1
Nuveen
Mortgage
and
Income
Fund
Portfolio
of
Investments
March
31,
2024
(Unaudited)
JLS
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
LONG-TERM
INVESTMENTS
-
133.2% 
(98.9%
of
Total
Investments)
X–
MORTGAGE-BACKED
SECURITIES
-
92.0%
(68.3%
of
Total
Investments)
X
97,777,510
$
500
(b)
Alen
2021-ACEN
Mortgage
Trust,
(TSFR1M
reference
rate
+
4.114%
spread),
2021
ACEN,
144A
9.440%
4/15/34
$
235,346
1,000
(c)
BANK
2017-BNK6,
2017
BNK6
3.851%
7/15/60
883,442
1,000
BANK
2019-BNK21,
2019
BN21,
144A
2.500%
10/17/52
577,587
1,000
BBCMS
Mortgage
Trust
2020-C6,
2020
C6,
144A
3.688%
2/15/53
763,484
1,500
Benchmark
2020-B18
Mortgage
Trust,
2020
B18,
144A
4.139%
7/15/53
1,365,900
845
(c)
CD
2016-CD1
Mortgage
Trust,
2016
CD1
3.631%
8/10/49
594,689
1,500
CD
2016-CD2
Mortgage
Trust,
2016
CD2
3.977%
11/10/49
1,245,693
1,978
(c)
CD
2017-CD3
Mortgage
Trust,
2017
CD3
4.538%
2/10/50
988,883
24
CF
2020-P1
Mortgage
Trust,
2020
P1,
144A
2.840%
4/15/25
23,198
672
CFK
Trust
2019-FAX,
2019
FAX,
144A
4.637%
1/15/39
598,005
401
CHL
Mortgage
Pass-Through
Trust
2006-HYB1,
2006
HYB1
4.605%
3/20/36
357,835
1,500
(c)
COMM
2013-LC13
Mortgage
Trust,
2013
LC13,
144A
5.349%
8/10/46
1,244,343
925
(c)
COMM
2014-CCRE15
Mortgage
Trust,
2014
CR15
4.006%
2/10/47
866,856
1,000
(c)
COMM
2014-CCRE17
Mortgage
Trust,
2014
CR17
4.377%
5/10/47
951,794
1,452
(c)
COMM
2014-CCRE19
Mortgage
Trust,
2014
CR19,
144A
4.697%
8/10/47
1,298,781
1,000
(c)
Comm
2014-UBS2
Mortgage
Trust,
2014
UBS2
4.947%
3/10/47
886,418
1,500
(c)
COMM
2014-UBS3
Mortgage
Trust,
2014
UBS3,
144A
4.767%
6/10/47
842,850
1,400
COMM
2015-CCRE22
Mortgage
Trust,
2015
CR22,
144A
3.000%
3/10/48
1,071,217
2,000
(c)
COMM
2015-CCRE23
Mortgage
Trust,
2015
CR23
4.283%
5/10/48
1,775,858
1,800
(c)
COMM
2015-CCRE24
Mortgage
Trust,
2015
CR24
3.463%
8/10/48
1,553,242
1,245
COMM
2015-CCRE25
Mortgage
Trust,
2015
CR25
3.768%
8/10/48
1,103,030
800
(c)
COMM
2015-CCRE25
Mortgage
Trust,
2015
CR25
4.516%
8/10/48
766,813
658
(c)
COMM
Mortgage
Trust
4.585%
2/10/47
628,978
3,000
(b),(c)
Connecticut
Avenue
Securities
Trust
2021-R01,
(SOFR30A
reference
rate
+
6.000%
spread),
2021
R01,
144A
11.320%
10/25/41
3,172,151
625
(b)
Connecticut
Avenue
Securities
Trust
2021-R03,
(SOFR30A
reference
rate
+
5.500%
spread),
2021
R03,
144A
10.820%
12/25/41
655,417
2,100
(b)
Connecticut
Avenue
Securities
Trust
2022-R01,
(SOFR30A
reference
rate
+
6.000%
spread),
2022
R01,
144A
11.320%
12/25/41
2,215,564
2,550
(b),(c)
Connecticut
Avenue
Securities
Trust
2022-R02,
(SOFR30A
reference
rate
+
4.500%
spread),
2022
R02,
144A
9.820%
1/25/42
2,684,849
1,000
(b)
Connecticut
Avenue
Securities
Trust
2022-R03,
(SOFR30A
reference
rate
+
9.850%
spread),
2022
R03,
144A
14.823%
3/25/42
1,155,373
2,000
(b)
Connecticut
Avenue
Securities
Trust
2022-R03,
(SOFR30A
reference
rate
+
6.250%
spread),
2022
R03,
144A
6.349%
3/25/42
2,236,419
2,840
(b)
Connecticut
Avenue
Securities
Trust
2022-R05,
(SOFR30A
reference
rate
+
7.000%
spread),
2022
R05,
144A
12.320%
4/25/42
3,100,406
1,900
(b)
Connecticut
Avenue
Securities
Trust
2022-R07,
(SOFR30A
reference
rate
+
12.000%
spread),
2022
R07,
144A
17.321%
6/25/42
2,329,980
960
(b),(c)
Connecticut
Avenue
Securities
Trust
2022-R07,
(SOFR30A
reference
rate
+
6.800%
spread),
2022
R07,
144A
12.121%
6/25/42
1,088,463
450
(b)
Connecticut
Avenue
Securities
Trust
2022-R09,
(SOFR30A
reference
rate
+
6.750%
spread),
2022
R09,
144A
12.071%
9/25/42
500,568
2,250
(b),(c)
Connecticut
Avenue
Securities
Trust
2023-R05,
(SOFR30A
reference
rate
+
4.750%
spread),
2023
R05,
144A
10.071%
6/25/43
2,433,834
2,280
(b),(c)
Connecticut
Avenue
Securities
Trust
2023-R06,
(SOFR30A
reference
rate
+
3.900%
spread),
2023
R06,
144A
9.188%
7/25/43
2,401,990
33,000
DOLP
Trust
2021-NYC,
2021
NYC,
(I/O),
144A
0.665%
5/10/41
1,151,913
4,000
(b),(c)
Fannie
Mae
-
CAS,
(SOFR30A
reference
rate
+
5.550%
spread),
2023
R02,
144A
10.870%
1/25/43
4,420,484
1
FARM
21-1
Mortgage
Trust,
2021
1,
144A
3.241%
7/25/51
890
83
Flagstar
Mortgage
Trust
2017-2,
2017
2,
144A
3.987%
10/25/47
73,009
7,601
Freddie
Mac
Multifamily
ML
Certificates,
2021
ML12,
(I/O)
1.225%
7/25/41
739,993
3,000
(b)
Freddie
Mac
STACR
REMIC
Trust
2021-DNA6,
(SOFR30A
reference
rate
+
7.500%
spread),
2021
DNA6,
144A
12.820%
10/25/41
3,262,152
1,000
(b)
Freddie
Mac
STACR
REMIC
Trust
2022-DNA1,
(SOFR30A
reference
rate
+
7.100%
spread),
2022
DNA1,
144A
12.420%
1/25/42
1,078,242
Nuveen
Mortgage
and
Income
Fund
(continued)
Portfolio
of
Investments
March
31,
2024
(Unaudited)
2
JLS
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
X–
MORTGAGE-BACKED
SECURITIES
(continued)
$
2,275
(b)
Freddie
Mac
STACR
REMIC
Trust
2022-DNA1,
(SOFR30A
reference
rate
+
3.400%
spread),
2022
DNA1,
144A
8.720%
1/25/42
$
2,352,751
4,900
(b)
Freddie
Mac
STACR
REMIC
Trust
2022-DNA2,
(SOFR30A
reference
rate
+
4.750%
spread),
2022
DNA2,
144A
10.070%
2/25/42
5,227,270
3,750
(b),(c)
Freddie
Mac
STACR
REMIC
Trust
2022-DNA3,
(SOFR30A
reference
rate
+
5.650%
spread),
2022
DNA3,
144A
8.647%
4/25/42
4,070,995
450
(b)
Freddie
Mac
STACR
REMIC
Trust
2023-DNA1,
(SOFR30A
reference
rate
+
3.100%
spread),
2023
DNA1,
144A
8.444%
3/25/43
472,800
110
(b)
Freddie
Mac
Strips,
(SOFR30A
reference
rate
+
5.806%
spread),
2014
327,
(I/O)
0.487%
3/15/44
8,555
6,826
(b),(c)
Government
National
Mortgage
Association,
(SOFR30A
reference
rate
+
6.250%
spread),
2020
133,
(I/O)
0.931%
9/20/50
684,727
1,500
GS
Mortgage
Securities
Corp
Trust
2017-SLP,
2017
SLP,
144A
4.605%
10/10/32
1,406,346
1,000
(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
(TSFR1M
reference
rate
+
1.747%
spread),
2018
TWR,
144A
7.073%
7/15/31
615,000
892
(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
(TSFR1M
reference
rate
+
4.222%
spread),
2018
TWR,
144A
9.548%
7/15/31
37,464
700
(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
(TSFR1M
reference
rate
+
3.097%
spread),
2018
TWR,
144A
8.423%
7/15/31
143,325
1,100
(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
(TSFR1M
reference
rate
+
1.897%
spread),
2018
TWR,
144A
7.223%
7/15/31
456,500
700
(b)
GS
Mortgage
Securities
Corp
Trust
2018-TWR,
(TSFR1M
reference
rate
+
2.397%
spread),
2018
TWR,
144A
7.723%
7/15/31
220,500
1,000
(b)
GS
Mortgage
Securities
Corp
Trust
2021-ARDN,
(TSFR1M
reference
rate
+
2.864%
spread),
2021
ARDN,
144A
8.190%
11/15/36
969,171
1,400
(b),(c)
GS
Mortgage
Securities
Corp
Trust
2021-ARDN,
(TSFR1M
reference
rate
+
3.464%
spread),
2021
ARDN,
144A
8.790%
11/15/36
1,346,826
2,000
(c)
GS
Mortgage
Securities
Trust
2016-GS4,
2016
GS4
3.952%
11/10/49
1,705,061
1,000
Hudson
Yards
2019-55HY
Mortgage
Trust,
2019
55HY,
144A
2.943%
12/10/41
734,406
377
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2019-ICON
UES,
2019
UES,
144A
4.452%
5/05/32
358,553
441
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2019-ICON
UES,
2019
UES,
144A
4.452%
5/05/32
416,982
366
JP
Morgan
Chase
Commercial
Mortgage
Securities
Trust
2020-NNN,
2020
NNN,
144A
3.972%
1/16/37
173,989
2,000
(c)
JPMBB
Commercial
Mortgage
Securities
Trust
2014-C22,
2014
C22
4.561%
9/15/47
1,701,875
1,000
(c)
JPMBB
Commercial
Mortgage
Securities
Trust
2015-C27,
2015
C27
3.898%
2/15/48
905,200
760
(c)
JPMBB
Commercial
Mortgage
Securities
Trust
2015-C29,
2015
C29
4.118%
5/15/48
720,533
1,189
(c)
JPMBB
Commercial
Mortgage
Securities
Trust
2016-C1,
2016
C1
4.702%
3/17/49
1,102,998
2,000
(c)
JPMCC
Commercial
Mortgage
Securities
Trust
2017-JP5,
2017
JP5
3.904%
3/15/50
1,625,608
1,500
JPMCC
Commercial
Mortgage
Securities
Trust
2017-JP6,
2017
JP6,
144A
4.453%
7/15/50
1,006,207
1,930
(c)
JPMCC
Commercial
Mortgage
Securities
Trust
2017-JP6,
2017
JP6
3.703%
7/15/50
1,423,009
1,849
(c)
JPMCC
Commercial
Mortgage
Securities
Trust
2017-JP7,
2017
JP7,
144A
4.383%
9/15/50
1,436,668
1,214
(c)
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
2014
C19,
2014
C19
4.000%
12/15/47
1,153,374
226
Morgan
Stanley
Capital
I
Trust
2015-MS1,
2015
MS1
4.023%
5/15/48
211,675
181
Morgan
Stanley
Mortgage
Loan
Trust
2007-15AR,
2007
15AR
3.303%
11/25/37
124,715
1,000
MRCD
2019-MARK
Mortgage
Trust,
2019
PARK,
144A
2.718%
12/15/36
624,869
250
MSCG
Trust
2015-ALDR,
2015
ALDR,
144A
3.462%
6/07/35
214,006
750
MSCG
Trust
2015-ALDR,
2015
ALDR,
144A
3.462%
6/07/35
655,598
1,000
(b)
Natixis
Commercial
Mortgage
Securities
Trust
2019-MILE,
(TSFR1M
reference
rate
+
2.829%
spread),
2019
MILE,
144A
8.155%
7/15/36
774,211
3
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
X–
MORTGAGE-BACKED
SECURITIES
(continued)
$
1,050
(b)
Natixis
Commercial
Mortgage
Securities
Trust
2019-MILE,
(TSFR1M
reference
rate
+
4.329%
spread),
2019
MILE,
144A
9.655%
7/15/36
$
699,680
478
(b)
OPEN
Trust,
(TSFR1M
reference
rate
+
5.236%
spread),
2023
AIR,
144A
10.561%
10/15/28
482,987
1,000
(b)
PKHL
Commercial
Mortgage
Trust
2021-MF,
(TSFR1M
reference
rate
+
0.994%
spread),
2021
MF,
144A
6.320%
7/15/38
952,981
1,000
(b)
PKHL
Commercial
Mortgage
Trust
2021-MF,
(TSFR1M
reference
rate
+
2.114%
spread),
2021
MF,
144A
7.440%
7/15/38
807,878
1,624
(b),(c)
SMR
2022-IND
Mortgage
Trust,
(TSFR1M
reference
rate
+
3.950%
spread),
2022
IND,
144A
9.275%
2/15/39
1,495,888
127,100
SUMIT
2022-BVUE
Mortgage
Trust,
2022
BVUE,
(I/O),
144A
0.082%
2/12/41
605,644
1,500
VNDO
Trust
2016-350P,
2016
350P,
144A
3.903%
1/10/35
1,203,713
1,300
(c)
Wells
Fargo
Commercial
Mortgage
Trust
2015-NXS1,
2015
NXS1
4.140%
5/15/48
1,121,033
Total
Mortgage-Backed
Securities
(cost
$107,189,462)
97,777,510
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
X–
ASSET-BACKED
SECURITIES
-
41.2%
(30.6%
of
Total
Investments)
X
43,862,294
1,195
AASET
2020-1
Trust,
2020
1A,
144A
6.413%
1/16/40
$
340,537
1,500
(b),(c)
ACRE
Commercial
Mortgage
2021-FL4
Ltd,
(TSFR1M
reference
rate
+
2.714%
spread),
2021
FL4,
144A
8.041%
12/18/37
1,425,520
515
Affirm
Asset
Securitization
Trust
2023-B,
2023
B,
144A
11.320%
9/15/28
533,151
585
(c)
Air
Canada
2020-2
Class
B
Pass
Through
Trust,
2020
A,
144A
9.000%
10/01/25
594,095
550
Avis
Budget
Rental
Car
Funding
AESOP
LLC,
2021
2A,
144A
4.080%
2/20/28
495,089
983
Bojangles
Issuer
LLC,
2020
1A,
144A
3.832%
10/20/50
926,999
750
(b)
Bonanza
RE
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
8.250%
spread),
144A
12.787%
1/08/26
759,675
250
(b)
Bonanza
RE
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
5.780%
spread),
144A
11.135%
3/16/25
234,525
250
Bonanza
RE
Ltd,
144A
5.359%
1/08/25
195,450
500
(b)
Bonanza
RE
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
4.910%
spread),
2020
A,
144A
10.250%
12/23/24
490,000
379
(c)
British
Airways
2020-1
Class
B
Pass
Through
Trust,
2020
A,
144A
8.375%
11/15/28
394,015
2,000
Cars
Net
Lease
Mortgage
Notes
Series
2020-1,
2020
1A,
144A
4.690%
12/15/50
1,735,659
775
CARS-DB4
LP,
2020
1A,
144A
4.520%
2/15/50
703,921
2
(d)
Carvana
Auto
Receivables
Trust
2021-P2,
2021
P2,
144A
0.000%
5/10/28
535,875
250
(b)
Cayuga
Park
CLO
Ltd,
(TSFR3M
reference
rate
+
6.262%
spread),
2020
1A,
144A
1.000%
7/17/34
250,463
385
(b)
CIFC
Funding
2020-II
Ltd,
(3-Month
LIBOR
reference
rate
+
6.762%
spread),
2020
2A,
144A
12.079%
10/20/34
386,922
375
(b)
CIFC
Funding
2022-II
Ltd,
(TSFR3M
reference
rate
+
7.000%
spread),
2022
2A,
144A
12.310%
4/19/35
376,844
750
(b)
CIFC
Funding
2022-IV
Ltd,
(SOFR
reference
rate
+
3.550%
spread),
2022
4A,
144A
8.864%
7/16/35
751,768
250
(b)
Citrus
Re
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
5.240%
spread),
144A
5.100%
6/07/25
251,675
250
Cologix
Data
Centers
US
Issuer
LLC,
2021
1A,
144A
5.990%
12/26/51
222,366
1,073
CyrusOne
Data
Centers
Issuer
I,
2023
1A,
144A
5.450%
4/20/48
997,712
1,000
(b)
Elmwood
CLO
26
Ltd,
(TSFR3M
reference
rate
+
6.450%
spread),
2024
1A,
144A
0.000%
4/18/37
1,005,675
914
EWC
Master
Issuer
LLC,
2022
1A,
144A
5.500%
3/15/52
869,558
1,500
Frontier
Issuer
LLC,
2023
1,
144A
11.500%
8/20/53
1,521,768
1,500
Frontier
Issuer
LLC,
2023
1,
144A
8.300%
8/20/53
1,524,161
500
(b)
GoldentTree
Loan
Management
US
CLO
1
Ltd,
(3-Month
LIBOR
reference
rate
+
7.762%
spread),
2021
11A,
144A
8.563%
10/20/34
465,945
Nuveen
Mortgage
and
Income
Fund
(continued)
Portfolio
of
Investments
March
31,
2024
(Unaudited)
4
JLS
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
X–
ASSET-BACKED
SECURITIES
(continued)
$
1,000
(b)
GRACIE
POINT
INTERNATIONAL
FUNDING
2023-2,
(SOFR90A
reference
rate
+
5.400%
spread),
2023
2A,
144A
10.758%
3/01/27
$
1,007,471
173
(b)
Gracie
Point
International
Funding
2024-1
LLC,
(SOFR90A
reference
rate
+
7.150%
spread),
2024
1A,
144A
12.508%
3/01/28
173,022
484
Hardee's
Funding
LLC,
2020
1A,
144A
3.981%
12/20/50
435,739
500
Hertz
Vehicle
Financing
III
LLC,
2022
1A,
144A
4.850%
6/25/26
485,410
250
(b)
Hestia
Re
Ltd,
(1-Month
U.S.
Treasury
Bill
reference
rate
+
9.370%
spread),
144A
14.720%
4/22/25
245,250
219
HIN
Timeshare
Trust
2020-A,
2020
A,
144A
5.500%
10/09/39
206,392
156
HIN
Timeshare
Trust
2020-A,
2020
A,
144A
6.500%
10/09/39
146,773
298
LUNAR
AIRCRAFT
2020-1
LTD,
2020
1A,
144A
3.376%
2/15/45
275,045
500
(b)
Madison
Park
Funding
XXXVI
Ltd,
(TSFR3M
reference
rate
+
5.460%
spread),
2019
36A,
144A
5.764%
4/15/35
498,414
1,125
(b)
Magnetite
XXIII
Ltd,
(TSFR3M
reference
rate
+
6.562%
spread),
2019
23A,
144A
7.484%
1/25/35
1,128,090
250
(b)
Matterhorn
Re
Ltd,
(SOFR
reference
rate
+
5.250%
spread),
144A
5.889%
3/24/25
248,975
500
Mercury
Financial
Credit
Card
Master
Trust,
2022
3A,
144A
10.680%
6/21/27
499,711
500
Mercury
Financial
Credit
Card
Master
Trust,
2023
1A,
144A
9.590%
9/20/27
502,139
500
Mercury
Financial
Credit
Card
Master
Trust,
2023
1A,
144A
8.040%
9/20/27
504,194
125
MetroNet
Infrastructure
Issuer
LLC,
2023
1A,
144A
8.010%
4/20/53
126,494
1,000
MetroNet
Infrastructure
Issuer
LLC,
2024
1A,
144A
10.860%
4/20/54
1,003,452
125
MetroNet
Infrastructure
Issuer
LLC,
2023
1A,
144A
10.850%
4/20/53
122,831
1,304
Mexico
Remittances
Funding
Fiduciary
Estate
Management
Sarl
,
144A
4.875%
1/15/28
1,169,823
1,187
(d)
Mosaic
Solar
Loan
Trust
2019-2,
2019
2A,
144A
0.000%
9/20/40
364,782
714
(d)
Mosaic
Solar
Loan
Trust
2020-1,
2020
1A,
144A
0.000%
4/20/46
442,738
732
Mosaic
Solar
Loan
Trust
2020-2,
2020
2A,
144A
5.420%
8/20/46
652,325
1,000
(d)
Mosaic
Solar
Loans
LLC,
2024
1A,
144A
10.000%
9/20/49
837,734
186
MVW
2020-1
LLC,
2020
1A,
144A
7.140%
10/20/37
180,816
500
(b)
Neuberger
Berman
Loan
Advisers
NBLA
CLO
53
Ltd,
(TSFR3M
reference
rate
+
7.625%
spread),
2023
23-53A,
144A
12.964%
10/24/32
501,881
500
Oportun
Funding
2022-1
LLC,
2022
1,
144A
6.000%
6/15/29
491,443
195
Oportun
Funding
XIV
LLC,
2021
A,
144A
5.400%
3/08/28
182,045
1,000
Oportun
Issuance
Trust
2021-B,
2021
B,
144A
5.410%
5/08/31
911,168
350
Oportun
Issuance
Trust
2021-C,
2021
C,
144A
5.570%
10/08/31
308,116
2,000
Oportun
Issuance
Trust
2024-1,
2024
1A,
144A
12.072%
4/08/31
1,992,487
925
(b)
Palmer
Square
CLO
2023-1
Ltd,
(TSFR3M
reference
rate
+
5.300%
spread),
2023
1A,
144A
10.618%
1/20/36
937,178
625
(b)
Palmer
Square
CLO
Ltd,
(TSFR3M
reference
rate
+
6.350%
spread),
2022
1A,
144A
11.668%
4/20/35
628,022
750
(b)
Rad
CLO
7
Ltd,
(TSFR3M
reference
rate
+
4.150%
spread),
2020
7A,
144A
9.480%
4/17/36
751,403
400
(b)
Residential
Reinsurance
2020
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
6.010%
spread),
2020
A,
144A
6.510%
12/06/24
390,120
500
(b)
Residential
Reinsurance
2022
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
7.690%
spread),
144A
13.045%
12/06/26
505,900
500
(b)
SD
Re
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
9.250%
spread),
144A
14.590%
11/19/24
497,400
35
Sierra
Timeshare
2019-3
Receivables
Funding
LLC,
2019
3A,
144A
4.180%
8/20/36
34,629
220
Sierra
Timeshare
2020-2
Receivables
Funding
LLC,
2020
2A,
144A
6.590%
7/20/37
214,266
1,000
(b)
Sixth
Street
CLO
XIX
Ltd,
(3-Month
LIBOR
reference
rate
+
6.162%
spread),
2021
19A,
144A
6.035%
7/20/34
1,001,274
427
Start
II
LTD,
2019
1,
144A
5.095%
3/15/44
370,573
494
Sunnova
Helios
XII
Issuer
LLC,
2023
B,
144A
6.000%
8/22/50
464,006
1,000
(b)
TCW
CLO
2021-2
Ltd,
(3-Month
LIBOR
reference
rate
+
7.122%
spread),
2021
2A,
144A
6.985%
7/25/34
985,947
500
(b)
Ursa
Re
II
Ltd,
(3-Month
U.S.
Treasury
Bill
reference
rate
+
7.000%
spread),
144A
12.355%
12/06/25
519,800
5
Part
F
of
Form
N-PORT
was
prepared
in
accordance
with
U.S.
generally
accepted
accounting
principles
(“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
utilizing
valuation
methods
approved
by
the
Board
of
Directors/
Trustees.
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.
U.S.
GAAP
establishes
the
three-tier
hierarchy
which
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
management’s
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
following
table
summarizes
the
market
value
of
the
Fund's
investments
as
of
the
end
of
the
reporting
period,
based
on
the
inputs
used
to
value
them:
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
X–
ASSET-BACKED
SECURITIES
(continued)
$
1,013
Vivint
Solar
Financing
V
LLC,
2018
1A,
144A
7.370%
4/30/48
$
944,621
520
VR
Funding
LLC,
2020
1A,
144A
6.420%
11/15/50
482,053
500
Ziply
Fiber
Issuer
LLC,
2024
1A,
144A,
(WI/DD)
7.810%
4/20/54
500,387
1,000
Ziply
Fiber
Issuer
LLC,
2024
1A,
144A,
(WI/DD)
11.170%
4/20/54
1,000,587
Total
Asset-Backed
Securities
(cost
$46,771,153)
43,862,294
Total
Long-Term
Investments
(cost
$153,960,615)
141,639,804
Principal
Amount
(000)
Description
(a)
Coupon
Maturity
Value
SHORT-TERM
INVESTMENTS
-
1.5% (1.1%
of
Total
Investments)
X
–
U.S.
GOVERNMENT
AND
AGENCY
OBLIGATIONS
-
1.5%
(1.1%
of
Total
Investments)
X
1,610,000
$
1,610
Federal
Home
Loan
Bank
Discount
Notes
0.000%
4/01/24
$
1,610,000
Total
U.S.
Government
and
Agency
Obligations
(cost
$1,610,000)
1,610,000
Total
Short-Term
Investments
(cost
$1,610,000)
1,610,000
Total
Investments
(cost
$155,570,615
)
-
134.7%
143,249,804
Borrowings
-
(3.3)%
(e),(f)
(3,520,000)
Reverse
Repurchase
Agreements,
including
accrued
interest
-
(29.9)%(g)
(31,748,561)
Other
Assets
&
Liabilities,
Net
-  (1.5)%
(1,667,439)
Net
Assets
Applicable
to
Common
Shares
-
100%
$
106,313,804
Level
1
Level
2
Level
3
Total
Long-Term
Investments:
Mortgage-Backed
Securities
$
–
$
97,777,510
$
–
$
97,777,510
Asset-Backed
Securities
–
41,681,165
2,181,129
43,862,294
Short-Term
Investments:
U.S.
Government
and
Agency
Obligations
–
1,610,000
–
1,610,000
Total
$
–
$
141,068,675
$
2,181,129
$
143,249,804
Nuveen
Mortgage
and
Income
Fund
(continued)
Portfolio
of
Investments
March
31,
2024
(Unaudited)
6
JLS
The
following
is
a
reconciliation
of
the
Fund’s
Level
3
investments
held
at
the
beginning
and
end
of
the
measurement
period:
The
valuation
techniques
and
significant
unobservable
inputs
used
in
recurring
Level
3
fair
value
measurements
of
assets
as
of
the
end
of
the
reporting
period,
were
as
follows:
Level
3
JLS
Asset-Backed
Securities
Balance
at
the
beginning
of
period
$
1,379,951
Gains
(losses):
-
Net
realized
gains
(losses)
5,922
Change
in
net
unrealized
appreciation
(depreciation)
6,231
Purchases
at
cost
832,040
Sales
at
proceeds
(44,836)
Net
discounts
(premiums)
1,821
Transfers
into
-
Transfers
(out
of)
-
Balance
at
the
end
of
period
$
2,181,129
Change
in
net
unrealized
appreciation
(depreciation)
during
the
period
of
Level
3
securities
held
as
of
period
end
$
6,231
Fund
Asset
Class
Market
Value
Techniques
Unobservable
Inputs
Range
Weighted
Average
JLS
Asset-Backed
Securities
$2,181,129
Indicative
Trade
Broker
Quote
$30.72-$21,435
$8,579.11
Yield
Spread
Broker
Quote
12.49%
N/A
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.
(a)
All
percentages
shown
in
the
Portfolio
of
Investments
are
based
on
net
assets
applicable
to
common
shares
unless
otherwise
noted.
(b)
Variable
rate
security.
The
rate
shown
is
the
coupon
as
of
the
end
of
the
reporting
period.
(c)
Investment,
or
portion
of
investment,
has
been
pledged
to
collateralize
the
net
payment
obligations
for
investments
in
reverse
repurchase
agreements.
As
of
the
end
of
the
reporting
period,
investments
with
a
value
of
$47,735,562
have
been
pledged
as
collateral
for
reverse
repurchase
agreements.
(d)
For
fair
value
measurement
disclosure
purposes,
investment
classified
as
Level
3.
(e)
Borrowings
as
a
percentage
of
Total
Investments
is
2.5%.
(f)
The
Fund
may
pledge
up
to
100%
of
its
eligible
investments
(excluding
any
investments
separately
pledged
as
collateral
for
specific
investments
in
derivatives,
when
applicable)
in
the
Portfolio
of
Investments
as
collateral
for
borrowings.
As
of
the
end
of
the
reporting
period,
investments
with
a
value
of
$30,926,979
have
been
pledged
as
collateral
for
borrowings.
(g)
Reverse
Repurchase
Agreements,
including
accrued
interest
as
a
percentage
of
Total
investments
is
22.2%.
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.
I/O
Interest
only
security
LIBOR
London
Inter-Bank
Offered
Rate
SOFR
30A
30
Day
Average
Secured
Overnight
Financing
Rate
TSFR
1M
CME
Term
SOFR
1
Month
TSFR
3M
CME
Term
SOFR
3
Month
WI/DD
When-issued
or
delayed
delivery
security.
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