Form NPORT-P - Monthly Portfolio Investments Report on Form N-PORT (Public)
28 Noviembre 2023 - 1:53PM
Edgar (US Regulatory)
Nuveen
Mortgage
and
Income
Fund
Portfolio
of
Investments
September
30,
2023
(Unaudited)
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
LONG-TERM
INVESTMENTS
-
139.1%
(100.0%
of
Total
Investments)
X–
MORTGAGE-BACKED
SECURITIES
-
99.3%
(71.4%
of
Total
Investments)
X
101,577,406
$
500
(b)
Alen
Mortgage
Trust,
(TSFR1M
reference
rate
+
4.114%
spread),
2021
ACEN,
144A
9.447%
4/15/34
$
260,218
1,000
BANK,
2019
BN21,
144A
2.500%
10/17/52
499,070
1,000
(c)
BANK
2017-BNK6,
2017
BNK6
3.851%
7/15/60
810,759
1,000
BBCMS
Mortgage
Trust
2020-C6,
2020
C6,
144A
3.811%
2/15/53
723,798
1,500
(c)
Benchmark
Mortgage
Trust,
2020
B18,
144A
4.139%
7/15/53
1,308,579
1,500
CD
2016-CD2
Mortgage
Trust,
2016
CD2
4.111%
11/10/49
1,122,933
1,978
(c)
CD
2017-CD3
Mortgage
Trust,
2017
CD3
4.696%
2/10/50
1,078,982
845
(c)
CD
Mortgage
Trust,
2016
CD1
3.631%
8/10/49
535,141
24
CF
Mortgage
Trust,
2020
P1,
144A
2.840%
4/15/25
23,166
672
CFK
Trust
2019-FAX,
2019
FAX,
144A
4.791%
1/15/39
570,532
429
CHL
Mortgage
Pass-Through
Trust
2006-HYB1,
2006
HYB1
3.951%
3/20/36
380,402
1,500
(c)
COMM
2013-LC13
Mortgage
Trust,
2013
LC13,
144A
5.387%
8/10/46
1,314,753
925
(c)
COMM
2014-CCRE15
Mortgage
Trust,
2014
CR15
4.795%
2/10/47
808,248
700
COMM
2014-CCRE15
Mortgage
Trust,
2014
CR15,
144A
4.795%
2/10/47
572,225
1,452
(c)
COMM
2014-CCRE19
Mortgage
Trust,
2014
CR19,
144A
4.697%
8/10/47
1,246,426
800
(c)
COMM
2015-CCRE25
Mortgage
Trust,
2015
CR25
4.667%
8/10/48
722,631
1,000
COMM
Mortgage
Trust,
2014
CR17
4.377%
5/10/47
910,576
1,800
(c)
COMM
Mortgage
Trust,
2015
CR24
3.463%
8/10/48
1,434,048
1,000
(c)
COMM
Mortgage
Trust,
2014
UBS2
4.947%
3/10/47
956,852
1,500
(c)
COMM
Mortgage
Trust,
2014
UBS3,
144A
4.767%
6/10/47
997,697
1,245
COMM
Mortgage
Trust,
2015
CR25
3.768%
8/10/48
1,017,913
1,400
COMM
Mortgage
Trust,
2015
CR22,
144A
3.000%
3/10/48
1,019,609
1,160
COMM
Mortgage
Trust,
2014
CR14
4.585%
2/10/47
1,029,923
2,000
(c)
COMM
Mortgage
Trust,
2015
CR23
4.443%
5/10/48
1,588,396
100
(b)
Connecticut
Avenue
Securities
Trust,
(SOFR30A
reference
rate
+
4.650%
spread),
2022
R07,
144A
9.965%
6/25/42
106,666
625
(b)
Connecticut
Avenue
Securities
Trust,
(SOFR30A
reference
rate
+
5.500%
spread),
2021
R03,
144A
10.815%
12/25/41
623,321
3,000
(b)
Connecticut
Avenue
Securities
Trust,
(SOFR30A
reference
rate
+
6.250%
spread),
2022
R03,
144A
6.349%
3/25/42
3,304,946
2,550
(b),(c)
Connecticut
Avenue
Securities
Trust,
(SOFR30A
reference
rate
+
4.500%
spread),
2022
R02,
144A
9.815%
1/25/42
2,614,797
1,000
(b)
Connecticut
Avenue
Securities
Trust,
(SOFR30A
reference
rate
+
9.850%
spread),
2022
R03,
144A
14.823%
3/25/42
1,115,144
3,000
(b),(c)
Connecticut
Avenue
Securities
Trust,
(SOFR30A
reference
rate
+
6.000%
spread),
2021
R01,
144A
11.315%
10/25/41
3,032,692
450
(b)
Connecticut
Avenue
Securities
Trust,
(SOFR30A
reference
rate
+
6.750%
spread),
2022
R09,
144A
12.065%
9/25/42
493,860
200
(b)
Connecticut
Avenue
Securities
Trust,
(SOFR30A
reference
rate
+
3.100%
spread),
2022
R04,
144A
8.415%
3/25/42
203,295
460
(b),(c)
Connecticut
Avenue
Securities
Trust,
(SOFR30A
reference
rate
+
3.850%
spread),
2022
R06,
144A
9.165%
5/25/42
477,988
300
(b),(c)
Connecticut
Avenue
Securities
Trust,
(SOFR30A
reference
rate
+
5.600%
spread),
2022
R08,
144A
9.528%
7/25/42
324,894
1,605
(b),(c)
Connecticut
Avenue
Securities
Trust,
(SOFR30A
reference
rate
+
3.900%
spread),
2023
R06,
144A
9.188%
7/25/43
1,625,034
2,100
(b)
Connecticut
Avenue
Securities
Trust,
(SOFR30A
reference
rate
+
6.000%
spread),
2022
R01,
144A
11.315%
12/25/41
2,123,138
2,250
(b),(c)
Connecticut
Avenue
Securities
Trust,
(SOFR30A
reference
rate
+
4.750%
spread),
2023
R05,
144A
10.065%
6/25/43
2,350,909
1,900
(b)
Connecticut
Avenue
Securities
Trust
2022-R07,
(SOFR30A
reference
rate
+
12.000%
spread),
2022
R07,
144A
17.296%
6/25/42
2,239,652
960
(b),(c)
Connecticut
Avenue
Securities
Trust
2022-R07,
(SOFR30A
reference
rate
+
6.800%
spread),
2022
R07,
144A
12.115%
6/25/42
1,062,538
33,000
DOLP
Trust,
2021
NYC,
(I/O),
144A
0.665%
5/10/41
1,204,662
4,000
(b),(c)
Fannie
Mae
-
CAS,
(SOFR30A
reference
rate
+
5.550%
spread),
2023
R02,
144A
10.865%
1/25/43
4,283,905
Nuveen
Mortgage
and
Income
Fund
(continued)
Portfolio
of
Investments
September
30,
2023
(Unaudited)
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
X–
MORTGAGE-BACKED
SECURITIES
(continued)
$
640
FARM
21-1
Mortgage
Trust,
2021
1,
144A
3.240%
7/25/51
$
440,115
85
Flagstar
Mortgage
Trust,
2017
2,
144A
4.002%
10/25/47
72,845
7,647
Freddie
Mac
Multifamily
ML
Certificates,
2021
ML12,
(I/O)
1.303%
7/25/41
729,346
1,000
(b)
Freddie
Mac
STACR
REMIC
Trust,
(SOFR30A
reference
rate
+
7.100%
spread),
2022
DNA1,
144A
12.415%
1/25/42
1,007,015
3,000
(b)
Freddie
Mac
STACR
REMIC
Trust,
(SOFR30A
reference
rate
+
7.000%
spread),
2022
HQA1,
144A
9.997%
3/25/42
3,250,569
455
(b)
Freddie
Mac
STACR
REMIC
Trust,
(SOFR30A
reference
rate
+
4.350%
spread),
2022
DNA3,
144A
9.665%
4/25/42
476,459
2,275
(b),(c)
Freddie
Mac
STACR
REMIC
Trust,
(SOFR30A
reference
rate
+
3.400%
spread),
2022
DNA1,
144A
8.715%
1/25/42
2,282,075
3,000
(b)
Freddie
Mac
STACR
REMIC
Trust,
(SOFR30A
reference
rate
+
7.500%
spread),
2021
DNA6,
144A
12.815%
10/25/41
3,094,147
3,750
(b),(c)
Freddie
Mac
STACR
REMIC
Trust,
(SOFR30A
reference
rate
+
5.650%
spread),
2022
DNA3,
144A
8.647%
4/25/42
3,980,894
4,900
(b)
Freddie
Mac
STACR
REMIC
Trust,
(SOFR30A
reference
rate
+
4.750%
spread),
2022
DNA2,
144A
10.065%
2/25/42
4,974,040
115
(b)
Freddie
Mac
Strips,
(SOFR30A
reference
rate
+
5.806%
spread),
2014
327,
(I/O)
0.492%
3/15/44
8,281
900
(b),(c)
Freddie
Mac
Structured
Agency
Credit
Risk
Debt
Notes,
(SOFR30A
reference
rate
+
4.000%
spread),
2022
HQA2,
144A
9.315%
7/25/42
937,480
7,146
(b),(c)
Government
National
Mortgage
Association,
(SOFR30A
reference
rate
+
6.250%
spread),
2020
133,
(I/O)
0.936%
9/20/50
716,212
1,400
(b)
GS
Mortgage
Securities
Corp
Trust,
(TSFR1M
reference
rate
+
3.464%
spread),
2021
ARDN,
144A
8.797%
11/15/36
1,301,443
1,100
(b)
GS
Mortgage
Securities
Corp
Trust,
(TSFR1M
reference
rate
+
1.897%
spread),
2018
TWR,
144A
7.230%
7/15/31
544,500
1,500
GS
Mortgage
Securities
Corp
Trust
2017-SLP,
2017
SLP,
144A
4.744%
10/10/32
1,421,716
700
(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
(TSFR1M
reference
rate
+
2.397%
spread),
2018
TWR,
144A
7.730%
7/15/31
290,500
1,000
(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
(TSFR1M
reference
rate
+
1.747%
spread),
2018
TWR,
144A
7.080%
7/15/31
645,000
700
(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
(TSFR1M
reference
rate
+
3.097%
spread),
2018
TWR,
144A
8.430%
7/15/31
205,800
892
(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
(TSFR1M
reference
rate
+
4.222%
spread),
2018
TWR,
144A
9.555%
7/15/31
77,269
1,000
(b)
GS
Mortgage
Securities
Corp
Trust
2021-ARDN,
(TSFR1M
reference
rate
+
2.864%
spread),
2021
ARDN,
144A
8.197%
11/15/36
934,033
2,000
(c)
GS
Mortgage
Securities
Trust,
2016
GS4
4.078%
11/10/49
1,609,073
1,000
Hudson
Yards
Mortgage
Trust,
2019
55HY,
144A
3.041%
12/10/41
687,934
441
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2019-ICON
UES,
2019
UES,
144A
4.601%
5/05/32
415,828
377
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2019-ICON
UES,
2019
UES,
144A
4.601%
5/05/32
357,889
366
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2020-NNN,
2020
NNN,
144A
3.972%
1/16/37
291,514
856
JP
Morgan
Mortgage
Trust,
2018
6,
144A
3.891%
12/25/48
693,625
2,000
(c)
JPMBB
Commercial
Mortgage
Securities
Trust,
2014
C22
4.700%
9/15/47
1,546,502
1,930
(c)
JPMBB
Commercial
Mortgage
Securities
Trust,
2017
JP6
3.854%
7/15/50
1,359,993
1,849
(c)
JPMBB
Commercial
Mortgage
Securities
Trust,
2017
JP7,
144A
4.529%
9/15/50
1,230,577
1,000
(c)
JPMBB
Commercial
Mortgage
Securities
Trust
2015-C27,
2015
C27
3.898%
2/15/48
912,455
760
(c)
JPMBB
Commercial
Mortgage
Securities
Trust
2015-C29,
2015
C29
4.118%
5/15/48
697,505
1,189
(c)
JPMBB
Commercial
Mortgage
Securities
Trust
2016-C1,
2016
C1
4.859%
3/17/49
1,049,967
2,000
(c)
JPMCC
Commercial
Mortgage
Securities
Trust
2017-JP5,
2017
JP5
3.904%
3/15/50
1,493,198
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
X–
MORTGAGE-BACKED
SECURITIES
(continued)
$
1,500
JPMCC
Commercial
Mortgage
Securities
Trust
2017-JP6,
2017
JP6,
144A
4.604%
7/15/50
$
977,063
1,098
(c)
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2014
C19,
2014
C19
4.000%
12/15/47
994,007
226
Morgan
Stanley
Capital
I
Trust
2015-MS1,
2015
MS1
4.158%
5/15/48
208,528
183
Morgan
Stanley
Mortgage
Loan
Trust
2007-15AR,
2007
15AR
3.275%
11/25/37
120,784
1,000
MRCD
Mortgage
Trust,
2019
PARK,
144A
2.718%
12/15/36
587,996
750
MSCG
Trust,
2015
ALDR,
144A
3.577%
6/07/35
655,915
250
MSCG
Trust,
2015
ALDR,
144A
3.577%
6/07/35
212,277
1,050
(b)
Natixis
Commercial
Mortgage
Securities
Trust,
(TSFR1M
reference
rate
+
4.329%
spread),
2019
MILE,
144A
9.662%
7/15/36
698,876
1,000
(b)
Natixis
Commercial
Mortgage
Securities
Trust
2019-MILE,
(TSFR1M
reference
rate
+
2.829%
spread),
2019
MILE,
144A
8.162%
7/15/36
766,461
1,000
(b),(c)
PKHL
Commercial
Mortgage
Trust
2021-MF,
(TSFR1M
reference
rate
+
2.114%
spread),
2021
MF,
144A
7.447%
7/15/38
828,664
1,000
(b)
PNMAC
GMSR
ISSUER
TRUST,
(1-Month
LIBOR
reference
rate
+
3.850%
spread),
2018
GT1,
144A
9.284%
2/25/25
1,001,618
40,180
SLG
Office
Trust,
2021
OVA,
144A
0.258%
7/15/41
569,339
1,624
(b),(c)
SMR
Mortgage
Trust,
(TSFR1M
reference
rate
+
3.950%
spread),
2022
IND,
144A
9.282%
2/15/39
1,521,818
1,500
Spruce
Hill
Mortgage
Loan
Trust,
2020
SH1,
144A
3.827%
1/28/50
1,291,733
127,100
SUMIT
2022-BVUE
Mortgage
Trust,
2022
BVUE,
(I/O),
144A
0.179%
2/12/41
660,666
428
(c)
UBS-Barclays
Commercial
Mortgage
Trust
2013-C5,
144A
3.649%
3/10/46
392,557
1,500
VNDO
Trust,
2016
350P,
144A
4.033%
1/10/35
1,149,540
1,300
(c)
Wells
Fargo
Commercial
Mortgage
Trust
2015-NXS1,
2015
NXS1
4.278%
5/15/48
1,083,447
Total
Mortgage-Backed
Securities
(cost
$114,569,927)
101,577,406
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
X–
ASSET-BACKED
SECURITIES
-
39.8%
(28.6%
of
Total
Investments)
X
40,762,282
1,151
AASET
2020-1
Trust,
2020
1A,
144A
6.413%
1/16/40
$
149,730
1,500
(b),(c)
ACRE
Commercial
Mortgage
Ltd,
(TSFR1M
reference
rate
+
2.714%
spread),
2021
FL4,
144A
8.045%
12/18/37
1,388,400
857
(c)
Air
Canada
2020-2
Class
A
Pass
Through
Trust,
2020
A,
144A
5.250%
4/01/29
827,103
696
(c)
Air
Canada
2020-2
Class
B
Pass
Through
Trust,
2020
A,
144A
9.000%
10/01/25
703,054
550
Avis
Budget
Rental
Car
Funding
AESOP
LLC,
2021
2A,
144A
4.080%
2/20/28
468,488
295
Bojangles
Issuer
LLC,
2020
1A,
144A
3.832%
10/20/50
270,128
500
(b)
Bonanza
RE
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
4.870%
spread),
2020
A,
144A
10.305%
12/23/24
446,650
250
(b)
Bonanza
RE
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
5.750%
spread),
144A
11.183%
3/16/25
175,000
250
(b)
Bonanza
RE
Ltd,
144A
4.555%
1/08/24
125,000
750
(b)
Bonanza
RE
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
8.250%
spread),
144A
12.787%
1/08/26
754,125
509
(c)
British
Airways
Class
A
Pass
Through
Trust,
2020
A,
144A
4.250%
11/15/32
456,607
415
(c)
British
Airways
Class
B
Pass
Through
Trust,
2020
A,
144A
8.375%
11/15/28
421,882
2,000
Cars
Net
Lease
Mortgage
Notes
Series,
2020
1A,
144A
4.690%
12/15/50
1,649,333
775
CARS-DB4
LP,
2020
1A,
144A
4.520%
2/15/50
680,337
3
(d)
Carvana
Auto
Receivables
Trust,
2021
P2,
144A
0.000%
5/10/28
560,000
250
(b)
Cayuga
Park
CLO
Ltd,
(TSFR3M
reference
rate
+
6.262%
spread),
2020
1A,
144A
1.000%
7/17/34
232,450
375
(b)
CIFC
Funding
2022-II
Ltd,
(TSFR3M
reference
rate
+
7.000%
spread),
2022
2A,
144A
12.320%
4/19/35
363,340
750
(b)
CIFC
Funding
Ltd,
(SOFR
reference
rate
+
3.550%
spread),
2022
4A,
144A
8.858%
7/16/35
743,572
385
(b)
CIFC
Funding
Ltd,
(3-Month
LIBOR
reference
rate
+
6.762%
spread),
2020
2A,
144A
12.088%
10/20/34
363,746
Nuveen
Mortgage
and
Income
Fund
(continued)
Portfolio
of
Investments
September
30,
2023
(Unaudited)
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
X–
ASSET-BACKED
SECURITIES
(continued)
$
250
(b)
Citrus
Re
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
5.100%
spread),
144A
5.100%
6/07/25
$
246,850
250
Cologix
Data
Centers
US
Issuer
LLC,
2021
1A,
144A
5.990%
12/26/51
203,910
1,118
CyrusOne
Data
Centers
Issuer
I,
2023
1A,
144A
5.450%
4/20/48
947,607
918
EWC
Master
Issuer
LLC,
2022
1A,
144A
5.500%
3/15/52
844,367
476
FOCUS
Brands
Funding
LLC,
2018
1,
144A
5.184%
10/30/48
453,569
1,500
Frontier
Issuer
LLC,
2023
1,
144A
8.300%
8/20/53
1,420,926
1,500
Frontier
Issuer
LLC,
2023
1,
144A
11.500%
8/20/53
1,446,015
500
(b)
Goldentree
Loan
Opportunities
IX
Ltd,
(TSFR3M
reference
rate
+
5.922%
spread),
2014
9A,
144A
11.291%
10/29/29
500,068
500
(b)
GoldentTree
Loan
Management
US
CLO
1
Ltd,
(3-Month
LIBOR
reference
rate
+
7.762%
spread),
2021
11A,
144A
8.563%
10/20/34
430,402
486
Hardee's
Funding
LLC,
2020
1A,
144A
3.981%
12/20/50
409,099
355
(b)
Helios
Issuer,
LLC,
2023
B,
144A
6.000%
8/22/50
307,658
500
Hertz
Vehicle
Financing
III
LLC,
2022
1A,
144A
4.850%
6/25/26
467,809
250
(b)
Hestia
Re
Ltd,
(1-Month
U.S.
Treasury
Bill
reference
rate
+
9.500%
spread),
144A
14.935%
4/22/25
241,625
180
HIN
Timeshare
Trust
2020-A,
2020
A,
144A
6.500%
10/09/39
165,672
252
HIN
Timeshare
Trust
2020-A,
2020
A,
144A
5.500%
10/09/39
232,695
640
Jack
in
the
Box
Funding
LLC,
2019
1A,
144A
4.476%
8/25/49
594,082
610
Jonah
Energy
Abs
I
LLC,
2022
1,
144A
7.200%
11/20/37
594,699
328
LUNAR
AIRCRAFT
2020-1
LTD,
2020
1A,
144A
3.376%
2/15/45
283,588
500
(b)
Madison
Park
Funding
XXXVI
Ltd,
(TSFR3M
reference
rate
+
5.460%
spread),
2019
36A,
144A
5.764%
4/15/35
492,140
1,125
(b)
Magnetite
XXIII
Ltd,
(TSFR3M
reference
rate
+
6.562%
spread),
2019
23A,
144A
7.484%
1/25/35
1,103,829
250
(b)
Matterhorn
Re
Ltd,
(SOFR
reference
rate
+
5.250%
spread),
144A
5.889%
3/24/25
243,600
500
Mercury
Financial
Credit
Card
Master
Trust,
2022
3A,
144A
10.680%
6/21/27
497,663
500
Mercury
Financial
Credit
Card
Master
Trust,
2023
1A,
144A
9.590%
9/20/27
500,481
500
Mercury
Financial
Credit
Card
Master
Trust,
2023
1A,
144A
8.040%
9/20/27
501,796
125
MetroNet
Infrastructure
Issuer
LLC,
2023
1A,
144A
10.850%
4/20/53
119,461
125
MetroNet
Infrastructure
Issuer
LLC,
2023
1A,
144A
8.010%
4/20/53
120,105
1,467
Mexico
Remittances
Funding
Fiduciary
Estate
Management
Sarl
,
144A
4.875%
1/15/28
1,308,994
1,277
(d)
Mosaic
Solar
Loan
Trust,
2019
2A,
144A
0.000%
9/20/40
498,509
798
(d)
Mosaic
Solar
Loan
Trust,
2020
1A,
144A
0.000%
4/20/46
563,695
821
Mosaic
Solar
Loan
Trust
2020-2,
2020
2A,
144A
5.420%
8/20/46
722,870
477
MVW
2020-1
LLC,
2020
1A,
144A
4.210%
10/20/37
450,723
221
MVW
2020-1
LLC,
2020
1A,
144A
7.140%
10/20/37
211,218
500
Oportun
Funding
2022-1
LLC,
2022
1,
144A
6.000%
6/15/29
479,138
324
Oportun
Funding
XIV
LLC,
2021
A,
144A
5.400%
3/08/28
313,733
350
Oportun
Issuance
Trust,
2021
C,
144A
5.570%
10/08/31
306,732
1,000
Oportun
Issuance
Trust
2021-B,
2021
B,
144A
5.410%
5/08/31
904,726
925
(b)
Palmer
Square
CLO
Ltd,
(TSFR3M
reference
rate
+
5.300%
spread),
2023
1A,
144A
10.626%
1/20/36
938,306
625
(b)
Palmer
Square
CLO
Ltd,
(TSFR3M
reference
rate
+
6.350%
spread),
2022
1A,
144A
11.676%
4/20/35
617,541
250
Purchasing
Power
Funding
LLC,
2021
A,
144A
4.370%
10/15/25
239,543
947
Purewest
Funding
LLC,
2021
1,
144A
4.091%
12/22/36
897,600
500
(b)
Residential
Reinsurance
2022
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
7.000%
spread),
144A
12.435%
12/06/26
501,150
400
(b)
Residential
Reinsurance
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
6.510%
spread),
2020
A,
144A
6.510%
12/06/24
393,160
500
(b)
SD
Re
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
9.250%
spread),
144A
14.685%
11/19/24
487,300
650
SERVPRO
Master
Issuer
LLC,
2019
1A,
144A
3.882%
10/25/49
593,199
571
Sesac
Finance
LLC,
2019
1,
144A
5.216%
7/25/49
537,437
275
Sierra
Timeshare
2020-2
Receivables
Funding
LLC,
2020
2A,
144A
6.590%
7/20/37
262,993
44
Sierra
Timeshare
Receivables
Funding
LLC,
2019
3A,
144A
4.180%
8/20/36
41,676
Part
F
of
Form
N-PORT
was
prepared
in
accordance
with
U.S.
generally
accepted
accounting
principles
(“U.S.
GAAP”)
and
in
conformity
with
the
applicable
rules
and
regulations
of
the
U.S.
Securities
and
Exchange
Commission
(“SEC”)
related
to
interim
filings.
Part
F
of
Form
N-PORT
does
not
include
all
information
and
footnotes
required
by
U.S.
GAAP
for
complete
financial
statements.
Certain
footnote
disclosures
normally
included
in
financial
statements
prepared
in
accordance
with
U.S.
GAAP
have
been
condensed
or
omitted
from
this
report
pursuant
to
the
rules
of
the
SEC.
For
a
full
set
of
the
Fund’s
notes
to
financial
statements,
please
refer
to
the
Fund’s
most
recently
filed
annual
or
semi-annual
report.
Fair
Value
Measurements
The
Fund’s
investments
in
securities
are
recorded
at
their
estimated
fair
value
utilizing
valuation
methods
approved
by
the
Board
of
Directors/
Trustees.
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.
U.S.
GAAP
establishes
the
three-tier
hierarchy
which
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
liability.
Observable
inputs
are
based
on
market
data
obtained
from
sources
independent
of
the
reporting
entity.
Unobservable
inputs
reflect
management’s
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).
The
following
table
summarizes
the
market
value
of
the
Fund's
investments
as
of
the
end
of
the
reporting
period,
based
on
the
inputs
used
to
value
them:
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
X–
ASSET-BACKED
SECURITIES
(continued)
$
1,000
(b)
Sixth
Street
CLO
XIX
Ltd,
(3-Month
LIBOR
reference
rate
+
6.162%
spread),
2021
19A,
144A
6.035%
7/20/34
$
967,608
451
Start
II
LTD,
2019
1,
144A
5.095%
3/15/44
356,373
1,000
(b)
TCW
CLO
Ltd,
(3-Month
LIBOR
reference
rate
+
6.860%
spread),
2021
2A,
144A
6.985%
7/25/34
920,191
500
(b)
Ursa
Re
II
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
7.000%
spread),
144A
12.435%
12/06/25
518,750
1,156
Vivint
Solar
Financing
V
LLC,
2018
1A,
144A
7.370%
4/30/48
1,046,422
556
VR
Funding
LLC,
2020
1A,
144A
6.420%
11/15/50
514,873
1,050
VREG
Films
Inc
,
2023
23-1
10.550%
11/15/50
1,019,161
Total
Asset-Backed
Securities
(cost
$45,194,731)
40,762,282
Total
Long-Term
Investments
(cost
$159,764,658)
142,339,688
Borrowings
-
(8.6)%
(e),(f)
(8,820,000)
Reverse
Repurchase
Agreements,
including
accrued
interest
-
(30.3)%(g)
(31,011,469)
Other
Assets
&
Liabilities,
Net
- (0.2)%
(170,170)
Net
Assets
Applicable
to
Common
Shares
-
100%
$
102,338,049
Level
1
Level
2
Level
3
Total
Long-Term
Investments:
Mortgage-Backed
Securities
$
–
$
101,577,406
$
–
$
101,577,406
Asset-Backed
Securities
–
39,140,078
1,622,204
40,762,282
Total
$
–
$
140,717,484
$
1,622,204
$
142,339,688
Nuveen
Mortgage
and
Income
Fund
(continued)
Portfolio
of
Investments
September
30,
2023
(Unaudited)
The
following
is
a
reconciliation
of
the
Fund’s
Level
3
investments
held
at
the
beginning
and
end
of
the
measurement
period:
The
valuation
techniques
and
significant
unobservable
inputs
used
in
recurring
Level
3
fair
value
measurements
of
assets
as
of
the
end
of
the
reporting
period,
were
as
follows:
The
table
below
presents
the
transfers
in
and
out
of
the
three
valuation
levels
for
the
Fund
as
of
the
end
of
the
reporting
period
when
compared
to
the
valuation
levels
at
the
end
of
the
previous
fiscal
year.
Changes
in
valuation
inputs
or
methodologies
may
result
in
transfers
into
or
out
of
an
assigned
level
within
the
fair
value
hierarchy.
Transfers
in
or
out
of
levels
are
generally
due
to
the
availability
of
publicly
available
information
and
to
the
significance
or
extent
the
Adviser
determines
that
the
valuation
inputs
or
methodologies
may
impact
the
valuation
of
those
securities.
Level
3
Mortgage
and
Income
Fund
Asset-Backed
Securities
Balance
at
the
beginning
of
period
$11
Gains
(losses):
-
Net
realized
gains
(losses)
(1,554)
Change
in
net
unrealized
appreciation
(depreciation)
103,233
Purchases
at
cost
-
Sales
at
proceeds
(8)
Net
discounts
(premiums)
48,048
Transfers
into
1,622,204
Transfers
(out
of)
(149,730)
Balance
at
the
end
of
period
$1,622,204
Change
in
net
unrealized
appreciation
(depreciation)
during
the
period
of
Level
3
securities
held
as
of
period
end
$(360,195)
Fund
Asset
Class
Market
Value
Techniques
Unobservable
Inputs
Range
JLS
Asset-Backed
Securities
1,622,204
Third
Party
Vendor
Broker
Quote
$39.04
-
$22,400.00
Level
1
Level
2
Level
3
Transfers
In
(Transfers
Out)
Transfers
In
(Transfers
Out)
Transfers
In
(Transfers
Out)
Asset-Backed
Securities
$-
$-
$149,730
$-
$1,622,204
$(149,730)
For
Fund
portfolio
compliance
purposes,
the
Fund’s
industry
classifications
refer
to
any
one
or
more
of
the
industry
sub-classifications
used
by
one
or
more
widely
recognized
market
indexes
or
ratings
group
indexes,
and/or
as
defined
by
Fund
management.
This
definition
may
not
apply
for
purposes
of
this
report,
which
may
combine
industry
sub-classifications
into
sectors
for
reporting
ease.
(a)
All
percentages
shown
in
the
Portfolio
of
Investments
are
based
on
net
assets
applicable
to
common
shares
unless
otherwise
noted.
(b)
Variable
rate
security.
The
rate
shown
is
the
coupon
as
of
the
end
of
the
reporting
period.
(c)
Investment,
or
portion
of
investment,
has
been
pledged
to
collateralize
the
net
payment
obligations
for
investments
in
reverse
repurchase
agreements.
As
of
the
end
of
the
reporting
period,
investments
with
a
value
of
$44,226,396
have
been
pledged
as
collateral
for
reverse
repurchase
agreements.
(d)
For
fair
value
measurement
disclosure
purposes,
investment
classified
as
Level
3.
(e)
Borrowings
as
a
percentage
of
Total
Investments
is
6.2%.
(f)
The
Fund
may
pledge
up
to
100%
of
its
eligible
investments
(excluding
any
investments
separately
pledged
as
collateral
for
specific
investments
in
derivatives,
when
applicable)
in
the
Portfolio
of
Investments
as
collateral
for
borrowings.
As
of
the
end
of
the
reporting
period,
investments
with
a
value
of
$28,870,384
have
been
pledged
as
collateral
for
borrowings.
(g)
Reverse
Repurchase
Agreements,
including
accrued
interest
as
a
percentage
of
Total
investments
is
21.8%.
144A
Investment
is
exempt
from
registration
under
Rule
144A
of
the
Securities
Act
of
1933,
as
amended.
These
investments
may
only
be
resold
in
transactions
exempt
from
registration,
which
are
normally
those
transactions
with
qualified
institutional
buyers.
I/O
Interest
only
security
LIBOR
London
Inter-Bank
Offered
Rate
SOFR
30A
30
Day
Average
Secured
Overnight
Financing
Rate
TSFR
1M
CME
Term
SOFR
1
Month
TSFR
3M
CME
Term
SOFR
3
Month
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