Fitch Rates VMTP Shares Issued by Nuveen Closed End Fund
KEY RATING DRIVERS
The 'AAA' long-term ratings of the Series 2018 VMTP Shares primarily reflects:
--Sufficient asset coverage provided to the VMTP Shares as calculated per the over-collateralization (OC) tests of NIQ;
--The structural protections afforded by mandatory de-leveraging provisions in the event of asset coverage declines;
--The legal and regulatory parameters that govern the operations of NIQ;
--The capabilities of NFA as investment advisor and NAM as subadvisor.
THE EXCHANGE OFFER
On Oct. 1, 2015, NIQ issued the Series 2018 VMTP Shares in exchange for all outstanding Series 2016 VMTP Shares. After the exchange, the Series 2016 VMTP Shares will be marked as Paid in Full by Fitch.
FUND PROFILE
NIQ is a closed-end management investment company regulated by the Investment Company Act of 1940. The fund invests at least 80% of its managed assets in municipal securities that are exempt from regular federal tax and may invest up to 20% of assets in below investment grade and/or unrated securities. As of Aug. 31, 2015, NIQ had approximately $282 million in managed assets.
FUND LEVERAGE
As of Aug. 31, 2015, NIQ's total leverage consisted of $55 million of Series 2016 VMTP Shares, and $48.3 million of tender option bond (TOB) obligations. NIQ's total leverage remained unchanged after the Series 2016 VMTP Shares were exchanged for the Series 2018 VMTP Shares.
ASSET COVERAGE
As of Aug. 31, 2015, NIQ's asset coverage ratio , as calculated in accordance with the Investment Company Act of 1940, was in excess of the minimum asset coverage threshold of 225% allowed by the governing documents of both the Series 2016 VMTP Shares and the Series 2018 VMTP Shares.
As of Aug. 31, 2015, NIQ's effective leverage ratio was 36.6%. This effective leverage ratio is below the 45% maximum effective leverage ratio allowed by the governing documents of both the Series 2016 VMTP Shares and the Series 2018 VMTP Shares. NIQ's asset coverage and effective leverage ratios remained unchanged after the Series 2016 VMTP Shares were exchanged for the Series 2018 VMTP Shares.
Between Sept. 30, 2014 and Aug. 31, 2015, NIQ's effective leverage ratio ranged between 35.6%-36.7%.
STRUCTURAL PROTECTIONS
In the event of asset coverage declines, the governing documents of the Series 2018 VMTP Shares require NIQ to reduce leverage in order to restore compliance with the applicable asset coverage test. Compliance with both the minimum asset coverage threshold and the 45% maximum effective leverage ratio threshold are tested daily.
Failure to cure a breach of the minimum asset coverage threshold by the allotted cure date would result in mandatory redemption of the Series 2018 VMTP Shares. If NIQ is in breach, it must redeem sufficient preferred shares to restore compliance. To facilitate redemption, the fund will deposit sufficient funds with a third-party custodian.
Failure to cure a breach of the 45% maximum effective leverage ratio by the allotted cure date requires NIQ to restore compliance by depositing enough funds with a third-party custodian to redeem a sufficient number of VMTP Shares and/or by reducing the amount of TOBs the fund has outstanding in an amount sufficient to restore compliance.
For the Series 2018 VMTP Shares, the total market value exposure period (i.e. the pre-specified time period allotted for valuation, cure and redemption in the event of a breach) for the minimum asset coverage and maximum effective leverage ratio tests is within the 60 business day guidelines provided in Fitch's criteria.
STRESS TESTS
Fitch performed various stress tests on NIQ in order to assess the strength of the structural protections available to the preferred shares compared to the stresses outlined in Fitch's closed-end fund rating criteria. These tests included determining various 'worst case' scenarios where the fund's leverage and portfolio composition migrated to the outer limits of their operating and investment guidelines.
Only under remote circumstances, such as increasing NIQ's issuer concentration, while simultaneously migrating the portfolio to a mix of 80% long-term 'BBB' 10+ years to maturity bonds and 20% high yield bonds, did the asset coverage available to the Series 2018 VMTP Shares fall below the 'AAA' threshold, and instead passed at an 'AA' rating level.
Given the highly unlikely nature of the stress scenarios, and the minimal rating impact, Fitch views NIQ's permitted investments, municipal issuer diversification framework and mandatory deleveraging mechanisms as consistent with an 'AAA' rating.
THE ADVISORS
The investment advisor for NIQ is NFA, a subsidiary of Nuveen Investments. NFA is responsible for the fund's overall investment strategies and their implementation. The sub-advisor, NAM, is a subsidiary of NFA that oversees the day-to-day operations of the fund. Nuveen Investments and its affiliates had approximately $230 billion of assets under management as of June 30, 2015.
RATING SENSITIVITIES
The ratings assigned to the Series 2018 VMTP Shares may be sensitive to material changes in the leverage composition, portfolio credit quality or market risk of NIQ, as described above. A material adverse deviation from Fitch guidelines for any key rating driver could cause a ratings downgrade.
NIQ has the ability to assume economic leverage through derivative transactions which may not be captured by the minimum asset coverage test or effective leverage ratio. The fund does not currently engage in speculative derivative activity and does not envision engaging in material amounts of such activity in the future. In fact, such activity is limited by the fund's investment guidelines and could run counter to its investment objective of achieving tax-exempt income. Material derivative exposures in the future could have potential negative rating implications if they adversely affect asset coverage available to rated preferred shares.
For additional information about Fitch's rating guidelines applicable to debt and preferred stock issued by closed-end funds, please review the criteria referenced below, which can be found on Fitch's web site at 'www.fitchratings.com'.
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