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3

Chairman’s Letter
to Shareholders

Dear Shareholders,

The worries weighing on markets at the end of 2018 appeared to dissipate in early 2019 as positive economic and corporate earnings news, more dovish signals from central banks and trade progress boosted investor confidence. However, political noise and trade disputes continue to drive short-term market volatility and weigh on longer-term outlooks. Investors are concerned that increased tariffs and a protracted stalemate between the U.S. and its trading partners could dampen business and consumer sentiment, weakening spending and potentially impacting the global economy. Additionally, political uncertainty and the risk of policy error appear elevated. In the U.S. in particular, low interest rate levels and the widening federal deficit have constrained the available policy tools for countering recessionary pressures. As the current U.S. economic expansion has reached the 10-year mark this summer, it’s important to note that economic expansions don’t die of old age, but mature economic cycles can be more vulnerable to an exogenous shock.

Until a clearer picture on trade emerges, more bouts of market turbulence are likely in the meantime. While the downside risks warrant careful monitoring, we believe the likelihood of a near-term recession remains low. Global economic growth is moderating, with demand driven by the historically low unemployment in the U.S., Japan and across Europe. Central banks across the developed world continue to emphasize their readiness to adjust policy, and China’s authorities remain committed to keeping economic growth rates steady with fiscal and monetary policy.

The opportunity set may be narrower, but we believe there is still scope for gains in this environment. Patience and maintaining perspective can help you weather periodic market volatility. We encourage you to work with your financial advisor to assess short-term market movements in the context of your time horizon, risk tolerance and investment goals. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

Terence J. Toth
Chairman of the Board
July 23, 2019

4

Portfolio Managers’ Comments

Nuveen Georgia Quality Municipal Income Fund (NKG)
Nuveen Maryland Quality Municipal Income Fund (NMY)
Nuveen Minnesota Quality Municipal Income Fund (NMS)
Nuveen Missouri Quality Municipal Income Fund (NOM)
Nuveen North Carolina Quality Municipal Income Fund (NNC)
Nuveen Virginia Quality Municipal Income Fund (NPV)

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

During May 2019, the Board of Trustees approved the merger of the Nuveen North Carolina Quality Municipal Income Fund (NNC) to the acquiring Fund, the Nuveen AMT-Free Quality Municipal Income Fund (NEA). In order for the reorganization to occur, it must be approved by shareholders.

What factors affected the U.S. economy and the national municipal market during the twelve-month reporting period ended May 31, 2019?

The U.S. economy continued its solid expansion, with economic activity rebounding in early 2019 after a slump at the end of 2018. In the first quarter of 2019, gross domestic product (GDP), which measures the value of goods and services produced by the nation’s economy less the value of the goods and services used up in production, adjusted for price changes, grew at an annualized rate of 3.1%, according to the Bureau of Economic Analysis “second” estimate. A jump in exports and a buildup of inventories helped offset slower consumer and business spending in the first three months of 2019. For the full year 2018, U.S. GDP growth came in at 2.9%, as economic activity cooled over the second half of 2018 after peaking at 4.2% (annualized) in the second quarter of 2018.

Consumer spending, the largest driver of the economy, remained well supported by low unemployment, wage gains and tax cuts. As reported by the Bureau of Labor Statistics, the unemployment rate fell to 3.6% in May 2019 from 3.8% in May 2018 and job gains averaged around 196,000 per month for the past twelve months. As the jobs market has tightened, average hourly earnings grew at

 

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

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

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

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

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

5

Portfolio Managers’ Comments (continued)

an annualized rate of 3.1% in May 2019. However, falling energy prices led to a slower rate of inflation over the past twelve months. The Consumer Price Index (CPI) increased 1.8% over the twelve-month reporting period ended May 31, 2019 before seasonal adjustment, as reported by the Bureau of Labor Statistics.

Low mortgage rates and low inventory drove home prices higher during this economic cycle. But the pace of price increases has slowed along with declining new home sales and housing starts. The S&P CoreLogic Case-Shiller U.S. National Home Price Index, which covers all nine U.S. census divisions, was up 3.5% year-over-year in April 2019 (most recent data available at the time this report was prepared). The 10-City and 20-City Composites reported year-over-year increases of 2.3% and 2.5%, respectively.

As some data began pointing to slower momentum in the overall economy, the Federal Reserve (Fed) notably shifted its stance. From December 2015 through December 2018, the Fed had gradually lifted its main policy interest rate to prevent the economy from overheating. In its final meeting of 2018, the Fed indicated that two more rate hikes might be forthcoming in 2019, roiling the markets, which had expected a more dovish tone. However, as more recent data revealed a mixed picture of the economy, the Fed said it would adopt a more “patient” approach, signaling the possibility of no rate hikes in 2019. Markets began to speculate that the Fed’s next move would be a rate cut, rather than a rate increase, particularly after trade tensions intensified between the U.S. and China. However, the minutes from the Fed’s April 30-May 1 meeting showed that the Fed was in no hurry to make any policy adjustment. The Fed kept rates unchanged in its first three policy meetings of 2019, as expected, and in March announced its plan to discontinue rolling assets off its balance sheet.

During the twelve-month reporting period, geopolitical news remained a prominent market driver. Tariff and trade policy topped the list of concerns. Hope for a China-U.S. trade deal dimmed after the latest round of negotiations ended with an impasse and both countries levied tariff increases. Additionally, the U.S. blacklisted Chinese company Huawei, banning companies from doing business with the telecom giant without U.S. government approval. In response, China announced its own “Unreliable Entity” list. Further roiling markets was President Trump’s surprise announcement that he would impose tariffs on Mexico if the country didn’t take more action to curb illegal immigration. (Subsequent to the end of the reporting period, the two countries announced a joint agreement and the U.S. administration suspended its tariff plan.) Meanwhile, as agreed in July 2018, the U.S. and the European Union continued to withhold further tariffs. Later in 2018, the U.S., Mexico and Canada agreed to a new trade deal to replace the North American Free Trade Agreement, but it has not yet been ratified by the countries’ legislatures. With no clear path forward on U.S.-China trade policy, markets grew increasingly worried that trade conflicts would dampen global growth, as negative sentiment could inhibit business, consumer and investor confidence and spending.

In the U.K., Prime Minister Theresa May was unable to secure a Brexit deal before the original March 29, 2019 deadline. The European Union extended the deadline to October 31, 2019, and Prime Minister May announced she would resign effective June 7, 2019, raising the possibility that her successor could favor a no-deal Brexit. Europe also contended with Italy’s euroskeptic coalition government and its challenging fiscal condition, the “yellow vest” protests in France, immigration policy concerns, Russian sanctions and political risk in Turkey.

Elections around the world also remained a source of uncertainty. Investors grew more skeptical that Brazil’s newly elected president could deliver reforms, while some of the market’s initial fears about Mexico’s new president subsided. Europe’s traditional centrist parties lost seats in the Parliamentary elections and populist parties saw marginal gains. The ruling parties in India and South Africa maintained their majorities, where slower economic growth could complicate their respective reform mandates.

The twelve-month reporting period began on a weak note for municipal bonds but turned strongly positive in the second half of the period. With the economy strengthening and the labor market tightening throughout the second half of 2018, the Fed continued to increase its main policy interest rate. The prevailing economic outlook was generally positive, driving the 10-year U.S. Treasury yield to a high of 3.24% in November 2018. However, interest rates declined significantly over the remainder of the reporting period on signs of a weaker macroeconomic environment, more dovish central bank policy, geopolitical tensions (especially regarding trade)

6

and bouts of equity market volatility. The U.S. Treasury yield curve flattened overall, with a portion of the curve inverting. However, the municipal yield curve “twisted” by flattening at the short end and steepening at the long end of the curve.

Along with the falling interest rate environment, favorable supply-demand conditions were supportive of municipal bond performance. Issuance has been subdued since the passage of the Tax Cuts and Jobs Act of 2017. Because new issue advance refunding bonds are no longer tax exempt under the new tax law, the total supply of municipal bonds has decreased, boosting the scarcity value of existing municipal bonds. Municipal bond gross issuance nationwide totaled $338.6 billion in this reporting period, a 19.2% decrease from the issuance for the twelve-month reporting period ended May 31, 2018. Nevertheless, the overall low level of interest rates encouraged issuers to continue to actively refund their outstanding debt. In these transactions the issuers are issuing new bonds and taking the bond proceeds and redeeming (calling) old bonds. These refunding transactions have ranged from 40% to 60% of total issuance over the past few years. Thus, the net issuance (all bonds issued less bonds redeemed) is actually much lower than the gross issuance. So, while gross issuance volume has been strong, the net has not, and this was an overall positive technical factor on municipal bond investment performance in recent years. Although the pace of refundings is slowing, net negative issuance is expected to continue.

Low global interest rates have continued to drive investors toward higher after-tax yielding assets, including U.S. municipal bonds. The Fed’s pivot to a more dovish stance in early 2019 also brought investors back to fixed income markets, including municipal bonds, driving large inflows into the asset class in the early months of 2019. Additionally, as tax payers have begun to assess the impact of the 2017 tax law, which caps the state and local tax (SALT) deduction for individuals, there has been increased demand for tax-exempt municipal bonds in 2019 to date, especially in states with high income and/or property taxes.

What were the economic and market conditions in Georgia, Maryland, Minnesota, Missouri, North Carolina and Virginia during the twelve-month reporting period ended May 31, 2019?

The Georgia economy fared well in 2018, with year-over-year employment growth of 2.1% and real GDP growth of 2.6%. The pace of growth has slowed a bit through the first several months of 2019, but the unemployment rate for May 2019 remains favorable at 3.8%. The tight labor market should prompt faster growth in wages and salaries, which increased 4.5% in 2018. The state’s primary economic engine is the Atlanta metropolitan area, which has been adding jobs and attracting businesses in a diverse range of industries. Construction and the education and health services sectors are among the fastest-growing in the state’s economy. Georgia’s rising incomes bode well for the housing market. Home prices in the Atlanta region rose 4.9% year-over-year, as of April 2019 (most recent data available at the time this report was prepared), and outpaced the national average of 3.5%, according to the S&P CoreLogic Case-Shiller Index. Georgia is the eleventh-largest export state and seventh-largest import state. Because Georgia has a substantial trade and distribution network and is home to large manufacturing and agriculture industries, its economy is at greater risk from ongoing trade tensions or a full-blown trade war. Strong economic growth has driven robust revenue growth for Georgia, with fiscal year-to-date net tax collections up 5% through April 2019, compared to the previous fiscal year. The revenue outperformance has contributed to the persistent build-up in the state’s rainy day fund, the Revenue Shortfall Reserve. The fund stands at $2.55 billion, or 10.5% of 2019 general fund revenues, a substantial increase from its post-recession low of $103 million in 2009. Georgia’s Fiscal Year 2020 budget is structurally balanced. The $27.5 billion state budget projects a conservative 2.2% increase in general fund revenues above the Fiscal Year 2019 amended budget, with the majority of new spending dedicated to a $530 million teacher pay raise. Georgia has $10.3 billion of net tax-supported debt outstanding, which represents 2.4% of personal income. The Moody’s 50-state median is 2.3% of personal income. Georgia’s pension liabilities are below average, so the state’s combined net debt and net pension liability are lower than the majority of states. As of June 2019 (subsequent to the end of the reporting period), Georgia’s general obligation debt continued to be rated Aaa/AAA/AAA with stable outlooks from Moody’s, S&P and Fitch, respectively. For the twelve months ended May 31, 2019, municipal gross issuance in Georgia totaled $6.2 billion, a gross issuance decrease of 35.8% from the twelve months ended May 31, 2018.

7

Portfolio Managers’ Comments (continued)

Maryland’s economy has historically benefited from its proximity to the nation’s capital through job growth and drawing high income earners as residents. However, the state’s closeness to Washington D.C. means a greater dependency on federal employment than in most states, leaving it vulnerable to future federal cost-cutting. Government employment accounts for nearly 19% of all state employment. Maryland has one of the nation’s best educated workforces, which has facilitated the development of advanced technology and the growth of public and private research facilities. Combined with the influence of the government sector and the presence of over 50 universities, this has made Maryland a center for national security and medical and biomedical research. Per capita income within the state is 125% of the U.S. average, and the median home value of $297,000 is 153% of the U.S. median. As of May 2019, the state’s unemployment rate registered 3.8%, modestly higher than the national rate of 3.6%. Over the near-term we anticipate employment gains to be driven by private services and more specifically within tech and transportation. The state has implemented various financial controls which add stability to its overall financial profile. Among them are five-year budget forecasts, constraining debt maturities to no more than 15 years, and restricting debt to no more than 4% of personal income and debt service to within 8% of revenues. Also, the rainy day fund has various mandated controls governing how much must be deposited or how much can be removed, in any given year. Prudent fiscal management is further exemplified by the state’s history of enacting mid-year expenditure cuts to address budgetary shortfalls. In Fiscal Year 2018 the Board of Public Works addressed the mid-year shortfall through $67 million in general fund agency reductions. The March 2019 Board of Revenues Estimate reduced the December 2019 forecast by $138 million in Fiscal Year 2019 and by $131 million in Fiscal Year 2020, but projected year-over-year revenue growth is still favorable at 3.2% in Fiscal Year 2019 and 3.1% in Fiscal Year 2020. The $46.7 billion budget for Fiscal Year 2020 includes a 3% salary increase for state workers (5% for law enforcement), $500 million for school construction and $320 million in funding recommendation coming out of the Kirwan Commission education report, while also keeping more than $1.2 billion in cash reserves. As of May 2019, Moody’s, S&P and Fitch rated Maryland general obligation debt at Aaa/AAA/AAA with stable outlooks. During the twelve months ended May 31, 2019, municipal issuance in the state totaled $6.4 billion, a gross issuance decrease of 38.1% from the previous twelve months.

Minnesota’s economic growth lagged the national growth rate in 2018 with Minnesota’s GDP growing 2.2%, but it outpaced its regional peers, ranking as the 22nd fastest growing state economy. Minnesota’s GDP growth was driven by gains in the wholesale trade, information and durable goods manufacturing sectors. As of May 2019, Minnesota’s unemployment rate of 3.3% was below the national rate of 3.6%. Minnesota’s budget is on a two-year cycle. The governor recently signed the state’s $48 billion budget. The budget includes $700 million in new revenues through federal tax conformity provisions, property tax relief to local governments and a 2% increase on the basic funding formula for education. Moody’s recently affirmed the state’s Aa1 rating and stable outlook on April 19, 2019. S&P upgraded the state’s rating to AAA with stable outlook on July 25, 2018. For the twelve months ended May 31, 2019, municipal issuance in Minnesota totaled $7.4 billion, representing a 3.5% gross issuance increase from the twelve months ended May 31, 2018.

Missouri’s economic growth is outpacing its Midwestern peers but still lags national economic growth. After previously ranking as the 37th lowest state for GDP growth, Missouri’s ranking improved to 20th. The state’s GDP grew 2.3% in 2018 compared to national GDP growth of 2.9%. As of May 2019, Missouri’s unemployment rate of 3.3% remains below the national unemployment rate of 3.6%, though this is partially due to a contraction of the labor force. The state saw growth in the following sectors: wholesale trade, information, and durable and non-durable goods manufacturing. The Missouri Constitution requires that the state pass a balanced budget. In June 2019, the governor signed the state’s $30 billion budget that includes a $60 million increase in public school funding, a significant increase of funding to higher education institutions after previous cuts. Moody’s, S&P and Fitch rate Missouri general obligation debt at Aaa/AAA/AAA and all have stable outlooks. For the twelve months ended May 31, 2019, municipal issuance in Missouri totaled $4.0 billion, representing a 42.0% gross issuance decrease from the twelve months ended May 31, 2018.

8

North Carolina’s economic growth was up year-over-year with real GDP increasing 2.9% over Fiscal Year 2017, ranking it 12th among all states. As the state’s economy transitions away from old-line manufacturing into sectors oriented toward research, technology and services, the roles of the state’s high quality universities and research triangle will continue to gain importance. While booming investment in and around the research triangle and ongoing strength in the banking sector will be the predominant drivers of economic growth over the near term, the federal government continues to be one of the largest employers in the state. Fort Bragg and Camp Lejeune alone employ more than 111,000 workers. As of May 2019, the state’s unemployment rate of 4.1% exceeded the national average of 3.6%. According to the S&P/Case-Shiller Index of 20 major metropolitan areas, housing prices in Charlotte rose 4.2% during the twelve months ended April 2019 (most recent data available at the time this report was prepared). North Carolina’s constitution constrains the amount of general obligation debt the state can issue in any biennium. This has resulted in a relatively low debt burden when compared to many of its peers. Moody’s April 2018 state debt median report notes that North Carolina ranked 37th for net tax-supported debt per capita and 35th as a percent of personal income. Strong financial performance continued in Fiscal Year 2018 with the state incurring a $988 million general fund surplus, which increased the general fund balance to $5.4 billion. The Fiscal Year 2018 surplus was primarily driven by the solid 5.5% increase in personal income tax revenue collections. Going forward, we expect the state’s overall credit profile to remain strong, driven by continued economic growth and prudent fiscal management. As of May 2019, Moody’s, S&P and Fitch rated North Carolina general obligation debt at Aaa/AAA/AAA with stable outlooks. During the twelve months ended May 31, 2019, municipal issuance in North Carolina totaled $5.9 billion, a gross issuance decrease of 7.7% from the previous twelve months.

Virginia’s economy is led by government, professional and business services, and its proximity to the Washington D.C. area has historically provided stability in the northern portion of the state. In 2018, the gross state product for Virginia grew 2.8% compared to 1.8% the prior year, improving its ranking from 19th to 13th among all states. The state continues to benefit from strong socioeconomic demographics with per capita income at 116% of the national average and the median home value of $256,000 is 132% of the U.S. median. Additionally, the state’s May 2019 unemployment rate of 3.0% is below the national average of 3.6%. According to the S&P/Case-Shiller Index of 20 major metropolitan areas, housing prices in the Washington D.C. area rose 2.6% during the twelve months ended April 2019 (most recent data available at the time this report was prepared). The state has a history of conservative fiscal management and is committed to maintaining structurally balanced operations and rebuilding reserves. General fund revenue growth in Fiscal Year 2018 exceeded projections, leading to a $555.5 million budgetary-basis surplus and total general fund revenues are expected to grow by an additional 3.3% in Fiscal Year 2019 and by 5.0% in Fiscal Year 2020. Total reserves at the end of Fiscal Year 2020 are anticipated to reach an all-time high of $1.4 billion. The state’s debt profile is now about average after increased leveraging the past several years, most of which was for transportation and higher education. The state’s overall debt metrics are in line with U.S. state averages; the Commonwealth ranks 19th in net tax-supported debt per capita and as a percent of personal income. Notably, only about 11% of outstanding debt carries the general obligation pledge; the remaining is subject to appropriation. As of May 2019, Moody’s, S&P and Fitch rated Virginia general obligation debt at Aaa/AAA/AAA with stable outlooks. During the twelve months ended May 31, 2019, issuance in Virginia totaled $5.5 billion, a gross issuance decrease of 46.8% from the previous twelve months.

What key strategies were used to manage these Funds during the twelve-month reporting period ended May 31, 2019?

Municipal bonds benefited from fundamental and technical tailwinds in this reporting period. Falling interest rates, favorable credit conditions, strong municipal bond demand and low supply propelled municipal bond returns higher in the reporting period. All six states’ municipal markets performed well but lagged the stronger performance of the national market. During this time, we continued to take a bottom-up approach to discovering sectors that appeared undervalued as well as individual credits that we believed had the potential to perform well over the long term.

9

Portfolio Managers’ Comments (continued)

Our trading activity continued to focus on pursuing the Funds’ investment objectives. We continued to seek bonds in areas of the market that we expected to perform well as the economy continued to improve. While the supply available in each state varied, to the extent possible, the Funds’ overall positioning emphasized intermediate and longer maturities, lower rated credits and sectors offering higher yields. The Funds took advantage of higher prevailing interest rates in the third and fourth quarters of 2018, which presented favorable conditions to sell some depreciated bonds and buy similarly structured, higher yielding bonds. These bond exchanges helped boost tax efficiencies, as the loss on the depreciated bonds we sold can be used to offset capital gains in the future, and helped increase the Fund’s income distribution capabilities.

After adjusting NKG’s and NNC’s portfolios in the first half of the reporting period – adding tender option bonds (TOBs) to reduce leverage costs and increased exposure to out-of-state paper with greater long-term total return potential, we were comfortable with their positioning throughout the second half of the reporting period. In the second half of the reporting period, we largely worked to reinvest the proceeds from called and maturing bonds in both Funds. In NKG, we bought longer-maturity Atlanta Water and Sewer revenue bonds, shorter-dated prepaid gas put bonds and Municipal Electric Authority of Georgia Power revenue bonds. We sold a depreciated bond with a low embedded yield to buy Puerto Rico sales tax bonds known as COFINAs. NNC bought shorter call structures and high credit qualities, including Charlotte Water and Sewer, Union County Water and Sewer, public higher education (University of North Carolina Charlotte, University of North Carolina Greensboro and North Carolina Agricultural and Technical State University), health care (WakeMed, Vidant Health). The North Carolina Fund also added Puerto Rico COFINA bonds.

In Maryland and Virginia, the Funds’ credit rating allocations drifted modestly higher as attractive relative value opportunities were shrinking due to narrowing credit spreads in the second half of the reporting period. NMY added bonds from both the new issue and secondary markets, including issues for Maryland housing, Baltimore Wastewater, Baltimore City Storm Water, Lutheran Diakon continuing care retirement facility and tax increment financing for an airport project. We funded these purchases mostly from the proceeds of called and maturing bonds. We also trimmed NMY’s Buckeye Tobacco position to buy COFINA bonds. The drift toward higher credit quality was more pronounced in the Virginia Fund than in the Maryland Fund. However, NPV’s weighting in BBB rated bonds increased after S&P’s methodology change caused a downgrade in Guam Section 30 bonds held by the Fund. In the second half of the reporting period, NPV bought a new issue for Virginia single-family housing and secondary market purchases in Fort Norfolk Retirement (a continuing care facility), Hampton Roads Wastewater (a non-rated/high yield bond) and Virginia Electric and Power Company credits.

Missouri saw a significant decline in municipal bond issuance during the twelve-month reporting period. In Minnesota, issuance was heavy late in 2018 but fell considerably during the second half of the reporting period. NMS took advantage of the Fall 2018 supply in the health care sector by adding exposure to credits such as Essentia Health, CentraCare Health System and Fairview Health Services. The Fund also purchased a number of positions in charter schools as well as some Brainerd Independent School District general obligation (GO) bonds. We would also note that NMS’s weighting in AAA rated bonds increased during the reporting period because of credit ratings upgrades. S&P raised its ratings to AAA for Minnesota GO bonds and for a state school district program utilized by many local school districts to enhance their credit ratings. In Missouri, supply weakened materially throughout the entire reporting period. During the second half of the reporting period, we bought senior living facility bonds issued for Lutheran Senior Services, a higher education credit issued for St. Louis University as well as a number of higher quality GO’s.

How did the Funds perform during the twelve-month reporting period ended May 31, 2019?

The tables in each Fund's Performance Overview and Holding Summaries section of this report provide the Funds’ total returns for the one-year, five-year and ten-year periods ended May 31, 2019. Each Fund's total returns at common share net asset value (NAV) are compared with the performance of corresponding market indexes.

For the twelve-month reporting period ended May 31, 2019, the total return at common share NAV for all six Funds outperformed their respective state’s S&P Municipal Bond Index and the national S&P Municipal Bond Index.

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

Duration and yield curve positioning was the largest contributor to performance for the six Funds. The Funds maintained longer durations than their benchmarks, which was advantageous in the falling interest rate environment, and held overweight allocations to longer duration bonds, which outperformed in this reporting period. NKG and NNC also benefited from underweight allocations to shorter duration paper, which underperformed, while overweight allocations to short duration bonds in NMY, NPV and NMS were modestly detrimental to performance. NPV’s underweight allocation to the 6- to 8-year duration range also detracted from performance, but the Fund’s exposure to longer duration bonds more than compensated for the loss.

Performance across credit ratings categories during this reporting period was driven by narrowing credit spreads, which lifted lower rated bonds. High grade (AAA and AA rated) bonds lagged, by comparison. For all Funds except NNC, credit ratings allocations were a positive contributor to performance. NKG was most helped by its overweight allocation to BBB rated credits and underweight allocation to AAA rated paper. NMY’s largest overweight in terms of credit ratings was in BBB rated bonds (which are dominated by health care issues in Maryland), which added value. Additionally, the Maryland Fund’s underweights to AAA, AA and single A rated credits boosted performance. For NMS and NOM, credit ratings allocations had a mildly positive impact on performance, attributable to their overweight allocations to single A, BBB and BB rated bonds. NNC’s credit ratings allocations were a marginal detractor from performance, mainly due to the underperformance of its AAA exposure. NPV’s overweight to the BBB rated category (which is largely composed of transportation bonds in Virginia) and underweight to AAA rated issues outperformed.

Sector performance was mixed during this reporting period. Sectors composed of shorter dated, high quality bonds such as the pre-refunded and tax-supported sectors lagged. Conversely, sectors skewed toward longer maturity and lower rated bonds tended to perform better, including health care, higher education and transportation, but the tobacco sector was a notable exception. Despite offering higher yields and lower credit qualities, tobacco settlement bonds fared poorly over this reporting period due to negative sentiment surrounding declining cigarette smoking rates and regulatory uncertainty. NKG’s sector allocations detracted from performance, as overweight allocations to the pre-refunded and public power sectors underperformed. While NMY benefited from an underweight allocation to the tax-supported sector and a large overweight to the health care sector, the gains were offset by relative losses from the overweight exposures to tobacco and pre-refunded bonds and an underweight to the transportation sector. NMS held advantageous overweights to higher education and health care, but a small overweight to pre-refunded bonds and an underweight allocation to transportation credits were detractors. NOM’s holdings in the senior living facility sector were hurt by technical factors, rather than fundamental concerns. Several senior living facilities in Missouri issued new money bonds during the reporting period, driving credit spreads wider as supply increased. For NNC, sector allocations were a modest contributor to performance. An overweight to pre-refunded bonds was a drag on NNC’s performance, but an underweight to housing credits outperformed. NPV’s overweight allocations to tobacco and pre-refunded bonds were unfavorable to performance.

In terms of individual credit selection, the longest dated credits were generally among the Funds’ best performing holdings, especially TOBs and zero coupon bonds. Shorter maturity and/or high grade bonds, as well as tobacco settlement bonds, were among the Funds’ larger detractors. Additionally, NKG and NNC bought discounted 4% coupon bonds during the reporting period that increased in value by the end of the reporting period and were top contributing holdings. NMY particularly benefited from two longer dated hospital bonds, Trinity Health and MedStar Health. For NPV, our selection was strong in transportation bonds, with outperformance from two zero coupon toll road credits, Metropolitan Washington Dulles Toll Road and Chesapeake Bay Bridge Toll Road, and a longer maturity toll road bond for I-66.

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Fund Leverage

IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE

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

However, use of leverage can expose Fund common shares to additional price volatility. When a Fund uses leverage, the Fund common shares will experience a greater increase in their net asset value if the municipal bonds acquired through the use of leverage increase in value, but will also experience a correspondingly larger decline in their net asset value if the bonds acquired through leverage decline in value, which will make the shares’ net asset value more volatile, and 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. Over the last few quarters, short-term interest rates have indeed increased from their extended lows after the 2007-09 financial crisis. This increase has reduced common share net income, and also reduced potential for long-term total returns. Nevertheless, the ability to effectively borrow at current short-term rates is still resulting in enhanced common share income, and management believes that the advantages of continuation of leverage outweigh the associated increase in risk and volatility described above.

Leverage from issuance of preferred shares had a positive impact on the total return performance of all six Funds over the reporting period. The use of leverage through inverse floating rate securities had a negligible impact on the total return performance of the Funds over the reporting period.

As of May 31, 2019, the Funds’ percentages of leverage are as shown in the accompanying table.

*  Effective Leverage is a Fund’s effective economic leverage, and includes both regulatory leverage and the leverage effects of certain derivative and other investments in a Fund’s portfolio that   increase the Fund’s investment exposure. Currently, the leverage effects of Tender Option Bond (TOB) inverse floater holdings are included in effective leverage values, in addition to any regulatory   leverage. Regulatory leverage consists of preferred shares issued or borrowings of a Fund. Both of these are part of a Fund’s capital structure. A Fund, however, may from time to time borrow on   a typically transient basis in connection with its day-to-day operations, primarily in connection with the need to settle portfolio trades. Such incidental borrowings are excluded from the calculation   of a Fund’s effective leverage ratio. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940.

 

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*	Preferred shares of the Fund featuring a floating rate dividend based on a predetermined formula or spread to an index rate. Includes the following preferred shares AMTP, iMTP, VMTP, MFP-   VRM and VRDP in Special Rate Mode, where applicable. See Notes to Financial Statements, Note 4 – Fund Shares, Preferred Shares for further details.
**	Preferred shares of the Fund featuring floating rate dividends set by a remarketing agent via a regular remarketing. Includes the following preferred shares VRDP not in Special Rate Mode, MFP-   VRRM and MFP-VRDM, where applicable. See Notes to Financial Statements, Note 4 – Fund Shares, Preferred Shares for further details.

 

Refer to Notes to Financial Statements, Note 4 – Fund Shares, Preferred Shares for further details on preferred shares and each Fund’s respective transactions.

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*  Market Yield for a Fund is based on the Fund’s current annualized monthly dividend divided by the Fund’s current market price as of the end of the current reporting period. Taxable-Equivalent Yield   represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on an assumed combined federal and state income tax   rate of 29.7%, 29.1%, 31.9%, 29.1%, 29.2% and 29.6% for NKG, NMY, NMS, NOM, NNC and NPV, respectively. Your actual combined federal and state income tax rate may differ from the assumed   rate. Your actual combined federal and state income tax rate may differ from the assumed rate. The Taxable-Equivalent Yield also takes into account the percentage of the Fund’s income generated   and paid by the Fund (based on payments made during the previous calendar year) that was either exempt from federal income tax but not from state income tax (e.g., income from an out-of-state   municipal bond), or was exempt from neither federal nor state income tax. Separately, if the comparison were instead to investments that generate qualified dividend income, which is taxable at a   rate lower than an individual’s ordinary graduated tax rate, the fund’s Taxable-Equivalent Yield would be lower.

 

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

All monthly dividends paid by each Fund during the current reporting period were paid from net investment income. If a portion of the Fund’s monthly distributions is sourced or comprised of elements other than net investment income, including capital gains and/or a return of capital, shareholders will be notified of those sources. For financial reporting purposes, the per share amounts of each Fund’s distributions for the reporting period are presented in this report’s Financial Highlights. For income tax purposes, distribution information for each Fund as of its most recent tax year end is presented in Note 6 – Income Tax Information within the Notes to Financial Statements of this report.

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COMMON SHARE EQUITY SHELF PROGRAM

During the current reporting period, NMS was authorized by the Securities and Exchange Commission to issue additional common shares through an equity shelf program (Shelf Offering). Under this program NMS, subject to market conditions, may raise additional capital from time to time in varying amounts and offering methods at a net price at or above the Fund’s NAV per common share. Under the Shelf Offering, the Fund was authorized to issue additional common shares as shown in the accompanying table.

	NMS
Additional authorized common shares	500,000*

*  Represents additional and authorized common shares for the period June 1, 2018 through March 29, 2019.

 

During the current reporting period, NMS did not sell any common shares through its Shelf Offering.

Refer to the Notes to Financial Statements, Note 4 – Fund Shares, Common Shares Equity Shelf Programs and Offering Costs for further details of Shelf Offerings and the Fund's transactions.

 

During the current reporting period, the following Funds repurchased and retired their common shares at a weighted average price per share and a weighted average discount per share as shown in the accompanying table.

 

Each Fund may repurchase its common shares on a dynamic basis with the goal of providing liquidity in circumstances when sufficient natural demand may not otherwise exist. This typically occurs in adverse market environments when a Fund’s common shares are trading at a significant discount to their current net asset value. By providing liquidity in such circumstances, a Fund seeks over time to enable common shareholders to sell their shares more efficiently, and thereby enable its common shares to trade at a narrower discount to their then-current net asset value.

By repurchasing its common shares below net asset value, and retiring those shares at net asset value, a Fund also generates immediate benefits for common shareholders through accretion to net assets as well as common net earnings. As reflected under “Discount Per Share Repurchased and Retired” in the Financial Highlights section of the financial statements, such net asset value accretion during the fiscal year was $0.01 per common share or greater for NKG, NMY, NNC and NPV.

 

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Risk Considerations

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 Georgia Quality Municipal Income Fund (NKG)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s 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. Leverage increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage strategy will be successful. State concentration makes the Fund more susceptible to local adverse economic, political, or regulatory changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are described in more detail on the Fund’s web page at www.nuveen.com/NKG.

Nuveen Maryland Quality Municipal Income Fund (NMY)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s 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. Leverage increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage strategy will be successful. State concentration makes the Fund more susceptible to local adverse economic, political, or regulatory changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are described in more detail on the Fund’s web page at www.nuveen.com/NMY.

Nuveen Minnesota Quality Municipal Income Fund (NMS)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s 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. Leverage increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage strategy will be successful. State concentration makes the Fund more susceptible to local adverse economic, political, or regulatory changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are described in more detail on the Fund’s web page at www.nuveen.com/NMS.

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Nuveen Missouri Quality Municipal Income Fund (NOM)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s 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. Leverage increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage strategy will be successful. State concentration makes the Fund more susceptible to local adverse economic, political, or regulatory changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are described in more detail on the Fund’s web page at www.nuveen.com/NOM.

Nuveen North Carolina Quality Municipal Income Fund (NNC)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s 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. Leverage increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage strategy will be successful. State concentration makes the Fund more susceptible to local adverse economic, political, or regulatory changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are described in more detail on the Fund’s web page at www.nuveen.com/NNC.

Nuveen Virginia Quality Municipal Income Fund (NPV)

Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund’s 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. Leverage increases return volatility and magnifies the Fund’s potential return and its risks; there is no guarantee a fund’s leverage strategy will be successful. State concentration makes the Fund more susceptible to local adverse economic, political, or regulatory changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are described in more detail on the Fund’s web page at www.nuveen.com/NPV.

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Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.
Average Annual Total Returns as of May 31, 2019
	Average Annual
	1-Year	5-Year	10-Year
NKG at Common Share NAV	7.49%	3.99%	5.03%
NKG at Common Share Price	13.72%	3.67%	5.36%
S&P Municipal Bond Georgia Index	5.54%	3.13%	4.28%
S&P Municipal Bond Index	6.06%	3.55%	4.73%

 

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

Common Share Price Performance — Weekly Closing Price

 

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

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

 

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Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.
Average Annual Total Returns as of May 31, 2019
	Average Annual
	1-Year	5-Year	10-Year
NMY at Common Share NAV	7.56%	4.61%	5.66%
NMY at Common Share Price	9.40%	4.83%	5.29%
S&P Municipal Bond Maryland Index	5.52%	2.95%	4.00%
S&P Municipal Bond Index	6.06%	3.55%	4.73%

 

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

Common Share Price Performance — Weekly Closing Price

 

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

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