0001752724-21-044015.txt : 20210226
0001752724-21-044015.hdr.sgml : 20210226
20210226165908
ACCESSION NUMBER: 0001752724-21-044015
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20201231
FILED AS OF DATE: 20210226
PERIOD START: 20201231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Nuveen Mortgage & Income Fund/MA/
CENTRAL INDEX KEY: 0001472215
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-22329
FILM NUMBER: 21690507
BUSINESS ADDRESS:
STREET 1: 333 WEST WACKER DRIVE
CITY: CHICAGO
STATE: IL
ZIP: 60606
BUSINESS PHONE: 312-917-8146
MAIL ADDRESS:
STREET 1: 333 WEST WACKER DRIVE
CITY: CHICAGO
STATE: IL
ZIP: 60606
FORMER COMPANY:
FORMER CONFORMED NAME: Nuveen Mortgage Opportunity Term Fund
DATE OF NAME CHANGE: 20090914
NPORT-P
1
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Nuveen Mortgage and Income Fund
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0001472215
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333 W. Wacker Dr
Chicago
60606
312-917-7700
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2020-12-31
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ABS-CBDO
USGSE
US
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2036-10-25
Variable
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N
N
N
N
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VIVINT SOLAR FINANCING LLC
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Vivint Solar Financing V LLC
92854VAB1
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USD
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ABS-O
CORP
US
Y
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2048-04-30
Fixed
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N
N
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Countrywide Home Loans
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CHL Mortgage Pass-Through Trust 2006-HYB1
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PA
USD
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ABS-CBDO
USGSE
US
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2
2036-03-20
Variable
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N
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Tesla Auto Lease Trust
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Tesla Auto Lease Trust 2020-A
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USD
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ABS-O
CORP
US
Y
2
2024-08-20
Fixed
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N
N
N
N
N
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Natixis Commercial Mortgage Se
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Natixis Commercial Mortgage Securities Trust 2019-MILE
63875FAJ5
1000000.00000000
PA
USD
967809.70000000
0.795618100365
Long
ABS-MBS
USGSE
US
Y
2
2036-07-15
Variable
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N
N
N
N
N
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VR Funding LLC
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VR Funding LLC
91835CAA1
1218462.14000000
PA
USD
1171122.33000000
0.962757578778
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ABS-O
CORP
US
Y
2
2050-11-15
Fixed
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N
N
N
N
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Hudson Yards
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Hudson Yards
44421MAN0
1000000.00000000
PA
USD
916620.80000000
0.753536671157
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ABS-MBS
CORP
US
Y
2
2041-12-10
Variable
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N
N
N
N
N
Federal Agricultural Mortgage Corp Discount Notes
N/A
Federal Agricultural Mortgage Corp Discount Notes
31315LAD0
2502000.00000000
PA
USD
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2.056845299472
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STIV
USGSE
US
N
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N
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AIR CANADA 2020-2A PTT
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Air Canada 2020-2 Class A Pass Through Trust
00909DAA1
1250000.00000000
PA
USD
1335624.13000000
1.097991405865
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ABS-O
CORP
CA
Y
2
2029-04-01
Fixed
5.25000000
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N
N
N
N
BRITISH AIR 20-1 B PPT
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British Airways 2020-1 Class B Pass Through Trust
11042WAA4
1000000.00000000
PA
USD
1102500.00000000
0.906344455581
Long
ABS-O
CORP
US
Y
2
2028-11-15
Fixed
8.37500000
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N
N
N
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JP Morgan Mortgage Trust
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JP Morgan Mortgage Trust 2018-6
46650JAV6
940985.91000000
PA
USD
952474.60000000
0.783011403893
Long
ABS-CBDO
USGSE
US
Y
2
2048-12-25
Variable
3.92474500
N
N
N
N
N
N
Taco Bell Funding, LLC
N/A
Taco Bell Funding LLC
87342RAC8
506625.00000000
PA
USD
546395.06000000
0.449181073186
Long
ABS-O
CORP
US
Y
2
2046-05-25
Fixed
4.97000000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan
N/A
GMACM Mortgage Loan Trust 2005-AF2
36185MDB5
1503647.65000000
PA
USD
1423284.90000000
1.170055671499
Long
ABS-CBDO
USGSE
US
N
2
2035-12-25
Fixed
6.00000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2020-1
61946NAC2
800000.00000000
PA
USD
825155.04000000
0.678344395010
Long
ABS-O
CORP
US
Y
2
2046-04-20
Fixed
4.47000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
5493006JG853WBZS5J73
Neuberger Berman Loan Advisers CLO 37 Ltd
64133HAA6
1250000.00000000
PA
USD
1257090.00000000
1.033429978836
Long
ABS-O
CORP
KY
Y
2
2031-07-20
Variable
7.26838000
N
N
N
N
N
N
CIFC Funding Ltd
254900JI8OLAMXS6KW67
CIFC Funding 2019-II Ltd
12554AAG7
2000000.00000000
PA
USD
2000446.00000000
1.644528925886
Long
ABS-O
CORP
KY
Y
2
2030-04-17
Variable
3.81775000
N
N
N
N
N
N
Sonic Capital LLC
N/A
Sonic Capital LLC
83546DAG3
763583.33000000
PA
USD
814728.14000000
0.669772637183
Long
ABS-O
CORP
US
Y
2
2050-01-20
Fixed
3.84500000
N
N
N
N
N
N
Freddie Mac - STACR
549300TCRXCIFPAC3B85
Freddie Mac STACR REMIC Trust 2020-HQA1
35565JAH4
2000000.00000000
PA
USD
1990599.40000000
1.636434221744
Long
ABS-CBDO
CORP
US
Y
2
2050-01-25
Variable
2.04800000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C29
46644RBE4
760000.00000000
PA
USD
798118.33000000
0.656118025662
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Variable
4.11800000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R01
20754FAK8
642596.94000000
PA
USD
642189.73000000
0.527932064595
Long
ABS-CBDO
USGSE
US
Y
2
2031-07-25
Variable
2.59800000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
5493002S7XBI8CVRR075
Wells Fargo Commercial Mortgage Trust 2015-NXS1
94989HBM1
1300000.00000000
PA
USD
1274434.98000000
1.047688959747
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Variable
4.14624700
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-LC21 Mortgage Trust
12593FBG8
800000.00000000
PA
USD
864729.44000000
0.710877762831
Long
ABS-MBS
USGSE
US
N
2
2048-07-10
Variable
4.33476800
N
N
N
N
N
N
HIN Timeshare Trust 2020-A
N/A
HIN Timeshare Trust 2020-A
40439HAE9
463237.04000000
PA
USD
470367.56000000
0.386680299402
Long
ABS-O
CORP
US
Y
2
2039-10-09
Fixed
6.50000000
N
N
N
N
N
N
SESAC Finance, LLC
N/A
Sesac Finance LLC
78396YAA1
587562.50000000
PA
USD
622487.22000000
0.511735002736
Long
ABS-O
CORP
US
Y
2
2049-07-25
Fixed
5.21600000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2020-2 Receivables Funding LLC
826525AD9
1055065.55000000
PA
USD
1093024.59000000
0.898554899737
Long
ABS-O
CORP
US
Y
2
2037-07-20
Fixed
6.59000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDE1
225000.00000000
PA
USD
237146.38000000
0.194953566144
Long
ABS-O
CORP
US
Y
2
2025-03-20
Fixed
4.95000000
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N
N
N
N
N
Cayuga Park CLO, Ltd.
N/A
Cayuga Park CLO, Ltd
149790AA5
300000.00000000
PA
USD
301593.90000000
0.247934656782
Long
ABS-O
CORP
KY
Y
2
2031-07-17
Variable
7.56180000
N
N
N
N
N
N
Horizon Aircraft Finance III L
N/A
Horizon Aircraft Finance III Ltd
44040JAB4
244047.63000000
PA
USD
209216.49000000
0.171992930365
Long
ABS-O
CORP
KY
Y
2
2039-11-15
Fixed
4.45800000
N
N
N
N
N
N
Fannie Mae - CAS | 3064613
N/A
Connecticut Avenue Securities
30711XQX5
1861139.82000000
PA
USD
1865878.47000000
1.533903497572
Long
ABS-CBDO
USGSE
US
N
2
2030-02-25
Variable
2.79800000
N
N
N
N
N
N
HIN Timeshare Trust 2020-A
N/A
HIN Timeshare Trust 2020-A
40439HAC3
463237.04000000
PA
USD
478801.62000000
0.393613781052
Long
ABS-O
CORP
US
Y
2
2039-10-09
Fixed
3.42000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2017-2
33850RBA9
93294.11000000
PA
USD
97828.81000000
0.080423219537
Long
ABS-CBDO
USGSE
US
Y
2
2047-10-25
Variable
4.10914400
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Stacr Remic Trust 2020-HQA2
35565LAH9
1500000.00000000
PA
USD
1510313.55000000
1.241600283203
Long
ABS-CBDO
USGSE
US
Y
2
2050-03-25
Variable
3.24800000
N
N
N
N
N
N
Cantor Commercial Real Estate
N/A
CF 2020-P1 Mortgage Trust
12529WAC0
750000.00000000
PA
USD
832579.80000000
0.684448150166
Long
ABS-MBS
CORP
US
Y
2
2052-04-15
Variable
10.01000000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2017-CD3 Mortgage Trust
12515GAH0
1028000.00000000
PA
USD
1047992.54000000
0.861534900788
Long
ABS-MBS
USGSE
US
N
2
2050-02-10
Variable
4.55875000
N
Y
N
N
N
N
Four Seas LP
54930044TCFC01YWTN84
Four Seas LP
35100LAA6
1500000.00000000
PA
USD
1462793.10000000
1.202534617549
Long
ABS-O
CORP
CA
Y
2
2027-08-28
Fixed
4.95000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C27
46644ABL5
1000000.00000000
PA
USD
1062423.00000000
0.873397909779
Long
ABS-MBS
USGSE
US
N
2
2048-02-15
Fixed
3.89810000
N
N
N
N
N
N
Capital Automotive Reit
N/A
CARS-DB4 LP
12510HAH3
775000.00000000
PA
USD
810713.09000000
0.666471940307
Long
ABS-O
CORP
US
Y
2
2050-02-15
Fixed
4.52000000
N
N
N
N
N
N
VR Funding LLC
N/A
VR Funding LLC
91835CAC7
487375.00000000
PA
USD
470151.70000000
0.386502844967
Long
ABS-O
CORP
US
Y
2
2050-11-15
Fixed
6.42000000
N
N
N
N
N
N
Voya CLO Ltd
N/A
Voya CLO 2020-1 Ltd
92918EAJ6
1000000.00000000
PA
USD
1004487.00000000
0.825769816919
Long
ABS-O
CORP
KY
Y
2
2031-07-16
Variable
4.55267000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2018-TWR
36251SAL2
1000000.00000000
PA
USD
958117.50000000
0.787650325551
Long
ABS-MBS
USGSE
US
Y
2
2031-07-15
Variable
1.60863000
N
N
N
N
N
N
United States Treasury Bill
254900HROIFWPRGM1V77
United States Treasury Bill
912796A58
1000000.00000000
PA
USD
999999.86000000
0.822081023758
Long
STIV
UST
US
N
2
N
N
N
SERVPRO MASTER ISSUER, LLC
N/A
SERVPRO Master Issuer LLC
817743AA5
1311750.00000000
PA
USD
1397984.45000000
1.149256648749
Long
ABS-O
CORP
US
Y
2
2049-10-25
Fixed
3.88200000
N
N
N
N
N
N
Angel Oak Mortgage Trust
N/A
Angel Oak Mortgage Trust 2019-5
03464KAE8
1000000.00000000
PA
USD
1003837.60000000
0.825235957427
Long
ABS-CBDO
USGSE
US
Y
2
2049-10-25
Variable
3.95700000
N
N
N
N
N
N
Freddie Mac - STACR
549300D2VO9JVX6KU482
STACR Trust 2018-HRP1
3137G0VC0
2274768.36000000
PA
USD
2237552.69000000
1.839449863630
Long
ABS-CBDO
CORP
US
Y
2
2043-04-25
Variable
1.79800000
N
N
N
N
N
N
LUNAR AIRCRAFT 2020-1 LIMITED
N/A
LUNAR AIRCRAFT 2020-1 LTD
55037LAB0
325934.06000000
PA
USD
252962.90000000
0.207956028918
Long
ABS-O
CORP
US
Y
2
2045-02-15
Fixed
4.33500000
N
Y
N
N
N
N
CIFC Funding Ltd
549300ZXX0SJBZWIWI81
CIFC Funding 2015-IV Ltd
12550TAU9
500000.00000000
PA
USD
500180.00000000
0.411188544029
Long
ABS-O
CORP
KY
Y
2
2027-10-20
Variable
0.00000000
N
N
N
N
N
N
Aimco
549300MMTPNJGGRMPB33
AIMCO CLO Series 2017-A
00900CAG9
750000.00000000
PA
USD
750020.25000000
0.616577501280
Long
ABS-O
CORP
KY
Y
2
2029-07-20
Variable
3.89838000
N
N
N
N
N
N
AIR CANADA 2020-2B PTT
N/A
Air Canada 2020-2 Class B Pass Through Trust
00909UAA3
1250000.00000000
PA
USD
1342990.13000000
1.104046855533
Long
ABS-O
CORP
CA
Y
2
2025-10-01
Fixed
9.00000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE22 Mortgage Trust
12592XAJ5
1000000.00000000
PA
USD
732199.40000000
0.601927316616
Long
ABS-MBS
USGSE
US
Y
2
2048-03-10
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1DM6
295672.44000000
PA
USD
295702.69000000
0.243091604156
Long
ABS-CBDO
USGSE
US
Y
2
2048-11-25
Variable
4.48114300
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2015-MS1
61765DAX6
226295.00000000
PA
USD
240380.78000000
0.197612505379
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Variable
4.03124800
N
N
N
N
N
N
Apollo Aviation Securitization
N/A
AASET 2020-1 Trust
00255UAC9
961406.17000000
PA
USD
436962.37000000
0.359218522763
Long
ABS-O
CORP
US
Y
2
2040-01-16
Fixed
6.41300000
N
Y
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XC36
979082.08000000
PA
USD
972866.77000000
0.799775422230
Long
ABS-CBDO
USGSE
US
N
2
2030-08-25
Variable
0.00000000
N
N
N
N
N
N
Ellington Financial Mortgage T
N/A
Ellington Financial Mortgage Trust 2019-1
31573MAD5
1000000.00000000
PA
USD
1004719.60000000
0.825961032992
Long
ABS-CBDO
USGSE
US
Y
2
2059-06-25
Variable
3.58700000
N
N
N
N
N
N
S-JETS Limited
635400FR77IW5YEET913
S-Jets 2017-1 Ltd
784309AC0
392560.94000000
PA
USD
341463.21000000
0.280710464551
Long
ABS-O
CORP
BM
Y
2
2042-08-15
Fixed
5.68200000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2020-1
61946NAD0
540000.00000000
PA
USD
554760.31000000
0.456057987433
Long
ABS-O
CORP
US
Y
2
2046-04-20
Fixed
6.91000000
N
N
N
N
N
N
LA VIE RE LTD
549300F8K5MLL3CF8D15
La Vie Re Ltd
505253AA2
500000.00000000
PA
USD
499350.00000000
0.410506216684
Long
ABS-O
CORP
BM
Y
2
2023-10-06
Variable
2.94913000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2012-LC5
94988HAP6
1190000.00000000
PA
USD
1191342.80000000
0.979380445784
Long
ABS-MBS
USGSE
US
Y
2
2045-10-15
Variable
4.75839200
N
N
N
N
N
N
WENDYS FUNDING LLC
5493009DRVSTWJOXUL48
Wendy's Funding LLC
95058XAG3
110975.00000000
PA
USD
117581.34000000
0.096661401894
Long
ABS-O
CORP
US
Y
2
2049-06-15
Fixed
3.78300000
N
N
N
N
N
N
UBS-Barclays Commercial Mortga
N/A
UBS-Barclays Commercial Mortgage Trust 2013-C5
90270YAG4
1000000.00000000
PA
USD
1002513.80000000
0.824147686416
Long
ABS-MBS
USGSE
US
Y
2
2046-03-10
Variable
3.64870000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2020-2 Receivables Funding LLC
826525AC1
844052.44000000
PA
USD
870177.80000000
0.715356756825
Long
ABS-O
CORP
US
Y
2
2037-07-20
Fixed
3.51000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GC40
36257HBA3
500000.00000000
PA
USD
497073.45000000
0.408634707867
Long
ABS-MBS
USGSE
US
Y
2
2052-07-10
Variable
3.54969000
N
N
N
N
N
N
TCW CLO 2019-1 AMR, LTD.
549300RWQDI4UTTLDE63
TCW CLO 2019-1 AMR Ltd
87241AAE3
500000.00000000
PA
USD
500143.00000000
0.411158127027
Long
ABS-O
CORP
KY
Y
2
2029-02-15
Variable
6.97100000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300L45M7638EL0H21
GS Mortgage Securities Trust 2015-GC30
36250GAU9
1000000.00000000
PA
USD
1065952.70000000
0.876299609575
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Variable
4.03250700
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR Trust 2019-DNA4
35565AAH3
1679581.32000000
PA
USD
1676916.50000000
1.378561426075
Long
ABS-CBDO
USGSE
US
Y
2
2049-10-25
Variable
2.09800000
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST | 3069449
N/A
GS Mortgage Securities Trust 2016-GS4
36251XAY3
1000000.00000000
PA
USD
948841.00000000
0.780024289866
Long
ABS-MBS
USGSE
US
N
2
2049-11-10
Variable
3.81130400
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE15 Mortgage Trust
12591RAE0
700000.00000000
PA
USD
708458.59000000
0.582410444494
Long
ABS-MBS
USGSE
US
Y
2
2047-02-10
Variable
4.74171300
N
N
N
N
N
N
Vericrest Opportunity Loan Tra
N/A
Vericrest Opportunity Loan Trust 2019-NPL2
92872KAA5
892936.03000000
PA
USD
894945.85000000
0.735718103576
Long
ABS-O
CORP
US
Y
2
2049-02-25
Variable
3.96720000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0DW6
379087.97000000
PA
USD
382824.75000000
0.314713006459
Long
ABS-CBDO
USGSE
US
N
2
2025-01-25
Variable
4.29800000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust
93363CAB5
2130.70000000
PA
USD
1961.31000000
0.001612355958
Long
ABS-CBDO
USGSE
US
N
2
2046-07-25
Variable
1.58943000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G1CF2
82992.76000000
PA
USD
83173.25000000
0.068375160081
Long
ABS-CBDO
USGSE
US
Y
2
2047-09-25
Variable
4.00552000
N
N
N
N
N
N
Bowman Park CLO Ltd
549300RY1CYH5GR2HE67
Bowman Park CLO Ltd
10302VBJ3
1000000.00000000
PA
USD
1000564.00000000
0.822544792611
Long
ABS-O
CORP
KY
Y
2
2025-11-23
Variable
3.60613000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
N/A
-8549000.00000000
PA
USD
-8549000.00000000
-7.02797165602
Short
RA
CORP
US
N
N/A
Reverse repurchase
N
1.53574000
2021-01-06
24720543.89
USD
24549059.93
USD
ACMO
N
N
N
MVW 2020-1 LLC
N/A
MVW 2020-1 LLC
55400EAC3
1066910.92000000
PA
USD
1127080.00000000
0.926551209974
Long
ABS-O
CORP
US
Y
2
2037-10-20
Fixed
4.21000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0RY7
1500000.00000000
PA
USD
1493417.70000000
1.227710523593
Long
ABS-CBDO
USGSE
US
N
2
2030-04-25
Variable
2.49800000
N
N
N
N
N
N
Jack in the Box Funding, LLC
N/A
Jack in the Box Funding LLC
466365AB9
651080.00000000
PA
USD
684936.16000000
0.563073098451
Long
ABS-O
CORP
US
Y
2
2049-08-25
Fixed
4.47600000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XAK0
1528783.56000000
PA
USD
1483747.74000000
1.219761031864
Long
ABS-CBDO
USGSE
US
N
2
2024-07-25
Variable
3.14800000
N
N
N
N
N
N
URSA RE II LTD
N/A
Ursa Re II Ltd
91734PAB2
250000.00000000
PA
USD
252575.00000000
0.207637143644
Long
ABS-O
CORP
BM
Y
2
2023-12-07
Variable
6.30830700
N
N
N
N
N
N
Cantor Commercial Real Estate
N/A
CF 2020-P1 Mortgage Trust
12529WAN6
24898.89000000
PA
USD
25935.45000000
0.021321044272
Long
ABS-MBS
CORP
US
Y
2
2025-04-15
Variable
2.84000000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2020-A
43285HAB4
417922.40000000
PA
USD
449003.46000000
0.369117275744
Long
ABS-O
CORP
US
Y
2
2039-02-25
Fixed
4.22000000
N
N
N
N
N
N
Cayuga Park CLO, Ltd.
N/A
Cayuga Park CLO, Ltd
149791AJ4
1200000.00000000
PA
USD
1206152.40000000
0.991555138617
Long
ABS-O
CORP
KY
Y
2
2031-07-17
Variable
0.00000000
N
N
N
N
N
N
DB Master Finance LLC
549300F17UZJL70BPB08
DB Master Finance LLC
233046AK7
414750.00000000
PA
USD
436847.88000000
0.359124402694
Long
ABS-O
CORP
US
Y
2
2049-05-20
Fixed
4.02100000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137F72J3
1138011.36000000
PA
USD
249889.31000000
0.205429288551
Long
ABS-MBS
USGSE
US
N
2
2055-10-25
Variable
2.80461700
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM MORTGAGE TRUST
12595VAH0
1000000.00000000
PA
USD
1043239.20000000
0.857627269628
Long
ABS-MBS
CORP
US
N
2
2051-05-10
Variable
4.56061900
N
Y
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE19 Mortgage Trust
12592GAG8
1000000.00000000
PA
USD
941544.50000000
0.774025974837
Long
ABS-MBS
USGSE
US
Y
2
2047-08-10
Variable
4.71081800
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE24 Mortgage Trust
12593JBL9
1500000.00000000
PA
USD
1331694.00000000
1.094760520118
Long
ABS-MBS
USGSE
US
N
2
2048-08-10
Variable
3.46300000
N
N
N
N
N
N
CAELUS RE VI LTD
N/A
Caelus Re VI Ltd
12765MAA9
750000.00000000
PA
USD
762075.00000000
0.626487483888
Long
ABS-O
CORP
KY
Y
2
2023-06-07
Variable
5.55830700
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2019-2
92537GAG8
500000.00000000
PA
USD
500988.30000000
0.411853032214
Long
ABS-CBDO
USGSE
US
Y
2
2059-05-25
Variable
3.78100000
N
N
N
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KAH1
2000000.00000000
PA
USD
1987727.00000000
1.634072875881
Long
ABS-CBDO
CORP
US
Y
2
2050-02-25
Variable
1.99800000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDJ0
1275000.00000000
PA
USD
1296474.44000000
1.065807184124
Long
ABS-O
CORP
US
Y
2
2023-03-20
Fixed
4.53000000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust 2020-A
43285HAC2
835844.80000000
PA
USD
933765.86000000
0.767631301607
Long
ABS-O
CORP
US
Y
2
2039-02-25
Fixed
6.42000000
N
N
N
N
N
N
Aimco
5493004I93856WYBB035
AIMCO CLO 10 Ltd
00901AAG2
2000000.00000000
PA
USD
2001746.00000000
1.645597631367
Long
ABS-O
CORP
KY
Y
2
2032-07-22
Variable
3.76575000
N
N
N
N
N
N
Vericrest Opportunity Loan Tra
N/A
VOLT LXXXIV LLC
92870FAB6
1500000.00000000
PA
USD
1499729.40000000
1.232899253117
Long
ABS-O
CORP
US
Y
2
2049-12-27
Variable
3.96710000
N
N
N
N
N
N
HIN Timeshare Trust 2020-A
N/A
HIN Timeshare Trust 2020-A
40439HAD1
648531.85000000
PA
USD
667402.31000000
0.548658851075
Long
ABS-O
CORP
US
Y
2
2039-10-09
Fixed
5.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-BXLP
05607QAU2
1498628.35000000
PA
USD
1468574.41000000
1.207287323457
Long
ABS-MBS
USGSE
US
Y
2
2036-12-15
Variable
1.75900000
N
N
N
N
N
N
CPT MORTGAGE TRUST
N/A
CPT MORTGAGE TRUST
12654YAL3
800000.00000000
PA
USD
782321.92000000
0.643132094940
Long
ABS-MBS
CORP
US
Y
2
2039-11-13
Variable
2.99680000
N
N
N
N
N
N
BRITISH AIR 20-1 A PPT
N/A
British Airways 2020-1 Class A Pass Through Trust
11044MAA4
1000000.00000000
PA
USD
1068750.00000000
0.878599217145
Long
ABS-O
CORP
US
Y
2
2032-11-15
Fixed
4.25000000
N
N
N
N
N
N
ARTS Ltd
213800STYVMWWQQOGP19
ARTS Ltd
BCC2BFD30
230769.23000000
PA
USD
227019.23000000
0.186628227139
Long
ABS-O
CORP
TR
N
2
2021-09-15
Variable
1.99650000
N
N
N
N
N
N
MVW 2020-1 LLC
N/A
MVW 2020-1 LLC
55400EAD1
681006.97000000
PA
USD
721524.77000000
0.593151904629
Long
ABS-O
CORP
US
Y
2
2037-10-20
Fixed
7.14000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE26 Mortgage Trust
12593QBJ8
1500000.00000000
PA
USD
1587484.20000000
1.305040819041
Long
ABS-MBS
USGSE
US
N
2
2048-10-10
Variable
4.47990600
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2019-3 Receivables Funding LLC
82652NAD0
343500.17000000
PA
USD
337824.93000000
0.277719503186
Long
ABS-O
CORP
US
Y
2
2036-08-20
Fixed
4.18000000
N
N
N
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS 2011-LC1 Mortgage Trust
233050AH6
500000.00000000
PA
USD
500311.25000000
0.411296442179
Long
ABS-MBS
USGSE
US
Y
2
2046-11-10
Variable
5.56488300
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2019-MILE
63875FAN6
1050000.00000000
PA
USD
992777.31000000
0.816143501628
Long
ABS-MBS
USGSE
US
Y
2
2036-07-15
Variable
4.40900000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2020-2
61946PAD5
300000.00000000
PA
USD
300195.90000000
0.246785387349
Long
ABS-O
CORP
US
Y
2
2046-08-20
Fixed
5.42000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711X5R1
3450564.92000000
PA
USD
3407280.00000000
2.801060622778
Long
ABS-CBDO
USGSE
US
N
2
2031-03-25
Variable
2.24800000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325VDB7
258822.04000000
PA
USD
50799.71000000
0.041761483450
Long
ABS-CBDO
USGSE
US
N
2
2044-03-15
Variable
5.76137000
N
N
N
N
N
N
RESIDENTIAL RE 2020 LTD
N/A
Residential Reinsurance 2020 Ltd
76120AAC6
400000.00000000
PA
USD
402400.00000000
0.330805450272
Long
ABS-O
CORP
KY
Y
2
2024-12-06
Variable
6.30830700
N
N
N
N
N
N
Tesla Auto Lease Trust
N/A
Tesla Auto Lease Trust 2018-B
88161NAE9
1000000.00000000
PA
USD
1038231.00000000
0.853510122868
Long
ABS-O
CORP
US
Y
2
2022-06-20
Fixed
7.87000000
N
N
N
N
N
N
ADAMS OUTDOOR ADVERTISING
549300BTFXNHDCUHER30
Adams Outdoor Advertising LP
006346AS9
957567.21000000
PA
USD
1009715.08000000
0.830067722879
Long
ABS-O
CORP
US
Y
2
2048-11-15
Fixed
4.81000000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2016-CD2 Mortgage Trust
12515ABJ8
1500000.00000000
PA
USD
1513340.70000000
1.244088846123
Long
ABS-MBS
USGSE
US
N
2
2049-11-10
Variable
4.02351100
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2013-LC13 Mortgage Trust
12626GAT0
1500000.00000000
PA
USD
1338976.95000000
1.100747695949
Long
ABS-MBS
USGSE
US
Y
2
2046-08-10
Variable
5.28669900
N
N
N
N
N
N
Dominos Pizza Master Issuer LL
N/A
Domino's Pizza Master Issuer LLC
25755TAH3
48500.00000000
PA
USD
51958.05000000
0.042713732916
Long
ABS-O
CORP
US
Y
2
2047-07-25
Fixed
4.11800000
N
N
N
N
N
N
FED HOME LN DISCOUNT NT
2549001DPIFGXC1TOL40
Federal Home Loan Bank, 01
313385AQ9
1000000.00000000
PA
USD
999976.67000000
0.822061959696
Long
STIV
USGSE
US
N
2
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2018-R07
20753QAE9
1563110.45000000
PA
USD
1561891.54000000
1.284001575962
Long
ABS-CBDO
USGSE
US
Y
2
2031-04-25
Variable
2.55013000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R01
20754CAB5
2000000.00000000
PA
USD
1989401.20000000
1.635449204124
Long
ABS-CBDO
USGSE
US
Y
2
2040-01-25
Variable
2.19800000
N
N
N
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2005-AA7
32051GSQ9
930208.99000000
PA
USD
891022.63000000
0.732492898410
Long
ABS-CBDO
USGSE
US
N
2
2035-09-25
Variable
2.54411600
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F022618
4000000.00000000
PA
USD
4215932.32000000
3.465838442937
Long
ABS-O
CORP
US
N
2
2051-01-25
Fixed
2.50000000
N
N
N
N
N
N
Capital Automotive LP
N/A
Cars Net Lease Mortgage Notes Series 2020-1
14576AAE2
2000000.00000000
PA
USD
1999640.00000000
1.643866328488
Long
ABS-O
CORP
US
Y
2
2050-12-15
Fixed
4.69000000
N
N
N
N
N
N
Freddie Mac - STACR
5493005RUXPCBST1N217
Freddie Mac Stacr Trust 2018-HQA2
35563XAH5
1500000.00000000
PA
USD
1484826.15000000
1.220647572385
Long
ABS-CBDO
CORP
US
Y
2
2048-10-25
Variable
2.44800000
N
N
N
N
N
N
BONANZA RE LTD
5493003F0CXUQ2C83105
Bonanza RE Ltd
09785EAD3
500000.00000000
PA
USD
499750.00000000
0.410835049139
Long
ABS-O
CORP
BM
Y
2
2024-12-23
Variable
4.80830700
N
N
N
N
N
N
Tesla Auto Lease Trust
N/A
Tesla Auto Lease Trust 2019-A
88165GAH3
710000.00000000
PA
USD
749749.14000000
0.616354626862
Long
ABS-O
CORP
US
Y
2
2023-05-22
Fixed
5.48000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
988FYT003
-5601253.02000000
PA
USD
-5601253.02000000
-4.60468446166
Short
RA
CORP
US
N
N/A
Reverse repurchase
N
1.72050000
2021-01-15
7766416.79
USD
7739723.57
USD
ACMO
N
N
N
Hudson Yards
N/A
Hudson Yards
44421MAJ9
546000.00000000
PA
USD
563211.89000000
0.463005871944
Long
ABS-MBS
CORP
US
Y
2
2041-12-10
Variable
2.94280000
N
N
N
N
N
N
UNITED AIR 2020-1 A PTT
N/A
United Airlines 2020-1 Class A Pass Through Trust
90931GAA7
1350000.00000000
PA
USD
1458326.97000000
1.198863096312
Long
ABS-O
CORP
US
N
2
2027-10-15
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XZL1
1995000.00000000
PA
USD
1945371.18000000
1.599252955139
Long
ABS-CBDO
USGSE
US
N
2
2030-07-25
Variable
0.59800000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE25 Mortgage Trust
12593PBA9
800000.00000000
PA
USD
827180.80000000
0.680009734098
Long
ABS-MBS
USGSE
US
N
2
2048-08-10
Variable
4.53766500
N
N
N
N
N
N
Start Ltd.
N/A
START Ireland
85573LAB7
659961.66000000
PA
USD
561273.77000000
0.461412580047
Long
ABS-O
CORP
BM
Y
2
2044-03-15
Fixed
5.09500000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust 2007-15AR
61756XAG0
258581.04000000
PA
USD
219659.37000000
0.180577825048
Long
ABS-CBDO
USGSE
US
N
2
2037-11-25
Variable
2.98947500
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C22
46642NBK1
1600000.00000000
PA
USD
1481033.60000000
1.217529788562
Long
ABS-MBS
USGSE
US
N
2
2047-09-15
Variable
4.55353900
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19
61764PBZ4
600000.00000000
PA
USD
627708.30000000
0.516027154129
Long
ABS-MBS
USGSE
US
N
2
2047-12-15
Fixed
4.00000000
N
N
N
N
N
N
CKE Restaurants Holdings Inc
N/A
Hardee's Funding LLC
411707AH5
2000000.00000000
PA
USD
2050140.00000000
1.685381426000
Long
ABS-O
CORP
US
Y
2
2050-12-20
Fixed
3.98100000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B18 Mortgage Trust
08163ABR3
1500000.00000000
PA
USD
1508978.10000000
1.240502434946
Long
ABS-MBS
USGSE
US
Y
2
2053-07-15
Fixed
4.13900000
N
N
N
N
N
N
First Horizon Alternative Mort
549300KOHW56HILAN819
First Horizon Alternative Mortgage Securities Trust 2006-FA3
32051HAF0
1584273.47000000
PA
USD
1086593.60000000
0.893268104154
Long
ABS-CBDO
USGSE
US
N
2
2036-07-25
Fixed
6.00000000
N
N
N
N
N
N
MRCD Mortgage Trust
N/A
MRCD Mortgage Trust
55348UAS7
2000000.00000000
PA
USD
1965710.40000000
1.615973444280
Long
ABS-MBS
CORP
US
Y
2
2036-12-15
Fixed
2.71752000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2015-GC29
17323VBE4
1000000.00000000
PA
USD
1022595.00000000
0.840656062181
Long
ABS-MBS
USGSE
US
N
2
2048-04-10
Variable
4.15087800
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2019-1776
63875BAJ4
1000000.00000000
PA
USD
977787.80000000
0.803820908177
Long
ABS-MBS
USGSE
US
Y
2
2036-10-15
Fixed
3.90170000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F020612
5000000.00000000
PA
USD
5193157.60000000
4.269196914032
Long
ABS-O
CORP
US
N
2
2051-01-25
Fixed
2.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2011-C1
617458AU8
440000.00000000
PA
USD
439485.07000000
0.361292386852
Long
ABS-MBS
USGSE
US
Y
2
2047-09-15
Variable
5.56289500
N
N
N
N
N
N
Garanti Diversified Payment Ri
54930066QSFDT4473702
Garanti Diversified Payment Rights Finance Co
BCC2CELK5
333333.34000000
PA
USD
328750.01000000
0.270259182617
Long
ABS-O
CORP
TR
N
2
2021-10-09
Variable
3.40150000
N
N
N
N
N
N
Freddie Mac - STACR
549300RWLR7W4OBRM426
Freddie Mac STACR Trust 2019-HRP1
35564RAK0
2214382.31000000
PA
USD
2206207.47000000
1.813681549475
Long
ABS-CBDO
CORP
US
Y
2
2049-02-25
Variable
1.54800000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2007-QS2 Trust
74923CAD4
1951192.92000000
PA
USD
1880244.42000000
1.545713474108
Long
ABS-CBDO
USGSE
US
N
2
2037-01-25
Fixed
6.25000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS Mortgage Trust 2020-C6
05492TBF6
1000000.00000000
PA
USD
1048881.90000000
0.862266026870
Long
ABS-MBS
USGSE
US
Y
2
2053-02-15
Variable
3.68835000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
549300O5GNH0TNJ6B119
WFRBS Commercial Mortgage Trust 2013-C18
96221QAK9
1250000.00000000
PA
USD
1201549.25000000
0.987770975823
Long
ABS-MBS
USGSE
US
N
2
2046-12-15
Variable
4.86242700
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B16 Mortgage Trust
08161NAW7
1000000.00000000
PA
USD
877058.00000000
0.721012839476
Long
ABS-MBS
USGSE
US
Y
2
2053-02-15
Fixed
2.50000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR11
45660LQH5
1851824.61000000
PA
USD
1651207.56000000
1.357426591401
Long
ABS-CBDO
USGSE
US
N
2
2035-08-25
Variable
3.14917900
N
N
N
N
N
N
SIERRA LTD
549300GLWBBA2QVWUQ65
Sierra Ltd
826359AA9
250000.00000000
PA
USD
253575.00000000
0.208459224783
Long
ABS-O
CORP
BM
Y
2
2022-12-28
Variable
3.30830700
N
N
N
N
N
N
Magnetite CLO Ltd
549300WG00K34O9YA435
Magnetite XXIII Ltd
55954RAA8
1375000.00000000
PA
USD
1378326.13000000
1.133095914656
Long
ABS-O
CORP
KY
Y
2
2032-10-25
Variable
6.96475000
N
N
N
N
N
N
Freddie Mac - STACR
5493005LAQ76UDHPEE03
Freddie Mac Stacr Remic Trust 2019-Hqa4
35565CAH9
2677759.64000000
PA
USD
2669863.46000000
2.194844393769
Long
ABS-CBDO
USGSE
US
Y
2
2049-11-25
Variable
2.19800000
N
N
N
N
N
N
Horizon Aircraft Finance II LL
549300KSCDSEIWTVMM32
Horizon Aircraft Finance II Ltd
44040HAB8
1432692.30000000
PA
USD
1228615.02000000
1.010021234849
Long
ABS-O
CORP
KY
Y
2
2039-07-15
Fixed
4.70300000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAF3
1656927.56000000
PA
USD
1651466.66000000
1.357639592624
Long
ABS-CBDO
USGSE
US
Y
2
2039-10-25
Variable
2.24800000
N
N
N
N
N
N
ADAMS OUTDOOR ADVERTISING
549300BTFXNHDCUHER30
Adams Outdoor Advertising LP
006346AV2
1500000.00000000
PA
USD
1576648.05000000
1.296132624508
Long
ABS-O
CORP
US
Y
2
2048-11-15
Fixed
7.35600000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2016-CD1 Mortgage Trust
12514MBG9
845000.00000000
PA
USD
827879.62000000
0.680584220839
Long
ABS-MBS
USGSE
US
N
2
2049-08-10
Variable
3.63100000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2020-2
61946PAC7
500000.00000000
PA
USD
499659.05000000
0.410760280860
Long
ABS-O
CORP
US
Y
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
COMM Mortgage Trust
549300BCCWSDWINK2593
COMM 2013-CCRE11 Mortgage Trust
12626LBP6
1200000.00000000
PA
USD
1303926.84000000
1.071933661603
Long
ABS-MBS
USGSE
US
N
2
2050-08-10
Variable
5.11202400
N
N
N
N
N
N
URSA RE II LTD
N/A
Ursa Re II Ltd
91734PAA4
500000.00000000
PA
USD
501700.00000000
0.412438107360
Long
ABS-O
CORP
BM
Y
2
2023-12-07
Variable
3.80830700
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XJ70
1109178.57000000
PA
USD
1107067.14000000
0.910099015233
Long
ABS-CBDO
USGSE
US
N
2
2030-10-25
Variable
2.29800000
N
N
N
N
N
N
Driven Brands Funding, LLC
N/A
DRIVEN BRANDS FUNDING LLC
26208LAC2
975000.00000000
PA
USD
1033178.25000000
0.849356352394
Long
ABS-O
CORP
US
Y
2
2048-04-20
Fixed
4.73900000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0TH2
1730277.78000000
PA
USD
1715529.58000000
1.410304510856
Long
ABS-CBDO
USGSE
US
N
2
2030-07-25
Variable
1.94800000
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding Ltd
12547LAJ7
1375000.00000000
PA
USD
1387607.38000000
1.140725855226
Long
ABS-O
CORP
KY
Y
2
2032-08-24
Variable
0.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R02
20754WAB1
2000000.00000000
PA
USD
1985906.80000000
1.632576523792
Long
ABS-CBDO
USGSE
US
Y
2
2040-01-25
Variable
2.14800000
N
N
N
N
N
N
Jack in the Box Funding, LLC
N/A
Jack in the Box Funding LLC
466365AA1
529002.50000000
PA
USD
542026.54000000
0.445589795289
Long
ABS-O
CORP
US
Y
2
2049-08-25
Fixed
3.98200000
N
N
N
N
N
N
Bojangles Issuer, LLC
N/A
Bojangles Issuer LLC
09748RAA6
1000000.00000000
PA
USD
1021550.00000000
0.839796987391
Long
ABS-O
CORP
US
Y
2
2050-10-20
Fixed
3.83200000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C29
46644RBF1
400000.00000000
PA
USD
391756.20000000
0.322055383047
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Variable
4.19743100
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC Trust 2007-AA1
05530PAP7
3525722.60000000
PA
USD
3420120.51000000
2.811616563862
Long
ABS-CBDO
USGSE
US
N
2
2037-03-25
Variable
0.32800000
N
N
N
N
N
N
LUNAR AIRCRAFT 2020-1 LIMITED
N/A
LUNAR AIRCRAFT 2020-1 LTD
55037LAC8
308691.69000000
PA
USD
136986.75000000
0.112614223447
Long
ABS-O
CORP
US
Y
2
2045-02-15
Fixed
6.41300000
N
Y
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
N/A
-11047878.84000000
PA
USD
-11047878.84000000
-9.08225281865
Short
RA
CORP
US
N
N/A
Reverse repurchase
N
1.27614000
2021-01-15
1340000.00
USD
1447524.55
USD
ABS
13037748.75
USD
13010563.52
USD
ACMO
N
N
N
2020-12-31
Nuveen Mortgage and Income Fund
E. Scott Wickerham
E. Scott Wickerham
Funds Treasurer