Company: NAZ
Filing Date: 2025-11-06
Form Type: N-CSR
Source: 0001193125-25-269465
Chunk: 8

Company: NUVEEN ARIZONA QUALITY MUNICIPAL INCOME FUND
Filing Date: 2025-11-06
Form: N-CSR
Chunk 8
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 rate securities and the issuance of preferred shares. |

| • |     | Overall duration positioning, especially an overweight to bonds with durations greater than 12.0 years. |

| • |     | Overall credit ratings positioning, especially an overweight to non‑rated bonds. |

| • |     | Overweights to the health care and higher ed sectors. |

Nuveen Pennsylvania Quality Municipal Income Fund (NQP) What factors affected markets during the reporting period?

| • |     | Municipal bond yields rose across longer maturities and fell across shorter maturities, steepening the municipal yield curve over the reporting period. Yields saw elevated volatility during the period, in response to uncertainties about the Federal Reserve’s plan for monetary easing, U.S. fiscal and trade policy under the Trump administration, and the impacts to the economy, inflation and federal debt sustainability. |

| • |     | While credit fundamentals remained strong, unprecedented supply pressure weighed on the municipal market during the reporting period. Demand for municipal debt increased during the reporting period but was less robust when compared to the elevated level of supply |

What key strategies were used to manage the Fund during the reporting period?

| • |     | The Fund’s trading activity remained focused on pursuing its investment objectives. During the reporting period, the Fund continued to emphasize a long-term view of investing in longer-duration and lower-rated bonds, which offered incrementally higher yields to support the Fund’s income earnings capability. |

| • |     | The portfolio management team took advantage of periods of market stress to buy bonds at attractive valuations and continued to carefully manage the Fund’s income sustainability via tactical trading. |

How did the Fund perform and what factors affected relative performance? For the twelve-month reporting period ended August 31, 2025, NQP returned -6.93%. The Fund significantly underperformed the returns of the S&P Municipal Bond Pennsylvania Index, which returned 0.65%.

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Discussion of Fund Performance (continued) Top contributors to relative performance

| • |     | Credit quality positioning, driven by an overweight to non‑rated bonds. |

| • |     | An overweight to the single-family housing bond sector. |

Top detractors from relative performance

| • |     | Duration and yield curve positioning, including an overweight to 10‑years and longer duration structures and an underweight in zero‑ to six‑year duration structures. |

| • |     | The Fund’s use of leverage through inverse floating rate securities and the issuance of preferred shares. |