JMT   

Nuveen Mortgage Opportunity
Term Fund 2

 

Portfolio of Investments    September 30, 2019

     (Unaudited)

 

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

LONG-TERM INVESTMENTS – 40.8% (40.5% of Total Investments)

 

 

MORTGAGE-BACKED SECURITIES – 34.8% (34.5% of Total Investments)

 

$ 925    

280 Park Avenue 2017-280P Mortgage Trust, 144A, (1-Month LIBOR reference rate + 2.120% spread), (3)

    4.146%        9/15/34        BB–      $ 927,879  
  1,048    

Angel Oak Mortgage Trust 2019-3, 144A

    2.930%        5/25/59        AAA        1,055,079  
  195    

Angel Oak Mortgage Trust I LLC 2017-2, 144A

    2.478%        7/25/47        AAA        194,213  
  61    

Angel Oak Mortgage Trust LLC, 144A

    3.644%        1/25/47        AAA        60,567  
  400    

Arroyo Mortgage Trust 2018-1, 144A

    3.763%        4/25/48        AAA        407,298  
  1,148    

Arroyo Mortgage Trust 2019-1, 144A

    3.805%        1/25/49        AAA        1,173,500  
  1,276    

BCAP LLC Trust 2007-AA1, (1-Month LIBOR reference rate + 0.180% spread), (3)

    2.198%        3/25/37        Caa3        1,270,712  
  769    

ChaseFlex Trust Series 2007-2, (1-Month LIBOR reference rate + 0.280% spread), (3)

    2.298%        5/25/37        B3        731,896  
  782    

CHL Mortgage Pass-Through Trust 2006-HYB1

    4.024%        3/20/36        Caa3        740,197  
  388    

COLT 2018-3 Mortgage Loan Trust, 144A

    3.692%        10/26/48        AAA        390,593  
  856    

COLT 2019-1 Mortgage Loan Trust, 144A

    3.705%        3/25/49        AAA        868,530  
  490    

COMM 2019-521F Mortgage Trust, 144A, (1-Month LIBOR reference rate + 0.900% spread), (3)

    2.928%        6/15/34        AAA        490,152  
  582    

Connecticut Avenue Securities Trust 2019-R01, 144A, (1-Month LIBOR reference rate + 0.850% spread), (3)

    2.868%        7/25/31        Aaa        582,149  
  1,310    

Core Industrial Trust 2015-CALW, 144A

    3.979%        2/10/34        B        1,330,505  
  603    

Corevest American Finance 2019-1 Trust, 144A

    3.324%        3/15/52        AAA        620,453  
  493    

Deephaven Residential Mortgage Trust 2019-2, 144A

    3.558%        4/25/59        AAA        497,195  
  1,583    

Deephaven Residential Mortgage Trust 2019-3, 144A

    2.964%        7/25/59        AAA        1,590,275  
  738    

Fannie Mae Connecticut Avenue Securities, (1-Month LIBOR reference rate + 5.250% spread), (3)

    7.268%        10/25/23        A+        816,345  
  515    

First Horizon Alternative Mortgage Securities Trust 2005-AA7

    4.086%        9/25/35        N/R        498,189  
  659    

First Horizon Alternative Mortgage Securities Trust 2006-FA3

    6.000%        7/25/36        Ca        508,424  
  15,801    

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

    4.196%        11/25/27        AAA        341,283  
  7,000    

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

    1.715%        7/25/41        N/R        392,761  
  5,015    

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

    1.781%        9/25/41        N/R        311,919  
  660    

Freddie Mac STACR Trust 2019-HRP1, 144A, (1-Month LIBOR reference rate + 1.400% spread), (3)

    3.418%        2/25/49        BBB+        660,387  
  865    

Freddie Mac Structured Agency Credit Risk Debt Notes, (1-Month LIBOR reference rate + 1.350% spread), (3)

    3.368%        3/25/29        Aaa        868,676  
  462    

Freddie Mac Structured Agency Credit Risk Debt Notes, (1-Month LIBOR reference rate + 2.900% spread), (3)

    5.045%        7/25/28        AAA        465,572  
  922    

Freddie Mac Structured Agency Credit Risk Debt Notes, (1-Month LIBOR reference rate + 4.250% spread), (3)

    6.268%        11/25/23        BBB        992,580  
  547    

Freddie Mac Structured Agency Credit Risk Debt Notes, (1-Month LIBOR reference rate + 4.750% spread), (3)

    6.768%        10/25/24        AA        580,275  
  1,293    

FREMF 2016-K504 Mortgage Trust, 144A

    3.116%        9/25/20        N/R        1,296,800  
  340    

FREMF 2018-K733 Mortgage Trust, 144A

    4.218%        9/25/25        Baa1        363,283  
  277    

GCAT 2018-1 LLC, 144A

    3.844%        6/25/48        N/R        277,713  
  1,041    

GCAT 2019-NQM1 LLC, 144A

    2.985%        2/25/59        AAA        1,043,729  
  557    

GMACM Mortgage Loan Trust 2005-AF2

    6.000%        12/25/35        N/R        547,463  
  734    

GSAA Home Equity Trust 2007-8, (1-Month LIBOR reference rate + 0.450% spread), (3)

    2.468%        8/25/37        B1        715,158  
  689    

IndyMac INDX Mortgage Loan Trust 2005-AR11

    3.889%        8/25/35        Caa3        623,538  
  432    

JP Morgan Mortgage Trust 2006-A6

    4.279%        10/25/36        N/R        401,091  
  275    

Morgan Stanley Capital I Trust 2017-CLS, 144A, (1-Month LIBOR reference rate + 1.950% spread), (3)

    3.978%        11/15/34        Ba3        275,516  
  1,011    

Morgan Stanley Mortgage Loan Trust 2007-13

    6.000%        10/25/37        D        828,887  
  222    

Nationstar HECM Loan Trust 2019-1, 144A

    2.651%        6/25/29        Aaa        222,845  
  113    

New Residential Mortgage Loan Trust 2016-3, 144A

    3.250%        9/25/56        Aaa        114,820  
  534    

New Residential Mortgage Loan Trust 2018-4, 144A, (1-Month LIBOR reference rate + 0.900% spread), (3)

    2.918%        1/25/48        Aaa        532,651  
  1,054    

New Residential Mortgage Loan Trust 2019-NQM3, 144A

    2.802%        7/25/49        AAA        1,056,037  

 

1

JMT    Nuveen Mortgage Opportunity Term Fund 2 (continued)
   Portfolio of Investments    September 30, 2019
   (Unaudited)

 

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

MORTGAGE-BACKED SECURITIES (continued)

 

$ 22    

Oak Hill Advisors Residential Loan Trust 2017-NPLA, 144A

    3.000%        6/25/57        N/R      $ 22,541  
  437    

Pretium Mortgage Credit Partners I 2019-NPL1 LLC, 144A

    4.213%        7/25/60        N/R        440,296  
  920    

Progress Residential 2019-SFR2 Trust, 144A

    3.147%        5/17/36        Aaa        932,827  
  531    

PRPM 2018-2 LLC, 144A

    4.000%        8/25/23        N/R        533,376  
  728    

RALI Series 2007-QS2 Trust

    6.250%        1/25/37        Caa3        675,843  
  1,798    

RAMP Series 2006-NC2 Trust, (1-Month LIBOR reference rate + 0.290% spread), (3)

    2.308%        2/25/36        Aaa        1,796,964  
  436    

Spruce Hill Mortgage Loan Trust 2019-SH1, 144A

    3.395%        4/29/49        AAA        438,465  
  1,128    

STACR Trust 2018-HRP1, 144A, (1-Month LIBOR reference rate + 1.650% spread), (3)

    3.668%        4/25/43        BB–        1,130,768  
  465    

STACR Trust 2018-HRP2, 144A, (1-Month LIBOR reference rate + 1.250% spread), (3)

    3.268%        2/25/47        A        466,321  
  293    

Towd Point Mortgage Trust 2019-SJ1, 144A

    3.750%        11/25/58        AAA        295,451  
  1,650    

Towd Point Mortgage Trust 2019-SJ2, 144A

    4.250%        11/25/58        AA        1,701,105  
  603    

Vericrest Opportunity Loan Trust 2019-NPL2, 144A

    3.967%        2/25/49        N/R        605,011  
  503    

Verus Securitization Trust 2019-2, 144A

    3.211%        4/25/59        AAA        505,513  
  133    

VOLT LXII LLC, 144A

    3.125%        9/25/47        N/R        132,802  
  436    

WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust, (12MTA reference rate + 0.980% spread), (3)

    3.426%        7/25/46        Caa3        424,906  
$ 64,748    

Total Mortgage-Backed Securities (cost $37,309,814)

 

              37,769,324  
Principal
Amount (000) 		    Description (1)   Coupon      Maturity      Ratings (2)      Value  
 

ASSET-BACKED SECURITIES – 6.0% (6.0% of Total Investments)

 

$ 5    

Avant Loans Funding Trust 2017-B, 144A

    3.380%        4/15/21        N/R      $ 5,335  
  1,135    

Drive Auto Receivables Trust 2017-3, 144A

    3.530%        12/15/23        Aaa        1,147,742  
  1,209    

Hertz Vehicle Financing II LP, 144A

    3.710%        3/25/23        Aaa        1,245,093  
  885    

Hertz Vehicle Financing II LP, 144A

    3.420%        5/25/25        Aaa        913,872  
  500    

Madison Park Funding XIX Ltd, 144A, (3-Month LIBOR reference rate + 1.750% spread), (3)

    3.703%        1/22/28        Aa2        499,753  
  1,005    

OneMain Direct Auto Receivables Trust 2018-1, 144A

    3.850%        10/14/25        A        1,033,760  
  650    

Westlake Automobile Receivables Trust 2017-1, 144A

    5.050%        8/15/24        BBB–        661,270  
  1,015    

Westlake Automobile Receivables Trust 2018-1, 144A

    3.410%        5/15/23        A–        1,025,344  
$ 6,404    

Total Asset-Backed Securities (cost $6,420,591)

                               6,532,169  
 

Total Long-Term Investments (cost $43,730,405)

                               44,301,493  
Principal
Amount (000) 		    Description (1)   Coupon      Maturity      Ratings (2)      Value  
 

SHORT-TERM INVESTMENTS – 59.8% (59.5% of Total Investments)

 

 

REPURCHASE AGREEMENTS – 2.1% (2.1% of Total Investments)

          
$ 2,325    

Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/19, repurchase price $2,325,086,
collateralized by $2,095,000 U.S. Treasury Bonds,
2.750%, due 11/15/42, value $2,372,070

    0.850%        10/01/19        N/A      $ 2,325,031  
  2,325    

Total Repurchase Agreements (cost $2,325,031)

                               2,325,031  
 

U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 57.7% (57.4% of Total Investments)

 

  31,450    

U.S. Treasury Bill

    0.000%        10/15/19        N/R        31,428,648  
  31,337    

U.S. Treasury Bill

    0.000%        10/22/19        N/R        31,303,974  
  62,787    

Total U.S. Government and Agency Obligations (cost $62,732,492)

 

     62,732,622  
$ 65,112    

Total Short-Term Investments (cost $65,057,523)

                               65,057,653  
 

Total Investments (cost $108,787,928) – 100.6%

                               109,359,146  
 

Other Assets Less Liabilities – (0.6)%

                               (679,308 ) 
 

Net Assets Applicable to Common Shares – 100%

                             $ 108,679,838  

 

2

Part F of Form N-PORT was prepared in accordance with accounting principles general accepted in teh United States of America (U.S. GAAP) and in conformity with the applicable rules and regulations of the U.S. Securities and Exchange Commission (SEC) related to interim filings. Part F of Form N-PORT does not include all information and footnotes required by U.S. GAAP for complete financial statements. Certain footnote disclosures normally included in financial statements prepared in accordance with U.S. GAAP have been condensed or omitted from this report pursuant to the rules of the SEC. For a full set of the Fund’s notes to financial statements, please refer to the Fund’s most recently filed annual or semi-annual report.

Fair Value Measurements

The Fund’s investments in securities are recorded at their estimated fair value. Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.

 

Level 1 –   Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 –   Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, credit spreads, etc.).
Level 3 –   Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

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

 

        Level 1      Level 2      Level 3      Total  

Long-Term Investments:

                                     

Mortgage-Backed Securities

     $ —      $ 37,769,324      $ —      $ 37,769,324  

Asset-Backed Securities

       —        6,532,169        —        6,532,169  

Short-Term Investments:

             

Repurchase Agreements

       —        2,325,031        —        2,325,031  

U.S. Government and Agency Obligations

       —        62,732,622        —        62,732,622  

Total

     $ —      $ 109,359,146      $ —      $ 109,359,146  

For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

 

(1)

All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted.

 

(2)

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

 

(3)

Variable rate security. The rate shown is the coupon as of the end of the reporting period.

 

I/O

Interest only security.

 

LIBOR

London Inter-Bank Offered Rate

 

12MTA

Federal Reserve U.S. 12-Month Cumulative Treasury Average 1-Year CMT.

 

144A

Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.

 

3

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