Fair
Value
Hierarchy
as
of
Period
End
Various
inputs
are
used
in
determining
the
fair
value
of
financial
instruments.
These
inputs
to
valuation
techniques
are
categorized
into
a
fair
value
hierarchy
consisting
of
three
broad
levels
for
financial
reporting
purposes
as
follows:
Level
1
—
Unadjusted
price
quotations
in
active
markets/exchanges
for
identical
assets
or
liabilities
that
the
Fund
has
the
ability
to
access;
Level
2
—
Other
observable
inputs
(including,
but
not
limited
to,
quoted
prices
for
similar
assets
or
liabilities
in
markets
that
are
active,
quoted
prices
for
identical
or
similar
assets
or
liabilities
in
markets
that
are
not
active,
inputs
other
than
quoted
prices
that
are
observable
for
the
assets
or
liabilities
(such
as
interest
rates,
yield
curves,
volatilities,
prepayment
speeds,
loss
severities,
credit
risks
and
default
rates)
or
other
market-corroborated
inputs);
and
Level
3
—
Unobservable
inputs
based
on
the
best
information
available
in
the
circumstances,
to
the
extent
observable
inputs
are
not
available
(including
the
Valuation
Committee's
assumptions
used
in
determining
the
fair
value
of
financial
instruments).
The
hierarchy
gives
the
highest
priority
to
unadjusted
quoted
prices
in
active
markets
for
identical
assets
or
liabilities
(Level
1
measurements)
and
the
lowest
priority
to
unobservable
inputs
(Level
3
measurements).
Accordingly,
the
degree
of
judgment
exercised
in
determining
fair
value
is
greatest
for
instruments
categorized
in
Level
3.
The
inputs
used
to
measure
fair
value
may
fall
into
different
levels
of
the
fair
value
hierarchy.
In
such
cases,
for
disclosure
purposes,
the
fair
value
hierarchy
classification
is
determined
based
on
the
lowest
level
input
that
is
significant
to
the
fair
value
measurement
in
its
entirety.
Investments
classified
within
Level
3
have
significant
unobservable
inputs
used
by
the
Valuation
Committee
in
determining
the
price
for
Fair
Valued
Investments.
Level
3
investments
include
equity
or
debt
issued
by
privately
held
companies
or
funds.
There
may
not
be
a
secondary
market,
and/
or
there
are
a
limited
number
of
investors.
The
categorization
of
a
value
determined
for
financial
instruments
is
based
on
the
pricing
transparency
of
the
financial
instruments
and
is
not
necessarily
an
indication
of
the
risks
associated
with
investing
in
those
securities.
For
information
about
the
Fund’s
policy
regarding
valuation
of
financial
instruments,
refer
to
its
most
recent
financial
statements.
The
following
table
summarizes
the
Fund’s
financial
instruments
categorized
in
the
fair
value
hierarchy.
The
breakdown
of
the
Fund's
financial
instruments
into
major
categories
is
disclosed
in
the
Schedule
of
Investments
above.
OTC
Credit
Default
Swap
s
—
Buy
Protection
Reference
Obligation/Index
Financing
Rate
Paid
by
the
Fund
Payment
Frequency
Counterparty
Termination
Date
Notional
Amount
(000)
Value
Upfront
Premium
Paid
(Received)
Unrealized
Appreciation
(Depreciation)
Abbott
Laboratories
........
1.00
%
Quarterly
JPMorgan
Chase
Bank
NA
06/20/27
USD
17
$
(382)
$
(310)
$
(72)
$
–
$
–
$
–
The
following
reference
rates,
and
their
values
as
of
period
end,
are
used
for
security
descriptions:
Reference
Index
Reference
Rate
1-day
EFFR
.........................................
Effective
Federal
Funds
Rate
5.08
%
1-day
REPO_CORRA
...................................
Canadian
Overnight
Repo
Rate
4.75
1-day
SOFR
.........................................
Secured
Overnight
Financing
Rate
5.07
1-day
SONIA
.........................................
Sterling
Overnight
Index
Average
4.93
1-day
TONAR
........................................
Tokyo
Overnight
Average
Rate
(0.08)
3-mo.
BA
...........................................
Canadian
Bankers
Acceptances
5.40
Level
1
Level
2
Level
3
Total
Assets
Investments
Long-Term
Investments
Asset-Backed
Securities
...................................
$
—
$
5,867,537
$
—
$
5,867,537
Corporate
Bonds
........................................
—
11,806,153
—
11,806,153
Foreign
Government
Obligations
..............................
—
406,117
—
406,117
Municipal
Bonds
.........................................
—
255,261
—
255,261
Non-Agency
Mortgage-Backed
Securities
........................
—
2,204,301
—
2,204,301
Preferred
Securities
.......................................
—
25,089
—
25,089
U.S.
Government
Sponsored
Agency
Securities
....................
—
21,846,016
—
21,846,016
U.S.
Treasury
Obligations
...................................
—
8,945,716
—
8,945,716
Short-Term
Securities
Money
Market
Funds
......................................
2,338,104
—
—
2,338,104
Options
Purchased
Interest
rate
contracts
......................................
180,248
19,622
—
199,870