NPORT-EX 2 NPORT_14223999898969320.htm HTML

PORTFOLIO OF INVESTMENTS – as of June 30, 2020 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund

 

Principal

        Amount         

     

Description

    Value (†)  
 

Bonds and Notes – 94.3% of Net Assets

  
  

ABS Car Loan – 3.3%

 

$ 747,359     

Ally Auto Receivables Trust, Series 2018-2, Class A3,

2.920%, 11/15/2022

    $ 756,888  
  1,550,000     

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

2.990%, 6/20/2022, 144A

      1,540,039  
  840,000     

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

3.450%, 3/20/2023, 144A

      842,673  
  1,710,000     

CarMax Auto Owner Trust, Series 2020-2, Class A3,

1.700%, 11/15/2024

      1,749,662  
  751,445     

CPS Auto Receivables Trust, Series 2019-C, Class A,

2.550%, 9/15/2022, 144A

      755,794  
  1,955,000     

Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A,

2.380%, 11/15/2028, 144A

      1,994,127  
  482,798     

Exeter Automobile Receivables Trust, Series 2019-3A, Class A,

2.590%, 9/15/2022, 144A

      484,770  
  213,112     

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

3.230%, 12/15/2022, 144A

      213,886  
  907,841     

Flagship Credit Auto Trust, Series 2020-2, Class A,

1.490%, 7/15/2024, 144A

      914,660  
  595,000     

Ford Credit Auto Owner Trust, Series 2020-A, Class A3,

1.040%, 8/15/2024

      601,146  
  2,090,000     

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

3.640%, 5/15/2023, 144A

      2,119,495  
  475,000     

GM Financial Automobile Leasing Trust, Series 2020-2, Class A3,

0.800%, 7/20/2023

      477,809  
  970,000     

GM Financial Consumer Automobile Receivables Trust, Series 2019-4, Class A3,

1.750%, 7/16/2024

      987,691  
  500,000     

GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3,

1.490%, 12/16/2024

      509,661  
  1,475,000     

GM Financial Consumer Automobile Receivables Trust, Series 2019-3, Class A3,

2.180%, 4/16/2024

      1,508,450  
  1,170,000     

GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3,

1.840%, 9/16/2024

      1,197,256  
  189,000     

Honda Auto Receivables Owner Trust, Series 2019-2, Class A3,

2.520%, 6/21/2023

      194,667  
  410,000     

Honda Auto Receivables Owner Trust, Series 2020-1, Class A3,

1.610%, 4/22/2024

      419,937  
  585,000     

Hyundai Auto Receivables Trust, Series 2020-A, Class A3,

1.410%, 11/15/2024

      598,987  
  685,000     

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

2.560%, 10/17/2022, 144A

      687,600  
  1,805,000     

Nissan Auto Receivables Owner Trust, Series 2020-A, Class A3,

1.380%, 12/16/2024

      1,838,855  
  2,748,547     

Santander Consumer Auto Receivables Trust, Series 2020-AA, Class A,

1.370%, 10/15/2024, 144A

      2,766,968  
  765,000     

Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A,

1.350%, 5/25/2033, 144A

      776,635  
  1,610,000     

Toyota Auto Receivables Owner Trust, Series 2017-C, Class A4,

1.980%, 12/15/2022

      1,631,549  
  1,255,000     

Toyota Auto Receivables Owner Trust, Series 2019-A, Class A3,

2.910%, 7/17/2023

      1,291,746  

Principal

        Amount         

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
  

ABS Car Loan – continued

 

$ 450,000     

Toyota Auto Receivables Owner Trust, Series 2020-A, Class A3 MTN,

1.660%, 5/15/2024

    $ 460,523  
  670,000     

Toyota Auto Receivables Owner Trust, Series 2020-B, Class A3,

1.360%, 8/15/2024

      682,163  
  1,250,000     

United Auto Credit Securitization Trust, Series 2020-1, Class A,

0.850%, 5/10/2022, 144A

      1,249,955  
  2,940,000     

Westlake Automobile Receivables Trust, Series 2020-2A, Class A2A,

0.930%, 2/15/2024, 144A

      2,941,291  
  765,000     

World Omni Auto Receivables Trust, Series 2019-B, Class A3,

2.590%, 7/15/2024

      785,955  
     

 

 

  
        32,980,838  
     

 

 

  
  

ABS Home Equity – 0.1%

 

  770,201     

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

2.968%, 10/15/2049, 144A

      783,434  
  446,444     

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

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

      450,814  
     

 

 

  
        1,234,248  
     

 

 

  
  

ABS Other – 0.6%

 

  430,000     

CNH Equipment Trust, Series 2020-A, Class A3,

1.160%, 6/16/2025

      441,278  
  548,154     

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

3.700%, 1/21/2031, 144A

      558,992  
  805,000     

Kubota Credit Owner Trust, Series 2020-1A, Class A3,

1.960%, 3/15/2024, 144A

      826,188  
  825,000     

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

1-month LIBOR + 0.630%, 0.815%, 9/25/2023, 144A(b)

      821,981  
  1,181,744     

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

3.540%, 11/26/2027, 144A

      1,193,702  
  1,906,495     

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

2.800%, 6/15/2038, 144A

      1,908,268  
     

 

 

  
        5,750,409  
     

 

 

  
  

ABS Student Loan – 0.6%

 

  4,000,000     

Navient Private Education Refi Loan Trust, Series 2019-FA, Class A2,

2.600%, 8/15/2068, 144A

      4,109,907  
  1,605,000     

Navient Private Education Refi Loan Trust, Series 2020-DA, Class A,

1.690%, 5/15/2069, 144A

      1,610,539  
  58,636     

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

1-month LIBOR + 0.950%, 1.135%, 1/25/2039, 144A(b)

      58,583  
     

 

 

  
        5,779,029  
     

 

 

  
  

Agency Commercial Mortgage-Backed Securities – 26.1%

 

  7,364,690     

Federal National Mortgage Association, Series 2014-M2, Class A2,

3.513%, 12/25/2023(a)

      7,908,013  
  1,080,510     

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

1-month LIBOR + 0.930%, 1.648%, 11/25/2022(b)

      1,081,438  
  545,630     

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

2.263%, 2/25/2023

      554,583  
  5,860,309     

Federal National Mortgage Association, Series 2020-M5, Class FA,

1-month LIBOR + 0.460%, 0.633%, 1/25/2027(b)

      5,844,574  
  9,998,191     

FHLMC Multifamily Structured Pass Through Certificates, Series KF74, Class AS,

SOFR + 0.530%, 0.549%, 1/25/2027(b)

      10,010,683  

Principal

        Amount         

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
  

Agency Commercial Mortgage-Backed Securities – continued

 

$ 16,778,774     

FHLMC Multifamily Structured Pass Through Certificates, Series KF77, Class AL,

1-month LIBOR + 0.700%, 0.883%, 2/25/2027(b)

    $ 16,831,460  
  22,068,388     

FHLMC Multifamily Structured Pass Through Certificates, Series KF77, Class AS,

SOFR30A + 0.900%, 0.918%, 2/25/2027(b)

      22,096,437  
  31,425,000     

FHLMC Multifamily Structured Pass Through Certificates, Series KF78, Class AL,

1-month LIBOR + 0.800%, 0.983%, 3/25/2030(b)

      31,483,325  
  31,425,000     

FHLMC Multifamily Structured Pass Through Certificates, Series KF78, Class AS,

SOFR30A + 1.000%, 1.018%, 3/25/2030(b)

      31,483,199  
  7,720,000     

FHLMC Multifamily Structured Pass Through Certificates, Series KJ26, Class A2,

2.606%, 7/25/2027

      8,392,568  
  8,515,000     

FHLMC Multifamily Structured Pass Through Certificates, Series KS12, Class A,

1-month LIBOR + 0.650%, 0.830%, 8/25/2029(b)

      8,536,952  
  13,445,000     

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

3.799%, 12/25/2025

      15,259,715  
  4,116,059     

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

3.871%, 4/25/2021

      4,178,308  
  3,786,631     

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

3.230%, 7/25/2021

      3,870,451  
  5,984,039     

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

2.873%, 12/25/2021

      6,132,777  
  7,900,000     

FHLMC Multifamily Structured Pass Through Certificates, Series K034, Class A2,

3.531%, 7/25/2023(a)

      8,547,187  
  7,835,000     

FHLMC Multifamily Structured Pass Through Certificates, Series K035, Class A2,

3.458%, 8/25/2023(a)

      8,467,036  
  7,500,000     

FHLMC Multifamily Structured Pass Through Certificates, Series K038, Class A2,

3.389%, 3/25/2024

      8,198,621  
  2,580,000     

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

3.224%, 3/25/2027

      2,933,904  
  2,095,663     

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

2.666%, 5/25/2023

      2,163,715  
  8,000,000     

FHLMC Multifamily Structured Pass Through Certificates, Series KC06, Class A2,

2.541%, 8/25/2026

      8,614,518  
  219,421     

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

1-month LIBOR + 0.330%, 0.513%, 11/25/2021(b)

      218,742  
  974,472     

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

1-month LIBOR + 0.650%, 0.833%, 1/25/2023(b)

      975,078  
  3,867,859     

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

1-month LIBOR + 0.390%, 0.573%, 10/25/2025(b)

      3,885,297  
  13,451,897     

FHLMC Multifamily Structured Pass Through Certificates, Series KF72, Class A,

1-month LIBOR + 0.500%, 0.683%, 11/25/2026(b)

      13,549,861  
  4,855,000     

FHLMC Multifamily Structured Pass Through Certificates, Series KF79, Class AL,

1-month LIBOR + 0.470%, 0.653%, 5/25/2030(b)

      4,881,742  
  4,480,000     

FHLMC Multifamily Structured Pass Through Certificates, Series KF79, Class AS,

SOFR30A + 0.580%, 0.623%, 5/25/2030(b)

      4,482,695  
  130,159     

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

1-month LIBOR + 0.160%, 0.343%, 9/25/2022(b)

      130,053  
  175,887     

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

1-month LIBOR + 0.200%, 0.383%, 2/25/2023(b)

      175,760  
  10,261,000     

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

3.700%, 9/25/2026

      11,593,457  
  1,051,847     

FHLMC Multifamily Structured Pass Through Certificates, Series KJ28, Class A1,

1.766%, 2/25/2025

      1,072,726  
  3,579,642     

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

1-month LIBOR + 0.390%, 0.573%, 10/25/2045(b)

      3,581,946  

Principal

        Amount         

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
  

Agency Commercial Mortgage-Backed Securities – continued

 

$ 5,200,000     

FNMA,

3.580%, 1/01/2026

    $ 5,833,336  
  124,843     

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

5.291%, 11/16/2045(a)

      137,809  
  22,857     

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

5.438%, 3/16/2046(a)

      24,573  
     

 

 

  
        263,132,539  
     

 

 

  
  

Collateralized Mortgage Obligations – 18.2%

 

  23,386     

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

7-year CMT - 0.200%, 0.350%, 5/15/2023(b)(c)(d)

      22,915  
  18,223     

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

10-year CMT - 0.650%, 0.020%, 8/15/2023(b)(c)(d)

      17,748  
  101,152     

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

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

      111,494  
  782,784     

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

5.500%, 5/15/2035

      885,016  
  1,269,808     

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

5.000%, 9/15/2035

      1,463,455  
  693,555     

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

5.500%, 2/15/2038

      788,808  
  1,000,076     

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

2.838%, 6/15/2048(a)(e)

      1,073,807  
  1,101,759     

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

3.884%, 12/15/2036(a)(e)

      1,196,124  
  650,041     

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

1-month LIBOR + 2.100%, 2.285%, 6/15/2043(b)

      669,442  
  943,066     

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

5.500%, 6/25/2033

      1,102,536  
  4,905,155     

Federal National Mortgage Association, Series 2012-58, Class KF,

1-month LIBOR + 0.550%, 0.735%, 6/25/2042(b)

      4,930,639  
  7,583,662     

Federal National Mortgage Association, Series 2012-83, Class LF,

1-month LIBOR + 0.510%, 0.678%, 8/25/2042(b)

      7,608,921  
  11,410     

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

7-year CMT- 0.050%, 0.490%, 9/25/2022(b)(c)(d)

      11,236  
  19,620     

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

10-year CMT - 0.500%, 0.190%, 4/25/2024(b)(c)(d)

      19,084  
  7,660     

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

4.488%, 8/25/2042(a)(c)(d)

      8,194  
  292,773     

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

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

      306,033  
  594,795     

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

1-month LIBOR + 0.060%, 0.236%, 7/25/2037(b)

      584,908  
  991,171     

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

3.508%, 8/25/2038(a)

      1,068,864  
  2,882,070     

Federal National Mortgage Association, REMIC, Series 2012-56, Class FK,

1-month LIBOR + 0.450%, 0.635%, 6/25/2042(b)

      2,881,325  
  5,412,360     

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

1-month LIBOR + 1.000%, 1.185%, 7/25/2043(b)

      5,183,087  
  7,387,367     

Federal National Mortgage Association, REMIC, Series 2015-4, Class BF,

1-month LIBOR + 0.400%, 0.585%, 2/25/2045(b)

      7,380,310  
  13,310,379     

Federal National Mortgage Association, Series 2020-35, Class FA,

1-month LIBOR + 0.500%, 0.671%, 6/25/2050(b)

      13,424,409  

Principal

        Amount         

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
  

Collateralized Mortgage Obligations – continued

 

$ 7,247     

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

4.062%, 3/25/2044(a)(c)(d)

    $ 8,525  
  448,536     

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

12-month MTA + 1.200%, 2.704%, 10/25/2044(b)

      453,035  
  3,728,894     

Government National Mortgage Association, Series 2017-H05, Class FC,

1-month LIBOR + 0.750%, 1.053%, 2/20/2067(b)

      3,755,789  
  4,246,899     

Government National Mortgage Association, Series 2019-H13, Class FT,

1-year CMT + 0.450%, 0.620%, 8/20/2069(b)

      4,214,553  
  5,779,949     

Government National Mortgage Association, Series 2020-H02, Class FG,

1-month LIBOR + 0.600%, 0.903%, 1/20/2070(b)

      5,797,061  
  1,772,917     

Government National Mortgage Association, Series 2005-18, Class F,

1-month LIBOR + 0.200%, 0.390%, 2/20/2035(b)

      1,762,816  
  1,328,982     

Government National Mortgage Association, Series 2007-59, Class FM,

1-month LIBOR + 0.520%, 0.691%, 10/20/2037(b)

      1,333,058  
  552,599     

Government National Mortgage Association, Series 2009-H01, Class FA,

1-month LIBOR + 1.150%, 1.340%, 11/20/2059(b)(c)(d)

      554,811  
  1,073,043     

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

1-month LIBOR + 0.330%, 0.633%, 10/20/2060(b)

      1,067,500  
  879,891     

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

1-month LIBOR + 0.350%, 0.653%, 10/20/2060(b)

      875,348  
  499,789     

Government National Mortgage Association, Series 2010-H27, Class FA,

1-month LIBOR + 0.380%, 0.683%, 12/20/2060(b)

      497,666  
  55,487     

Government National Mortgage Association, Series 2011- H20, Class FA,

1-month LIBOR + 0.550%, 0.853%, 9/20/2061(b)

      55,510  
  699,824     

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

1-month LIBOR + 0.450%, 0.753%, 2/20/2061(b)

      698,316  
  55,628     

Government National Mortgage Association, Series 2011-H08, Class FA,

1-month LIBOR + 0.600%, 0.903%, 2/20/2061(b)

      55,706  
  82,560     

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

3.000%, 12/20/2061(c)(d)

      84,540  
  41,765     

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

6.500%, 7/20/2032(a)(c)(d)

      40,925  
  3,786,227     

Government National Mortgage Association, Series 2012-18, Class FM,

1-month LIBOR + 0.250%, 0.440%, 9/20/2038(b)

      3,772,797  
  1,927     

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

1-month LIBOR + 0.450%, 0.753%, 5/20/2062(b)(c)(d)

      1,902  
  697,916     

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

1-month LIBOR + 0.520%, 0.823%, 8/20/2062(b)

      697,764  
  2,004,186     

Government National Mortgage Association, Series 2012-H20, Class PT,

1.016%, 7/20/2062(a)

      2,001,896  
  160,463     

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

1-month LIBOR + 0.500%, 0.803%, 10/20/2062(b)(c)(d)

      159,542  
  53,641     

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

1-month LIBOR + 0.500%, 0.803%, 12/20/2062(b)(c)(d)

      53,063  
  2,929,988     

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

1-month LIBOR + 0.350%, 0.653%, 3/20/2063(b)

      2,919,414  
  1,925,428     

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

1-month LIBOR + 0.400%, 0.703%, 3/20/2063(b)

      1,919,582  
  328,026     

Government National Mortgage Association, Series 2013-H14, Class FG,

1-month LIBOR + 0.470%, 0.773%, 5/20/2063(b)

      327,563  
  7,093,042     

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

1-year CMT + 0.650%, 0.820%, 4/20/2063(b)

      7,064,769  
  4,813,654     

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

1-month LIBOR + 0.500%, 1.516%, 7/20/2064(b)

      4,808,013  

Principal

        Amount         

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
  

Collateralized Mortgage Obligations – continued

 

$ 3,522,113     

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

1-month LIBOR + 0.500%, 0.803%, 7/20/2064(b)

    $ 3,517,362  
  2,909,820     

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

1-month LIBOR + 0.470%, 0.773%, 2/20/2065(b)

      2,903,694  
  46,356     

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

1-month LIBOR + 0.300%, 0.603%, 4/20/2061(b)(c)(d)

      46,020  
  162,565     

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

1.750%, 3/20/2065(c)(d)

      162,439  
  317,521     

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

1-month LIBOR + 0.480%, 0.783%, 4/20/2065(b)

      316,853  
  4,872,095     

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

2.250%, 4/20/2065

      4,979,410  
  22,174     

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

1-month LIBOR + 0.250%, 0.553%, 4/20/2065(b)(c)(d)

      21,993  
  3,795,131     

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

1-month LIBOR + 0.230%, 0.533%, 5/20/2065(b)

      3,768,021  
  348,272     

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

1-month LIBOR + 0.300%, 0.603%, 7/20/2065(b)(c)(d)

      345,719  
  34,268     

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

1-month LIBOR + 0.700%, 1.003%, 10/20/2065(b)(c)(d)

      34,168  
  7,654     

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

1-month LIBOR + 0.680%, 0.983%, 8/20/2061(b)(c)(d)

      7,613  
  5,294,909     

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

1-month LIBOR + 0.920%, 1.223%, 2/20/2066(b)

      5,358,509  
  773,052     

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

1-month LIBOR + 0.600%, 0.903%, 4/20/2066(b)

      773,512  
  628,284     

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

1-month LIBOR + 0.400%, 0.703%, 9/20/2063(b)

      627,992  
  1,678,047     

Government National Mortgage Association, Series 2016-H20, Class FB,

1-month LIBOR + 0.550%, 0.853%, 9/20/2066(b)

      1,678,850  
  575,580     

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

1-month LIBOR + 0.250%, 0.553%, 10/20/2067(b)

      575,160  
  386,169     

Government National Mortgage Association, Series 2018-H02, Class FJ,

1-month LIBOR + 0.200%, 0.503%, 10/20/2064(b)

      385,384  
  7,474,191     

Government National Mortgage Association, Series 2018-H11, Class FJ,

12-month LIBOR + 0.080%, 2.590%, 6/20/2068(b)

      7,387,110  
  169,997     

Government National Mortgage Association, Series 2018-H14, Class FG,

1-month LIBOR + 0.350%, 0.653%, 9/20/2068(b)

      169,718  
  13,427,321     

Government National Mortgage Association, Series 2019-H04, Class NA,

3.500%, 9/20/2068

      14,702,428  
  4,392,081     

Government National Mortgage Association, Series 2020-30, Class F,

1-month LIBOR + 0.400%, 0.573%, 4/20/2048(b)

      4,386,592  
  7,968,604     

Government National Mortgage Association, Series 2020-53, Class NF,

1-month LIBOR + 0.450%, 0.623%, 5/20/2046(b)

      7,969,249  
  6,178,252     

Government National Mortgage Association, Series 2020-H04, Class FP,

1-month LIBOR + 0.500%, 0.803%, 6/20/2069(b)

      6,168,404  
  13,156,839     

Government National Mortgage Association, Series 2020-H07, Class FL,

1-month LIBOR + 0.650%, 0.840%, 4/20/2070(b)

      13,197,138  
  6,916,354     

Government National Mortgage Association, Series 2020-HO1, Class FT,

1-year CMT + 0.500%, 2.036%, 1/20/2070(b)

      6,916,381  
  182,981     

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

1-month LIBOR + 0.350%, 0.530%, 12/07/2020(b)

      182,755  
  216,390     

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

1-month LIBOR + 0.450%, 0.624%, 10/07/2020(b)

      216,088  
  751,879     

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

1-month LIBOR + 0.560%, 0.734%, 12/08/2020(b)

      750,516  
  50,143     

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

1-month LIBOR + 0.560%, 0.734%, 12/08/2020(b)

      50,143  
     

 

 

  
        183,319,040  
     

 

 

  

Principal

        Amount         

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
  

Hybrid ARMs – 4.3%

 

$ 4,720,201     

FHLMC,

12-month LIBOR + 1.841%, 2.759%, 1/01/2046(b)

    $ 4,913,143  
  389,082     

FHLMC,

6-month LIBOR + 1.701%, 3.116%, 6/01/2037(b)

      391,720  
  472,386     

FHLMC,

1-year CMT + 2.165%, 3.334%, 4/01/2036(b)

      475,336  
  167,166     

FHLMC,

12-month LIBOR + 1.636%, 3.524%, 11/01/2038(b)

      168,618  
  227,542     

FHLMC,

12-month LIBOR + 1.778%, 3.581%, 3/01/2038(b)

      231,109  
  216,019     

FHLMC,

1-year CMT + 1.941%, 3.648%, 9/01/2038(b)

      217,511  
  1,341,627     

FHLMC,

12-month LIBOR + 1.895%, 3.650%, 9/01/2041(b)

      1,411,773  
  180,975     

FHLMC,

12-month LIBOR + 1.831%, 3.683%, 11/01/2038(b)

      184,771  
  814,413     

FHLMC,

12-month LIBOR + 1.738%, 3.738%, 4/01/2037(b)

      827,402  
  201,807     

FHLMC,

1-year CMT + 2.250%, 3.759%, 2/01/2035(b)

      212,082  
  530,554     

FHLMC,

1-year CMT + 2.245%, 3.767%, 3/01/2036(b)

      558,354  
  212,166     

FHLMC,

12-month LIBOR + 1.724%, 3.784%, 4/01/2037(b)

      223,374  
  61,572     

FHLMC,

12-month LIBOR + 1.734%, 3.909%, 12/01/2037(b)

      61,795  
  1,276,506     

FHLMC,

1-year CMT + 2.27%, 3.934%, 2/01/2036(b)

      1,338,648  
  142,428     

FHLMC,

1-year CMT + 2.210%, 3.983%, 9/01/2038(b)

      143,569  
  879,467     

FHLMC,

12-month LIBOR + 1.759%, 4.008%, 9/01/2035(b)

      920,523  
  833,719     

FHLMC,

1-year CMT + 2.286%, 4.026%, 2/01/2036(b)

      874,973  
  2,219,868     

FHLMC,

1-year CMT + 2.248%, 4.119%, 3/01/2037(b)

      2,324,318  
  204,610     

FHLMC,

12-month LIBOR + 2.180%, 4.180%, 3/01/2037(b)

      206,756  
  229,726     

FHLMC,

12-month LIBOR + 1.931%, 4.228%, 12/01/2034(b)

      232,323  
  479,301     

FHLMC,

1-year CMT + 2.247%, 4.326%, 9/01/2038(b)

      500,579  
  695,809     

FHLMC,

1-year CMT + 2.220%, 4.595%, 7/01/2033(b)

      697,925  
  584,169     

FNMA,

6-month LIBOR + 1.540%, 3.085%, 7/01/2035(b)

      600,654  

Principal

        Amount         

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
  

Hybrid ARMs – continued

 

$ 349,290     

FNMA,

12-month LIBOR + 2.473%, 3.348%, 6/01/2035(b)

    $ 353,238  
  62,658     

FNMA,

6-month LIBOR + 1.558%, 3.419%, 2/01/2037(b)

      64,699  
  392,736     

FNMA,

12-month LIBOR + 1.609%, 3.572%, 4/01/2037(b)

      398,322  
  1,368,312     

FNMA,

12-month LIBOR + 1.560%, 3.635%, 4/01/2037(b)

      1,430,125  
  195,695     

FNMA,

1-year CMT + 2.192%, 3.692%, 4/01/2033(b)

      197,123  
  295,512     

FNMA,

12-month LIBOR + 1.656%, 3.715%, 10/01/2033(b)

      308,718  
  1,392,187     

FNMA,

12-month LIBOR + 1.800%, 3.734%, 10/01/2041(b)

      1,456,605  
  913,403     

FNMA,

12-month LIBOR + 1.590%, 3.739%, 7/01/2035(b)

      953,584  
  468,616     

FNMA,

12-month LIBOR + 1.765%, 3.765%, 2/01/2037(b)

      472,509  
  357,387     

FNMA,

1-year CMT + 2.213%, 3.779%, 4/01/2034(b)

      363,943  
  754,919     

FNMA,

6-month LIBOR + 2.265%, 3.786%, 7/01/2037(b)

      796,979  
  46,808     

FNMA,

12-month LIBOR + 1.754%, 3.795%, 1/01/2037(b)

      47,664  
  171,971     

FNMA,

12-month LIBOR + 1.800%, 3.800%, 3/01/2034(b)

      181,545  
  355,892     

FNMA,

12-month LIBOR + 1.800%, 3.800%, 12/01/2041(b)

      358,976  
  253,735     

FNMA,

12-month LIBOR + 1.682%, 3.801%, 11/01/2036(b)

      266,112  
  1,138,235     

FNMA,

12-month LIBOR + 1.805%, 3.806%, 3/01/2037(b)

      1,204,881  
  427,903     

FNMA,

1-year CMT + 2.185%, 3.810%, 1/01/2036(b)

      446,325  
  1,009,160     

FNMA,

12-month LIBOR + 1.820%, 3.820%, 2/01/2047(b)

      1,076,678  
  1,426,981     

FNMA,

1-year CMT + 2.175%, 3.918%, 12/01/2040(b)

      1,487,944  
  1,911,371     

FNMA,

1-year CMT + 2.222%, 3.930%, 4/01/2034(b)

      1,997,397  
  533,163     

FNMA,

1-year CMT + 2.164%, 3.934%, 6/01/2036(b)

      557,534  
  1,139,667     

FNMA,

12-month LIBOR + 1.725%, 3.940%, 9/01/2037(b)

      1,200,995  
  152,037     

FNMA,

12-month LIBOR + 1.731%, 3.943%, 11/01/2035(b)

      159,753  
  920,950     

FNMA,

12-month LIBOR + 1.596%, 3.960%, 9/01/2037(b)

      959,595  
  317,635     

FNMA,

1-year CMT + 2.135%, 3.967%, 9/01/2034(b)

      331,085  
  198,283     

FNMA,

1-year CMT + 2.185%, 4.040%, 12/01/2034(b)

      198,605  
  2,842,445     

FNMA,

1-year CMT + 2.189%, 4.048%, 10/01/2034(b)

      2,965,880  

Principal

        Amount         

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
  

Hybrid ARMs – continued

 

$ 186,009     

FNMA,

1-year CMT + 2.500%, 4.104%, 8/01/2036(b)

    $ 197,121  
  203,744     

FNMA,

1-year CMT + 2.500%, 4.199%, 5/01/2035(b)

      214,116  
  173,989     

FNMA,

12-month LIBOR + 1.561%, 4.201%, 8/01/2035(b)

      174,996  
  236,333     

FNMA,

1-year CMT + 2.287%, 4.271%, 10/01/2033(b)

      237,703  
  1,315,921     

FNMA,

1-year CMT + 2.173%, 4.276%, 11/01/2033(b)

      1,367,903  
  143,080     

FNMA,

1-year CMT + 2.145%, 4.277%, 9/01/2036(b)

      146,103  
  122,313     

FNMA,

12-month LIBOR + 1.801%, 4.279%, 7/01/2041(b)

      123,550  
  359,213     

FNMA,

1-year CMT + 2.223%, 4.303%, 8/01/2035(b)

      361,567  
  508,651     

FNMA,

12-month LIBOR + 1.703%, 4.328%, 8/01/2034(b)

      515,558  
  360,063     

FNMA,

12-month LIBOR + 1.657%, 4.347%, 8/01/2038(b)

      362,123  
  474,869     

FNMA,

12-month LIBOR + 1.619%, 4.369%, 7/01/2038(b)

      483,319  
  523,138     

FNMA,

1-year CMT +2.287%, 4.445%, 6/01/2033(b)

      523,713  
  1,016,662     

FNMA,

1-year CMT + 2.273%, 4.648%, 6/01/2037(b)

      1,059,831  
  63,409     

FNMA,

1-year CMT + 2.440%, 4.815%, 8/01/2033(b)

      63,628  
     

 

 

  
        43,785,301  
     

 

 

  
  

Mortgage Related – 2.8%

 

  43,638     

FHLMC,

3.000%, 10/01/2026

      45,949  
  339,010     

FHLMC,

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

      368,683  
  144,508     

FHLMC,

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

      152,843  
  45,147     

FHLMC,

5.500%, 10/01/2023

      46,990  
  10,258     

FHLMC,

COFI + 1.250%, 5.891%, 8/01/2020(b)

      10,234  
  17,004     

FHLMC,

COFI + 1.250%, 5.914%, 10/01/2020(b)

      17,032  
  23,398     

FHLMC,

COFI + 1.250%, 5.955%, 11/01/2020(b)

      23,374  
  191,166     

FHLMC,

6.500%, 12/01/2034

      221,442  
  122     

FHLMC,

7.500%, 6/01/2026

      134  
  117,659     

FNMA,

3.000%, 3/01/2042

      127,959  
  1,082,395     

FNMA,

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

      1,241,835  

Principal

        Amount         

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
  

Mortgage Related – continued

 

$ 463,141     

FNMA,

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

    $ 503,094  
  307,504     

FNMA,

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

      319,780  
  161,620     

FNMA,

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

      181,371  
  53,944     

FNMA,

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

      59,745  
  2,383,480     

GNMA,

1-month LIBOR + 1.740%, 2.738%, 2/20/2061(b)

      2,470,594  
  1,947,872     

GNMA,

1-month LIBOR + 1.890%, 2.879%, 2/20/2063(b)

      2,018,637  
  2,318,916     

GNMA,

1-month LIBOR + 2.159%, 3.150%, 3/20/2063(b)

      2,402,787  
  758,176     

GNMA,

1-month LIBOR + 2.244%, 3.233%, 6/20/2065(b)

      812,241  
  766,186     

GNMA,

1-month LIBOR + 2.267%, 3.252%, 5/20/2065(b)

      820,017  
  1,185,297     

GNMA,

1-month LIBOR + 2.356%, 3.347%, 2/20/2063(b)

      1,234,663  
  388,417     

GNMA,

4.056%, 3/20/2063(a)

      393,641  
  1,090,784     

GNMA,

4.152%, 6/20/2063(a)

      1,117,826  
  232,480     

GNMA,

4.165%, 2/20/2063(a)

      235,435  
  401,074     

GNMA,

4.213%, 12/20/2062(a)

      406,408  
  386,218     

GNMA,

4.220%, 11/20/2062(a)

      391,431  
  33,956     

GNMA,

4.289%, 12/20/2061(a)

      37,372  
  13,245     

GNMA,

4.326%, 8/20/2061(a)

      14,809  
  13,999     

GNMA,

4.438%, 8/20/2062(a)

      14,698  
  3,217,466     

GNMA,

4.475%, 10/20/2065(a)

      3,574,823  
  244,718     

GNMA,

4.523%, 4/20/2063(a)

      250,945  
  369,654     

GNMA,

4.578%, 7/20/2063(a)

      408,320  
  1,748,612     

GNMA,

4.599%, 2/20/2066(a)

      1,937,547  
  2,006,850     

GNMA,

4.624%, 3/20/2064(a)

      2,194,295  
  24,767     

GNMA,

4.630%, with various maturities from 2061 to 2062(a)(f)

      25,418  
  21,156     

GNMA,

4.640%, 4/20/2061(a)

      21,725  
  321,664     

GNMA,

4.641%, 1/20/2064(a)

      354,539  
  13,778     

GNMA,

4.644%, 2/20/2062(a)

      14,488  

Principal

        Amount         

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
  

Mortgage Related – continued

 

$ 1,728,610     

GNMA,

4.671%, 11/20/2063(a)

    $ 1,901,285  
  1,222,439     

GNMA,

4.684%, 5/20/2064(a)

      1,341,063  
  44,798     

GNMA,

4.700%, with various maturities from 2061 to 2062(a)(f)

      48,159  
  23,798     

GNMA,

4.714%, 8/20/2061(a)

      24,464  
  12,186     

GNMA,

4.720%, 3/20/2061(a)

      12,349  
  7,807     

GNMA,

5.070%, 3/20/2062(a)

      7,806  
  9,627     

GNMA,

6.000%, 12/15/2031

      11,235  
  39,642     

GNMA,

6.500%, 5/15/2031

      47,255  
  45,160     

GNMA,

7.000%, 10/15/2028

      50,884  
     

 

 

  
        27,917,624  
     

 

 

  
  

Non-Agency Commercial Mortgage-Backed Securities – 2.0%

 

  1,595,000     

BANK, Series 2020-BN25, Class A5,

2.649%, 1/15/2063

      1,725,343  
  1,310,000     

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

3.400%, 10/05/2030, 144A

      1,270,258  
  1,488,000     

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

3.961%, 3/10/2047

      1,611,187  
  4,282,000     

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

3.550%, 2/10/2049

      4,536,794  
  1,397,747     

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

4.537%, 7/10/2044, 144A

      1,419,410  
  4,159,430     

GS Mortgage Securities Trust, Series 2010-C2, Class A2,

5.162%, 12/10/2043, 144A(a)

      4,193,199  
  2,600,000     

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

3.914%, 8/05/2034, 144A

      2,323,054  
  1,040,000     

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

3.134%, 12/15/2048

      1,075,233  
  3,279,464     

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

1-month LIBOR + 1.470%, 1.655%, 11/15/2027, 144A(b)

      2,378,339  
     

 

 

  
        20,532,817  
     

 

 

  
  

Treasuries – 36.3%

 

  19,295,000     

U.S. Treasury Note,

0.125%, 5/31/2022

      19,280,680  
  27,075,000     

U.S. Treasury Note,

0.125%, 6/30/2022

      27,058,078  
  12,760,000     

U.S. Treasury Note,

0.250%, 6/30/2025

      12,735,078  
  47,425,000     

U.S. Treasury Note,

0.375%, 4/30/2025

      47,639,895  
  4,600,000     

U.S. Treasury Note,

0.500%, 3/31/2025

      4,649,055  
  35,270,000     

U.S. Treasury Note,

1.125%, 2/28/2022

      35,827,982  

Principal

        Amount         

     

Description

    Value (†)  
 

Bonds and Notes – continued

  
  

Treasuries – continued

 

$ 20,945,000     

U.S. Treasury Note,

1.250%, 7/31/2023

    $ 21,634,712  
  5,000,000     

U.S. Treasury Note,

1.375%, 9/30/2023

      5,193,164  
  19,720,000     

U.S. Treasury Note,

1.625%, 8/31/2022

      20,339,331  
  8,460,000     

U.S. Treasury Note,

1.750%, 6/30/2022

      8,726,358  
  12,480,000     

U.S. Treasury Note,

1.750%, 7/15/2022

      12,881,213  
  12,605,000     

U.S. Treasury Note,

1.750%, 9/30/2022

      13,051,591  
  16,165,000     

U.S. Treasury Note,

1.875%, 4/30/2022

      16,666,999  
  11,470,000     

U.S. Treasury Note,

2.000%, 2/15/2025

      12,384,912  
  6,000,000     

U.S. Treasury Note,

2.125%, 5/15/2022

      6,218,672  
  6,915,000     

U.S. Treasury Note,

2.250%, 1/31/2024

      7,420,659  
  3,340,000     

U.S. Treasury Note,

2.250%, 10/31/2024

      3,628,466  
  67,520,000     

U.S. Treasury Note,

2.875%, 10/31/2023

      73,533,500  
  6,030,000     

U.S. Treasury Note,

2.875%, 11/30/2023

      6,578,118  
  9,955,000     

U.S. Treasury Note,

2.875%, 7/31/2025

      11,242,539  
     

 

 

  
        366,691,002  
     

 

 

  
  

Total Bonds and Notes
(Identified Cost $933,085,004)

      951,122,847  
     

 

 

  
 

Short-Term Investments – 4.4%

  
  13,050,000     

Federal Home Loan Bank Discount Notes,

0.025%, 7/08/2020(g)

      13,049,696  
  16,895,000     

Federal Home Loan Bank Discount Notes,

0.030%-0.090%, 7/06/2020(g)(h)

      16,894,718  
  6,566,446      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2020 at 0.000% to be repurchased at $6,566,446 on 7/01/2020 collateralized by $6,222,300 U.S. Treasury Note, 1.625% due 2/15/2026 valued at $6,697,830 including accrued interest(i)      6,566,446  
  8,100,000     

U.S. Treasury Bills,

0.085%, 7/02/2020(g)

      8,099,979  
     

 

 

  
  

Total Short-Term Investments
(Identified Cost $44,611,193)

      44,610,839  
     

 

 

  
  

Total Investments – 98.7%
(Identified Cost $977,696,197)

      995,733,686  
  

Other assets less liabilities – 1.3%

      12,682,444  
     

 

 

  
  

Net Assets – 100.0%

    $ 1,008,416,130  
     

 

 

  

(†)

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, 2020 is disclosed.

(b)

Variable rate security. Rate as of June 30, 2020 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, 2020, the value of these securities amounted to $2,017,964 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, 2020, 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, 2020, the value of Rule 144A holdings amounted to $41,194,561 or 4.1% 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
MTN    Medium Term Note
REMIC    Real Estate Mortgage Investment Conduit
SOFR    Secured Overnight Financing Rate
SOFR30A    Secured Overnight Financing Rate 30-Day Average

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, 2020, at value:

Asset Valuation Inputs

 

Description

    Level 1      Level 2      Level 3     Total  

Bonds and Notes

           

Collateralized Mortgage Obligations

    $ —        $ 181,301,076      $ 2,017,964 (a)    $ 183,319,040  

All Other Bonds and Notes*

      —          767,803,807        —         767,803,807  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      —          949,104,883        2,017,964       951,122,847  
  

 

 

     

 

 

     

 

 

    

 

 

  

Short-Term Investments

      —          44,610,839        —         44,610,839  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ —        $ 993,715,722      $ 2,017,964     $ 995,733,686  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

*

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. The Fund’s adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. 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. 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, 2019 and/or June 30, 2020:

Asset Valuation Inputs

 

Investments in Securities

   Balance as of
September 30,
2019		     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, 2020		     Change in Unrealized
Appreciation (Depreciation)
from Investments Still Held at
June 30, 2020		  

Bonds and Notes

                    

Collateralized Mortgage Obligations

   $ 1,744,293     $ —       $ (213,734 )    $ 224,632     $ 634,734     $ (3,238,898 )    $ 2,866,937     $ —       $ 2,017,964     $ 206,434  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Debt securities valued at $2,866,937 were transferred from Level 2 to Level 3 during the period ended June 30, 2020. At September 30, 2019, 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, 2020 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.

Industry Summary at June 30, 2020 (Unaudited)

 

Treasuries

      36.3 % 

Agency Commercial Mortgage-Backed Securities

      26.1  

Collateralized Mortgage Obligations

      18.2  

Hybrid ARMs

      4.3  

ABS Car Loan

      3.3  

Mortgage Related

      2.8  

Non-Agency Commercial Mortgage-Backed Securities

      2.0  

Other Investments, less than 2% each

      1.3  

Short-Term Investments

      4.4  
  

 

 

  

Total Investments

      98.7  

Other assets less liabilities

      1.3  
  

 

 

  

Net Assets

      100.0 %