Company: NAZ
Filing Date: 2025-11-06
Form Type: N-CSR
Source: 0001193125-25-269465
Chunk: 2

Company: NUVEEN ARIZONA QUALITY MUNICIPAL INCOME FUND
Filing Date: 2025-11-06
Form: N-CSR
Chunk 2
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 |     | Overweight to bonds with durations of eight years and longer. |

| • |     | Overweight to lower-rated credits, particularly non‑rated bonds. |

Nuveen California AMT‑Free Quality Municipal Income Fund (NKX) 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 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, NKX returned -6.12%. The Fund significantly underperformed the returns of the S&P Municipal Bond California Index, which returned 0.15%. Top contributors to relative performance

| • |     | Underweight to tobacco bonds. |

| • |     | Underweight to dedicated tax bonds. |

Top detractors from relative performance

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

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

| • |     | Overweights to below-investment-grade and non‑rated bonds. |

| • |     | Overweight to the health care sector. |

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Discussion of Fund Performance (continued) Nuveen California Municipal Value Fund (NCA) What factors affected markets during the reporting period?

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