Mexico Remittances Funding Fiduciary Estate Management Sarl, 144A |
|
|
4.875% |
|
|
|
1/15/28 |
|
|
|
BB+ |
|
|
|
1,320,300 |
|
|
1,367 |
|
|
Mosaic Solar Loan Trust 2019-2, 144A |
|
|
0.000% |
|
|
|
9/20/40 |
|
|
|
N/R |
|
|
|
868,062 |
|
|
111 |
|
|
Mosaic Solar Loan Trust 2020-1, 144A |
|
|
4.470% |
|
|
|
4/20/46 |
|
|
|
N/R |
|
|
|
110,897 |
|
|
263 |
|
|
Mosaic Solar Loan Trust 2020-1, 144A |
|
|
6.910% |
|
|
|
4/20/46 |
|
|
|
N/R |
|
|
|
262,456 |
|
|
949 |
|
|
Mosaic Solar Loan Trust 2020-1, 144A |
|
|
0.000% |
|
|
|
4/20/46 |
|
|
|
N/R |
|
|
|
901,197 |
|
|
1,068 |
|
|
Mosaic Solar Loan Trust 2020-2, 144A |
|
|
5.420% |
|
|
|
8/20/46 |
|
|
|
N/R |
|
|
|
1,014,843 |
|
|
753 |
|
|
MVW 2020-1 LLC, 144A |
|
|
4.210% |
|
|
|
10/20/37 |
|
|
|
BBB |
|
|
|
727,476 |
|
|
348 |
|
|
MVW 2020-1 LLC, 144A |
|
|
7.140% |
|
|
|
10/20/37 |
|
|
|
BB |
|
|
|
343,585 |
|
|
300 |
|
|
NBC Funding LLC, 144A |
|
|
4.970% |
|
|
|
7/30/51 |
|
|
|
N/R |
|
|
|
268,267 |
|
|
500 |
|
|
Oportun Funding 2022-1 LLC, 144A |
|
|
6.000% |
|
|
|
6/15/29 |
|
|
|
N/R |
|
|
|
487,358 |
|
|
500 |
|
|
Oportun Funding XIV LLC, 144A |
|
|
5.400% |
|
|
|
3/08/28 |
|
|
|
N/R |
|
|
|
473,010 |
|
|
1,000 |
|
|
Oportun Issuance Trust 2021-B, 144A |
|
|
5.410% |
|
|
|
5/08/31 |
|
|
|
N/R |
|
|
|
945,639 |
|
|
350 |
|
|
Oportun Issuance Trust 2021-C, 144A |
|
|
5.570% |
|
|
|
10/08/31 |
|
|
|
N/R |
|
|
|
313,582 |
|
|
625 |
|
|
Palmer Square CLO Ltd, 144A, (CME Term SOFR 3 Month reference rate + 6.350% spread), (4) |
|
|
6.816% |
|
|
|
4/20/35 |
|
|
|
Ba3 |
|
|
|
557,473 |
|
|
250 |
|
|
Purchasing Power Funding 2021-A LLC, 144A |
|
|
4.370% |
|
|
|
10/15/25 |
|
|
|
N/R |
|
|
|
245,858 |
|
|
1,463 |
|
|
Purewest Funding LLC, 144A |
|
|
4.091% |
|
|
|
12/22/36 |
|
|
|
BBB+ |
|
|
|
1,412,258 |
|
|
1 |
|
|
Putnam RE PTE Ltd, 144A, (1-Month U.S. Treasury Bill reference rate + 5.500% spread), (4), (5),
(6) |
|
|
7.175% |
|
|
|
6/07/24 |
|
|
|
N/R |
|
|
|
|
|
|
400 |
|
|
Residential Reinsurance 2020 Ltd, 144A, (3-Month U.S. Treasury Bill reference rate + 6.180% spread),
(4) |
|
|
6.510% |
|
|
|
12/06/24 |
|
|
|
N/R |
|
|
|
399,560 |
|
|
500 |
|
|
SD Re Ltd, 144A, (3-Month U.S. Treasury Bill reference rate + 9.250% spread), (4) |
|
|
10.948% |
|
|
|
11/19/24 |
|
|
|
N/R |
|
|
|
494,600 |
|
|
1,292 |
|
|
SERVPRO Master Issuer LLC, 144A |
|
|
3.882% |
|
|
|
10/25/49 |
|
|
|
BBB |
|
|
|
1,202,836 |
|
|
579 |
|
|
Sesac Finance LLC, 144A |
|
|
5.216% |
|
|
|
7/25/49 |
|
|
|
N/R |
|
|
|
555,692 |
|
|
82 |
|
|
Sierra Timeshare 2019-3 Receivables Funding LLC, 144A |
|
|
4.180% |
|
|
|
8/20/36 |
|
|
|
BB |
|
|
|
78,480 |
|
|
494 |
|
|
Sierra Timeshare 2020-2 Receivables Funding LLC, 144A |
|
|
6.590% |
|
|
|
7/20/37 |
|
|
|
BB |
|
|
|
484,441 |
|
|
1,000 |
|
|
Sixth Street CLO XIX Ltd, 144A, (3-Month LIBOR reference rate + 5.900% spread), (4) |
|
|
6.035% |
|
|
|
7/20/34 |
|
|
|
BB |
|
|
|
871,163 |
|
|
581 |
|
|
START Ireland, 144A |
|
|
5.095% |
|
|
|
3/15/44 |
|
|
|
BB |
|
|
|
451,818 |
|
|
499 |
|
|
Taco Bell Funding LLC, 144A |
|
|
4.970% |
|
|
|
5/25/46 |
|
|
|
BBB |
|
|
|
495,519 |
|
|
1,000 |
|
|
TCW CLO 2021-2 Ltd, 144A, (3-Month LIBOR reference rate + 6.860% spread), (4) |
|
|
6.985% |
|
|
|
7/25/34 |
|
|
|
BB |
|
|
|
910,890 |
|
|
1,000 |
|
|
TES 2017-1 LLC, 144A |
|
|
7.740% |
|
|
|
10/20/47 |
|
|
|
N/R |
|
|
|
966,231 |
|
|
1,355 |
|
|
United Airlines 2020-1 Class A Pass Through Trust, (3) |
|
|
5.875% |
|
|
|
10/15/27 |
|
|
|
A |
|
|
|
1,331,221 |
|
|
500 |
|
|
VBS1 Issuer LLC-VBTEL, 144A |
|
|
4.288% |
|
|
|
2/15/52 |
|
|
|
BBB |
|
|
|
453,269 |
|
|
1,464 |
|
|
Vivint Solar Financing V LLC, 144A |
|
|
7.370% |
|
|
|
4/30/48 |
|
|
|
N/R |
|
|
|
1,436,015 |
|
|
614 |
|
|
VR Funding LLC, 144A |
|
|
6.420% |
|
|
|
11/15/50 |
|
|
|
N/R |
|
|
|
578,725 |
|
$ |
45,737 |
|
|
Total AssetBacked Securities (cost $46,085,016) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,969,189 |
|
|
|
|
|
Total Long-Term Investments (cost $165,300,907) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
149,583,591 |
|
|
|
|
|
Borrowings (7.8)% (7), (8) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(8,245,000 |
) |
|
|
|
|
Reverse Repurchase Agreements, including
accrued interest (33.6)% (9) |
|
|
|
(35,419,702 |
) |
|
|
|
|
Other Assets Less Liabilities (0.7)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(630,759 |
) |
|
|
|
|
Net Assets 100% |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
105,288,130 |
|
42
For Fund portfolio compliance purposes, the
Funds industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for
purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.
(1) |
All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise
noted. |
(2) |
For financial reporting purposes, the ratings disclosed are the highest of Standard & Poors Group
(Standard & Poors), Moodys Investors Service, Inc. (Moodys) or Fitch, Inc. (Fitch) rating. This treatment of split-rated securities may differ from that used for other purposes, such as
for Fund investment policies. Ratings below BBB by Standard & Poors, Baa by Moodys or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
|
(3) |
Investment, or portion of investment has been pledged to collateralize the net payment obligations for investments in
reverse repurchase agreements. As of the end of the reporting period, investments with a value of $49,886,210 have been pledged as collateral for reverse repurchase agreements. |
(4) |
Variable rate security. The rate shown is the coupon as of the end of the reporting period. |
(5) |
Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair
value measurement disclosure purposes, investment classified as Level 3. |
(6) |
Defaulted security. A security whose issuer has failed to fully pay principal and/or interest when due, or is under the
protection of bankruptcy. |
(7) |
Borrowings as a percentage of Total Investments is 5.5%. |
(8) |
The Fund may pledge up to 100% of its eligible investments (excluding any investments separately pledged as collateral for
specific investments in derivatives, when applicable) in the Portfolio of Investments as collateral for borrowings. As of the end of the reporting period, investments with a value of $28,967,523 have been pledged as collateral for borrowings.
|
(9) |
Reverse Repurchase Agreements, including accrued interest as a percentage of Total Investments is 23.7%.
|
144A |
Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may
only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers. |
I/O |
Interest only security |
LIBOR |
London Inter-Bank Offered Rate |
SOFR |
Secured Overnight Financing Rate |
SOFR30A |
30 Day Average Secured Overnight Financing Rate |
See accompanying notes to financial statements.
43
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JGH |
|
|
NPCT(1) |
|
|
JLS |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Long-term investments, at value (cost $503,626,166, $782,379,857 and $165,300,907, respectively) |
|
$ |
419,235,418 |
|
|
$ |
618,698,515 |
|
|
$ |
149,583,591 |
|
Short-term investments, at value (cost approximates value) |
|
|
9,549,397 |
|
|
|
|
|
|
|
|
|
Cash |
|
|
48,750 |
|
|
|
|
|
|
|
|
|
Cash denominated in foreign currencies (cost $275,295) |
|
|
|
|
|
|
269,771 |
|
|
|
|
|
Swaps premiums paid |
|
|
|
|
|
|
47,188 |
|
|
|
|
|
Unrealized appreciation on: |
|
|
|
|
|
|
|
|
|
|
|
|
Cross currency swaps |
|
|
|
|
|
|
4,934,713 |
|
|
|
|
|
Forward foreign currency exchange contracts |
|
|
|
|
|
|
202,340 |
|
|
|
|
|
Interest rate swaps |
|
|
1,760,361 |
|
|
|
|
|
|
|
|
|
Receivable for: |
|
|
|
|
|
|
|
|
|
|
|
|
Dividends |
|
|
29,481 |
|
|
|
75,563 |
|
|
|
|
|
Interest |
|
|
7,000,065 |
|
|
|
6,881,247 |
|
|
|
581,981 |
|
Investments sold |
|
|
2,419,378 |
|
|
|
20,076,577 |
|
|
|
|
|
Reclaims |
|
|
15,707 |
|
|
|
154,336 |
|
|
|
1,079 |
|
Other assets |
|
|
787,074 |
|
|
|
31,910 |
|
|
|
59,534 |
|
Total assets |
|
|
440,845,631 |
|
|
|
651,372,160 |
|
|
|
150,226,185 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
Cash overdraft |
|
|
|
|
|
|
16,315,776 |
|
|
|
7,055 |
|
Cash collateral due to broker |
|
|
2,320,854 |
|
|
|
|
|
|
|
|
|
Borrowings |
|
|
138,000,000 |
|
|
|
130,600,000 |
|
|
|
8,245,000 |
|
Reverse repurchase agreements, including accrued interest |
|
|
|
|
|
|
111,634,660 |
|
|
|
35,419,702 |
|
Payable for: |
|
|
|
|
|
|
|
|
|
|
|
|
Dividends |
|
|
2,576,356 |
|
|
|
2,694,165 |
|
|
|
453,565 |
|
Payable for Investments purchased regular settlement |
|
|
|
|
|
|
|
|
|
|
447,203 |
|
Payable for Investments purchased when-issued/delayed-delivery settlement |
|
|
4,109,029 |
|
|
|
|
|
|
|
|
|
Unfunded senior loans |
|
|
318,841 |
|
|
|
|
|
|
|
|
|
Accrued expenses: |
|
|
|
|
|
|
|
|
|
|
|
|
Interest on borrowings |
|
|
219,994 |
|
|
|
220,102 |
|
|
|
23,764 |
|
Management fees |
|
|
320,027 |
|
|
|
522,891 |
|
|
|
117,167 |
|
Trustees fees |
|
|
107,635 |
|
|
|
18,829 |
|
|
|
56,728 |
|
Other |
|
|
180,207 |
|
|
|
286,096 |
|
|
|
167,871 |
|
Total liabilities |
|
|
148,152,943 |
|
|
|
262,292,519 |
|
|
|
44,938,055 |
|
Net assets applicable to common shares |
|
$ |
292,692,688 |
|
|
$ |
389,079,641 |
|
|
$ |
105,288,130 |
|
Common shares outstanding |
|
|
23,177,393 |
|
|
|
28,755,000 |
|
|
|
5,487,440 |
|
Net asset value (NAV) per common share
outstanding |
|
$ |
12.63 |
|
|
$ |
13.53 |
|
|
$ |
19.19 |
|
Net assets applicable to common shares consist of: |
|
|
|
|
|
|
|
|
|
|
|
|
Common shares, $0.01 par value per share |
|
$ |
231,774 |
|
|
$ |
287,550 |
|
|
$ |
54,874 |
|
Paid-in surplus |
|
|
476,260,206 |
|
|
|
565,295,626 |
|
|
|
122,987,839 |
|
Total distributable earnings |
|
|
(183,799,292 |
) |
|
|
(176,503,535 |
) |
|
|
(17,754,583 |
) |
Net assets applicable to common shares |
|
$ |
292,692,688 |
|
|
$ |
389,079,641 |
|
|
$ |
105,288,130 |
|
Authorized common shares |
|
|
Unlimited |
|
|
|
Unlimited |
|
|
|
Unlimited |
|
(1) |
Consolidated Statement of Assets and Liabilities (as disclosed in Note 1). |
See accompanying notes to financial statements.
44
Statement of Operations
Six Months Ended June 30, 2022
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JGH |
|
|
NPCT(1) |
|
|
JLS |
|
Investment Income |
|
|
|
|
|
|
|
|
|
|
|
|
Dividends |
|
$ |
153,452 |
|
|
$ |
1,189,208 |
|
|
$ |
|
|
Interest |
|
|
15,103,009 |
|
|
|
15,063,268 |
|
|
|
3,825,383 |
|
Rehypothecation income |
|
|
|
|
|
|
|
|
|
|
140 |
|
Tax Withheld |
|
|
|
|
|
|
(433 |
) |
|
|
|
|
Total Investment Income |
|
|
15,256,461 |
|
|
|
16,252,043 |
|
|
|
3,825,523 |
|
Expenses |
|
|
|
|
|
|
|
|
|
|
|
|
Management fees |
|
|
2,104,867 |
|
|
|
3,540,995 |
|
|
|
736,651 |
|
Interest expense |
|
|
912,682 |
|
|
|
1,378,647 |
|
|
|
356,607 |
|
Custodian fees |
|
|
77,563 |
|
|
|
26,028 |
|
|
|
21,458 |
|
Trustees fees |
|
|
6,931 |
|
|
|
16,526 |
|
|
|
2,142 |
|
Professional fees |
|
|
49,088 |
|
|
|
39,502 |
|
|
|
68,418 |
|
Shareholder reporting expenses |
|
|
43,933 |
|
|
|
|
|
|
|
13,252 |
|
Shareholder servicing agent fees |
|
|
259 |
|
|
|
7,087 |
|
|
|
562 |
|
Stock exchange listing fees |
|
|
3,783 |
|
|
|
14,067 |
|
|
|
3,783 |
|
Investor relations expense |
|
|
64,532 |
|
|
|
32,651 |
|
|
|
9,048 |
|
Other |
|
|
16,728 |
|
|
|
5,655 |
|
|
|
5,551 |
|
Total expenses |
|
|
3,280,366 |
|
|
|
5,061,158 |
|
|
|
1,217,472 |
|
Net investment income (loss) |
|
|
11,976,095 |
|
|
|
11,190,885 |
|
|
|
2,608,051 |
|
Realized and Unrealized Gain (Loss) |
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) from: |
|
|
|
|
|
|
|
|
|
|
|
|
Investments and foreign currency |
|
|
(7,852,105 |
) |
|
|
(10,856,248 |
) |
|
|
(445,564 |
) |
Forward foreign currency exchange contracts |
|
|
|
|
|
|
73,018 |
|
|
|
|
|
Swaps |
|
|
(738,195 |
) |
|
|
410,479 |
|
|
|
|
|
Change in net unrealized appreciation (depreciation) of: |
|
|
|
|
|
|
|
|
|
|
|
|
Investments and foreign currency |
|
|
(86,449,615 |
) |
|
|
(162,443,985 |
) |
|
|
(15,926,114 |
) |
Forward foreign currency exchange contracts |
|
|
|
|
|
|
31,065 |
|
|
|
|
|
Swaps |
|
|
5,996,948 |
|
|
|
3,168,966 |
|
|
|
|
|
Net realized and unrealized gain (loss) |
|
|
(89,042,967 |
) |
|
|
(169,616,705 |
) |
|
|
(16,371,678 |
) |
Net increase (decrease) in net assets applicable to common shares
from operations |
|
|
(77,066,872 |
) |
|
|
(158,425,820 |
) |
|
|
(13,763,627 |
) |
(1) |
Consolidated Statement of Operations (as disclosed in Note 1). |
See accompanying notes to financial statements.
45
Statement of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JGH |
|
|
NPCT(1) |
|
|
|
Unaudited Six Months
Ended 6/30/2022 |
|
|
Year Ended 12/31/21 |
|
|
Unaudited Six Months
Ended 6/30/2022 |
|
|
For the period 4/27/21 (commencement of operations) through 12/31/21 |
|
Operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss) |
|
$ |
11,976,095 |
|
|
$ |
24,147,881 |
|
|
$ |
11,190,885 |
|
|
$ |
8,935,776 |
|
Net realized gain (loss) from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments and foreign currency |
|
|
(7,852,105 |
) |
|
|
23,207,067 |
|
|
|
(10,856,248 |
) |
|
|
848,644 |
|
Forward foreign currency exchange contracts |
|
|
|
|
|
|
|
|
|
|
73,018 |
|
|
|
283,146 |
|
Swaps |
|
|
(738,195 |
) |
|
|
(1,646,145 |
) |
|
|
410,479 |
|
|
|
156,234 |
|
Change in net unrealized appreciation (depreciation) of: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments and foreign currency |
|
|
(86,449,615 |
) |
|
|
(27,936,191 |
) |
|
|
(162,443,985 |
) |
|
|
(1,252,416 |
) |
Forward foreign currency exchange contracts |
|
|
|
|
|
|
|
|
|
|
31,065 |
|
|
|
171,275 |
|
Swaps |
|
|
5,996,948 |
|
|
|
4,556,301 |
|
|
|
3,168,966 |
|
|
|
1,765,747 |
|
Net increase (decrease) in net assets applicable to common shares
from operations |
|
|
(77,066,872 |
) |
|
|
22,328,913 |
|
|
|
(158,425,820 |
) |
|
|
10,908,406 |
|
Distributions to Common Shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends |
|
|
(15,714,272 |
) |
|
|
(22,729,429 |
) |
|
|
(17,770,590 |
) |
|
|
(11,231,531 |
) |
Return of capital |
|
|
|
|
|
|
(7,424,359 |
) |
|
|
|
|
|
|
(9,500,824 |
) |
Decrease in net assets applicable to common shares from distributions
to common shareholders |
|
|
(15,714,272 |
) |
|
|
(30,153,788 |
) |
|
|
(17,770,590 |
) |
|
|
(20,732,355 |
) |
Capital Share Transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common shares: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Proceeds from sale of shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
575,000,000 |
|
Net increase (decrease) in net assets applicable to common shares
from capital share transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
575,000,000 |
|
Net increase (decrease) in net assets applicable to common shares |
|
|
(92,781,144 |
) |
|
|
(7,824,875 |
) |
|
|
(176,196,410 |
) |
|
|
565,176,051 |
|
Net assets applicable to common shares at the beginning of
period |
|
|
385,473,832 |
|
|
|
393,298,707 |
|
|
|
565,276,051 |
|
|
|
100,000 |
|
Net assets applicable to common shares at the end of
period |
|
$ |
292,692,688 |
|
|
$ |
385,473,832 |
|
|
$ |
389,079,641 |
|
|
$ |
565,276,051 |
|
(1) |
Consolidated Statement of Changes in Net Assets (as disclosed in Note 1). |
See accompanying notes to financial statements.
46
|
|
|
|
|
|
|
|
|
|
|
JLS |
|
|
|
Unaudited Six Months Ended 6/30/2022 |
|
|
Year
Ended 12/31/21 |
|
Operations |
|
|
|
|
|
|
|
|
Net investment income (loss) |
|
$ |
2,608,051 |
|
|
$ |
4,548,254 |
|
Net realized gain (loss) from: |
|
|
|
|
|
|
|
|
Investments and foreign currency |
|
|
(445,564 |
) |
|
|
1,064,856 |
|
Forward foreign currency exchange contracts |
|
|
|
|
|
|
|
|
Swaps |
|
|
|
|
|
|
|
|
Change in net unrealized appreciation (depreciation) of: |
|
|
|
|
|
|
|
|
Investments and foreign currency |
|
|
(15,926,114 |
) |
|
|
(170,240 |
) |
Forward foreign currency exchange contracts |
|
|
|
|
|
|
|
|
Swaps |
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets applicable to common shares
from operations |
|
|
(13,763,627 |
) |
|
|
5,442,870 |
|
Distributions to Common Shareholders |
|
|
|
|
|
|
|
|
Dividends |
|
|
(2,732,745 |
) |
|
|
(4,636,388 |
) |
Return of capital |
|
|
|
|
|
|
(664,479 |
) |
Decrease in net assets applicable to common shares from distributions
to common shareholders |
|
|
(2,732,745 |
) |
|
|
(5,300,867 |
) |
Capital Share Transactions |
|
|
|
|
|
|
|
|
Common shares: |
|
|
|
|
|
|
|
|
Proceeds from sale of shares |
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets applicable to common shares
from capital share transactions |
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets applicable to common shares |
|
|
(16,496,372 |
) |
|
|
142,003 |
|
Net assets applicable to common shares at the beginning of
period |
|
|
121,784,502 |
|
|
|
121,642,499 |
|
Net assets applicable to common shares at the end of
period |
|
$ |
105,288,130 |
|
|
$ |
121,784,502 |
|
See accompanying notes to financial statements.
47
Statement of Cash Flows
Six Months Ended June 30, 2022
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JGH |
|
|
NPCT |
|
|
JLS |
|
Cash Flows from Operating Activities: |
|
|
|
|
|
|
|
|
|
|
|
|
Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations |
|
$ |
(77,066,872 |
) |
|
$ |
(158,425,820 |
) |
|
$ |
(13,763,627 |
) |
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 |
|
|
(78,595,669 |
) |
|
|
(49,493,604 |
) |
|
|
(43,690,982 |
) |
Proceeds from sales and maturities of investments |
|
|
90,454,470 |
|
|
|
120,434,657 |
|
|
|
42,321,414 |
|
Proceeds from (Purchase of) short-term investments, net |
|
|
1,227,414 |
|
|
|
1,090,714 |
|
|
|
215,000 |
|
Proceeds from (Purchases of) closed foreign currency spot contracts |
|
|
|
|
|
|
4,181 |
|
|
|
|
|
Premiums received (paid) for interest rate swaps |
|
|
|
|
|
|
(150 |
) |
|
|
|
|
Amortization (Accretion) of premiums and discounts, net |
|
|
(71,527 |
) |
|
|
841,655 |
|
|
|
(30,029 |
) |
(Increase) Decrease in: |
|
|
|
|
|
|
|
|
|
|
|
|
Receivable for interest |
|
|
(68,505 |
) |
|
|
(280,745 |
) |
|
|
(10,611 |
) |
Receivable for dividends |
|
|
6,457 |
|
|
|
(22,029 |
) |
|
|
|
|
Receivable for investments sold |
|
|
439,819 |
|
|
|
(20,065,327 |
) |
|
|
|
|
Receivable for reclaims |
|
|
791 |
|
|
|
(29,062 |
) |
|
|
76 |
|
Other assets |
|
|
(598,633 |
) |
|
|
13,641 |
|
|
|
5,422 |
|
Increase (Decrease) in: |
|
|
|
|
|
|
|
|
|
|
|
|
Investments purchased regular settlement |
|
|
|
|
|
|
|
|
|
|
447,203 |
|
Investments purchased when-issued/delayed-delivery settlement |
|
|
995,034 |
|
|
|
(2,505,383 |
) |
|
|
|
|
Payable for unfunded senior loans |
|
|
318,841 |
|
|
|
|
|
|
|
|
|
Accrued management fees |
|
|
(71,550 |
) |
|
|
(173,665 |
) |
|
|
(16,171 |
) |
Accrued interest on borrowings |
|
|
214,203 |
|
|
|
216,551 |
|
|
|
79,023 |
|
Accrued Trustees fees |
|
|
(13,885 |
) |
|
|
7,066 |
|
|
|
(8,466 |
) |
Accrued other expenses |
|
|
16,525 |
|
|
|
9,009 |
|
|
|
28,663 |
|
Net realized (gain) loss from: |
|
|
|
|
|
|
|
|
|
|
|
|
Investments and foreign currency |
|
|
7,852,105 |
|
|
|
10,856,248 |
|
|
|
445,564 |
|
Paydowns |
|
|
(29,002 |
) |
|
|
35,872 |
|
|
|
(83,218 |
) |
Change in net unrealized appreciation (depreciation) of investments: |
|
|
|
|
|
|
|
|
|
|
|
|
Investments and foreign currency |
|
|
86,449,615 |
|
|
|
162,443,985 |
|
|
|
15,926,114 |
|
Forward foreign currency contracts |
|
|
|
|
|
|
(31,065 |
) |
|
|
|
|
Swaps |
|
|
(5,996,948 |
) |
|
|
(3,168,966 |
) |
|
|
|
|
Net cash provided by (used in) operating activities |
|
|
25,462,683 |
|
|
|
61,757,763 |
|
|
|
1,865,375 |
|
Cash Flow from Financing Activities: |
|
|
|
|
|
|
|
|
|
|
|
|
Proceeds from borrowings |
|
|
1,000,000 |
|
|
|
3,000,000 |
|
|
|
1,750,000 |
|
(Repayments of) borrowings |
|
|
(22,000,000 |
) |
|
|
(39,400,000 |
) |
|
|
(1,960,000 |
) |
Proceeds from reverse repurchase agreements |
|
|
|
|
|
|
366,915,000 |
|
|
|
69,717,000 |
|
(Repayments of) reverse repurchase agreements |
|
|
|
|
|
|
(393,335,000 |
) |
|
|
(68,655,000 |
) |
Increase (Decrease) in: |
|
|
|
|
|
|
|
|
|
|
|
|
Cash overdraft |
|
|
|
|
|
|
16,315,776 |
|
|
|
(438,195 |
) |
Cash collateral due to broker |
|
|
2,320,854 |
|
|
|
|
|
|
|
|
|
Cash distributions paid to common shareholders |
|
|
(13,137,916 |
) |
|
|
(15,076,425 |
) |
|
|
(2,279,180 |
) |
Net cash provided by (used in) financing activities |
|
|
(31,817,062 |
) |
|
|
(61,580,649 |
) |
|
|
(1,865,375 |
) |
Net Increase (Decrease) in Cash and Cash Denominated in Foreign Currencies |
|
|
(6,354,379 |
) |
|
|
177,114 |
|
|
|
|
|
Cash and cash collateral at brokers at the beginning of
period |
|
|
6,403,129 |
|
|
|
92,657 |
|
|
|
|
|
Cash and cash denominated in foreign currencies at the end of
period |
|
$ |
48,750 |
|
|
$ |
269,771 |
|
|
$ |
|
|
|
The following table provides a reconciliation of cash and cash denominated in foreign currencies to the statement of assets and
liabilities: |
|
Cash |
|
$ |
48,750 |
|
|
$ |
|
|
|
$ |
|
|
Cash denominated in foreign currencies |
|
|
|
|
|
|
269,771 |
|
|
|
|
|
Total cash and cash denominated in foreign currencies |
|
$ |
48,750 |
|
|
$ |
269,771 |
|
|
$ |
|
|
|
|
|
|
Supplemental Disclosure of Cash Flow Information |
|
|
|
|
|
|
|
|
|
Cash paid for interest (excluding borrowing costs) |
|
$ |
650,792 |
|
|
$ |
1,160,002 |
|
|
$ |
276,068 |
|
See accompanying notes to financial statements.
48
THIS PAGE INTENTIONALLY LEFT BLANK
49
Financial Highlights
Selected data for a share outstanding throughout each period:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Operations |
|
|
Less Distributions to Common Shareholders |
|
|
Common Share |
|
|
|
Beginning Common Share NAV |
|
|
Net Investment Income (Loss)(a) |
|
|
Net Realized/ Unrealized Gain (Loss) |
|
|
Total |
|
|
From Net Investment Income |
|
|
From Accumulated Net Realized Gains |
|
|
Return of Capital |
|
|
Total |
|
|
Discount from Shares Repurchased and
Retired |
|
|
Ending NAV |
|
|
Ending Share Price |
|
|
JGH |
|
Year Ended 12/31: |
|
2022(h) |
|
$ |
16.63 |
|
|
$ |
0.52 |
|
|
$ |
(3.84 |
) |
|
$ |
(3.32 |
) |
|
$ |
(0.68 |
) |
|
$ |
|
|
|
$ |
|
|
|
$ |
(0.68 |
) |
|
$ |
|
|
|
$ |
12.63 |
|
|
$ |
11.58 |
|
2021 |
|
|
16.97 |
|
|
|
1.04 |
|
|
|
(0.08 |
) |
|
|
0.96 |
|
|
|
(0.98 |
) |
|
|
|
|
|
|
(0.32 |
) |
|
|
(1.30 |
) |
|
|
|
|
|
|
16.63 |
|
|
|
15.88 |
|
2020 |
|
|
18.14 |
|
|
|
1.10 |
|
|
|
(1.16 |
) |
|
|
(0.06 |
) |
|
|
(1.07 |
) |
|
|
|
|
|
|
(0.04 |
) |
|
|
(1.11 |
) |
|
|
|
|
|
|
16.97 |
|
|
|
15.55 |
|
2019 |
|
|
16.01 |
|
|
|
1.19 |
|
|
|
2.17 |
|
|
|
3.36 |
|
|
|
(1.20 |
) |
|
|
|
|
|
|
(0.03 |
) |
|
|
(1.23 |
) |
|
|
|
|
|
|
18.14 |
|
|
|
16.38 |
|
2018 |
|
|
18.51 |
|
|
|
1.26 |
|
|
|
(2.42 |
) |
|
|
(1.16 |
) |
|
|
(1.27 |
) |
|
|
|
|
|
|
(0.08 |
) |
|
|
(1.35 |
) |
|
|
0.01 |
|
|
|
16.01 |
|
|
|
13.65 |
|
2017 |
|
|
17.82 |
|
|
|
1.42 |
|
|
|
0.71 |
|
|
|
2.13 |
|
|
|
(1.34 |
) |
|
|
|
|
|
|
(0.10 |
) |
|
|
(1.44 |
) |
|
|
|
|
|
|
18.51 |
|
|
|
16.91 |
|
|
NPCT(g) |
|
Period Ended 12/31: |
|
2022(h) |
|
|
19.66 |
|
|
|
0.39 |
|
|
|
(5.90 |
) |
|
|
(5.51 |
) |
|
|
(0.62 |
) |
|
|
|
|
|
|
|
|
|
|
(0.62 |
) |
|
|
|
|
|
|
13.53 |
|
|
|
11.72 |
|
2021(i) |
|
|
20.00 |
|
|
|
0.31 |
|
|
|
0.07 |
|
|
|
0.38 |
|
|
|
(0.36 |
) |
|
|
(0.03 |
) |
|
|
(0.33 |
) |
|
|
(0.72 |
) |
|
|
|
|
|
|
19.66 |
|
|
|
18.30 |
|
The following tables set forth information regarding each Funds outstanding senior securities as of the end of each Funds
last five fiscal periods, as applicable.
|
|
|
|
|
|
|
|
|
|
|
Borrowings at the End of Period |
|
|
|
Aggregate Amount Outstanding (000)(e) |
|
|
Asset Coverage Per $1,000(f) |
|
|
JGH |
|
Year Ended 12/31: |
|
2022(h) |
|
$ |
138,000 |
|
|
$ |
3,121 |
|
2021 |
|
|
159,000 |
|
|
|
3,424 |
|
2020 |
|
|
149,200 |
|
|
|
3,636 |
|
2019 |
|
|
175,200 |
|
|
|
3,400 |
|
2018 |
|
|
175,200 |
|
|
|
3,118 |
|
2017 |
|
|
175,200 |
|
|
|
3,455 |
|
|
|
|
|
|
|
|
|
|
|
|
Borrowings at the End of Period |
|
|
|
Aggregate Amount Outstanding (000)(e) |
|
|
Asset Coverage Per $1,000(f) |
|
|
NPCT |
|
Period Ended 12/31: |
|
2022(h) |
|
$ |
130,600 |
|
|
$ |
3,979 |
|
2021(i) |
|
|
167,000 |
|
|
|
4,385 |
|
50
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Share Supplemental Data/ Ratios Applicable to Common Shares |
|
Common Share Total Returns |
|
|
|
|
|
Ratios to Average Net Assets(c) |
|
|
|
|
Based on NAV(b) |
|
|
Based
on Share Price(b) |
|
|
Ending Net Assets (000) |
|
|
Expenses |
|
|
Net Investment Income (Loss) |
|
|
Portfolio
Turnover Rate(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(20.46 |
)% |
|
|
(23.34 |
)% |
|
$ |
292,693 |
|
|
|
1.91 |
%* |
|
|
6.96 |
%* |
|
|
16 |
% |
|
5.82 |
|
|
|
10.84 |
|
|
|
385,474 |
|
|
|
1.68 |
|
|
|
6.16 |
|
|
|
87 |
|
|
0.39 |
|
|
|
2.88 |
|
|
|
393,299 |
|
|
|
1.87 |
|
|
|
6.94 |
|
|
|
35 |
|
|
21.54 |
|
|
|
29.93 |
|
|
|
420,480 |
|
|
|
2.64 |
|
|
|
6.84 |
|
|
|
43 |
|
|
(6.67 |
) |
|
|
(11.97 |
) |
|
|
371,082 |
|
|
|
2.51 |
|
|
|
7.10 |
|
|
|
61 |
|
|
12.25 |
|
|
|
15.14 |
|
|
|
430,058 |
|
|
|
2.08 |
|
|
|
7.70 |
|
|
|
77 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(28.44 |
) |
|
|
(33.07 |
) |
|
|
389,080 |
|
|
|
2.17 |
* |
|
|
4.80 |
* |
|
|
7 |
|
|
1.90 |
|
|
|
(4.96 |
) |
|
|
565,276 |
|
|
|
1.47 |
* |
|
|
2.28 |
* |
|
|
17 |
|
(a) |
Per share Net Investment Income (Loss) is calculated using the average daily shares method. |
(b) |
Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at
NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest
price for the last dividend declared in the period may often be based on the Funds market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized. |
Total Return Based on Common Share Price is the combination of changes in the market price per common share and the effect of reinvested dividend income
and reinvested capital gains distributions, if any, at the average price paid per common share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is
assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price
may be different from the price used in the calculation. Total returns are not annualized.
|
|
|
|
|
(c) |
|
|
|
Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to reverse repurchase agreements and/or borrowings, where applicable, (as described in Note 8 Borrowing
Arrangements). |
|
|
|
|
Each ratio includes the effect of all interest expense paid and other costs related to reverse repurchase agreements and/or borrowings, where applicable, as follows: |
|
|
|
|
|
Ratios of Interest Expense to Average Net Assets Applicable to Common Shares |
|
JGH |
|
|
|
|
Year Ended 12/31: |
|
2022(h) |
|
|
0.53 |
%* |
2021 |
|
|
0.35 |
|
2020 |
|
|
0.59 |
|
2019 |
|
|
1.33 |
|
2018 |
|
|
1.19 |
|
2017 |
|
|
0.78 |
|
|
|
|
|
|
Ratios of Interest Expense to Average Net Assets Applicable to Common Shares |
|
NPCT |
|
|
|
|
2022(h) |
|
|
0.59 |
%* |
2021(f) |
|
|
0.18 |
* |
(d) |
Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in
Note 4 Portfolio Securities and Investments in Derivatives) divided by the average long-term market value during the period. |
(e) |
Aggregate Amount Outstanding: Aggregate amount outstanding represents the principal amount as of the end of the relevant
fiscal year. |
(f) |
Asset Coverage Per $1,000: Asset coverage per $1,000 of debt is calculated by subtracting the Funds liabilities and
indebtedness not represented by senior securities from the Funds total assets, dividing the results by the aggregate amount of the Funds senior securities representing indebtedness then outstanding, and multiplying the result by 1,000.
|
(g) |
Consolidated Financial Highlights (as disclosed in Note 1). |
(h) |
Unaudited. For the six months ended June 30, 2022. |
(i) |
For the period April 27, 2021 (commencement of operations) through December 31, 2021. |
See accompanying notes to financial statements.
51
Financial Highlights (continued)
Selected data for a common share outstanding throughout each period:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Operations |
|
|
Less Distributions to Common Shareholders |
|
|
Common Share |
|
|
|
Beginning Common Share NAV |
|
|
Net Investment Income (Loss)(a) |
|
|
Net Realized/ Unrealized Gain (Loss) |
|
|
Total |
|
|
From Net Investment Income |
|
|
From Accumulated Net Realized Gains |
|
|
Return of Capital |
|
|
Total |
|
|
Ending NAV |
|
|
Ending Share Price |
|
|
|
|
|
|
|
|
|
|
|
JLS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 12/31: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2022(h) |
|
$ |
22.19 |
|
|
$ |
0.48 |
|
|
$ |
(2.98 |
) |
|
$ |
(2.50 |
) |
|
$ |
(0.50 |
) |
|
$ |
|
|
|
$ |
|
|
|
$ |
(0.50 |
) |
|
$ |
19.19 |
|
|
$ |
16.52 |
|
2021 |
|
|
22.17 |
|
|
|
0.83 |
|
|
|
0.16 |
|
|
|
0.99 |
|
|
|
(0.85 |
) |
|
|
|
|
|
|
(0.12 |
) |
|
|
(0.97 |
) |
|
|
22.19 |
|
|
|
20.96 |
|
2020 |
|
|
22.83 |
|
|
|
0.86 |
|
|
|
(0.55 |
) |
|
|
0.31 |
|
|
|
(0.73 |
) |
|
|
|
|
|
|
(0.24 |
) |
|
|
(0.97 |
) |
|
|
22.17 |
|
|
|
19.77 |
|
2019 |
|
|
23.02 |
|
|
|
0.76 |
|
|
|
0.41 |
|
|
|
1.17 |
|
|
|
(0.92 |
) |
|
|
|
|
|
|
(0.44 |
) |
|
|
(1.36 |
) |
|
|
22.83 |
|
|
|
21.96 |
|
2018 |
|
|
24.70 |
|
|
|
1.16 |
|
|
|
(0.76 |
) |
|
|
0.40 |
|
|
|
(1.52 |
) |
|
|
(0.49 |
) |
|
|
(0.07 |
) |
|
|
(2.08 |
) |
|
|
23.02 |
|
|
|
22.35 |
|
2017 |
|
|
25.02 |
|
|
|
1.34 |
|
|
|
1.65 |
|
|
|
2.99 |
|
|
|
(1.94 |
) |
|
|
(1.37 |
) |
|
|
|
|
|
|
(3.31 |
) |
|
|
24.70 |
|
|
|
24.69 |
|
The following table sets forth information regarding the Funds outstanding senior securities as of the end of the Funds last
five fiscal periods, as applicable.
|
|
|
|
|
|
|
|
|
|
|
Borrowings at the End of Period |
|
|
|
Aggregate Amount Outstanding (000)(f) |
|
|
Asset Coverage Per $1,000(g) |
|
|
|
|
JLS |
|
|
|
|
|
|
|
|
Year Ended 12/31: |
|
2022(h) |
|
$ |
8,245 |
|
|
$ |
13,770 |
|
2021 |
|
|
8,455 |
|
|
|
15,404 |
|
2020 |
|
|
15,505 |
|
|
|
8,845 |
|
2019 |
|
|
|
|
|
|
|
|
2018 |
|
|
147,200 |
|
|
|
3,485 |
|
2017 |
|
|
147,200 |
|
|
|
3,666 |
|
52
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data Applicable to Common Shares |
|
Common Share Total Returns |
|
|
|
|
|
Ratios to Average Net Assets Before Reimbursement(c) |
|
|
Ratios to Average Net Assets Reimbursement(c)(d) |
|
|
|
|
Based on NAV(b) |
|
|
Based
on Share Price(b) |
|
|
Ending Net Assets (000) |
|
|
Expenses |
|
|
Net Investment Income (Loss) |
|
|
Expenses |
|
|
Net Investment Income (Loss) |
|
|
Portfolio
Turnover Rate(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(11.39 |
)% |
|
|
(19.00 |
)% |
|
$ |
105,288 |
|
|
|
2.16 |
%* |
|
|
4.62 |
%* |
|
|
N/A |
|
|
|
N/A |
|
|
|
27 |
% |
|
4.47 |
|
|
|
11.02 |
|
|
|
121,785 |
|
|
|
1.87 |
|
|
|
3.69 |
|
|
|
N/A |
|
|
|
N/A |
|
|
|
73 |
|
|
1.69 |
|
|
|
(5.36 |
) |
|
|
121,642 |
|
|
|
2.46 |
|
|
|
3.11 |
|
|
|
1.54 |
% |
|
|
4.04 |
% |
|
|
117 |
|
|
5.16 |
|
|
|
4.27 |
|
|
|
125,253 |
|
|
|
2.72 |
|
|
|
3.08 |
|
|
|
2.53 |
|
|
|
3.26 |
|
|
|
100 |
|
|
1.63 |
|
|
|
(1.06 |
) |
|
|
365,810 |
|
|
|
2.89 |
|
|
|
4.77 |
|
|
|
N/A |
|
|
|
N/A |
|
|
|
44 |
|
|
12.21 |
|
|
|
16.79 |
|
|
|
392,453 |
|
|
|
2.51 |
|
|
|
5.12 |
|
|
|
N/A |
|
|
|
N/A |
|
|
|
85 |
|
(a) |
Per share Net Investment Income (Loss) is calculated using the average daily shares method. |
(b) |
Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at
NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest
price for the last dividend declared in the period may often be based on the Funds market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized. |
Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and
reinvested capital gains distributions, if any, at the average price paid per common share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to
be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be
different from the price used in the calculation. Total returns are not annualized.
|
|
|
|
|
(c) |
|
|
|
Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to reverse repurchase agreements and/or borrowings, where applicable, (as described in Note 8 Fund Leverage). |
|
|
|
|
Each ratio includes the effect of all interest expense paid and other costs related to reverse repurchase agreements and/or to borrowings, where applicable, as follows: |
|
|
|
|
|
Ratios of Interest Expense to Average Net Assets Applicable to Common Shares |
|
JLS |
|
|
|
|
Year Ended 12/31: |
|
2022(h) |
|
|
0.63 |
%* |
2021 |
|
|
0.45 |
|
2020 |
|
|
0.91 |
|
2019 |
|
|
1.15 |
|
2018 |
|
|
1.26 |
|
2017 |
|
|
0.93 |
|
(d) |
During the fiscal year ended December 31, 2019, the Adviser voluntarily reimbursed the Fund for certain expenses incurred
in connection with its restructuring. |
(e) |
Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 4
Portfolio Securities and Investments in Derivatives) divided by the average long-term market value during the period. |
(f) |
Aggregate Amount Outstanding: Aggregate amount outstanding represents the principal amount as of the end of the relevant
fiscal year. |
(g) |
Asset Coverage per $1,000: Asset coverage per $1,000 of debt is calculated by subtracting the Funds liabilities and
indebtedness not represented by senior securities from the Funds total assets, dividing the results by the aggregate amount of the Funds senior securities representing indebtedness then outstanding, and multiplying the result by 1,000.
|
(h) |
Unaudited. For the six months ended June 30, 2022. |
N/A |
Fund did not have a contractual reimbursement with the Adviser. |
53
See accompanying notes to financial statements.
Notes to Financial Statements
(Unaudited)
1. General Information
Fund Information
The funds covered in this report and their corresponding New York Stock Exchange (NYSE) symbols are as follows (each a Fund and collectively, the
Funds):
|
|
|
Nuveen Global High Income Fund (JGH) |
|
|
|
Nuveen Core Plus Impact Fund (NPCT) |
|
|
|
Nuveen Mortgage and Income Fund (JLS) |
The Funds are registered under the Investment Company Act of 1940 (the 1940 Act), as amended, as diversified
closed-end management investment companies. JGH, NPCT and JLS were organized as Massachusetts business trusts on August 5, 2014, December 4, 2020 and September 10, 2009, respectively.
Current Fiscal Period
The end of the reporting period for the Funds is June
30, 2022. The period covered by these Notes to Financial Statements is for the six months ended June 30, 2022 (the current fiscal period).
Investment Adviser and Sub-Adviser
The Funds investment adviser is
Nuveen Fund Advisors, LLC (the Adviser), a subsidiary of Nuveen, LLC (Nuveen). Nuveen is the investment management arm of Teachers Insurance and Annuity Association of America (TIAA). The Adviser has overall responsibility
for management of the Funds, oversees the management of the Funds portfolio, manages the Funds business affairs and provides certain clerical, bookkeeping and other administrative services, and, if necessary, asset allocation decisions.
The Adviser has entered into a sub-advisory agreement with Nuveen Asset Management, LLC (NAM), a subsidiary of the Adviser and Teachers Advisors, LLC (TAL), an affiliate of the Adviser, (each a Sub-Adviser and
collectively, the Sub-Advisers). NAM manages the investment portfolios of JGH and NPCT, while TAL manages the investment portfolio of JLS.
Developments Regarding JGHs Control Share By-Law
On January 14, 2021,
the Funds Board of Trustees (the Trustees) received a shareholder demand letter (the Demand Letter) from Saba Capital CEF Opportunities 1, Ltd. and Saba Capital Management, L.P. (collectively, Saba)
demanding that the Fund (i) rescind the Funds by-law provisions pursuant to which, in summary, a shareholder who obtains beneficial ownership of common shares in a Control Share Acquisition (as defined in the by-laws) shall have the same
voting rights as other common shareholders only to the extent authorized by the other disinterested shareholders (the Control Share By-Law) and (ii) commence judicial action against the Trustees to ensure that the Control Share
By-Law is withdrawn. Following review of the Demand Letter, the Trustees determined that it would not be in the best interests of the Fund or the Funds shareholders to take the actions requested in the Demand Letter. Also on January 14,
2021, Saba filed a civil complaint in the U.S. District Court for the Southern District of New York (the District Court) against the Fund, certain other Nuveen funds and the Trustees, seeking a declaration that the Control Share By-Law
violates the 1940 Act, rescission of the Control Share By-Law and a permanent injunction against applying the Control Share By-Law. On February 18, 2022, the District Court granted judgment in favor of Sabas claim for rescission of the Control
Share By-Law and Sabas declaratory judgment claim, and declared that the Control Share By-Law violates Section 18(i) of the 1940 Act. Following review of the judgment of the District Court, on February 22, 2022, the Trustees amended the
Funds by-laws to provide that the Control Share By-Law shall be of no force and effect for so long as the judgment of the District Court is effective and that if the judgment of the District Court is reversed, overturned, vacated, stayed, or
otherwise nullified, the Control Share By-Law will be automatically reinstated and apply to any beneficial owner of common shares acquired in a Control Share Acquisition, regardless of whether such Control Share Acquisition occurs before or after
such reinstatement, for the duration of the stay or upon issuance of the mandate reversing, overturning, vacating or otherwise nullifying the judgment of the District Court. On February 25, 2022, the Board and the Funds appealed the District
Courts decision to the U.S. Court of Appeals for the Second Circuit.
Developments Regarding NPCTs and JLSs Control Share By-Law
On October 5, 2020, the Funds and certain other closed-end funds in the Nuveen fund complex amended their by-laws. Among other things, the amended bylaws included
provisions pursuant to which, in summary, a shareholder who obtains beneficial ownership of common shares in a Control Share Acquisition (as defined in the by-laws) shall have the same Control Share By-Law. On January 14, 2021, a shareholder of
certain Nuveen closed-end funds filed a civil complaint in the District Court against certain Nuveen funds and their trustees, seeking a declaration that such funds Control Share By-Laws violate the 1940 Act, rescission of such funds
Control Share By-Laws and a permanent injunction against such funds applying the Control Share By-Laws. On February 18, 2022, the District Court granted judgment in favor of the plaintiffs claim for rescission of such funds Control Share
By-Laws and the plaintiffs declaratory judgment claim, and declared that such funds Control Share By-Laws violate Section 18(i) of the 1940 Act. Following review of
54
the judgment of the District Court, on February 22,
2022, the Board amended the Funds by-laws to provide that the Funds Control Share By-Law shall be of no force and effect for so long as the judgment of the District Court is effective and that if the judgment of the District Court is
reversed, overturned, vacated, stayed, or otherwise nullified, the Funds Control Share By-Law will be automatically reinstated and apply to any beneficial owner of common shares acquired in a Control Share Acquisition, regardless of whether
such Control Share Acquisition occurs before or after such reinstatement, for the duration of the stay or upon issuance of the mandate reversing, overturning, vacating or otherwise nullifying the judgment of the District Court. On February 25, 2022,
the Board and the Funds appealed the District Courts decision to the U.S. Court of Appeals for the Second Circuit.
Other Matters
The outbreak of the novel coronavirus (COVID-19) and subsequent global pandemic began significantly impacting the U.S. and global financial markets and
economies during the calendar quarter ended March 31, 2020. The worldwide spread of COVID-19 has created significant uncertainty in the global economy. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this
time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds normal course of business, results of operations, investments, and cash flows will depend on future developments, which are highly uncertain and difficult
to predict. Management continues to monitor and evaluate this situation.
Basis for Consolidation
NPCT is presented on a consolidated basis with the Nuveen Core Plus Impact Fund Ltd. (the Subsidiary), a wholly-owned subsidiary of NPCT organized under the
laws of the Cayman Islands. The Subsidiary commenced operations on April 27, 2021 and is intended to provide the Fund with exposure to Regulation S fixed-income securities. Regulation S securities are securities of U.S. and non-U.S. issuers that are
issued through private placement transactions with the SEC pursuant to Regulation S under the Securities Act of 1933, as amended. The Subsidiary is advised by the Adviser and has the same investment objective as NPCT, but unlike NPCT, it may invest
in Regulation S securities without limitation. As of the end of the reporting period, the net assets of the Subsidiary were $20,906,489 representing 5% of the Funds consolidated net assets. All inter-company transactions and balances have been
eliminated.
Select financial information related to the Subsidiary is as follows:
|
|
|
|
|
|
|
NPCT |
|
Total long-term investments at value |
|
$ |
20,573,657 |
|
Net assets applicable to Common Shares |
|
|
20,906,489 |
|
Net investment income (loss) |
|
|
282,350 |
|
Net realized gain (loss) from investments and foreign currency |
|
|
(80,866 |
) |
Change in net unrealized appreciation (depreciation) from
investments and foreign currency |
|
|
(8,290,724 |
) |
2. Significant Accounting Policies
The
accompanying financial statements were prepared in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP), which may require the use of estimates made by management and the evaluation of
subsequent events. Actual results may differ from those estimates. Each Fund is an investment company and follows the accounting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification 946, Financial
Services Investment Companies. The net asset value (NAV) for financial reporting purposes may differ from the NAV for processing security and common share transactions. The NAV for financial reporting purposes includes security
and common share transactions through the date of the report. Total return is computed based on the NAV used for processing security and common share transactions. The following is a summary of the significant accounting policies consistently
followed by the Funds.
Compensation
The Funds pay no compensation
directly to those of their trustees or to its officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. 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.
Each Fund has implemented a level distribution program to provide shareholders with stable, but not
guaranteed, cash flow, independent of the amount or timing of income earned or capital gains realized by the Fund. Under this program, the Funds regular monthly distribution, in order to maintain its level distribution amount, may include net
investment income, return of capital and potentially capital gains for tax purposes. The amounts and sources of distributions are reported 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.
55
Notes to Financial Statements (continued)
(Unaudited)
NPCT makes monthly cash distributions to common shareholders of a stated dollar amount per share. Subject to approval and oversight by the Board, the Fund seeks to
maintain a stable distribution level designed to deliver the long-term return potential of the Funds investment strategy through regular monthly distributions (a Managed Distribution Program). Total distributions during a calendar
year generally will be made from the Funds net investment income, net realized capital gains and net unrealized capital gains in the Funds portfolio, if any. The portion of distributions paid attributed to net unrealized gains, if any,
is distributed from the Funds assets and is treated by common shareholders as a nontaxable distribution (return of capital) for tax purposes. In the event that total distributions during a calendar year exceed the Funds total
return on NAV, the difference will reduce NAV per share. If the Funds total return on NAV exceeds total distributions during a calendar year, the excess will be reflected as an increase in NAV per share. The amounts and sources of
distributions reported 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.
Foreign Currency Transactions and Translation
To the extent that JGH and NPCT invests in securities and/or contracts that are denominated in a currency other than U.S. dollars, the Funds will be subject to currency
risk, which is the risk that an increase in the U.S. dollar relative to the foreign currency will reduce returns or portfolio value. Generally, when the U.S. dollar rises in value against a foreign currency, the Funds investments
denominated in that currency will lose value because their currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value. Investments and other assets and liabilities denominated in foreign
currencies are converted into U.S. dollars on a spot (i.e. cash) basis at the spot rate prevailing in the foreign currency exchange market at the time of valuation. Purchases and sales of investments and income denominated in foreign currencies are
translated into U.S. dollars on the respective dates of such transactions.
The books and records of the Funds are maintained in U.S. dollars. Assets, including
investments, and liabilities denominated in foreign currencies are translated into U.S. dollars at the end of each day. Purchases and sales of securities, income and expenses are translated into U.S. dollars at the prevailing exchange rate on the
respective dates of the transactions.
Net realized foreign currency gains and losses resulting from changes in exchange rates associated with (i) foreign
currency, (ii) investments and (iii) derivatives include foreign currency gains and losses between trade date and settlement date of the transactions, foreign currency transactions, and the difference between the amounts of interest and
dividends recorded on the books of the Funds and the amounts actually received are recognized as a component of Net realized gain (loss) from investments and foreign currency on the Statement of Operations, when applicable.
The unrealized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with (i) investments and
(ii) other assets and liabilities are recognized as a component of Change in net unrealized appreciation (depreciation) of investments and foreign currency on the Statement of Operations, when applicable. The unrealized gains and
losses resulting from changes in foreign exchange rates associated with investments in derivatives are recognized as a component of the respective derivatives related Change in net unrealized appreciation (depreciation) on the
Statement of Operations, when applicable.
As of the end of the reporting period, the following Funds investments in non-U.S. securities were as follows:
|
|
|
|
|
|
|
|
|
JGH |
|
Value |
|
|
% of Total Investments |
|
Country: |
|
|
|
|
|
|
|
|
Canada |
|
$ |
21,035,206 |
|
|
|
4.9 |
% |
Mexico |
|
|
12,095,068 |
|
|
|
2.8 |
|
Brazil |
|
|
9,836,127 |
|
|
|
2.3 |
|
Turkey |
|
|
9,001,961 |
|
|
|
2.1 |
|
South Africa |
|
|
8,419,379 |
|
|
|
2.0 |
|
France |
|
|
8,342,032 |
|
|
|
1.9 |
|
Australia |
|
|
8,088,358 |
|
|
|
1.9 |
|
Spain |
|
|
7,555,818 |
|
|
|
1.8 |
|
United Kingdom |
|
|
7,163,906 |
|
|
|
1.7 |
|
Netherlands |
|
|
6,598,041 |
|
|
|
1.5 |
|
Luxembourg |
|
|
6,369,804 |
|
|
|
1.5 |
|
Colombia |
|
|
6,251,569 |
|
|
|
1.5 |
|
Israel |
|
|
5,378,406 |
|
|
|
1.3 |
|
Other |
|
|
75,089,005 |
|
|
|
17.4 |
|
Total non-U.S. securities |
|
$ |
191,224,680 |
|
|
|
44.6 |
% |
56
|
|
|
|
|
|
|
|
|
NPCT |
|
Value |
|
|
% of Total Investments |
|
Country: |
|
|
|
|
|
|
|
|
Chile |
|
$ |
28,822,749 |
|
|
|
4.7 |
% |
Italy |
|
|
23,608,616 |
|
|
|
3.8 |
|
United Kingdom |
|
|
19,178,584 |
|
|
|
3.1 |
|
India |
|
|
18,897,591 |
|
|
|
3.1 |
|
Canada |
|
|
18,366,931 |
|
|
|
3.0 |
|
Australia |
|
|
16,845,126 |
|
|
|
2.7 |
|
Switzerland |
|
|
14,193,750 |
|
|
|
2.3 |
|
Mexico |
|
|
12,741,923 |
|
|
|
2.1 |
|
Indonesia |
|
|
11,974,994 |
|
|
|
1.9 |
|
South Korea |
|
|
8,707,302 |
|
|
|
1.4 |
|
Other |
|
|
68,230,339 |
|
|
|
10.9 |
|
Total non-U.S. securities |
|
$ |
241,567,905 |
|
|
|
39.0 |
% |
Indemnifications
Under the Funds
organizational documents, their officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide
general indemnifications to other parties. The Funds maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior
claims or losses pursuant to these contracts and 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. Trade date for senior and subordinated loans purchased in the
primary market is considered the date on which the loan allocations are determined. Trade date for senior and subordinated loans purchased in the secondary market is the date on which the transaction is entered into. 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 is recorded on an accrual basis and includes accretion of discounts and amortization of premiums for financial reporting purposes. Interest
income also reflects payment-in-kind (PIK) interest, fee income, if any and paydown gains and losses, if any. PIK interest represents income received in the form of securities in lieu of cash. Fee income consists primarily of amendment
fees. Amendment fees are earned as compensation for evaluating and accepting changes to an original senior loan agreement and are recognized when received. Rehypothecation income is comprised of fees earned in connection with the rehypothecation of
pledged collateral as further described in Note 8 Borrowing Arrangements.
Netting Agreements
In the ordinary course of business, the Funds may enter into transactions subject to enforceable master repurchase agreements, International Swaps and Derivatives
Association, Inc. (ISDA) master agreements or other similar arrangements (netting agreements). Generally, the right to offset in netting agreements allows each Fund to offset certain securities and derivatives with a specific
counterparty, when applicable, as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, each Fund manages its cash collateral and securities collateral on a counterparty basis.
The Funds investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 4 Portfolio Securities and
Investments in Derivatives.
New Accounting Pronouncements and Rule Issuances
Reference Rate Reform
In March 2020, FASB issued Accounting Standards Update
(ASU) 2020-04, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The main objective of the new guidance is to provide relief to companies that will be impacted by the expected change in
benchmark interest rates, when participating banks will no longer be required to submit London Interbank Offered Rate (LIBOR) quotes by the UK Financial Conduct Authority (FCA). The new guidance allows companies to, provided the only changes to
existing contracts are a change to an approved benchmark interest rate, account for modifications as a continuance of the existing contract without additional analysis. For new and existing contracts, the Funds may elect to apply the amendments as
of March 12, 2020 through December 31, 2022. Management has not yet elected to apply the amendments, is continuously evaluating the potential effect a discontinuation of LIBOR could have on the Funds investments and has currently determined
that it is unlikely the ASUs adoption will have a significant impact on the Funds financial statements and various filings.
57
Notes to Financial Statements (continued)
(Unaudited)
Securities and Exchange Commission (SEC) Adopts New Rules to Modernize Fund Valuation Framework
In December 2020, the SEC voted to adopt a new rule governing fund valuation practices. New Rule 2a-5 under the 1940 Act establishes requirements for determining fair
value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit fund boards to designate certain parties to perform fair value determinations, subject to board oversight and certain other conditions. Rule 2a-5 also defines when market
quotations are readily available for purposes of Section 2(a)(41) of the 1940 Act, which requires a fund to fair value a security when market quotations are not readily available. The SEC also adopted new Rule 31a-4 under the 1940 Act,
which sets forth the recordkeeping requirements associated with fair value determinations. Finally, the SEC is rescinding previously issued guidance on related issues, including the role of a board in determining fair value and the accounting and
auditing of fund investments. Rule 2a-5 and Rule 31a-4 became effective on March 8, 2021, with a compliance date of September 8, 2022. A fund may voluntarily comply with the rules after the effective date, and in advance of the compliance date,
under certain conditions. Management is currently assessing the impact of these provisions on the Funds financial statements.
3. Investment Valuation and
Fair Value Measurements
The Funds investments in securities are recorded at their estimated fair value utilizing valuation methods approved by the Board.
Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. U.S. GAAP establishes
the three-tier hierarchy which is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the
assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect managements assumptions about the
assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.
|
|
|
Level 1 |
|
Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities. |
Level 2 |
|
Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, credit spreads, etc.). |
Level 3 |
|
Prices are determined using significant unobservable inputs (including managements assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to the Funds major classifications of assets and liabilities measured at fair
value follows:
Equity securities and exchange-traded funds listed or traded on a national market or exchange are valued based on their sale price at the official
close of business of such market or exchange on the valuation date. Foreign equity securities and registered investment companies that trade on a foreign exchange are valued at the last sale price or official closing price reported on the exchange
where traded and converted to U.S. dollars at the prevailing rates of exchange on the date of valuation. To the extent these securities are actively traded and that valuation adjustments are not applied, they are generally classified as
Level 1. If there is no official close of business, then the latest available sale price is utilized. If no sales are reported, then the mean of the latest available bid and ask prices is utilized and these securities are generally classified
as Level 2.
Prices of fixed-income securities are generally provided by an independent pricing service (pricing service) approved by the Board. The
pricing service establishes a securitys fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications
of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligors credit characteristics considered relevant. In pricing certain
securities, particularly less liquid and lower quality securities, the pricing service may consider information about a security, its issuer or market activity provided by the Adviser. These securities are generally classified as Level 2.
Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities are generally classified as Level 2.
Forward foreign currency contracts are valued using the prevailing forward exchange rate which is derived from quotes provided by the pricing service using the
procedures approved by the Board and are generally classified as Level 2.
Swap contracts are
marked-to-market daily based upon a price supplied by a pricing service. Swaps are generally classified as Level 2.
For events affecting the value of foreign securities between the time when the exchange on which they are traded closes and the time when the Funds net assets are
calculated, such securities will be valued at fair value in accordance with procedures adopted by the Board. These foreign securities are generally classified as Level 2.
Any portfolio security or derivative for which market quotations are not readily available or for which the above valuation procedures are deemed not to reflect fair
value are valued at fair value, as determined in good faith using procedures approved by the Board. As a general principle, the fair value of a security would appear to be the amount that the owner might reasonably expect to receive for it in a
current sale. A variety of factors may be considered in determining the fair value of such securities, which may include consideration of the following: yields or prices of investments of comparable quality,
58
type of issue, coupon, maturity and rating, market
quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligors credit characteristics considered relevant. To the
extent the inputs are observable and timely, the values would be classified as Level 2 of the fair value hierarchy; otherwise they would be classified as Level 3.
The following table summarizes the market value of the Funds investments as of the end of the reporting period, based on the inputs used to value them:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JGH |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Long-Term Investments*: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
$ |
|
|
|
$ |
277,140,062 |
|
|
$ |
|
|
|
$ |
277,140,062 |
|
Sovereign Debt |
|
|
|
|
|
|
49,068,203 |
|
|
|
|
|
|
|
49,068,203 |
|
Variable Rate Senior Loan Interests |
|
|
|
|
|
|
41,697,490 |
|
|
|
|
|
|
|
41,697,490 |
|
$1,000 Par (or similar) Institutional Preferred |
|
|
|
|
|
|
25,444,681 |
|
|
|
|
|
|
|
25,444,681 |
|
Contingent Capital Securities |
|
|
|
|
|
|
19,047,760 |
|
|
|
|
|
|
|
19,047,760 |
|
$25 Par (or similar) Retail Preferred |
|
|
5,600,297 |
|
|
|
|
|
|
|
|
|
|
|
5,600,297 |
|
Asset-Backed Securities |
|
|
|
|
|
|
730,725 |
|
|
|
|
|
|
|
730,725 |
|
Common Stocks |
|
|
506,200 |
|
|
|
|
|
|
|
|
|
|
|
506,200 |
|
|
|
|
|
|
Short-Term Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements |
|
|
|
|
|
|
9,549,397 |
|
|
|
|
|
|
|
9,549,397 |
|
|
|
|
|
|
Investments in Derivatives: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Swaps** |
|
|
|
|
|
|
1,760,361 |
|
|
|
|
|
|
|
1,760,361 |
|
Total |
|
$ |
6,106,497 |
|
|
$ |
424,438,679 |
|
|
$ |
|
|
|
$ |
430,545,176 |
|
|
|
|
|
|
NPCT |
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments*: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds |
|
$ |
|
|
|
$ |
335,269,086 |
|
|
$ |
|
|
|
$ |
335,269,086 |
|
$1,000 Par (or similar) Institutional Preferred |
|
|
|
|
|
|
97,109,497 |
|
|
|
|
|
|
|
97,109,497 |
|
Asset-Backed Securities |
|
|
|
|
|
|
52,525,245 |
|
|
|
|
|
|
|
52,525,245 |
|
Mortgage-Backed Securities |
|
|
|
|
|
|
42,959,941 |
|
|
|
|
|
|
|
42,959,941 |
|
$25 Par (or similar) Retail Preferred |
|
|
35,966,244 |
|
|
|
|
|
|
|
|
|
|
|
35,966,244 |
|
Sovereign Debt |
|
|
|
|
|
|
24,387,705 |
|
|
|
|
|
|
|
24,387,705 |
|
Variable Rate Senior Loan Interests |
|
|
|
|
|
|
15,619,353 |
|
|
|
|
|
|
|
15,619,353 |
|
Municipal Bonds |
|
|
|
|
|
|
14,861,444 |
|
|
|
|
|
|
|
14,861,444 |
|
|
|
|
|
|
Investments in Derivatives: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Contracts** |
|
|
|
|
|
|
202,340 |
|
|
|
|
|
|
|
202,340 |
|
Cross Currency Swaps** |
|
|
|
|
|
|
4,934,713 |
|
|
|
|
|
|
|
4,934,713 |
|
Total |
|
$ |
35,966,244 |
|
|
$ |
587,869,324 |
|
|
$ |
|
|
|
$ |
623,835,568 |
|
|
|
|
|
|
JLS |
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments*: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Securities |
|
$ |
|
|
|
$ |
106,614,402 |
|
|
$ |
|
|
|
$ |
106,614,402 |
|
Asset-Backed Securities |
|
|
|
|
|
|
42,969,189 |
|
|
|
|
*** |
|
|
42,969,189 |
|
Total |
|
$ |
|
|
|
$ |
149,583,591 |
|
|
$ |
|
|
|
$ |
149,583,591 |
|
* |
Refer to the Funds Portfolio of Investments for industry and country classifications, where applicable.
|
** |
Represents net unrealized appreciation (depreciation) as reported in the Funds Portfolio of Investments.
|
*** |
Refer to the Funds Portfolio of Investments for securities classified as Level 3. Value equals zero as of the end of
the reporting period. |
4. Portfolio Securities and Investments in Derivatives
Portfolio Securities
Unfunded Commitments for JGH and NPCT
Pursuant to the terms of certain of the variable rate senior loan agreements, JGH and NPCT may have unfunded senior loan commitments. Each Fund will maintain with its
custodian, cash, liquid securities and/or liquid senior loans having an aggregate value at least equal to the amount of unfunded senior loan commitments. As of the end of the reporting period, JGHs and NPCTs outstanding unfunded senior
loan commitments were as follow:
|
|
|
|
|
|
|
|
|
|
|
JGH |
|
|
NPCT |
|
Outstanding unfunded senior loan commitments |
|
$ |
318,841 |
|
|
$ |
|
|
Participation Commitments for JGH and NPCT
With
respect to the senior loans held in JGHs and NPCTs portfolio, the Funds may: 1) invest in assignments; 2) act as a participant in primary lending syndicates; or 3) invest in participations. If a Fund purchases a participation
of a senior loan interest, the Fund would typically enter into a contractual
59
Notes to Financial Statements (continued)
(Unaudited)
agreement with the lender or other third party selling the participation, rather than directly with the borrower. As such, the Fund not only assumes the credit risk of
the borrower, but also that of the selling participant or other persons interpositioned between the Fund and the borrower. As of the end of the reporting period, JGH and NPCT had no such outstanding participation commitments.
Repurchase Agreements
In connection with transactions in repurchase
agreements, it is the Funds policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the
counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.
The following table presents the
repurchase agreements for the Funds that are subject to netting agreements as of the end of the reporting period, and the collateral delivered related to those repurchase agreements.
|
|
|
|
|
|
|
|
|
|
|
Fund |
|
Counterparty |
|
Short-Term Investments, at Value |
|
|
Collateral Pledged (From) Counterparty |
|
JGH |
|
Fixed Income Clearing Corporation |
|
$ |
9,549,397 |
|
|
$ |
(9,740,454 |
) |
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.
Investment Transactions
Long-term purchases and sales (including maturities
but excluding derivative transactions) during the current fiscal period were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JGH |
|
|
NPCT |
|
|
JLS |
|
Purchases |
|
$ |
78,595,669 |
|
|
$ |
49,493,604 |
|
|
$ |
43,683,927 |
|
Sales and maturities |
|
|
90,454,470 |
|
|
|
120,434,657 |
|
|
|
42,321,414 |
|
The Funds may purchase securities on a when-issued or delayed-delivery basis. Securities purchased on a when-issued or delayed-delivery
basis may have extended settlement periods; interest income is not accrued until settlement date. Any securities so purchased are subject to market fluctuation during this period. The Funds have earmarked securities in their portfolio with a current
value at least equal to the amount of the when-issued/delayed-delivery purchase commitments. If a Fund has outstanding when-issued/delayed-delivery purchases commitments as of the end of the reporting period, such amounts are recognized on the
Statement of Assets and Liabilities.
Investments in Derivatives
Each Fund
is authorized to invest in certain derivative instruments, such as futures, options and swap contracts. Each Fund limits its investments in futures, options on futures and swap contracts to the extent necessary for the Adviser to claim the exclusion
from registration by the Commodity Futures Trading Commission as a commodity pool operator with respect to the Fund. The Funds record derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when
applicable. Even though the Funds investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.
Forward Foreign Currency Contracts
NPCT is authorized to enter into forward
foreign currency contracts (forward contracts) under two circumstances: (i) when the Fund enters into a contract for the purchase or sale of a security denominated in a foreign currency to lock in the U.S. exchange rate of
the transaction, with such period being a short-dated contract covering the period between transaction date and settlement date or (ii) when the Sub-Adviser believes that the currency of a particular foreign country may experience a substantial
movement against the U.S. dollar or against another foreign currency.
A forward contract is an agreement between two parties to purchase or sell a specified quantity
of a currency at or before a specified date in the future at a specified price. Forward contracts are typically traded in the OTC markets and all details of the contract are negotiated between the counterparties to the agreement. Accordingly, the
forward contracts are valued by reference to the contracts traded in the OTC markets. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying currency, establishing an
opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery.
Forward contracts are valued daily at the forward rate. The net amount recorded on these transactions is recognized as a component of Unrealized appreciation and/or
depreciation on forward foreign currency contracts on the Statement of Assets and Liabilities. The change in value of the forward
60
contracts during the reporting period is recognized
as a component of Change in net unrealized appreciation (depreciation) of forward foreign currency contracts on the Statement of Operations. When the contract is closed or offset with the same counterparty, the Fund recognizes the
difference between the value of the contract at the time it was entered and the value at the time it was closed or offset as a component of Net realized gain (loss) from forward foreign currency contracts on the Statement of Operations.
Forward contracts will generally not be entered into for terms greater than three months, but may have maturities of up to six months or more. The use of forward
contracts does not eliminate fluctuations in the underlying prices of the Funds investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward contracts involves the risk that
anticipated currency movements will not be accurately predicted. A forward contract would limit the risk of loss due to a decline in the value of a particular currency; however, it also would limit any potential gain that might result should the
value of the currency increase instead of decrease. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reflected on the Statement of Assets and Liabilities. Forward contracts are subject to counterparty
risk if the counterparty fails to perform as specified in the contract due to financial impairment or other reason.
During the current fiscal period, NPCT used
forward foreign currency contracts to hedge exposure to Euro denominated positions.
The average notional amount of forward foreign currency contracts outstanding
during the current fiscal period was as follows:
|
|
|
|
|
|
|
NPCT |
|
Average notional amount of forward foreign currency contracts
outstanding* |
|
$ |
10,128,517 |
|
* |
The average notional amount is calculated based on the outstanding notional at the beginning of the current fiscal period
and at the end of each fiscal quarter within the current fiscal period. |
The following table presents the fair value of forward foreign currency
contracts held by the Fund as of the end of the reporting period, the location of these instruments on the Statement of Assets and Liabilities and the primary underlying risk exposure.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Location on the Statement of Assets and
Liabilities |
|
Underlying Risk Exposure |
|
Derivative Instrument |
|
Assets Derivatives |
|
|
|
|
|
(Liablity)Derivatives |
|
|
Location |
|
Value |
|
|
|
|
|
Location |
|
Value |
|
NPCT |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency exchange
rate |
|
Forward
contracts |
|
Unrealized appreciation on forward
foreign currency contracts |
|
$ |
202,340 |
|
|
|
|
|
|
|
|
$ |
|
|
The following table presents the forward foreign currency contracts subject to netting agreements and the collateral delivered related to
those forward foreign currency contracts as of the end of the reporting period.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Gross Unrealized Appreciation on Forward Foreign Currency Contracts* |
|
|
Gross Unrealized Depreciation) on Forward Foreign Currency Contracts* |
|
|
Net Unrealized Appreciation Depreciation) on Forward Foreign Currency Contracts |
|
|
Collateral Pledged to (from) Counterparty |
|
|
Net Exposure |
|
Morgan Stanley Capital Services LLC |
|
$ |
202,340 |
|
|
$ |
|
|
|
$ |
202,340 |
|
|
$ |
|
|
|
$ |
202,340 |
|
* |
Represents gross unrealized appreciation (depreciation) for the counterparty as reported in the Funds Portfolio of
Investments. |
The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation)
recognized on forward foreign currency contracts on the Statement of Operations during the current fiscal period, and the primary underlying risk exposure.
|
|
|
|
|
|
|
|
|
|
|
Underlying Risk Exposure |
|
Derivative
Instrument |
|
Net Realized
Gain (Loss) from Forward Foreign Currency Contracts |
|
|
Change in Net Unrealized Appreciation (Depreciation) of Forward Foreign Currency Contracts |
|
Foreign currency exchange rate |
|
Forward contracts |
|
$ |
73,018 |
|
|
$ |
31,065 |
|
Interest Rate Swap Contracts
Interest rate
swap contracts involve a Funds agreement with the counterparty to pay or receive a fixed rate payment in exchange for the counterparty receiving or paying a variable rate payment. Forward interest rate swap contracts involve a Funds
agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the Fund a variable or fixed rate payment, the accruals for which would begin at a specified date in the future (the
effective date).
61
Notes to Financial Statements (continued)
(Unaudited)
The amount of the payment obligation for an interest rate swap is based on the notional amount and the termination date of the contract. Interest rate swap contracts do
not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the net amount of interest payments that the Fund is to receive.
Interest rate swap contracts are valued daily. Upon entering into an interest rate swap contract (and beginning on the effective date for a forward interest rate
swap contract), the Fund accrues the fixed rate payment expected to be paid or received and the variable rate payment expected to be received or paid on the interest rate swap contracts on a daily basis, and recognizes the daily change in the fair
value of the Funds contractual rights and obligations under the contracts. For an over-the-counter (OTC) swap that is not cleared through a clearing house (OTC Uncleared), the amount recorded on these transactions is
recognized on the Statement of Assets and Liabilities as a component of Unrealized appreciation or depreciation on interest rate swaps.
Upon the
execution of an OTC swap cleared through a clearing house (OTC Cleared), the Fund is obligated to deposit cash or eligible securities, also known as initial margin, into an account at its clearing broker equal to a specified
percentage of the contract amount. Cash deposited by the Fund to cover initial margin requirements on open swap contracts, if any, is recognized as a component of Cash collateral at brokers for investments in swaps on the Statement of
Assets and Liabilities. Investments in OTC Cleared swaps obligate the Fund and the clearing broker to settle monies on a daily basis representing changes in the prior days mark-to-market of the swap contract. If the Fund has
unrealized appreciation, the clearing broker will credit the Funds account with an amount equal to the appreciation. Conversely, if the Fund has unrealized depreciation, the clearing broker will debit the Funds account with an amount
equal to the depreciation. These daily cash settlements are also known as variation margin. Variation margin for OTC Cleared swaps is recognized as a receivable and/or payable for Variation margin on swap contracts on the
Statement of Assets and Liabilities. Upon the execution of an OTC Uncleared swap, neither the Fund nor the counterparty is required to deposit initial margin as the trades are recorded bilaterally between both parties to the swap contract, and the
terms of the variation margin are subject to a predetermined threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is recognized as a component of Unrealized appreciation or depreciation on interest
rate swaps as described in the preceding paragraph.
The net amount of periodic payments settled in cash are recognized as a component of Net realized
gain (loss) from swaps on the Statement of Operations, in addition to the net realized gain or loss recorded upon the termination of the swap contract. For tax purposes, payments expected to be received or paid on the swap contracts are
treated as ordinary income or expense, respectively. Changes in the value of the swap contracts during the fiscal period are recognized as a component of Change in net unrealized appreciation (depreciation) of swaps on the Statement of
Operations. In certain instances, payments are made or received upon entering into the swap contract to compensate for differences between the stated terms of the swap agreements and prevailing market conditions (credit spreads, currency exchange
rates, interest rates, and other relevant factors). Payments received or made at the beginning of the measurement period, if any, are recognized as Interest rate swaps premiums received and/or paid on the Statement of Assets and
Liabilities.
During the current fiscal period, JGH continued to use interest rate swap contracts to partially hedge its future interest cost of leverage, which is
through the use of bank borrowings.
Cross Currency Swap Contracts
NPCT
uses cross currency swap contracts to gain or mitigate exposure to foreign exchange markets. A cross currency swap is an agreement between two parties to exchange two different currencies with the understanding that the exchange will be reversed at
a later date at specified exchange rates.
Risks may arise upon entering into these contracts from the potential of default by counterparty and, depending on their
terms, may be subject to foreign exchange risk.
Cross currency swap contracts are valued daily. Upon entering into a cross currency swap contract the exchange of
currencies takes place at the current spot rate. For an OTC Uncleared swap not cleared through a clearing house, the amount recorded on these transactions is recognized on the Statement of Assets and Liabilities as a component of Unrealized
appreciation or deprecation on cross currency swaps.
Upon the execution of an OTC Cleared swap, the Fund is obligated to deposit cash or eligible securities,
also known as initial margin, into an account at its clearing broker equal to a specified percentage of the contract amount. Cash held by the broker to cover initial margin requirements on open swap contracts, if any, is recognized as
Cash collateral at brokers for investments in swaps on the Statement of Assets and Liabilities. Investments in OTC Cleared swaps obligate a Fund and the clearing broker to settle monies on a daily basis representing changes in the prior
days mark-to-market of the swap. If a Fund has unrealized appreciation, the clearing broker would credit the Funds account with an amount equal
to the appreciation and conversely if a Fund has unrealized depreciation, the clearing broker will debit a Funds account with an amount equal to the depreciation. These daily cash settlements are also known as variation margin.
Variation margin for OTC Cleared swaps is recognized as a receivable and/or payable for Variation margin on swap contracts on the Statement of Assets and Liabilities. Upon the execution of an OTC Uncleared swap, neither the Fund nor the
counterparty is required to deposit initial margin as the trades are recorded bilaterally between both parties to the swap contract, and the terms of the
62
variation margin are subject to a predetermined
threshold negotiated by the Fund and the counterparty. Variation margin for OTC Uncleared swaps is recognized as a component of Unrealized appreciation or depreciation on cross currency swaps as described in the preceding paragraph.
Interest payments, if applicable, are made between the parties based on interest rates available in the two currencies at the inception of the contract and recognized as
a component of Realized gain (loss) from swaps on the Statement of Operations, in addition to the net realized gain or loss recorded upon the termination of the swap contract. At maturity, the
re-exchange may take place at the same exchange rate, a specified rate, or the then current spot rate. Changes in value of the swap contracts during the fiscal period are recognized as a component of
Change in unrealized appreciation (depreciation) of swaps on the Statement of the Operations. In certain instances, payments are made or received upon entering into the swap contract to compensate for differences between the stated terms
of the swap agreements and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Payments received or made at the beginning of the measurement period, if any, are recognized as
Cross currency swaps premiums received and/or paid on the Statement of Assets and Liabilities.
During the current fiscal period, NPCT utilized cross
currency swaps to hedge its Euro exposure to U.S. dollars.
The average notional amount of each Funds respective swap contracts outstanding during the current
fiscal period was as follows:
|
|
|
|
|
|
|
|
|
|
|
JGH |
|
|
NPCT |
|
Average notional amount of swap contracts outstanding* |
|
$ |
87,400,000 |
|
|
$ |
36,453,095 |
|
* |
The average notional amount is calculated based on the outstanding notional at the beginning of the current fiscal period
and at the end of each fiscal quarter within the current fiscal period. |
The following table presents the fair value of all swap contracts held by
JGH and NPCT as of the end of the reporting period, the location of these instruments on the Statement of Assets and Liabilities and the primary underlying risk exposure.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Location on the Statement of Assets and
Liabilities |
|
Underlying
Risk Exposure |
|
Derivative
Instrument |
|
Asset Derivatives |
|
|
|
|
|
(Liability) Derivatives |
|
|
Location |
|
Value |
|
|
|
|
|
Location |
|
Value |
|
JGH |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate |
|
Swaps (OTC Uncleared) |
|
Unrealized appreciation on interest rate swaps** |
|
$ |
1,760,361 |
|
|
|
|
|
|
|
|
$ |
|
|
NPCT |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency exchange rate |
|
Swaps (OTC Uncleared) |
|
Unrealized appreciation on cross currency swaps** |
|
$ |
4,934,713 |
|
|
|
|
|
|
|
|
$ |
|
|
** |
Some swaps contracts require a counterparty to pay or receive a premium, which is disclosed on the Statement of Assets and
Liabilities, when applicable, and is not reflected in the cumulative unrealized appreciation (depreciation) presented above. |
The following table
presents the swap contracts subject to netting agreements and the collateral delivered related to those swap contracts as of the end of the reporting period.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross Amount Net Offset on the Statement of Assets and Liabilities |
|
|
|
|
Fund |
|
Counterparty |
|
Gross Unrealized Appreciation on Swaps*** |
|
|
Gross Unrealized (Depreciation) on Swaps*** |
|
|
Net Unrealized Appreciation (Depreciation) on Swaps*** |
|
|
Swaps Premiums Paid (Received) |
|
|
Collateral Pledged to (from) Counterparty |
|
|
Net Exposure |
|
JGH |
|
Morgan Stanley Capital Services LLC |
|
$ |
1,760,361 |
|
|
$ |
|
|
|
$ |
1,760,361 |
|
|
$ |
|
|
|
$ |
(2,321,907 |
) |
|
$ |
(561,546 |
) |
NPCT |
|
Citibank N.A. |
|
$ |
2,673,116 |
|
|
$ |
|
|
|
$ |
2,673,116 |
|
|
$ |
46,924 |
|
|
$ |
|
|
|
$ |
2,720,040 |
|
|
|
J.P. Morgan Securities Inc. |
|
|
726,945 |
|
|
$ |
|
|
|
|
726,945 |
|
|
|
(3,983 |
) |
|
|
|
|
|
|
722,962 |
|
|
|
Morgan Stanley Capital Services LLC |
|
|
1,534,652 |
|
|
$ |
|
|
|
|
1,534,652 |
|
|
|
4,247 |
|
|
|
|
|
|
|
1,538,899 |
|
|
|
|
|
$ |
4,934,713 |
|
|
$ |
|
|
|
$ |
4,934,713 |
|
|
$ |
47,188 |
|
|
$ |
|
|
|
$ |
4,981,901 |
|
*** |
Represents gross unrealized appreciation (depreciation) for the counterparty as reported in the Funds Portfolio of
Investments. |
63
Notes to Financial Statements (continued)
(Unaudited)
The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on swap contracts on the Statement
of Operations during the current fiscal period, and the primary underlying risk exposure.
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund |
|
Underlying Risk Exposure |
|
Derivative Instrument |
|
Net Realized Gain (Loss) from Swaps |
|
|
Change in Net Unrealized Appreciation (Depreciation) of Swaps |
|
JGH |
|
Interest rate |
|
Swaps |
|
$ |
(738,195 |
) |
|
$ |
5,996,948 |
|
NPCT |
|
Foreign currency exchange rate |
|
Swaps |
|
|
410,479 |
|
|
|
3,168,966 |
|
Market and Counterparty Credit Risk
In the
normal course of business each Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform
(counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose each Fund to counterparty credit risk, consist principally of cash due
from counterparties on forward, option and swap transactions, when applicable. The extent of each Funds exposure to counterparty credit risk in respect to these financial assets approximates its carrying value as recorded on the Statement of
Assets and Liabilities.
Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial
resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on
behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as
collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the
pre-determined threshold amount.
5. Fund Shares
Common Share
Transactions
The Fund did not have any transactions in common shares during the current and prior fiscal periods.
6. Income Tax Information
Each Fund is a separate taxpayer for federal income
tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and 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.
Each Fund files income tax returns in U.S. federal and applicable state and local
jurisdictions. A Funds 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 each Funds tax positions taken for all open tax years and has concluded that no provision for income tax is required in the Funds 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 was as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund |
|
Tax Cost |
|
|
Gross Unrealized Appreciation |
|
|
Gross Unrealized (Depreciation) |
|
|
Net Unrealized Appreciation (Depreciation) |
|
JGH |
|
$ |
513,302,688 |
|
|
$ |
2,074,181 |
|
|
$ |
(84,831,693 |
) |
|
$ |
(82,757,512 |
) |
NPCT |
|
|
783,924,616 |
|
|
|
5,528,428 |
|
|
|
(165,570,288 |
) |
|
|
(160,041,860 |
) |
JLS |
|
|
165,476,051 |
|
|
|
282,933 |
|
|
|
(16,175,393 |
) |
|
|
(15,892,460 |
) |
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.
64
As of prior fiscal period end, the components of
accumulated earnings on a tax basis were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
JGH |
|
$ |
|
|
|
$ |
|
|
|
$ |
(2,314,518 |
) |
|
$ |
(88,723,247 |
) |
|
$ |
|
|
|
$ |
19,617 |
|
|
$ |
(91,018,148 |
) |
NPCT |
|
|
|
|
|
|
|
|
|
|
(240,653 |
) |
|
|
|
|
|
|
|
|
|
|
(66,472 |
) |
|
|
(307,125 |
) |
JLS |
|
|
|
|
|
|
|
|
|
|
(90,101 |
) |
|
|
(1,168,110 |
) |
|
|
|
|
|
|
|
|
|
|
(1,258,211 |
) |
As of prior fiscal period end, the Funds had capital loss carryforwards, which will not expire:
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund |
|
Short-Term |
|
|
Long-Term |
|
|
Total |
|
JGH |
|
$ |
25,221,422 |
|
|
$ |
63,501,825 |
|
|
$ |
88,723,247 |
|
NPCT |
|
|
|
|
|
|
|
|
|
|
|
|
JLS |
|
|
1,168,110 |
|
|
|
|
|
|
|
1,168,110 |
|
7. Management Fees and Other Transactions with Affiliates
Each Funds management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Sub-Advisers are
compensated for its services to the Funds from the management fees paid to the Adviser.
Each Funds management fee consists of two components a
fund-level fee, based only on the amount of assets within each individual Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables Fund shareholders to benefit
from growth in the assets within their respective Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.
The annual fund-level fee,
payable monthly, for each Fund is calculated according to the following schedule:
|
|
|
|
|
|
|
|
|
|
|
JGH |
|
|
NPCT |
|
Average Daily Managed Assets |
|
Fund-Level Fee Rate |
|
|
Fund-Level Fee Rate |
|
For the first $500 million |
|
|
0.7000 |
% |
|
|
0.8000 |
% |
For the next $500 million |
|
|
0.6750 |
|
|
|
0.7750 |
|
For the next $500 million |
|
|
0.6500 |
|
|
|
0.7500 |
|
For the next $500 million |
|
|
0.6250 |
|
|
|
0.7250 |
|
For managed assets over $2 billion |
|
|
0.6000 |
|
|
|
0.7000 |
|
|
|
|
|
|
|
|
JLS |
|
Average Daily Managed Assets1 |
|
Fund-Level Fee Rate |
|
For the first $125 million |
|
|
0.8000 |
% |
For the next $125 million |
|
|
0.7875 |
|
For the next $150 million |
|
|
0.7750 |
|
For the next $600 million |
|
|
0.7625 |
|
For managed assets over $1 billion |
|
|
0.7500 |
|
The annual complex-level fee, payable monthly, for each Fund is calculated by multiplying the current complex-wide fee rate, determined
according to the following schedule by the Funds daily managed assets:
|
|
|
|
|
Complex-Level Eligible Asset Breakpoint Level2 |
|
Effective Complex-Level Fee Rate at Breakpoint Level |
|
$55 billion |
|
|
0.2000 |
% |
$56 billion |
|
|
0.1996 |
|
$57 billion |
|
|
0.1989 |
|
$60 billion |
|
|
0.1961 |
|
$63 billion |
|
|
0.1931 |
|
$66 billion |
|
|
0.1900 |
|
$71 billion |
|
|
0.1851 |
|
$76 billion |
|
|
0.1806 |
|
$80 billion |
|
|
0.1773 |
|
$91 billion |
|
|
0.1691 |
|
$125 billion |
|
|
0.1599 |
|
$200 billion |
|
|
0.1505 |
|
$250 billion |
|
|
0.1469 |
|
$300 billion |
|
|
0.1445 |
|
1 |
Managed assets means the total assets of the Fund, minus the sum of its accrued liabilities (other than the
Fund liabilities incurred for the express purpose of creating effective leverage). Total assets for this purpose shall include assets attributable to the Funds use of effective leverage (whether or not those assets are reflected in the
Funds financial statements for the purposes of U.S. GAAP). |
65
Notes to Financial Statements (continued)
(Unaudited)
2 |
For the complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to
certain types of leverage. For these purposes, leverage includes the funds use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond
(TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trusts issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such
assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen open-end and closed-end funds that constitute eligible assets. Eligible
assets do not include assets attributable to investments in other Nuveen funds or assets in excess of a determined amount (originally $2 billion) added to the Nuveen fund complex in connection with the Advisers assumption of the management of
the former First American Funds effective January 1, 2011, but do not include certain assets of certain Nuveen funds that were reorganized into funds advised by an affiliate of the Adviser during the 2019 calendar year. As of June 30, 2022, the
complex-level fee for each Fund was 0.1571%. |
8. Fund Leverage
Borrowings
JGH, NPCT and JLS have entered into a borrowing arrangement
(Borrowings) as a means of leverage.
Borrowings Information for JGH
The Fund has entered into a 364-day revolving line of credit. As of the end of the reporting period, the Funds maximum
commitment amount under its Borrowings is as follows:
|
|
|
|
|
|
|
JGH |
|
Maximum commitment amount |
|
$ |
165,000,000 |
|
As of the end of the reporting period, the Funds outstanding balance on its Borrowings was as follows:
|
|
|
|
|
|
|
JGH |
|
Outstanding balance on Borrowings |
|
$ |
138,000,000 |
|
Interest is charged on the Borrowings drawn amount at a rate per annum equal to one-month LIBOR
(London Inter-Bank Offered Rate) plus 0.70% for LIBOR loans or Federal Funds rate plus 0.80% for Base Rate Loans. The Fund also accrued a 0.15% per annum commitment fee based on the undrawn balance based on the maximum commitment amount of the
Borrowings to the extent the unused portion of the Borrowings is less than 50% of the maximum commitment amount otherwise the per annum commitment fee is 0.25%.
During the Funds utilization period(s) during the current fiscal period, the average daily balance outstanding (which was for the entire current reporting period)
and average annual interest rate on the Funds Borrowings were as follows:
|
|
|
|
|
|
|
JGH |
|
Average daily balance outstanding |
|
$ |
149,646,409 |
|
Average annual interest rate |
|
|
1.16 |
% |
Borrowings Information for NPCT
The Fund has
entered into a committed financing agreement. As of the end of the reporting period, the Funds maximum commitment amount under its Borrowings is as follows:
|
|
|
|
|
|
|
NPCT |
|
Maximum commitment amount |
|
$ |
160,000,000 |
|
As of the end of the reporting period, the Funds outstanding balance on its Borrowings was as follows:
|
|
|
|
|
|
|
NPCT |
|
Outstanding balance on Borrowings |
|
$ |
130,600,000 |
|
Interest is charged on these Borrowings at Fed Funds plus 0.65% per annum on the amount borrowed and accrues 0.25% per annum on the
undrawn balance if the undrawn portion of the Borrowings on a particular day is more than 10% of the maximum commitment amount. and a one-time upfront fee of 0.05% (0.025% paid at closing of the Borrowings and
0.025% due at the one year anniversary) per annum of the maximum commitment amount.
During the current fiscal period, the average daily balance outstanding and
average annual interest rate on the Funds Borrowings were as follows:
|
|
|
|
|
|
|
NPCT |
|
Average daily balance outstanding |
|
$ |
157,332,597 |
|
Average annual interest rate |
|
|
1.08 |
% |
66
Borrowings Information for JLS
The Fund has entered into a committed financing agreement. As of the end of the reporting period, the Funds maximum commitment amount under its Borrowings is as
follows:
|
|
|
|
|
|
|
JLS |
|
Maximum commitment amount |
|
$ |
22,500,000 |
|
As of the end of the reporting period, the Funds outstanding balance on its Borrowings was as follows:
|
|
|
|
|
|
|
JLS |
|
Outstanding balance on Borrowings |
|
$ |
8,245,000 |
|
Interest is charged on these Borrowings at 3-Month LIBOR (London Inter-Bank Offered Rate) plus
1.50% per annum on the amount borrowed and 0.50% per annum on the undrawn balance (which was waived for the reporting period).
During the Funds utilization
period(s) during the current fiscal period, the average daily balance outstanding (which was for the entire current reporting period) and average annual interest rate on the Funds Borrowings were as follows:
|
|
|
|
|
|
|
JLS |
|
Average daily balance outstanding |
|
$ |
8,652,735 |
|
Average annual interest rate |
|
|
2.51 |
% |
Other Borrowings Information for the Funds
In
order to maintain their Borrowings, the Funds must meet certain collateral, asset coverage and other requirements. Each Funds Borrowings outstanding is fully secured by eligible securities held in its portfolio of investments.
Each Funds Borrowings outstanding is recognized as Borrowings on the Statement of Assets and Liabilities. Interest expense incurred on the borrowed
amount, undrawn balance and initial fees are recognized as a component of Interest expense on the Statement of Operations.
Rehypothecation
JLS has entered into a Rehypothecation Side Letter (Side Letter) with its prime brokerage lender, allowing it to
re-register the Pledged Collateral in its own name or in a name other than the Funds to pledge, repledge, hypothecate, rehyphothecate, sell, lend or otherwise transfer or use the Pledged Collateral (the
Hypothecated Securities) with all rights of ownership as described in the Side Letter. Subject to certain conditions, the total value of the outstanding Hypothecated Securities shall not exceed the lesser of (i) 98% of the outstanding
balance on the Borrowings to which the Pledged Collateral relates and (ii) 331/3% of the Funds total assets. The Fund may designate any Pledged Collateral as ineligible for rehypothecation. The Fund may also recall Hypothecated Securities on
demand.
The Fund also has the right to apply and set-off an amount equal to
one-hundred percent (100%) of the then-current fair market value of such Pledged Collateral against the current Borrowings under the Side Letter in the event that prime brokerage lender fails to timely return
the Pledged Collateral and in certain other circumstances. In such circumstances, however, the Fund may not be able to obtain replacement financing required to purchase replacement securities and, consequently, the Funds income generating
potential may decrease. Even if the Fund is able to obtain replacement financing, it might not be able to purchase replacement securities at favorable prices.
The
Fund will receive a fee in connection with the Hypothecated Securities (Rehypothecation Fees) in addition to any principal, interest, dividends and other distributions paid on the Hypothecated Securities.
As of the end of the reporting period, the Fund did not hold any Hypothecated Securities. During the current fiscal period, the Fund earned Rehypothecation Fees of $140,
which is recognized as Rehypothecation income on the Statement of Operations.
Reverse Repurchase Agreements
During the current fiscal period, NPCT and JLS used 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, a 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 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 and amortization of offering costs on the Statement of Operations.
67
Notes to Financial Statements (continued)
(Unaudited)
In a reverse repurchase agreement, the Fund retains the risk of loss associated with the sold security. In order to minimize risk, the Fund pledges and/or segregates
securities and cash as collateral with a fair value at least equal to its purchase obligations under these agreements (including accrued interest). 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. A Fund will pledge assets determined to be liquid by the Adviser to cover its obligations under reverse repurchase agreements.
As of the end of the
reporting period, the Funds outstanding balances on its reverse repurchase agreement were as follows:
NPCT
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Coupon |
|
|
Principal Amount |
|
|
Maturity |
|
|
Value |
|
|
Value and Accrued Interest |
|
TD Securities (USA), LLC |
|
|
1.56% |
|
|
$ |
(35,000,000 |
) |
|
|
7/25/22 |
|
|
$ |
(35,000,000 |
) |
|
$ |
(35,098,583) |
|
RBC Capital Markets, LLC |
|
|
2.11% |
|
|
|
(20,050,000 |
) |
|
|
8/1/22 |
|
|
|
(20,050,000 |
) |
|
|
(20,051,175) |
|
Societe Generale |
|
|
1.74% |
|
|
|
(22,510,000 |
) |
|
|
8/2/22 |
|
|
|
(22,510,000 |
) |
|
|
(22,575,279) |
|
Societe Generale |
|
|
1.59% |
|
|
|
(33,820,000 |
) |
|
|
8/2/22 |
|
|
|
(33,820,000 |
) |
|
|
(33,909,623) |
|
|
|
|
|
|
|
$ |
(111,380,000 |
) |
|
|
|
|
|
$ |
(111,380,000 |
) |
|
$ |
(111,634,660) |
|
JLS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Coupon |
|
|
Principal Amount |
|
|
Maturity |
|
|
Value |
|
|
Value and Accrued Interest |
|
Morgan Stanley Bank, N.A. |
|
|
2.61% |
|
|
$ |
(9,200,000 |
) |
|
|
9/2/22 |
|
|
$ |
(9,200,000 |
) |
|
$ |
(9,221,463 |
) |
Royal Bank of Canada |
|
|
1.20% |
|
|
|
(17,623,000 |
) |
|
|
7/11/22 |
|
|
|
(17,623,000 |
) |
|
|
(17,692,088 |
) |
Societe Generale |
|
|
1.97% |
|
|
|
(8,470,000 |
) |
|
|
7/14/22 |
|
|
|
(8,470,000 |
) |
|
|
(8,506,151 |
) |
|
|
|
|
|
|
$ |
(35,293,000 |
) |
|
|
|
|
|
$ |
(35,293,000 |
) |
|
$ |
(35,419,702 |
) |
During the Funds utilization period(s) during the current fiscal period, the average daily balance outstanding (which was for the
entire current reporting period) and average annual interest rate on the Funds reverse repurchase agreement were as follows:
|
|
|
|
|
|
|
|
|
|
|
NPCT |
|
|
JLS |
|
Average daily balance outstanding |
|
$ |
(125,892,238 |
) |
|
$ |
(33,428,884 |
) |
Weighted average interest rate |
|
|
0.97% |
|
|
|
1.32% |
|
The following table presents the reverse repurchase agreements subject to netting agreements and the collateral delivered related to those
reverse repurchase agreements.
NPCT
|
|
|
|
|
|
|
|
|
Counterparty |
|
Reverse Repurchase Agreements* |
|
|
Collateral Pledged to Counterparty |
|
TD Securities (USA), LLC |
|
$ |
(35,098,583 |
) |
|
$ |
(38,593,672 |
) |
RBC Capital Markets, LLC |
|
|
(20,051,175 |
) |
|
|
(23,528,301 |
) |
Societe Generale |
|
|
(22,575,279 |
) |
|
|
(29,369,947 |
) |
Societe Generale |
|
|
(33,909,623 |
) |
|
|
(42,859,936 |
) |
JLS
|
|
|
|
|
|
|
|
|
Counterparty |
|
Reverse Repurchase Agreements* |
|
|
Collateral Pledged to Counterparty |
|
Morgan Stanley Bank, N.A. |
|
$ |
(9,221,463 |
) |
|
$ |
(12,925,689 |
) |
Royal Bank of Canada |
|
|
(17,692,088 |
) |
|
|
(26,073,176 |
) |
Societe Generale |
|
|
(8,506,151 |
) |
|
|
(10,887,345 |
) |
* |
Represents gross value and accrued interest for the counterparty as reported in the preceding table.
|
68
9. Inter-Fund Lending
Inter-Fund Borrowing and Lending
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 funds outstanding borrowings from all sources immediately after the inter-fund borrowing total 10% or less of its total assets; provided that if the borrowing fund has a secured borrowing
outstanding from any other lender, including but not limited to another fund, the inter-fund loan must be secured on at least an equal priority basis with at least an equivalent percentage of collateral to loan value; (3) if a funds total
outstanding borrowings immediately after an inter-fund borrowing would be greater than 10% of its total assets, the fund may borrow through the inter-fund loan on a secured basis only; (4) no fund may lend money if the loan would cause its
aggregate outstanding loans through the Inter-Fund Program to exceed 15% of its net assets at the time of the loan; (5) a funds inter-fund loans to any one fund shall not exceed 5% of the lending funds net assets; (6) the
duration of inter-fund loans will be limited to the time required to receive payment for securities sold, but in no event more than seven days; and (7) each inter-fund loan may be called on one business
days notice by a lending fund and may be repaid on any day by a borrowing fund. In addition, a Nuveen fund may participate in the Inter-Fund Program only if and to the extent that such participation is consistent with the funds
investment objective and investment policies. The Board is responsible for overseeing the Inter-Fund Program.
The limitations detailed above and the other conditions
of the SEC exemptive order permitting the Inter-Fund Program are designed to minimize the risks associated with Inter-Fund Program for both the lending fund and the borrowing fund. However, no borrowing or lending activity is without risk. When a
fund borrows money from another fund, there is a risk that the loan could be called on one days notice or not renewed, in which case the fund may have to borrow from a bank at a higher rate or take other actions to payoff such loan if an
inter-fund loan is not available from another fund. Any delay in repayment to a lending fund could result in a lost investment opportunity or additional borrowing costs.
During the current reporting period, none of the Funds covered by this shareholder report have entered into any inter-fund loan activity.
10. Subsequent Events
Preferred Shares
On August 19, 2022, NPCT issued $70,000,000 Series A Taxable Preferred Shares at liquidation preference, through a private placement.
Fund Leverage
On July 1, 2022, JLS changed its interest on Borrowings to the
Overnight Bank Funding Rate plus 1.70%. All other terms remained unchanged.
On August 19, 2022, NPCT decreased its maximum commitment amount on Borrowings to
$110,000,000 and increased its interest on Borrowings to the Fed Funds plus 0.70%. All other terms remain unchanged.
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Risk Considerations (Unaudited)
Fund shares are not guaranteed or endorsed by any bank or other insured depository institution and
are not federally insured by the Federal Deposit Insurance Corporation.
Nuveen Global High Income Fund (JGH)
Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Funds investment
objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Debt or fixed income securities such as those held by the Fund, are subject to
market risk, credit risk, interest rate risk, derivatives risk, liquidity risk, and income risk. As interest rates rise, bond prices fall. Lower credit debt securities may be more likely to fail to make timely interest or principal payments.
Foreign investments involve additional risks, including currency fluctuation, political and economic instability, lack of liquidity and differing legal and accounting standards. The risks of foreign investments are magnified in emerging
markets. Leverage increases return volatility and magnifies the Funds potential return and its risks; there is no guarantee a funds leverage strategy will be successful. These and other risk considerations such as call risk
are described in more detail on the Funds web page at www.nuveen.com/JGH.
Nuveen Core Plus Impact Fund (NPCT)
Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Funds investment
objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Because the Impact Criteria and/or Nuveens Environmental Social
Governance (ESG) investment criteria may exclude investments of certain issuers for non-financial reasons, the Fund may forgo some market opportunities available to funds that do not use these criteria.
This may cause the Fund to underperform the market as a whole or other funds that do not use an Impact Criteria or ESG investment strategy or that use a different methodology or different factors to determine an investments impact and/or ESG
investment criteria. Issuers of debt instruments in which the Fund may invest may default on their obligations to pay principal or interest when due. Investments of below investment grade quality are regarded as having speculative
characteristics with respect to the issuers capacity to pay interest and repay principal, and may be subject to higher price volatility and default risk than investment grade investments of comparable terms and duration. Non-U.S. investments involve risks such as currency fluctuation, political and economic instability, lack of liquidity and differing legal and accounting standards. These risks are magnified in emerging
markets. The values of municipal securities held by the Fund may be adversely affected by local political and economic conditions and developments. Leverage increases return volatility and magnifies the Funds potential return
and its risks; there is no guarantee a funds leverage strategy will be successful. These and other risk considerations are described in more detail on the Funds web page at www.nuveen.com/NPCT.
Nuveen Mortgage and Income Fund (JLS)
Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Funds investment objectives will be achieved. Closed-end fund shares may frequently
trade at a discount or premium to their net asset value. Investing in mortgage-backed securities entails credit risk, the risk that the servicer fails to perform its duties, liquidity risks, interest rate risks, structure risks, prepayment
risk, and geographical concentration risks. Investing in asset-backed securities entails credit risks inherent in the underlying collateral, the risk that the servicer fails to perform its duties, interest rate risk, liquidity risks and
prepayment risk. Leverage increases return volatility and magnifies the Funds potential return and its risks; there is no guarantee a funds leverage strategy will be successful. These and other risk considerations are described in
more detail on the Funds web page at www.nuveen.com/JLS.
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Additional Fund Information (Unaudited)
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Board of Trustees |
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Jack B. Evans |
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William C. Hunter |
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Amy B. R. Lancellotta |
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Joanne T. Medero |
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Albin F. Moschner |
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John K. Nelson |
Judith M. Stockdale |
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Carole E. Stone |
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Matthew Thornton III |
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Terence J. Toth |
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Margaret L. Wolff |
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Robert L. Young |
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Investment Adviser
Nuveen Fund Advisors, LLC 333 West Wacker Drive
Chicago, IL 60606 |
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Custodian State Street
Bank & Trust Company One Lincoln Street Boston, MA 02111 |
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Legal Counsel
Chapman and Cutler LLP Chicago, IL 60603 |
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Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP One North Wacker Drive Chicago, IL 60606 |
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Transfer Agent and Shareholder Services
Computershare Trust Company, N.A.
150 Royall Street Canton, MA 02021
(800) 257-8787 |
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 SECs website at http://www.sec.gov.
Nuveen Funds Proxy Voting Information
You may obtain (i) information regarding how each fund voted proxies relating to portfolio securities held during the most recent twelve-month
period ended June 30, without charge, upon request, by calling Nuveen toll-free at (800) 257-8787 or on Nuveens website at www.nuveen.com and (ii) a description of the policies and procedures that each fund used to determine how
to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen toll free at (800) 257-8787. You may also obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov.