NPORT-EX 2 NPORT_IABN_6884482148.htm HTML

PORTFOLIO OF INVESTMENTS – as of June 30, 2021 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund

 

Principal
Amount

       

Description

    Value (†)  

Bonds and Notes – 95.0% of Net Assets

   
      

ABS Car Loan – 3.1%

 

 $              80,457        Ally Auto Receivables Trust, Series 2018-2, Class A3,
2.920%, 11/15/2022		     $              80,627  
    395,000        AmeriCredit Automobile Receivables Trust, Series 2020-2, Class A3,
0.660%, 12/18/2024		      396,422  
    840,000        Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A,
3.450%, 3/20/2023, 144A		      853,457  
    1,710,000        CarMax Auto Owner Trust, Series 2020-2, Class A3,
1.700%, 11/15/2024		      1,733,145  
    1,865,000        Carvana Auto Receivables Trust, Series 2021-N2, Class A2,
0.970%, 3/10/2028		      1,861,109  
    1,955,000        Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A,
2.380%, 11/15/2028, 144A		      1,992,484  
    9,695,000        Credit Acceptance Auto Loan Trust, Series 2020-3A, Class A,
1.240%, 10/15/2029, 144A		      9,793,212  
    382,373        Flagship Credit Auto Trust, Series 2020-2, Class A,
1.490%, 7/15/2024, 144A		      383,961  
    623,494        Flagship Credit Auto Trust, Series 2020-3, Class A,
0.700%, 4/15/2025, 144A		      625,374  
    595,000        Ford Credit Auto Owner Trust, Series 2020-A, Class A3,
1.040%, 8/15/2024		      599,526  
    475,000        GM Financial Automobile Leasing Trust, Series 2020-2, Class A3,
0.800%, 7/20/2023		      477,545  
    849,281        GM Financial Consumer Automobile Receivables Trust, Series 2019-4, Class A3,
1.750%, 7/16/2024		      857,953  
    1,076,182        GM Financial Consumer Automobile Receivables Trust, Series 2019-3, Class A3,
2.180%, 4/16/2024		      1,088,601  
    1,170,000        GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3,
1.840%, 9/16/2024		      1,185,134  
    500,000        GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3,
1.490%, 12/16/2024		      507,088  
    131,381        Honda Auto Receivables Owner Trust, Series 2019-2, Class A3,
2.520%, 6/21/2023		      133,059  
    410,000        Honda Auto Receivables Owner Trust, Series 2020-1, Class A3,
1.610%, 4/22/2024		      415,725  
    585,000        Hyundai Auto Receivables Trust, Series 2020-A, Class A3,
1.410%, 11/15/2024		      593,409  
    1,805,000        Nissan Auto Receivables Owner Trust, Series 2020-A, Class A3,
1.380%, 12/16/2024		      1,827,981  
    1,354,080        Santander Consumer Auto Receivables Trust, Series 2020-AA, Class A,
1.370%, 10/15/2024, 144A		      1,363,450  
    630,000        Santander Drive Auto Receivables Trust, Series 2020-2, Class A3,
0.670%, 4/15/2024		      631,047  
    765,000        Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A,
1.350%, 5/25/2033, 144A		      780,186  
    546,423        Toyota Auto Receivables Owner Trust, Series 2017-C, Class A4,
1.980%, 12/15/2022		      546,826  
    714,593        Toyota Auto Receivables Owner Trust, Series 2019-A, Class A3,
2.910%, 7/17/2023		      724,005  
    450,000        Toyota Auto Receivables Owner Trust, Series 2020-A, Class A3,
1.660%, 5/15/2024		      456,293  

Principal
Amount

       

Description

    Value (†)  

Bonds and Notes – continued

   
      

ABS Car Loan – continued

 

 $            670,000        Toyota Auto Receivables Owner Trust, Series 2020-B, Class A3,
1.360%, 8/15/2024		     $           680,270  
    5,834        United Auto Credit Securitization Trust, Series 2020-1, Class A,
0.850%, 5/10/2022, 144A		      5,835  
    1,609,733        Westlake Automobile Receivables Trust, Series 2020-2A, Class A2A,
0.930%, 2/15/2024, 144A		      1,614,585  
    514,312        World Omni Auto Receivables Trust, Series 2019-B, Class A3,
2.590%, 7/15/2024		      520,352  
         

 

 

  
            32,728,661  
         

 

 

  
      

ABS Home Equity – 0.0%

 

    173,737        CoreVest American Finance Trust, Series 2017-1, Class A,
2.968%, 10/15/2049, 144A		      174,119  
         

 

 

  
      

ABS Other – 0.8%

 

    925,177        Chesapeake Funding II LLC, Series 2020-1A, Class A1,
0.870%, 8/16/2032, 144A		      929,923  
    430,000        CNH Equipment Trust, Series 2020-A, Class A3,
1.160%, 6/16/2025		      434,718  
    389,815        Diamond Resorts Owner Trust, Series 2018-1, Class A,
3.700%, 1/21/2031, 144A		      406,092  
    2,250,000        Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2,
0.560%, 12/11/2034, 144A		      2,252,677  
    805,000        Kubota Credit Owner Trust, Series 2020-1A, Class A3,
1.960%, 3/15/2024, 144A		      820,547  
    763,901        MVW LLC, Series 2020-1A, Class A,
1.740%, 10/20/2037, 144A		      776,965  
    1,292,943        Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A,
1.330%, 7/20/2037, 144A		      1,298,089  
    1,447,522        Welk Resorts LLC, Series 2019-AA, Class A,
2.800%, 6/15/2038, 144A		      1,504,994  
         

 

 

  
            8,424,005  
         

 

 

  
      

ABS Student Loan – 0.6%

 

    3,064,950        Navient Private Education Refi Loan Trust, Series 2019-FA, Class A2,
2.600%, 8/15/2068, 144A		      3,123,046  
    945,920        Navient Private Education Refi Loan Trust, Series 2020-DA, Class A,
1.690%, 5/15/2069, 144A		      955,237  
    2,620,000        Navient Private Education Refi Loan Trust, Series 2021-CA, Class A,
1.060%, 10/15/2069, 144A		      2,626,676  
    36,756        SoFi Professional Loan Program LLC, Series 2016-D, Class A1,
1-month LIBOR + 0.950%, 1.042%, 1/25/2039, 144A(a)		      36,899  
         

 

 

  
            6,741,858  
         

 

 

  
      

Agency Commercial Mortgage-Backed Securities – 30.0%

 

    6,343,656        Federal National Mortgage Association, Series 2014-M2, Class A2,
3.513%, 12/25/2023(b)		      6,741,352  
    876,192        Federal National Mortgage Association, Series 2015-M17, Class FA,
1-month LIBOR + 0.930%, 1.028%, 11/25/2022(a)		      877,377  
    170,499        Federal National Mortgage Association, Series 2016-M3, Class ASQ2,
2.263%, 2/25/2023		      171,413  
    4,488,418        Federal National Mortgage Association, Series 2020-M5, Class FA,
1-month LIBOR + 0.460%, 0.552%, 1/25/2027(a)		      4,545,062  

Principal
Amount

       

Description

    Value (†)  

Bonds and Notes – continued

   
      

Agency Commercial Mortgage-Backed Securities – continued

 

 $         7,599,563        FHLMC Multifamily Structured Pass Through Certificates, Series KF74, Class AS,
1-month Average Compounded SOFR + 0.530%, 0.540%, 1/25/2027(a)		     $        7,648,065  
    13,589,087        FHLMC Multifamily Structured Pass Through Certificates, Series KF77, Class AL,
1-month LIBOR + 0.700%, 0.786%, 2/25/2027(a)		      13,726,404  
    17,873,132        FHLMC Multifamily Structured Pass Through Certificates, Series KF77, Class AS,
30-day Average SOFR + 0.900%, 0.910%, 2/25/2027(a)		      17,843,212  
    31,425,000        FHLMC Multifamily Structured Pass Through Certificates, Series KF78, Class AL,
1-month LIBOR + 0.800%, 0.886%, 3/25/2030(a)		      31,478,642  
    31,425,000        FHLMC Multifamily Structured Pass Through Certificates, Series KF78, Class AS,
30-day Average SOFR + 1.000%, 1.010%, 3/25/2030(a)		      31,786,604  
    8,515,000        FHLMC Multifamily Structured Pass Through Certificates, Series KS12, Class A,
1-month LIBOR + 0.650%, 0.736%, 8/25/2029(a)		      8,527,810  
    13,170,141        FHLMC Multifamily Structured Pass Through Certificates, Series KJ20, Class A2,
3.799%, 12/25/2025		      14,364,065  
    5,974,690        FHLMC Multifamily Structured Pass Through Certificates, Series K-F100, Class AS,
30-day Average SOFR + 0.180%, 0.190%, 1/25/2028(a)		      5,963,411  
    1,030,202        FHLMC Multifamily Structured Pass Through Certificates, Series K015, Class A2,
3.230%, 7/25/2021		      1,030,045  
    5,753,433        FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class A2,
2.873%, 12/25/2021		      5,793,575  
    7,900,000        FHLMC Multifamily Structured Pass Through Certificates, Series K034, Class A2,
3.531%, 7/25/2023(b)		      8,359,020  
    7,835,000        FHLMC Multifamily Structured Pass Through Certificates, Series K035, Class A2,
3.458%, 8/25/2023(b)		      8,292,121  
    7,500,000        FHLMC Multifamily Structured Pass Through Certificates, Series K038, Class A2,
3.389%, 3/25/2024		      8,023,528  
    2,580,000        FHLMC Multifamily Structured Pass Through Certificates, Series K064, Class A2,
3.224%, 3/25/2027		      2,856,421  
    1,212,082        FHLMC Multifamily Structured Pass Through Certificates, Series K725, Class A1,
2.666%, 5/25/2023		      1,228,482  
    8,000,000        FHLMC Multifamily Structured Pass Through Certificates, Series KC06, Class A2,
2.541%, 8/25/2026		      8,323,465  
    216,610        FHLMC Multifamily Structured Pass Through Certificates, Series KF06, Class A,
1-month LIBOR + 0.330%, 0.416%, 11/25/2021(a)		      216,644  
    445,689        FHLMC Multifamily Structured Pass Through Certificates, Series KF14, Class A,
1-month LIBOR + 0.650%, 0.736%, 1/25/2023(a)		      446,151  
    2,577,992        FHLMC Multifamily Structured Pass Through Certificates, Series KF53, Class A,
1-month LIBOR + 0.390%, 0.476%, 10/25/2025(a)		      2,586,854  
    11,870,508        FHLMC Multifamily Structured Pass Through Certificates, Series KF72, Class A,
1-month LIBOR + 0.500%, 0.586%, 10/25/2026(a)		      11,953,668  
    4,723,134        FHLMC Multifamily Structured Pass Through Certificates, Series KF79, Class AL,
1-month LIBOR + 0.470%, 0.556%, 5/25/2030(a)		      4,765,158  
    4,358,320        FHLMC Multifamily Structured Pass Through Certificates, Series KF79, Class AS,
30-day Average SOFR + 0.580%, 0.590%, 5/25/2030(a)		      4,387,550  
    8,635,171        FHLMC Multifamily Structured Pass Through Certificates, Series KF80, Class AL,
1-month LIBOR + 0.440%, 0.526%, 6/25/2030(a)		      8,677,649  
    4,851,770        FHLMC Multifamily Structured Pass Through Certificates, Series KF80, Class AS,
30-day Average SOFR + 0.510%, 0.520%, 6/25/2030(a)		      4,880,751  
    3,168,118        FHLMC Multifamily Structured Pass Through Certificates, Series KF81, Class AL,
1-month LIBOR + 0.360%, 0.446%, 6/25/2027(a)		      3,189,002  
    2,376,088        FHLMC Multifamily Structured Pass Through Certificates, Series KF81, Class AS,
30-day Average SOFR + 0.400%, 0.410%, 6/25/2027(a)		      2,384,057  

Principal
Amount

       

Description

    Value (†)  

Bonds and Notes – continued

   
      

Agency Commercial Mortgage-Backed Securities – continued

 

 $         1,727,096        FHLMC Multifamily Structured Pass Through Certificates, Series KF84, Class AL,
1-month LIBOR + 0.300%, 0.386%, 7/25/2030(a)		     $        1,732,077  
    1,452,954        FHLMC Multifamily Structured Pass Through Certificates, Series KF84, Class AS,
30-day Average SOFR + 0.320%, 0.330%, 7/25/2030(a)		      1,461,798  
    1,773,489        FHLMC Multifamily Structured Pass Through Certificates, Series KF85, Class AL,
1-month LIBOR + 0.300%, 0.386%, 8/25/2030(a)		      1,770,868  
    4,727,710        FHLMC Multifamily Structured Pass Through Certificates, Series KF85, Class AS,
30-day Average SOFR + 0.330%, 0.340%, 8/25/2030(a)		      4,760,412  
    2,554,193        FHLMC Multifamily Structured Pass Through Certificates, Series KF86, Class AL,
1-month LIBOR + 0.290%, 0.376%, 8/25/2027(a)		      2,558,091  
    2,280,821        FHLMC Multifamily Structured Pass Through Certificates, Series KF86, Class AS,
30-day Average SOFR + 0.320%, 0.330%, 8/25/2027(a)		      2,291,372  
    10,261,000        FHLMC Multifamily Structured Pass Through Certificates, Series KJ21, Class A2,
3.700%, 9/25/2026		      11,325,562  
    7,720,000        FHLMC Multifamily Structured Pass Through Certificates, Series KJ26, Class A2,
2.606%, 7/25/2027		      8,265,559  
    854,192        FHLMC Multifamily Structured Pass Through Certificates, Series KJ28, Class A1,
1.766%, 2/25/2025		      863,581  
    2,855,000        FHLMC Multifamily Structured Pass Through Certificates, Series KS14, Class AL,
1-month LIBOR + 0.340%, 0.426%, 4/25/2030(a)		      2,856,802  
    3,140,000        FHLMC Multifamily Structured Pass Through Certificates, Series KS14, Class AS,
30-day Average SOFR + 0.370%, 0.380%, 4/25/2030(a)		      3,168,043  
    2,253,401        FHLMC Multifamily Structured Pass Through Certificates, Series Q008, Class A,
1-month LIBOR + 0.390%, 0.476%, 10/25/2045(a)		      2,259,447  
    5,200,000        FNMA,
3.580%, 1/01/2026		      5,737,293  
    20,600,000        Freddie Mac Multifamily Structured Pass Through Certificates, Series K-107, Class AS,
30-day Average SOFR + 0.250%, 0.268%, 3/25/2028(a)		      20,600,000  
    1,544,364        Freddie Mac Multifamily Structured Pass Through Certificates, Series KF93, Class AL,
1-month LIBOR + 0.280%, 0.366%, 10/25/2027(a)		      1,547,129  
    1,854,236        Freddie Mac Multifamily Structured Pass Through Certificates, Series KF93, Class AS,
30-day Average SOFR + 0.310%, 0.320%, 10/25/2027(a)		      1,859,899  
    5,185,000        Freddie Mac Multifamily Structured Pass Through Certificates, Series KF97, Class AS,
30-day Average SOFR + 0.250%, 0.260%, 12/25/2030(a)		      5,185,000  
    3,674,617        Freddie Mac Multifamily Structured Pass Through Certificates, Series Q015, Class A,
30-day Average SOFR + 0.200%, 0.219%, 8/25/2024(a)		      3,674,588  
    108,967        Government National Mortgage Association, Series 2003-72, Class Z,
5.296%, 11/16/2045(b)		      118,984  
         

 

 

  
            313,104,063  
         

 

 

  
      

Collateralized Mortgage Obligations – 15.0%

 

    11,376        Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD,
7-year CMT - 0.200%, 1.050%, 5/15/2023(a)(c)(d)		      11,180  
    9,635        Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I,
10-year CMT - 0.650%, 0.990%, 8/15/2023(a)(c)(d)		      9,424  
    79,405        Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB,
6.000%, 3/15/2029(c)(d)		      87,639  
    644,030        Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG,
5.500%, 5/15/2035		      733,307  

Principal
Amount

       

Description

    Value (†)  

Bonds and Notes – continued

   
      

Collateralized Mortgage Obligations – continued

 

 $            905,767        Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE,
5.000%, 9/15/2035		     $        1,032,681  
    445,607        Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY,
5.500%, 2/15/2038(c)(d)		      496,467  
    792,159        Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, IO,
2.752%, 6/15/2048(b)(e)		      849,409  
    820,794        Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, IO,
3.823%, 12/15/2036(b)(e)		      873,517  
    209,131        Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW,
2.173%, 6/15/2043(b)(c)(d)		      216,773  
    768,230        Federal National Mortgage Association, REMIC, Series 2003-48, Class GH,
5.500%, 6/25/2033(c)(d)		      878,793  
    2,753,084        Federal National Mortgage Association, REMIC, Series 2012-58, Class KF,
1-month LIBOR + 0.550%, 0.642%, 6/25/2042(a)		      2,793,438  
    4,416,839        Federal National Mortgage Association, Series 2012-83, Class LF,
1-month LIBOR + 0.510%, 0.602%, 8/25/2042(a)		      4,478,164  
    4,706        Federal National Mortgage Association, REMIC, Series 1992-162, Class FB,
7-year CMT - 0.050%, 1.190%, 9/25/2022(a)(c)(d)		      4,648  
    12,137        Federal National Mortgage Association, REMIC, Series 1994-42, Class FD,
10-year CMT - 0.500%, 1.140%, 4/25/2024(a)(c)(d)		      11,845  
    6,406        Federal National Mortgage Association, REMIC, Series 2002-W10, Class A7,
4.175%, 8/25/2042(b)(c)(d)		      6,863  
    166,300        Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ,
5.500%, 11/25/2025(c)(d)		      172,408  
    433,492        Federal National Mortgage Association, REMIC, Series 2007-73, Class A1,
1-month LIBOR + 0.060%, 0.152%, 7/25/2037(a)		      425,806  
    798,820        Federal National Mortgage Association, REMIC, Series 2008-86, Class LA,
3.471%, 8/25/2038(b)		      836,754  
    1,756,670        Federal National Mortgage Association, REMIC, Series 2012-56, Class FK,
1-month LIBOR + 0.450%, 0.542%, 6/25/2042(a)		      1,775,000  
    3,068,696        Federal National Mortgage Association, REMIC, Series 2013-67, Class NF,
1-month LIBOR + 1.000%, 1.092%, 7/25/2043(a)		      2,997,663  
    5,215,313        Federal National Mortgage Association, REMIC, Series 2015-4, Class BF,
1-month LIBOR + 0.400%, 0.492%, 2/25/2045(a)		      5,250,750  
    8,535,700        Federal National Mortgage Association, REMIC, Series 2020-35, Class FA,
1-month LIBOR + 0.500%, 0.610%, 6/25/2050(a)		      8,633,732  
    6,323        FHLMC Structured Pass Through Securities, Series T-60, Class 2A1,
3.701%, 3/25/2044(b)(c)(d)		      7,280  
    359,197        FHLMC Structured Pass Through Securities, Series T-62, Class 1A1,
12-month MTA + 1.200%, 1.316%, 10/25/2044(a)(c)(d)		      367,040  
    3,218,522        Government National Mortgage Association, Series 2017-H05, Class FC,
1-month LIBOR + 0.750%, 0.857%, 2/20/2067(a)		      3,257,672  
    3,291,287        Government National Mortgage Association, Series 2019-H13, Class FT,
1-year CMT + 0.450%, 0.500%, 8/20/2069(a)		      3,288,538  
    4,950,192        Government National Mortgage Association, Series 2020-H02, Class FG,
1-month LIBOR + 0.600%, 0.707%, 1/20/2070(a)		      5,014,050  
    1,357,851        Government National Mortgage Association, Series 2005-18, Class F,
1-month LIBOR + 0.200%, 0.293%, 2/20/2035(a)		      1,356,934  
    996,074        Government National Mortgage Association, Series 2007-59, Class FM,
1-month LIBOR + 0.520%, 0.613%, 10/20/2037(a)		      1,002,462  
    403,737        Government National Mortgage Association, Series 2009-H01, Class FA,
1-month LIBOR + 1.150%, 1.243%, 11/20/2059(a)(c)(d)		      404,878  
    928,098        Government National Mortgage Association, Series 2010-H20, Class AF,
1-month LIBOR + 0.330%, 0.437%, 10/20/2060(a)		      929,195  

Principal
Amount

       

Description

    Value (†)  

Bonds and Notes – continued

   
      

Collateralized Mortgage Obligations – continued

 

 $            766,931        Government National Mortgage Association, Series 2010-H24, Class FA,
1-month LIBOR + 0.350%, 0.457%, 10/20/2060(a)		     $           768,276  
    432,498        Government National Mortgage Association, Series 2010-H27, Class FA,
1-month LIBOR + 0.380%, 0.487%, 12/20/2060(a)		      433,593  
    47,238        Government National Mortgage Association, Series 2011- H20, Class FA,
1-month LIBOR + 0.550%, 0.657%, 9/20/2061(a)		      47,519  
    596,022        Government National Mortgage Association, Series 2011-H06, Class FA,
1-month LIBOR + 0.450%, 0.557%, 2/20/2061(a)		      598,377  
    42,130        Government National Mortgage Association, Series 2011-H08, Class FA,
1-month LIBOR + 0.600%, 0.707%, 2/20/2061(a)		      42,389  
    32,202        Government National Mortgage Association, Series 2011-H23, Class HA,
3.000%, 12/20/2061(c)(d)		      33,801  
    32,268        Government National Mortgage Association, Series 2012-124, Class HT,
6.500%, 7/20/2032(b)(c)(d)		      31,625  
    2,942,846        Government National Mortgage Association, Series 2012-18, Class FM,
1-month LIBOR + 0.250%, 0.343%, 9/20/2038(a)		      2,947,021  
    458        Government National Mortgage Association, Series 2012-H15, Class FA,
1-month LIBOR + 0.450%, 0.557%, 5/20/2062(a)(c)(d)		      455  
    535,340        Government National Mortgage Association, Series 2012-H18, Class NA,
1-month LIBOR + 0.520%, 0.627%, 8/20/2062(a)		      538,158  
    1,664,814        Government National Mortgage Association, Series 2012-H20, Class PT,
0.908%, 7/20/2062(b)		      1,662,100  
    122,947        Government National Mortgage Association, Series 2012-H29, Class HF,
1-month LIBOR + 0.500%, 0.607%, 10/20/2062(a)(c)(d)		      122,474  
    42,672        Government National Mortgage Association, Series 2013-H02, Class GF,
1-month LIBOR + 0.500%, 0.607%, 12/20/2062(a)(c)(d)		      42,483  
    1,853,536        Government National Mortgage Association, Series 2013-H08, Class FA,
1-month LIBOR + 0.350%, 0.457%, 3/20/2063(a)		      1,856,090  
    1,507,390        Government National Mortgage Association, Series 2013-H10, Class FA,
1-month LIBOR + 0.400%, 0.507%, 3/20/2063(a)		      1,511,303  
    246,415        Government National Mortgage Association, Series 2013-H14, Class FG,
1-month LIBOR + 0.470%, 0.577%, 5/20/2063(a)		      247,362  
    5,850,744        Government National Mortgage Association, Series 2013-H22, Class FT,
1-year CMT + 0.650%, 0.700%, 4/20/2063(a)		      5,828,395  
    4,077,981        Government National Mortgage Association, Series 2014-H14, Class FA,
1-month LIBOR + 0.500%, 0.610%, 7/20/2064(a)		      4,105,276  
    3,131,853        Government National Mortgage Association, Series 2014-H15, Class FA,
1-month LIBOR + 0.500%, 0.607%, 7/20/2064(a)		      3,155,385  
    2,402,643        Government National Mortgage Association, Series 2015-H04, Class FL,
1-month LIBOR + 0.470%, 0.577%, 2/20/2065(a)		      2,416,045  
    21,520        Government National Mortgage Association, Series 2015-H05, Class FA,
1-month LIBOR + 0.300%, 0.407%, 4/20/2061(a)(c)(d)		      21,419  
    20,077        Government National Mortgage Association, Series 2015-H09, Class HA,
1.750%, 3/20/2065(c)(d)		      20,151  
    292,911        Government National Mortgage Association, Series 2015-H10, Class FC,
1-month LIBOR + 0.480%, 0.587%, 4/20/2065(a)		      294,871  
    4,608,896        Government National Mortgage Association, Series 2015-H10, Class JA,
2.250%, 4/20/2065		      4,732,805  
    5,212        Government National Mortgage Association, Series 2015-H11, Class FA,
1-month LIBOR + 0.250%, 0.357%, 4/20/2065(a)(c)(d)		      5,158  
    3,002,743        Government National Mortgage Association, Series 2015-H12, Class FL,
1-month LIBOR + 0.230%, 0.337%, 5/20/2065(a)		      2,999,778  
    125,408        Government National Mortgage Association, Series 2015-H19, Class FH,
1-month LIBOR + 0.300%, 0.407%, 7/20/2065(a)(c)(d)		      124,823  

Principal
Amount

       

Description

    Value (†)  

Bonds and Notes – continued

   
      

Collateralized Mortgage Obligations – continued

 

 $                5,662        Government National Mortgage Association, Series 2015-H29, Class FA,
1-month LIBOR + 0.700%, 0.807%, 10/20/2065(a)(c)(d)		     $               5,643  
    6,606        Government National Mortgage Association, Series 2015-H30, Class FA,
1-month LIBOR + 0.680%, 0.787%, 8/20/2061(a)(c)(d)		      6,624  
    4,504,328        Government National Mortgage Association, Series 2016-H06, Class FC,
1-month LIBOR + 0.920%, 1.027%, 2/20/2066(a)		      4,591,526  
    20,935        Government National Mortgage Association, Series 2016-H10, Class FJ,
1-month LIBOR + 0.600%, 0.707%, 4/20/2066(a)(c)(d)		      20,730  
    29,733        Government National Mortgage Association, Series 2016-H19, Class FJ,
1-month LIBOR + 0.400%, 0.507%, 9/20/2063(a)(c)(d)		      29,439  
    1,395,255        Government National Mortgage Association, Series 2016-H20, Class FB,
1-month LIBOR + 0.550%, 0.657%, 9/20/2066(a)		      1,405,654  
    91,721        Government National Mortgage Association, Series 2018-H02, Class FJ,
1-month LIBOR + 0.200%, 0.307%, 10/20/2064(a)		      91,674  
    6,377,832        Government National Mortgage Association, Series 2018-H11, Class FJ,
12-month LIBOR + 0.080%, 0.718%, 6/20/2068(a)		      6,313,082  
    147,878        Government National Mortgage Association, Series 2018-H14, Class FG,
1-month LIBOR + 0.350%, 0.457%, 9/20/2068(a)		      147,584  
    8,993,579        Government National Mortgage Association, Series 2018-H16, Class FA,
1-month LIBOR + 0.420%, 0.527%, 9/20/2068(a)		      9,052,194  
    8,759,688        Government National Mortgage Association, Series 2019-H04, Class NA,
3.500%, 9/20/2068		      9,420,673  
    2,857,615        Government National Mortgage Association, Series 2020-30, Class F,
1-month LIBOR + 0.400%, 0.486%, 4/20/2048(a)		      2,871,109  
    5,262,382        Government National Mortgage Association, Series 2020-53, Class NF,
1-month LIBOR + 0.450%, 0.536%, 5/20/2046(a)		      5,246,879  
    5,402,884        Government National Mortgage Association, Series 2020-H04, Class FP,
1-month LIBOR + 0.500%, 0.607%, 6/20/2069(a)		      5,449,897  
    11,173,405        Government National Mortgage Association, Series 2020-H07, Class FL,
1-month LIBOR + 0.650%, 0.743%, 4/20/2070(a)		      11,234,926  
    12,195,266        Government National Mortgage Association, Series 2020-H10, Class FD,
1-month LIBOR + 0.400%, 0.493%, 5/20/2070(a)		      12,083,593  
    5,503,969        Government National Mortgage Association, Series 2020-HO1, Class FT,
1-year CMT + 0.500%, 0.610%, 1/20/2070(a)		      5,501,547  
         

 

 

  
            156,264,216  
         

 

 

  
      

Hybrid ARMs – 3.1%

 

    305,063        FHLMC,
6-month LIBOR + 1.711%, 1.961%, 6/01/2037(a)		      305,303  
    179,807        FHLMC,
12-month LIBOR + 1.753%, 2.052%, 3/01/2038(a)		      181,962  
    205,261        FHLMC,
1-year CMT + 1.941%, 2.065%, 9/01/2038(a)		      206,246  
    177,067        FHLMC,
12-month LIBOR + 1.733%, 2.106%, 4/01/2037(a)		      184,946  
    1,072,298        FHLMC,
12-month LIBOR + 1.894%, 2.147%, 9/01/2041(a)		      1,133,705  
    156,054        FHLMC,
12-month LIBOR + 1.829%, 2.186%, 11/01/2038(a)		      158,524  
    53,717        FHLMC,
12-month LIBOR + 1.742%, 2.246%, 12/01/2037(a)		      54,107  
    476,076        FHLMC,
12-month LIBOR + 1.899%, 2.274%, 4/01/2037(a)		      479,856  

Principal
Amount

       

Description

    Value (†)  

Bonds and Notes – continued

   
      

Hybrid ARMs – continued

 

 $            118,482        FHLMC,
12-month LIBOR + 1.662%, 2.285%, 11/01/2038(a)		     $           119,425  
    399,798        FHLMC,
1-year CMT + 2.165%, 2.290%, 4/01/2036(a)		      400,391  
    2,394,879        FHLMC,
12-month LIBOR + 1.842%, 2.355%, 1/01/2046(a)		      2,486,342  
    114,774        FHLMC,
1-year CMT + 2.209%, 2.367%, 9/01/2038(a)		      115,411  
    525,522        FHLMC,
12-month LIBOR + 1.764%, 2.373%, 9/01/2035(a)		      548,748  
    394,849        FHLMC,
1-year CMT + 2.245%, 2.374%, 3/01/2036(a)		      421,636  
    128,861        FHLMC,
1-year CMT + 2.250%, 2.375%, 2/01/2035(a)		      137,394  
    1,021,090        FHLMC,
1-year CMT + 2.255%, 2.395%, 2/01/2036(a)		      1,085,074  
    536,890        FHLMC,
1-year CMT + 2.285%, 2.410%, 2/01/2036(a)		      567,642  
    1,774,650        FHLMC,
1-year CMT + 2.249%, 2.466%, 3/01/2037(a)		      1,887,172  
    367,352        FHLMC,
1-year CMT + 2.247%, 2.521%, 9/01/2038(a)		      390,513  
    51,237        FHLMC,
12-month LIBOR + 2.180%, 2.555%, 3/01/2037(a)		      51,589  
    513,863        FHLMC,
1-year CMT + 2.220%, 2.595%, 7/01/2033(a)		      516,830  
    179,631        FHLMC,
12-month LIBOR + 1.935%, 2.631%, 12/01/2034(a)		      181,926  
    22,316        FNMA,
6-month LIBOR + 1.460%, 1.710%, 2/01/2037(a)		      22,821  
    413,304        FNMA,
6-month LIBOR + 1.546%, 1.796%, 7/01/2035(a)		      429,407  
    201,499        FNMA,
12-month LIBOR + 1.587%, 1.928%, 4/01/2037(a)		      203,272  
    1,085,015        FNMA,
12-month LIBOR + 1.588%, 2.096%, 4/01/2037(a)		      1,141,529  
    644,293        FNMA,
12-month LIBOR + 1.579%, 2.098%, 7/01/2035(a)		      670,022  
    44,675        FNMA,
12-month LIBOR + 1.754%, 2.129%, 1/01/2037(a)		      45,364  
    379,888        FNMA,
12-month LIBOR + 1.760%, 2.135%, 2/01/2037(a)		      384,596  
    213,582        FNMA,
12-month LIBOR + 1.609%, 2.150%, 10/01/2033(a)		      222,065  
    905,261        FNMA,
12-month LIBOR + 1.783%, 2.158%, 3/01/2037(a)		      959,504  
    133,403        FNMA,
12-month LIBOR + 1.800%, 2.175%, 3/01/2034(a)		      140,924  
    120,425        FNMA,
12-month LIBOR + 1.800%, 2.175%, 12/01/2041(a)		      121,272  
    986,205        FNMA,
12-month LIBOR + 1.820%, 2.195%, 2/01/2047(a)		      1,058,784  
    180,874        FNMA,
12-month LIBOR + 1.671%, 2.224%, 11/01/2036(a)		      190,770  

Principal
Amount

       

Description

    Value (†)  

Bonds and Notes – continued

   
      

Hybrid ARMs – continued

 

 $              97,015        FNMA,
1-year CMT + 2.141%, 2.266%, 4/01/2033(a)		     $             97,241  
    115,946        FNMA,
12-month LIBOR + 1.479%, 2.271%, 8/01/2035(a)		      115,967  
    591,110        FNMA,
12-month LIBOR + 1.597%, 2.274%, 9/01/2037(a)		      615,457  
    140,077        FNMA,
12-month LIBOR + 1.731%, 2.275%, 11/01/2035(a)		      148,033  
    930,545        FNMA,
12-month LIBOR + 1.733%, 2.298%, 9/01/2037(a)		      984,872  
    1,196,426        FNMA,
12-month LIBOR + 1.800%, 2.300%, 10/01/2041(a)		      1,262,549  
    403,256        FNMA,
1-year CMT + 2.185%, 2.310%, 1/01/2036(a)		      419,209  
    341,159        FNMA,
1-year CMT + 2.128%, 2.316%, 6/01/2036(a)		      353,162  
    239,980        FNMA,
1-year CMT + 2.207%, 2.344%, 4/01/2034(a)		      241,713  
    231,309        FNMA,
1-year CMT + 2.147%, 2.361%, 9/01/2034(a)		      245,193  
    185,136        FNMA,
1-year CMT + 2.185%, 2.362%, 12/01/2034(a)		      185,710  
    1,278,133        FNMA,
1-year CMT + 2.223%, 2.380%, 4/01/2034(a)		      1,355,800  
    1,081,668        FNMA,
1-year CMT + 2.168%, 2.396%, 12/01/2040(a)		      1,144,250  
    67,649        FNMA,
12-month LIBOR + 1.802%, 2.421%, 7/01/2041(a)		      67,972  
    1,215,235        FNMA,
1-year CMT + 2.174%, 2.429%, 11/01/2033(a)		      1,285,975  
    456,068        FNMA,
6-month LIBOR + 2.193%, 2.443%, 7/01/2037(a)		      480,731  
    2,292,442        FNMA,
1-year CMT + 2.212%, 2.447%, 10/01/2034(a)		      2,429,271  
    479,065        FNMA,
12-month LIBOR + 1.703%, 2.453%, 8/01/2034(a)		      484,938  
    219,825        FNMA,
1-year CMT + 2.287%, 2.462%, 10/01/2033(a)		      221,542  
    70,944        FNMA,
1-year CMT + 2.145%, 2.465%, 9/01/2036(a)		      72,321  
    340,530        FNMA,
1-year CMT + 2.223%, 2.499%, 8/01/2035(a)		      342,100  
    231,793        FNMA,
12-month LIBOR + 1.639%, 2.582%, 8/01/2038(a)		      234,022  
    160,182        FNMA,
1-year CMT + 2.480%, 2.605%, 5/01/2035(a)		      170,059  
    382,103        FNMA,
1-year CMT + 2.287%, 2.630%, 6/01/2033(a)		      381,560  
    385,743        FNMA,
12-month LIBOR + 1.637%, 2.637%, 7/01/2038(a)		      391,430  
    634,342        FNMA,
1-year CMT + 2.274%, 2.649%, 6/01/2037(a)		      677,342  
    161,576        FNMA,
1-year CMT + 2.500%, 2.682%, 8/01/2036(a)		      173,839  

Principal
Amount

       

Description

    Value (†)  

Bonds and Notes – continued

   
      

Hybrid ARMs – continued

 

 $            155,066        FNMA,
12-month LIBOR + 2.473%, 2.723%, 6/01/2035(a)		     $           157,076  
    59,476        FNMA,
1-year CMT + 2.440%, 2.815%, 8/01/2033(a)		      59,852  
         

 

 

  
            32,004,258  
         

 

 

  
      

Mortgage Related – 2.0%

 

    28,491        FHLMC,
3.000%, 10/01/2026		      29,989  
    202,130        FHLMC,
4.000%, with various maturities from 2024 to 2042(f)		      219,296  
    83,623        FHLMC,
4.500%, with various maturities from 2025 to 2034(f)		      88,216  
    18,341        FHLMC,
5.500%, 10/01/2023		      18,866  
    156,614        FHLMC,
6.500%, 12/01/2034		      179,393  
    74        FHLMC,
7.500%, 6/01/2026		      80  
    86,433        FNMA,
3.000%, 3/01/2042		      92,538  
    815,266        FNMA,
5.000%, with various maturities from 2037 to 2038(f)		      929,543  
    347,103        FNMA,
5.500%, with various maturities from 2023 to 2033(f)		      381,737  
    102,892        FNMA,
6.000%, with various maturities in 2022(f)		      105,020  
    150,146        FNMA,
6.500%, with various maturities from 2032 to 2037(f)		      169,245  
    42,350        FNMA,
7.500%, with various maturities from 2030 to 2032(f)		      46,147  
    1,809,033        GNMA,
1-month LIBOR + 1.749%, 1.863%, 2/20/2061(a)		      1,903,719  
    1,501,991        GNMA,
1-month LIBOR + 1.890%, 1.997%, 2/20/2063(a)		      1,569,955  
    1,585,217        GNMA,
1-month LIBOR + 2.173%, 2.280%, 3/20/2063(a)		      1,652,831  
    697,112        GNMA,
1-month LIBOR + 2.247%, 2.354%, 6/20/2065(a)		      758,721  
    683,428        GNMA,
1-month LIBOR + 2.249%, 2.361%, 5/20/2065(a)		      739,515  
    848,310        GNMA,
1-month LIBOR + 2.348%, 2.456%, 2/20/2063(a)		      893,962  
    47,989        GNMA,
3.640%, 3/20/2063(b)		      48,263  
    32,615        GNMA,
3.677%, 2/20/2063(b)		      33,070  
    54,375        GNMA,
4.004%, 12/20/2062(b)		      57,051  
    136,945        GNMA,
4.036%, 6/20/2063(b)		      141,965  
    23,936        GNMA,
4.140%, 12/20/2061(b)		      25,857  

Principal
Amount

       

Description

    Value (†)  

Bonds and Notes – continued

   
      

Mortgage Related – continued

 

 $              84,685        GNMA,
4.284%, 4/20/2063(b)		     $             88,880  
    13,762        GNMA,
4.327%, 8/20/2061(b)		      15,127  
    2,798,867        GNMA,
4.434%, 10/20/2065(b)		      3,104,597  
    271,090        GNMA,
4.528%, 7/20/2063(b)		      292,451  
    5,028        GNMA,
4.597%, 8/20/2062(b)		      5,485  
    1,561,364        GNMA,
4.600%, 2/20/2066(b)		      1,695,408  
    8,287        GNMA,
4.608%, 2/20/2062(b)		      8,558  
    1,811,693        GNMA,
4.613%, 3/20/2064(b)		      1,937,033  
    258,684        GNMA,
4.627%, 1/20/2064(b)		      277,479  
    25,714        GNMA,
4.630%, with various maturities from 2061 to 2062(b)(f)		      25,957  
    1,748,541        GNMA,
4.670%, 11/20/2063(b)		      1,877,538  
    944,439        GNMA,
4.700%, with various maturities from 2061 to 2064(b)(f)		      1,002,412  
    2,731        GNMA,
4.926%, 4/20/2061(b)		      2,873  
    7,817        GNMA,
6.000%, 12/15/2031		      9,158  
    31,260        GNMA,
6.500%, 5/15/2031		      36,573  
    34,135        GNMA,
7.000%, 10/15/2028		      37,588  
         

 

 

  
            20,502,096  
         

 

 

  
      

Non-Agency Commercial Mortgage-Backed Securities – 2.0%

 

    1,595,000        BANK, Series 2020-BN25, Class A5,
2.649%, 1/15/2063		      1,678,612  
    3,895,000        Barclays Commercial Mortgage Securities Trust, Series 2020-BID, Class A,
1-month LIBOR + 2.140%, 2.213%, 10/15/2037, 144A(a)		      3,931,416  
    1,310,000        Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2,
3.400%, 10/05/2030, 144A		      1,306,919  
    1,488,000        Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5,
3.961%, 3/10/2047		      1,600,145  
    3,953,148        Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class ASB,
3.550%, 2/10/2049		      4,193,893  
    2,570,000        DROP Mortgage Trust, Series 2021-FILE, Class A,
1-month LIBOR + 1.150%, 1.220%, 4/15/2026, 144A(a)		      2,579,797  
    2,600,000        Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7,
3.914%, 8/05/2034, 144A		      2,367,318  
    1,040,000        Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A4,
3.134%, 12/15/2048		      1,071,603  
    3,279,464        Starwood Retail Property Trust, Series 2014-STAR, Class A,
1-month LIBOR + 1.470%, 1.543%, 11/15/2027, 144A(a)		      2,382,859  
         

 

 

  
            21,112,562  
         

 

 

  

Principal
Amount

       

Description

    Value (†)  

Bonds and Notes – continued

   
      

Treasuries – 38.4%

 

 $       15,870,000        U.S. Treasury Note,
0.125%, 6/30/2022		     $      15,873,720  
    27,410,000        U.S. Treasury Note,
0.125%, 6/30/2023		      27,344,687  
    18,650,000        U.S. Treasury Note,
0.250%, 6/30/2025		      18,319,254  
    13,840,000        U.S. Treasury Note,
0.250%, 8/31/2025		      13,562,119  
    13,070,000        U.S. Treasury Note,
0.250%, 9/30/2025		      12,794,815  
    13,605,000        U.S. Treasury Note,
0.250%, 10/31/2025		      13,301,545  
    47,425,000        U.S. Treasury Note,
0.375%, 4/30/2025		      46,915,552  
    7,255,000        U.S. Treasury Note,
0.375%, 11/30/2025		      7,124,353  
    56,000,000        U.S. Treasury Note,
0.375%, 12/31/2025		      54,939,063  
    24,685,000        U.S. Treasury Note,
0.375%, 1/31/2026		      24,190,336  
    4,600,000        U.S. Treasury Note,
0.500%, 3/31/2025		      4,577,180  
    11,585,000        U.S. Treasury Note,
0.500%, 2/28/2026		      11,409,415  
    25,725,000        U.S. Treasury Note,
0.750%, 3/31/2026		      25,609,438  
    12,885,000        U.S. Treasury Note,
0.875%, 6/30/2026		      12,878,960  
    7,030,000        U.S. Treasury Note,
1.250%, 7/31/2023		      7,173,895  
    11,470,000        U.S. Treasury Note,
2.000%, 2/15/2025		      12,043,500  
    6,915,000        U.S. Treasury Note,
2.250%, 1/31/2024		      7,250,215  
    3,340,000        U.S. Treasury Note,
2.250%, 10/31/2024		      3,529,310  
    67,520,000        U.S. Treasury Note,
2.875%, 10/31/2023		      71,529,000  
    9,955,000        U.S. Treasury Note,
2.875%, 7/31/2025		      10,822,951  
         

 

 

  
            401,189,308  
         

 

 

  
       Total Bonds and Notes
(Identified Cost $985,560,251)		      992,245,146  
         

 

 

  

Principal
Amount

       

Description

    Value (†)  

Short-Term Investments – 4.9%

   
 $       12,477,827        Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $12,477,827 on 7/01/2021 collateralized by $9,334,300 U.S. Treasury Bond, 4.250% due 5/15/2039 valued at $12,727,467 including accrued interest(g)     $      12,477,827  
    23,195,000        U.S. Treasury Bills,
0.025%-0.040%, 7/06/2021(h)(i)		      23,194,883  
    15,260,000        U.S. Treasury Bills,
0.040%, 7/13/2021(h)		      15,259,797  
      

Total Short-Term Investments

(Identified Cost $50,932,508)

      50,932,507  
         

 

 

  
      

Total Investments – 99.9%

(Identified Cost $1,036,492,759)

      1,043,177,653  
      

Other assets less liabilities – 0.1%

      824,249  
         

 

 

  
      

Net Assets – 100.0%

     $ 1,044,001,902  
         

 

 

  

 

(†)

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. Rate as of June 30, 2021 is disclosed.

 

(b)

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, 2021 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, 2021, the value of these securities amounted to $3,140,063 or 0.3% of net assets.

 

(e)

Interest only security. 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)

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, 2021, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

 

(h)

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

 

(i)

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.

 

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, 2021, the value of Rule 144A holdings amounted to $44,886,117 or 4.3% of net assets.

ABS

Asset-Backed Securities

 

ARMs

Adjustable Rate Mortgages

 

CMT

Constant Maturity Treasury

 

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

 

SOFR

Secured Overnight Financing Rate

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, 2021, at value:

Asset Valuation Inputs

 

Description

    Level 1      Level 2      Level 3     Total  

Bonds and Notes

           

Collateralized Mortgage Obligations

    $ —        $ 153,124,153      $ 3,140,063 (a)    $ 156,264,216  

All Other Bonds and Notes*

      —          835,980,930        —         835,980,930  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

      —          989,105,083        3,140,063       992,245,146  
  

 

 

     

 

 

     

 

 

    

 

 

  

Short-Term Investments

      —          50,932,507        —         50,932,507  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $         —        $ 1,040,037,590      $ 3,140,063     $ 1,043,177,653  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

*

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, 2020 and/or June 30, 2021:

Asset Valuation Inputs

 

Investments in Securities

    Balance as of
September 30,
2020		      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,
2021		      Change in
Unrealized
Appreciation
(Depreciation) from
Investments Still Held at
June 30, 2021		  

Bonds and Notes

                           

Collateralized Mortgage Obligations

    $  2,501,798      $  —        $  (36,840 )    $  (36,090 )    $  374      $  (1,884,236 )    $  2,595,057      $  —        $  3,140,063      $  (47,957 ) 
  

 

 

     

 

 

     

 

 

    

 

 

    

 

 

     

 

 

    

 

 

     

 

 

     

 

 

     

 

 

  

Debt securities valued at $2,595,057 were transferred from Level 2 to Level 3 during the period ended June 30, 2021. At September 30, 2020, 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, 2021, 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, 2021 (Unaudited)

 

Treasuries

      38.4 % 

Agency Commercial Mortgage-Backed Securities

      30.0  

Collateralized Mortgage Obligations

      15.0  

ABS Car Loan

      3.1  

Hybrid ARMs

      3.1  

Non-Agency Commercial Mortgage-Backed Securities

      2.0  

Mortgage Related

      2.0  

Other Investments, less than 2% each

      1.4  

Short-Term Investments

      4.9  
  

 

 

  

Total Investments

      99.9  

Other assets less liabilities

      0.1  
  

 

 

  

Net Assets

      100.0 %