0001752724-24-195897.txt : 20240828 0001752724-24-195897.hdr.sgml : 20240828 20240828085632 ACCESSION NUMBER: 0001752724-24-195897 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20240630 FILED AS OF DATE: 20240828 DATE AS OF CHANGE: 20240828 PERIOD START: 20241231 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: 241251287 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 primary_doc.xml NPORT-P false 0001472215 XXXXXXXX Nuveen Mortgage and Income Fund 811-22329 0001472215 07Q4EPZRU8XATVYVY545 333 W. Wacker Dr Chicago 60606 312-917-7700 Nuveen Mortgage and Income Fund 07Q4EPZRU8XATVYVY545 2024-12-31 2024-06-30 N 111818997.00 5113495.00 106705502.00 0.00000000 0.00000000 3520000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 USD N GoldenTree Loan Management US N/A 38138RAC9 500000.00000000 PA USD 473514.50000000 0.443758279680 Long ABS-O CORP KY Y 2 2034-10-20 Variable 8.56271000 N N N N N N VIVINT SOLAR FINANCING LLC N/A 92854VAB1 915440.30000000 PA USD 851170.44000000 0.797681866488 Long ABS-O CORP US Y 2 2048-04-30 Fixed 7.37000000 N N N N N N Countrywide Home Loans N/A 126694WE4 389298.96000000 PA USD 344383.90000000 0.322742401792 Long ABS-CBDO CORP US N 2 2036-03-20 Variable 4.78040000 N N N N N N Fannie Mae - CAS N/A 20754BAF8 2550000.00000000 PA USD 2687860.14000000 2.518951778137 Long ABS-CBDO CORP US Y 2 2042-01-25 Variable 9.83535000 N N N N N N Natixis Commercial Mortgage Se N/A 63875FAJ5 1000000.00000000 PA USD 781465.20000000 0.732356987552 Long ABS-MBS CORP US Y 2 2036-07-15 Variable 8.15800000 N N N N N N Hudson Yards N/A 44421MAN0 1000000.00000000 PA USD 774231.50000000 0.725577861955 Long ABS-MBS CORP US Y 2 2041-12-10 Variable 3.04089300 N N N N N N Oportun Funding LLC N/A 68377XAC3 500000.00000000 PA USD 494019.50000000 0.462974720834 Long ABS-O CORP US Y 2 2029-06-15 Fixed 6.00000000 N N N N N N EWC Master Issuer LLC N/A 26929HAB1 911400.00000000 PA USD 867384.03000000 0.812876575005 Long ABS-O CORP US Y 2 2052-03-15 Fixed 5.50000000 N N N N N N GS Mortgage Securities Trust N/A 36266CAJ5 1000000.00000000 PA USD 987364.90000000 0.925317702924 Long ABS-MBS USGSE US Y 2 2036-11-15 Variable 8.19332000 N N N N N N Oportun Funding LLC N/A 68377GAD8 936762.10000000 PA USD 868753.45000000 0.814159939006 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 76119YAG8 500000.00000000 PA USD 491800.00000000 0.460894696882 Long DBT CORP KY Y 2 2026-12-06 Variable 13.04987900 N N N N N N BRITISH AIR 20-1 B PTT N/A 11042WAA4 361387.82000000 PA USD 378005.84000000 0.354251498671 Long ABS-O CORP US Y 2 2028-11-15 Fixed 8.37500000 N N N N N N ALEN 2021-ACEN Mortgage Trust N/A 01449NAJ5 500000.00000000 PA USD 253919.20000000 0.237962612274 Long ABS-MBS CORP US Y 2 2034-04-15 Variable 9.44348000 N N N N N N JP Morgan Chase Commercial Mor N/A 46651CAN8 441000.00000000 PA USD 418406.22000000 0.392113070233 Long ABS-MBS CORP US Y 2 2032-05-05 Variable 4.60050300 N N N N N N GS Mortgage Securities Trust N/A 36251SAQ1 700000.00000000 PA USD 198450.00000000 0.185979163473 Long ABS-MBS CORP US Y 2 2031-07-15 Variable 7.72600000 N N N N N N Bank N/A 060352AL5 1000000.00000000 PA USD 876900.30000000 0.821794831160 Long ABS-MBS CORP US N 2 2060-07-15 Variable 3.85100000 N N N N N N Freddie Mac STACR REMIC Trust 2022-DNA2 5493000ISA3AUOXQEF68 35564KSQ3 1000000.00000000 PA USD 1110388.20000000 1.040610070884 Long ABS-CBDO CORP US Y 2 2042-02-25 Variable 13.78758000 N N N N N N MSCG Trust N/A 55352NAN7 250000.00000000 PA USD 218466.43000000 0.204737736953 Long ABS-MBS CORP US Y 2 2035-06-07 Variable 3.57714200 N N N N N N TX Trust 2024-HOU N/A 90216DAG7 1000000.00000000 PA USD 994572.70000000 0.932072556108 Long ABS-MBS USGSE US Y 2 2039-06-15 Variable 8.55800500 N N N N N N JPMBB Commercial Mortgage Secu N/A 46644RBE4 760000.00000000 PA USD 724323.32000000 0.678805971973 Long ABS-MBS CORP US N 2 2048-05-15 Variable 4.11800000 N N N N N N Fannie Mae - CAS N/A 20754MAF4 960000.00000000 PA USD 1089789.31000000 1.021305639890 Long ABS-CBDO CORP US Y 2 2042-06-25 Variable 12.13501000 N N N N N N Wells Fargo Commercial Mortgag 5493002S7XBI8CVRR075 94989HBM1 1300000.00000000 PA USD 1154553.79000000 1.082000242124 Long ABS-MBS CORP US N 2 2048-05-15 Variable 4.25403900 N N N N N N Madison Park Funding Ltd N/A 55819PBC2 500000.00000000 PA USD 498490.50000000 0.467164757821 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 46652BBL2 366000.00000000 PA USD 141879.90000000 0.132963996551 Long ABS-MBS CORP US Y 2 2037-01-16 Fixed 3.97200000 N N N N N N HIN Timeshare Trust 2020-A N/A 40439HAE9 149503.40000000 PA USD 139464.92000000 0.130700776797 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 826525AD9 195454.14000000 PA USD 192266.22000000 0.180183979641 Long ABS-O CORP US Y 2 2037-07-20 Fixed 6.59000000 N N N N N N HESTIA RE LTD 549300QRKQ1ZKOXEMZ38 42815KAA0 250000.00000000 PA USD 240800.00000000 0.225667838571 Long DBT CORP BM Y 2 2025-04-22 Variable 15.43987900 N N N N N N COMM Mortgage Trust N/A 12593PBB7 1245000.00000000 PA USD 1128890.06000000 1.057949251763 Long ABS-MBS CORP US N 2 2048-08-10 Variable 3.76799000 N N N N N N CIFC Funding Ltd N/A 12547JAE3 385000.00000000 PA USD 387191.81000000 0.362860211275 Long ABS-O CORP KY Y 2 2034-10-20 Variable 12.08617000 N N N N N N Flagstar Mortgage Trust N/A 33850RBA9 81582.64000000 PA USD 71678.72000000 0.067174343081 Long ABS-CBDO CORP US Y 2 2047-10-25 Variable 3.98477500 N N N N N N Connecticut Avenue Securities Trust 2022-R07 N/A 20754MAL1 1900000.00000000 PA USD 2318557.84000000 2.172856878551 Long ABS-CBDO CORP US Y 2 2042-06-25 Variable 17.33501000 N N N N N N CD Commercial Mortgage Trust N/A 12515GAH0 1978000.00000000 PA USD 779999.58000000 0.730983468874 Long ABS-MBS CORP US N 2 2050-02-10 Variable 4.68859900 N N N N N N JPMBB Commercial Mortgage Secu N/A 46644ABL5 1000000.00000000 PA USD 895408.00000000 0.839139485047 Long ABS-MBS CORP US N 2 2048-02-15 Fixed 3.89810000 N N N N N N Capital Automotive Reit N/A 12510HAH3 775000.00000000 PA USD 715289.51000000 0.670339857451 Long ABS-O CORP US Y 2 2050-02-15 Fixed 4.52000000 N N N N N N VR Funding LLC N/A 91835CAC7 501234.38000000 PA USD 463399.05000000 0.434278496717 Long ABS-O CORP US Y 2 2050-11-15 Fixed 6.42000000 N N N N N N GS Mortgage Securities Trust N/A 36251SAL2 1000000.00000000 PA USD 600000.00000000 0.562295278832 Long ABS-MBS CORP US Y 2 2031-07-15 Variable 7.07600000 N N N N N N Mosaic Solar Loans LLC N/A 61946NAE8 1000000.00000000 PA USD 534800.00000000 0.501192525198 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 69702TAG7 925000.00000000 PA USD 944367.65000000 0.885022451794 Long ABS-O CORP KY Y 2 2036-01-20 Variable 10.62456000 N N N N N N Oportun Issuance Trust 2024-1 N/A 68377JAG5 2000000.00000000 PA USD 1994960.20000000 1.869594503196 Long ABS-O CORP US Y 2 2031-04-08 Fixed 12.07200000 N N N N N N AIR CANADA 2020-2B PTT N/A 00909UAA3 490058.20000000 PA USD 498460.20000000 0.467136361909 Long ABS-O CORP CA Y 2 2025-10-01 Fixed 9.00000000 N N N N N N COMM Mortgage Trust N/A 12592XAJ5 1400000.00000000 PA USD 930693.54000000 0.872207639302 Long ABS-MBS CORP US Y 2 2048-03-10 Fixed 3.00000000 N N N N N N BONANZA RE LTD 5493003F0CXUQ2C83105 09785EAK7 750000.00000000 PA USD 754050.00000000 0.706664591672 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 61765DAX6 226295.00000000 PA USD 211807.30000000 0.198497074686 Long ABS-MBS CORP US N 2 2048-05-15 Variable 4.15709000 N N N N N N Societe Generale SA O2RNE8IBXP4R0TD8PU41 N/A -17355000.00000000 PA USD -17355000.00000000 -16.2643909402 Short RA CORP FR N N/A Reverse repurchase N 6.55388000 2024-07-12 28673000.00000000 USD 24730979.58000000 USD ACMO N N N Apollo Aviation Securitization N/A 00255UAC9 1214047.56000000 PA USD 358155.20000000 0.335648296748 Long ABS-O CORP US Y 2 2040-01-16 Fixed 6.41300000 N N N N N N Fannie Mae - CAS N/A 20753XAJ3 1000000.00000000 PA USD 1147672.10000000 1.075551005795 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 14687TAJ6 2500.00000000 PA USD 481250.00000000 0.451007671563 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 46647TAZ1 2000000.00000000 PA USD 1663322.60000000 1.558797408590 Long ABS-MBS CORP US N 2 2050-03-15 Variable 3.90442000 N N N N N N Freddie Mac - STACR 5493000ISBDRXIMCHZ70 35564KQY8 2275000.00000000 PA USD 2351283.25000000 2.203525784452 Long ABS-CBDO CORP US Y 2 2042-01-25 Variable 8.73535000 N N N N N N CIFC Funding Ltd N/A 12567WAJ8 750000.00000000 PA USD 753032.25000000 0.705710798305 Long ABS-O CORP KY Y 2 2035-07-16 Variable 8.87766000 N N N N N N Bank N/A 06540BAJ8 1000000.00000000 PA USD 640221.80000000 0.599989492575 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 46651CAL2 377000.00000000 PA USD 359618.68000000 0.337019809906 Long ABS-MBS CORP US Y 2 2032-05-05 Variable 4.60050300 N N N N N N JPMBB Commercial Mortgage Secu N/A 46645LBF3 1189000.00000000 PA USD 1086779.05000000 1.018484548247 Long ABS-MBS CORP US N 2 2049-03-17 Variable 4.85804300 N N N N N N Magnetite CLO Ltd 549300WG00K34O9YA435 55954RAG5 1125000.00000000 PA USD 1135984.50000000 1.064597868627 Long ABS-O CORP KY Y 2 2035-01-25 Variable 7.48400000 N N N N N N MATTERHORN RE LTD 549300QRZ77PO1BYWT39 577092AP4 250000.00000000 PA USD 240075.00000000 0.224988398442 Long DBT CORP BM Y 2 2025-03-24 Variable 5.88917600 N N N N N N Fannie Mae - CAS N/A 20753XAF1 2000000.00000000 PA USD 2225068.80000000 2.085242802194 Long ABS-CBDO CORP US Y 2 2042-03-25 Variable 6.34900000 N N N N N N Fannie Mae - CAS N/A 20755AAD4 4000000.00000000 PA USD 4434221.60000000 4.155569784958 Long ABS-CBDO USGSE US Y 2 2043-01-25 Variable 10.88535000 N N N N N N Toronto Dominion Holdings USA Inc 549300YQDGZ24IX40M56 N/A -770000.00000000 PA USD -770000.00000000 -0.72161227450 Short RA CORP CA N N/A Reverse repurchase N 5.85000000 2049-12-31 10800000.00000000 USD 647459.42000000 USD ACMO N N N CyrusOne Data Centers Issuer I N/A 23284BAC8 1060554.10000000 PA USD 993130.12000000 0.930720629569 Long ABS-O CORP US Y 2 2048-04-20 Fixed 5.45000000 N N N N N N Hertz Vehicle Financing LLC 549300MNOMKDMDFI8J66 42806MAM1 500000.00000000 PA USD 482715.40000000 0.452380984065 Long ABS-O CORP US Y 2 2026-06-25 Fixed 4.85000000 N N N N N N Hotwire Funding LLC 254900ZCO90MCT7Y9348 44148JAM1 750000.00000000 PA USD 759864.60000000 0.712113795219 Long ABS-O CORP US Y 2 2054-06-20 Fixed 9.18800000 N N N N N N COMM Mortgage Trust N/A 12591UAL7 1000000.00000000 PA USD 899297.30000000 0.842784376760 Long ABS-MBS CORP US N 2 2047-03-10 Variable 4.94734000 N Y N N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377REU4 550000.00000000 PA USD 491466.58000000 0.460582229396 Long ABS-O CORP US Y 2 2028-02-20 Fixed 4.08000000 N N N N N N Ziply Fiber Issuer LLC N/A 98979QAC7 500000.00000000 PA USD 509187.55000000 0.477189592341 Long ABS-O CORP US Y 2 2054-04-20 Fixed 7.81000000 N N N N N N Freddie Mac - STACR 5493000ISONLNOUKGB71 35564KLV9 3000000.00000000 PA USD 3246464.10000000 3.042452393879 Long ABS-CBDO CORP US Y 2 2041-10-25 Variable 12.83535000 N N N N N N GS Mortgage Securities Trust N/A 36251XAY3 2000000.00000000 PA USD 1698179.00000000 1.591463390519 Long ABS-MBS CORP US N 2 2049-11-10 Variable 4.07570600 N N N N N N SMR 2022-IND Mortgage Trust N/A 78458MAG9 1623518.33000000 PA USD 1537010.78000000 1.440423175179 Long ABS-MBS CORP US Y 2 2039-02-15 Variable 9.27884000 N N N N N N PKHL Commercial Mortgage Trust N/A 69356GAA7 1000000.00000000 PA USD 955282.80000000 0.895251680649 Long ABS-MBS CORP US Y 2 2038-07-15 Variable 6.32348000 N N N N N N Mosaic Solar Loans LLC N/A 618937AD8 1000000.00000000 PA USD 851125.40000000 0.797639656856 Long ABS-O CORP US Y 2 2049-09-20 Fixed 10.00000000 N N N N N N TCW CLO 2021-2, Ltd. N/A 87301QAA3 1000000.00000000 PA USD 1003891.00000000 0.940805282936 Long ABS-O CORP KY Y 2 2034-07-25 Variable 6.98488000 N N N N N N Cantor Commercial Real Estate N/A 12529WAN6 24235.17000000 PA USD 23493.66000000 0.022017290167 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 91734PAF3 500000.00000000 PA USD 515100.00000000 0.482730496877 Long DBT CORP BM Y 2 2025-12-06 Variable 12.35467400 N N N N N N Fannie Mae - CAS N/A 207942AC7 2250000.00000000 PA USD 2457870.75000000 2.303415197840 Long ABS-CBDO USGSE US Y 2 2043-06-25 Variable 10.08501000 N N N N N N Helios Issuer, LLC N/A 86745YAC8 480961.08000000 PA USD 437178.52000000 0.409705696337 Long ABS-O CORP US Y 2 2050-08-22 Variable 6.00000000 N N N N N N Fannie Mae - CAS N/A 20754EAF2 2280000.00000000 PA USD 2423945.29000000 2.271621654523 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 19521UAE3 250000.00000000 PA USD 223281.28000000 0.209250015992 Long ABS-O CORP US Y 2 2051-12-26 Fixed 5.99000000 N N N N N N COMM Mortgage Trust N/A 12593JBL9 1800000.00000000 PA USD 1588217.04000000 1.488411572254 Long ABS-MBS CORP US N 2 2048-08-10 Variable 3.46300000 N N N N N N Freddie Mac - STACR 5493000ISA3AUOXQEF68 35564KSJ9 4900000.00000000 PA USD 5234122.18000000 4.905203651073 Long ABS-CBDO CORP US Y 2 2042-02-25 Variable 10.08535000 N N N N N N Mosaic Solar Loans LLC N/A 61945LAE3 1525000.00000000 PA USD 597952.50000000 0.560376446192 Long ABS-O CORP US Y 3 2040-09-20 Fixed 0.00000000 N N N N N N Gracie Point International Funding 2024-1 LLC N/A 38410KAD1 173000.00000000 PA USD 173227.70000000 0.162341863121 Long ABS-O CORP US Y 2 2028-03-01 Variable 12.49958000 N N N N N N GS Mortgage Securities Trust N/A 36251SAU2 892000.00000000 PA USD 18732.00000000 0.017554858605 Long ABS-MBS CORP US Y 2 2031-07-15 Variable 9.55066000 N N N N N N Fannie Mae - CAS N/A 20754AAJ2 625000.00000000 PA USD 656876.38000000 0.615597478750 Long ABS-CBDO CORP US Y 2 2041-12-25 Variable 10.83535000 N N N N N N Federal Home Loan Bank Discount Notes 2549001DPIFGXC1TOL40 313384YV5 465000.00000000 PA USD 464796.76000000 0.435588372940 Long STIV USGSE US N 2 N N N Ziply Fiber Issuer LLC N/A 98979QAE3 1000000.00000000 PA USD 1004555.40000000 0.941427931242 Long ABS-O CORP US Y 2 2054-04-20 Fixed 11.17000000 N N N N N N DOLP Trust N/A 23345LAC3 33000000.00000000 PA USD 1113103.20000000 1.043154457021 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 40439HAD1 209304.75000000 PA USD 196805.30000000 0.184437818398 Long ABS-O CORP US Y 2 2039-10-09 Fixed 5.50000000 N N N N N N Fannie Mae - CAS N/A 20754DAJ6 2840000.00000000 PA USD 3118181.41000000 2.922231142307 Long ABS-CBDO CORP US Y 2 2042-04-25 Variable 12.33535000 N N N N N N MSCG Trust N/A 55352NAL1 750000.00000000 PA USD 666719.93000000 0.624822448237 Long ABS-MBS CORP US Y 2 2035-06-07 Variable 3.57714200 N N N N N N MVW 2020-1 LLC N/A 55400EAD1 169785.65000000 PA USD 165491.86000000 0.155092152605 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 82652NAD0 31330.49000000 PA USD 31027.64000000 0.029077825808 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 63875FAN6 1050000.00000000 PA USD 707698.01000000 0.663225416436 Long ABS-MBS CORP US Y 2 2036-07-15 Variable 9.65800000 N N N N N N Mosaic Solar Loans LLC N/A 61946PAD5 678343.89000000 PA USD 605471.85000000 0.567423271201 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 48128KAA9 1500000.00000000 PA USD 1073927.70000000 1.006440792528 Long ABS-MBS CORP US Y 2 2050-07-15 Variable 4.60062200 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 31325VDB7 106604.79000000 PA USD 8362.38000000 0.007836877989 Long ABS-CBDO USGSE US N 2 2044-03-15 Variable 0.47249000 N N N N N N Frontier Issuer LLC N/A 35910EAC8 1500000.00000000 PA USD 1514167.95000000 1.419015816072 Long ABS-O CORP US Y 2 2053-08-20 Fixed 11.50000000 N N N N N N CFK Trust N/A 12528XAJ4 672000.00000000 PA USD 597880.42000000 0.560308895786 Long ABS-MBS CORP US Y 2 2039-01-15 Variable 4.79115900 N N N N N N RESIDENTIAL RE 2020 LTD N/A 76120AAC6 400000.00000000 PA USD 382320.00000000 0.358294551671 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 12515ABJ8 1500000.00000000 PA USD 1133565.30000000 1.062330694062 Long ABS-MBS CORP US N 2 2049-11-10 Variable 4.10905900 N N N N N N Elmwood CLO 26 Ltd N/A 29004DAA4 1000000.00000000 PA USD 1029062.00000000 0.964394507042 Long ABS-O CORP KY Y 2 2037-04-18 Variable 11.74149000 N N N N N N COMM Mortgage Trust N/A 12626GAT0 1500000.00000000 PA USD 1239422.10000000 1.161535325516 Long ABS-MBS CORP US Y 2 2046-08-10 Variable 5.57112800 N N N N N N MetroNet Infrastructure Issuer LLC 5493000BIROCAEATAQ61 59170JAJ7 1000000.00000000 PA USD 996395.90000000 0.933781184029 Long ABS-O CORP US Y 2 2054-04-20 Fixed 10.86000000 N N N N N N Sixth Street CLO LTD. N/A 83011MAA2 1000000.00000000 PA USD 1004370.00000000 0.941254182000 Long ABS-O CORP KY Y 2 2034-07-20 Variable 6.03542700 N N N N N N Capital Automotive LP N/A 14576AAE2 2000000.00000000 PA USD 1767683.00000000 1.656599675619 Long ABS-O CORP US Y 2 2050-12-15 Fixed 4.69000000 N N N N N N Neuberger Berman CLO Ltd N/A 64135LAA5 500000.00000000 PA USD 509562.00000000 0.477540511453 Long ABS-O CORP JE Y 2 2032-10-24 Variable 12.94794000 N N N N N N BONANZA RE LTD 5493003F0CXUQ2C83105 09785EAD3 500000.00000000 PA USD 482500.00000000 0.452179120060 Long ABS-O CORP BM Y 2 2024-12-23 Variable 10.26987900 N N N N N N COMM Mortgage Trust N/A 12591RBF6 925000.00000000 PA USD 873645.30000000 0.818744379272 Long ABS-MBS CORP US N 2 2047-02-10 Variable 4.08211000 N N N N N N MX REMIT FUND FIDUC EST 54930007WQ6S3GFCM563 593035AA6 1222500.00000000 PA USD 1113735.64000000 1.043747153731 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 69356GAL3 1000000.00000000 PA USD 800591.80000000 0.750281649019 Long ABS-MBS CORP US Y 2 2038-07-15 Variable 7.44348000 N N N N N N COMM Mortgage Trust N/A 12593PBA9 800000.00000000 PA USD 770875.12000000 0.722432400908 Long ABS-MBS CORP US N 2 2048-08-10 Variable 4.66775300 N N N N N N GRACIE POINT INTERNATIONAL FUNDING 2023-2 N/A 38410JAC6 1000000.00000000 PA USD 1017711.40000000 0.953757192389 Long ABS-O CORP US Y 2 2027-03-01 Variable 10.74934000 N N N N N N Start Ltd. N/A 85573LAB7 415298.07000000 PA USD 377206.93000000 0.353502793136 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 61756XAG0 179568.33000000 PA USD 122015.03000000 0.114347458859 Long ABS-CBDO CORP US N 2 2037-11-25 Variable 3.36962100 N N N N N N GS Mortgage Securities Trust N/A 36251SAS7 700000.00000000 PA USD 117600.00000000 0.110209874651 Long ABS-MBS CORP US Y 2 2031-07-15 Variable 8.42600000 N N N N N N JPMBB Commercial Mortgage Secu N/A 46642NBK1 2000000.00000000 PA USD 1753813.20000000 1.643601470522 Long ABS-MBS CORP US N 2 2047-09-15 Variable 4.69350400 N N N N N N Morgan Stanley BAML Trust N/A 61764PBZ4 1214000.00000000 PA USD 1152189.92000000 1.079784920556 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 411707AH5 482500.00000000 PA USD 438515.16000000 0.410958340273 Long ABS-O CORP US Y 2 2050-12-20 Fixed 3.98100000 N N N N N N Freddie Mac - STACR 5493000IS4M3TZMRB410 35564KWA3 3750000.00000000 PA USD 4084848.00000000 3.828151241910 Long ABS-CBDO CORP US Y 2 2042-04-25 Variable 8.64682000 N N N N N N BENCHMARK Mortgage Trust N/A 08163ABR3 1500000.00000000 PA USD 1386145.80000000 1.299038731854 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 69689RAA1 625000.00000000 PA USD 631194.38000000 0.591529366498 Long ABS-O CORP KY Y 2 2035-04-20 Variable 11.67456000 N N N N N N MRCD Mortgage Trust N/A 55348UAS7 1000000.00000000 PA USD 635100.00000000 0.595189552643 Long ABS-MBS CORP US Y 2 2036-12-15 Fixed 2.71752000 N N N N N N Fannie Mae - CAS N/A 20754LAJ8 2100000.00000000 PA USD 2217657.75000000 2.078297471483 Long ABS-CBDO CORP US Y 2 2041-12-25 Variable 11.33535000 N N N N N N Bonanza RE Ltd 5493003F0CXUQ2C83105 09785EAM3 250000.00000000 PA USD 207925.00000000 0.194858743085 Long DBT CORP BM Y 2 2025-01-08 Variable 5.35865100 N N N N N N Mercury Financial Credit Card N/A 58940BAR7 500000.00000000 PA USD 503517.10000000 0.471875480235 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 05492TBF6 1000000.00000000 PA USD 768989.80000000 0.720665556683 Long ABS-MBS CORP US Y 2 2053-02-15 Variable 3.81129500 N N N N N N LUNAR AIRCRAFT 2020-1 LIMITED N/A 55037LAA2 268320.71000000 PA USD 254907.36000000 0.238888675112 Long ABS-O CORP US Y 2 2045-02-15 Fixed 3.37600000 N N N N N N OPEN Trust N/A 68373BAE1 451430.98000000 PA USD 454526.44000000 0.425963452193 Long ABS-MBS CORP US Y 2 2028-10-15 Variable 10.56476900 N N N N N N Frontier Issuer LLC N/A 35910EAB0 1500000.00000000 PA USD 1539007.50000000 1.442294418895 Long ABS-O CORP US Y 2 2053-08-20 Fixed 8.30000000 N N N N N N COMM Mortgage Trust N/A 12591YAG0 1500000.00000000 PA USD 672817.95000000 0.630537261330 Long ABS-MBS CORP US Y 2 2047-06-10 Variable 4.76656000 N Y N N N N Oportun Funding LLC N/A 68377BAD9 146068.92000000 PA USD 139649.38000000 0.130873645109 Long ABS-O CORP US Y 2 2028-03-08 Fixed 5.40000000 N N N N N N SD RE LTD N/A 78414BAD3 500000.00000000 PA USD 498500.00000000 0.467173660829 Long DBT CORP BM Y 2 2024-11-19 Variable 14.61248100 N N N N N N Mercury Financial Credit Card N/A 58940BAS5 500000.00000000 PA USD 503283.35000000 0.471656419366 Long ABS-O CORP US Y 2 2027-09-20 Fixed 9.59000000 N N N N N N Rad CLO 7 Ltd N/A 74936GAG3 750000.00000000 PA USD 753174.75000000 0.705844343434 Long ABS-O CORP KY Y 2 2036-04-17 Variable 9.46707000 N N N N N N CITRUS RE LTD 549300VWWT5SE805NK88 177510AK0 250000.00000000 PA USD 248025.00000000 0.232438810887 Long DBT CORP BM Y 2 2025-06-07 Variable 5.10000000 N N N N N N CD Commercial Mortgage Trust N/A 12514MBG9 845000.00000000 PA USD 607718.09000000 0.569528354779 Long ABS-MBS CORP US N 2 2049-08-10 Variable 3.63100000 N N N N N N Freddie Mac - STACR 5493000ISBDRXIMCHZ70 35564KQZ5 1000000.00000000 PA USD 1074412.20000000 1.006894845965 Long ABS-CBDO CORP US Y 2 2042-01-25 Variable 12.43535000 N N N N N N Oportun Funding LLC N/A 68377WAD3 350000.00000000 PA USD 319006.87000000 0.298960094859 Long ABS-O CORP US Y 2 2031-10-08 Fixed 5.57000000 N N N N N N GS Mortgage Securities Trust 5493005BBCF84ICNQ550 36266CAL0 1400000.00000000 PA USD 1380644.72000000 1.293883346333 Long ABS-MBS USGSE US Y 2 2036-11-15 Variable 8.79332000 N N N N N N Cayuga Park CLO, Ltd. 549300SVH2QJEV4A2G21 149790AJ6 250000.00000000 PA USD 251178.00000000 0.235393672577 Long ABS-O CORP KY Y 2 2034-07-17 Variable 1.00000000 N N N N N N VNO Mortgage Trust N/A 91831UAG2 1250000.00000000 PA USD 1122164.63000000 1.051646455868 Long ABS-MBS CORP US Y 2 2035-01-10 Variable 4.03271800 N Y N N N N COMM Mortgage Trust N/A 12631DBE2 1000000.00000000 PA USD 943390.60000000 0.884106800790 Long ABS-MBS CORP US N 2 2047-05-10 Fixed 4.37700000 N N N N N N Fannie Mae - CAS N/A 20753DAF5 450000.00000000 PA USD 503259.57000000 0.471634133730 Long ABS-CBDO USGSE US Y 2 2042-09-25 Variable 12.08501000 N N N N N N COMM Mortgage Trust N/A 12593ABF1 2000000.00000000 PA USD 1822743.40000000 1.708200013903 Long ABS-MBS CORP US N 2 2048-05-10 Variable 4.41262600 N N N N N N JP Morgan Chase Commercial Mor N/A 465968AM7 1849000.00000000 PA USD 1472817.99000000 1.380264337259 Long ABS-MBS CORP US Y 2 2050-09-15 Variable 4.51788300 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382JA89 6699936.50000000 PA USD 658481.82000000 0.617102030971 Long ABS-CBDO USGSE US N 2 2050-09-20 Variable 0.91700000 N N N N N N GS Mortgage Securities Trust N/A 36251SAN8 1100000.00000000 PA USD 429000.00000000 0.402041124364 Long ABS-MBS CORP US Y 2 2031-07-15 Variable 7.22600000 N N N N N N BONANZA RE LTD 5493003F0CXUQ2C83105 09785EAJ0 250000.00000000 PA USD 235850.00000000 0.221028902520 Long DBT CORP BM Y 2 2025-03-16 Variable 10.98768500 N N N N N N ACRE COMMERCIAL MORTGAGE TRUST N/A 00489TAJ5 1500000.00000000 PA USD 1435418.85000000 1.345215404169 Long ABS-O CORP KY Y 2 2037-12-18 Variable 8.04640000 N N N N N N CIFC Funding Ltd N/A 12567QAA0 375000.00000000 PA USD 377629.13000000 0.353898461580 Long ABS-O CORP KY Y 2 2035-04-19 Variable 12.32656000 N N N N N N Bojangles Issuer, LLC N/A 09748RAA6 982500.00000000 PA USD 932737.16000000 0.874122835765 Long ABS-O CORP US Y 2 2050-10-20 Fixed 3.83200000 N N N N N N MetroNet Infrastructure Issuer 5493000BIROCAEATAQ61 59170DAB7 125000.00000000 PA USD 127839.29000000 0.119805715360 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 58940BAN6 500000.00000000 PA USD 499700.90000000 0.468299094830 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 48128KAZ4 1930000.00000000 PA USD 1473304.49000000 1.380720265015 Long ABS-MBS CORP US N 2 2050-07-15 Variable 3.85062200 N N N N N N MetroNet Infrastructure Issuer 5493000BIROCAEATAQ61 59170DAC5 125000.00000000 PA USD 124599.00000000 0.116769049078 Long ABS-O CORP US Y 2 2053-04-20 Fixed 10.85000000 N N N N N N Freddie Mac Multifamily S6XOOCT0IEG5ABCC6L87 35833TAB1 7577606.71000000 PA USD 720554.62000000 0.675274101610 Long ABS-MBS MUN US N 2 2041-07-25 Variable 1.30383400 N N N N N N COMM Mortgage Trust N/A 12630DBB9 654381.00000000 PA USD 623473.28000000 0.584293469703 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 00792FAK4 515000.00000000 PA USD 531725.76000000 0.498311474135 Long ABS-O CORP US Y 2 2028-09-15 Fixed 11.32000000 N N N N N N Freddie Mac STACR REMIC Trust 2022-DNA3 5493000IS4M3TZMRB410 35564KWG0 2245000.00000000 PA USD 2571825.08000000 2.410208500776 Long ABS-CBDO CORP US Y 2 2042-04-25 Variable 15.08743000 N N N N N N SUMIT 2022-BVUE Mortgage Trust N/A 865592AC3 127100000.00000000 PA USD 575648.61000000 0.539474159448 Long ABS-MBS CORP US Y 2 2041-02-12 Variable 0.17874100 N N N N N N Royal Bank of Canada ES7IP3U3RHIGC71XBU11 N/A -13123000.00000000 PA USD -13123000.00000000 -12.2983349068 Short RA CORP US N N/A Reverse repurchase N 6.86800000 2024-07-16 18965000.00000000 USD 20025136.98000000 USD ACMO 2240000.00000000 USD 872582.17000000 USD ABS N N N Barclays Commercial Mortgage S N/A 05547HAN1 1750000.00000000 PA USD 1478088.50000000 1.385203642076 Long ABS-MBS CORP US Y 2 2035-08-10 Variable 5.12176800 N N N N N N 2024-06-30 Nuveen Mortgage and Income Fund Gina Spunder Gina Spunder Director, Fund Financial Reporting