0001752724-24-047379.txt : 20240229
0001752724-24-047379.hdr.sgml : 20240229
20240229093946
ACCESSION NUMBER: 0001752724-24-047379
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231231
FILED AS OF DATE: 20240229
DATE AS OF CHANGE: 20240229
PERIOD START: 20231231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Nuveen Mortgage & Income Fund/MA/
CENTRAL INDEX KEY: 0001472215
ORGANIZATION NAME:
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: 24699343
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
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312-917-7700
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2023-12-31
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CORP
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ABS-O
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Fixed
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Countrywide Home Loans
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USD
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Long
ABS-CBDO
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US
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2036-03-20
Variable
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USD
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ABS-CBDO
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US
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2042-01-25
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N
N
N
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Natixis Commercial Mortgage Se
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Natixis Commercial Mortgage Securities Trust 2019-MILE
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1000000.00000000
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USD
757985.90000000
0.736850385646
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ABS-MBS
CORP
US
Y
2
2036-07-15
Variable
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N
N
N
N
N
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Hudson Yards
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USD
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ABS-MBS
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US
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2041-12-10
Variable
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Oportun Funding LLC
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USD
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0.472762961057
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ABS-O
CORP
US
Y
2
2029-06-15
Fixed
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N
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N
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EWC Master Issuer LLC
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EWC Master Issuer LLC
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916050.00000000
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USD
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0.844488323178
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ABS-O
CORP
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2052-03-15
Fixed
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AIR CANADA 2020-2A PTT
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Air Canada 2020-2 Class A Pass Through Trust
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USD
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ABS-O
CORP
CA
Y
2
2029-04-01
Fixed
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N
N
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GS Mortgage Securities Trust
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GS Mortgage Securities Corp Trust 2021-ARDN
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USD
942325.90000000
0.916050289088
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ABS-MBS
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2
2036-11-15
Variable
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N
N
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N
N
N
Oportun Funding LLC
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Oportun Issuance Trust 2021-B
68377GAD8
1000000.00000000
PA
USD
918577.70000000
0.892964278743
Long
ABS-O
CORP
US
Y
2
2031-05-08
Fixed
5.41000000
N
N
N
N
N
N
RESIDENTIAL RE 2022 LTD
N/A
Residential Reinsurance 2022 Ltd
76119YAG8
500000.00000000
PA
USD
508650.00000000
0.494466913776
Long
DBT
CORP
KY
Y
2
2026-12-06
Variable
13.04369000
N
N
N
N
N
N
BRITISH AIR 20-1 B PTT
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British Airways 2020-1 Class B Pass Through Trust
11042WAA4
397073.14000000
PA
USD
410169.41000000
0.398732335178
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ABS-O
CORP
US
Y
2
2028-11-15
Fixed
8.37500000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-6
46650JAV6
845138.27000000
PA
USD
715728.42000000
0.695771204049
Long
ABS-CBDO
CORP
US
Y
2
2048-12-25
Variable
3.88767200
N
N
N
N
N
N
ALEN 2021-ACEN Mortgage Trust
N/A
Alen 2021-ACEN Mortgage Trust
01449NAJ5
500000.00000000
PA
USD
228464.20000000
0.222093753823
Long
ABS-MBS
CORP
US
Y
2
2034-04-15
Variable
9.47648000
N
N
N
N
N
N
Goldentree Loan Opportunities
549300IOBSI2NBFBJX90
Goldentree Loan Opportunities IX Ltd
38123GAG1
500000.00000000
PA
USD
504940.00000000
0.490860362611
Long
ABS-O
CORP
KY
Y
2
2029-10-29
Variable
11.31159000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES
46651CAN8
441000.00000000
PA
USD
422484.53000000
0.410704063044
Long
ABS-MBS
CORP
US
Y
2
2032-05-05
Variable
4.45210000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2018-TWR
36251SAQ1
700000.00000000
PA
USD
255517.57000000
0.248392773525
Long
ABS-MBS
CORP
US
Y
2
2031-07-15
Variable
7.75900000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK6
060352AL5
1000000.00000000
PA
USD
836932.40000000
0.813595558572
Long
ABS-MBS
CORP
US
N
2
2060-07-15
Variable
3.85100000
N
N
N
N
N
N
MSCG Trust
N/A
MSCG Trust 2015-ALDR
55352NAN7
250000.00000000
PA
USD
213929.03000000
0.207963879349
Long
ABS-MBS
CORP
US
Y
2
2035-06-07
Variable
3.46175000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C29
46644RBE4
760000.00000000
PA
USD
712494.53000000
0.692627487136
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
4.11800000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R07
20754MAF4
960000.00000000
PA
USD
1063297.92000000
1.033649151533
Long
ABS-CBDO
CORP
US
Y
2
2042-06-25
Variable
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N
N
N
N
N
N
Wells Fargo Commercial Mortgag
5493002S7XBI8CVRR075
Wells Fargo Commercial Mortgage Trust 2015-NXS1
94989HBM1
1300000.00000000
PA
USD
1118594.10000000
1.087403464849
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
4.14014300
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXVI Ltd
55819PBC2
500000.00000000
PA
USD
499814.50000000
0.485877780941
Long
ABS-O
CORP
KY
Y
2
2035-04-15
Variable
5.76437000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BBL2
366000.00000000
PA
USD
159400.36000000
0.154955674951
Long
ABS-MBS
CORP
US
Y
2
2037-01-16
Fixed
3.97200000
N
N
N
N
N
N
PureWest Funding LLC
549300CU0IQI7FATI376
Purewest Funding LLC
746245AA7
862756.65000000
PA
USD
828405.30000000
0.805306226378
Long
ABS-O
CORP
US
Y
2
2036-12-22
Fixed
4.09100000
N
N
N
N
N
N
HIN Timeshare Trust 2020-A
N/A
HIN Timeshare Trust 2020-A
40439HAE9
162969.06000000
PA
USD
153278.20000000
0.149004223932
Long
ABS-O
CORP
US
Y
2
2039-10-09
Fixed
6.50000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2020-2 Receivables Funding LLC
826525AD9
246669.26000000
PA
USD
238880.01000000
0.232219131637
Long
ABS-O
CORP
US
Y
2
2037-07-20
Fixed
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N
N
N
N
N
N
HESTIA RE LTD
549300QRKQ1ZKOXEMZ38
Hestia Re Ltd
42815KAA0
250000.00000000
PA
USD
232500.00000000
0.226017020452
Long
DBT
CORP
BM
Y
2
2025-04-22
Variable
14.72369000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE25 Mortgage Trust
12593PBB7
1245000.00000000
PA
USD
1024084.09000000
0.995528751459
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Variable
3.76799000
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2020-II Ltd
12547JAE3
385000.00000000
PA
USD
387347.35000000
0.376546640546
Long
ABS-O
CORP
KY
Y
2
2034-10-20
Variable
12.17743000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2017-2
33850RBA9
83162.68000000
PA
USD
74481.80000000
0.072404965651
Long
ABS-CBDO
CORP
US
Y
2
2047-10-25
Variable
3.99199700
N
N
N
N
N
N
Connecticut Avenue Securities Trust 2022-R07
N/A
Connecticut Avenue Securities Trust 2022-R07
20754MAL1
1900000.00000000
PA
USD
2255113.23000000
2.192232142052
Long
ABS-CBDO
CORP
US
Y
2
2042-06-25
Variable
17.33743000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2017-CD3 Mortgage Trust
12515GAH0
1978000.00000000
PA
USD
862747.82000000
0.838691147002
Long
ABS-MBS
CORP
US
N
2
2050-02-10
Variable
4.53849900
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C27
46644ABL5
1000000.00000000
PA
USD
921942.20000000
0.896234963755
Long
ABS-MBS
CORP
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
704068.51000000
0.684436416449
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
556125.00000000
PA
USD
511714.86000000
0.497446313885
Long
ABS-O
CORP
US
Y
2
2050-11-15
Fixed
6.42000000
N
Y
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2018-TWR
36251SAL2
1000000.00000000
PA
USD
625025.10000000
0.607597035741
Long
ABS-MBS
CORP
US
Y
2
2031-07-15
Variable
7.10900000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2020-1
61946NAE8
758930.16000000
PA
USD
482451.90000000
0.468999315912
Long
ABS-O
CORP
US
Y
3
2046-04-20
Fixed
0.00000000
N
N
N
N
N
N
Palmer Square CLO Ltd
N/A
Palmer Square CLO 2023-1 Ltd
69702TAG7
925000.00000000
PA
USD
941101.48000000
0.914860010549
Long
ABS-O
CORP
KY
Y
2
2036-01-20
Variable
10.71582000
N
N
N
N
N
N
AIR CANADA 2020-2B PTT
N/A
Air Canada 2020-2 Class B Pass Through Trust
00909UAA3
585160.60000000
PA
USD
593106.09000000
0.576568048490
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
1400000.00000000
PA
USD
965895.14000000
0.938962329514
Long
ABS-MBS
CORP
US
Y
2
2048-03-10
Fixed
3.00000000
N
N
N
N
N
N
BONANZA RE LTD
5493003F0CXUQ2C83105
Bonanza RE Ltd
09785EAK7
750000.00000000
PA
USD
748725.00000000
0.727847714572
Long
DBT
CORP
BM
Y
2
2026-01-08
Variable
12.78664500
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
207892.92000000
0.202096078931
Long
ABS-MBS
CORP
US
N
2
2048-05-15
Variable
4.02298900
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
N/A
-17355000.00000000
PA
USD
-17355000.00000000
-16.8710769460
Short
RA
CORP
FR
N
N/A
Reverse repurchase
N
6.63556000
2024-01-12
1495000.00000000
USD
1409999.98000000
USD
ABS
30786000.00000000
USD
23353141.52000000
USD
ACMO
N
N
N
Apollo Aviation Securitization
N/A
AASET 2020-1 Trust
00255UAC9
1175837.02000000
PA
USD
293297.14000000
0.285118906193
Long
ABS-O
CORP
US
Y
2
2040-01-16
Fixed
6.41300000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R03
20753XAJ3
1000000.00000000
PA
USD
1130848.40000000
1.099316068607
Long
ABS-CBDO
CORP
US
Y
2
2042-03-25
Variable
14.82299000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust 2021-P2
14687TAJ6
2500.00000000
PA
USD
533125.00000000
0.518259458187
Long
ABS-O
CORP
US
Y
3
2028-05-10
Fixed
0.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JPMCC Commercial Mortgage Securities Trust 2017-JP5
46647TAZ1
2000000.00000000
PA
USD
1503298.20000000
1.461380559205
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Variable
3.90442000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISBDRXIMCHZ70
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KQY8
2275000.00000000
PA
USD
2271581.36000000
2.208241078289
Long
ABS-CBDO
CORP
US
Y
2
2042-01-25
Variable
8.73743000
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2022-IV Ltd
12567WAJ8
750000.00000000
PA
USD
754254.00000000
0.733222545136
Long
ABS-O
CORP
KY
Y
2
2035-07-16
Variable
8.94387000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK21
06540BAJ8
1000000.00000000
PA
USD
525833.80000000
0.511171564426
Long
ABS-MBS
CORP
US
Y
2
2052-10-17
Fixed
2.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES
46651CAL2
377000.00000000
PA
USD
362816.62000000
0.352699920098
Long
ABS-MBS
CORP
US
Y
2
2032-05-05
Variable
4.45210000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2016-C1
46645LBF3
1189000.00000000
PA
USD
1068693.77000000
1.038894544823
Long
ABS-MBS
CORP
US
N
2
2049-03-17
Variable
4.70165800
N
N
N
N
N
N
Magnetite CLO Ltd
549300WG00K34O9YA435
Magnetite XXIII Ltd
55954RAG5
1125000.00000000
PA
USD
1126143.00000000
1.094741872960
Long
ABS-O
CORP
KY
Y
2
2035-01-25
Variable
7.48400000
N
N
N
N
N
N
MATTERHORN RE LTD
549300QRZ77PO1BYWT39
Matterhorn Re Ltd
577092AP4
250000.00000000
PA
USD
243750.00000000
0.236953327893
Long
DBT
CORP
BM
Y
2
2025-03-24
Variable
5.88917600
N
N
N
N
N
N
VREG Films Inc
N/A
VREG Films Inc
91835KAA3
1050000.00000000
PA
USD
1019161.50000000
0.990743421891
Long
ABS-O
CORP
US
N
3
2050-11-15
Fixed
10.55000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R03
20753XAF1
3000000.00000000
PA
USD
3295364.40000000
3.203477174161
Long
ABS-CBDO
CORP
US
Y
2
2042-03-25
Variable
6.34900000
N
N
N
N
N
N
UBS-Barclays Commercial Mortga
N/A
UBS-Barclays Commercial Mortgage Trust 2013-C5
90270YAG4
428001.02000000
PA
USD
381936.51000000
0.371286675235
Long
ABS-MBS
CORP
US
Y
2
2046-03-10
Variable
3.64870000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae - CAS
20755AAD4
4000000.00000000
PA
USD
4304527.60000000
4.184501086480
Long
ABS-CBDO
CORP
US
Y
2
2043-01-25
Variable
10.88743000
N
N
N
N
N
N
Toronto Dominion Holdings USA Inc
549300YQDGZ24IX40M56
Toronto Dominion Holdings USA Inc
N/A
-770000.00000000
PA
USD
-770000.00000000
-0.74852948708
Short
RA
CORP
CA
N
N/A
Reverse repurchase
N
5.60000000
2024-12-31
10800000.00000000
USD
929802.12000000
USD
ACMO
N
N
N
CyrusOne Data Centers Issuer I
N/A
CyrusOne Data Centers Issuer I
23284BAC8
1118054.09000000
PA
USD
995185.31000000
0.967435778770
Long
ABS-O
CORP
US
Y
2
2048-04-20
Fixed
5.45000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
549300MNOMKDMDFI8J66
Hertz Vehicle Financing III LLC
42806MAM1
500000.00000000
PA
USD
473778.70000000
0.460567957538
Long
ABS-O
CORP
US
Y
2
2026-06-25
Fixed
4.85000000
N
Y
N
N
N
N
COMM Mortgage Trust
N/A
Comm 2014-UBS2 Mortgage Trust
12591UAL7
1000000.00000000
PA
USD
878162.30000000
0.853675812987
Long
ABS-MBS
CORP
US
N
2
2047-03-10
Variable
4.94734000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377REU4
550000.00000000
PA
USD
484082.50000000
0.470584448615
Long
ABS-O
CORP
US
Y
2
2028-02-20
Fixed
4.08000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISONLNOUKGB71
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KLV9
3000000.00000000
PA
USD
3160118.70000000
3.072002635912
Long
ABS-CBDO
CORP
US
Y
2
2041-10-25
Variable
12.83743000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2016-GS4
36251XAY3
2000000.00000000
PA
USD
1650024.80000000
1.604015866530
Long
ABS-MBS
CORP
US
N
2
2049-11-10
Variable
3.95204900
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R07
20754MCB1
100000.00000000
PA
USD
108492.76000000
0.105467571423
Long
ABS-CBDO
CORP
US
Y
2
2042-06-25
Variable
9.98743000
N
N
N
N
N
N
SMR 2022-IND Mortgage Trust
N/A
SMR 2022-IND Mortgage Trust
78458MAG9
1623518.33000000
PA
USD
1464131.69000000
1.423306159671
Long
ABS-MBS
CORP
US
Y
2
2039-02-15
Variable
9.31181000
N
N
N
N
N
N
BONANZA RE LTD
5493003F0CXUQ2C83105
Bonanza RE Ltd
09785EAL5
250000.00000000
PA
USD
100000.00000000
0.097211621699
Long
DBT
CORP
BM
Y
2
2024-01-08
Variable
4.55478800
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE15 Mortgage Trust
12591RAE0
700000.00000000
PA
USD
575005.27000000
0.558971947827
Long
ABS-MBS
CORP
US
Y
2
2047-02-10
Variable
4.55867100
N
N
N
N
N
N
MVW 2020-1 LLC
N/A
MVW 2020-1 LLC
55400EAC3
442114.09000000
PA
USD
424536.39000000
0.412698709425
Long
ABS-O
CORP
US
Y
2
2037-10-20
Fixed
4.21000000
N
N
N
N
N
N
TCW CLO 2021-2, Ltd.
N/A
TCW CLO 2021-2 Ltd
87301QAA3
1000000.00000000
PA
USD
970108.00000000
0.943057719040
Long
ABS-O
CORP
KY
Y
2
2034-07-25
Variable
6.98488000
N
N
N
N
N
N
Jack in the Box Funding, LLC
N/A
Jack in the Box Funding LLC
466365AB9
637960.00000000
PA
USD
606076.04000000
0.589176347218
Long
ABS-O
CORP
US
Y
2
2049-08-25
Fixed
4.47600000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2017-SLP
36255MAN7
1500000.00000000
PA
USD
1372616.40000000
1.334342662159
Long
ABS-MBS
CORP
US
Y
2
2032-10-10
Variable
4.59130000
N
N
N
N
N
N
Cantor Commercial Real Estate
N/A
CF 2020-P1 Mortgage Trust
12529WAN6
24360.06000000
PA
USD
23272.06000000
0.022623146928
Long
ABS-MBS
CORP
US
Y
2
2025-04-15
Variable
2.84000000
N
N
N
N
N
N
URSA RE II LTD
N/A
Ursa Re II Ltd
91734PAF3
500000.00000000
PA
USD
512050.00000000
0.497772108914
Long
DBT
CORP
BM
Y
2
2025-12-06
Variable
12.35369000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2023-R05
207942AC7
2250000.00000000
PA
USD
2369396.25000000
2.303328519122
Long
ABS-CBDO
USGSE
US
Y
2
2043-06-25
Variable
10.08743000
N
N
N
N
N
N
Helios Issuer, LLC
N/A
Helios Issuer, LLC
86745YAC8
497863.02000000
PA
USD
459555.35000000
0.446741208343
Long
ABS-O
CORP
US
Y
2
2050-08-22
Variable
6.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2023-R06
20754EAF2
2280000.00000000
PA
USD
2331892.80000000
2.266870807183
Long
ABS-CBDO
USGSE
US
Y
2
2043-07-25
Variable
9.18758000
N
N
N
N
N
N
Cologix Data Centers Issuer LL
N/A
Cologix Data Centers US Issuer LLC
19521UAE3
250000.00000000
PA
USD
207438.85000000
0.201654670120
Long
ABS-O
CORP
US
Y
2
2051-12-26
Fixed
5.99000000
N
N
N
N
N
N
SPRUCE HILL MORTGAGE LOAN TRUS
N/A
Spruce Hill Mortgage Loan Trust 2020-SH1
85209FAE6
1500000.00000000
PA
USD
1367480.25000000
1.329349727451
Long
ABS-CBDO
CORP
US
Y
2
2050-01-28
Variable
3.82700000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE19 Mortgage Trust
12592GAG8
1452000.00000000
PA
USD
1246002.29000000
1.211259032527
Long
ABS-MBS
CORP
US
Y
2
2047-08-10
Variable
4.69728000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE24 Mortgage Trust
12593JBL9
1800000.00000000
PA
USD
1459861.92000000
1.419155447011
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Variable
3.46300000
N
N
N
N
N
N
Purchasing Power Funding
N/A
Purchasing Power Funding 2021-A LLC
74615JAD2
250000.00000000
PA
USD
246141.28000000
0.239277929960
Long
ABS-O
CORP
US
Y
2
2025-10-15
Fixed
4.37000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISA3AUOXQEF68
Freddie Mac STACR REMIC Trust 2022-DNA2
35564KSJ9
4900000.00000000
PA
USD
5081356.84000000
4.939669388524
Long
ABS-CBDO
CORP
US
Y
2
2042-02-25
Variable
10.08743000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2019-2
61945LAE3
1194276.73000000
PA
USD
364373.83000000
0.354213709193
Long
ABS-O
CORP
US
Y
3
2040-09-20
Fixed
0.00000000
N
Y
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2018-TWR
36251SAU2
892000.00000000
PA
USD
65585.55000000
0.063756776755
Long
ABS-MBS
CORP
US
Y
2
2031-07-15
Variable
9.58366000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R03
20754AAJ2
625000.00000000
PA
USD
632798.88000000
0.615154053346
Long
ABS-CBDO
CORP
US
Y
2
2041-12-25
Variable
10.83743000
N
N
N
N
N
N
SLG Office Trust
N/A
SLG Office Trust 2021-OVA
78449RAC9
40180000.00000000
PA
USD
598673.96000000
0.581980665211
Long
ABS-MBS
CORP
US
Y
2
2041-07-15
Variable
0.25799900
N
N
N
N
N
N
DOLP Trust
N/A
DOLP Trust 2021-NYC
23345LAC3
33000000.00000000
PA
USD
1199533.50000000
1.166085968183
Long
ABS-MBS
CORP
US
Y
2
2041-05-10
Variable
0.66526200
N
N
N
N
N
N
HIN Timeshare Trust 2020-A
N/A
HIN Timeshare Trust 2020-A
40439HAD1
228156.69000000
PA
USD
215748.94000000
0.209733043374
Long
ABS-O
CORP
US
Y
2
2039-10-09
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R05
20754DAJ6
2840000.00000000
PA
USD
3047982.86000000
2.962993567341
Long
ABS-CBDO
CORP
US
Y
2
2042-04-25
Variable
12.33743000
N
N
N
N
N
N
BRITISH AIR 20-1 A PTT
N/A
British Airways 2020-1 Class A Pass Through Trust
11044MAA4
500215.04000000
PA
USD
465694.80000000
0.452709467252
Long
ABS-O
CORP
US
Y
2
2032-11-15
Fixed
4.25000000
N
N
N
N
N
N
MSCG Trust
N/A
MSCG Trust 2015-ALDR
55352NAL1
750000.00000000
PA
USD
656617.20000000
0.638308228480
Long
ABS-MBS
CORP
US
Y
2
2035-06-07
Variable
3.46175000
N
N
N
N
N
N
MVW 2020-1 LLC
N/A
MVW 2020-1 LLC
55400EAD1
204682.45000000
PA
USD
198697.80000000
0.193157353662
Long
ABS-O
CORP
US
Y
2
2037-10-20
Fixed
7.14000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2019-3 Receivables Funding LLC
82652NAD0
39794.75000000
PA
USD
38405.21000000
0.037334327458
Long
ABS-O
CORP
US
Y
2
2036-08-20
Fixed
4.18000000
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2019-MILE
63875FAN6
1050000.00000000
PA
USD
687257.24000000
0.668093908254
Long
ABS-MBS
CORP
US
Y
2
2036-07-15
Variable
9.69100000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2020-2
61946PAD5
773937.45000000
PA
USD
690954.10000000
0.671687685812
Long
ABS-O
CORP
US
Y
2
2046-08-20
Fixed
5.42000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JPMCC Commercial Mortgage Securities Trust 2017-JP6
48128KAA9
1500000.00000000
PA
USD
885680.40000000
0.860984279918
Long
ABS-MBS
CORP
US
Y
2
2050-07-15
Variable
4.45425100
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325VDB7
112532.08000000
PA
USD
9764.98000000
0.009492695416
Long
ABS-CBDO
USGSE
US
N
2
2044-03-15
Variable
0.46708000
N
N
N
N
N
N
Frontier Issuer LLC
N/A
Frontier Issuer LLC
35910EAC8
1500000.00000000
PA
USD
1477928.70000000
1.436718456838
Long
ABS-O
CORP
US
Y
2
2053-08-20
Fixed
11.50000000
N
N
N
N
N
N
CFK Trust
N/A
CFK Trust 2019-FAX
12528XAJ4
672000.00000000
PA
USD
596562.02000000
0.579927614087
Long
ABS-MBS
CORP
US
Y
2
2039-01-15
Variable
4.63660500
N
N
N
N
N
N
RESIDENTIAL RE 2020 LTD
N/A
Residential Reinsurance 2020 Ltd
76120AAC6
400000.00000000
PA
USD
395400.00000000
0.384374752201
Long
ABS-O
CORP
KY
Y
2
2024-12-06
Variable
6.51000000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2016-CD2 Mortgage Trust
12515ABJ8
1500000.00000000
PA
USD
1141990.05000000
1.110147047256
Long
ABS-MBS
CORP
US
N
2
2049-11-10
Variable
3.97755000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IS4M3TZMRB410
Freddie Mac STACR REMIC Trust 2022-DNA3
35564KVE6
455000.00000000
PA
USD
479105.54000000
0.465746265088
Long
ABS-CBDO
CORP
US
Y
2
2042-04-25
Variable
9.68743000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2013-LC13 Mortgage Trust
12626GAT0
1500000.00000000
PA
USD
1305453.90000000
1.269052906734
Long
ABS-MBS
CORP
US
Y
2
2046-08-10
Variable
5.39104400
N
Y
N
N
N
N
Sixth Street CLO LTD.
N/A
Sixth Street CLO XIX Ltd
83011MAA2
1000000.00000000
PA
USD
992688.00000000
0.965008103220
Long
ABS-O
CORP
KY
Y
2
2034-07-20
Variable
6.03542700
N
N
N
N
N
N
Capital Automotive LP
N/A
Cars Net Lease Mortgage Notes Series 2020-1
14576AAE2
2000000.00000000
PA
USD
1706610.00000000
1.659023257093
Long
ABS-O
CORP
US
Y
2
2050-12-15
Fixed
4.69000000
N
N
N
N
N
N
Neuberger Berman Loan Advisers NBLA CLO 53 Ltd
N/A
Neuberger Berman Loan Advisers NBLA CLO 53 Ltd
64135LAA5
500000.00000000
PA
USD
504594.50000000
0.490524496458
Long
ABS-O
CORP
JE
Y
2
2032-10-24
Variable
12.99195000
N
N
N
N
N
N
BONANZA RE LTD
5493003F0CXUQ2C83105
Bonanza RE Ltd
09785EAD3
500000.00000000
PA
USD
468700.00000000
0.455630870907
Long
ABS-O
CORP
BM
Y
2
2024-12-23
Variable
10.26369000
N
N
N
N
N
N
FARM 2021-1 Mortgage Trust
N/A
FARM 21-1 Mortgage Trust
30768WAC2
638597.88000000
PA
USD
465031.64000000
0.452064798661
Long
ABS-CBDO
CORP
US
Y
2
2051-07-25
Variable
3.24013400
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE15 Mortgage Trust
12591RBF6
925000.00000000
PA
USD
812021.61000000
0.789379375634
Long
ABS-MBS
CORP
US
N
2
2047-02-10
Variable
4.55867100
N
N
N
N
N
N
MX REMIT FUND FIDUC EST
54930007WQ6S3GFCM563
Mexico Remittances Funding Fiduciary Estate Management Sarl
593035AA6
1385500.00000000
PA
USD
1227995.39000000
1.193754233019
Long
ABS-O
CORP
LU
Y
2
2028-01-15
Fixed
4.87500000
N
N
N
N
N
N
PKHL Commercial Mortgage Trust
N/A
PKHL Commercial Mortgage Trust 2021-MF
69356GAL3
1000000.00000000
PA
USD
806085.80000000
0.783609078472
Long
ABS-MBS
CORP
US
Y
2
2038-07-15
Variable
7.47648000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE25 Mortgage Trust
12593PBA9
800000.00000000
PA
USD
738601.28000000
0.718006282184
Long
ABS-MBS
CORP
US
N
2
2048-08-10
Variable
4.51602300
N
N
N
N
N
N
GRACIE POINT INTERNATIONAL FUNDING 2023-2
N/A
GRACIE POINT INTERNATIONAL FUNDING 2023-2
38410JAC6
1000000.00000000
PA
USD
999832.40000000
0.971953290321
Long
ABS-O
CORP
US
Y
2
2027-03-01
Variable
10.74618000
N
N
N
N
N
N
Start Ltd.
N/A
Start II LTD
85573LAB7
439214.13000000
PA
USD
381563.28000000
0.370923852299
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
181988.94000000
PA
USD
121110.04000000
0.117733033925
Long
ABS-CBDO
CORP
US
N
2
2037-11-25
Variable
3.27753100
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2018-TWR
36251SAS7
700000.00000000
PA
USD
167230.98000000
0.162567947642
Long
ABS-MBS
CORP
US
Y
2
2031-07-15
Variable
8.45900000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C22
46642NBK1
2000000.00000000
PA
USD
1491588.80000000
1.449997661574
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Variable
4.55913200
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19
61764PBZ4
1214000.00000000
PA
USD
1125290.71000000
1.093913348029
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Fixed
4.00000000
N
N
N
N
N
N
Hardee's Funding LLC and Carls
N/A
Hardee's Funding LLC
411707AH5
485000.00000000
PA
USD
426034.19000000
0.414154745095
Long
ABS-O
CORP
US
Y
2
2050-12-20
Fixed
3.98100000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IS4M3TZMRB410
Freddie Mac STACR REMIC Trust 2022-DNA3
35564KWA3
3750000.00000000
PA
USD
3984036.00000000
3.872946004708
Long
ABS-CBDO
CORP
US
Y
2
2042-04-25
Variable
8.64682000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B18 Mortgage Trust
08163ABR3
1500000.00000000
PA
USD
1329904.50000000
1.292821731510
Long
ABS-MBS
CORP
US
Y
2
2053-07-15
Fixed
4.13900000
N
N
N
N
N
N
Palmer Square CLO Ltd
N/A
Palmer Square CLO Ltd
69689RAA1
625000.00000000
PA
USD
629003.75000000
0.611464745928
Long
ABS-O
CORP
KY
Y
2
2035-04-20
Variable
11.76582000
N
N
N
N
N
N
MRCD Mortgage Trust
N/A
MRCD 2019-MARK Mortgage Trust
55348UAS7
1000000.00000000
PA
USD
594200.30000000
0.577631747775
Long
ABS-MBS
CORP
US
Y
2
2036-12-15
Fixed
2.71752000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R01
20754LAJ8
2100000.00000000
PA
USD
2150792.07000000
2.090819850640
Long
ABS-CBDO
CORP
US
Y
2
2041-12-25
Variable
11.33743000
N
N
N
N
N
N
Bonanza RE Ltd
5493003F0CXUQ2C83105
Bonanza RE Ltd
09785EAM3
250000.00000000
PA
USD
192475.00000000
0.187108068866
Long
DBT
CORP
BM
Y
2
2025-01-08
Variable
5.35865100
N
N
N
N
N
N
Mercury Financial Credit Card
N/A
Mercury Financial Credit Card Master Trust
58940BAR7
500000.00000000
PA
USD
505466.60000000
0.491372279011
Long
ABS-O
CORP
US
Y
2
2027-09-20
Fixed
8.04000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS Mortgage Trust 2020-C6
05492TBF6
1000000.00000000
PA
USD
758054.90000000
0.736917461665
Long
ABS-MBS
CORP
US
Y
2
2053-02-15
Variable
3.68835000
N
N
N
N
N
N
LUNAR AIRCRAFT 2020-1 LIMITED
N/A
LUNAR AIRCRAFT 2020-1 LTD
55037LAA2
308728.76000000
PA
USD
273410.19000000
0.265786479591
Long
ABS-O
CORP
US
Y
2
2045-02-15
Fixed
3.37600000
N
N
N
N
N
N
OPEN Trust
N/A
OPEN Trust
68373BAE1
493761.20000000
PA
USD
497621.72000000
0.483746143943
Long
ABS-MBS
CORP
US
Y
2
2028-10-15
Floating
10.59773900
N
N
N
N
N
N
Frontier Issuer LLC
N/A
Frontier Issuer LLC
35910EAB0
1500000.00000000
PA
USD
1489392.15000000
1.447862262486
Long
ABS-O
CORP
US
Y
2
2053-08-20
Fixed
8.30000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R01
20754RAJ5
3000000.00000000
PA
USD
3079422.60000000
2.993556648453
Long
ABS-CBDO
CORP
US
Y
2
2041-10-25
Variable
11.33743000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-UBS3 Mortgage Trust
12591YAG0
1500000.00000000
PA
USD
789391.20000000
0.767379987076
Long
ABS-MBS
CORP
US
Y
2
2047-06-10
Variable
4.76656000
N
N
N
N
N
N
Federal Home Loan Bank Discount Notes
2549001DPIFGXC1TOL40
Federal Home Loan Bank Discount Notes
313384RJ0
600000.00000000
PA
USD
599737.50000000
0.583014549692
Long
STIV
USGSE
US
N
2
N
N
N
Oportun Funding LLC
N/A
Oportun Funding XIV LLC
68377BAD9
254798.11000000
PA
USD
237824.78000000
0.231193325442
Long
ABS-O
CORP
US
Y
2
2028-03-08
Fixed
5.40000000
N
N
N
N
N
N
SD RE LTD
N/A
SD Re Ltd
78414BAD3
500000.00000000
PA
USD
490850.00000000
0.477163245114
Long
DBT
CORP
BM
Y
2
2024-11-19
Variable
14.60369000
N
N
N
N
N
N
Mercury Financial Credit Card
N/A
Mercury Financial Credit Card Master Trust
58940BAS5
500000.00000000
PA
USD
504158.25000000
0.490100410758
Long
ABS-O
CORP
US
Y
2
2027-09-20
Fixed
9.59000000
N
N
N
N
N
N
CITRUS RE LTD
549300VWWT5SE805NK88
Citrus Re Ltd
177510AK0
250000.00000000
PA
USD
249975.00000000
0.243004751344
Long
DBT
CORP
BM
Y
2
2025-06-07
Variable
5.10000000
N
Y
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2016-CD1 Mortgage Trust
12514MBG9
845000.00000000
PA
USD
541406.20000000
0.526309747003
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Variable
3.63100000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISBDRXIMCHZ70
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KQZ5
1000000.00000000
PA
USD
1036760.50000000
1.007851695194
Long
ABS-CBDO
CORP
US
Y
2
2042-01-25
Variable
12.43743000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Issuance Trust 2021-C
68377WAD3
350000.00000000
PA
USD
300118.46000000
0.291750021986
Long
ABS-O
CORP
US
Y
2
2031-10-08
Fixed
5.57000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp Trust 2021-ARDN
36266CAL0
1400000.00000000
PA
USD
1314208.28000000
1.277563181502
Long
ABS-MBS
USGSE
US
Y
2
2036-11-15
Variable
8.82629000
N
N
N
N
N
N
Cayuga Park CLO, Ltd.
549300SVH2QJEV4A2G21
Cayuga Park CLO Ltd
149790AJ6
250000.00000000
PA
USD
244858.50000000
0.238030918720
Long
ABS-O
CORP
KY
Y
2
2034-07-17
Variable
1.00000000
N
N
N
N
N
N
VNO Mortgage Trust
N/A
VNDO Trust 2016-350P
91831UAG2
1500000.00000000
PA
USD
1177684.05000000
1.144845763506
Long
ABS-MBS
CORP
US
Y
2
2035-01-10
Variable
3.90263000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE17 Mortgage Trust
12631DBE2
1000000.00000000
PA
USD
916672.40000000
0.891112105715
Long
ABS-MBS
CORP
US
N
2
2047-05-10
Fixed
4.37700000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R09
20753DAF5
450000.00000000
PA
USD
494105.22000000
0.480327697265
Long
ABS-CBDO
USGSE
US
Y
2
2042-09-25
Variable
12.08743000
N
Y
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-CCRE23 Mortgage Trust
12593ABF1
2000000.00000000
PA
USD
1650453.40000000
1.604432515541
Long
ABS-MBS
CORP
US
N
2
2048-05-10
Variable
4.28729600
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JPMCC Commercial Mortgage Securities Trust 2017-JP7
465968AM7
1849000.00000000
PA
USD
1288218.27000000
1.252297871301
Long
ABS-MBS
CORP
US
Y
2
2050-09-15
Variable
4.45327800
N
N
N
N
N
N
Federal Home Loan Bank Discount Notes
2549001DPIFGXC1TOL40
Federal Home Loan Bank Discount Notes
313384RG6
460000.00000000
PA
USD
459933.56000000
0.447108872418
Long
STIV
USGSE
US
N
2
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382JA89
6987506.17000000
PA
USD
939496.76000000
0.913300036214
Long
ABS-CBDO
USGSE
US
N
2
2050-09-20
Variable
0.91226000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2018-TWR
36251SAN8
1100000.00000000
PA
USD
506027.61000000
0.491917645930
Long
ABS-MBS
CORP
US
Y
2
2031-07-15
Variable
7.25900000
N
N
N
N
N
N
BONANZA RE LTD
5493003F0CXUQ2C83105
Bonanza RE Ltd
09785EAJ0
250000.00000000
PA
USD
236375.00000000
0.229783970793
Long
DBT
CORP
BM
Y
2
2025-03-16
Variable
11.13369000
N
N
N
N
N
N
ACRE COMMERCIAL MORTGAGE TRUST
N/A
ACRE Commercial Mortgage 2021-FL4 Ltd
00489TAJ5
1500000.00000000
PA
USD
1414715.70000000
1.375268074413
Long
ABS-O
CORP
KY
Y
2
2037-12-18
Variable
8.07273000
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2022-II Ltd
12567QAA0
375000.00000000
PA
USD
378786.38000000
0.368224382776
Long
ABS-O
CORP
KY
Y
2
2035-04-19
Variable
12.39681000
N
N
N
N
N
N
Bojangles Issuer, LLC
N/A
Bojangles Issuer LLC
09748RAA6
294750.00000000
PA
USD
275410.57000000
0.267731081430
Long
ABS-O
CORP
US
Y
2
2050-10-20
Fixed
3.83200000
N
N
N
N
N
N
MetroNet Infrastructure Issuer
5493000BIROCAEATAQ61
MetroNet Infrastructure Issuer LLC
59170DAB7
125000.00000000
PA
USD
124244.43000000
0.120780025274
Long
ABS-O
CORP
US
Y
2
2053-04-20
Fixed
8.01000000
N
N
N
N
N
N
Mercury Financial Credit Card
N/A
Mercury Financial Credit Card Master Trust
58940BAN6
500000.00000000
PA
USD
500935.95000000
0.486967960672
Long
ABS-O
CORP
US
Y
2
2027-06-21
Fixed
10.68000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JPMCC Commercial Mortgage Securities Trust 2017-JP6
48128KAZ4
1930000.00000000
PA
USD
1240550.93000000
1.205959677066
Long
ABS-MBS
CORP
US
N
2
2050-07-15
Variable
3.70425100
N
N
N
N
N
N
MetroNet Infrastructure Issuer
5493000BIROCAEATAQ61
MetroNet Infrastructure Issuer LLC
59170DAC5
125000.00000000
PA
USD
122741.29000000
0.119318798504
Long
ABS-O
CORP
US
Y
2
2053-04-20
Fixed
10.85000000
N
N
N
N
N
N
Freddie Mac Multifamily
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily ML Certificates
35833TAB1
7623782.02000000
PA
USD
747054.40000000
0.726223697220
Long
ABS-MBS
MUN
US
N
2
2041-07-25
Variable
1.22431900
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM Mortgage Trust
12630DBB9
1160000.00000000
PA
USD
1049841.41000000
1.020567859938
Long
ABS-MBS
CORP
US
N
2
2047-02-10
Variable
4.58467200
N
N
N
N
N
N
Affirm Asset Securitization Trust 2023-B
N/A
Affirm Asset Securitization Trust 2023-B
00792FAK4
515000.00000000
PA
USD
524532.86000000
0.509906899554
Long
ABS-O
CORP
US
Y
2
2028-09-15
Fixed
11.32000000
N
N
N
N
N
N
SUMIT 2022-BVUE Mortgage Trust
N/A
SUMIT 2022-BVUE Mortgage Trust
865592AC3
127100000.00000000
PA
USD
635614.39000000
0.617891056277
Long
ABS-MBS
CORP
US
Y
2
2041-02-12
Variable
0.08232500
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
N/A
-13123000.00000000
PA
USD
-13123000.00000000
-12.7570811156
Short
RA
CORP
US
N
N/A
Reverse repurchase
N
6.87920000
2024-01-16
18720000.00000000
USD
18446651.47000000
USD
ACMO
4488000.00000000
USD
3359009.61000000
USD
ABS
N
N
N
2023-12-31
Nuveen Mortgage and Income Fund
Gina Spunder
Gina Spunder
Director, Fund Financial Reporting