UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811-22329

 

 

Nuveen Mortgage Opportunity Term Fund

 

(Exact name of registrant as specified in charter)

 

   333 West Wacker Drive, Chicago, Illinois 60606   

 

 

(Address of principal executive offices) (Zip code)

 

 

Kevin J. McCarthy—Vice President and Secretary
   333 West Wacker Drive, Chicago, Illinois 60606   

 

 

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

312-917-7700

 

Date of fiscal year end:

12/31

 

Date of reporting period:

3/31/2015

 

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

 


 

Item 1. Schedule of Investments

 


 

 

 

Portfolio of Investments

 

 

 

 

 

Nuveen Mortgage Opportunity Term Fund (JLS)

 

 

 

 

 

March 31, 2015 (Unaudited)

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon

 

Maturity

 

Ratings (2)

 

 Value

 

 

 

LONG-TERM INVESTMENTS – 132.9% (97.8% of Total Investments)

 

 

 

 

 

MORTGAGE-BACKED SECURITIES – 132.4% (97.4% of Total Investments)

 

 

 

 

 

Residential – 132.4%

 

 

 

 

 

 

 

 

 

$        2,700

 

American Credit Auto Receivables 12-3D, 144A

 

5.000%

 

12/16/19

 

BB

 

$

2,720,336

 

6,500

 

Argent Securities Inc., Asset-Backed Pass-Through Certificates, Series 2005-W2

 

0.671%

 

10/25/35

 

B-

 

5,168,105

 

8,837

 

Asset Backed Funding Corporation, Asset-Backed Certificates Series 2006-OPT1

 

0.421%

 

9/25/36

 

CCC

 

6,218,510

 

2,719

 

Banc of America Alternative Loan Trust, Pass-Through Certificates, Series 2006-6

 

6.000%

 

7/25/46

 

Caa3

 

2,241,562

 

4,775

 

Banc of America Funding Corporation, Mortgage Pass-Through Certificates, Series 2006-G

 

0.471%

 

7/20/36

 

Ba3

 

4,429,185

 

2,932

 

Banc of America Mortgage Securities Inc, Mortgage Pass-Through Certificates, Series 2007-1

 

6.000%

 

3/25/37

 

Caa3

 

2,596,045

 

2,020

 

Bank of America Commercial Mortgage Inc. , Commercial Mortgage Pass-Through Certificates, Series 2006-1

 

5.454%

 

9/10/45

 

B+

 

2,020,764

 

817

 

Bank of America Funding Corporation, Mortgage Pass-Through Certificates, Series 2007-C

 

2.668%

 

5/20/36

 

Caa2

 

769,005

 

7,109

 

Bank of America Funding Trust, 2007-A 2A1

 

0.341%

 

2/20/47

 

CCC

 

6,125,572

 

7,920

 

BCAP LLC Trust, Mortgage Pass-Through Certificates, Series 2006-AA2

 

0.351%

 

1/25/37

 

Caa3

 

6,276,406

 

6,168

 

BCAP LLC Trust, Mortgage Pass-Through Certificates, Series 2007 AA1 2A1

 

0.361%

 

3/25/37

 

Caa3

 

5,219,554

 

3,067

 

Bear Stearns Adjustable Rate Mortgage Trust 2005-3

 

2.625%

 

6/25/35

 

Caa2

 

2,828,418

 

1,051

 

Bear Stearns Adjustable Rate Mortgage Trust, Mortgage Pass-Through Certificate Series 2006-2

 

2.589%

 

7/25/36

 

D

 

874,236

 

4,390

 

Bear Stearns Adjustable Rate Mortgage Trust, Mortgage Pass-Through Certificate Series 2006-4

 

2.498%

 

10/25/36

 

D

 

3,720,749

 

6,565

 

Bear Stearns Adjustable Rate Mortgage Trust, Mortgage Pass-Through Certificate Series 2007-4

 

4.888%

 

6/25/47

 

D

 

5,884,777

 

1,567

 

Bear Stearns Adjustable Rate Mortgage Trust, Pass-Through Certificates Series 2005-12

 

2.485%

 

2/25/36

 

Caa3

 

1,291,077

 

6,162

 

Bear Stearns Adjustable Rate Mortgage Trust, Pass-Through Certificates Series 2005-12

 

2.497%

 

2/25/36

 

Caa3

 

5,392,867

 

3,230

 

Bear Stearns Adjustable Rate Mortgage Trust, Pass-Through Certificates, Series 2007-1

 

2.721%

 

2/25/47

 

D

 

2,696,224

 

5,287

 

Bear Stearns Alt-A Trust, Mortgage Pass-Through Certificates, Series 2006-8

 

0.501%

 

6/25/46

 

Ca

 

3,789,289

 

5,741

 

Bear Stearns Alt-A Trust, Mortgage Pass-Through Certificates, Series 2006-8

 

2.603%

 

8/25/46

 

Ca

 

4,187,848

 

2,175

 

Bear Stearns Commercial Mortgage Securities Trust, Pass-Through Certificates 2007-WR16

 

5.706%

 

6/11/40

 

B1

 

2,233,590

 

6,490

 

Carrington Mortgage Loan Trust, Asset Backed Pass-Through Certificates, Series 2005-NC5

 

0.661%

 

10/25/35

 

BB-

 

5,640,414

 

6,985

 

Carrington Securities LP, Mortgage Loan Trust Asset-Backed Pass-Through Certificates Series 2007-HE1

 

0.331%

 

6/25/37

 

Caa1

 

6,272,432

 

2,090

 

CDGJ Commercial Mortgage Trust, Mortgage Pass-Through Certificates, Series 2014-BXCH, 144A

 

4.425%

 

12/15/27

 

BB-

 

2,092,803

 

6,120

 

Chaseflex Trust Series 2007-2

 

0.461%

 

5/25/37

 

CCC

 

5,543,153

 

1,710

 

Citigroup Mortgage Loan Trust Inc., Mortgage Pass-Through Certificates, Series 2007-AR4

 

2.841%

 

3/25/37

 

D

 

1,347,402

 

1,380

 

Citigroup Mortgage Loan Inc., Mortgage Pass-Through Certificates, Series 2006- AR2

 

2.685%

 

3/25/36

 

Caa3

 

1,261,240

 

1,962

 

Citigroup Mortgage Loan Trust Inc., Mortgage Pass-Through Certificates, Series 2005-3

 

2.662%

 

8/25/35

 

Caa2

 

1,812,318

 

8,042

 

Citigroup Mortgage Loan Trust Inc., Mortgage Pass-Through Certificates, Series 2007-AR1

 

0.401%

 

1/25/37

 

CCC

 

5,782,560

 

1,533

 

Citigroup Mortgage Loan Trust, Mortgage Pass-Through Certificates Series 2007-AR8

 

2.692%

 

7/25/37

 

Caa3

 

1,424,649

 

2,232

 

Citigroup Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2006-AR7

 

2.550%

 

11/25/36

 

D

 

1,827,823

 

3,344

 

Citigroup Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2006-AR7

 

2.644%

 

11/25/36

 

D

 

2,863,030

 

1,130

 

Core Industrial Trust, Series 2015-CALW, 144A WI/DD

 

3.850%

 

2/10/34

 

N/R

 

1,068,797

 

3,820

 

Commercial Mortgage Pass-Through Certificates Series 2012-CR4, 144A

 

4.727%

 

10/15/45

 

BBB-

 

3,840,594

 

2,319

 

Countrywide Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2005-63

 

5.230%

 

11/25/35

 

Ca

 

1,866,211

 

633

 

Countrywide Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2006-6CB

 

5.750%

 

5/25/36

 

Ca

 

494,095

 

5,175

 

Countrywide Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2007-19

 

6.000%

 

8/25/37

 

D

 

4,340,803

 

2,077

 

Countrywide Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2007-3T1

 

6.000%

 

4/25/37

 

Caa3

 

1,716,571

 

65

 

Countrywide Alternative Loan Trust, Securitization Pass-Through Certificates Series 2007-HY5R

 

3.058%

 

3/25/47

 

Caa2

 

64,818

 

6,141

 

Countrywide Alternative Loan Trust, Securitization Pass-Through Certificates Series 2007-HY7C A1

 

0.321%

 

8/25/37

 

Ca

 

5,174,291

 

2,208

 

Countrywide Asset Backed Certificates Trust 2005-IM1

 

0.581%

 

11/25/35

 

BBB+

 

2,107,889

 

3,469

 

Countrywide Asset-Backed Certificates Trust, Series 2006-17

 

0.331%

 

3/25/47

 

CCC

 

2,909,399

 

2,345

 

Countrywide CHL Mortgage Pass-Through Trust 2006-HYB1

 

2.439%

 

3/20/36

 

Ca

 

2,103,705

 

1,367

 

Countrywide CHL Mortgage Pass-Through Trust Series 2005-HY10

 

2.932%

 

2/20/36

 

Caa3

 

1,150,355

 

4,876

 

Countrywide Home Loans Mortgage Pass-Through Certificates, Series 2005-HYB7

 

4.764%

 

11/20/35

 

Caa3

 

4,357,383

 

787

 

Countrywide Home Loans Mortgage Pass-Through Trust Certificates Series 2007-HY5

 

4.782%

 

9/25/37

 

D

 

722,545

 

6,012

 

Countrywide Home Loans Mortgage Pass- Through Trust, Series 2007-HY1 1A1

 

2.667%

 

4/25/37

 

D

 

5,382,262

 

4,386

 

Credit Suisse Adjustable Rate Mortgage Trust 2005-9

 

0.451%

 

11/25/35

 

B+

 

3,994,730

 

5,450

 

Credit Suisse Adjustable Rate Mortgage Trust 2006-3, Pass Through Certificates

 

0.301%

 

8/25/36

 

CCC

 

3,529,956

 

894

 

Credit Suisse Adjustable Rate Mortgage Trust 2007-2

 

0.391%

 

6/25/37

 

Caa3

 

699,512

 

3,607

 

Credit Suisse First Boston Mortgage Acceptance Corporation, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-12

 

2.870%

 

3/25/36

 

Caa3

 

2,795,169

 

1,179

 

Credit Suisse First Boston Mortgage Securities Corporation, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2006-2

 

3.109%

 

5/25/36

 

D

 

1,094,332

 

2,100

 

CSAIL Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2015-C1, 144A

 

3.945%

 

4/15/50

 

N/R

 

1,897,715

 

1,045

 

Fannie Mae Connecticut Avenue Securities , Series 2014-C02

 

2.781%

 

5/25/24

 

Aaa

 

954,921

 

320

 

Fannie Mae Connecticut Avenue Securities , Series 2014-C02

 

2.781%

 

5/25/24

 

Aaa

 

293,953

 

2,790

 

Fannie Mae Connecticut Avenue Securities, Series 2013-C01

 

5.431%

 

10/25/23

 

Aaa

 

3,049,838

 

3,350

 

Fannie Mae, Connecticut Avenue Securities Series 2014-C01

 

4.581%

 

1/25/24

 

Aaa

 

3,477,772

 

4,000

 

Fannie Mae, Connecticut Avenue Securities, Series 2014-C03

 

3.181%

 

7/25/24

 

Aaa

 

3,763,296

 

6,125

 

Fannie Mae, Connecticut Avenue Securities, Series 2015-C01

 

4.731%

 

2/25/25

 

Aaa

 

6,268,221

 

3,259

 

First Horizon Alternative Mortgage Securities Trust, Mortgage Pass-Through Certificates Series 2006-FA3

 

6.000%

 

7/25/36

 

Caa3

 

2,725,273

 

2,950

 

First Horizon Alternative Mortgage Securities Trust, Mortgage Pass-Through Certificates Series 2006-FA3

 

6.000%

 

7/25/36

 

Caa3

 

2,467,019

 

6,253

 

First Horizon Alternative Mortgage Securities Trust, Pass-Through Certificates, Series 2006-FA8

 

0.681%

 

2/25/37

 

Caa3

 

3,949,995

 

2,459

 

First Horizon Alternative Mortgage Securities Trust, Pass-Through Certificates Series 2005-A7

 

2.240%

 

9/25/35

 

Caa2

 

2,211,028

 

1,708

 

First Horizon Alternative Mortgage Securities Trust, Pass-Through Certificates, Series 2005-FA10

 

0.981%

 

1/25/36

 

Caa2

 

1,222,947

 

3,772

 

First Horizon Alternative Mortgage Securities Trust, Pass-Through Certificates, Series 2006-AA2

 

2.210%

 

5/25/36

 

Ca

 

3,007,097

 

228

 

First Horizon Mortgage Pass-Through Certificates Trust, Series 2007-AR1

 

2.702%

 

5/25/37

 

D

 

182,497

 

2,094

 

First Horizon Mortgage Pass-Through Trust, Mortgage Pass-Through Certificate Series 2007-AR2

 

2.599%

 

8/25/37

 

D

 

1,719,914

 

7,310

 

Freddie Mac Collateralized Mortgage REMIC Series 4338, (I/O)

 

2.569%

 

6/25/42

 

Aaa

 

1,339,090

 

3,850

 

Freddie Mac Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2013-K713, 144A

 

3.274%

 

4/25/46

 

Aaa

 

3,817,918

 

5,400

 

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K701, (I/O)

 

2.181%

 

7/25/48

 

Aaa

 

267,408

 

1,210

 

Freddie Mac Multifamily Mortgage Trust, Structured Pass-Through Certificates, Series 2012-K710, 144A

 

3.949%

 

6/25/47

 

Aaa

 

1,269,037

 

5,122

 

Freddie Mac Multifamily Mortgage Trust, Structured Pass-Through Certificates, Series 2013-K31, 144A

 

3.740%

 

7/25/46

 

AAA

 

5,108,852

 

1,491

 

Freddie Mac Multifamily Mortgage Trust, Structured Pass-Through Certificates, Series 2014-K38, 144A

 

4.790%

 

6/25/47

 

Aaa

 

1,586,848

 

1,150

 

Freddie Mac Multifamily Mortgage Trust, Structured Pass-Through Certificates, Series 2014-K715, 144A

 

4.265%

 

2/25/46

 

AAA

 

1,190,812

 

6,950

 

Freddie Mac Multifamily Structured Pass-Through Certificates K036, (I/O)

 

2.179%

 

12/25/41

 

Aaa

 

1,040,964

 

17,405

 

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K025, (I/O)

 

1.811%

 

11/25/40

 

Aaa

 

1,937,855

 

11,406

 

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K031, (I/O)

 

1.713%

 

7/25/41

 

Aaa

 

1,273,272

 

16,460

 

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K034, (I/O)

 

1.783%

 

9/25/41

 

Aaa

 

1,950,480

 

9,800

 

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K037, (I/O)

 

2.281%

 

1/25/24

 

Aaa

 

1,556,573

 

11,060

 

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K715, (I/O)

 

2.084%

 

2/25/41

 

Aaa

 

1,163,125

 

6,257

 

Freddie Mac Multifamily Structured Pass-Through Certificates Series KF01, (I/O)

 

2.035%

 

7/25/40

 

Aaa

 

758,622

 

1,630

 

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K013, (I/O)

 

2.902%

 

1/25/43

 

Aaa

 

231,202

 

13,675

 

Freddie Mac Multifamily Structures Pass- Through Certificates, Series 2011-K012, (I/O)

 

2.365%

 

1/25/41

 

Aaa

 

1,570,220

 

775

 

Freddie Mac Multifamily Trust, Structured Pass-Through Certificates, Series 2014-K37, 144A

 

4.713%

 

1/25/47

 

Aaa

 

821,708

 

15,800

 

Freddie Mac Structured Pass-Through Certificates, Series K711 X3, (I/O)

 

1.674%

 

8/25/40

 

Aaa

 

995,068

 

4,428

 

GMAC Mortgage Corporation, Mortgage Pass-Through Certificates, Series 2005-AR5

 

2.972%

 

9/19/35

 

CCC

 

4,021,605

 

4,075

 

GMACM Mortgage Corporation, Mortgage Pass-Through Certificates, Series 2005-AF2

 

6.000%

 

12/25/35

 

D

 

3,372,496

 

3,592

 

GMACM Mortgage Corporation, Mortgage Pass-Through Certificates, Series 2006-AR1

 

2.982%

 

4/19/36

 

Caa3

 

3,182,235

 

3,210

 

Goldman Sachs GSAA Home Equity Trust, Series 2006-4 4A2

 

0.411%

 

3/25/36

 

Caa3

 

2,905,808

 

6,298

 

Goldman Sachs GSAA Home Equity Trust, Series 2007-8

 

0.631%

 

8/25/37

 

CCC

 

5,548,452

 

418

 

Goldman Sachs Mortgage Securities Corporation, GSR Mortgage Loan Trust, Mortgage Pass-Through Certificates Series 2007-AR1

 

2.721%

 

3/25/47

 

D

 

358,801

 

7,346

 

Goldman Sachs Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series 2006-AR1 2A4

 

2.710%

 

1/25/36

 

D

 

6,696,618

 

1,698

 

Government National Mortgage Association Pool, (I/O)

 

4.500%

 

10/20/39

 

Aaa

 

232,899

 

2,550

 

Gramercy Park CLO Limited, Series 2012-1AR, 144A

 

3.224%

 

7/17/23

 

A

 

2,542,666

 

2,110

 

GSAA Home Equity Trust Series 2007-5

 

0.281%

 

3/25/47

 

CCC

 

1,094,410

 

2,832

 

GSAA Home Equity Trust Series 2007-5

 

5.788%

 

3/25/47

 

CCC

 

1,918,284

 

3,795

 

GSR Mortgage Loan Trust, Mortgage Pass- Through Certificates, Series 2006-AR2

 

2.593%

 

4/25/36

 

D

 

3,202,250

 

3,734

 

GSR Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series 2007-AR2

 

2.715%

 

5/25/37

 

D

 

3,064,343

 

5,221

 

HarborView Mortgage Loan Trust 2006-12

 

0.421%

 

12/19/36

 

Ca

 

3,693,479

 

6,892

 

HomeBanc Mortgage Trust, Mortgage Backed Notes 2005-5

 

0.441%

 

1/25/36

 

Caa1

 

5,915,222

 

5,000

 

HomeBanc Mortgage Trust, Mortgage Backed Notes 2006-2

 

0.361%

 

12/25/36

 

CCC

 

4,299,958

 

3,745

 

HSI Asset Securitization Corporation, Mortgage Pass-Through Certificates, Series 2006-HE1

 

0.291%

 

10/25/36

 

CCC

 

2,223,539

 

2,000

 

Impac Secured Assets Corporation 2004-3

 

1.081%

 

11/25/34

 

Baa1

 

1,734,900

 

1,620

 

IndyMac INDA Mortgage Loan Trust, Series 2006-AR1

 

4.766%

 

8/25/36

 

B2

 

1,579,864

 

3,040

 

IndyMac INDA Mortgage Loan Trust, Series 2007-AR3

 

5.237%

 

7/25/37

 

Caa2

 

2,719,049

 

654

 

IndyMac INDX Mortgage Loan Trust, Series 2005-AR23

 

2.401%

 

11/25/35

 

Caa3

 

557,164

 

2,938

 

IndyMac INDX Mortgage Loan Trust, Series 2006-AR15

 

0.301%

 

7/25/36

 

N/R

 

2,329,000

 

1,573

 

IndyMac INDX Mortgage Loan Trust, Series 2006-AR35

 

0.351%

 

1/25/37

 

Caa3

 

1,267,459

 

6,928

 

IndyMac INDX Mortgage Loan Trust, Series 2007-AR7 2A1

 

2.105%

 

6/25/37

 

Ca

 

5,243,445

 

1,653

 

J.P. Morgan Mortgage Trust, Mortgage Pass-Through Certificates, Series 2006-A4

 

2.593%

 

6/25/36

 

Caa2

 

1,423,786

 

3,300

 

JPMorgan Alternative Loan Trust, Mortgage Pass-Through Certificates 2006-S4

 

5.960%

 

12/25/36

 

CC

 

2,660,180

 

4,170

 

JPMorgan Chase Commercial Mortgage Securities Corporation, Commercial Mortgage Pass-Through Certificates, Series 2006-LDP8

 

5.480%

 

5/15/45

 

Baa1

 

4,358,009

 

1,103

 

JPMorgan Chase Commercial Mortgage Securities Corporation, Commercial Mortgage Pass-Through Certificates, Series 2006-S4 A5

 

6.000%

 

1/25/37

 

Caa3

 

998,045

 

4,961

 

JPMorgan Chase Commercial Mortgage Securities Corporation, Commercial Mortgage Pass-Through Certificates, Series 2006-S4 A8

 

0.561%

 

1/25/37

 

Caa3

 

3,236,971

 

5,000

 

JPMorgan Chase Commercial Mortgage Securities Trust, Pass-Through Certificates Series 2006-LDP9

 

5.337%

 

5/15/47

 

Ba1

 

5,015,100

 

2,300

 

JPMorgan Chase Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-CB17 AM

 

5.464%

 

12/12/43

 

Ba1

 

2,373,407

 

4,200

 

JPMorgan Mortgage Acquisition Corporation, Asset-Backed Pass-Through Certificates, Series 2007-CH5

 

0.441%

 

5/25/37

 

B3

 

3,441,564

 

3,826

 

JPMorgan Mortgage Acquisition Trust, Series 2006-A6

 

2.561%

 

10/25/36

 

Caa2

 

3,482,825

 

617

 

JPMorgan Mortgage Trust, Mortgage Pass-Through Certificates, Series 2007-A4

 

3.014%

 

6/25/37

 

D

 

558,541

 

2,500

 

LB UBS Commercial Mortgage Trust, Series 2006-C4

 

6.048%

 

6/15/38

 

Ba2

 

2,620,735

 

3,846

 

LSTAR Securities Investment Trust, Mortgage Pass-Through Certificates, Series 2014-2, 144A

 

2.180%

 

12/01/21

 

N/R

 

3,794,427

 

4,138

 

LSTAR Securities Investment Trust, Mortgage Pass-Through Certificates, Series 2015-2, 144A

 

2.180%

 

1/01/20

 

N/R

 

4,123,278

 

7,595

 

LSTAR Securities Investment Trust, Mortgage Pass-Through Certificates, Series 2015-3, 144A

 

2.180%

 

3/01/20

 

N/R

 

7,538,661

 

4,005

 

Merrill Lynch Mortgage Backed Securities Trust, Mortgage Loan Asset Backed Notes, Series 2007-2

 

2.670%

 

8/25/36

 

Caa2

 

3,689,548

 

6,169

 

Merrill Lynch Mortgage Backed Securities Trust, Mortgage Loan Asset Backed Notes, Series 2007-3

 

3.343%

 

6/25/37

 

D

 

5,177,067

 

4,465

 

Merrill Lynch Mortgage Investors Trust, Mortgage Loan Asset-Backed Certificates, 2005-A9

 

2.508%

 

12/25/35

 

CCC

 

4,286,275

 

3,800

 

Merrill Lynch Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C1 AM

 

6.029%

 

6/12/50

 

B-

 

3,960,246

 

3,900

 

ML_CFC Commercial Mortgage Trust, Pass-Through Certificates, Series 2007-8

 

6.077%

 

8/12/49

 

BB

 

3,979,431

 

7,660

 

Morgan Stanley Capital I Inc., Mortgage Pass-Through Certificates, Series 2006- HE1

 

0.471%

 

1/25/36

 

CCC

 

6,841,169

 

4,130

 

Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2006-HQ8

 

5.498%

 

3/12/44

 

BB

 

4,131,772

 

2,045

 

Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates 2006-TOP21, 144A

 

5.408%

 

10/12/52

 

Baa1

 

2,073,974

 

1,525

 

Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates 2006-TOP21, 144A

 

5.408%

 

10/12/52

 

Baa2

 

1,534,168

 

4,000

 

Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-IQ14

 

5.869%

 

4/15/49

 

Ba2

 

4,198,420

 

3,850

 

Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-TOP25

 

5.574%

 

11/12/49

 

B1

 

3,962,474

 

2,025

 

Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2008-T29, 144A

 

6.268%

 

1/11/43

 

BB

 

2,105,228

 

3,034

 

Morgan Stanley Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2006-3AR

 

2.763%

 

3/25/36

 

Caa3

 

2,484,047

 

5,201

 

Mortgage IT Trust, Mortgage-Backed Notes, Series 2005-5

 

0.441%

 

12/25/35

 

BB+

 

4,736,299

 

6,583

 

Mortgage-IT Trust 2005-4

 

0.461%

 

10/25/35

 

BB+

 

5,967,784

 

2,574

 

Opteum Mortgage Acceptance Corporation, Asset backed Pass-Through Certificates, Series 2006-1

 

0.481%

 

4/25/36

 

CCC

 

2,206,507

 

619

 

Popular Asset Backed Securities Mortgage Pass-Through Trust 2005-2 M1

 

4.826%

 

4/25/35

 

B1

 

611,360

 

4,377

 

Renaissance Home Equity Loan Trust 2005-3

 

4.934%

 

8/25/35

 

Ba3

 

4,398,296

 

4,798

 

Renaissance Home Equity Loan Trust Asset Backed Certificates, Series 2007-3

 

6.998%

 

9/25/37

 

CCC

 

3,180,083

 

3,939

 

Residential Accredit Loans Inc., Hybrid Adjustable Rate Mortgages, 2006-QA6

 

0.371%

 

7/25/36

 

Caa3

 

3,149,720

 

6,646

 

Residential Accredit Loans Inc., Mortgage Asset-Backed Pass-Through Certificates, Series 2005-QA10 A31

 

3.537%

 

9/25/35

 

Caa3

 

5,662,240

 

3,763

 

Residential Accredit Loans Inc., Mortgage Asset-Backed Pass-Through Certificates, Series 2006-QS1

 

5.750%

 

1/25/36

 

Caa3

 

3,316,499

 

2,283

 

Residential Accredit Loans Inc., RALI Mortgage Asset-Backed Pass-Through Certificates, Series 2007-QS2

 

6.250%

 

1/25/37

 

Caa3

 

1,875,299

 

1,948

 

Residential Accredit Loans Inc., RALI Mortgage Asset-Backed Pass-Through Certificates, Series 2005-QA6

 

3.138%

 

5/25/35

 

Ca

 

1,580,762

 

3,500

 

Residential Asset Mortgage Products Inc. Asset Backed Pass-Through Certificates, Series 2005-RS7

 

0.681%

 

7/25/35

 

Ba1

 

3,041,934

 

7,295

 

Residential Asset Mortgage Products, Mortgage Asset-Backed Pass-Through Certificates, Series 2006-NC2

 

0.471%

 

2/25/36

 

B2

 

6,267,463

 

2,718

 

Residential Funding Mortgage Securities I Inc., Mortgage Pass-Through Certificates Series 2007-SA3

 

3.805%

 

7/27/37

 

D

 

2,288,932

 

1,745

 

Residential Funding Mortgage Securities I Inc., Mortgage Pass-Through Certificates, Series 2006-SA3

 

3.602%

 

9/25/36

 

D

 

1,457,009

 

2,699

 

Residential Funding Mortgage Securities I, Mortgage Pass-Through Securities Series 2006-S1

 

5.750%

 

1/25/36

 

Caa3

 

2,189,601

 

2,903

 

Residential Funding Mortgage Securities I, Mortgage Pass-Through Securities Series 2006-S1

 

3.207%

 

2/25/36

 

Caa2

 

2,591,448

 

2,965

 

Residential Funding Mortgage Securities I, Mortgage Pass-Through Certificates, Series 2007-SA2

 

3.032%

 

4/25/37

 

Caa2

 

2,578,585

 

3,171

 

Residential Funding Mortgage Securities I, Mortgage Pass-Through Certificates, Series 2007-SA2

 

3.032%

 

4/25/37

 

Caa2

 

2,758,070

 

2,171

 

Residential Funding Mortgage Securities Inc. Mortgage Pass-Through Certificates Series 2006-SA2

 

3.671%

 

8/25/36

 

D

 

1,888,986

 

4,979

 

Sequoia Mortgage Trust, Mortgage Pass-Through Certificates, Series 2007-1

 

2.435%

 

2/20/47

 

CCC

 

4,269,938

 

452

 

Sierra Receivables Funding Company, Series 2011-1A, 144A

 

6.190%

 

4/20/26

 

BB

 

469,766

 

953

 

Soundview Home Equity Loan Trust 2004-WMC1 M1

 

0.931%

 

1/25/35

 

B1

 

850,435

 

5,308

 

Structured Adjustable Rate Mortgage Loan Pass-Through Trust, Series 2007-6 2A1

 

0.371%

 

7/25/37

 

CCC

 

3,855,923

 

250

 

Structured Agency Credit Risk Debt Notes 2014-DN2

 

3.781%

 

4/25/24

 

N/R

 

244,210

 

11,975

 

Structured Agency Credit Risk Debt Notes, 2013-DN2

 

4.431%

 

11/25/23

 

N/R

 

12,309,019

 

3,083

 

SunTrust Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificate Series 2007-2

 

2.712%

 

4/25/37

 

D

 

2,598,678

 

1,694

 

SunTrust Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificate Series 2007-4

 

2.971%

 

10/25/37

 

Caa1

 

1,555,049

 

646

 

SunTrust Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificate Series 2007-4

 

2.863%

 

10/25/37

 

Caa1

 

574,235

 

4,561

 

SunTrust Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2007-1

 

2.611%

 

2/25/37

 

D

 

3,916,493

 

2,315

 

Voya CLO Limited, Series 2012-3AR, 144A, WI/DD, (3)

 

4.215%

 

10/15/22

 

BBB

 

2,315,000

 

3,820

 

Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-C17, 144A

 

5.661%

 

3/15/42

 

BB-

 

3,812,272

 

4,200

 

Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C30

 

5.413%

 

12/15/43

 

B3

 

4,297,503

 

1,366

 

Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C31

 

5.861%

 

4/15/47

 

CCC

 

1,345,903

 

3,650

 

Wachovia Bank Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C31

 

5.660%

 

4/15/47

 

B1

 

3,803,873

 

3,825

 

Wachovia Commercial Mortgage Trust, Pass-Through Certificates, Series 2005-C21, 144A

 

5.430%

 

10/15/44

 

BB

 

3,786,532

 

1,859

 

Washington Mutual Mortgage Pass-Through Certificates Trust 2006-AR14

 

1.960%

 

11/25/36

 

D

 

1,641,844

 

3,656

 

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR17

 

0.948%

 

12/25/46

 

CCC

 

2,935,250

 

2,732

 

Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR

 

1.780%

 

1/25/37

 

D

 

2,317,432

 

1,642

 

Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY6

 

2.129%

 

6/25/37

 

D

 

1,439,993

 

2,505

 

Washington Mutual Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series 2006-5

 

6.000%

 

7/25/36

 

Ca

 

1,900,741

 

5,638

 

Washington Mutual Mortgage Securities Corporation, Pass-Through Certificates, Series 2006-AR

 

2.014%

 

12/25/36

 

D

 

4,749,064

 

4,193

 

Washington Mutual Mortgage Securities Corporation, Pass-Through Certificates, Series 2006-AR

 

2.012%

 

12/25/36

 

D

 

3,652,969

 

3,068

 

Washington Mutual Mortgage Securities Corporation. Mortgage Pass-Through Certificates, Series 2006-AR7

 

1.117%

 

7/25/46

 

CCC

 

2,554,677

 

3,693

 

Wells Fargo Alternative Loan Trust, Mortgage Asset Backed Pass-Through Certificates, Series 2007-PA2

 

6.000%

 

6/25/37

 

D

 

3,599,340

 

1,354

 

Wells Fargo Alternative Loan Trust, Mortgage Asset-Backed Pass-Through Certificates, Series 2007-PA1

 

6.000%

 

3/25/37

 

Caa3

 

1,157,196

 

3,168

 

Wells Fargo Alternative Loan Trust, Mortgage Asset-Backed Pass-Through Certificates Series 2007-PA6

 

2.569%

 

12/28/37

 

D

 

2,724,075

 

481

 

Wells fargo Mortgage Backed Securities Trust 2006-AR17, Mortgage Pass-Through Certificates

 

2.611%

 

10/25/36

 

D

 

442,085

 

845

 

Wells Fargo Mortgage Backed Securities Trust, Mortgage Pass-Through Certificate Series 2006-AR14

 

2.617%

 

10/25/36

 

Caa2

 

782,838

 

285

 

Wells Fargo Mortgage Backed Securities Trust, Mortgage Pass-Through Certificates Series 2006-AR16

 

2.489%

 

10/25/36

 

Caa2

 

265,327

 

2,746

 

Wells Fargo Mortgage Backed Securities Trust, Mortgage Pass-Through Certificates, Series 2007-AR8

 

2.612%

 

11/25/37

 

Caa2

 

2,404,734

 

6,228

 

Wells Fargo Mortgage Backed Securities, Collateralized Mortgage Obligation, Series 2007-AR7 A1

 

2.574%

 

12/28/37

 

Caa3

 

5,729,258

 

3,964

 

Wells Fargo Mortgage Securities Trust, Mortgage Pass-Through Certificates, Series 2006-AR10

 

2.610%

 

7/25/36

 

D

 

3,734,400

 

256

 

Wells Fargo Mortgage Securities Trust, Mortgage Pass-Through Certificates, Series 2006-AR12

 

2.624%

 

9/25/36

 

Caa1

 

236,840

 

564

 

Wells Fargo Mortgage Securities Trust, Mortgage Pass-Through Certificates, Series 2006-AR12

 

2.495%

 

9/25/36

 

Caa2

 

523,508

 

1,828

 

Wells Fargo Mortgage Securities Trust, Mortgage Pass-Through Certificates, Series 2006-AR8

 

2.599%

 

4/25/36

 

CC

 

1,765,460

 

2,430

 

Wells Fargo-RBS Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2014-C20, 144A

 

3.986%

 

5/15/47

 

N/R

 

2,200,963

 

$      734,388

 

Total Mortgage-Backed Securities (cost $522,394,415)

 

 

 

 

 

 

 

549,298,894

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon

 

Maturity

 

Ratings (2)

 

Value

 

 

 

ASSET-BACKED SECURITIES – 0.5% (0.4% of Total Investments)

 

 

 

 

Wireless Telecommunication Services – 0.5%

 

 

 

 

 

 

 

 

 

$          2,065

 

GTP Acquisition Partners I LLC, 144A

 

4.704%

 

5/15/18

 

Ba3

 

$      2,112,889

 

$          2,065

 

Total Asset-Backed Securities (cost $2,065,000)

 

 

 

 

 

 

 

2,112,889

 

 

 

Total Long-Term Investments (cost $524,459,415)

 

 

 

 

 

 

 

551,411,783

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon

 

Maturity

 

 

 

Value

 

 

 

SHORT-TERM INVESTMENTS – 3.0% (2.2% of Total Investments)

 

 

 

 

 

 

 

$        12,258

 

Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/15, repurchase price $12,257,504, collateralized by $12,025,000 U.S. Treasury Notes, 2.375%, due 8/15/24, value $12,506,000

 

0.000%

 

4/01/15

 

 

 

$    12,257,504

 

 

 

Total Short-Term Investments (cost $12,257,504)

 

 

 

 

 

 

 

12,257,504

 

 

 

Total Investments (cost $536,716,919) – 135.9%

 

 

 

 

 

 

 

563,669,287

 

 

 

Borrowings – (35.5)% (4), (5)

 

 

 

 

 

 

 

(147,200,000

)

 

 

Other Assets Less Liabilities – (0.4)%

 

 

 

 

 

 

 

(1,673,963

)

 

 

Net Assets – 100%

 

 

 

 

 

 

 

$  414,795,324

 

 


 

Investments in Derivatives as of March 31, 2015

 

Futures Contracts outstanding:

 

 

 

 

 

 

 

 

 

 

 

Variation

 

 

 

 

 

 

 

 

 

 

 

Notional

 

Margin

 

Unrealized

 

 

 

Contract

 

Number of

 

Contract

 

Amount at

 

Receivable/

 

Appreciation

 

Description

 

Position

 

Contracts

 

Expiration

 

Value

 

(Payable)

 

(Depreciation)

 

U.S. 5-Year Treasury Note

 

Short

 

(34)

 

6/15

 

$ (4,087,172)

 

$   (6,906)

 

$         (27,397

)

U.S. 10-Year Treasury Note

 

Short

 

(25)

 

6/15

 

(3,222,656)

 

(7,813)

 

(24,853

)

 

 

 

 

 

 

 

 

$ (7,309,828)

 

$ (14,719)

 

$         (52,250

)

 

 

 

Fair Value Measurements

 

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, prepayment speeds, credit risk, 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

 

$           –

 

$     546,983,894

 

$          2,315,000

 

$ 549,298,894

 

 

 

Asset-Backed Securities

 

–

 

2,112,889

 

–

 

2,112,889

 

 

 

Short-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

Repurchase Agreements

 

–

 

12,257,504

 

–

 

12,257,504

 

 

 

Investments in Derivatives:

 

 

 

 

 

 

 

 

 

 

 

Futures Contracts*

 

(52,250

)

–

 

–

 

(52,250

)

 

 

Total

 

$ (52,250

)

$     561,354,287

 

$          2,315,000

 

$ 563,617,037

 

 

 

* Represents net unrealized appreciation (depreciation).

 

 

 

 

 

 

 

 

 

 

Income Tax Information

 

 

 

 

 

 

 

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to recognition of market discount accretion on investments, recognition of unrealized gain or loss for tax (mark-to-market) on futures contracts and timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.

 

As of March 31, 2015, the cost of investments (excluding investments in derivatives) was $516,196,126.

 

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) as of March 31, 2015, were as follows:

 

 

 

 

 

 

 

 

Gross unrealized:

 

 

 

 

 

Appreciation

 

$       52,269,189

 

 

 

Depreciation

 

 

(4,796,028

)

 

 

 

Net unrealized appreciation (depreciation) of investments

 

 

$       47,473,161

 

 

 

 

 

 

 

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.

 

 

 

 

 

 

 

 

(2)

Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. 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)

Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3.

 

 

 

 

 

 

 

 

(4)

Borrowings as a percentage of Total Investments is 26.1%.

 

 

 

 

 

 

 

 

(5)

The Fund segregates 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.

 

 

 

 

 

 

 

 

I/O

Interest only security.

 

 

 

 

 

 

 

 

WI/DD

Investment, or portion of investment, purchased on a when-issued or delayed delivery basis.

 

 

 

 

 

 

 

 

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.

 

 


 

Item 2. Controls and Procedures.

a.                The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

b.                There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.

 


 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)

Nuveen Mortgage Opportunity Term Fund

 

 

 

 

 

 

 

By (Signature and Title)

/s/ Kevin J. McCarthy

 

 

Kevin J. McCarthy

 

 

Vice President and Secretary

 

 

 

Date: May 29, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

 

By (Signature and Title)

/s/ Gifford R. Zimmerman

 

 

Gifford R. Zimmerman

 

 

Chief Administrative Officer (principal executive officer)

 

 

 

Date: May 29, 2015

 

 

By (Signature and Title)

/s/ Stephen D. Foy

 

 

Stephen D. Foy

 

 

Vice President and Controller (principal financial officer)

 

 

 

Date: May 29, 2015