Financial Highlights (Unaudited)
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)
|
|
|
Net
Realized/
Unrealized
Gain (Loss)
|
|
|
Total
|
|
|
From
Net
Investment
Income
|
|
|
From
Accumu-
lated Net
Realized
Gains
|
|
|
Total
|
|
|
Ending
NAV
|
|
|
Ending
Share
Price
|
|
NNY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 2/28-2/29:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2021(f)
|
|
$
|
10.46
|
|
|
$
|
0.16
|
|
|
$
|
(0.38
|
)
|
|
$
|
(0.22
|
)
|
|
$
|
(0.17
|
)
|
|
$
|
—
|
|
|
$
|
(0.17
|
)
|
|
$
|
10.07
|
|
|
$
|
10.35
|
|
2020
|
|
|
9.87
|
|
|
|
0.35
|
|
|
|
0.59
|
|
|
|
0.94
|
|
|
|
(0.35
|
)
|
|
|
—
|
|
|
|
(0.35
|
)
|
|
|
10.46
|
|
|
|
10.36
|
|
2019
|
|
|
9.81
|
|
|
|
0.36
|
|
|
|
0.06
|
|
|
|
0.42
|
|
|
|
(0.36
|
)
|
|
|
—
|
|
|
|
(0.36
|
)
|
|
|
9.87
|
|
|
|
9.67
|
|
2018
|
|
|
9.89
|
|
|
|
0.37
|
|
|
|
(0.07
|
)
|
|
|
0.30
|
|
|
|
(0.38
|
)
|
|
|
—
|
|
|
|
(0.38
|
)
|
|
|
9.81
|
|
|
|
9.26
|
|
2017(d)
|
|
|
10.33
|
|
|
|
0.16
|
|
|
|
(0.44
|
)
|
|
|
(0.28
|
)
|
|
|
(0.16
|
)
|
|
|
—
|
|
|
|
(0.16
|
)
|
|
|
9.89
|
|
|
|
9.70
|
|
Year Ended 9/30:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2016
|
|
|
10.01
|
|
|
|
0.41
|
|
|
|
0.30
|
|
|
|
0.71
|
|
|
|
(0.39
|
)
|
|
|
—
|
|
|
|
(0.39
|
)
|
|
|
10.33
|
|
|
|
10.33
|
|
2015
|
|
|
10.08
|
|
|
|
0.40
|
|
|
|
(0.08
|
)
|
|
|
0.32
|
|
|
|
(0.39
|
)
|
|
|
—
|
|
|
|
(0.39
|
)
|
|
|
10.01
|
|
|
|
9.71
|
|
|
|
NYV
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 2/28-2/29:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2021(f)
|
|
|
16.31
|
|
|
|
0.21
|
|
|
|
(0.46
|
)
|
|
|
(0.25
|
)
|
|
|
(0.17
|
)
|
|
|
—
|
|
|
|
(0.17
|
)
|
|
|
15.89
|
|
|
|
14.99
|
|
2020
|
|
|
15.34
|
|
|
|
0.43
|
|
|
|
1.25
|
|
|
|
1.68
|
|
|
|
(0.47
|
)
|
|
|
(0.24
|
)
|
|
|
(0.71
|
)
|
|
|
16.31
|
|
|
|
14.77
|
|
2019
|
|
|
15.10
|
|
|
|
0.53
|
|
|
|
0.22
|
|
|
|
0.75
|
|
|
|
(0.51
|
)
|
|
|
—
|
|
|
|
(0.51
|
)
|
|
|
15.34
|
|
|
|
13.68
|
|
2018
|
|
|
15.46
|
|
|
|
0.55
|
|
|
|
(0.21
|
)
|
|
|
0.34
|
|
|
|
(0.59
|
)
|
|
|
(0.11
|
)
|
|
|
(0.70
|
)
|
|
|
15.10
|
|
|
|
13.78
|
|
2017(d)
|
|
|
16.14
|
|
|
|
0.25
|
|
|
|
(0.64
|
)
|
|
|
(0.39
|
)
|
|
|
(0.29
|
)
|
|
|
—
|
|
|
|
(0.29
|
)
|
|
|
15.46
|
|
|
|
14.87
|
|
Year Ended 9/30:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2016
|
|
|
15.89
|
|
|
|
0.81
|
|
|
|
0.07
|
|
|
|
0.88
|
|
|
|
(0.63
|
)
|
|
|
—
|
|
|
|
(0.63
|
)
|
|
|
16.14
|
|
|
|
15.90
|
|
2015
|
|
|
15.94
|
|
|
|
0.67
|
|
|
|
(0.08
|
)
|
|
|
0.59
|
|
|
|
(0.64
|
)
|
|
|
—
|
|
|
|
(0.64
|
)
|
|
|
15.89
|
|
|
|
14.85
|
|
|
|
(a)
|
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 Fund’s market price (and not
its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.
|
|
Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share
at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last
dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not
annualized.
|
60
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Share Supplemental Data/
Ratios Applicable to Common Shares
|
|
Common Share
Total Returns
|
|
|
|
|
|
Ratios to Average Net Assets
|
|
|
|
|
|
|
Based
on
NAV(a)
|
|
|
Based
on
Share
Price(a)
|
|
|
Ending
Net
Assets
(000)
|
|
|
Expenses(b)
|
|
|
Net
Investment
Income (Loss)
|
|
|
Portfolio
Turnover
Rate(c)
|
|
|
|
|
|
|
(2.08
|
)%
|
|
|
1.65
|
%
|
|
$
|
153,433
|
|
|
|
0.54
|
%*
|
|
|
3.19
|
%*
|
|
|
19
|
%
|
|
9.72
|
|
|
|
10.93
|
|
|
|
159,252
|
|
|
|
0.59
|
|
|
|
3.45
|
|
|
|
7
|
|
|
4.37
|
|
|
|
8.52
|
|
|
|
150,281
|
|
|
|
0.59
|
|
|
|
3.63
|
|
|
|
17
|
|
|
3.01
|
|
|
|
(0.80
|
)
|
|
|
149,313
|
|
|
|
0.60
|
|
|
|
3.69
|
|
|
|
12
|
|
|
(2.71
|
)
|
|
|
(4.54
|
)
|
|
|
150,358
|
|
|
|
0.63
|
*
|
|
|
3.77
|
*
|
|
|
14
|
|
|
|
|
7.23
|
|
|
|
10.56
|
|
|
|
156,939
|
|
|
|
0.60
|
|
|
|
4.04
|
|
|
|
15
|
|
|
3.22
|
|
|
|
4.05
|
|
|
|
152,137
|
|
|
|
0.60
|
|
|
|
3.98
|
|
|
|
31
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1.54
|
)
|
|
|
2.71
|
|
|
|
37,331
|
|
|
|
0.72
|
*
|
|
|
2.65
|
*
|
|
|
10
|
|
|
11.11
|
|
|
|
13.32
|
|
|
|
38,329
|
|
|
|
0.75
|
|
|
|
2.73
|
|
|
|
17
|
|
|
5.05
|
|
|
|
3.08
|
|
|
|
36,052
|
|
|
|
0.75
|
|
|
|
3.50
|
|
|
|
34
|
|
|
2.17
|
|
|
|
(2.83
|
)
|
|
|
35,489
|
|
|
|
0.75
|
|
|
|
3.53
|
|
|
|
27
|
|
|
(2.41
|
)
|
|
|
(4.67
|
)
|
|
|
36,329
|
|
|
|
0.85
|
*
|
|
|
3.90
|
*
|
|
|
13
|
|
|
|
|
5.62
|
|
|
|
11.45
|
|
|
|
37,927
|
|
|
|
0.76
|
|
|
|
5.01
|
|
|
|
8
|
|
|
3.74
|
|
|
|
7.34
|
|
|
|
37,326
|
|
|
|
0.75
|
|
|
|
4.19
|
|
|
|
11
|
|
|
|
(b)
|
The expense ratios reflect, among other things, the interest expense deemed to have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters held by the Fund
(as described in Note 4 – Portfolio Securities and Investments in Derivatives), where applicable, as follows:
|
|
|
|
|
|
NNY
|
|
|
NYV
|
|
Year Ended 2/28-2/29:
|
|
Year Ended 2/28-2/29:
|
2021(f)
|
0.01%*
|
|
2021(f)
|
—%
|
2020
|
0.02
|
|
2020
|
—
|
2019
|
0.02
|
|
2019
|
—
|
2018
|
0.03
|
|
2018
|
—
|
2017(d)
|
0.03*
|
|
2017(d)
|
—
|
Year Ended 9/30:
|
|
Year Ended 9/30:
|
2016
|
0.02
|
|
2016
|
—
|
2015
|
0.01
|
|
2015
|
—
|
|
|
(c)
|
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.
|
(d)
|
For the five months ended February 28, 2017.
|
(f)
|
For the six months ended August 31, 2020.
|
*
|
Annualized.
|
See accompanying notes to financial statements.
61
Financial Highlights (Unaudited) (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)
|
|
|
Net
Realized/
Unrealized
Gain (Loss)
|
|
|
Total
|
|
|
From
Net
Investment
Income
|
|
|
From
Accumu-
lated Net
Realized
Gains
|
|
|
Total
|
|
|
Discount
per
Share
Repur-
chased
and
Retired
|
|
|
Ending
NAV
|
|
|
Ending
Share
Price
|
|
NAN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 2/28-2/29:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2021(e)
|
|
$
|
16.04
|
|
|
$
|
0.32
|
|
|
$
|
(0.78
|
)
|
|
$
|
(0.46
|
)
|
|
$
|
(0.30
|
)
|
|
$
|
—
|
|
|
$
|
(0.30
|
)
|
|
$
|
—
|
|
|
$
|
15.28
|
|
|
$
|
13.65
|
|
2020
|
|
|
14.69
|
|
|
|
0.60
|
|
|
|
1.33
|
|
|
|
1.93
|
|
|
|
(0.58
|
)
|
|
|
—
|
|
|
|
(0.58
|
)
|
|
|
—
|
|
|
|
16.04
|
|
|
|
14.43
|
|
2019
|
|
|
14.63
|
|
|
|
0.61
|
|
|
|
0.01
|
|
|
|
0.62
|
|
|
|
(0.58
|
)
|
|
|
—
|
|
|
|
(0.58
|
)
|
|
|
0.02
|
|
|
|
14.69
|
|
|
|
12.87
|
|
2018
|
|
|
14.85
|
|
|
|
0.67
|
|
|
|
(0.19
|
)
|
|
|
0.48
|
|
|
|
(0.70
|
)
|
|
|
—
|
|
|
|
(0.70
|
)
|
|
|
—
|
|
|
|
14.63
|
|
|
|
13.02
|
|
2017(d)
|
|
|
15.78
|
|
|
|
0.29
|
|
|
|
(0.92
|
)
|
|
|
(0.63
|
)
|
|
|
(0.30
|
)
|
|
|
—
|
|
|
|
(0.30
|
)
|
|
|
—
|
|
|
|
14.85
|
|
|
|
13.75
|
|
Year Ended 9/30:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2016
|
|
|
15.26
|
|
|
|
0.76
|
|
|
|
0.55
|
|
|
|
1.31
|
|
|
|
(0.79
|
)
|
|
|
—
|
*
|
|
|
(0.79
|
)
|
|
|
—
|
|
|
|
15.78
|
|
|
|
15.33
|
|
2015
|
|
|
15.36
|
|
|
|
0.71
|
|
|
|
(0.04
|
)
|
|
|
0.67
|
|
|
|
(0.77
|
)
|
|
|
—
|
|
|
|
(0.77
|
)
|
|
|
—
|
*
|
|
|
15.26
|
|
|
|
13.42
|
|
|
|
NRK
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 2/28-2/29:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2021(e)
|
|
|
15.45
|
|
|
|
0.29
|
|
|
|
(0.68
|
)
|
|
|
(0.39
|
)
|
|
|
(0.28
|
)
|
|
|
—
|
|
|
|
(0.28
|
)
|
|
|
—
|
|
|
|
14.78
|
|
|
|
13.10
|
|
2020
|
|
|
14.12
|
|
|
|
0.57
|
|
|
|
1.30
|
|
|
|
1.87
|
|
|
|
(0.54
|
)
|
|
|
—
|
|
|
|
(0.54
|
)
|
|
|
—
|
|
|
|
15.45
|
|
|
|
13.72
|
|
2019
|
|
|
14.01
|
|
|
|
0.57
|
|
|
|
0.07
|
|
|
|
0.64
|
|
|
|
(0.54
|
)
|
|
|
—
|
|
|
|
(0.54
|
)
|
|
|
0.01
|
|
|
|
14.12
|
|
|
|
12.36
|
|
2018
|
|
|
14.21
|
|
|
|
0.62
|
|
|
|
(0.20
|
)
|
|
|
0.42
|
|
|
|
(0.62
|
)
|
|
|
—
|
|
|
|
(0.62
|
)
|
|
|
—
|
|
|
|
14.01
|
|
|
|
12.31
|
|
2017(d)
|
|
|
15.17
|
|
|
|
0.27
|
|
|
|
(0.96
|
)
|
|
|
(0.69
|
)
|
|
|
(0.27
|
)
|
|
|
—
|
|
|
|
(0.27
|
)
|
|
|
—
|
|
|
|
14.21
|
|
|
|
12.93
|
|
Year Ended 9/30:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2016
|
|
|
14.36
|
|
|
|
0.69
|
|
|
|
0.82
|
|
|
|
1.51
|
|
|
|
(0.70
|
)
|
|
|
—
|
|
|
|
(0.70
|
)
|
|
|
—
|
|
|
|
15.17
|
|
|
|
14.12
|
|
2015
|
|
|
14.39
|
|
|
|
0.72
|
|
|
|
(0.02
|
)
|
|
|
0.70
|
|
|
|
(0.73
|
)
|
|
|
—
|
|
|
|
(0.73
|
)
|
|
|
—
|
|
|
|
14.36
|
|
|
|
12.59
|
|
|
|
(a)
|
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 Fund’s market price (and not
its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.
|
|
Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share
at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last
dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not
annualized.
|
*
|
Rounds to less than $0.01 per share.
|
62
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Share Supplemental Data/
Ratios Applicable to Common Shares
|
|
Common Share
Total Returns
|
|
|
|
|
|
Ratios to Average Net Assets(b)
|
|
|
|
|
|
|
|
|
|
|
Based
on
NAV(a)
|
|
|
Based
on
Share
Price(a)
|
|
|
Ending
Net
Assets
(000)
|
|
|
Expenses
|
|
|
Net
Investment
Income (Loss)
|
|
|
Portfolio
Turnover
Rate(c)
|
|
|
|
|
|
|
(2.78
|
)%
|
|
|
(3.24
|
)%
|
|
$
|
471,466
|
|
|
|
1.87
|
%**
|
|
|
4.27
|
%**
|
|
|
14
|
%
|
|
13.33
|
|
|
|
16.81
|
|
|
|
494,883
|
|
|
|
2.34
|
|
|
|
3.90
|
|
|
|
8
|
|
|
4.46
|
|
|
|
3.49
|
|
|
|
453,180
|
|
|
|
2.45
|
|
|
|
4.16
|
|
|
|
23
|
|
|
3.19
|
|
|
|
(0.44
|
)
|
|
|
455,375
|
|
|
|
2.10
|
|
|
|
4.43
|
|
|
|
14
|
|
|
(3.97
|
)
|
|
|
(8.32
|
)
|
|
|
462,128
|
|
|
|
2.01
|
**
|
|
|
4.74
|
**
|
|
|
20
|
|
|
|
|
8.77
|
|
|
|
20.51
|
|
|
|
491,272
|
|
|
|
1.62
|
|
|
|
4.86
|
|
|
|
16
|
|
|
4.47
|
|
|
|
6.53
|
|
|
|
474,842
|
|
|
|
1.70
|
|
|
|
4.71
|
|
|
|
17
|
|
|
|
|
|
|
|
|
(2.47
|
)
|
|
|
(2.41
|
)
|
|
|
1,289,362
|
|
|
|
1.99
|
**
|
|
|
4.04
|
**
|
|
|
11
|
|
|
13.47
|
|
|
|
15.57
|
|
|
|
1,347,971
|
|
|
|
2.33
|
|
|
|
3.89
|
|
|
|
12
|
|
|
4.75
|
|
|
|
5.01
|
|
|
|
1,231,771
|
|
|
|
2.51
|
|
|
|
4.08
|
|
|
|
21
|
|
|
2.90
|
|
|
|
(0.18
|
)
|
|
|
1,227,358
|
|
|
|
2.13
|
|
|
|
4.28
|
|
|
|
13
|
|
|
(4.52
|
)
|
|
|
(6.49
|
)
|
|
|
1,244,673
|
|
|
|
2.03
|
**
|
|
|
4.60
|
**
|
|
|
13
|
|
|
|
|
10.71
|
|
|
|
18.04
|
|
|
|
1,329,069
|
|
|
|
1.55
|
|
|
|
4.66
|
|
|
|
10
|
|
|
4.98
|
|
|
|
4.06
|
|
|
|
1,257,927
|
|
|
|
1.43
|
|
|
|
5.01
|
|
|
|
18
|
|
|
|
(b)
|
• Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares issued by the Fund.
|
|
• The expense ratios reflect, among other things, all interest expense and other costs related to preferred shares (as described in Note 5 – Fund Shares) and/or the interest expense
deemed to have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters held by the Fund (as described in Note 4 – Portfolio Securities and Investments in
Derivatives), where applicable, as follows:
|
|
|
|
|
|
NAN
|
|
|
NRK
|
|
Year Ended 2/28-2/29:
|
|
Year Ended 2/28-2/29:
|
2021(f)
|
0.86%**
|
|
2021(f)
|
1.01%**
|
2020
|
1.33
|
|
2020
|
1.37
|
2019
|
1.42
|
|
2019
|
1.52
|
2018
|
1.07
|
|
2018
|
1.14
|
2017(e)
|
0.96**
|
|
2017(e)
|
1.02**
|
Year Ended 9/30:
|
|
Year Ended 9/30:
|
2016
|
0.65
|
|
2016
|
0.62
|
2015
|
0.50
|
|
2015
|
0.48
|
|
|
(c)
|
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.
|
(d)
|
For the five months ended February 28, 2017.
|
(e)
|
For the six months ended August 31, 2020.
|
**
|
Annualized.
|
See accompanying notes to financial statements.
63
Financial Highlights (Unaudited) (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMTP Shares
at the
End of Period
|
|
|
iMTP Shares
at the
End of Period
|
|
|
MFP Shares
at the
End of Period
|
|
|
VMTP Shares
at the
End of Period
|
|
|
VRDP Shares
at the
End of Period
|
|
|
iMTP, MFP,
AMTP, VMTP
and/or
VRDP Shares
at the End
of Period
|
|
|
|
Aggregate
Amount
Out-
standing
(000)
|
|
|
Asset
Coverage
Per
$100,000
Share
|
|
|
Aggregate
Amount
Out-
standing
(000)
|
|
|
Asset
Coverage
Per
$5,000
Share
|
|
|
Aggregate
Amount
Out-
standing
(000)
|
|
|
Asset
Coverage
Per
$100,000
Share
|
|
|
Aggregate
Amount
Out-
standing
(000)
|
|
|
Asset
Coverage
Per
$100,000
Share
|
|
|
Aggregate
Amount
Out-
standing
(000)
|
|
|
Asset
Coverage
Per
$100,000
Share
|
|
|
Asset
Coverage
Per $1
Liquidation
Preference
|
|
NAN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 2/28-2/29:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2021(b)
|
|
$
|
147,000
|
|
|
$
|
299,774
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
89,000
|
|
|
$
|
299,774
|
|
|
$
|
3.00
|
|
2020
|
|
|
147,000
|
|
|
|
309,696
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
89,000
|
|
|
|
309,696
|
|
|
|
3.10
|
|
2019
|
|
|
147,000
|
|
|
|
292,026
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
89,000
|
|
|
|
292,026
|
|
|
|
2.92
|
|
2018
|
|
|
|
|
|
|
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
147,000
|
|
|
|
292,955
|
|
|
|
89,000
|
|
|
|
292,955
|
|
|
|
2.93
|
|
2017(a)
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
147,000
|
|
|
|
295,834
|
|
|
|
89,000
|
|
|
|
295,834
|
|
|
|
2.96
|
|
Year Ended 9/30:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2016
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
147,000
|
|
|
|
308,166
|
|
|
|
89,000
|
|
|
|
308,166
|
|
|
|
3.08
|
|
2015
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
94,000
|
|
|
|
359,477
|
|
|
|
89,000
|
|
|
|
359,477
|
|
|
|
3.59
|
|
|
|
NRK
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 2/28-2/29:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2021(b)
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
80,000
|
|
|
|
273,348
|
|
|
|
—
|
|
|
|
—
|
|
|
|
663,800
|
|
|
|
273,348
|
|
|
|
2.73
|
|
2020
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
80,000
|
|
|
|
281,228
|
|
|
|
—
|
|
|
|
—
|
|
|
|
663,800
|
|
|
|
281,228
|
|
|
|
2.81
|
|
2019
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
80,000
|
|
|
|
265,605
|
|
|
|
—
|
|
|
|
—
|
|
|
|
663,800
|
|
|
|
265,605
|
|
|
|
2.66
|
|
2018
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
80,000
|
|
|
|
265,012
|
|
|
|
—
|
|
|
|
—
|
|
|
|
663,800
|
|
|
|
265,012
|
|
|
|
2.65
|
|
2017(a)
|
|
|
—
|
|
|
|
—
|
|
|
|
79,000
|
|
|
|
13,378
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
663,800
|
|
|
|
267,565
|
|
|
|
2.68
|
|
Year Ended 9/30:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2016
|
|
|
—
|
|
|
|
—
|
|
|
|
79,000
|
|
|
|
13,946
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
663,800
|
|
|
|
278,927
|
|
|
|
2.79
|
|
2015
|
|
|
—
|
|
|
|
—
|
|
|
|
79,000
|
|
|
|
16,077
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
488,800
|
|
|
|
321,544
|
|
|
|
3.22
|
|
|
|
(a)
|
For the five months ended February 28, 2017.
|
(b)
|
For the six months ended August 31, 2020.
|
See accompanying notes to financial statements.
64
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 New York Municipal Value Fund, Inc. (NNY)
|
•
|
Nuveen New York Municipal Value Fund 2 (NYV)
|
•
|
Nuveen New York Quality Municipal Income Fund (NAN)
|
•
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Nuveen New York AMT-Free Quality Municipal Income Fund (NRK)
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The Funds are registered under the Investment Company Act of 1940 (the “1940 Act”), as amended, as diversified closed-end management investment companies. NNY was incorporated under the state laws of Minnesota on
July 14, 1987. NYV, NAN and NRK were organized as Massachusetts business trusts on January 26, 2009, December 1, 1998 and April 9, 2002, respectively.
The end of the reporting period for the Funds is August 31, 2020, and the period covered by these Notes to Financial Statements is the six months ended August 31, 2020 (the “current fiscal period”).
Investment Adviser and Sub-Adviser
The Funds’ investment adviser is Nuveen Fund Advisors, LLC (the “Adviser”), a subsidiary of Nuveen, LLC (“Nuveen”). Nuveen is the investment management arm of Teachers Insurance and Annuity Association of America
(TIAA). The Adviser has overall responsibility for management of the Funds, oversees the management of the Funds’ portfolios, manages the Funds’ business affairs and provides certain clerical, bookkeeping and other administrative services, and,
if necessary, asset allocation decisions. The Adviser has entered into sub-advisory agreements with Nuveen Asset Management, LLC (the “Sub-Adviser”), a subsidiary of the Adviser, under which the Sub-Adviser manages the investment portfolios of
the Funds.
Fund Merger
During August 2020, the Funds’ Board of Directors/Trustees (the “Board”) approved the merger of NYV (the “Target Fund”) into NNY (the “Acquiring Fund”) (the “Merger”). The Merger is intended to create one larger
fund with lower operating expenses and increased trading volume on the exchange for common shares. The Merger is subject to customary conditions, including shareholder approval at annual shareholder meetings.
Upon the closing of the Merger, the Target Fund will transfer its assets to the Acquiring Fund in exchange for common shares of the Acquiring Fund and the assumption by the Acquiring Fund of the liabilities of the
Target Fund. The Target Fund will then be liquidated, dissolved and terminated in accordance with its Declaration of Trust. Shareholders of the Target Fund will become shareholders of the Acquiring Fund. Holders of common shares of the Target
Fund will receive newly issued common shares of the Acquiring Fund, the aggregate net asset value (“NAV”) of which is equal to the aggregate NAV of the common shares of the Target Fund held immediately prior to the Merger (including for this
purpose fractional Acquiring Fund shares to which shareholders would be entitled).
Other Matters
The outbreak of the novel coronavirus (“COVID-19”) and subsequent global pandemic began significantly impacting the U.S. and global financial markets and economies during the calendar quarter ended March 31, 2020.
The worldwide spread of COVID-19 has created significant uncertainty in the global economy. The duration and extent of COVID-19 over the long-term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to
which COVID-19 impacts the Funds’ normal course of business, results of operations, investments, and cash flows will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate
this situation.
2. Significant Accounting Policies
The accompanying financial statements were prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require the use of estimates made by
management and the evaluation of subsequent events. Actual results may differ from those estimates. Each Fund is an investment company and follows the accounting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards
Codification 946, Financial Services—Investment Companies. The 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.
65
Notes to Financial Statements (Unaudited) (continued)
Compensation
The Funds pay no compensation directly to those of its directors/trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Funds from the Adviser or
its affiliates. The Board has adopted a deferred compensation plan for independent directors/trustees that enables directors/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.
Indemnifications
Under the Funds’ organizational documents, their officers and directors/trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal
course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that
have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
Investments and Investment Income
Securities transactions are accounted for as of the trade date for financial reporting purposes. Realized gains and losses on securities transactions are based upon the specific identification method. Investment
income is comprised of interest income, which is recorded on an accrual basis and includes accretion of discounts and amortization of premiums for financial reporting purposes. Investment income also reflects payment-in-kind (“PIK”) interest and
paydown gains and losses, if any. PIK interest represents income received in the form of securities in lieu of cash.
Netting Agreements
In the ordinary course of business, the Funds may enter into transactions subject to enforceable 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
Fair Value Measurement: Disclosure Framework
During August 2018, the FASB issued ASU 2018-13 (“ASU 2018-13”), Fair Value Measurement: Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurements. ASU 2018-13 modifies the
disclosures required by Topic 820, Fair Value Measurements. The amendments in ASU 2018-13 are effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management has early
implemented this guidance and it did not have a material impact on the Funds’ financial statements.
Reference Rate Reform
In March 2020, FASB issued ASU 2020-04, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The main objective of the new guidance is to provide relief to companies
that will be impacted by the expected change in benchmark interest rates at the end of 2021, when participating banks will no longer be required to submit London Interbank Offered Rate (LIBOR) quotes by the UK Financial Conduct Authority (FCA).
The new guidance allows companies to, provided the only 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 optional expedients as of March 12, 2020 through December 31, 2022. Management has not yet elected to apply the optional expedients, but is currently assessing the impact of the ASU’s
adoption to the Funds’ financial statements and various filings.
3. Investment Valuation and Fair Value Measurements
The fair valuation input levels as described below are for fair value measurement purposes.
The Funds’ investments in securities are recorded at their estimated fair value. Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly
transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish
classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or
66
liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market
participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.
Level 1 – Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, credit spreads, etc.).
Level 3 – Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
Prices of fixed income securities are provided by an independent pricing service (“pricing service”) approved by the Board. The pricing service establishes a security’s fair value using methods that may include
consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral,
general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2. In pricing certain securities, particularly less liquid and
lower quality securities, the pricing service may consider information about a security, its issuer or market activity, provided by the Adviser. These securities are generally classified as Level 2 or Level 3 depending on the observability of the
significant inputs.
Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the Board and/or its appointee at fair value. These securities generally
include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose
trading has been formally suspended; debt securities that have gone into default and for which there is no current market quotation; a security whose market price is not available from a pre-established pricing source; a security with respect to
which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s NAV (as may be the case in non-U.S. markets on which the security is primarily traded) or
make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the security’s fair value. As a general principle, the fair value of a security would
appear to be the amount that the owner might reasonably expect to receive for it in a current sale. A variety of factors may be considered in determining the fair value of such securities, which may include consideration of the following: yields
or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other
information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs. Regardless of the method
employed to value a particular security, all valuations are subject to review by the Board and/or its appointee.
The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of each Fund’s fair value measurements as of the
end of the reporting period:
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NNY
|
|
Level 1
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|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Long-Term Investments*:
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Bonds
|
|
$
|
—
|
|
|
$
|
152,438,895
|
|
|
$
|
—
|
|
|
$
|
152,438,895
|
|
NYV
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments*:
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Bonds
|
|
$
|
—
|
|
|
$
|
35,027,558
|
|
|
$
|
—
|
|
|
$
|
35,027,558
|
|
Short-Term Investments*:
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Bonds
|
|
|
—
|
|
|
|
2,000,000
|
|
|
|
—
|
|
|
|
2,000,000
|
|
Total
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|
$
|
—
|
|
|
$
|
37,027,558
|
|
|
$
|
—
|
|
|
$
|
37,027,558
|
|
NAN
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments*:
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Bonds
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|
$
|
—
|
|
|
$
|
721,512,230
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|
|
$
|
—
|
|
|
$
|
721,512,230
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|
NRK
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term Investments*:
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Bonds
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|
$
|
—
|
|
|
$
|
2,038,866,758
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|
|
$
|
—
|
|
|
$
|
2,038,866,758
|
|
* Refer to the Fund’s Portfolio of Investments for industry classifications.
67
Notes to Financial Statements (Unaudited) (continued)
4. Portfolio Securities and Investments in Derivatives
Portfolio Securities
Inverse Floating Rate Securities
Each Fund is authorized to invest in inverse floating rate securities. An inverse floating rate security is created by depositing a municipal bond (referred to as an “Underlying Bond”), typically with a fixed
interest rate, into a special purpose tender option bond (“TOB”) trust (referred to as the “TOB Trust”) created by or at the direction of one or more Funds. In turn, the TOB Trust issues (a) floating rate certificates (referred to as “Floaters”),
in face amounts equal to some fraction of the Underlying Bond’s par amount or market value, and (b) an inverse floating rate certificate (referred to as an “Inverse Floater”) that represents all remaining or residual interest in the TOB Trust.
Floaters typically pay short-term tax-exempt interest rates to third parties who are also provided a right to tender their certificate and receive its par value, which may be paid from the proceeds of a remarketing of the Floaters, by a loan to
the TOB Trust from a third party liquidity provider (“Liquidity Provider”), or by the sale of assets from the TOB Trust. The Inverse Floater is issued to a long term investor, such as one or more of the Funds. The income received by the Inverse
Floater holder varies inversely with the short-term rate paid to holders of the Floaters, and in most circumstances the Inverse Floater holder bears substantially all of the Underlying Bond’s downside investment risk and also benefits
disproportionately from any potential appreciation of the Underlying Bond’s value. The value of an Inverse Floater will be more volatile than that of the Underlying Bond because the interest rate is dependent on not only the fixed coupon rate of
the Underlying Bond but also on the short-term interest paid on the Floaters, and because the Inverse Floater essentially bears the risk of loss (and possible gain) of the greater face value of the Underlying Bond.
The Inverse Floater held by a Fund gives the Fund the right to (a) cause the holders of the Floaters to tender their certificates at par (or slightly more than par in certain circumstances), and (b) have the trustee
of the TOB Trust (the “Trustee”) transfer the Underlying Bond held by the TOB Trust to the Fund, thereby collapsing the TOB Trust.
The Fund may acquire an Inverse Floater in a transaction where it (a) transfers an Underlying Bond that it owns to a TOB Trust created by a third party or (b) transfers an Underlying Bond that it owns, or that it
has purchased in a secondary market transaction for the purpose of creating an Inverse Floater, to a TOB Trust created at its direction, and in return receives the Inverse Floater of the TOB Trust (referred to as a “self-deposited Inverse
Floater”). A Fund may also purchase an Inverse Floater in a secondary market transaction from a third party creator of the TOB Trust without first owning the Underlying Bond (referred to as an “externally-deposited Inverse Floater”).
An investment in a self-deposited Inverse Floater is accounted for as a “financing” transaction (i.e., a secured borrowing). For a self-deposited Inverse Floater, the Underlying Bond deposited into the TOB Trust is
identified in the Fund’s Portfolio of Investments as “(UB) – Underlying bond of an inverse floating rate trust reflected as a financing transaction,” with the Fund recognizing as liabilities, labeled “Floating rate obligations” on the Statement
of Assets and Liabilities, (a) the liquidation value of Floaters issued by the TOB Trust, and (b) the amount of any borrowings by the TOB Trust from a Liquidity Provider to enable the TOB Trust to purchase outstanding Floaters in lieu of a
remarketing. In addition, the Fund recognizes in “Investment Income” the entire earnings of the Underlying Bond, and recognizes (a) the interest paid to the holders of the Floaters or on the TOB Trust’s borrowings, and (b) other expenses related
to remarketing, administration, trustee, liquidity and other services to a TOB Trust, as a component of “Interest expense and amortization of offering costs” on the Statement of Operations. Earnings due from the Underlying Bond and interest due
to the holders of the Floaters as of the end of the reporting period are recognized as components of “Receivable for interest” and “Payable for interest” on the Statement of Assets and Liabilities, respectively.
In contrast, an investment in an externally-deposited Inverse Floater is accounted for as a purchase of the Inverse Floater and is identified in the Fund’s Portfolio of Investments as “(IF) – Inverse floating rate
investment.” For an externally-deposited Inverse Floater, a Fund’s Statement of Assets and Liabilities recognizes the Inverse Floater and not the Underlying Bond as an asset, and the Fund does not recognize the Floaters, or any related borrowings
from a Liquidity Provider, as a liability. Additionally, the Fund reflects in “Investment Income” only the net amount of earnings on the Inverse Floater (net of the interest paid to the holders of the Floaters or the Liquidity Provider as lender,
and the expenses of the Trust), and does not show the amount of that interest paid or the expenses of the TOB Trust as described above as interest expense on the Statement of Operations.
Fees paid upon the creation of a TOB Trust for self-deposited Inverse Floaters and externally-deposited Inverse Floaters are recognized as part of the cost basis of the Inverse Floater and are capitalized over the
term of the TOB Trust.
As of the end of the reporting period, the aggregate value of Floaters issued by each Fund’s TOB Trust for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as follows:
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Floating Rate Obligations Outstanding
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NNY
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NYV
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NAN
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NRK
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Floating rate obligations: self-deposited Inverse Floaters
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|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
25,825,000
|
|
|
$
|
30,800,000
|
|
Floating rate obligations: externally-deposited Inverse Floaters
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|
|
—
|
|
|
|
—
|
|
|
|
18,750,000
|
|
|
|
—
|
|
Total
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|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
44,575,000
|
|
|
$
|
30,800,000
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|
68
During the current fiscal period, the average amount of Floaters (including any borrowings from a Liquidity Provider) outstanding, and the average annual interest rate and fees related to self-deposited Inverse
Floaters, were as follows:
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Self-Deposited Inverse Floaters
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|
NNY
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NYV
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|
|
NAN
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NRK
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|
Average floating rate obligations outstanding
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|
$
|
320,000
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|
|
$
|
—
|
|
|
$
|
27,298,913
|
|
|
$
|
31,050,435
|
|
Average annual interest rate and fees
|
|
|
3.25
|
%
|
|
|
—
|
%
|
|
|
1.32
|
%
|
|
|
1.27
|
%
|
TOB Trusts are supported by a liquidity facility provided by a Liquidity Provider pursuant to which the Liquidity Provider agrees, in the event that Floaters are (a) tendered to the Trustee for remarketing and the
remarketing does not occur, or (b) subject to mandatory tender pursuant to the terms of the TOB Trust agreement, to either purchase Floaters or to provide the Trustee with an advance from a loan facility to fund the purchase of Floaters by the
TOB Trust. In certain circumstances, the Liquidity Provider may otherwise elect to have the Trustee sell the Underlying Bond to retire the Floaters that were tendered and not remarketed prior to providing such a loan. In these circumstances, the
Liquidity Provider remains obligated to provide a loan to the extent that the proceeds of the sale of the Underlying Bond is not sufficient to pay the purchase price of the Floaters.
The size of the commitment under the loan facility for a given TOB Trust is at least equal to the balance of that TOB Trust’s outstanding Floaters plus any accrued interest. In consideration of the loan facility,
fee schedules are in place and are charged by the Liquidity Provider(s). Any loans made by the Liquidity Provider will be secured by the purchased Floaters held by the TOB Trust. Interest paid on any outstanding loan balances will be effectively
borne by the Fund that owns the Inverse Floaters of the TOB Trust that has incurred the borrowing and may be at a rate that is greater than the rate that would have been paid had the Floaters been successfully remarketed.
As described above, any amounts outstanding under a liquidity facility are recognized as a component of “Floating rate obligations” on the Statement of Assets and Liabilities by the Fund holding the corresponding
Inverse Floaters issued by the borrowing TOB Trust. As of the end of the reporting period, there were no loans outstanding under any such facility.
Each Fund may also enter into shortfall and forbearance agreements (sometimes referred to as a “recourse arrangement”) (TOB Trusts involving such agreements are referred to herein as “Recourse Trusts”), under which
a Fund agrees to reimburse the Liquidity Provider for the Trust’s Floaters, in certain circumstances, for the amount (if any) by which the liquidation value of the Underlying Bond held by the TOB Trust may fall short of the sum of the liquidation
value of the Floaters issued by the TOB Trust plus any amounts borrowed by the TOB Trust from the Liquidity Provider, plus any shortfalls in interest cash flows. Under these agreements, a Fund’s potential exposure to losses related to or on an
Inverse Floater may increase beyond the value of the Inverse Floater as a Fund may potentially be liable to fulfill all amounts owed to holders of the Floaters or the Liquidity Provider. Any such shortfall amount in the aggregate is recognized as
“Unrealized depreciation on Recourse Trusts” on the Statement of Assets and Liabilities.
As of the end of the reporting period, each Fund’s maximum exposure to the Floaters issued by Recourse Trusts for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as follows:
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Floating Rate Obligations — Recourse Trusts
|
|
NNY
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|
|
NYV
|
|
|
NAN
|
|
|
NRK
|
|
Maximum exposure to Recourse Trusts: self-deposited Inverse Floaters
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
25,825,000
|
|
|
$
|
30,800,000
|
|
Maximum exposure to Recourse Trusts: externally-deposited Inverse Floaters
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|
|
—
|
|
|
|
—
|
|
|
|
13,950,000
|
|
|
|
—
|
|
Total
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
39,775,000
|
|
|
$
|
30,800,000
|
|
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) during the current fiscal period were as follows:
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|
|
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|
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NNY
|
|
|
NYV
|
|
|
NAN
|
|
|
NRK
|
|
Purchases
|
|
$
|
27,943,234
|
|
|
$
|
5,398,749
|
|
|
$
|
98,512,344
|
|
|
$
|
226,599,311
|
|
Sales and maturities
|
|
|
28,502,869
|
|
|
|
3,304,849
|
|
|
|
106,332,970
|
|
|
|
243,909,381
|
|
The Funds may purchase securities on a when-issued or delayed-delivery basis. Securities purchased on a when-issued or delayed-delivery basis may have extended settlement periods; interest income is not accrued
until settlement date. Any securities so purchased are subject to market fluctuation during this period. The Funds have earmarked securities in their portfolios with a current value at least equal to the amount of the when-issued/delayed-delivery
purchase commitments. If a Fund has outstanding when-issued/delayed-delivery purchases commitments as of the end of the reporting period, such amounts are recognized on the Statement of Assets and Liabilities.
69
Notes to Financial Statements (Unaudited) (continued)
Investments in Derivatives
In addition to the inverse floating rate securities in which each Fund may invest, which are considered portfolio securities for financial reporting purposes, each Fund is authorized to invest in certain other
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.
Although the Funds are authorized to invest in derivative instruments and may do so in the future, they did not make any such investments during the current fiscal period.
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 Fund’s exposure to counterparty credit risk in respect to these financial assets approximates their
carrying value as recorded on the Statement of Assets and Liabilities.
Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the
financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any
unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the
unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the pre-determined threshold amount.
5. Fund Shares
Common Share Transactions
Transactions in common shares for the Funds during the Funds’ current and prior fiscal period, where applicable, were as follows:
|
|
|
|
NNY
|
|
Six Months
|
Year
|
|
Ended
|
Ended
|
|
8/31/20
|
2/29/20
|
Common shares:
|
|
|
Issued to shareholders due to reinvestment of distributions
|
1,942
|
12,634
|
Preferred Shares
Adjustable Rate MuniFund Term Preferred Shares
NAN has issued and has outstanding Adjustable Rate MuniFund Term Preferred (“AMTP”) Shares, with a $100,000 liquidation preference per share. AMTP Shares are issued via private placement and are not publicly
available.
The details of NAN’s AMTP Shares outstanding as of the end of the reporting period, were as follows:
|
|
|
|
|
|
|
|
|
Liquidation
|
|
|
|
|
Preference,
|
|
|
|
|
net of
|
|
|
Shares
|
Liquidation
|
deferred
|
Fund
|
Series
|
Outstanding
|
Preference
|
offering costs
|
NAN
|
2028
|
1,470
|
$147,000,000
|
$146,907,165
|
The Fund is obligated to redeem its AMTP Shares by the date as specified in its offering document (“Term Redemption Date”), unless earlier redeemed by the Fund. AMTP Shares are subject to optional and mandatory
redemption in certain circumstances. The AMTP Shares may be redeemed at the option of the Fund, subject to payment of premium for approximately six months following the date of issuance (“Premium Expiration Date”), and at the redemption price per
share thereafter. The redemption price per share is equal to the sum of the liquidation preference per share plus any accumulated but unpaid dividends.
70
AMTP Shares are short-term or short/intermediate-term instruments that pay a variable dividend rate tied to a short-term index, plus an additional fixed “spread” amount which is initially established at the time of
issuance and may be adjusted in the future based upon a mutual agreement between the majority owner and the Fund. From time-to-time the majority owner may propose to the Fund an adjustment to the dividend rate. Should the majority owner and the
Fund fail to agree upon an adjusted dividend rate, and such proposed dividend rate adjustment is not withdrawn, the Fund will be required to redeem all outstanding shares upon the end of a notice period.
In addition, the Fund may be obligated to redeem a certain amount of the AMTP Shares if the Fund fails to maintain certain asset coverage and leverage ratio requirements and such failures are not cured by the
applicable cure date. The Term Redemption Date and Premium Expiration Date for the Fund’s AMTP Shares are as follows:
|
|
|
|
|
|
Notice
|
|
Term
|
Premium
|
Fund
|
Period
|
Series
|
Redemption Date
|
Expiration Date
|
NAN
|
360-day
|
2028
|
December 1, 2028*
|
November 30, 2019
|
* Subject to early termination by either the Fund or the holder.
The average liquidation preference of AMTP Shares outstanding and annualized dividend rate for the Fund during the current fiscal period were as follows:
|
|
|
|
|
|
NAN
|
|
Average liquidation preference of AMTP Shares outstanding
|
|
$
|
147,000,000
|
|
Annualized dividend rate
|
|
|
1.42
|
%
|
AMTP Shares are subject to restrictions on transfer, generally do not trade, and market quotations are generally not available. The fair value of AMTP Shares is expected to be approximately their liquidation
preference so long as the fixed “spread” on the AMTP Shares remains roughly in line with the “spread” being demanded by investors on instruments having similar terms in the current market environment. In present market conditions, the Funds’
Adviser has determined that the fair value of AMTP Shares is approximately their liquidation preference, but their fair value could vary if market conditions change materially. For financial reporting purposes, the liquidation preference of AMTP
Shares is a liability and is recognized as a component of “Adjustable Rate MuniFund Term Preferred (“AMTP”) Shares, net of deferred offering costs” on the Statement of Assets and Liabilities.
AMTP Share dividends are treated as interest payments for financial reporting purposes. Unpaid dividends on AMTP Shares are recognized as a component of “Interest payable” on the Statement of Assets and Liabilities.
Dividends accrued on AMTP Shares are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.
Costs incurred in connection with the Fund’s offering of AMTP Shares were recorded as deferred charges which are amortized over the life of the shares and are recognized as components of “Adjustable Rate MuniFund
Term Preferred (“AMTP”) Shares, net of deferred offering costs” on the Statement of Assets and Liabilities and “Interest expense and amortization of offering costs” on the Statement of Operations.
MuniFund Preferred Shares
NRK has issued and has outstanding MuniFund Preferred (“MFP”) Shares, with a $100,000 liquidation preference per share. These MFP Shares were issued via private placement and are not publically available.
The Fund is obligated to redeem its MFP Shares by the date as specified in its offering documents (“Term Redemption Date”), unless earlier redeemed by the Fund. MFP Shares are initially issued in a pre-specified
mode, however, MFP Shares can be subsequently designated as an alternative mode at a later date at the discretion of the Fund. The modes within MFP Shares detail the dividend mechanics and are described as follows. At a subsequent date, the Fund
may establish additional mode structures with the MFP Share.
• Variable Rate Remarketed Mode (“VRRM”) – Dividends for MFP Shares within this mode will be established by a remarketing agent; therefore, the market value of the MFP Shares
is expected to approximate its liquidation preference. Shareholders have the ability to request a best-efforts tender of its shares upon seven days notice. If the remarketing agent is unable to identify an alternative purchaser, the shares will
be retained by the shareholder requesting tender and the subsequent dividend rate will increase to its step-up dividend rate. If after one consecutive year of unsuccessful remarketing attempts, the Fund will be required to designate an
alternative mode or redeem the shares.
The Fund will pay a remarketing fee on the aggregate principal amount of all MFP Shares while designated in VRRM. Payments made by the Fund to the remarketing agent are recognized as “Remarketing
fees” on the Statement of Operations.
• Variable Rate Mode (“VRM”) – Dividends for MFP Shares designated in this mode are based upon a short-term index plus an additional fixed “spread” amount established at the
time of issuance or renewal / conversion of its mode. At the end of the period of the mode, the Fund will be required to either extend the term of the mode, designate an alternative mode or redeem the MFP Shares.
The fair value of MFP Shares while in VRM are expected to approximate their liquidation preference so long as the fixed “spread” on the shares remains roughly in line with the “spread” being
demanded by investors on instruments having similar terms in the current market. In current market
71
Notes to Financial Statements (Unaudited) (continued)
conditions, the Adviser has determined that the fair value of the shares are approximately their liquidation preference, but their fair value could vary if market conditions change materially.
• Variable Rate Demand Mode (“VRDM”) – Dividends for MFP Shares designated in this mode will be established by a remarketing agent; therefore, the market value of the MFP
Shares is expected to approximate its liquidation preference. While in this mode, shares will have an unconditional liquidity feature that enable its shareholders to require a liquidity provider, which the Fund has entered into a contractual
agreement, to purchase shares in the event that the shares are not able to be successfully remarketed. In the event that shares within this mode are unable to be successfully remarketed and are purchased by the liquidity provider, the dividend
rate will be the maximum rate which is designed to escalate according to a specified schedule in order to enhance the remarketing agent’s ability to successfully remarket the shares. The Fund is required to redeem any shares that are still owned
by a liquidity provider after six months of continuous, unsuccessful remarketing.
The Fund will pay a liquidity and remarketing fee on the aggregate principal amount of all MFP Shares while within VRDM. Payments made by the Fund to the liquidity provider and remarketing agent
are recognized as “Liquidity fees” and “Remarketing fees”, respectively, on the Statement of Operations.
For financial reporting purposes, the liquidation preference of MFP Shares is recorded as a liability and is recognized as a component of “MuniFund Preferred (“MFP”) Shares, net of deferred offering costs” on the
Statement of Assets and Liabilities. Dividends on the MFP shares are treated as interest payments for financial reporting purposes. Unpaid dividends on MFP shares are recognized as a component on “Interest payable” on the Statement of Assets and
Liabilities. Dividends accrued on MFP Shares are recognized as a component of “Interest expense and amortization of offering costs” on the Statement of Operations.
Subject to certain conditions, MFP Shares may be redeemed, in whole or in part, at any time at the option of the Fund. The Fund may also be required to redeem certain MFP shares if the Fund fails to maintain certain
asset coverage requirements and such failures are not cured by the applicable cure date. The redemption price per share in all circumstances is equal to the liquidation preference per share plus any accumulated but unpaid dividends.
Costs incurred in connection with the Fund’s offering of MFP Shares were recorded as deferred charges which are amortized over the life of the shares. These offering costs are recognized as a component of “MuniFund
Preferred (“MFP”) Shares, net of deferred offering costs” on the Statement of Assets and Liabilities and “Interest expense and amortization of offering costs” on the Statement of Operations.
As of the end of the reporting period, details of the Fund’s MFP Shares outstanding were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
Liquidation
|
|
|
|
|
|
|
|
Preference,
|
|
|
|
|
|
Shares
|
Liquidation
|
net of deferred
|
Term
|
|
Mode
|
Fund
|
Series
|
Outstanding
|
Preference
|
offering costs
|
Redemption Date
|
Mode
|
Termination Date
|
NRK
|
A
|
800
|
$80,000,000
|
$79,550,223
|
May 1, 2047
|
VRRM
|
May 1, 2047
|
The average liquidation preference of MFP Shares outstanding and annualized dividend rate for the Fund during the current fiscal period were as follows:
|
|
|
|
|
|
NRK
|
|
Average liquidation preference of MFP Shares outstanding
|
|
$
|
80,000,000
|
|
Annualized dividend rate
|
|
|
1.35
|
%
|
Variable Rate Demand Preferred Shares
The following Funds have issued and have outstanding Variable Rate Demand Preferred (“VRDP”) Shares, with a $100,000 liquidation preference per share. VRDP Shares are issued via private placement and are not
publicly available.
As of the end of the reporting period, NAN and NRK had $88,114,127 and $661,329,567 VRDP Shares at liquidation preference, net of deferred offering costs, respectively. Further details of each Fund’s VRDP Shares
outstanding as of the end of the reporting period, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Remarketing
|
|
|
Liquidation
|
|
|
Fund
|
|
Series
|
|
|
Outstanding
|
|
|
Fees*
|
|
|
Preference
|
|
Maturity
|
NAN
|
|
|
1
|
|
|
|
890
|
|
|
|
0.05
|
%
|
|
$
|
89,000,000
|
|
March 1, 2040
|
NRK
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
|
|
|
1,123
|
|
|
|
0.10
|
%
|
|
$
|
112,300,000
|
|
August 1, 2040
|
|
|
|
2
|
|
|
|
1,648
|
|
|
|
0.10
|
%
|
|
$
|
164,800,000
|
|
August 1, 2040
|
|
|
|
3
|
|
|
|
1,617
|
|
|
|
0.10
|
%
|
|
$
|
161,700,000
|
|
December 1, 2040
|
|
|
|
4
|
|
|
|
500
|
|
|
|
0.10
|
%
|
|
$
|
50,000,000
|
|
June 1, 2040
|
|
|
|
5
|
|
|
|
1,750
|
|
|
|
0.05
|
%
|
|
$
|
175,000,000
|
|
June 1, 2046
|
* Remarketing fees as a percentage of the aggregate principal amount of all VRDP Shares outstanding for each series.
72
VRDP Shares include a liquidity feature that allows VRDP shareholders to have their shares purchased by a liquidity provider with whom each Fund has contracted in the event that the VRDP Shares are not able to be
successfully remarketed. Each Fund is required to redeem any VRDP Shares that are still owned by the liquidity provider after six months of continuous, unsuccessful remarketing. Each Fund pays an annual remarketing fee on the aggregate principal
amount of all VRDP Shares outstanding. Each Fund’s VRDP Shares have successfully remarketed since issuance.
Dividends on the VRDP Shares (which are treated as interest payments for financial reporting purposes) are set at a rate established by a remarketing agent; therefore, the market value of the VRDP Shares is expected
to approximate its liquidation preference. In the event that VRDP Shares are unable to be successfully remarketed, the dividend rate will be the maximum rate which is designed to escalate according to a specified schedule in order to enhance the
remarketing agent’s ability to successfully remarket the VRDP Shares.
Subject to certain conditions, VRDP Shares may be redeemed, in whole or in part, at any time at the option of each Fund. Each Fund may also redeem certain of the VRDP Shares if the Fund fails to maintain certain
asset coverage requirements and such failures are not cured by the applicable cure date. The redemption price per share is equal to the sum of the liquidation preference per share plus any accumulated but unpaid dividends.
The average liquidation preference of VRDP Shares outstanding and annualized dividend rate for each Fund during the current fiscal period were as follows:
|
|
|
|
|
|
|
|
|
NAN
|
|
|
NRK
|
|
Average liquidation preference of VRDP Shares outstanding
|
|
$
|
89,000,000
|
|
|
$
|
663,800,000
|
|
Annualized dividend rate
|
|
|
0.82
|
%
|
|
|
0.80
|
%
|
For financial reporting purposes, the liquidation preference of VRDP Shares is a liability and is recognized as a component of “Variable Rate Demand Preferred (“VRDP”) Shares, net of deferred offering costs” on the
Statement of Assets and Liabilities. Unpaid dividends on VRDP Shares are recognized as a component of “Interest payable” on the Statement of Assets and Liabilities, when applicable. Dividends accrued on VRDP Shares are recognized as a component
of “Interest expense and amortization of offering costs” on the Statement of Operations. Costs incurred by the Funds in connection with their offerings of VRDP Shares were recorded as a deferred charge, which are amortized over the life of the
shares and are recognized as a component of “Variable Rate Demand Preferred (“VRDP”) Shares, net of deferred offering costs” on the Statement of Assets and Liabilities and “Interest expense and amortization of offerings costs” on the Statement of
Operations. In addition to interest expense, each Fund also pays a per annum liquidity fee to the liquidity provider, as well as a remarketing fee, which are recognized as “Liquidity fees” and “Remarketing fees,” respectively, on the Statement of
Operations.
Preferred Share Transactions
The Funds did not have any transactions in preferred shares during the current or prior fiscal period.
6. Income Tax Information
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and to otherwise comply with the
requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required. Furthermore, each Fund intends to satisfy conditions that will enable interest from
municipal securities, which is exempt from regular federal and New York state income taxes, and in the case of NRK the alternative minimum tax applicable to individuals, to retain such tax-exempt status when distributed to shareholders of the
Funds. Net realized capital gains and ordinary income distributions paid by the Funds are subject to federal taxation.
For all open tax years and all major taxing jurisdictions, management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open
tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Funds is also not aware of any tax positions for which it
is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the timing differences in recognizing taxable
market discount, timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate securities reflected as financing transactions, if any. To the extent that
differences arise that are permanent in nature, such amounts are reclassified within the capital accounts as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the NAVs of the
Funds.
73
Notes to Financial Statements (Unaudited) (continued)
The table below presents the cost and unrealized appreciation (depreciation) of each Fund’s investment portfolio, as determined on a federal income tax basis, as of August 31, 2020.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NNY
|
|
|
NYV
|
|
|
NAN
|
|
|
NRK
|
|
Tax cost of investments
|
|
$
|
142,444,810
|
|
|
$
|
33,266,580
|
|
|
$
|
645,432,162
|
|
|
$
|
1,840,206,354
|
|
Gross unrealized:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Appreciation
|
|
$
|
10,242,857
|
|
|
$
|
3,787,285
|
|
|
$
|
51,563,331
|
|
|
$
|
169,282,547
|
|
Depreciation
|
|
|
(248,772
|
)
|
|
|
(26,307
|
)
|
|
|
(1,308,182
|
)
|
|
|
(1,422,066
|
)
|
Net unrealized appreciation (depreciation) of investments
|
|
$
|
9,994,085
|
|
|
$
|
3,760,978
|
|
|
$
|
50,255,149
|
|
|
$
|
167,860,481
|
|
Permanent differences, primarily due to federal taxes paid, taxable market discount and nondeductible offering costs, resulted in reclassifications among the Funds’ components of common share net assets as of
February 29, 2020, the Funds’ last tax year end.
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains as of February 29, 2020, the Funds’ last tax year end, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NNY
|
|
|
NYV
|
|
|
NAN
|
|
|
NRK
|
|
Undistributed net tax-exempt income1
|
|
$
|
458,762
|
|
|
$
|
1,086
|
|
|
$
|
1,815,303
|
|
|
$
|
3,539,423
|
|
Undistributed net ordinary income2
|
|
|
4,426
|
|
|
|
—
|
|
|
|
109,019
|
|
|
|
167,566
|
|
Undistributed net long-term capital gains
|
|
|
—
|
|
|
|
143,851
|
|
|
|
—
|
|
|
|
—
|
|
1 Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividend
declared on February 3, 2020, and paid on March 2, 2020.
2 Net ordinary income consists of taxable market discount income and net short-term capital gains, if any.
The tax character of distributions paid during the Funds’ last tax year ended February 29, 2020 was designated for purposes of the dividends paid deduction as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NNY
|
|
|
NYV
|
|
|
NAN
|
|
|
NRK
|
|
Distributions from net tax-exempt income
|
|
$
|
5,036,413
|
|
|
$
|
1,078,044
|
|
|
$
|
22,519,144
|
|
|
$
|
57,391,580
|
|
Distributions from net ordinary income2
|
|
|
383,031
|
|
|
|
34,498
|
|
|
|
408,337
|
|
|
|
836,663
|
|
Distributions from net long-term capital gains
|
|
|
—
|
|
|
|
553,099
|
|
|
|
—
|
|
|
|
—
|
|
2 Net ordinary income consists of taxable market discount income and net short-term capital gains, if any.
As of February 29, 2020, the Funds’ last tax year end, the following Funds had unused capital losses carrying forward available for federal income tax purposes to be applied against future capital gains, if any. The
capital losses are not subject to expiration.
|
|
|
|
|
|
|
|
|
|
|
|
NNY
|
|
|
NAN3
|
|
|
NRK
|
|
Not subject to expiration:
|
|
|
|
|
|
|
|
|
|
Short-term
|
|
$
|
1,070,031
|
|
|
$
|
10,754,128
|
|
|
$
|
37,364,946
|
|
Long-term
|
|
|
—
|
|
|
|
126,657
|
|
|
|
2,593,075
|
|
Total
|
|
$
|
1,070,031
|
|
|
$
|
10,880,785
|
|
|
$
|
39,958,021
|
|
3 A portion of NAN’s capital loss carryforward is subject to an annual limitation under the Internal Revenue Code and related
regulations.
During the Funds’ last tax year ended February 29, 2020, the Funds utilized capital loss carryforwards as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NNY
|
|
|
NYV
|
|
|
NAN
|
|
|
NRK
|
|
Utilized capital loss carryforwards
|
|
$
|
284,274
|
|
|
$
|
141,481
|
|
|
$
|
2,187,576
|
|
|
$
|
8,779,012
|
|
7. Management Fees and Other Transactions with Affiliates
Management Fees
Each Fund’s management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Sub-Adviser is compensated for its services to the Funds from the
management fees paid to the Adviser.
Each Fund’s 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 and for NNY a gross interest income component. 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.
74
NNY pays an annual fund-level fee, payable monthly, of 0.15% of the average daily net assets of the Fund, as well as 4.125% of the gross interest income (excluding interest on bonds underlying a “self-deposited
inverse floater” trust that is attributed to the Fund over and above the net interest earned on the inverse floater itself) of the Fund.
The annual fund-level fee, payable monthly, for each Fund (excluding NNY) is calculated according to the following schedules:
|
|
|
|
|
|
NYV
|
|
Average Daily Managed Assets*
|
|
Fund-Level Fee Rate
|
|
For the first $125 million
|
|
|
0.4000
|
%
|
For the next $125 million
|
|
|
0.3875
|
|
For the next $250 million
|
|
|
0.3750
|
|
For the next $500 million
|
|
|
0.3625
|
|
For the next $1 billion
|
|
|
0.3500
|
|
For the next $3 billion
|
|
|
0.3250
|
|
For managed assets over $5 billion
|
|
|
0.3125
|
|
|
|
|
|
|
|
|
NAN
|
|
|
|
NRK
|
|
Average Daily Managed Assets*
|
|
Fund-Level Fee Rate
|
|
For the first $125 million
|
|
|
0.4500
|
%
|
For the next $125 million
|
|
|
0.4375
|
|
For the next $250 million
|
|
|
0.4250
|
|
For the next $500 million
|
|
|
0.4125
|
|
For the next $1 billion
|
|
|
0.4000
|
|
For the next $3 billion
|
|
|
0.3750
|
|
For managed assets over $5 billion
|
|
|
0.3625
|
|
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 Fund’s daily managed assets (net
assets for NNY and NYV):
|
|
|
|
Complex-Level Eligible Asset Breakpoint Level*
|
|
Effective Complex-Level Fee Rate at Breakpoint Level
|
|
$55 billion
|
|
|
0.2000
|
%
|
$56 billion
|
|
|
0.1996
|
|
$57 billion
|
|
|
0.1989
|
|
$60 billion
|
|
|
0.1961
|
|
$63 billion
|
|
|
0.1931
|
|
$66 billion
|
|
|
0.1900
|
|
$71 billion
|
|
|
0.1851
|
|
$76 billion
|
|
|
0.1806
|
|
$80 billion
|
|
|
0.1773
|
|
$91 billion
|
|
|
0.1691
|
|
$125 billion
|
|
|
0.1599
|
|
$200 billion
|
|
|
0.1505
|
|
$250 billion
|
|
|
0.1469
|
|
$300 billion
|
|
|
0.1445
|
|
|
* For the complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage
includes the funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets
held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining 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 Adviser’s assumption of the management of the former First American Funds
effective January 1, 2011, but do 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 August 31, 2020, the complex-level fee for each
Fund was 0.1574%.
|
75
Notes to Financial Statements (Unaudited) (continued)
Other Transactions with Affiliates
Each Fund is permitted to purchase or sell securities from or to certain other funds or accounts managed by the Sub-Adviser (“Affiliated Entity”) under specified conditions outlined in procedures adopted by the
Board (“cross-trade”). These procedures have been designed to ensure that any cross-trade of securities by the Fund from or to an Affiliated Entity by virtue of having a common investment adviser (or affiliated investment adviser), common officer
and/or common trustee complies with Rule 17a-7 under the 1940 Act. These transactions are effected at the current market price (as provided by an independent pricing service) without incurring broker commissions.
During the current fiscal period, the Funds engaged cross-trades pursuant to these procedures as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Cross-Trades
|
|
NNY
|
|
|
NYV
|
|
|
NAN
|
|
|
NRK
|
|
Purchases
|
|
$
|
2,679,358
|
|
|
$
|
624,713
|
|
|
$
|
26,923,548
|
|
|
$
|
68,018,758
|
|
Sales
|
|
|
1,985,820
|
|
|
|
397,164
|
|
|
|
27,000,008
|
|
|
|
64,759,504
|
|
8. Borrowing Arrangements
Committed Line of Credit
The Funds, along with certain other funds managed by the Adviser (“Participating Funds”), have established a 364-day, $2.405 billion standby credit facility with a group of lenders, under which the Participating
Funds may borrow for various purposes other than leveraging for investment purposes. Each Participating Fund is allocated a designated proportion of the facility’s capacity (and its associated costs, as described below) based upon a multi-factor
assessment of the likelihood and frequency of its need to draw on the facility, the size of the Fund and its anticipated draws, and the potential importance of such draws to the operations and well-being of the Fund, relative to those of the
other Funds. A Fund may effect draws on the facility in excess of its designated capacity if and to the extent that other Participating Funds have undrawn capacity. The credit facility expires in June 2021 unless extended or renewed.
The credit facility has the following terms: a 0.10% upfront fee, 0.15% per annum on unused commitment amounts and a drawn interest rate equal to the higher of (a) one-month LIBOR (London Inter-Bank Offered Rate)
plus 1.25% (1.00% prior to June 24, 2020) per annum or (b) the Fed Funds rate plus 1.25% (1.00% prior to June 24, 2020) per annum on amounts borrowed. Participating Funds paid administration, legal and arrangement fees, which are recognized as a
component of “Other expenses” on the Statement of Operations, and along with commitment fees, have been allocated among such Participating Funds based upon the relative proportions of the facility’s aggregate capacity reserved for them and other
factors deemed relevant by the Adviser and the Board of each Participating Fund.
During the current fiscal period, the following Fund utilized this facility. The Fund’s maximum outstanding balance during the utilization period was as follows:
|
|
|
|
|
|
NRK
|
|
Maximum outstanding balance
|
|
$
|
27,400,000
|
|
During the Fund’s utilization period(s) during the current fiscal period, the average daily balance outstanding and average annual interest rate on the Borrowings were as follows:
|
|
|
|
|
|
NRK
|
|
Utilization period (days outstanding)
|
|
|
31
|
|
Average daily balance outstanding
|
|
$
|
17,606,452
|
|
Average annual interest rate
|
|
|
2.01
|
%
|
Borrowings outstanding as of the end of the reporting period are recognized as “Borrowings” on the Statement of Assets and Liabilities. NNY, NYV and NAN did not utilize this facility during the current fiscal
period.
Inter-Fund Borrowing and Lending
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting registered open-end and closed-end Nuveen funds to participate in an inter-fund lending facility whereby the Nuveen funds may
directly lend to and borrow money from each other for temporary purposes (e.g., to satisfy redemption requests or when a sale of securities “fails,” resulting in an unanticipated cash shortfall) (the “Inter-Fund Program”). The closed-end Nuveen
funds, including the Funds covered by this shareholder report, will participate only as lenders, and not as borrowers, in the Inter-Fund Program because such closed-end funds rarely, if ever, need to borrow cash to meet redemptions. The
Inter-Fund Program is subject to a number of conditions, including, among other things, the requirements that (1) no fund may borrow or lend money through the Inter-Fund Program unless it receives a more favorable interest rate than is typically
available from a bank or other financial institution for a comparable transaction; (2) no fund may borrow on an unsecured basis through the Inter-Fund Program unless the fund’s outstanding borrowings from all sources immediately after the
inter-fund borrowing total 10% or less of its total assets; provided that if the borrowing fund has a secured borrowing outstanding from any other lender, including
76
but not limited to another fund, the inter-fund loan must be secured on at least an equal priority basis with at least an equivalent percentage of collateral to loan value; (3) if a fund’s total outstanding
borrowings immediately after an inter-fund borrowing would be greater than 10% of its total assets, the fund may borrow through the inter-fund loan on a secured basis only; (4) no fund may lend money if the loan would cause its aggregate
outstanding loans through the Inter-Fund Program to exceed 15% of its net assets at the time of the loan; (5) a fund’s inter-fund loans to any one fund shall not exceed 5% of the lending fund’s net assets; (6) the duration of inter-fund loans
will be limited to the time required to receive payment for securities sold, but in no event more than seven days; and (7) each inter-fund loan may be called on one business day’s notice by a lending fund and may be repaid on any day by a
borrowing fund. In addition, a Nuveen fund may participate in the Inter-Fund Program only if and to the extent that such participation is consistent with the fund’s investment objective and investment policies. The Board is responsible for
overseeing the Inter-Fund Program.
The limitations detailed above and the other conditions of the SEC exemptive order permitting the Inter-Fund Program are designed to minimize the risks associated with Inter-Fund Program for both the lending fund
and the borrowing fund. However, no borrowing or lending activity is without risk. When a fund borrows money from another fund, there is a risk that the loan could be called on one day’s notice or not renewed, in which case the fund may have to
borrow from a bank at a higher rate or take other actions to payoff such loan if an inter-fund loan is not available from another fund. Any delay in repayment to a lending fund could result in a lost investment opportunity or additional borrowing
costs.
During the current reporting period, none of the Funds covered by this shareholder report have entered into any inter-fund loan activity.
77
Shareholder Update (Unaudited)
Changes Occurring During the Reporting Period
The following information in this semi-annual report is a summary of certain changes during the reporting period. This information may not reflect all of the changes that have occurred since you
purchased shares of a Fund
Amended and Restated By-Laws
On October 5, 2020, after a rigorous and deliberative review, and consistent with the interests of each Fund’s long-term shareholders, the Board of Trustees of NYV, NAN and NRK each adopted Amended and Restated
By-Laws.
Among other changes, the Amended and Restated By-Laws require compliance with certain amended deadlines and procedural and informational requirements in connection with advance notice of shareholder proposals or
nominations, including certain information about the proponent and the proposal, or in the case of a nomination, the nominee. Any shareholder considering making a nomination or other proposal should carefully review and comply with those
provisions of the Amended and Restated By-Laws.
The Amended and Restated By-Laws also include provisions (the “Control Share By-Law”) pursuant to which, in summary, a shareholder who obtains beneficial ownership of common shares of a Fund in a “Control Share
Acquisition” may exercise voting rights with respect to such shares only to the extent the authorization of such voting rights is approved by other shareholders of the Fund. The Control Share By-Law is primarily intended to protect the interests
of the Fund and its long-term shareholders by limiting the risk that the Fund will become subject to undue influence by opportunistic traders pursuing short-term agendas adverse to the best interests of the Fund and its long-term shareholders.
The Control Share By-Law does not eliminate voting rights for common shares acquired in Control Share Acquisitions, but rather entrusts the Fund’s other “non-interested” shareholders with determining whether to approve the authorization of the
voting rights of the person acquiring such shares.
Subject to various conditions and exceptions, the Control Share By-Law defines a “Control Share Acquisition” to include an acquisition of common shares that, but for the Control Share By-Law, would give the
beneficial owner, upon the acquisition of such shares, the ability to exercise voting power in the election of Trustees of a Fund in any of the following ranges:
(i)
|
one-tenth or more, but less than one-fifth of all voting power;
|
(ii)
|
one-fifth or more, but less than one-third of all voting power;
|
(iii)
|
one-third or more, but less than a majority of all voting power; or
|
(iv)
|
a majority or more of all voting power.
|
The Control Share By-Law generally excludes certain acquisitions of common shares from the definition of a Control Share Acquisition, including acquisitions of common shares that occurred prior to October 5, 2020,
though such shares are included in assessing whether any subsequent share acquisition exceeds one of the enumerated thresholds.
Subject to certain conditions and procedural requirements set forth in the Control Share By-Law, including the delivery of a “Control Share Acquisition Statement” to the Funds’ Secretary setting forth certain
required information, a shareholder who obtains or proposes to obtain beneficial ownership of common shares in a Control Share Acquisition generally may demand a special meeting of shareholders for the purpose of considering whether the voting
rights of such acquiring person with respect to such shares shall be authorized.
This discussion is only a high-level summary of certain aspects of the Amended and Restated By-Laws, and is qualified in its entirety by reference to the Amended and Restated By-Laws. Shareholders should refer to
the Amended and Restated By-Laws for more information. A copy of the Amended and Restated By-Laws can be found in the Current Report on Form 8-K filed by the applicable Funds with the Securities and Exchange Commission on October 6, 2020, which
is available at www.sec.gov, and may also be obtained by writing to the Secretary of the Funds at 333 West Wacker Drive, Chicago, Illinois 60606.
78
Additional Fund
Information