Monthly Portfolio Investments Report on Form N-port (public) (nport-p)

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

 

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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

 

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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.

 

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