N-Q 1 d376442dnq.htm NUVEEN MORTGAGE OPPORTUNITY TERM FUND Nuveen Mortgage Opportunity Term Fund

 

 

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-22329

Nuveen Mortgage Opportunity Term Fund

(Exact name of registrant as specified in charter)

    333 West Wacker Drive, Chicago, Illinois 60606    

(Address of principal executive offices) (Zip code)

Gifford R. Zimmerman—Vice President and Secretary

    333 West Wacker Drive, Chicago, Illinois 60606    

(Name and address of agent for service)

Registrant’s telephone number, including area code:     312-917-7700    

Date of fiscal year end:       December 31      

Date of reporting period:  March 31, 2017  

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

 

 

 

Item 1. Schedule of Investments

 

 

JLS

 

Nuveen Mortgage Opportunity Term Fund

   

Portfolio of Investments

    March 31, 2017 (Unaudited)

 

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
 

LONG-TERM INVESTMENTS – 135.3% (98.2% of Total Investments)

 

 

MORTGAGED-BACKED SECURITIES – 135.3% (98.2% of Total Investments)

 

      Residential – 135.3%  
$ 1,370    

Angel Oak Mortgage Trust, Series 2016-1, 144A (WI/DD)

     3.644%        1/25/47        A      $ 1,369,977  
  3,223    

Angel Oak Mortgage Trust, Series 2016-1, 144A

     3.500%        7/25/46        N/R        3,215,258  
  6,500    

Argent Securities Inc., Asset-Backed Pass-Through Certificates, Series 2005-W2

     1.481%        10/25/35        BB        5,786,511  
  2,590    

Atlas Senior Loan Fund Ltd, Series 2012-2A, 144A

     5.070%        1/30/24        BBB        2,590,668  
  2,650    

Babson CLO Limited, Series 2012-2A, 144A

     4.639%        5/15/23        BBB        2,650,533  
  1,836    

Banc of America Alternative Loan Trust, Pass-Through Certificates, Series 2006-6

     6.000%        7/25/46        Caa3        1,585,908  
  3,125    

Banc of America Merrill Lynch Large Loan Inc., Commercial Mortgage Pass-Through Certificates, Series 2015-200P, 144A

     3.716%        4/14/33        BB–        2,950,973  
  1,763    

Banc of America Mortgage Securities Inc, Mortgage Pass-Through Certificates, Series 2007-1

     6.000%        3/25/37        Caa3        1,592,404  
  2,020    

Bank of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2006-1

     5.648%        9/10/45        Baa1        2,016,706  
  5,330    

Bank of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2015-UBS7

     3.167%        9/15/48        BBB–        4,075,023  
  5,178    

Bank of America Funding Trust, 2007-A 2A1

     1.153%        2/20/47        CCC        4,792,064  
  3,674    

Bayview Opportunity Master Fund Trust, 2016-CRT1, 144A

     2.742%        10/27/27        A–        3,673,521  
  5,965    

Bayview Opportunity Master Fund Trust, 2017-CRT1, 144A

     3.142%        10/25/28        BBB–        5,969,587  
  1,807    

Bayview Opportunity Master Fund Trust, 2017-NPL1, 144A

     3.598%        1/28/32        N/R        1,801,994  
  3,225    

BB UBS Trust, Series 2012-SHOW, 144A

     4.026%        11/05/36        Baa1        3,121,054  
  6,071    

BCAP LLC Trust, Mortgage Pass-Through Certificates, Series 2006-AA2

     1.161%        1/25/37        Caa3        5,075,851  
  5,014    

BCAP LLC Trust, Mortgage Pass-Through Certificates, Series 2007 AA1 2A1

     1.171%        3/25/37        Caa3        4,693,418  
  1,874    

Bear Stearns Adjustable Rate Mortgage Trust 2005-3

     3.451%        6/25/35        Caa2        1,797,205  
  3,080    

Bear Stearns Adjustable Rate Mortgage Trust, Mortgage Pass-Through Certificate, Series 2006-4

     3.195%        10/25/36        D        2,683,055  
  4,238    

Bear Stearns Adjustable Rate Mortgage Trust, Mortgage Pass-Through Certificate, Series 2007-4

     4.471%        6/25/47        D        3,880,649  
  1,109    

Bear Stearns Adjustable Rate Mortgage Trust, Pass-Through Certificates, Series 2005-12

     3.282%        2/25/36        Caa3        936,926  
  4,234    

Bear Stearns Adjustable Rate Mortgage Trust, Pass-Through Certificates, Series 2005-12

     3.172%        2/25/36        Caa3        3,894,251  
  2,506    

Bear Stearns Adjustable Rate Mortgage Trust, Pass-Through Certificates, Series 2007-1

     3.380%        2/25/47        D        2,093,297  
  755    

BlueMountain Collateralized Loan Obligation, Series 2014-1A, 144A

     4.620%        4/30/26        BBB        755,940  
  2,305    

Bowman Park CLO Limited, Series 2014-1A, 144A

     4.403%        11/23/25        BBB–        2,304,931  
  6,490    

Carrington Mortgage Loan Trust, Asset-Backed Pass-Through Certificates, Series 2005-NC5

     1.471%        10/25/35        BB        6,008,090  
  4,156    

Carrington Securities LP, Mortgage Loan Trust Asset-Backed Pass-Through Certificates Series 2007-HE1

     1.141%        6/25/37        Ba1        3,880,223  
  1,879    

CDGJ Commercial Mortgage Trust, Mortgage Pass-Through Certificates, Series 2014-BXCH, 144A

     5.244%        12/15/27        BB–        1,892,424  
  4,244    

Chaseflex Trust Series 2007-2

     1.271%        5/25/37        CCC        3,905,455  
  975    

CIFC Funding Limited, Series 2012-2A, 144A

     4.750%        12/05/24        BBB        975,397  
  885    

CIFC Funding Limited, Series 2012-3A, 144A

     5.039%        1/29/25        BBB+        885,376  
  2,100    

CIFC Funding Limited, Series 2014-3A, 144A

     4.553%        7/22/26        Baa3        2,084,250  
  730    

Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2015-GC29, 144A

     3.110%        4/10/48        BBB–        521,627  
  981    

Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2017-CD3, 144A

     3.250%        2/10/50           795,998  
  887    

Citigroup Mortgage Loan Inc., Mortgage Pass-Through Certificates, Series 2006-AR2

     3.512%        3/25/36        Caa2        780,444  
  879    

Citigroup Mortgage Loan Trust Inc., Mortgage Pass-Through Certificates, Series 2005-3

     3.410%        8/25/35        Caa2        770,615  

 

NUVEEN     1  

JLS    Nuveen Mortgage Opportunity Term Fund   
   Portfolio of Investments (continued)    March 31, 2017 (Unaudited)

 

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
      Residential (continued)  
$ 1,107    

Citigroup Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2007-AR8

     3.202%        7/25/37        Caa2      $ 1,006,546  
  2,432    

Citigroup Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2006-AR7

     3.334%        11/25/36        D        2,126,929  
  315    

Commercial Mortgage Pass-Through Certificates, Series 2012-CR3, 144A

     4.929%        10/15/45        A–        315,012  
  3,820    

Commercial Mortgage Pass-Through Certificates, Series 2012-CR4, 144A

     4.725%        10/15/45        BBB        3,466,284  
  3,250    

Commercial Mortgage Pass-Through Certificates, Series CR5 A4, 144A

     4.331%        12/10/45        Baa3        2,905,027  
  1,130    

Core Industrial Trust, Series 2015-CALW, 144A

     3.850%        2/10/34        B        1,092,825  
  472    

Countrywide Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2006-6CB

     5.750%        5/25/36        Ca        356,801  
  3,975    

Countrywide Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2007-19

     6.000%        8/25/37        D        3,257,029  
  4,356    

Countrywide Alternative Loan Trust, Securitization Pass-Through Certificates Series 2007-HY7C A1

     1.131%        8/25/37        Caa2        3,583,811  
  1,693    

Countrywide CHL Mortgage Pass-Through Trust, Series 2006-HYB1

     3.224%        3/20/36        Caa3        1,441,643  
  918    

Countrywide CHL Mortgage Pass-Through Trust, Series 2005-HY10

     3.511%        2/20/36        Caa2        766,721  
  3,494    

Countrywide Home Loans Mortgage Pass-Through Certificates, Series 2005-HYB7

     3.010%        11/20/35        Caa3        2,944,155  
  3,044    

Credit Suisse Adjustable Rate Mortgage Trust 2005-9

     1.531%        11/25/35        BBB+        2,824,260  
  677    

Credit Suisse Adjustable Rate Mortgage Trust 2007-2

     1.201%        6/25/37        Caa2        636,674  
  2,548    

Credit Suisse First Boston Mortgage Acceptance Corporation, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-12

     3.434%        3/25/36        Caa3        2,214,993  
  797    

Credit Suisse First Boston Mortgage Securities Corporation, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2006-2

     3.347%        5/25/36        D        737,791  
  2,100    

CSAIL Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2015-C1, 144A

     3.943%        4/15/50        BBB–        1,745,852  
  4,700    

CSAIL Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2015-C3

     3.505%        8/15/48        BBB–        3,429,828  
  8,200    

Fannie Mae, (WI/DD)

     3.000%        4/01/40        Aaa        8,132,091  
  3,785    

Fannie Mae, Connecticut Avenue Securities, Series 2015-C03

     5.991%        7/25/25        N/R        4,163,299  
  1,240    

Fannie Mae, Connecticut Avenue Securities, Series 2015-C03

     5.991%        7/25/25        N/R        1,357,142  
  1,300    

Fannie Mae, Connecticut Avenue Securities, Series 2015-C04

     6.541%        4/25/28        N/R        1,446,980  
  4,086    

Fannie Mae, Connecticut Avenue Securities, Series 2015-C04

     6.691%        4/25/28        N/R        4,622,960  
  515    

Fannie Mae, Connecticut Avenue Securities, Series 2016-C03

     13.741%        10/25/28        N/R        691,207  
  2,600    

Fannie Mae, Connecticut Avenue Securities, Series 2016-C03

     6.891%        10/25/28        B        2,959,524  
  817    

Fannie Mae, Connecticut Avenue Securities, Series 2016-C04

     2.441%        1/25/29        Baa2        826,258  
  3,627    

Fannie Mae, Connecticut Avenue Securities, Series 2016-C02

     6.991%        9/25/28        Ba2        4,139,189  
  2,455    

Fannie Mae, Connecticut Avenue Securities, Series 2016-C05

     11.741%        1/25/29        N/R        2,919,160  
  4,734    

Fannie Mae, Connecticut Avenue Securities, Series 2016-C05

     5.441%        1/25/29        B        5,058,549  
  2,239    

Fannie Mae, Connecticut Avenue Securities, Series 2016-C05

     2.341%        1/25/29        BBB–        2,251,447  
  1,950    

Fannie Mae, Connecticut Avenue Securities, Series 2016-C07

     10.491%        4/25/29        N/R        2,135,559  
  2,530    

Fannie Mae, Connecticut Avenue Securities, Series 2016-C07

     5.341%        4/25/29        B        2,673,541  
  5,545    

Fannie Mae, Connecticut Avenue Securities, Series 2017-C02

     6.491%        9/25/29        N/R        5,594,464  
  3,016    

First Horizon Alternative Mortgage Securities Trust, Mortgage Pass-Through Certificates, Series 2006-FA3

     6.000%        7/25/36        Ca        2,456,538  
  1,874    

First Horizon Alternative Mortgage Securities Trust, Mortgage Pass-Through Certificates Series 2006-FA3

     6.000%        7/25/36        Ca        1,525,949  
  2,658    

First Horizon Alternative Mortgage Securities Trust, Pass-Through Certificates, Series 2005-A7

     3.066%        9/25/35        Caa2        2,355,080  
  2,546    

First Horizon Alternative Mortgage Securities Trust, Pass-Through Certificates, Series 2006-AA2

     3.078%        5/25/36        Ca        2,051,246  
  1,504    

First Horizon Mortgage Pass-Through Trust, Mortgage Pass-Through Certificate, Series 2007-AR2

     3.030%        8/25/37        D        1,195,865  
  7,310    

Freddie Mac Collateralized Mortgage REMIC Series 4338, (I/O)

     2.568%        6/25/42        Aaa        1,049,886  
  4,045    

Freddie Mac Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series K720, 144A

     3.505%        7/25/22        Ba2        3,648,264  
  5,400    

Freddie Mac Mulitfamily Structured Pass-Through Certificates, Series K701, (I/O)

     2.181%        7/25/48        Aaa        64,807  
  3,250    

Freddie Mac Multifamily Aggregation Period Risk Transfer Trust, Series 2017-KT01, 144A

     4.566%        2/25/20        Aaa        3,246,084  

 

  2     NUVEEN

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
      Residential (continued)  
$ 3,175    

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, 144A

     4.083%        8/25/47        Baa3      $ 3,194,412  
  1,531    

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2013-K31, 144A

     3.741%        7/25/46        Baa3        1,490,786  
  2,000    

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2014-K715, 144A

     4.267%        2/25/46        Baa2        2,035,514  
  3,160    

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2015-K44, 144A

     3.811%        1/25/48        BBB–        2,877,089  
  250    

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2015-K45, 144A

     3.714%        4/25/48        BBB–        221,549  
  2,600    

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2015-K50, 144A

     3.908%        10/25/48        BBB–        2,287,124  
  1,295    

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2015-K714, 144A

     3.980%        1/25/47        Baa3        1,310,165  
  2,890    

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2015-K718, 144A

     3.668%        2/25/22        Ba2        2,673,832  
  1,299    

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2016-K56, 144A

     4.072%        6/25/49        BBB–        1,129,520  
  810    

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2016-K59, 144A

     3.695%        11/25/49        A–        751,729  
  1,070    

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2016-K60, 144A

     3.658%        12/25/49        BBB–        889,591  
  1,400    

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2016-K722, 144A

     3.966%        7/25/49        BBB–        1,243,332  
  3,250    

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2017-K61, 144A

     3.808%        12/25/26        BBB        3,026,523  
  5,220    

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2017-K63, 144A

     4.005%        2/25/50        BB+        4,420,797  
  980    

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2017-K724, 144A

     3.618%        11/25/23        BBB        926,858  
  1,630    

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K013, (I/O)

     2.909%        1/25/43        Aaa        163,309  
  17,405    

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K025, (I/O)

     1.811%        11/25/40        Aaa        1,447,088  
  11,406    

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K031, (I/O)

     1.714%        7/25/41        Aaa        972,811  
  16,460    

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K034, (I/O)

     1.783%        9/25/41        Aaa        1,517,581  
  9,800    

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K037, (I/O)

     2.281%        1/25/42        Aaa        1,214,646  
  31,850    

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K714, (I/O)

     1.851%        1/25/42        Aaa        1,845,561  
  13,450    

Freddie Mac Multifamily Structured Pass-Through Certificates, Series 2011-K012, (I/O)

     2.329%        1/25/41        Aaa        1,056,089  
  775    

Freddie Mac MultiFamily Structured Pass-Through Certificates, Series 2014-K37, 144A

     4.713%        1/25/47        A–        770,367  
  4,311    

Freddie Mac MultiFamily Structured Pass-Through Certificates, Series 2015-K46, 144A

     3.819%        4/25/48        BBB–        3,829,329  
  15,800    

Freddie Mac Structured Pass-Through Certificates, Series K711 X3, (I/O)

     1.675%        8/25/40        Aaa        539,140  
  4,900    

General Electric Capital Commercial Mortgage Corporation, Commercial Mortgage Pass-Through Certificates, Series 2007-C1

     5.606%        12/10/49        Ba3        4,871,431  
  2,748    

Ginnie Mae Mortgage Pool, (I/O)

     4.000%        9/16/26        Aaa        330,749  
  14,669    

Ginnie Mae Mortgage Pool, (I/O)

     3.000%        12/16/27        Aaa        1,327,079  
  2,639    

GMAC Mortgage Corporation, Mortgage Pass-Through Certificates, Series 2005-AR5

     3.311%        9/19/35        CCC        2,254,157  
  2,729    

GMAC Mortgage Corporation, Mortgage Pass-Through Certificates, Series 2005-AF2

     6.000%        12/25/35        D        2,367,162  
  2,459    

GMAC Mortgage Corporation, Mortgage Pass-Through Certificates, Series 2006-AR1

     3.808%        4/19/36        Caa3        2,203,182  
  4,434    

Goldman Sachs GSAA Home Equity Trust, Series 2007-8

     1.441%        8/25/37        B3        4,086,437  
  277    

Goldman Sachs Mortgage Securities Corporation, GSR Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2007-AR1

     3.285%        3/25/47        D        249,577  

 

NUVEEN     3  

JLS    Nuveen Mortgage Opportunity Term Fund   
   Portfolio of Investments (continued)    March 31, 2017 (Unaudited)

 

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
      Residential (continued)  
$ 2,850    

Goldman Sachs Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series 2006-AR1 2A4

     3.496%        1/25/36        D      $ 2,647,778  
  4,115    

Goldman Sachs Mortgage Securities Trust, Mortgage Pass-Through Certificates, Series 2014-GC20, 144A

     4.858%        4/10/47        BBB–        3,108,477  
  1,605    

Goldman Sachs Mortgage Securities Trust, Mortgage Pass-Through Certificates, Series 2017-GS5, 144A

     3.509%        3/10/50        BBB–        1,369,106  
  1,710    

Goldman Sachs Mortgage Securities Trust, Series 2014-GC18

     4.945%        1/10/47        A3        1,765,301  
  1,220    

Government National Mortgage Association Pool, (I/O)

     4.500%        10/20/39        Aaa        156,247  
  970    

Green Tree Agency Funding Trust, Manufactured Housing Contract Pass-Through Certificates, Series 2016-T1, 144A

     2.380%        10/15/48        AAA        962,327  
  2,806    

GSR Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series 2007-AR2

     3.557%        5/25/37        D        2,275,852  
  3,885    

HarborView Mortgage Loan Trust 2006-12

     1.234%        12/19/36        Ca        3,171,405  
  4,711    

HomeBanc Mortgage Trust, Mortgage Backed Notes 2005-5

     1.251%        1/25/36        Caa1        4,165,063  
  3,333    

HomeBanc Mortgage Trust, Mortgage Backed Notes 2006-2

     1.171%        12/25/36        B3        2,961,875  
  1,180    

Honor Automobile Trust, Series 2016-1A, 144A

     5.760%        4/15/21        BBB        1,189,731  
  1,665    

IndyMac INDA Mortgage Loan Trust, Series 2007-AR3

     4.326%        7/25/37        Caa2        1,502,547  
  3,234    

IndyMac INDX Mortgage Loan Trust, Series 2007-AR5

     3.463%        5/25/37        Ca        2,627,783  
  3,433    

IndyMac INDX Mortgage Loan Trust, Series 2005-AR11

     3.159%        8/25/35        Caa3        2,839,120  
  450    

IndyMac INDX Mortgage Loan Trust, Series 2005-AR23

     3.106%        11/25/35        Caa3        393,294  
  691    

IndyMac INDX Mortgage Loan Trust, Series 2006-AR11

     3.427%        6/25/36        Ca        615,712  
  1,406    

IndyMac INDX Mortgage Loan Trust, Series 2006-AR15

     1.201%        7/25/36        Caa3        1,222,893  
  2,216    

IndyMac INDX Mortgage Loan Trust, Series 2006-AR15

     1.111%        7/25/36        Caa3        1,909,352  
  2,167    

IndyMac INDX Mortgage Loan Trust, Series 2006-AR39

     1.171%        2/25/37        Caa3        1,889,056  
  1,300    

InSite Issuer LLC, Series 2016-1A, 144A

     6.414%        11/15/46        BB–        1,319,844  
  1,110    

J.P. Morgan Mortgage Trust, Mortgage Pass-Through Certificates, Series 2006-A4

     3.421%        6/25/36        Caa2        963,302  
  3,068    

JP Morgan Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2006-S4

     5.960%        12/25/36        Ca        2,703,786  
  736    

JP Morgan Chase Commercial Mortgage Securities Corporation, Commercial Mortgage Pass-Through Certificates, Series 2006-S4 A5

     6.000%        1/25/37        Caa3        593,547  
  1,705    

JP Morgan Chase Commercial Mortgage Securities Corporation, Commercial Mortgage Pass-Through Certificates,
Series 2011-C5, 144A

     5.588%        8/15/46        Baa3        1,704,972  
  3,335    

JP Morgan Chase Commercial Mortgage Securities Corporation,
Pass-Through Certificates Trust 2013-C16, 144A

     5.140%        12/15/46        BBB–        3,142,195  
  5,000    

JP Morgan Chase Commercial Mortgage Securities Trust,
Pass-Through Certificates, Series 2006-LDP9

     5.337%        5/15/47        Ba1        4,936,553  
  136    

JP Morgan Chase Commercial Mortgage Trust, Commercial Mortgage
Pass-Through Certificates, Series 2006-CB17 AM

     5.464%        12/12/43        Baa3        135,889  
  3,658    

JP Morgan JPMBB Commercial Mortgage Securities Trust,
Pass-Through Certificates, Series 2014-C23, 144A

     4.108%        9/15/47        BBB–        2,955,362  
  4,200    

JP Morgan Mortgage Acquisition Corporation, Asset-Backed Pass-Through Certificates, Series 2007-CH5

     1.251%        6/25/37        Ba3        3,818,688  
  2,639    

JP Morgan Mortgage Acquisition Trust, Series 2006-A6, 144A

     3.308%        10/25/36        Caa2        2,328,760  
  1,045    

JPMBD Commercial Mortgage Securities Trust, Series 2016-C4

     3.225%        12/15/49        BBB–        760,690  
  2,275    

LSTAR Securities Investment Trust, Mortgage Pass-Through Certificates, Series 2015-10, 144A

     4.495%        11/02/20        N/R        2,277,425  
  1,533    

LSTAR Securities Investment Trust, Mortgage Pass-Through Certificates, Series 2016-3, 144A

     2.995%        9/01/21        N/R        1,513,723  
  2,943    

LSTAR Securities Investment Trust, Mortgage Pass-Through Certificates, Series 2016-4, 144A

     2.983%        10/01/21        N/R        2,922,935  
  2,458    

LSTAR Securities Investment Trust, Mortgage Pass-Through Certificates, Series 2016-5, 144A

     2.995%        11/01/21        N/R        2,450,601  
  2,768    

LSTAR Securities Investment Trust, Mortgage Pass-Through Certificates, Series 2017-1, 144A

     2.995%        1/01/22        N/R        2,761,028  
  2,626    

LSTAR Securities Investment Trust, Mortgage Pass-Through Certificates, Series 2017-2, 144A

     2.995%        2/01/22        N/R        2,596,416  
  1,995    

Magnetite CLO Limited, Series 2012-7A, 144A

     4.908%        1/15/25        A2        2,007,846  
  1,215    

Marine Park CLO Limited, Series 2012-1A, 144A

     4.602%        5/18/23        BBB        1,215,152  
  2,506    

Merrill Lynch Mortgage Backed Securities Trust, Mortgage Loan Asset Backed Notes, Series 2007-2

     3.430%        8/25/36        Caa2        2,297,927  
  4,352    

Merrill Lynch Mortgage Backed Securities Trust, Mortgage Loan Asset Backed Notes, Series 2007-3

     3.342%        6/25/37        D        3,636,257  

 

  4     NUVEEN

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
      Residential (continued)  
$ 3,900    

ML_CFC Commercial Mortgage Trust, Pass-Through Certificates, Series 2007-8

     5.894%        8/12/49        BB      $ 3,910,835  
  1,925    

Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C14, 144A

     4.990%        2/15/47        BBB–        1,703,583  
  6,189    

Morgan Stanley Capital I Inc., Mortgage Pass-Through Certificates, Series 2006- HE1

     1.281%        1/25/36        B1        5,797,692  
  4,130    

Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-HQ8

     5.450%        3/12/44        Ba1        4,119,242  
  2,045    

Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-TOP21, 144A

     5.332%        10/12/52        Baa1        1,451,725  
  1,525    

Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-TOP21, 144A

     5.414%        10/12/52        Ba1        541,207  
  3,786    

Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-IQ14

     5.893%        4/15/49        Ba2        3,780,469  
  2,674    

Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-TOP25

     5.574%        11/12/49        Ba2        2,710,463  
  2,025    

Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2008-T29, 144A

     6.293%        1/11/43        BB        2,009,642  
  1,510    

Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2016-BNK2, 144A

     3.000%        11/15/49        BBB–        1,191,745  
  2,237    

Morgan Stanley Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2006-3AR

     3.468%        3/25/36        Caa3        1,797,313  
  495    

Morgan Stanley Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2007-15AR

     3.254%        11/25/37        CCC        418,215  
  3,521    

Mortgage IT Trust, Mortgage-Backed Notes, Series 2005-5

     1.251%        12/25/35        BB+        3,261,866  
  642    

New Residential Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2016-3A, 144A

     3.250%        9/25/56        Aaa        643,284  
  2,100    

Opteum Mortgage Acceptance Corporation, Asset-backed
Pass-Through Certificates, Series 2006-1

     1.291%        4/25/36        CCC        1,944,315  
  4,041    

Prestige Auto Receivables Trust, Series 2016-2A, 144A

     3.910%        11/15/22        BBB        4,021,146  
  2,987    

Residential Accredit Loans Inc., Hybrid Adjustable Rate Mortgages, 2006-QA6

     1.181%        7/25/36        Caa3        2,601,759  
  6,669    

Residential Accredit Loans Inc., Mortgage Asset-Backed Pass-Through Certificates, Series 2006-QA3

     1.291%        4/25/36        Ca        4,806,036  
  4,637    

Residential Accredit Loans Inc., Mortgage Asset-Backed Pass-Through Certificates, Series 2005-QA10 A31

     4.110%        9/25/35        Caa3        3,916,716  
  2,654    

Residential Accredit Loans Inc., Mortgage Asset-Backed Pass-Through Certificates, Series 2006-QS1

     5.750%        1/25/36        Caa3        2,410,552  
  1,644    

Residential Accredit Loans Inc., RALI Mortgage Asset-Backed
Pass-Through Certificates, Series 2007-QS2

     6.250%        1/25/37        Caa3        1,313,706  
  1,227    

Residential Accredit Loans Inc., RALI Mortgage Asset-Backed Pass-Through Certificates, Series 2005-QA6

     3.759%        5/25/35        Caa3        946,643  
  993    

Residential Accredit Loans Inc., RALI Mortgage Asset-Backed Pass-Through Certificates, Series 2006-QA1

     4.307%        1/25/36        Caa3        793,346  
  3,500    

Residential Asset Mortgage Products Inc. Asset Backed Pass-Through Certificates, Series 2005-RS7

     1.491%        7/25/35        Aa2        3,311,592  
  7,295    

Residential Asset Mortgage Products, Mortgage Asset-Backed
Pass-Through Certificates, Series 2006-NC2

     1.281%        2/25/36        A2        6,793,854  
  1,912    

Residential Funding Mortgage Securities I Inc., Mortgage
Pass-Through Certificates Series 2007-SA3

     4.384%        7/27/37        D        1,696,137  
  1,180    

Residential Funding Mortgage Securities I Inc., Mortgage
Pass-Through Certificates, Series 2006-SA3

     4.310%        9/25/36        D        959,075  
  1,963    

Residential Funding Mortgage Securities I, Mortgage Pass-Through Certificates, Series 2007-SA2

     3.978%        4/25/37        Caa2        1,789,346  
  2,100    

Residential Funding Mortgage Securities I, Mortgage Pass -Through Certificates, Series 2007-SA2

     3.978%        4/25/37        Caa2        1,913,895  
  1,319    

Residential Funding Mortgage Securities Inc. Mortgage Pass-Through Certificates Series 2006-SA2

     4.368%        8/25/36        D        1,154,320  
  3,900    

Santander Drive Auto Receivables Trust, Series 2015-5

     3.650%        12/15/21        A–        3,974,385  
  780    

Seneca Park CLO Limited, Asset-Backed Securities,
Series 2014-1A, 144A

     4.658%        7/17/26        Baa3        780,002  
  3,748    

Sequoia Mortgage Trust, Mortgage Pass-Through Certificates, Series 2007-1

     3.246%        2/20/47        D        3,354,691  
  1,358    

Sofi Consumer Loan Program Trust, Series 2016-3, 144A

     3.050%        12/26/25        N/R        1,358,434  
  2,488    

Sofi Consumer Loan Program Trust, Series 2017-1, 144A

     3.280%        1/26/26        N/R        2,499,205  

 

NUVEEN     5  

JLS    Nuveen Mortgage Opportunity Term Fund   
   Portfolio of Investments (continued)    March 31, 2017 (Unaudited)

 

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
      Residential (continued)  
$ 3,874    

Structured Adjustable Rate Mortgage Loan Pass-Through Trust, Series 2007-6 2A1

     1.181%        7/25/37        CCC      $ 3,347,694  
  3,251    

Structured Agency Credit Risk Debt Notes 2014-DN2

     2.641%        4/25/24        A+        3,284,768  
  1,143    

Structured Agency Credit Risk Debt Notes, Series 2015-DNA1

     10.191%        10/25/27        N/R        1,455,585  
  5,791    

Structured Agency Credit Risk Debt Notes, Series 2015-DNA3

     3.841%        4/25/28        BBB–        6,008,134  
  3,505    

Structured Agency Credit Risk Debt Notes, Series 2015-HQ2

     2.941%        5/25/25        A3        3,578,567  
  1,959    

Structured Agency Credit Risk Notes, Series 2015-HQA1

     9.791%        3/25/28        N/R        2,211,425  
  2,256    

Structured Agency Credit Risk Notes, Series 2015-HQA2

     11.491%        5/25/28        N/R        2,740,876  
  4,775    

Structured Agency Credit Risk Notes, Series 2016-DNA1

     3.891%        7/25/28        Baa3        4,975,052  
  250    

Structured Agency Credit Risk Notes, Series 2016-DNA2

     11.491%        10/25/28        N/R        306,785  
  2,700    

Structured Agency Credit Risk Notes, Series 2016-DNA4

     4.791%        3/25/29        B        2,787,873  
  4,880    

Structured Agency Credit Risk Notes, Series 2016-HQA1

     3.741%        9/25/28        BBB–        5,077,103  
  3,283    

Structured Agency Credit Risk Notes, Series 2016-HQA2

     3.241%        11/25/28        Baa2        3,385,988  
  2,500    

Structured Agency Credit Risk Notes, Series 2016-HQA3

     9.991%        3/25/29        N/R        2,704,520  
  2,674    

Structured Agency Credit Risk Notes, Series 2016-HQA3

     2.341%        3/25/29        BBB–        2,692,251  
  1,960    

Structured Agency Credit Risk Notes, Series 2016-HQA4

     9.741%        4/25/29        N/R        2,041,995  
  4,260    

Structured Agency Credit Risk Notes, Series 2016-HQA4

     2.291%        4/25/29        BBB–        4,259,998  
  1,910    

Structured Agency Credit Risk Notes, Series 2017-DNA1

     5.941%        7/25/29        N/R        1,911,200  
  6,000    

Structured Agency Credit Risk Notes, Series 2017-HQA1

     5.991%        8/25/29        N/R        5,921,181  
  4,024    

Structured Agency Credit Risk Notes, Series 2017-HQA1

     2.191%        8/25/29        Baa3        4,038,244  
  2,229    

SunTrust Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificate, Series 2007-2

     3.614%        4/25/37        D        1,856,792  
  1,305    

SunTrust Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificate, Series 2007-4

     3.556%        10/25/37        Caa1        1,189,428  
  3,517    

SunTrust Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2007-1

     3.543%        2/25/37        D        3,048,986  
  2,275    

Vericrest Opportunity Loan Transferee, Series 2017-NPL2, 144A

     3.500%        3/25/47        N/R        2,275,960  
  2,315    

Voya CLO Limited, Series 2012-3AR, 144A

     5.108%        10/15/22        BBB        2,317,121  
  4,060    

Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C30

     5.413%        12/15/43        B1        4,085,494  
  1,366    

Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C31

     5.984%        4/15/47        B3        1,360,252  
  3,650    

Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C31

     5.660%        4/15/47        Ba1        3,662,171  
  3,825    

Wachovia Commercial Mortgage Trust, Pass-Through Certificates, Series 2005-C21, 144A

     5.471%        10/15/44        B+        3,420,315  
  1,377    

Washington Mutual Mortgage Pass-Through Certificates Trust 2006-AR14

     2.663%        11/25/36        D        1,227,292  
  4,565    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR17

     1.458%        12/25/46        Caa3        3,843,098  
  2,011    

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR

     2.519%        1/25/37        D        1,791,687  
  1,266    

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY6

     2.666%        6/25/37        D        1,172,384  
  1,356    

Washington Mutual Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series 2007-HY1

     1.151%        2/25/37        Caa3        1,023,195  
  1,839    

Washington Mutual Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series 2006-5

     6.000%        7/25/36        Ca        1,507,113  
  4,330    

Washington Mutual Mortgage Securities Corporation, Pass-Through Certificates, Series 2006-AR

     2.800%        12/25/36        D        3,717,813  
  3,154    

Washington Mutual Mortgage Securities Corporation, Pass-Through Certificates, Series 2006-AR

     2.744%        12/25/36        D        2,885,329  
  2,214    

Washington Mutual Mortgage Securities Corporation. Mortgage Pass-Through Certificates, Series 2006-AR7

     1.642%        7/25/46        Caa3        1,934,487  
  881    

Wells Fargo Alternative Loan Trust, Mortgage Asset-Backed
Pass-Through Certificates, Series 2007-PA1

     6.000%        3/25/37        Caa3        776,974  
  2,235    

Wells Fargo Alternative Loan Trust, Mortgage Asset-Backed Pass-Through Certificates, Series 2007-PA6

     3.184%        12/28/37        D        2,050,179  
  2,950    

Wells Fargo Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2015-NXS1

     4.240%        5/15/48        BBB–        2,438,029  
  735    

Wells Fargo Commercial Mortgage Trust, Commercial Mortgage
Pass-Through Certificates, Series 2016-BNK1, 144A

     3.000%        8/15/49        BBB–        608,298  
  2,447    

Wells Fargo Mortgage Backed Securities Trust, Mortgage Pass-Through Certificates, Series 2007-AR8

     3.139%        11/25/37        Caa2        2,295,822  

 

  6     NUVEEN

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
      Residential (continued)  
$ 3,101    

Wells Fargo Mortgage Backed Securities, Collateralized Mortgage Obligation, Series 2007-AR7 A1

     3.156%        12/28/37        Caa3      $ 2,855,865  
  2,546    

Wells Fargo Mortgage Securities Trust, Mortgage Pass-Through Certificates, Series 2006-AR10

     3.169%        7/25/36        D        2,398,332  
  2,430    

Wells Fargo-RBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2014-C20, 144A

     3.986%        5/15/47        N/R        1,833,529  
$ 728,697    

Total Long-Term Investments (cost $537,598,694)

                                550,546,826  
Principal
Amount (000)		     Description (1)   Coupon      Maturity              Value  
 

SHORT-TERM INVESTMENTS – 2.5% (1.8% of Total Investments)

 

      REPURCHASE AGREEMENTS – 2.5% (1.8% of Total Investments)  
$ 10,103    

Repurchase Agreement with Fixed Income Clearing Corporation,
dated 3/31/17, repurchase price $10,103,262,
collateralized by $10,090,000, 3.125%, U.S. Treasury Bonds,
due 8/15/44, Value $10,308,065

     0.090%        4/03/17               $ 10,103,186  
 

Total Short-Term Investments (cost $10,103,186)

                                10,103,186  
 

Total Investments (cost $547,701,880) – 137.8%

                                560,650,012  
 

Borrowings – (36.2)% (3), (4)

                                (147,200,000 ) 
 

Other Assets Less Liabilities – (1.6)%

                                (6,541,004 ) 
 

Net Assets – 100%

                              $ 406,909,008  

Fair Value Measurements

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. A three-tier hierarchy 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 the reporting entity’s own 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, prepayment speeds, credit risk, etc.).
Level 3 –   Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:

 

      Level 1      Level 2      Level 3      Total  

Long-Term Investments:

            

Mortgaged-Backed Securities

    $ —      $ 550,546,826      $ —      $ 550,546,826  

Short-Term Investments:

            

Repurchase Agreements

      —        10,103,186        —        10,103,186  

Total

    $ —      $ 560,650,012      $ —      $ 560,650,012  

Income Tax Information

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to recognition of market discount accretion on investments, recognition of unrealized gain or loss for tax (mark-to-market) on futures contracts and timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent

 

NUVEEN     7  

JLS    Nuveen Mortgage Opportunity Term Fund   
   Portfolio of Investments (continued)    March 31, 2017 (Unaudited)

 

in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.

As of March 31, 2017, the cost of investments was $536,827,424.

Gross unrealized appreciation and gross unrealized depreciation of investments as of March 31, 2017, were as follows:

 

Gross unrealized:

           

Appreciation

      $ 23,975,922  

Depreciation

        (153,334 ) 

Net unrealized appreciation (depreciation) of investments

      $ 23,822,588  

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.

 

(1) All percentages shown in the Portfolio of Investments are based on net assets.

 

(2) For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.

 

(3) Borrowings as a percentage of Total Investments is 26.3%.

 

(4) The Fund segregates 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.

 

(I/O) Interest only security.

 

(WI/DD) Investment, or portion of investment, purchased on a when-issued or delayed delivery basis.

 

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.

 

  8     NUVEEN

Item 2. Controls and Procedures.

 

  a. The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

  b. There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.

 

 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)    Nuveen Mortgage Opportunity Term Fund   
By (Signature and Title)    /s/ Gifford R. Zimmerman                                                           
   Gifford R. Zimmerman   
   Vice President and Secretary   

Date: May 30, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)    /s/ Cedric H. Antosiewicz                                                        
   Cedric H. Antosiewicz   
   Chief Administrative Officer (principal executive officer)   
Date: May 30, 2017      
By (Signature and Title)    /s/ Stephen D. Foy                                                                    
   Stephen D. Foy   
   Vice President and Controller (principal financial officer)   
Date: May 30, 2017