NPORT-EX 1 NPORT_8763773839240800.htm HTML

PORTFOLIO OF INVESTMENTS – as of June 30, 2019 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund

 

Principal
        Amount        		     

Description

            Value (†)          
 

Bonds and Notes – 78.7% of Net Assets

  
   ABS Car Loan – 1.1%

 

$ 1,550,000     

Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A,

2.990%, 6/20/2022, 144A

    $ 1,566,474  
  840,000     

Avis Budget Rental Car Funding AESOP LLC, Series 2019-1, Class A,

3.450%, 3/20/2023, 144A

      860,311  
  487,667     

Credit Acceptance Auto Loan Trust, Series 2016-3A, Class A,

2.150%, 4/15/2024, 144A

      487,370  
  1,256,623     

First Investors Auto Owner Trust, Series 2018-2A, Class A1,

3.230%, 12/15/2022, 144A

      1,263,572  
  2,090,000     

Foursight Capital Automobile Receivables Trust, Series 2018-2, Class A3,

3.640%, 5/15/2023, 144A

      2,129,045  
  1,495,000     

NextGear Floorplan Master Owner Trust, Series 2017-1A, Class A2,

2.540%, 4/18/2022, 144A

      1,495,559  
  685,000     

NextGear Floorplan Master Owner Trust, Series 2017-2A, Class A2,

2.560%, 10/17/2022, 144A

      686,480  
     

 

 

  
        8,488,811  
     

 

 

  
   ABS Home Equity – 0.2%

 

  874,051     

CoreVest American Finance Trust, Series 2017-1, Class A,

2.968%, 10/15/2049, 144A

      878,905  
  807,974     

Towd Point Mortgage Trust, Series 2015-2, Class 1A12,

2.750%, 11/25/2060, 144A(a)

      811,487  
     

 

 

  
        1,690,392  
     

 

 

  
   ABS Other – 1.0%

 

  864,617     

Diamond Resorts Owner Trust, Series 2018-1, Class A,

3.700%, 1/21/2031, 144A

      876,919  
  825,000     

Navistar Financial Dealer Note Master Owner Trust II, Series 2018-1, Class A,

1-month LIBOR + 0.630%, 3.034%, 9/25/2023, 144A(b)

      826,627  
  3,300,198     

SoFi Consumer Loan Program Trust, Series 2018-4, Class A,

3.540%, 11/26/2027, 144A

      3,338,096  
  2,315,000     

Welk Resorts LLC, Series 2019-AA, Class A,

2.800%, 6/15/2038, 144A

      2,321,361  
     

 

 

  
        7,363,003  
     

 

 

  
   ABS Student Loan – 0.0%

 

  95,464     

SoFi Professional Loan Program LLC, Series 2016-D, Class A1,

1-month LIBOR + 0.950%, 3.354%, 1/25/2039, 144A(b)

      95,739  
     

 

 

  
   Agency Commercial Mortgage-Backed Securities – 10.6%

 

  1,535,208     

Federal National Mortgage Association, Series 2015-M17, Class FA,

1-month LIBOR + 0.930%, 3.372%, 11/25/2022(b)

      1,535,858  
  676,888     

Federal National Mortgage Association, Series 2016-M3, Class ASQ2,

2.263%, 2/25/2023

      676,595  
  13,445,000     

FHLMC Multifamily Structured Pass Through Certificates, Series KJ20, Class A2,

3.799%, 12/25/2025

      14,461,940  
  5,881,879     

FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2,

4.251%, 1/25/2020

      5,903,831  
  4,207,860     

FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2,

3.871%, 4/25/2021

      4,309,210  
  4,000,000     

FHLMC Multifamily Structured Pass Through Certificates, Series K015, Class A2,

3.230%, 7/25/2021

      4,079,759  

Principal
        Amount        		     

Description

            Value (†)          
 

Bonds and Notes – continued

  
   Agency Commercial Mortgage-Backed Securities – continued

 

$ 6,414,804     

FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class A2,

2.873%, 12/25/2021

    $ 6,522,253  
  2,580,000     

FHLMC Multifamily Structured Pass Through Certificates, Series K064, Class A2,

3.224%, 3/25/2027

      2,726,837  
  3,282,769     

FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2,

1.730%, 7/25/2019

      3,276,949  
  2,432,083     

FHLMC Multifamily Structured Pass Through Certificates, Series K725, Class A1,

2.666%, 5/25/2023

      2,458,296  
  286,173     

FHLMC Multifamily Structured Pass Through Certificates, Series KF06, Class A,

1-month LIBOR + 0.330%, 2.761%, 11/25/2021(b)

      285,861  
  2,121,890     

FHLMC Multifamily Structured Pass Through Certificates, Series KF14, Class A,

1-month LIBOR + 0.650%, 3.081%, 1/25/2023(b)

      2,123,213  
  4,919,284     

FHLMC Multifamily Structured Pass Through Certificates, Series KF53, Class A,

1-month LIBOR + 0.390%, 2.821%, 10/25/2025(b)

      4,903,921  
  1,096,237     

FHLMC Multifamily Structured Pass Through Certificates, Series KI01, Class A,

1-month LIBOR + 0.160%, 2.591%, 9/25/2022(b)

      1,093,911  
  2,598,876     

FHLMC Multifamily Structured Pass Through Certificates, Series KI02, Class A,

1-month LIBOR + 0.200%, 2.631%, 2/25/2023(b)

      2,593,607  
  10,261,000     

FHLMC Multifamily Structured Pass Through Certificates, Series KJ21, Class A2,

3.700%, 9/25/2026

      11,015,369  
  130,810     

FHLMC Multifamily Structured Pass Through Certificates, Series KP03, Class A2,

1.780%, 7/25/2019

      130,586  
  6,280,732     

FHLMC Multifamily Structured Pass Through Certificates, Series Q008, Class A,

1-month LIBOR + 0.390%, 2.821%, 10/25/2045(b)

      6,209,422  
  5,200,000     

FNMA,

3.580%, 1/01/2026

      5,578,370  
  132,213     

Government National Mortgage Association, Series 2003-72, Class Z,

5.287%, 11/16/2045(a)

      141,306  
  104,557     

Government National Mortgage Association, Series 2003-88, Class Z,

4.500%, 3/16/2046(a)

      109,265  
     

 

 

  
        80,136,359  
     

 

 

  
   Collateralized Mortgage Obligations – 10.7%

 

  38,568     

Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD,

7-year Treasury - 0.200%, 2.280%, 5/15/2023(b)(c)(d)

      37,531  
  28,410     

Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I,

10-year Treasury - 0.650%, 1.720%, 8/15/2023(b)(c)(d)

      27,717  
  123,388     

Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB,

6.000%, 3/15/2029(c)(d)

      131,768  
  2,801     

Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC,

5.000%, 10/15/2019(c)(d)

      2,774  
  75,068     

Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE,

4.000%, 2/15/2020(c)(d)

      74,478  
  1,087,508     

Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG,

5.500%, 5/15/2035

      1,226,723  
  1,588,659     

Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE,

5.000%, 9/15/2035

      1,749,018  
  925,852     

Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY,

5.500%, 2/15/2038

      1,010,654  
  1,182,122     

Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W,

2.808%, 6/15/2048(e)

      1,080,471  
  1,353,891     

Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT,

4.048%, 12/15/2036(a)(e)

      1,425,291  

Principal
        Amount        		     

Description

            Value (†)          
 

Bonds and Notes – continued

  
   Collateralized Mortgage Obligations – continued

 

$ 732,179     

Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW,

1-month LIBOR + 2.100%, 4.494%, 6/15/2043(b)

    $ 750,106  
  1,172,420     

Federal National Mortgage Association, REMIC, Series 2003-48, Class GH,

5.500%, 6/25/2033

      1,316,888  
  20,711     

Federal National Mortgage Association, REMIC, Series 1992-162, Class FB,

7-year Treasury - 0.050%, 1.950%, 9/25/2022(b)(c)(d)

      20,441  
  28,650     

Federal National Mortgage Association, REMIC, Series 1994-42, Class FD,

10-year Treasury - 0.500%, 1.870%, 4/25/2024(b)(c)(d)

      27,895  
  8,536     

Federal National Mortgage Association, REMIC, Series 2002-W10, Class A7,

4.648%, 8/25/2042(a)(c)(d)

      8,736  
  444,242     

Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ,

5.500%, 11/25/2025(c)(d)

      459,889  
  564,495     

Federal National Mortgage Association, REMIC, Series 2007-73, Class A1,

1-month LIBOR + 0.060%, 2.757%, 7/25/2037(b)

      554,854  
  1,211,628     

Federal National Mortgage Association, REMIC, Series 2008-86, Class LA,

3.439%, 8/25/2038(a)

      1,253,447  
  5,412,360     

Federal National Mortgage Association, REMIC, Series 2013-67, Class NF,

1-month LIBOR + 1.000%, 3.404%, 7/25/2043(b)

      5,319,892  
  8,522     

Federal National Mortgage Association, REMIC, Series G93-19, Class FD,

10-year Treasury - 0.650%, 1.470%, 4/25/2023(b)(c)(d)

      8,436  
  8,291     

FHLMC Structured Pass Through Securities, Series T-60, Class 2A1,

4.252%, 3/25/2044(a)(c)(d)

      8,825  
  545,956     

FHLMC Structured Pass Through Securities, Series T-62, Class 1A1,

12-month MTA + 1.200%, 3.704%, 10/25/2044(b)

      551,256  
  1,056,667     

Government National Mortgage Association, Series 2010-H20, Class AF,

1-month LIBOR + 0.330%, 2.797%, 10/20/2060(b)

      1,052,533  
  1,020,573     

Government National Mortgage Association, Series 2010-H24, Class FA,

1-month LIBOR + 0.350%, 2.817%, 10/20/2060(b)

      1,016,849  
  804,117     

Government National Mortgage Association, Series 2011-H06, Class FA,

1-month LIBOR + 0.450%, 2.917%, 2/20/2061(b)

      803,467  
  481,085     

Government National Mortgage Association, Series 2011-H23, Class HA,

3.000%, 12/20/2061

      481,845  
  972,263     

Government National Mortgage Association, Series 2012-124, Class HT,

7.241%, 7/20/2032(a)

      969,470  
  118,230     

Government National Mortgage Association, Series 2012-H15, Class FA,

1-month LIBOR + 0.450%, 2.917%, 5/20/2062(b)(c)(d)

      117,634  
  902,484     

Government National Mortgage Association, Series 2012-H18, Class NA,

1-month LIBOR + 0.520%, 2.987%, 8/20/2062(b)

      902,868  
  848,366     

Government National Mortgage Association, Series 2012-H29, Class HF,

1-month LIBOR + 0.500%, 2.967%, 10/20/2062(b)

      847,225  
  370,130     

Government National Mortgage Association, Series 2013-H02, Class GF,

1-month LIBOR + 0.500%, 2.967%, 12/20/2062(b)(c)(d)

      368,350  
  3,637,952     

Government National Mortgage Association, Series 2013-H08, Class FA,

1-month LIBOR + 0.350%, 2.817%, 3/20/2063(b)

      3,628,042  
  2,422,662     

Government National Mortgage Association, Series 2013-H10, Class FA,

1-month LIBOR + 0.400%, 2.867%, 3/20/2063(b)

      2,418,389  
  8,665,530     

Government National Mortgage Association, Series 2013-H22, Class FT,

1-year CMT + 0.650%, 3.080%, 4/20/2063(b)

      8,732,456  
  5,413,813     

Government National Mortgage Association, Series 2014-H14, Class FA,

1-month LIBOR + 0.500%, 2.993%, 7/20/2064(b)

      5,436,604  
  3,718,218     

Government National Mortgage Association, Series 2014-H15, Class FA,

1-month LIBOR + 0.500%, 2.967%, 7/20/2064(b)

      3,719,895  
  3,206,093     

Government National Mortgage Association, Series 2015-H04, Class FL,

1-month LIBOR + 0.470%, 2.937%, 2/20/2065(b)

      3,204,410  

Principal
        Amount        		     

Description

            Value (†)          
 

Bonds and Notes – continued

  
   Collateralized Mortgage Obligations – continued

 

$ 53,811     

Government National Mortgage Association, Series 2015-H05, Class FA,

1-month LIBOR + 0.300%, 2.767%, 4/20/2061(b)(c)(d)

    $ 53,396  
  1,414,516     

Government National Mortgage Association, Series 2015-H09, Class HA,

1.750%, 3/20/2065

      1,406,561  
  5,633,496     

Government National Mortgage Association, Series 2015-H10, Class JA,

2.250%, 4/20/2065

      5,532,398  
  148,417     

Government National Mortgage Association, Series 2015-H11, Class FA,

1-month LIBOR + 0.250%, 2.717%, 4/20/2065(b)

      148,253  
  4,613,960     

Government National Mortgage Association, Series 2015-H12, Class FL,

1-month LIBOR + 0.230%, 2.697%, 5/20/2065(b)

      4,587,251  
  1,369,531     

Government National Mortgage Association, Series 2015-H19, Class FH,

1-month LIBOR + 0.300%, 2.767%, 7/20/2065(b)

      1,367,812  
  152,636     

Government National Mortgage Association, Series 2015-H29, Class FA,

1-month LIBOR + 0.700%, 3.167%, 10/20/2065(b)(c)(d)

      152,116  
  65,064     

Government National Mortgage Association, Series 2015-H30, Class FA,

1-month LIBOR + 0.680%, 3.147%, 8/20/2061(b)(c)(d)

      64,849  
  5,635,728     

Government National Mortgage Association, Series 2016-H06, Class FC,

1-month LIBOR + 0.920%, 3.387%, 2/20/2066(b)

      5,698,541  
  2,547,969     

Government National Mortgage Association, Series 2016-H10, Class FJ,

1-month LIBOR + 0.600%, 3.067%, 4/20/2066(b)

      2,551,716  
  3,614,839     

Government National Mortgage Association, Series 2016-H19, Class FJ,

1-month LIBOR + 0.400%, 2.867%, 9/20/2063(b)

      3,613,644  
  3,647,157     

Government National Mortgage Association, Series 2017-H24, Class FJ,

1-month LIBOR + 0.250%, 2.717%, 10/20/2067(b)

      3,642,808  
  219,490     

NCUA Guaranteed Notes, Series 2010-A1, Class A,

1-month LIBOR + 0.350%, 2.769%, 12/07/2020(b)

      219,119  
  348,959     

NCUA Guaranteed Notes, Series 2010-R1, Class 1A,

1-month LIBOR + 0.450%, 2.869%, 10/07/2020(b)

      349,492  
  891,659     

NCUA Guaranteed Notes, Series 2010-R3, Class 1A,

1-month LIBOR + 0.560%, 2.979%, 12/08/2020(b)

      893,644  
  57,974     

NCUA Guaranteed Notes, Series 2010-R3, Class 2A,

1-month LIBOR + 0.560%, 2.979%, 12/08/2020(b)

      58,167  
     

 

 

  
        81,086,894  
     

 

 

  
   Hybrid ARMs – 6.8%

 

  351,643     

FHLMC,

1-year CMT + 1.870%, 4.397%, 9/01/2038(b)

      366,450  
  409,224     

FHLMC,

6-month LIBOR + 1.706%, 4.400%, 6/01/2037(b)

      416,130  
  924,624     

FHLMC,

1-year CMT + 2.220%, 4.427%, 7/01/2033(b)

      967,516  
  213,519     

FHLMC,

12-month LIBOR + 1.623%, 4.438%, 11/01/2038(b)

      223,130  
  75,956     

FHLMC,

12-month LIBOR + 1.720%, 4.513%, 12/01/2037(b)

      78,469  
  1,246,337     

FHLMC,

12-month LIBOR + 1.771%, 4.521%, 9/01/2035(b)

      1,306,989  
  642,699     

FHLMC,

1-year CMT + 2.248%, 4.534%, 9/01/2038(b)

      675,486  
  2,671,679     

FHLMC,

1-year CMT + 2.250%, 4.630%, 3/01/2037(b)

      2,815,930  
  244,624     

FHLMC,

12-month LIBOR + 1.716%, 4.636%, 4/01/2037(b)

      257,223  

Principal
        Amount        		     

Description

            Value (†)          
 

Bonds and Notes – continued

  
   Hybrid ARMs – continued

 

$ 157,906     

FHLMC,

1-year CMT + 2.211%, 4.659%, 9/01/2038(b)

    $ 166,671  
  549,736     

FHLMC,

1-year CMT + 2.165%, 4.672%, 4/01/2036(b)

      568,975  
  301,219     

FHLMC,

12-month LIBOR + 1.806%, 4.691%, 11/01/2038(b)

      317,802  
  310,758     

FHLMC,

12-month LIBOR + 1.807%, 4.762%, 3/01/2038(b)

      331,278  
  1,833,888     

FHLMC,

12-month LIBOR + 1.896%, 4.771%, 9/01/2041(b)

      1,927,103  
  268,444     

FHLMC,

12-month LIBOR + 1.936%, 4.790%, 12/01/2034(b)

      283,879  
  1,001,962     

FHLMC,

1-year CMT + 2.286%, 4.790%, 2/01/2036(b)

      1,057,877  
  1,645,255     

FHLMC,

1-year CMT + 2.275%, 4.844%, 2/01/2036(b)

      1,734,849  
  1,130,919     

FHLMC,

12-month LIBOR + 1.778%, 4.895%, 4/01/2037(b)

      1,193,193  
  598,626     

FHLMC,

1-year CMT + 2.245%, 4.926%, 3/01/2036(b)

      631,628  
  261,101     

FHLMC,

1-year CMT + 2.250%, 5.000%, 2/01/2035(b)

      275,312  
  212,299     

FHLMC,

12-month LIBOR + 2.180%, 5.305%, 3/01/2037(b)

      225,711  
  810,224     

FNMA,

6-month LIBOR + 1.543%, 4.255%, 7/01/2035(b)

      837,826  
  186,634     

FNMA,

12-month LIBOR + 1.566%, 4.316%, 8/01/2035(b)

      195,540  
  1,471,493     

FNMA,

12-month LIBOR + 1.607%, 4.370%, 9/01/2037(b)

      1,536,796  
  340,304     

FNMA,

1-year CMT + 2.145%, 4.389%, 9/01/2036(b)

      358,084  
  619,044     

FNMA,

12-month LIBOR + 1.640%, 4.390%, 7/01/2038(b)

      648,939  
  1,147,883     

FNMA,

1-year CMT + 2.273%, 4.398%, 6/01/2037(b)

      1,214,158  
  371,735     

FNMA,

12-month LIBOR + 1.657%, 4.407%, 8/01/2038(b)

      385,238  
  75,978     

FNMA,

6-month LIBOR + 1.543%, 4.418%, 2/01/2037(b)

      78,700  
  1,613,475     

FNMA,

12-month LIBOR + 1.561%, 4.459%, 4/01/2037(b)

      1,683,224  
  678,722     

FNMA,

12-month LIBOR + 1.712%, 4.462%, 8/01/2034(b)

      710,497  
  582,368     

FNMA,

1-year CMT +2.287%, 4.473%, 6/01/2033(b)

      611,445  
  564,468     

FNMA,

1-year CMT + 2.223%, 4.473%, 8/01/2035(b)

      597,950  
  1,492,325     

FNMA,

1-year CMT + 2.177%, 4.478%, 11/01/2033(b)

      1,568,472  
  1,275,140     

FNMA,

12-month LIBOR + 1.603%, 4.478%, 7/01/2035(b)

      1,330,807  
  324,546     

FNMA,

12-month LIBOR + 1.656%, 4.501%, 10/01/2033(b)

      339,033  

Principal
        Amount        		     

Description

            Value (†)          
 

Bonds and Notes – continued

  
   Hybrid ARMs – continued

 

$ 203,742     

FNMA,

12-month LIBOR + 1.734%, 4.548%, 11/01/2035(b)

    $ 213,023  
  334,453     

FNMA,

12-month LIBOR + 1.691%, 4.570%, 11/01/2036(b)

      350,740  
  3,455,947     

FNMA,

1-year CMT + 2.188%, 4.572%, 10/01/2034(b)

      3,640,878  
  1,889,811     

FNMA,

1-year CMT + 2.188%, 4.583%, 12/01/2040(b)

      1,989,858  
  327,842     

FNMA,

1-year CMT + 2.185%, 4.617%, 12/01/2034(b)

      342,005  
  209,954     

FNMA,

12-month LIBOR + 1.803%, 4.619%, 7/01/2041(b)

      218,979  
  729,551     

FNMA,

1-year CMT + 2.178%, 4.621%, 6/01/2036(b)

      768,280  
  648,195     

FNMA,

12-month LIBOR + 1.635%, 4.623%, 4/01/2037(b)

      681,431  
  397,226     

FNMA,

1-year CMT + 2.287%, 4.637%, 10/01/2033(b)

      415,636  
  85,797     

FNMA,

1-year CMT + 2.434%, 4.641%, 8/01/2033(b)

      90,248  
  2,193,561     

FNMA,

12-month LIBOR + 1.800%, 4.662%, 10/01/2041(b)

      2,294,966  
  410,826     

FNMA,

1-year CMT + 2.138%, 4.693%, 9/01/2034(b)

      432,117  
  1,299,408     

FNMA,

12-month LIBOR + 1.746%, 4.701%, 9/01/2037(b)

      1,372,028  
  207,991     

FNMA,

1-year CMT + 2.193%, 4.726%, 4/01/2033(b)

      215,788  
  2,508,454     

FNMA,

1-year CMT + 2.219%, 4.741%, 4/01/2034(b)

      2,645,997  
  368,264     

FNMA,

12-month LIBOR + 1.800%, 4.800%, 12/01/2041(b)

      387,131  
  1,761,160     

FNMA,

12-month LIBOR + 1.779%, 4.804%, 3/01/2037(b)

      1,861,970  
  74,716     

FNMA,

12-month LIBOR + 1.807%, 4.821%, 1/01/2037(b)

      78,891  
  565,649     

FNMA,

1-year CMT + 2.243%, 4.841%, 4/01/2034(b)

      595,000  
  685,662     

FNMA,

1-year CMT + 2.185%, 4.848%, 1/01/2036(b)

      722,795  
  488,384     

FNMA,

12-month LIBOR + 1.765%, 4.890%, 2/01/2037(b)

      511,073  
  202,048     

FNMA,

12-month LIBOR + 1.800%, 4.925%, 3/01/2034(b)

      212,874  
  1,143,222     

FNMA,

12-month LIBOR + 1.820%, 4.945%, 2/01/2047(b)

      1,217,912  
  212,198     

FNMA,

1-year CMT + 2.500%, 4.983%, 8/01/2036(b)

      225,756  
  1,066,803     

FNMA,

6-month LIBOR + 2.268%, 4.987%, 7/01/2037(b)

      1,132,108  
  471,337     

FNMA,

1-year CMT + 2.494%, 5.060%, 5/01/2035(b)

      501,992  
  514,699     

FNMA,

12-month LIBOR + 2.473%, 5.348%, 6/01/2035(b)

      552,213  
     

 

 

  
        51,589,999  
     

 

 

  

Principal
        Amount        		     

Description

            Value (†)          
 

Bonds and Notes – continued

  
   Mortgage Related – 6.3%

 

$ 58,912     

FHLMC,

3.000%, 10/01/2026

    $ 60,325  
  445,003     

FHLMC,

4.000%, with various maturities from 2024 to 2042(f)

      467,554  
  213,420     

FHLMC,

4.500%, with various maturities from 2025 to 2034(f)

      220,493  
  84,689     

FHLMC,

5.500%, 10/01/2023

      87,768  
  46,198     

FHLMC,

COFI + 1.250%, 5.774%, 6/01/2020(b)

      46,425  
  79,218     

FHLMC,

COFI + 1.250%, 5.893%, 8/01/2020(b)

      79,853  
  67,537     

FHLMC,

COFI + 1.250%, 5.922%, 10/01/2020(b)

      68,138  
  97,334     

FHLMC,

COFI + 1.250%, 5.953%, 11/01/2020(b)

      98,247  
  1,068     

FHLMC,

6.000%, 11/01/2019

      1,069  
  230,553     

FHLMC,

6.500%, 12/01/2034

      267,271  
  165     

FHLMC,

7.500%, 6/01/2026

      178  
  132,524     

FNMA,

3.000%, 3/01/2042

      135,298  
  1,305,994     

FNMA,

5.000%, with various maturities from 2037 to 2038(f)

      1,423,124  
  591,719     

FNMA,

5.500%, with various maturities from 2023 to 2033(f)

      626,980  
  551,677     

FNMA,

6.000%, with various maturities from 2021 to 2022(f)

      571,686  
  177,445     

FNMA,

6.500%, with various maturities from 2032 to 2037(f)

      198,769  
  68,695     

FNMA,

7.500%, with various maturities from 2030 to 2032(f)

      75,038  
  507,175     

GNMA,

4.201%, 12/20/2061(a)

      509,992  
  3,134,581     

GNMA,

1-month LIBOR + 1.715%, 4.214%, 2/20/2061(b)

      3,264,153  
  1,140,181     

GNMA,

4.298%, 12/20/2061(a)

      1,144,998  
  83,716     

GNMA,

4.308%, 8/20/2061(a)

      85,001  
  628,248     

GNMA,

4.342%, 2/20/2062(a)

      629,911  
  1,201,807     

GNMA,

4.356%, 3/20/2063(a)

      1,218,799  
  2,384,203     

GNMA,

1-month LIBOR + 1.890%, 4.385%, 2/20/2063(b)

      2,484,743  

Principal
        Amount        		     

Description

            Value (†)          
 

Bonds and Notes – continued

  
   Mortgage Related – continued

 

$ 1,095,511     

GNMA,

4.398%, 2/20/2063(a)

    $ 1,108,850  
  75,990     

GNMA,

4.402%, 2/20/2062(a)

      77,622  
  442,392     

GNMA,

4.404%, 3/20/2062(a)

      444,218  
  2,520,759     

GNMA,

4.417%, 6/20/2063(a)

      2,568,909  
  1,158,577     

GNMA,

4.446%, 6/20/2062(a)

      1,162,836  
  3,349,051     

GNMA,

4.486%, 10/20/2065(a)

      3,638,254  
  2,834,360     

GNMA,

4.498%, 12/20/2062(a)

      2,868,049  
  233,313     

GNMA,

4.537%, 3/20/2062(a)

      233,604  
  886,124     

GNMA,

4.538%, 4/20/2063(a)

      896,370  
  460,256     

GNMA,

4.555%, 2/20/2062(a)

      461,278  
  4,908,041     

GNMA,

4.572%, 11/20/2062(a)

      4,950,485  
  471,180     

GNMA,

4.599%, 7/20/2063(a)

      502,806  
  1,877,274     

GNMA,

4.603%, 2/20/2066(a)

      2,021,431  
  1,916,337     

GNMA,

4.624%, 3/20/2064(a)

      2,055,623  
  2,962,292     

GNMA,

1-month LIBOR + 2.154%, 4.645%, 3/20/2063(b)

      3,086,832  
  392,196     

GNMA,

4.649%, 1/20/2064(a)

      422,298  
  1,841,468     

GNMA,

4.674%, 11/20/2063(a)

      1,979,169  
  1,351,904     

GNMA,

4.686%, 5/20/2064(a)

      1,458,850  
  175,460     

GNMA,

4.689%, 8/20/2062(a)

      176,810  
  23,831     

GNMA,

4.697%, 3/20/2061(a)

      24,329  
  54,789     

GNMA,

4.700%, with various maturities in 2061(a)(f)

      57,169  
  32,264     

GNMA,

4.710%, 8/20/2061(a)

      33,279  
  842,230     

GNMA,

1-month LIBOR + 2.264%, 4.759%, 5/20/2065(b)

      892,705  
  865,276     

GNMA,

1-month LIBOR + 2.287%, 4.783%, 6/20/2065(b)

      921,440  
  1,628,811     

GNMA,

1-month LIBOR + 2.364%, 4.859%, 2/20/2063(b)

      1,701,146  
  100,621     

GNMA,

4.926%, 4/20/2061(a)

      101,864  
  11,334     

GNMA,

6.000%, 12/15/2031

      12,926  

Principal
        Amount        		     

Description

            Value (†)          
 

Bonds and Notes – continued

  
   Mortgage Related – continued

 

$ 48,032     

GNMA,

6.500%, 5/15/2031

    $ 55,275  
  56,592     

GNMA,

7.000%, 10/15/2028

      62,573  
     

 

 

  
        47,742,813  
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities – 2.1%

 

  1,310,000     

Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2,

3.400%, 10/05/2030, 144A

      1,326,202  
  1,488,000     

Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5,

3.961%, 3/10/2047

      1,584,379  
  4,282,000     

Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class ASB,

3.550%, 2/10/2049

      4,471,251  
  1,397,747     

DBUBS Mortgage Trust, Series 2011-LC2A, Class A4,

4.537%, 7/10/2044, 144A

      1,444,810  
  2,600,000     

Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7,

3.914%, 8/05/2034, 144A

      2,647,626  
  1,040,000     

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A4,

3.134%, 12/15/2048

      1,067,542  
  3,310,471     

Starwood Retail Property Trust, Inc., Series 2014-STAR, Class A,

1-month LIBOR + 1.220%, 3.614%, 11/15/2027, 144A(b)

      3,301,463  
     

 

 

  
        15,843,273  
     

 

 

  
   Sovereigns – 0.3%

 

  1,955,000     

U.S. Department of Housing and Urban Development,

1.880%, 8/01/2019

      1,954,551  
     

 

 

  
   Treasuries – 39.6%

 

  14,405,000     

U.S. Treasury Note,

1.125%, 8/31/2021

      14,213,684  
  20,945,000     

U.S. Treasury Note,

1.250%, 7/31/2023

      20,542,463  
  9,635,000     

U.S. Treasury Note,

1.375%, 1/31/2021

      9,567,254  
  5,000,000     

U.S. Treasury Note,

1.375%, 9/30/2023

      4,925,000  
  1,920,000     

U.S. Treasury Note,

1.625%, 6/30/2021

      1,915,575  
  6,795,000     

U.S. Treasury Note,

1.625%, 8/31/2022

      6,773,235  
  26,050,000     

U.S. Treasury Note,

1.750%, 11/30/2021

      26,058,141  
  8,460,000     

U.S. Treasury Note,

1.750%, 6/30/2022

      8,470,575  
  12,605,000     

U.S. Treasury Note,

1.750%, 9/30/2022

      12,613,863  
  7,895,000     

U.S. Treasury Note,

1.875%, 4/30/2022

      7,926,765  
  9,900,000     

U.S. Treasury Note,

2.000%, 2/28/2021

      9,929,777  
  17,015,000     

U.S. Treasury Note,

2.000%, 12/31/2021

      17,129,320  
  4,795,000     

U.S. Treasury Note,

2.000%, 4/30/2024

      4,847,258  

Principal
        Amount        		     

Description

            Value (†)          
 

Bonds and Notes – continued

  
   Treasuries – continued

 

$ 925,000     

U.S. Treasury Note,

2.000%, 11/15/2026

    $ 932,046  
  13,945,000     

U.S. Treasury Note,

2.125%, 9/30/2021

      14,062,661  
  8,305,000     

U.S. Treasury Note,

2.125%, 11/30/2023

      8,437,685  
  6,550,000     

U.S. Treasury Note,

2.250%, 2/15/2021

      6,594,520  
  16,475,000     

U.S. Treasury Note,

2.250%, 1/31/2024

      16,832,173  
  9,950,000     

U.S. Treasury Note,

2.250%, 11/15/2027

      10,186,312  
  8,000,000     

U.S. Treasury Note,

2.375%, 12/31/2020

      8,063,125  
  3,865,000     

U.S. Treasury Note,

2.500%, 12/31/2020

      3,902,442  
  7,835,000     

U.S. Treasury Note,

2.875%, 11/15/2021

      8,041,281  
  67,520,000     

U.S. Treasury Note,

2.875%, 10/31/2023

      70,687,637  
  6,030,000     

U.S. Treasury Note,

2.875%, 11/30/2023

      6,318,780  
     

 

 

  
        298,971,572  
     

 

 

  
  

Total Bonds and Notes

(Identified Cost $588,724,409)

      594,963,406  
     

 

 

  
 

Short-Term Investments – 21.1%

  
  105,615,000     

Federal Home Loan Bank Discount Notes,

2.155%-2.160%, 7/01/2019(g)(h)

      105,615,000  
  1,045,000     

Federal Home Loan Bank Discount Notes,

2.000%-2.200%, 7/05/2019(g)(h)

      1,044,745  
  8,975,828      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2019 at 1.500% to be repurchased at $8,976,951 on 7/01/2019 collateralized by $8,790,000 U.S. Treasury Inflation Indexed Note, 0.625% due 4/15/2023 valued at $9,157,018 including accrued interest(i)      8,975,828  
  7,240,000     

U.S. Treasury Bills,

2.047%-2.380%, 10/03/2019(g)(h)

      7,200,442  
  13,145,000     

U.S. Treasury Bills,

2.396%, 10/17/2019(g)

      13,064,257  
  11,625,000     

U.S. Treasury Bills,

2.377%, 10/24/2019(g)

      11,551,147  
  3,910,000     

U.S. Treasury Bills,

2.301%, 11/21/2019(g)

      3,878,005  
  8,265,000     

U.S. Treasury Bills,

2.468%, 2/27/2020(g)

      8,157,246  
     

 

 

  
  

Total Short-Term Investments

(Identified Cost $159,424,449)

      159,486,670  
     

 

 

  
  

Total Investments – 99.8%

(Identified Cost $748,148,858)

      754,450,076  
   Other assets less liabilities – 0.2%      1,834,408  
     

 

 

  
   Net Assets – 100.0%    $ 756,284,484  
     

 

 

  
(†)

Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

 

(a)

Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2019 is disclosed.

(b)

Variable rate security. Rate as of June 30, 2019 is disclosed.

(c)

Level 3 security. Value has been determined using significant unobservable inputs.

(d)

Fair valued by the Fund’s adviser. At June 30, 2019, the value of these securities amounted to $1,564,835 or 0.2% of net assets.

(e)

Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.

(f)

The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.

(g)

Interest rate represents discount rate at time of purchase; not a coupon rate.

(h)

The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

(i)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of June 30, 2019, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

144A

All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019, the value of Rule 144A holdings amounted to $26,358,046 or 3.5% of net assets.

ABS

Asset-Backed Securities

ARMs

Adjustable Rate Mortgages

CMT

Constant Maturity Treasury

COFI

Cost Of Funds Index

FHLMC

Federal Home Loan Mortgage Corp.

FNMA

Federal National Mortgage Association

GNMA

Government National Mortgage Association

LIBOR

London Interbank Offered Rate

MTA

Monthly Treasury Average Interest

REMIC

Real Estate Mortgage Investment Conduit

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

 

  •  

Level 1 — quoted prices in active markets for identical assets or liabilities;

 

  •  

Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

 

  •  

Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2019, at value:

Asset Valuation Inputs

 

Description

    Level 1      Level 2      Level 3     Total  

Bonds and Notes

           

Collateralized Mortgage Obligations

    $ —        $ 79,522,059      $ 1,564,835 (a)    $ 81,086,894  

All Other Bonds and Notes*

      —          513,876,512        —         513,876,512  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      —          593,398,571        1,564,835       594,963,406  
  

 

 

     

 

 

     

 

 

    

 

 

  

Short-Term Investments

      —          159,486,670        —         159,486,670  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ —        $ 752,885,241      $ 1,564,835     $ 754,450,076  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

*

Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

(a)

Fair valued by the Fund’s adviser.

The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2018 and/or June 30, 2019:

Asset Valuation Inputs

 

Investments in Securities

   Balance
as of
September
30, 2018		     Accrued
Discounts
(Premiums)		     Realized
Gain (Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Purchases     Sales     Transfers
into Level 3		     Transfers
out of
Level 3		     Balance as
of June 30,
2019		     Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
June 30, 2019		  

Bonds and Notes

                    

Collateralized Mortgage Obligations

   $ 191,318     $ —       $ (49,603 )    $ 35,517     $ 182     $ (2,558,735 )    $ 3,946,156     $ —       $ 1,564,835     $ 34,636  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Debt securities valued at $3,946,156 were transferred from Level 2 to Level 3 during the period ended June 30, 2019. At September 30, 2018, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2019 these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

All transfers are recognized as of the beginning of the reporting period.

Industry Summary at June 30, 2019 (Unaudited)

 

Treasuries

      39.6 % 

Collateralized Mortgage Obligations

      10.7  

Agency Commercial Mortgage-Backed Securities

      10.6  

Hybrid ARMs

      6.8  

Mortgage Related

      6.3  

Non-Agency Commercial Mortgage-Backed Securities

      2.1  

Other Investments, less than 2% each

      2.6  

Short-Term Investments

      21.1  
  

 

 

  

Total Investments

      99.8  

Other assets less liabilities

      0.2  
  

 

 

  

Net Assets

      100.0 %