Nuveen Mortgage Opportunity Term Fund 2

 

 

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 811-22374

Nuveen Mortgage Opportunity Term Fund 2

(Exact name of registrant as specified in charter)

    333 West Wacker Drive, Chicago, Illinois 60606    

(Address of principal executive offices) (Zip code)

Gifford R. Zimmerman—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:       December 31      

Date of reporting period:  September 30, 2016  

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

 

 

JMT

 

Nuveen Mortgage Opportunity Term Fund 2

Portfolio of Investments

    September 30, 2016 (Unaudited)

 

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

LONG-TERM INVESTMENTS – 128.9% (92.3% of Total Investments)

  

 

MORTGAGE-BACKED SECURITIES – 128.9% (92.3% of Total Investments)

  

      Residential – 128.9%                           
$ 595     

AmeriCredit Automobile Receivables Trust 2014-1

     2.540%         6/08/20         A–      $ 602,700   
  430     

Angel Oak Mortgage Trust, Series 2016-1, 144A

     3.500%         7/25/46         N/R        429,815   
  2,000     

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

     1.015%         10/25/35         B1        1,687,463   
  770     

Atlas Senior Loan Fund Ltd, Series 2012 -2A, 144A

     4.725%         1/30/24         BBB        770,000   
  785     

Babson CLO Limited, Series 2012-2A, 144A

     4.417%         5/15/23         BBB        783,146   
  620     

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

     6.000%         7/25/46         Caa3        540,416   
  973     

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

     0.822%         7/20/36         Baa1        915,807   
  925     

Banc of America Merrill Lynch Large Loan Inc., Commercial Mortgage Pass-Through Certificates, Series 2015-200P, 144A

     3.716%         4/14/33         BB–        841,888   
  665     

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

     6.000%         3/25/37         Caa3        601,751   
  600     

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

     5.784%         9/10/45         Baa3        599,094   
  198     

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

     2.974%         5/20/36         Caa2        187,378   
  1,749     

Bank of America Funding Trust, 2007-A 2A1

     0.692%         2/20/47         CCC        1,505,371   
  975     

BB UBS Trust, Series 2012-SHOW, 144A

     4.160%         11/05/36         Baa1        963,104   
  2,109     

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

     0.695%         1/25/37         Caa3        1,694,842   
  1,677     

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

     0.705%         3/25/37         Caa3        1,561,160   
  687     

Bear Stearns Adjustable Rate Mortgage Trust 2005-3

     3.154%         6/25/35         Caa2        643,221   
  1,456     

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

     2.928%         10/25/36         D        1,254,968   
  359     

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

     2.973%         2/25/36         Caa3        300,046   
  1,380     

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

     2.880%         2/25/36         Caa3        1,245,350   
  660     

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

     2.944%         2/25/47         D        546,202   
  1,444     

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

     2.931%         8/25/46         Ca        1,100,725   
  2,000     

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

     1.005%         10/25/35         BB–        1,835,755   
  1,534     

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

     0.675%         6/25/37         Caa1        1,415,240   
  575     

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

     4.774%         12/15/27         BB–        569,989   
  1,439     

Chaseflex Trust Series 2007-2

     0.805%         5/25/37         CCC        1,279,208   
  275     

CIFC Funding Limited, Series 2012-2A, 144A

     4.485%         12/05/24         BBB        274,996   
  625     

CIFC Funding Limited, Series 2014-3A, 144A

     4.102%         7/22/26         Baa3        585,678   
  210     

Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2015-GC29, 144A

     3.110%         4/10/48         BBB–        146,479   
  131     

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

     2.963%         3/25/36         Caa3        119,184   
  179     

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

     3.135%         8/25/35         Caa2        167,278   
  2,049     

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

     0.745%         1/25/37         CCC        1,454,152   
  396     

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

     3.126%         7/25/37         Caa3        373,484   
  235     

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

     3.070%         11/25/36         D        197,504   
  190     

Commercial Mortgage Pass-Through Certificates 2012-CR3, 144A

     4.929%         10/15/45         A–        195,374   

 

NUVEEN     1   

JMT    Nuveen Mortgage Opportunity Term Fund 2
   Portfolio of Investments (continued)    September 30, 2016 (Unaudited)

 

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
      Residential (continued)                           
$ 1,180     

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

     4.724%         10/15/45         BBB      $ 1,154,304   
  350     

Core Industrial Trust, Series 2015-CALW, 144A

     3.979%         2/10/34         B        329,391   
  588     

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

     2.800%         11/25/35         Caa3        426,442   
  1,252     

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

     5.750%         5/25/36         Ca        939,542   
  1,327     

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

     6.000%         8/25/37         D        1,050,685   
  508     

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

     6.000%         4/25/37         Ca        360,777   
  1,454     

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

     0.665%         8/25/37         Caa2        1,136,271   
  1,547     

Countrywide CHL Mortgage Pass-Through Trust 2006-HYB1

     2.818%         3/20/36         Caa3        1,233,396   
  1,193     

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

     2.697%         11/20/35         Caa3        995,546   
  1,568     

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

     3.030%         4/25/37         D        1,418,146   
  1,140     

Countrywide Home Loans, Mortgage Pass-Through Trust Series 2007-HY04

     3.026%         9/25/47         D        1,009,370   
  1,077     

Credit Suisse Adjustable Rate Mortgage Trust 2005-9

     0.795%         11/25/35         BBB+        994,675   
  219     

Credit Suisse Adjustable Rate Mortgage Trust 2007-2

     0.735%         6/25/37         Caa2        203,544   
  449     

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

     3.477%         3/25/36         Caa3        345,225   
  267     

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

     3.254%         5/25/36         D        246,771   
  620     

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

     3.943%         4/15/50         BBB–        516,017   
  1,400     

CSAIL Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2015-C3

     3.506%         8/15/48         BBB–        1,048,949   
  545     

Dryden Senior Loan Fund, Series 2014-36A, 144A

     4.382%         11/09/25         BBB        531,192   
  1,200     

Fannie Mae Connecticut Avenue Securities , Series 2014-C04

     5.425%         11/25/24         N/R        1,296,974   
  977     

Fannie Mae, Connecticut Ave Securities, Series 2015-C04

     6.225%         4/25/28         N/R        1,062,883   
  248     

Fannie Mae, Connecticut Avenue Securities, Series 2016-C04

     1.975%         1/25/29         Baa3        249,213   
  1,135     

Fannie Mae, Connecticut Avenue Securities, Series 2015-C01

     4.825%         2/25/25         B+        1,189,545   
  1,575     

Fannie Mae, Connecticut Avenue Securities, Series 2015-C02

     4.525%         5/25/25         N/R        1,638,115   
  875     

Fannie Mae, Connecticut Avenue Securities, Series 2015-C03

     5.525%         7/25/25         N/R        933,876   
  385     

Fannie Mae, Connecticut Avenue Securities, Series 2015-C03

     5.525%         7/25/25         N/R        412,942   
  540     

Fannie Mae, Connecticut Avenue Securities, Series 2016-C05

     11.244%         1/25/29         N/R        596,070   
  815     

Fannie Mae, Connecticut Avenue Securities, Series 2016-C05

     4.975%         1/25/29         B        841,958   
  636     

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

     6.000%         7/25/36         Ca        519,608   
  1,302     

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

     2.823%         9/25/35         Caa2        1,145,562   
  871     

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

     2.676%         5/25/36         Ca        699,309   
  112     

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

     2.969%         8/25/37         D        88,887   
  2,180     

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

     2.490%         6/25/42         Aaa        321,042   
  535     

Freddie Mac Mortgage Trust, Multifamily Mortgage-Pass-Through Certificates, Series K720, 144A

     3.506%         7/25/22         Baa2        527,203   
  1,175     

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, 144A

     4.084%         8/25/47         Baa3        1,189,446   
  510     

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2014-K50, 144A

     3.080%         10/25/47         Baa3        497,356   
  600     

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

     4.268%         2/25/46         Baa2        604,597   
  935     

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2015-K44, 144A

     3.811%         1/25/48         BBB–        817,388   
  360     

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2015-K45, 144A

     3.714%         4/25/48         BBB+        356,347   
  550     

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2016-K54, 144A

     4.189%         2/25/26         BBB+        557,807   

 

  2      NUVEEN

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
      Residential (continued)                           
$ 290     

Freddie Mac MultiFamily Mortgage Trust, Structured Pass-Through Certificates, Series 2016-K54, 144A

     3.835%         7/25/49         A–      $ 290,386   
  5,375     

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

     1.811%         11/25/40         Aaa        476,468   
  3,521     

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

     1.713%         7/25/41         Aaa        320,617   
  5,015     

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

     1.783%         9/25/41         Aaa        475,059   
  2,775     

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

     2.281%         1/25/42         Aaa        354,092   
  3,305     

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

     2.085%         2/25/41         Aaa        253,347   
  1,912     

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

     2.035%         7/25/40         Aaa        183,709   
  1,300     

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

     2.909%         1/25/43         Aaa        138,825   
  4,579     

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

     2.329%         1/25/41         Aaa        398,784   
  225     

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

     4.713%         1/25/47         A–        230,315   
  1,290     

Freddie Mac MultiFamily, Structured Pass-Through Certificates, Series 2015-K46, 144A

     3.695%         4/25/48         BBB–        1,115,704   
  4,885     

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

     1.675%         8/25/40         Aaa        220,307   
  1,450     

General Electric Capital Commercial Mortgage Corporation, Commercial Mortgage Pass-Through Certificates, Series 2007-C1

     5.606%         12/10/49         Ba3        1,435,380   
  918     

Ginnie Mae Mortgage Pool, (I/O)

     4.000%         9/16/26         Aaa        105,916   
  4,824     

Ginnie Mae Mortgage Pool, (I/O)

     3.000%         12/16/27         Aaa        445,367   
  942     

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

     6.000%         12/25/35         D        823,463   
  815     

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

     3.404%         4/19/36         Caa3        724,012   
  211     

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

     0.755%         3/25/36         Caa3        207,267   
  1,555     

Goldman Sachs GSAA Home Equity Trust, Series 2007-8

     0.975%         8/25/37         B3        1,436,182   
  338     

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

     2.993%         3/25/47         D        278,909   
  1,080     

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

     2.952%         1/25/36         D        997,645   
  1,130     

Goldman Sachs Mortgage Securities Trust, Mortgage Pass-Through Certificates, Series 2014-GC20, 144A

     5.029%         4/10/47         BBB–        803,279   
  525     

Goldman Sachs Mortgage Securities Trust, Series 2014-GC18

     5.110%         1/10/47         A3        551,289   
  488     

Government National Mortgage Association Pool, (I/O)

     4.500%         10/20/39         Aaa        44,661   
  290     

Green Tree Agency Funding Trust, Manufactured Housing Contract Pass-Through Certificates, Series 2016-T1, 144A

     2.380%         10/15/48         AAA        290,011   
  320     

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

     3.191%         5/25/37         D        261,040   
  1,267     

HarborView Mortgage Loan Trust 2006-12

     0.771%         12/19/36         Ca        941,845   
  1,200     

Hilton USA Trust, Commercial Mortgage Pass-Through Certificates, Series 2013-HLT, 144A

     5.609%         11/05/30         Ba1        1,201,841   
  1,642     

HomeBanc Mortgage Trust, Mortgage Backed Notes 2005-5

     0.785%         1/25/36         Caa1        1,418,243   
  1,136     

HomeBanc Mortgage Trust, Mortgage Backed Notes 2006-2

     0.705%         12/25/36         B3        1,002,617   
  630     

IndyMac INDA Mortgage Loan Trust, Series 2007-AR3

     4.660%         7/25/37         Caa2        539,533   
  160     

IndyMac INDX Mortgage Loan Trust 2006 AR25

     3.313%         9/25/36         Ca        118,537   
  1,005     

IndyMac INDX Mortgage Loan Trust, Series 07-AR5

     3.139%         5/25/37         Ca        801,317   
  1,155     

IndyMac INDX Mortgage Loan Trust, Series 2005-AR11

     2.958%         8/25/35         Caa3        952,905   
  1,579     

IndyMac INDX Mortgage Loan Trust, Series 2005-AR23

     2.868%         11/25/35         Caa3        1,335,684   
  222     

IndyMac INDX Mortgage Loan Trust, Series 2006-AR11

     3.358%         6/25/36         Ca        180,966   
  457     

IndyMac INDX Mortgage Loan Trust, Series 2006-AR15

     0.735%         7/25/36         Caa3        382,590   
  754     

IndyMac INDX Mortgage Loan Trust, Series 2006-AR15

     0.645%         7/25/36         Caa3        625,767   
  612     

IndyMac INDX Mortgage Loan Trust, Series 2006-AR3

     2.902%         3/25/36         Ca        479,359   
  406     

IndyMac INDX Mortgage Loan Trust, Series 2006-AR35

     0.695%         1/25/37         Caa3        331,995   
  727     

IndyMac INDX Mortgage Loan Trust, Series 2006-AR39

     0.705%         2/25/37         Caa3        629,904   
  1,892     

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

     2.648%         6/25/37         Ca        1,437,244   
  387     

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

     3.162%         6/25/36         Caa2        332,129   

 

NUVEEN     3   

JMT    Nuveen Mortgage Opportunity Term Fund 2
   Portfolio of Investments (continued)    September 30, 2016 (Unaudited)

 

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
      Residential (continued)                           
$ 944     

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

     5.960%         12/25/36         Ca      $ 824,529   
  115     

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

     5.480%         5/15/45         Aa3        115,131   
  257     

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

     6.000%         1/25/37         Caa3        211,653   
  990     

JPMorgan Chase Commercial Mortgage Securities Corporation, Commercial Mortgage Pass-Through Certificates, Series 2011-C5, 144A

     5.562%         8/15/46         Baa3        1,022,376   
  1,300     

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

     5.337%         5/15/47         Ba1        1,291,646   
  810     

JPMorgan Chase Commercial Mortgage Security Corporation Trust, Series 2015- JP1

     4.901%         1/15/49         A–        863,048   
  700     

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

     5.464%         12/12/43         Ba2        700,946   
  1,250     

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

     0.785%         5/25/37         B1        1,031,698   
  920     

JPMorgan Mortgage Acquisition Trust, Series 2006-A6

     3.059%         10/25/36         Caa2        809,396   
  20     

LB UBS Commercial Mortgage Trust, Series 2006-C4

     6.080%         6/15/38         A2        20,183   
  905     

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

     2.523%         12/01/21         N/R        904,539   
  1,267     

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

     2.523%         1/01/20         N/R        1,255,867   
  1,809     

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

     2.523%         3/01/20         N/R        1,779,763   
  899     

LSTAR Securities Investment Trust, Mortgage Pass-Through Certificates, Series 2015-4, 144A

     2.494%         4/01/20         N/R        887,364   
  225     

LSTAR Securities Investment Trust, Mortgage Pass-Through Certificates, Series 2016-3, 144A, (3)

     2.528%         9/01/21         N/R        221,693   
  550     

Magnetite CLO Limited, Series 2012-7A, 144A, (WI/DD), (3)

     4.590%         1/15/25         BBB        550,000   
  360     

Marine Park CLO Limited, Series 2012-1A, 144A

     4.351%         5/18/23         BBB        359,105   
  1,233     

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

     3.010%         8/25/36         Caa2        1,130,872   
  1,483     

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

     3.161%         6/25/37         D        1,236,493   
  1,100     

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

     6.069%         8/12/49         BB        1,097,267   
  575     

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, 144A

     4.992%         2/15/47         BBB–        512,534   
  2,030     

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

     0.815%         1/25/36         B1        1,898,376   
  1,230     

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

     5.591%         3/12/44         Ba1        1,226,404   
  625     

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

     5.403%         10/12/52         Baa1        590,630   
  440     

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

     5.403%         10/12/52         Ba1        397,506   
  1,200     

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

     5.865%         4/15/49         Ba2        1,160,690   
  1,150     

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

     5.574%         11/12/49         B1        1,140,890   
  600     

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

     6.477%         1/11/43         BB        595,581   
  192     

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

     3.208%         3/25/36         Caa3        154,822   
  1,433     

Morgan Stanley Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2007-13

     6.000%         10/25/37         D        1,245,555   
  684     

Mortgage Asset Securitization Transactions Inc., Adjustable Rate Mortgage Pass-Through Certificates, Series 2007-HF2

     0.835%         9/25/37         B1        617,634   
  537     

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

     0.785%         12/25/35         BB+        480,321   
  215     

New Residential Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2016-3A, 144A, (3)

     3.250%         9/25/56         Aaa        221,351   
  676     

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

     0.825%         4/25/36         CCC        588,821   

 

  4      NUVEEN

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
      Residential (continued)                           
$ 1,030     

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

     0.715%         7/25/36         Caa3      $ 848,069   
  643     

Residential Accredit Loans Inc., Mortgage Asset-Backed Pass-Through Certificates, Series 2006-QA3

     0.825%         4/25/36         Ca        462,582   
  1,572     

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

     3.950%         9/25/35         Caa3        1,328,293   
  875     

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

     5.750%         1/25/36         Caa3        791,868   
  573     

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

     6.250%         1/25/37         Caa3        460,654   
  828     

Residential Accredit Loans Inc., RALI Mortgage Asset-Backed Pass-Through Certificates, Series 2006-QA1

     4.066%         1/25/36         Caa3        661,876   
  950     

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

     1.025%         7/25/35         A        892,368   
  2,255     

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

     0.815%         2/25/36         Ba1        2,015,386   
  293     

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

     3.470%         4/25/37         Caa2        249,002   
  1,265     

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

     3.470%         4/25/37         Caa2        1,074,196   
  1,100     

Santander Drive Auto Receivables Trust, Series 2015-5

     3.650%         12/15/21         BBB        1,136,310   
  235     

Seneca Park CLO Limited, Asset Backed Securities, Series 2014-1A, 144A

     4.179%         7/17/26         Baa3        227,161   
  1,254     

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

     2.873%         2/20/47         C        1,070,393   
  1,316     

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

     0.715%         7/25/37         CCC        1,012,019   
  1,188     

Structured Agency Credit Risk Debt Notes 2014-DN2

     2.175%         4/25/24         BBB+        1,198,197   
  679     

Structured Agency Credit Risk Debt Notes, Series 2015-DNA1

     9.725%         10/25/27         N/R        786,194   
  945     

Structured Agency Credit Risk Debt Notes, Series 2015-DNA3

     9.875%         4/25/28         N/R        995,860   
  900     

Structured Agency Credit Risk Debt Notes, Series 2015-HQ2

     2.475%         5/25/25         A3        921,863   
  545     

Structured Agency Credit Risk Notes, Series 2015-HQA1

     9.325%         3/25/28         N/R        544,748   
  500     

Structured Agency Credit Risk Notes, Series 2015-HQA1

     5.225%         3/25/28         B+        532,894   
  725     

Structured Agency Credit Risk Notes, Series 2015-HQA2

     11.025%         5/25/28         N/R        806,830   
  950     

Structured Agency Credit Risk Notes, Series 2015-HQA2

     5.325%         5/25/28         B        1,016,498   
  1,425     

Structured Agency Credit Risk Notes, Series 2016-DNA1

     3.425%         7/25/28         Baa3        1,472,354   
  850     

Structured Agency Credit Risk Notes, Series 2016-DNA2

     5.175%         10/25/28         B1        894,085   
  1,475     

Structured Agency Credit Risk Notes, Series 2016-DNA3

     2.525%         12/25/28         BBB–        1,499,708   
  530     

Structured Agency Credit Risk Notes, Series 2016-DNA4

     9.124%         3/25/29         N/R        532,097   
  585     

Structured Agency Credit Risk Notes, Series 2016-DNA4

     1.824%         3/25/29         BBB–        585,210   
  1,100     

Structured Agency Credit Risk Notes, Series 2016-HQA1

     6.875%         9/25/28         B        1,239,756   
  1,125     

Structured Agency Credit Risk Notes, Series 2016-HQA2

     5.675%         11/25/28         B1        1,204,152   
  2,290     

Structured Agency Credit Risk Notes, Series 2016-HQA2

     2.775%         11/25/28         Baa3        2,348,041   
  596     

Structured Agency Credit Risk Notes, Series 2016-HQA3

     1.874%         3/25/29         BBB–        596,735   
  610     

Structured Agency Credit Risk Notes, Series 2016-HQA3

     4.374%         3/25/29         B+        613,933   
  1,584     

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

     2.916%         2/25/37         D        1,365,263   
  685     

Voya CLO Limited, Series 2012-3AR, 144A

     4.630%         10/15/22         BBB        670,201   
  1,300     

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

     5.413%         12/15/43         B1        1,302,187   
  455     

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

     5.839%         4/15/47         B3        437,293   
  1,100     

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

     5.660%         4/15/47         Ba2        1,101,133   
  1,175     

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

     5.464%         10/15/44         B+        1,148,383   
  455     

Washington Mutual Mortgage Pass-Through Certificates Trust 2006-AR14

     2.237%         11/25/36         D        402,809   
  385     

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

     2.026%         1/25/37         D        325,898   
  890     

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

     1.309%         12/25/46         Caa3        688,981   
  352     

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

     2.533%         6/25/37         D        316,185   

 

NUVEEN     5   

JMT    Nuveen Mortgage Opportunity Term Fund 2
   Portfolio of Investments (continued)    September 30, 2016 (Unaudited)

 

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
      Residential (continued)                           
$ 431     

Washington Mutual Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series 2007-HY1

     0.685%         2/25/37         Caa3      $ 325,291   
  1,299     

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

     2.251%         12/25/36         D        1,119,269   
  736     

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

     1.487%         7/25/46         Caa3        594,726   
  1,277     

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

     6.000%         3/25/37         Caa3        1,074,474   
  755     

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

     3.081%         12/28/37         D        657,610   
  880     

Wells Fargo Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2015-NXS1

     4.241%         5/15/48         BBB–        721,254   
  850     

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

     3.019%         11/25/37         Caa2        754,031   
  690     

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

     2.944%         12/28/37         Caa3        631,575   
  730     

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

     3.986%         5/15/47         N/R        553,302   
$ 205,644     

Total Long-Term Investments (cost $149,867,215)

                                153,803,530   
Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
 

SHORT-TERM INVESTMENTS – 10.7% (7.7% of Total Investments)

  

      REPURCHASE AGREEMENTS – 3.1% (2.2% of Total Investments)  
$ 3,682     

Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/16, repurchase price $3,682,294,
collateralized by $3,320,000 U.S. Treasury Bonds,
2.875%, due 8/15/45, value $3,759,900

     0.030%         10/03/16         N/A       $ 3,682,285   
      U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 7.6% (5.5% of Total Investments)  
  9,125     

U.S. Treasury Bills

     0.000%         10/20/16         AAA         9,124,243   
$ 12,807     

Total Short-Term Investments (cost $12,806,827)

                                12,806,528   
 

Total Investments (cost $162,674,042) – 139.6%

                                166,610,058   
 

Borrowings – (38.7)% (4), (5)

                                (46,200,000 ) 
 

Other Assets Less Liabilities – (0.9)%

                                (1,032,129 ) 
 

Net Assets – 100%

                              $ 119,377,929   

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).

 

  6      NUVEEN

The inputs or methodologies used for valuing securities are not an indication of the risk 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

    $ —       $ 152,810,486       $ 993,044       $ 153,803,530   

Short-Term Investments:

            

Repurchase Agreements

      —         3,682,285         —         3,682,285   

U.S. Government and Agency Obligations

      —         9,124,243         —         9,124,243   

Total

    $ —       $ 165,617,014       $ 993,044       $ 166,610,058   

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 September 30, 2016, the cost of investments was $158,043,834.

Gross unrealized appreciation and gross unrealized depreciation of investments as of September 30, 2016, were as follows:

 

Gross unrealized:

           

Appreciation

      $ 11,612,440   

Depreciation

        (3,046,216 ) 

Net unrealized appreciation (depreciation) of investments

      $ 8,566,224   

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) 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) 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 27.7%.

 

(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.

 

N/A Not applicable

 

NUVEEN     7   

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 2   
By (Signature and Title)    /s/ Gifford R. Zimmerman                                                         
   Gifford R. Zimmerman   
   Vice President and Secretary   

Date: November 29, 2016

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/ Cedric H. Antosiewicz                                                         
   Cedric H. Antosiewicz   
   Chief Administrative Officer (principal executive officer)   
Date: November 29, 2016   
By (Signature and Title)    /s/ Stephen D. Foy                                                                    
   Stephen D. Foy   
   Vice President and Controller (principal financial officer)   
Date: November 29, 2016