# EDGAR Filing Document

**Accession Number:** 0001472215
**File Stem:** 0001752724-23-043562
**Filing Date:** 2023-2
**Character Count:** 71872
**Document Hash:** 391a7dfb589d76576b1beac4e01c1eb6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-043562.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001752724-23-043562

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20221231

**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:** 23675539

**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

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Nuveen Mortgage and Income Fund

- **b. Investment Company Act file number:** 811-22329

- **c. CIK number of Registrant:** 0001472215

- **d. LEI of Registrant:** 07Q4EPZRU8XATVYVY545

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 333 W. Wacker Dr

  - **City:** Chicago

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60606

  - **Telephone number:** 312-917-7700

**Item A.2. Information about the Series.**

- **a. Name of Series:** Nuveen Mortgage and Income Fund

- **c. LEI of Series:** 07Q4EPZRU8XATVYVY545

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $116383575.00

**Total Liabilities:** $13116190.00

**Net Assets:** $103267385.00

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** -450.15000000 | **1-Year:** -3358.90000000 | **5-Year:** -7179.53000000 | **10-Year:** -19697.09000000 | **30-Year:** -15589.62000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** -2964.53000000 | **1-Year:** -2736.48000000 | **5-Year:** -4339.58000000 | **10-Year:** -4780.96000000 | **30-Year:** -2373.04000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | -0.46%               | 1.59%                | 1.21%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-264231.52              | $-810685.83                                |
| Month 2  | $-26085.53               | $981164.39                                 |
| Month 3  | $-603352.93              | $1195072.76                                |

### Schedule of Portfolio Investments

| Name                                  | Title                                                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   | Fair Value Level   | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| GoldenTree Loan Management US         | GoldentTree Loan Management US CLO 1 Ltd                           | CUSIP: 38138RAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    500000 | PA      | $407599.50    | 0.39%             | 2034-10-20      | Variable      | 8.56%                 | Yes           | 2                  | On Loan: No      |
| VIVINT SOLAR FINANCING LLC            | Vivint Solar Financing V LLC                                       | CUSIP: 92854VAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1266087 | PA      | $1161415.53   | 1.12%             | 2048-04-30      | Fixed         | 7.37%                 | Yes           | 2                  | On Loan: No      |
| Countrywide Home Loans                | CHL Mortgage Pass-Through Trust 2006-HYB1                          | CUSIP: 126694WE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    476361 | PA      | $397164.61    | 0.38%             | 2036-03-20      | Variable      | 3.32%                 | No            | 2                  | On Loan: No      |
| Fannie Mae - CAS                      | Connecticut Avenue Securities Trust 2022-R02                       | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2848370.40   | 2.76%             | 2042-01-25      | Variable      | 8.43%                 | Yes           | 2                  | On Loan: No      |
| Natixis Commercial Mortgage Se        | Natixis Commercial Mortgage Securities Trust 2019-MILE             | CUSIP: 63875FAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $892487.50    | 0.86%             | 2036-07-15      | Variable      | 7.07%                 | Yes           | 2                  | On Loan: No      |
| Fannie Mae - CAS                      | Connecticut Avenue Securities Trust 2022-R04                       | CUSIP: 20753YAF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    580800 | PA      | $582664.31    | 0.56%             | 2042-03-25      | Variable      | 9.18%                 | Yes           | 2                  | On Loan: No      |
| Hudson Yards                          | Hudson Yards 2019-55HY Mortgage Trust                              | CUSIP: 44421MAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $677571.50    | 0.66%             | 2041-12-10      | Variable      | 2.94%                 | Yes           | 2                  | On Loan: No      |
| Fannie Mae - CAS                      | Connecticut Avenue Securities Trust 2021-R01                       | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3030200 | PA      | $2856137.13   | 2.77%             | 2041-10-25      | Variable      | 7.03%                 | Yes           | 2                  | On Loan: No      |
| Oportun Funding LLC                   | Oportun Funding 2022-1 LLC                                         | CUSIP: 68377XAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $477618.65    | 0.46%             | 2029-06-15      | Fixed         | 6.00%                 | Yes           | 2                  | On Loan: No      |
| EWC Master Issuer LLC                 | EWC Master Issuer LLC                                              | CUSIP: 26929HAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    746250 | PA      | $683924.10    | 0.66%             | 2052-03-15      | Fixed         | 5.50%                 | Yes           | 2                  | On Loan: No      |
| AIR CANADA 2020-2A PTT                | Air Canada 2020-2 Class A Pass Through Trust                       | CUSIP: 00909DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    935742 | PA      | $883580.84    | 0.86%             | 2029-04-01      | Fixed         | 5.25%                 | Yes           | 2                  | On Loan: No      |
| Oportun Funding LLC                   | Oportun Issuance Trust 2021-B                                      | CUSIP: 68377GAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $770660.90    | 0.75%             | 2031-05-08      | Fixed         | 5.41%                 | Yes           | 2                  | On Loan: No      |
| RESIDENTIAL RE 2022 LTD               | Residential Reinsurance 2022 Ltd                                   | CUSIP: 76119YAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    500000 | PA      | $498100.00    | 0.48%             | 2026-12-06      | Variable      | 11.34%                | Yes           | 2                  | On Loan: No      |
| BRITISH AIR 20-1 B PTT                | British Airways 2020-1 Class B Pass Through Trust                  | CUSIP: 11042WAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    468444 | PA      | $459623.88    | 0.45%             | 2028-11-15      | Fixed         | 8.38%                 | Yes           | 2                  | On Loan: No      |
| JP Morgan Mortgage Trust              | JP Morgan Mortgage Trust 2018-6                                    | CUSIP: 46650JAV6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    883187 | PA      | $719475.95    | 0.70%             | 2048-12-25      | Variable      | 3.89%                 | Yes           | 2                  | On Loan: No      |
| ALEN 2021-ACEN Mortgage Trust         | Alen 2021-ACEN Mortgage Trust                                      | CUSIP: 01449NAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $386987.25    | 0.37%             | 2034-04-15      | Variable      | 8.32%                 | Yes           | 2                  | On Loan: No      |
| Goldentree Loan Opportunities         | Goldentree Loan Opportunities IX Ltd                               | CUSIP: 38123GAG1<br>LEI: 549300IOBSI2NBFBJX90 | Long             | ABS-O            | CORP              | KY        |    500000 | PA      | $454775.50    | 0.44%             | 2029-10-29      | Variable      | 10.07%                | Yes           | 2                  | On Loan: No      |
| JP Morgan Chase Commercial Mor        | JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES | CUSIP: 46651CAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    441000 | PA      | $403355.91    | 0.39%             | 2032-05-05      | Variable      | 4.45%                 | Yes           | 2                  | On Loan: No      |
| GS Mortgage Securities Trust          | GS Mortgage Securities Corp Trust 2018-TWR                         | CUSIP: 36251SAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $607814.76    | 0.59%             | 2031-07-15      | Variable      | 6.67%                 | Yes           | 2                  | On Loan: No      |
| Bank                                  | BANK 2017-BNK6                                                     | CUSIP: 060352AL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $819369.20    | 0.79%             | 2060-07-15      | Variable      | 3.85%                 | No            | 2                  | On Loan: No      |
| MSCG Trust                            | MSCG Trust 2015-ALDR                                               | CUSIP: 55352NAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $202321.75    | 0.20%             | 2035-06-07      | Variable      | 3.46%                 | Yes           | 2                  | On Loan: No      |
| VB-S1 Issuer LLC                      | VB-S1 Issuer LLC - VBTEL                                           | CUSIP: 91823AAY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $438756.40    | 0.42%             | 2052-02-15      | Fixed         | 4.29%                 | Yes           | 2                  | On Loan: No      |
| JPMBB Commercial Mortgage Secu        | JPMBB Commercial Mortgage Securities Trust 2015-C29                | CUSIP: 46644RBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760000 | PA      | $685198.22    | 0.66%             | 2048-05-15      | Variable      | 4.12%                 | No            | 2                  | On Loan: No      |
| Fannie Mae - CAS                      | Connecticut Avenue Securities Trust 2022-R07                       | CUSIP: 20754MAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    960000 | PA      | $1014445.54   | 0.98%             | 2042-06-25      | Variable      | 10.74%                | Yes           | 2                  | On Loan: No      |
| Wells Fargo Commercial Mortgag        | Wells Fargo Commercial Mortgage Trust 2015-NXS1                    | CUSIP: 94989HBM1<br>LEI: 5493002S7XBI8CVRR075 | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1114551.23   | 1.08%             | 2048-05-15      | Variable      | 4.15%                 | No            | 2                  | On Loan: No      |
| Madison Park Funding Ltd              | Madison Park Funding XXXVI Ltd                                     | CUSIP: 55819PBC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    500000 | PA      | $481509.00    | 0.47%             | 2035-04-15      | Variable      | 5.76%                 | Yes           | 2                  | On Loan: No      |
| JP Morgan Chase Commercial Mor        | JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN      | CUSIP: 46652BBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    366000 | PA      | $310002.99    | 0.30%             | 2037-01-16      | Fixed         | 3.97%                 | Yes           | 2                  | On Loan: No      |
| Gracie Point International Fun        | GRACIE POINT INTERNATIONAL FUNDING 2021-1                          | CUSIP: 38411EAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375000 | PA      | $373079.55    | 0.36%             | 2023-11-01      | Variable      | 6.52%                 | Yes           | 2                  | On Loan: No      |
| PureWest Funding LLC                  | Purewest Funding LLC                                               | CUSIP: 746245AA7<br>LEI: 549300CU0IQI7FATI376 | Long             | ABS-O            | CORP              | US        |   1271381 | PA      | $1205398.44   | 1.17%             | 2036-12-22      | Fixed         | 4.09%                 | Yes           | 2                  | On Loan: No      |
| HIN Timeshare Trust 2020-A            | HIN Timeshare Trust 2020-A                                         | CUSIP: 40439HAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    227437 | PA      | $209818.12    | 0.20%             | 2039-10-09      | Fixed         | 6.50%                 | Yes           | 2                  | On Loan: No      |
| SESAC Finance, LLC                    | Sesac Finance LLC                                                  | CUSIP: 78396YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    575662 | PA      | $531410.75    | 0.51%             | 2049-07-25      | Fixed         | 5.22%                 | Yes           | 2                  | On Loan: No      |
| Sierra Receivables Funding Co         | Sierra Timeshare 2020-2 Receivables Funding LLC                    | CUSIP: 826525AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    389246 | PA      | $372220.12    | 0.36%             | 2037-07-20      | Fixed         | 6.59%                 | Yes           | 2                  | On Loan: No      |
| HESTIA RE LTD                         | Hestia Re Ltd                                                      | CUSIP: 42815KAA0<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $181250.00    | 0.18%             | 2025-04-22      | Variable      | 13.84%                | Yes           | 2                  | On Loan: No      |
| COMM Mortgage Trust                   | COMM 2015-CCRE25 Mortgage Trust                                    | CUSIP: 12593PBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1245000 | PA      | $1001914.12   | 0.97%             | 2048-08-10      | Variable      | 3.77%                 | No            | 2                  | On Loan: No      |
| CIFC Funding Ltd                      | CIFC Funding 2020-II Ltd                                           | CUSIP: 12547JAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    385000 | PA      | $349586.55    | 0.34%             | 2034-10-20      | Variable      | 10.74%                | Yes           | 2                  | On Loan: No      |
| Flagstar Mortgage Trust               | Flagstar Mortgage Trust 2017-2                                     | CUSIP: 33850RBA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     88026 | PA      | $76083.65     | 0.07%             | 2047-10-25      | Variable      | 4.03%                 | Yes           | 2                  | On Loan: No      |
| Freddie Mac Discount Notes            | Freddie Mac Discount Notes                                         | CUSIP: 313396AC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | STIV             | USGSE             | US        |    927000 | PA      | $926832.63    | 0.90%             |  |  |  | No            | 2                  | On Loan: No      |
| CD Commercial Mortgage Trust          | CD 2017-CD3 Mortgage Trust                                         | CUSIP: 12515GAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1978000 | PA      | $1513207.78   | 1.47%             | 2050-02-10      | Variable      | 4.55%                 | No            | 2                  | On Loan: No      |
| JPMBB Commercial Mortgage Secu        | JPMBB Commercial Mortgage Securities Trust 2015-C27                | CUSIP: 46644ABL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $924778.90    | 0.90%             | 2048-02-15      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| Capital Automotive Reit               | CARS-DB4 LP                                                        | CUSIP: 12510HAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    775000 | PA      | $669125.00    | 0.65%             | 2050-02-15      | Fixed         | 4.52%                 | Yes           | 2                  | On Loan: No      |
| VR Funding LLC                        | VR Funding LLC                                                     | CUSIP: 91835CAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    586922 | PA      | $510649.80    | 0.49%             | 2050-11-15      | Fixed         | 6.42%                 | Yes           | 2                  | On Loan: No      |
| GS Mortgage Securities Trust          | GS Mortgage Securities Corp Trust 2018-TWR                         | CUSIP: 36251SAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $928678.10    | 0.90%             | 2031-07-15      | Variable      | 6.02%                 | Yes           | 2                  | On Loan: No      |
| Mosaic Solar Loans LLC                | Mosaic Solar Loan Trust 2020-1                                     | CUSIP: 61946NAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    931462 | PA      | $673446.84    | 0.65%             | 2046-04-20      | Fixed         | 0.00%                 | Yes           | 2                  | On Loan: No      |
| SERVPRO MASTER ISSUER, LLC            | SERVPRO Master Issuer LLC                                          | CUSIP: 817743AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    654750 | PA      | $579954.63    | 0.56%             | 2049-10-25      | Fixed         | 3.88%                 | Yes           | 2                  | On Loan: No      |
| Freddie Mac - STACR                   | Freddie Mac Structured Agency Credit Risk Debt Notes               | CUSIP: 35564KND7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   1498000 | PA      | $1396050.91   | 1.35%             | 2041-11-25      | Variable      | 6.65%                 | Yes           | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust              | Angel Oak Mortgage Trust 2019-5                                    | CUSIP: 03464KAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $812141.60    | 0.79%             | 2049-10-25      | Variable      | 3.96%                 | Yes           | 2                  | On Loan: No      |
| AIR CANADA 2020-2B PTT                | Air Canada 2020-2 Class B Pass Through Trust                       | CUSIP: 00909UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    806774 | PA      | $800864.12    | 0.78%             | 2025-10-01      | Fixed         | 9.00%                 | Yes           | 2                  | On Loan: No      |
| COMM Mortgage Trust                   | COMM 2015-CCRE22 Mortgage Trust                                    | CUSIP: 12592XAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1099176.40   | 1.06%             | 2048-03-10      | Fixed         | 3.00%                 | Yes           | 2                  | On Loan: No      |
| Federal Home Loan Bank Discount Notes | Federal Home Loan Bank Discount Notes                              | CUSIP: 313384AC3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | USGSE             | US        |    535000 | PA      | $534881.11    | 0.52%             |  |  |  | No            | 2                  | On Loan: No      |
| Morgan Stanley Capital I Trust        | Morgan Stanley Capital I Trust 2015-MS1                            | CUSIP: 61765DAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    226295 | PA      | $204487.63    | 0.20%             | 2048-05-15      | Variable      | 4.02%                 | No            | 2                  | On Loan: No      |
| Societe Generale SA                   | Societe Generale SA                                                | CUSIP: N/A<br>LEI: O2RNE8IBXP4R0TD8PU41       | Short            | RA               | CORP              | FR        | -18252000 | PA      | $-18252000.00 | -17.67%           |  |  |  | No            | N/A                | On Loan: No      |
| Apollo Aviation Securitization        | AASET 2020-1 Trust                                                 | CUSIP: 00255UAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1102986 | PA      | $11.03        | 0.00%             | 2040-01-16      | Fixed         | 6.41%                 | Yes           | 3                  | On Loan: No      |
| Carvana Auto Receivables Trust        | Carvana Auto Receivables Trust 2021-P2                             | CUSIP: 14687TAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2500 | PA      | $859250.00    | 0.83%             | 2028-05-10      | Fixed         | 0.00%                 | Yes           | 2                  | On Loan: No      |
| JP Morgan Chase Commercial Mor        | JPMCC Commercial Mortgage Securities Trust 2017-JP5                | CUSIP: 46647TAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1595358.20   | 1.54%             | 2050-03-15      | Variable      | 3.78%                 | No            | 2                  | On Loan: No      |
| Mosaic Solar Loans LLC                | Mosaic Solar Loan Trust 2020-1                                     | CUSIP: 61946NAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         0 | PA      | $0.01         | 0.00%             | 2046-04-20      | Fixed         | 0.00%                 | Yes           | 2                  | On Loan: No      |
| Freddie Mac - STACR                   | Freddie Mac STACR REMIC Trust 2022-DNA1                            | CUSIP: 35564KQY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2673435.00   | 2.59%             | 2042-01-25      | Variable      | 7.33%                 | Yes           | 2                  | On Loan: No      |
| CIFC Funding Ltd                      | CIFC Funding 2022-IV Ltd                                           | CUSIP: 12567WAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    750000 | PA      | $697731.00    | 0.68%             | 2035-07-16      | Variable      | 6.07%                 | Yes           | 2                  | On Loan: No      |
| Bank                                  | BANK 2019-BNK21                                                    | CUSIP: 06540BAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $639524.20    | 0.62%             | 2052-10-17      | Fixed         | 2.50%                 | Yes           | 2                  | On Loan: No      |
| JP Morgan Chase Commercial Mor        | JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES | CUSIP: 46651CAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    377000 | PA      | $347100.98    | 0.34%             | 2032-05-05      | Variable      | 4.45%                 | Yes           | 2                  | On Loan: No      |
| JPMBB Commercial Mortgage Secu        | JPMBB Commercial Mortgage Securities Trust 2016-C1                 | CUSIP: 46645LBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1189000 | PA      | $1068103.31   | 1.03%             | 2049-03-17      | Variable      | 4.74%                 | No            | 2                  | On Loan: No      |
| Fannie Mae - CAS                      | Connecticut Avenue Securities Trust 2022-R08                       | CUSIP: 20755DAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |   1500000 | PA      | $1520039.70   | 1.47%             | 2042-07-25      | Variable      | 7.11%                 | Yes           | 2                  | On Loan: No      |
| Magnetite CLO Ltd                     | Magnetite XXIII Ltd                                                | CUSIP: 55954RAG5<br>LEI: 549300WG00K34O9YA435 | Long             | ABS-O            | CORP              | KY        |   1125000 | PA      | $1017720.00   | 0.99%             | 2035-01-25      | Variable      | 7.48%                 | Yes           | 2                  | On Loan: No      |
| MATTERHORN RE LTD                     | Matterhorn Re Ltd                                                  | CUSIP: 577092AP4<br>LEI: 549300QRZ77PO1BYWT39 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $215175.00    | 0.21%             | 2025-03-24      | Variable      | 5.89%                 | Yes           | 2                  | On Loan: No      |
| Freddie Mac - STACR                   | Freddie Mac Structured Agency Credit Risk Debt Notes               | CUSIP: 35564KB32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   1000000 | PA      | $1009313.60   | 0.98%             | 2042-07-25      | Variable      | 7.93%                 | Yes           | 2                  | On Loan: No      |
| Freddie Mac - STACR                   | Freddie Mac STACR REMIC Trust 2022-DNA3                            | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $296866.86    | 0.29%             | 2042-04-25      | Variable      | 6.83%                 | Yes           | 2                  | On Loan: No      |
| Fannie Mae - CAS                      | Connecticut Avenue Securities Trust 2022-R03                       | CUSIP: 20753XAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3128862.00   | 3.03%             | 2042-03-25      | Variable      | 6.35%                 | Yes           | 2                  | On Loan: No      |
| UBS-Barclays Commercial Mortga        | UBS-Barclays Commercial Mortgage Trust 2013-C5                     | CUSIP: 90270YAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $996441.80    | 0.96%             | 2046-03-10      | Variable      | 3.65%                 | Yes           | 2                  | On Loan: No      |
| AGL CLO 19 Ltd                        | AGL CLO 19 Ltd                                                     | CUSIP: 001210AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |    500000 | PA      | $493274.50    | 0.48%             | 2035-07-21      | Variable      | 4.91%                 | Yes           | 2                  | On Loan: No      |
| Toronto Dominion Holdings USA Inc     | Toronto Dominion Holdings USA Inc                                  | CUSIP: N/A<br>LEI: 549300YQDGZ24IX40M56       | Short            | RA               | CORP              | CA        |   -770000 | PA      | $-770000.00   | -0.75%            |  |  |  | No            | N/A                | On Loan: No      |
| Hertz Vehicle Financing LLC           | Hertz Vehicle Financing III LLC                                    | CUSIP: 42806MAM1<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $441534.25    | 0.43%             | 2026-06-25      | Fixed         | 4.85%                 | Yes           | 2                  | On Loan: No      |
| Affirm Inc                            | Affirm Asset Securitization Trust 2021-B                           | CUSIP: 00834DAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $671821.50    | 0.65%             | 2026-08-17      | Fixed         | 2.54%                 | Yes           | 2                  | On Loan: No      |
| COMM Mortgage Trust                   | Comm 2014-UBS2 Mortgage Trust                                      | CUSIP: 12591UAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $947435.90    | 0.92%             | 2047-03-10      | Variable      | 4.95%                 | No            | 2                  | On Loan: No      |
| Avis Budget Rental Car Funding        | Avis Budget Rental Car Funding AESOP LLC                           | CUSIP: 05377REU4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1039407.72   | 1.01%             | 2028-02-20      | Fixed         | 4.08%                 | Yes           | 2                  | On Loan: No      |
| Freddie Mac - STACR                   | Freddie Mac STACR REMIC Trust 2022-DNA4                            | CUSIP: 35564KWT2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $503364.25    | 0.49%             | 2042-05-25      | Variable      | 7.28%                 | Yes           | 2                  | On Loan: No      |
| Freddie Mac - STACR                   | Freddie Mac STACR REMIC Trust 2021-DNA6                            | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1710702.80   | 1.66%             | 2041-10-25      | Variable      | 11.43%                | Yes           | 2                  | On Loan: No      |
| GS Mortgage Securities Trust          | GS Mortgage Securities Trust 2016-GS4                              | CUSIP: 36251XAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1690625.40   | 1.64%             | 2049-11-10      | Variable      | 3.95%                 | No            | 2                  | On Loan: No      |
| SMR 2022-IND Mortgage Trust           | SMR 2022-IND Mortgage Trust                                        | CUSIP: 78458MAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1688033 | PA      | $1553464.67   | 1.50%             | 2039-02-15      | Variable      | 8.29%                 | Yes           | 2                  | On Loan: No      |
| COMM Mortgage Trust                   | COMM 2014-CCRE15 Mortgage Trust                                    | CUSIP: 12591RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $658609.98    | 0.64%             | 2047-02-10      | Variable      | 4.67%                 | Yes           | 2                  | On Loan: No      |
| Freddie Mac - STACR                   | Freddie Mac STACR REMIC Trust 2021-DNA6                            | CUSIP: 35564KLU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3065000 | PA      | $2866028.17   | 2.78%             | 2041-10-25      | Variable      | 7.33%                 | Yes           | 2                  | On Loan: No      |
| MVW 2020-1 LLC                        | MVW 2020-1 LLC                                                     | CUSIP: 55400EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625985 | PA      | $585348.06    | 0.57%             | 2037-10-20      | Fixed         | 4.21%                 | Yes           | 2                  | On Loan: No      |
| TCW CLO 2021-2, Ltd.                  | TCW CLO 2021-2 Ltd                                                 | CUSIP: 87301QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1000000 | PA      | $883581.00    | 0.86%             | 2034-07-25      | Variable      | 6.98%                 | Yes           | 2                  | On Loan: No      |
| Jack in the Box Funding, LLC          | Jack in the Box Funding LLC                                        | CUSIP: 466365AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    644520 | PA      | $586465.51    | 0.57%             | 2049-08-25      | Fixed         | 4.48%                 | Yes           | 2                  | On Loan: No      |
| GS Mortgage Securities Trust          | GS Mortgage Securities Corp Trust 2017-SLP                         | CUSIP: 36255MAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1429624.05   | 1.38%             | 2032-10-10      | Variable      | 4.59%                 | Yes           | 2                  | On Loan: No      |
| Cantor Commercial Real Estate         | CF 2020-P1 Mortgage Trust                                          | CUSIP: 12529WAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24579 | PA      | $23547.77     | 0.02%             | 2025-04-15      | Variable      | 2.84%                 | Yes           | 2                  | On Loan: No      |
| Fannie Mae - CAS                      | Connecticut Avenue Securities Trust 2022-R01                       | CUSIP: 20754LAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2300000 | PA      | $2165343.74   | 2.10%             | 2041-12-25      | Variable      | 7.08%                 | Yes           | 2                  | On Loan: No      |
| URSA RE II LTD                        | Ursa Re II Ltd                                                     | CUSIP: 91734PAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $499250.00    | 0.48%             | 2025-12-06      | Variable      | 11.34%                | Yes           | 2                  | On Loan: No      |
| DB Master Finance LLC                 | DB Master Finance LLC                                              | CUSIP: 233046AK7<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    406350 | PA      | $376830.70    | 0.36%             | 2049-05-20      | Fixed         | 4.02%                 | Yes           | 2                  | On Loan: No      |
| Fannie Mae - CAS                      | Connecticut Avenue Securities Trust 2022-R03                       | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1013892.80   | 0.98%             | 2042-03-25      | Variable      | 7.43%                 | Yes           | 2                  | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUS        | Spruce Hill Mortgage Loan Trust 2020-SH1                           | CUSIP: 85209FAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1303463.40   | 1.26%             | 2050-01-28      | Variable      | 3.83%                 | Yes           | 2                  | On Loan: No      |
| COMM Mortgage Trust                   | COMM 2014-CCRE19 Mortgage Trust                                    | CUSIP: 12592GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1794000 | PA      | $1614351.35   | 1.56%             | 2047-08-10      | Variable      | 4.70%                 | Yes           | 2                  | On Loan: No      |
| COMM Mortgage Trust                   | COMM 2015-CCRE24 Mortgage Trust                                    | CUSIP: 12593JBL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1470023.64   | 1.42%             | 2048-08-10      | Variable      | 3.46%                 | No            | 2                  | On Loan: No      |
| Fannie Mae - CAS                      | Connecticut Avenue Securities Trust 2022-R06                       | CUSIP: 20754NAK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    460000 | PA      | $470187.07    | 0.46%             | 2042-05-25      | Variable      | 7.78%                 | Yes           | 2                  | On Loan: No      |
| CAELUS RE VI LTD                      | Caelus Re VI Ltd                                                   | CUSIP: 12765MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    550000 | PA      | $530695.00    | 0.51%             | 2023-06-07      | Variable      | 9.72%                 | Yes           | 2                  | On Loan: No      |
| Purchasing Power Funding              | Purchasing Power Funding 2021-A LLC                                | CUSIP: 74615JAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $237012.58    | 0.23%             | 2025-10-15      | Fixed         | 4.37%                 | Yes           | 2                  | On Loan: No      |
| Freddie Mac - STACR                   | Freddie Mac STACR REMIC Trust 2022-DNA2                            | CUSIP: 35564KSJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2752266.30   | 2.67%             | 2042-02-25      | Variable      | 8.68%                 | Yes           | 2                  | On Loan: No      |
| Federal Home Loan Bank Discount Notes | Federal Home Loan Bank Discount Notes                              | CUSIP: 313384AF6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | USGSE             | US        |    497000 | PA      | $496723.89    | 0.48%             |  |  |  | No            | 2                  | On Loan: No      |
| Mosaic Solar Loans LLC                | Mosaic Solar Loan Trust 2019-2                                     | CUSIP: 61945LAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1341650 | PA      | $590594.13    | 0.57%             | 2040-09-20      | Fixed         | 0.00%                 | Yes           | 2                  | On Loan: No      |
| GS Mortgage Securities Trust          | GS Mortgage Securities Corp Trust 2018-TWR                         | CUSIP: 36251SAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    892000 | PA      | $715669.26    | 0.69%             | 2031-07-15      | Variable      | 8.49%                 | Yes           | 2                  | On Loan: No      |
| Fannie Mae - CAS                      | Connecticut Avenue Securities Trust 2021-R03                       | CUSIP: 20754AAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    625000 | PA      | $534939.94    | 0.52%             | 2041-12-25      | Variable      | 9.43%                 | Yes           | 2                  | On Loan: No      |
| SLG Office Trust                      | SLG Office Trust 2021-OVA                                          | CUSIP: 78449RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40180000 | PA      | $645636.35    | 0.63%             | 2041-07-15      | Variable      | 0.26%                 | Yes           | 2                  | On Loan: No      |
| DOLP Trust                            | DOLP Trust 2021-NYC                                                | CUSIP: 23345LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33000000 | PA      | $1325486.25   | 1.28%             | 2041-05-10      | Variable      | 0.67%                 | Yes           | 2                  | On Loan: No      |
| HIN Timeshare Trust 2020-A            | HIN Timeshare Trust 2020-A                                         | CUSIP: 40439HAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    318412 | PA      | $293160.93    | 0.28%             | 2039-10-09      | Fixed         | 5.50%                 | Yes           | 2                  | On Loan: No      |
| Fannie Mae - CAS                      | Connecticut Avenue Securities Trust 2022-R05                       | CUSIP: 20754DAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2900000 | PA      | $2757096.99   | 2.67%             | 2042-04-25      | Variable      | 10.93%                | Yes           | 2                  | On Loan: No      |
| BRITISH AIR 20-1 A PTT                | British Airways 2020-1 Class A Pass Through Trust                  | CUSIP: 11044MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    537202 | PA      | $480546.13    | 0.47%             | 2032-11-15      | Fixed         | 4.25%                 | Yes           | 2                  | On Loan: No      |
| PUTNAM RE PTE LTD                     | Putnam RE PTE Ltd                                                  | CUSIP: 74686TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | SG        |      1562 | PA      | $0.16         | 0.00%             | 2024-06-07      | Variable      | 9.84%                 | Yes           | 3                  | On Loan: No      |
| MSCG Trust                            | MSCG Trust 2015-ALDR                                               | CUSIP: 55352NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $633757.80    | 0.61%             | 2035-06-07      | Variable      | 3.46%                 | Yes           | 2                  | On Loan: No      |
| MVW 2020-1 LLC                        | MVW 2020-1 LLC                                                     | CUSIP: 55400EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    289808 | PA      | $274959.19    | 0.27%             | 2037-10-20      | Fixed         | 7.14%                 | Yes           | 2                  | On Loan: No      |
| Sierra Receivables Funding Co         | Sierra Timeshare 2019-3 Receivables Funding LLC                    | CUSIP: 82652NAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63586 | PA      | $59445.72     | 0.06%             | 2036-08-20      | Fixed         | 4.18%                 | Yes           | 2                  | On Loan: No      |
| Natixis Commercial Mortgage Se        | Natixis Commercial Mortgage Securities Trust 2019-MILE             | CUSIP: 63875FAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1050000 | PA      | $936893.06    | 0.91%             | 2036-07-15      | Variable      | 8.57%                 | Yes           | 2                  | On Loan: No      |
| Mosaic Solar Loans LLC                | Mosaic Solar Loan Trust 2020-2                                     | CUSIP: 61946PAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    972688 | PA      | $902358.03    | 0.87%             | 2046-08-20      | Fixed         | 5.42%                 | Yes           | 2                  | On Loan: No      |
| JP Morgan Chase Commercial Mor        | JPMCC Commercial Mortgage Securities Trust 2017-JP6                | CUSIP: 48128KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1186385.85   | 1.15%             | 2050-07-15      | Variable      | 4.46%                 | Yes           | 2                  | On Loan: No      |
| Jonah Energy LLC                      | Jonah Energy Abs I LLC                                             | CUSIP: 47987EAC1<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |    686000 | PA      | $680467.96    | 0.66%             | 2037-11-20      | Fixed         | 7.20%                 | Yes           | 2                  | On Loan: No      |
| Freddiemac Strip                      | Freddie Mac Strips                                                 | CUSIP: 31325VDB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    124965 | PA      | $10966.83     | 0.01%             | 2044-03-15      | Variable      | 1.60%                 | No            | 2                  | On Loan: No      |
| CFK Trust                             | CFK Trust 2019-FAX                                                 | CUSIP: 12528XAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    672000 | PA      | $569663.88    | 0.55%             | 2039-01-15      | Variable      | 4.64%                 | Yes           | 2                  | On Loan: No      |
| RESIDENTIAL RE 2020 LTD               | Residential Reinsurance 2020 Ltd                                   | CUSIP: 76120AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    400000 | PA      | $378800.00    | 0.37%             | 2024-12-06      | Variable      | 6.51%                 | Yes           | 2                  | On Loan: No      |
| ADAMS OUTDOOR ADVERTISING             | Adams Outdoor Advertising LP                                       | CUSIP: 006346AS9<br>LEI: 549300BTFXNHDCUHER30 | Long             | ABS-O            | CORP              | US        |    868233 | PA      | $823073.20    | 0.80%             | 2048-11-15      | Fixed         | 4.81%                 | Yes           | 2                  | On Loan: No      |
| Fannie Mae - CAS                      | Fannie Mae Connecticut Avenue Securities                           | CUSIP: 20754KAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   4900000 | PA      | $4536852.18   | 4.39%             | 2041-11-25      | Variable      | 7.23%                 | Yes           | 2                  | On Loan: No      |
| OPG Trust                             | OPG Trust 2021-PORT                                                | CUSIP: 67118AAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1370748 | PA      | $1274869.21   | 1.23%             | 2036-10-15      | Variable      | 5.85%                 | Yes           | 2                  | On Loan: No      |
| CD Commercial Mortgage Trust          | CD 2016-CD2 Mortgage Trust                                         | CUSIP: 12515ABJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1209495.30   | 1.17%             | 2049-11-10      | Variable      | 3.98%                 | No            | 2                  | On Loan: No      |
| COMM Mortgage Trust                   | COMM 2013-LC13 Mortgage Trust                                      | CUSIP: 12626GAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1388481.60   | 1.34%             | 2046-08-10      | Variable      | 5.25%                 | Yes           | 2                  | On Loan: No      |
| Sixth Street CLO LTD.                 | Sixth Street CLO XIX Ltd                                           | CUSIP: 83011MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1000000 | PA      | $921846.00    | 0.89%             | 2034-07-20      | Variable      | 6.04%                 | Yes           | 2                  | On Loan: No      |
| Capital Automotive LP                 | Cars Net Lease Mortgage Notes Series 2020-1                        | CUSIP: 14576AAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1706134.20   | 1.65%             | 2050-12-15      | Fixed         | 4.69%                 | Yes           | 2                  | On Loan: No      |
| BONANZA RE LTD                        | Bonanza RE Ltd                                                     | CUSIP: 09785EAD3<br>LEI: 5493003F0CXUQ2C83105 | Long             | ABS-O            | CORP              | BM        |    500000 | PA      | $425000.00    | 0.41%             | 2024-12-23      | Variable      | 9.09%                 | Yes           | 2                  | On Loan: No      |
| FARM 2021-1 Mortgage Trust            | FARM 21-1 Mortgage Trust                                           | CUSIP: 30768WAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    669858 | PA      | $453316.06    | 0.44%             | 2051-07-25      | Variable      | 3.24%                 | Yes           | 2                  | On Loan: No      |
| COMM Mortgage Trust                   | COMM 2014-CCRE15 Mortgage Trust                                    | CUSIP: 12591RBF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    925000 | PA      | $888214.60    | 0.86%             | 2047-02-10      | Variable      | 4.67%                 | No            | 2                  | On Loan: No      |
| MX REMIT FUND FIDUC EST               | Mexico Remittances Funding Fiduciary Estate Management Sarl        | CUSIP: 593035AA6<br>LEI: 54930007WQ6S3GFCM563 | Long             | ABS-O            | CORP              | LU        |   1630000 | PA      | $1450700.00   | 1.40%             | 2028-01-15      | Fixed         | 4.88%                 | Yes           | 2                  | On Loan: No      |
| PKHL Commercial Mortgage Trust        | PKHL Commercial Mortgage Trust 2021-MF                             | CUSIP: 69356GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $909857.00    | 0.88%             | 2038-07-15      | Variable      | 6.32%                 | Yes           | 2                  | On Loan: No      |
| COMM Mortgage Trust                   | COMM 2015-CCRE25 Mortgage Trust                                    | CUSIP: 12593PBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $715970.40    | 0.69%             | 2048-08-10      | Variable      | 4.52%                 | No            | 2                  | On Loan: No      |
| Start Ltd.                            | Start II LTD                                                       | CUSIP: 85573LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    490808 | PA      | $332025.48    | 0.32%             | 2044-03-15      | Fixed         | 5.09%                 | Yes           | 2                  | On Loan: No      |
| Morgan Stanley Mortgage Loan T        | Morgan Stanley Mortgage Loan Trust 2007-15AR                       | CUSIP: 61756XAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    187952 | PA      | $123125.00    | 0.12%             | 2037-11-25      | Variable      | 2.98%                 | No            | 2                  | On Loan: No      |
| GS Mortgage Securities Trust          | GS Mortgage Securities Corp Trust 2018-TWR                         | CUSIP: 36251SAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $587864.90    | 0.57%             | 2031-07-15      | Variable      | 7.37%                 | Yes           | 2                  | On Loan: No      |
| JPMBB Commercial Mortgage Secu        | JPMBB Commercial Mortgage Securities Trust 2014-C22                | CUSIP: 46642NBK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1432458.40   | 1.39%             | 2047-09-15      | Variable      | 4.55%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley BAML Trust             | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19        | CUSIP: 61764PBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $541570.50    | 0.52%             | 2047-12-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Hardee's Funding LLC and Carls        | Hardee's Funding LLC                                               | CUSIP: 411707AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490000 | PA      | $419616.40    | 0.41%             | 2050-12-20      | Fixed         | 3.98%                 | Yes           | 2                  | On Loan: No      |
| Freddie Mac - STACR                   | Freddie Mac STACR REMIC Trust 2022-DNA3                            | CUSIP: 35564KWA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3750000 | PA      | $3564857.25   | 3.45%             | 2042-04-25      | Variable      | 8.65%                 | Yes           | 2                  | On Loan: No      |
| BENCHMARK Mortgage Trust              | Benchmark 2020-B18 Mortgage Trust                                  | CUSIP: 08163ABR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1214835.15   | 1.18%             | 2053-07-15      | Fixed         | 4.14%                 | Yes           | 2                  | On Loan: No      |
| Palmer Square CLO Ltd                 | Palmer Square CLO Ltd                                              | CUSIP: 69689RAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    625000 | PA      | $570964.38    | 0.55%             | 2035-04-20      | Variable      | 10.31%                | Yes           | 2                  | On Loan: No      |
| MRCD Mortgage Trust                   | MRCD 2019-MARK Mortgage Trust                                      | CUSIP: 55348UAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $884797.10    | 0.86%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           | 2                  | On Loan: No      |
| Fannie Mae - CAS                      | Connecticut Avenue Securities Trust 2022-R01                       | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2100000 | PA      | $1831589.34   | 1.77%             | 2041-12-25      | Variable      | 9.93%                 | Yes           | 2                  | On Loan: No      |
| Barclays Commercial Mortgage S        | BBCMS Mortgage Trust 2020-C6                                       | CUSIP: 05492TBF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $766547.40    | 0.74%             | 2053-02-15      | Variable      | 3.69%                 | Yes           | 2                  | On Loan: No      |
| LUNAR AIRCRAFT 2020-1 LIMITED         | LUNAR AIRCRAFT 2020-1 LTD                                          | CUSIP: 55037LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    357588 | PA      | $293298.38    | 0.28%             | 2045-02-15      | Fixed         | 3.38%                 | Yes           | 2                  | On Loan: No      |
| Fannie Mae - CAS                      | Connecticut Avenue Securities Trust 2021-R01                       | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2735366.10   | 2.65%             | 2041-10-25      | Variable      | 9.93%                 | Yes           | 2                  | On Loan: No      |
| COMM Mortgage Trust                   | COMM 2014-UBS3 Mortgage Trust                                      | CUSIP: 12591YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1349829.30   | 1.31%             | 2047-06-10      | Variable      | 4.77%                 | Yes           | 2                  | On Loan: No      |
| Oportun Funding LLC                   | Oportun Funding XIV LLC                                            | CUSIP: 68377BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $445366.80    | 0.43%             | 2028-03-08      | Fixed         | 5.40%                 | Yes           | 2                  | On Loan: No      |
| Focus Brands Funding LLC              | FOCUS Brands Funding LLC                                           | CUSIP: 34417QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    480000 | PA      | $439806.24    | 0.43%             | 2048-10-30      | Fixed         | 5.18%                 | Yes           | 2                  | On Loan: No      |
| SD RE LTD                             | SD Re Ltd                                                          | CUSIP: 78414BAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $469700.00    | 0.45%             | 2024-11-19      | Variable      | 13.59%                | Yes           | 2                  | On Loan: No      |
| MRCD Mortgage Trust                   | MRCD 2019-MARK Mortgage Trust                                      | CUSIP: 55348UAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $446359.35    | 0.43%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           | 2                  | On Loan: No      |
| ADAMS OUTDOOR ADVERTISING             | Adams Outdoor Advertising LP                                       | CUSIP: 006346AV2<br>LEI: 549300BTFXNHDCUHER30 | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1342813.65   | 1.30%             | 2048-11-15      | Fixed         | 7.36%                 | Yes           | 2                  | On Loan: No      |
| CITRUS RE LTD                         | Citrus Re Ltd                                                      | CUSIP: 177510AK0<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $237075.00    | 0.23%             | 2025-06-07      | Variable      | 5.10%                 | Yes           | 2                  | On Loan: No      |
| CD Commercial Mortgage Trust          | CD 2016-CD1 Mortgage Trust                                         | CUSIP: 12514MBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    845000 | PA      | $717587.44    | 0.69%             | 2049-08-10      | Variable      | 3.63%                 | No            | 2                  | On Loan: No      |
| Freddie Mac - STACR                   | Freddie Mac STACR REMIC Trust 2022-DNA1                            | CUSIP: 35564KQZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $783673.50    | 0.76%             | 2042-01-25      | Variable      | 11.03%                | Yes           | 2                  | On Loan: No      |
| Oportun Funding LLC                   | Oportun Issuance Trust 2021-C                                      | CUSIP: 68377WAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $286920.10    | 0.28%             | 2031-10-08      | Fixed         | 5.57%                 | Yes           | 2                  | On Loan: No      |
| GS Mortgage Securities Trust          | GS Mortgage Securities Corp II                                     | CUSIP: 36266CAL0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1297221.10   | 1.26%             | 2036-11-15      | Variable      | 7.67%                 | Yes           | 2                  | On Loan: No      |
| Cayuga Park CLO, Ltd.                 | Cayuga Park CLO Ltd                                                | CUSIP: 149790AJ6<br>LEI: 549300SVH2QJEV4A2G21 | Long             | ABS-O            | CORP              | KY        |    250000 | PA      | $220906.50    | 0.21%             | 2034-07-17      | Variable      | 1.00%                 | Yes           | 2                  | On Loan: No      |
| VNO Mortgage Trust                    | VNDO Trust 2016-350P                                               | CUSIP: 91831UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1139557.65   | 1.10%             | 2035-01-10      | Variable      | 3.90%                 | Yes           | 2                  | On Loan: No      |
| Freddie Mac - STACR                   | Freddie Mac STACR REMIC Trust 2022-DNA2                            | CUSIP: 35564KRN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |   1270000 | PA      | $1198357.01   | 1.16%             | 2042-02-25      | Variable      | 7.68%                 | Yes           | 2                  | On Loan: No      |
| COMM Mortgage Trust                   | COMM 2015-CCRE23 Mortgage Trust                                    | CUSIP: 12593ABF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1685224.20   | 1.63%             | 2048-05-10      | Variable      | 4.30%                 | No            | 2                  | On Loan: No      |
| JP Morgan Chase Commercial Mor        | JPMCC Commercial Mortgage Securities Trust 2017-JP7                | CUSIP: 465968AM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1849000 | PA      | $1444109.68   | 1.40%             | 2050-09-15      | Variable      | 4.38%                 | Yes           | 2                  | On Loan: No      |
| Government National Mortgage A        | Government National Mortgage Association                           | CUSIP: 38382JA89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGSE             | US        |   7865555 | PA      | $1044839.02   | 1.01%             | 2050-09-20      | Variable      | 2.42%                 | No            | 2                  | On Loan: No      |
| GS Mortgage Securities Trust          | GS Mortgage Securities Corp Trust 2018-TWR                         | CUSIP: 36251SAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $976037.70    | 0.95%             | 2031-07-15      | Variable      | 6.17%                 | Yes           | 2                  | On Loan: No      |
| BONANZA RE LTD                        | Bonanza RE Ltd                                                     | CUSIP: 09785EAJ0<br>LEI: 5493003F0CXUQ2C83105 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $200000.00    | 0.19%             | 2025-03-16      | Variable      | 10.09%                | Yes           | 2                  | On Loan: No      |
| ACRE COMMERCIAL MORTGAGE TRUST        | ACRE Commercial Mortgage 2021-FL4 Ltd                              | CUSIP: 00489TAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1500000 | PA      | $1426201.05   | 1.38%             | 2037-12-18      | Variable      | 6.94%                 | Yes           | 2                  | On Loan: No      |
| CIFC Funding Ltd                      | CIFC Funding 2022-II Ltd                                           | CUSIP: 12567QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    375000 | PA      | $340259.25    | 0.33%             | 2035-04-19      | Variable      | 10.96%                | Yes           | 2                  | On Loan: No      |
| Bojangles Issuer, LLC                 | Bojangles Issuer LLC                                               | CUSIP: 09748RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    297750 | PA      | $266942.11    | 0.26%             | 2050-10-20      | Fixed         | 3.83%                 | Yes           | 2                  | On Loan: No      |
| Mercury Financial Credit Card         | Mercury Financial Credit Card Master Trust                         | CUSIP: 58940BAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $501052.70    | 0.49%             | 2027-06-21      | Fixed         | 10.68%                | Yes           | 2                  | On Loan: No      |
| JP Morgan Chase Commercial Mor        | JPMCC Commercial Mortgage Securities Trust 2017-JP6                | CUSIP: 48128KAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1430000 | PA      | $1174147.69   | 1.14%             | 2050-07-15      | Variable      | 3.71%                 | No            | 2                  | On Loan: No      |
| Freddie Mac Multifamily               | Freddie Mac Multifamily ML Certificates                            | CUSIP: 35833TAB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | MUN               | US        |   7711844 | PA      | $791852.12    | 0.77%             | 2041-07-25      | Variable      | 1.22%                 | No            | 2                  | On Loan: No      |
| Fannie Mae - CAS                      | Connecticut Avenue Securities Trust 2022-R04                       | CUSIP: 20753YCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $199533.08    | 0.19%             | 2042-03-25      | Variable      | 7.03%                 | Yes           | 2                  | On Loan: No      |
| SUMIT 2022-BVUE Mortgage Trust        | SUMIT 2022-BVUE Mortgage Trust                                     | CUSIP: 865592AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 127100000 | PA      | $757172.83    | 0.73%             | 2041-02-12      | Variable      | 0.08%                 | Yes           | 2                  | On Loan: No      |
| Royal Bank of Canada                  | Royal Bank of Canada                                               | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | Short            | RA               | CORP              | US        | -13123000 | PA      | $-13123000.00 | -12.71%           |  |  |  | No            | N/A                | On Loan: No      |

### Signature

**Date Signed:** 2022-12-31

**Name of Applicant:** Nuveen Mortgage and Income Fund

**Signature:** E. Scott Wickerham

**Name of Signer:** E. Scott Wickerham

**Title:** Vice President and Funds Controller