NPORT-EX 2 NPORT_IABN_72901399_0622.htm HTML

PORTFOLIO OF INVESTMENTS – as of June 30, 2022 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund

 

        Principal        
Amount		     

Description

            Value (†)          
               
 

Bonds and Notes – 96.0% of Net Assets

  
   ABS Car Loan – 2.9%

 

$ 235,216     

AmeriCredit Automobile Receivables Trust, Series 2020-2, Class A3,

0.660%, 12/18/2024

    $ 233,488  
  3,220,000     

Avis Budget Rental Car Funding AESOP LLC, Series 2022-1A, Class A,

3.830%, 8/21/2028, 144A

      3,123,732  
  757,512     

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

1.700%, 11/15/2024

      753,593  
  1,865,000     

Carvana Auto Receivables Trust, Series 2021-N2, Class A2,

0.970%, 3/10/2028

      1,745,313  
  475,035     

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

2.380%, 11/15/2028, 144A

      474,477  
  9,695,000     

Credit Acceptance Auto Loan Trust, Series 2020-3A, Class A,

1.240%, 10/15/2029, 144A

      9,442,433  
  152,318     

Flagship Credit Auto Trust, Series 2020-3, Class A,

0.700%, 4/15/2025, 144A

      151,578  
  278,605     

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

1.040%, 8/15/2024

      275,772  
  141,865     

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

0.800%, 7/20/2023

      141,629  
  248,750     

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

2.180%, 4/16/2024

      248,711  
  251,360     

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

1.750%, 7/16/2024

      250,736  
  425,853     

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

1.840%, 9/16/2024

      424,207  
  264,965     

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

1.490%, 12/16/2024

      262,573  
  655,000     

GM Financial Revolving Receivables Trust, Series 2021-1, Class A,

1.170%, 6/12/2034, 144A

      584,236  
  17,819     

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

2.520%, 6/21/2023

      17,820  
  209,938     

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

1.610%, 4/22/2024

      208,622  
  398,994     

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

1.410%, 11/15/2024

      394,923  
  1,064,197     

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

1.380%, 12/16/2024

      1,054,531  
  223,235     

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

1.370%, 10/15/2024, 144A

      222,421  
  765,000     

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

1.350%, 5/25/2033, 144A

      709,291  
  4,365,000     

Toyota Auto Loan Extended Note Trust, Series 2022-1A, Class A,

3.820%, 4/25/2035, 144A

      4,310,865  
  94,228     

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

2.910%, 7/17/2023

      94,262  
  217,460     

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

1.660%, 5/15/2024

      216,393  
  385,408     

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

1.360%, 8/15/2024

      382,445  
  101,600     

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

2.590%, 7/15/2024

      101,645  
     

 

 

  
        25,825,696  
     

 

 

  

        Principal        
Amount		     

Description

            Value (†)          
               
 

Bonds and Notes – continued

  
   ABS Other – 1.3%

 

$ 564,683     

Chesapeake Funding II LLC, Series 2020-1A, Class A1,

0.870%, 8/15/2032, 144A

    $ 556,469  
  233,155     

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

1.160%, 6/16/2025

      229,969  
  228,877     

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

3.700%, 1/21/2031, 144A

      228,325  
  1,677,326     

Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2,

0.560%, 12/11/2034, 144A

      1,627,904  
  7,165,000     

Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ37, Class A2,

2.333%, 11/25/2030

      6,633,109  
  493,038     

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

1.960%, 3/15/2024, 144A

      490,141  
  462,364     

MVW LLC, Series 2020-1A, Class A,

1.740%, 10/20/2037, 144A

      433,643  
  778,450     

Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A,

1.330%, 7/20/2037, 144A

      730,264  
  949,023     

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

2.800%, 6/15/2038, 144A

      920,077  
     

 

 

  
        11,849,901  
     

 

 

  
   ABS Student Loan – 1.0%

 

  1,890,137     

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

2.600%, 8/15/2068, 144A

      1,801,814  
  587,329     

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

1.690%, 5/15/2069, 144A

      557,127  
  1,850,892     

Navient Private Education Refi Loan Trust, Series 2021-CA, Class A,

1.060%, 10/15/2069, 144A

      1,680,512  
  4,253,894     

Navient Private Education Refi Loan Trust, Series 2021-EA, Class A,

0.970%, 12/16/2069, 144A

      3,805,657  
  1,125,460     

SMB Private Education Loan Trust, Series 2021-D, Class A1A,

1.340%, 3/17/2053, 144A

      1,038,708  
  20,386     

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

1-month LIBOR + 0.950%, 2.574%, 1/25/2039, 144A(a)

      20,326  
     

 

 

  
        8,904,144  
     

 

 

  
   Agency Commercial Mortgage-Backed Securities – 33.2%

 

  4,022,629     

Federal Home Loan Mortgage Corp., Series Q016, Class APT1,

1.242%, 5/25/2051(b)

      3,725,972  
  11,380,000     

Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K747, Class A2,

2.050%, 11/25/2028(b)

      10,418,709  
  3,864,074     

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

3.513%, 12/25/2023(b)

      3,870,846  
  70,335     

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

1-month LIBOR + 0.930%, 1.858%, 11/25/2022(a)

      70,261  
  17,838     

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

2.263%, 2/25/2023

      17,767  
  3,493,349     

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

1-month LIBOR + 0.460%, 1.522%, 1/25/2027(a)

      3,504,073  
  9,360,490     

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

3.799%, 12/25/2025

      9,410,346  

        Principal        
Amount		     

Description

            Value (†)          
               
 

Bonds and Notes – continued

  
   Agency Commercial Mortgage-Backed Securities – continued

 

$ 4,566,360     

FHLMC Multifamily Structured Pass Through Certificates, Series K-F100, Class AS,

30-day Average SOFR + 0.180%, 0.899%, 1/25/2028(a)

    $ 4,533,611  
  7,900,000     

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

3.531%, 7/25/2023(b)

      7,915,592  
  7,823,334     

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

3.458%, 8/25/2023(b)

      7,824,948  
  7,500,000     

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

3.389%, 3/25/2024

      7,497,020  
  2,580,000     

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

3.224%, 3/25/2027

      2,550,005  
  19,154,449     

FHLMC Multifamily Structured Pass Through Certificates, Series K139, Class A1,

2.209%, 10/25/2031

      17,606,763  
  597,725     

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

2.666%, 5/25/2023

      596,968  
  8,000,000     

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

2.541%, 8/25/2026

      7,784,750  
  18,395,000     

FHLMC Multifamily Structured Pass Through Certificates, Series KF123, Class AS,

30-day Average SOFR + 0.200%, 0.919%, 9/25/2028(a)

      18,254,094  
  369,563     

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

1-month LIBOR + 0.650%, 1.770%, 1/25/2023(a)

      369,575  
  1,625,894     

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

1-month LIBOR + 0.390%, 1.510%, 10/25/2025(a)

      1,618,419  
  8,191,729     

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

1-month LIBOR + 0.500%, 1.620%, 10/25/2026(a)

      8,160,516  
  6,641,717     

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

1-month Average Compounded SOFR + 0.530%, 1.252%, 1/25/2027(a)

      6,616,423  
  8,756,471     

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

1-month LIBOR + 0.700%, 1.820%, 2/25/2027(a)

      8,778,967  
  11,517,004     

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

30-day Average SOFR + 0.900%, 1.619%, 2/25/2027(a)

      11,549,435  
  27,020,797     

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

1-month LIBOR + 0.800%, 1.920%, 3/25/2030(a)

      26,785,527  
  27,020,797     

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

30-day Average SOFR + 1.000%, 1.719%, 3/25/2030(a)

      27,149,883  
  4,219,359     

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

1-month LIBOR + 0.470%, 1.590%, 5/25/2030(a)

      4,216,568  
  3,893,456     

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

30-day Average SOFR + 0.580%, 1.299%, 5/25/2030(a)

      3,887,764  
  6,640,865     

FHLMC Multifamily Structured Pass Through Certificates, Series KF80, Class AL,

1-month LIBOR + 0.440%, 1.560%, 6/25/2030(a)

      6,612,673  
  3,731,246     

FHLMC Multifamily Structured Pass Through Certificates, Series KF80, Class AS,

30-day Average SOFR + 0.510%, 1.229%, 6/25/2030(a)

      3,707,316  
  1,554,289     

FHLMC Multifamily Structured Pass Through Certificates, Series KF81, Class AL,

1-month LIBOR + 0.360%, 1.480%, 6/25/2027(a)

      1,551,000  
  1,165,717     

FHLMC Multifamily Structured Pass Through Certificates, Series KF81, Class AS,

30-day Average SOFR + 0.400%, 1.119%, 6/25/2027(a)

      1,160,617  
  958,001     

FHLMC Multifamily Structured Pass Through Certificates, Series KF84, Class AL,

1-month LIBOR + 0.300%, 1.420%, 7/25/2030(a)

      951,901  
  805,938     

FHLMC Multifamily Structured Pass Through Certificates, Series KF84, Class AS,

30-day Average SOFR + 0.320%, 1.039%, 7/25/2030(a)

      801,411  
  621,522     

FHLMC Multifamily Structured Pass Through Certificates, Series KF85, Class AL,

1-month LIBOR + 0.300%, 1.420%, 8/25/2030(a)

      617,748  

        Principal        
Amount		     

Description

            Value (†)          
               
 

Bonds and Notes – continued

  
   Agency Commercial Mortgage-Backed Securities – continued

 

$ 1,656,833     

FHLMC Multifamily Structured Pass Through Certificates, Series KF85, Class AS,

30-day Average SOFR + 0.330%, 1.049%, 8/25/2030(a)

    $ 1,645,363  
  1,093,093     

FHLMC Multifamily Structured Pass Through Certificates, Series KF86, Class AL,

1-month LIBOR + 0.290%, 1.410%, 8/25/2027(a)

      1,087,216  
  976,101     

FHLMC Multifamily Structured Pass Through Certificates, Series KF86, Class AS,

30-day Average SOFR + 0.320%, 1.039%, 8/25/2027(a)

      970,550  
  10,261,000     

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

3.700%, 9/25/2026

      10,317,151  
  7,720,000     

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

2.606%, 7/25/2027

      7,527,203  
  433,000     

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

1.766%, 2/25/2025

      422,935  
  8,515,000     

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

1-month LIBOR + 0.650%, 1.770%, 8/25/2029(a)

      8,499,331  
  2,855,000     

FHLMC Multifamily Structured Pass Through Certificates, Series KS14, Class AL,

1-month LIBOR + 0.340%, 1.460%, 4/25/2030(a)

      2,835,943  
  3,140,000     

FHLMC Multifamily Structured Pass Through Certificates, Series KS14, Class AS,

30-day Average SOFR + 0.370%, 1.089%, 4/25/2030(a)

      3,119,383  
  1,625,928     

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

1-month LIBOR + 0.390%, 1.510%, 10/25/2045(a)

      1,617,558  
  5,200,000     

FNMA,

3.580%, 1/01/2026

      5,231,408  
  15,292,859     

Freddie Mac Multifamily Structured Pass Through Certificates, Series K-107, Class AS,

30-day Average SOFR + 0.250%, 0.969%, 3/25/2028(a)

      15,154,893  
  9,395,000     

Freddie Mac Multifamily Structured Pass Through Certificates, Series K-F121, Class AS,

30-day Average SOFR + 0.180%, 0.899%, 8/25/2028(a)

      9,268,396  
  698,248     

Freddie Mac Multifamily Structured Pass Through Certificates, Series KF93, Class AL,

1-month LIBOR + 0.280%, 1.400%, 10/25/2027(a)

      693,174  
  838,349     

Freddie Mac Multifamily Structured Pass Through Certificates, Series KF93, Class AS,

30-day Average SOFR + 0.310%, 1.029%, 10/25/2027(a)

      835,199  
  4,520,630     

Freddie Mac Multifamily Structured Pass Through Certificates, Series KF97, Class AS,

30-day Average SOFR + 0.250%, 0.969%, 12/25/2030(a)

      4,461,775  
  1,595,593     

Freddie Mac Multifamily Structured Pass Through Certificates, Series Q015, Class A,

30-day Average SOFR + 0.200%, 1.148%, 8/25/2024(a)

      1,608,677  
  101,211     

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

5.302%, 11/16/2045(b)

      102,707  
     

 

 

  
        295,516,330  
     

 

 

  
   Collateralized Mortgage Obligations – 13.0%

 

  3,586     

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

7-year CMT - 0.200%, 2.720%, 5/15/2023(a)(c)(d)

      3,469  
  3,814     

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

10-year CMT - 0.650%, 2.220%, 8/15/2023(a)(c)(d)

      3,681  
  58,190     

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

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

      58,484  
  447,998     

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

5.500%, 5/15/2035(c)(d)

      466,938  
  644,896     

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

5.000%, 9/15/2035(c)(d)

      670,963  

        Principal        
Amount		     

Description

            Value (†)          
               
 

Bonds and Notes – continued

  
   Collateralized Mortgage Obligations – continued

 

$ 215,313     

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

5.500%, 2/15/2038(c)(d)

    $ 216,520  
  674,959     

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

2.554%, 6/15/2048(b)(e)

      645,443  
  605,702     

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

3.870%, 12/15/2036(b)(e)

      608,335  
  98,978     

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

1-month LIBOR + 2.100% 3.424%, 6/15/2043(a)(c)(d)

      93,698  
  453     

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

7-year CMT - 0.050%, 3.390%, 9/25/2022(a)(c)(d)

      439  
  5,848     

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

10-year CMT - 0.500%, 2.370%, 4/25/2024(a)(c)(d)

      5,633  
  5,954     

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

4.062%, 8/25/2042(b)(c)(d)

      5,754  
  636,582     

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

5.500%, 6/25/2033(c)(d)

      670,311  
  66,231     

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

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

      66,338  
  313,760     

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

1-month LIBOR + 0.060%, 1.001%, 7/25/2037(a)(c)(d)

      304,949  
  623,414     

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

3.407%, 8/25/2038(b)

      607,009  
  1,197,110     

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

1-month LIBOR + 0.450%, 2.074%, 6/25/2042(a)

      1,195,282  
  1,399,298     

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

1-month LIBOR + 0.550%, 2.174%, 6/25/2042(a)

      1,408,203  
  3,213,075     

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

1-month LIBOR + 0.510%, 2.134%, 8/25/2042(a)

      3,216,619  
  1,840,298     

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

1-month LIBOR + 1.000%, 2.624%, 7/25/2043(a)

      1,731,953  
  3,493,345     

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

1-month LIBOR + 0.400%, 2.024%, 2/25/2045(a)

      3,472,619  
  5,881,194     

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

1-month LIBOR + 0.500%, 1.300%, 6/25/2050(a)

      5,802,515  
  5,444     

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

3.478%, 3/25/2044(b)(c)(d)

      4,950  
  287,523     

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

12-month MTA + 1.200%, 1.676%, 10/25/2044(a)(c)(d)

      293,950  
  1,058,657     

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

1-month LIBOR + 0.200%, 1.795%, 2/20/2035(a)

      1,054,912  
  789,310     

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

1-month LIBOR + 0.520%, 2.115%, 10/20/2037(a)(c)(d)

      788,310  
  259,913     

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

1-month LIBOR + 1.150%, 2.745%, 11/20/2059(a)(c)(d)

      259,702  
  741,138     

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

1-month LIBOR + 0.330%, 1.133%, 10/20/2060(a)

      733,590  
  600,159     

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

1-month LIBOR + 0.350%, 1.153%, 10/20/2060(a)

      593,641  
  373,648     

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

1-month LIBOR + 0.380%, 1.183%, 12/20/2060(a)

      369,846  
  36,853     

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

1-month LIBOR + 0.550%, 1.353%, 9/20/2061(a)

      36,602  
  470,094     

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

1-month LIBOR + 0.450%, 1.253%, 2/20/2061(a)

      465,924  

        Principal        
Amount		     

Description

            Value (†)          
               
 

Bonds and Notes – continued

  
   Collateralized Mortgage Obligations – continued

 

$ 29,372     

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

1-month LIBOR + 0.600%, 1.403%, 2/20/2061(a)

    $ 29,211  
  28,902     

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

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

      27,359  
  27,512     

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

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

      26,947  
  2,423,261     

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

1-month LIBOR + 0.250%, 1.845%, 9/20/2038(a)

      2,418,977  
  101     

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

1-month LIBOR + 0.450%, 1.253%, 5/20/2062(a)(c)(d)

      97  
  380,205     

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

1-month LIBOR + 0.520%, 1.323%, 8/20/2062(a)

      378,254  
  1,316,029     

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

2.383%, 7/20/2062(b)

      1,312,428  
  18,510     

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

1-month LIBOR + 0.500%, 1.303%, 10/20/2062(a)(c)(d)

      17,799  
  28,276     

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

1-month LIBOR + 0.500%, 1.303%, 12/20/2062(a)(c)(d)

      27,182  
  1,220,366     

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

1-month LIBOR + 0.350%, 1.153%, 3/20/2063(a)

      1,210,123  
  1,155,944     

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

1-month LIBOR + 0.400%, 1.203%, 3/20/2063(a)

      1,145,531  
  162,050     

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

1-month LIBOR + 0.470%, 1.273%, 5/20/2063(a)

      160,709  
  4,483,953     

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

1-year CMT + 0.650%, 2.615%, 4/20/2063(a)

      4,469,617  
  3,311,935     

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

1-month LIBOR + 0.500%, 0.938%, 7/20/2064(a)

      3,279,222  
  2,668,810     

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

1-month LIBOR + 0.500%, 1.303%, 7/20/2064(a)

      2,640,344  
  1,949,252     

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

1-month LIBOR + 0.470%, 1.273%, 2/20/2065(a)

      1,929,594  
  3,415     

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

1-month LIBOR + 0.300%, 1.103%, 4/20/2061(a)(c)(d)

      3,285  
  6,574     

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

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

      6,090  
  243,266     

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

1-month LIBOR + 0.480%, 1.283%, 4/20/2065(a)

      240,657  
  3,908,205     

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

2.250%, 4/20/2065

      3,819,807  
  3,083     

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

1-month LIBOR + 0.250%, 1.053%, 4/20/2065(a)(c)(d)

      2,958  
  2,287,991     

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

1-month LIBOR + 0.230%, 1.033%, 5/20/2065(a)

      2,261,354  
  62,283     

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

1-month LIBOR + 0.300%, 1.103%, 7/20/2065(a)(c)(d)

      61,416  
  3,515     

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

1-month LIBOR + 0.700%, 1.503%, 10/20/2065(a)(c)(d)

      3,396  
  3,020     

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

1-month LIBOR + 0.680%, 1.483%, 8/20/2061(a)(c)(d)

      2,909  
  3,631,419     

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

1-month LIBOR + 0.920%, 1.723%, 2/20/2066(a)

      3,620,721  
  1,062,336     

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

1-month LIBOR + 0.550%, 1.353%, 9/20/2066(a)

      1,053,700  

        Principal        
Amount		     

Description

            Value (†)          
               
 

Bonds and Notes – continued

  
   Collateralized Mortgage Obligations – continued

 

$ 2,403,495     

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

1-month LIBOR + 0.750%, 1.553%, 2/20/2067(a)

    $ 2,389,228  
  34,161     

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

1-month LIBOR + 0.200%, 1.003%, 10/20/2064(a)(c)(d)

      33,776  
  4,940,512     

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

12-month LIBOR + 0.080%, 0.327%, 6/20/2068(a)

      4,824,405  
  117,954     

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

1-month LIBOR + 0.350%, 1.153%, 9/20/2068(a)

      116,593  
  7,101,612     

Government National Mortgage Association, Series 2018-H16, Class FA,

1-month LIBOR + 0.420%, 1.223%, 9/20/2068(a)

      6,969,029  
  6,358,177     

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

3.500%, 9/20/2068

      6,217,641  
  2,411,191     

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

1-year CMT + 0.450%, 2.480%, 8/20/2069(a)

      2,409,531  
  2,064,804     

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

1-month LIBOR + 0.400%, 1.462%, 4/20/2048(a)

      2,021,040  
  3,862,069     

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

1-month LIBOR + 0.450%, 1.512%, 5/20/2046(a)

      3,748,721  
  3,885,256     

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

1-month LIBOR + 0.600%, 1.403%, 1/20/2070(a)

      3,848,519  
  4,478,686     

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

1-month LIBOR + 0.500%, 1.303%, 6/20/2069(a)

      4,424,855  
  8,744,173     

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

1-month LIBOR + 0.650%, 1.453%, 4/20/2070(a)

      8,738,332  
  9,367,604     

Government National Mortgage Association, Series 2020-H10, Class FD,

1-month LIBOR + 0.400%, 1.203%, 5/20/2070(a)

      9,355,997  
  3,967,982     

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

1-year CMT + 0.500%, 0.710%, 1/20/2070(a)

      3,990,901  
     

 

 

  
        115,094,837  
     

 

 

  
   Hybrid ARMs – 2.5%

 

  493,787     

FHLMC,

12-month LIBOR + 1.764%, 2.013%, 9/01/2035(a)

      505,446  
  82,637     

FHLMC,

12-month LIBOR + 1.697%, 2.040%, 11/01/2038(a)

      81,944  
  43,958     

FHLMC,

12-month LIBOR + 1.740%, 2.044%, 12/01/2037(a)

      43,709  
  154,477     

FHLMC,

12-month LIBOR + 1.730%, 2.113%, 4/01/2037(a)

      157,825  
  329,714     

FHLMC,

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

      328,228  
  161,379     

FHLMC,

12-month LIBOR + 1.935%, 2.244%, 12/01/2034(a)

      161,425  
  1,686,203     

FHLMC,

12-month LIBOR + 1.840%, 2.254%, 1/01/2046(a)

      1,702,679  
  320,372     

FHLMC,

1-year CMT + 2.247%, 2.298%, 9/01/2038(a)

      331,211  
  100,963     

FHLMC,

1-year CMT + 2.213%, 2.362%, 9/01/2038(a)

      100,254  
  488,366     

FHLMC,

1-year CMT + 2.285%, 2.431%, 2/01/2036(a)

      504,219  
  1,401,159     

FHLMC,

1-year CMT + 2.251%, 2.442%, 3/01/2037(a)

      1,446,543  

        Principal        
Amount		     

Description

            Value (†)          
               
 

Bonds and Notes – continued

  
   Hybrid ARMs – continued

 

$ 152,523     

FHLMC,

12-month LIBOR + 1.903%, 2.453%, 4/01/2037(a)

    $ 152,593  
  836,349     

FHLMC,

1-year CMT + 2.260%, 2.475%, 2/01/2036(a)

      859,314  
  87,919     

FHLMC,

1-year CMT + 2.250%, 2.497%, 2/01/2035(a)

      90,235  
  316,416     

FHLMC,

1-year CMT + 2.245%, 2.531%, 3/01/2036(a)

      325,143  
  66,771     

FHLMC,

1-year CMT + 2.470%, 2.595%, 9/01/2038(a)

      66,011  
  246,984     

FHLMC,

6-month LIBOR + 1.776%, 2.670%, 6/01/2037(a)

      244,280  
  99,267     

FHLMC,

12-month LIBOR + 1.774%, 2.709%, 3/01/2038(a)

      99,477  
  84,889     

FHLMC,

12-month LIBOR + 1.784%, 2.880%, 11/01/2038(a)

      84,785  
  248,705     

FHLMC,

1-year CMT + 2.165%, 2.890%, 4/01/2036(a)

      247,775  
  662,621     

FHLMC,

12-month LIBOR + 1.896%, 3.261%, 9/01/2041(a)

      684,742  
  21,045     

FNMA,

6-month LIBOR + 1.460%, 1.786%, 2/01/2037(a)

      21,319  
  89,419     

FNMA,

12-month LIBOR + 1.554%, 1.804%, 8/01/2035(a)

      88,933  
  398,480     

FNMA,

12-month LIBOR + 1.564%, 1.852%, 9/01/2037(a)

      405,809  
  173,700     

FNMA,

12-month LIBOR + 1.607%, 1.857%, 10/01/2033(a)

      176,762  
  221,004     

FNMA,

12-month LIBOR + 1.639%, 1.889%, 8/01/2038(a)

      220,681  
  313,343     

FNMA,

12-month LIBOR + 1.669%, 1.919%, 7/01/2038(a)

      314,742  
  300,494     

FNMA,

12-month LIBOR + 1.678%, 1.928%, 8/01/2034(a)

      298,960  
  484,556     

FNMA,

12-month LIBOR + 1.567%, 2.049%, 7/01/2035(a)

      495,243  
  829,956     

FNMA,

12-month LIBOR + 1.800%, 2.050%, 10/01/2041(a)

      848,539  
  115,787     

FNMA,

12-month LIBOR + 1.800%, 2.050%, 12/01/2041(a)

      115,039  
  94,720     

FNMA,

12-month LIBOR + 1.727%, 2.056%, 11/01/2035(a)

      97,414  
  42,309     

FNMA,

12-month LIBOR + 1.754%, 2.089%, 1/01/2037(a)

      42,148  
  53,163     

FNMA,

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

      53,585  
  183,572     

FNMA,

12-month LIBOR + 1.734%, 2.177%, 2/01/2037(a)

      183,738  
  745,919     

FNMA,

12-month LIBOR + 1.546%, 2.202%, 4/01/2037(a)

      761,387  
  303,199     

FNMA,

6-month LIBOR + 1.543%, 2.210%, 7/01/2035(a)

      310,104  
  916,096     

FNMA,

1-year CMT + 2.188%, 2.219%, 11/01/2033(a)

      947,349  

        Principal        
Amount		     

Description

            Value (†)          
               
 

Bonds and Notes – continued

  
   Hybrid ARMs – continued

 

$ 252,308     

FNMA,

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

    $ 251,185  
  179,177     

FNMA,

1-year CMT + 2.149%, 2.255%, 9/01/2034(a)

      185,854  
  171,367     

FNMA,

1-year CMT + 2.185%, 2.259%, 12/01/2034(a)

      170,317  
  435,715     

FNMA,

1-year CMT + 2.270%, 2.270%, 6/01/2037(a)

      459,879  
  141,838     

FNMA,

12-month LIBOR + 1.674%, 2.273%, 11/01/2036(a)

      146,448  
  662,628     

FNMA,

12-month LIBOR + 1.713%, 2.289%, 9/01/2037(a)

      681,132  
  314,706     

FNMA,

1-year CMT + 2.185%, 2.310%, 1/01/2036(a)

      319,848  
  165,846     

FNMA,

1-year CMT + 2.287%, 2.351%, 10/01/2033(a)

      165,047  
  54,323     

FNMA,

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

      54,282  
  720,023     

FNMA,

12-month LIBOR + 1.820%, 2.445%, 2/01/2047(a)

      739,634  
  1,015,798     

FNMA,

1-year CMT + 2.226%, 2.454%, 4/01/2034(a)

      1,046,599  
  902,276     

FNMA,

1-year CMT + 2.170%, 2.485%, 12/01/2040(a)

      929,687  
  1,572,517     

FNMA,

1-year CMT + 2.206%, 2.486%, 10/01/2034(a)

      1,622,406  
  623,527     

FNMA,

12-month LIBOR + 1.771%, 2.495%, 3/01/2037(a)

      639,357  
  201,657     

FNMA,

1-year CMT + 2.287%, 2.518%, 6/01/2033(a)

      201,380  
  107,205     

FNMA,

12-month LIBOR + 1.800%, 2.544%, 3/01/2034(a)

      109,517  
  110,096     

FNMA,

1-year CMT + 2.199%, 2.554%, 4/01/2034(a)

      109,058  
  255,626     

FNMA,

1-year CMT + 2.145%, 2.560%, 6/01/2036(a)

      259,886  
  26,100     

FNMA,

12-month LIBOR + 1.805%, 2.586%, 7/01/2041(a)

      25,977  
  146,380     

FNMA,

1-year CMT + 2.482%, 2.607%, 5/01/2035(a)

      152,122  
  82,761     

FNMA,

12-month LIBOR + 1.565%, 2.707%, 4/01/2037(a)

      82,383  
  282,885     

FNMA,

6-month LIBOR + 2.032%, 2.810%, 7/01/2037(a)

      289,620  
  126,791     

FNMA,

1-year CMT + 2.500%, 3.005%, 8/01/2036(a)

      132,578  
  48,244     

FNMA,

1-year CMT + 2.211%, 3.211%, 4/01/2033(a)

      48,194  
  62,993     

FNMA,

12-month LIBOR + 2.473%, 4.223%, 6/01/2035(a)

      62,935  
     

 

 

  
        22,484,915  
     

 

 

  

        Principal        
Amount		     

Description

            Value (†)          
               
 

Bonds and Notes – continued

  
   Mortgage Related – 1.7%

 

$ 18,401     

FHLMC,

3.000%, 10/01/2026

    $ 18,357  
  137,961     

FHLMC,

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

      139,644  
  41,594     

FHLMC,

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

      42,369  
  3,985     

FHLMC,

5.500%, 10/01/2023

      4,006  
  123,670     

FHLMC,

6.500%, 12/01/2034

      132,436  
  45     

FHLMC,

7.500%, 6/01/2026

      47  
  82,053     

FNMA,

3.000%, 3/01/2042

      78,333  
  620,194     

FNMA,

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

      651,900  
  214,165     

FNMA,

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

      222,374  
  10,656     

FNMA,

6.000%, with various maturities in 2022(f)

      10,674  
  140,155     

FNMA,

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

      148,115  
  31,357     

FNMA,

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

      32,532  
  1,496,061     

GNMA,

1-month LIBOR + 1.746%, 2.235%, 2/20/2061(a)

      1,514,674  
  1,114,930     

GNMA,

1-month LIBOR + 1.890%, 2.335%, 2/20/2063(a)

      1,131,068  
  925,650     

GNMA,

1-month LIBOR + 2.154%, 2.595%, 3/20/2063(a)

      940,512  
  559,054     

GNMA,

1-month LIBOR + 2.200%, 2.653%, 5/20/2065(a)

      573,258  
  567,334     

GNMA,

1-month LIBOR + 2.241%, 2.684%, 6/20/2065(a)

      585,069  
  529,559     

GNMA,

1-month LIBOR + 2.335%, 2.782%, 2/20/2063(a)

      540,838  
  55,308     

GNMA,

4.007%, 12/20/2062(b)

      55,293  
  24,946     

GNMA,

4.140%, 12/20/2061(b)

      24,965  
  13,896     

GNMA,

4.317%, 8/20/2061(b)

      13,936  
  164,618     

GNMA,

4.434%, 7/20/2063(b)

      164,776  
  2,513,667     

GNMA,

4.483%, 10/20/2065(b)

      2,546,897  
  1,189,281     

GNMA,

4.597%, 2/20/2066(b)

      1,202,558  
  1,897,056     

GNMA,

4.613%, 3/20/2064(b)

      1,911,027  
  187,173     

GNMA,

4.617%, with various maturities from 2062 to 2064(b)(f)

      188,910  
  6,999     

GNMA,

4.620%, 2/20/2062(b)

      6,714  

        Principal        
Amount		     

Description

            Value (†)          
               
 

Bonds and Notes – continued

  
   Mortgage Related – continued

 

$ 49,786     

GNMA,

4.630%, with various maturities from 2062 to 2063(b)(f)

    $ 49,078  
  1,557,040     

GNMA,

4.677%, 11/20/2063(b)

      1,570,725  
  752,091     

GNMA,

4.700%, with various maturities from 2061 to 2064(b)(f)

      755,846  
  2,189     

GNMA,

4.861%, 4/20/2061(b)

      2,171  
  5,714     

GNMA,

6.000%, 12/15/2031

      6,246  
  25,382     

GNMA,

6.500%, 5/15/2031

      27,322  
  23,459     

GNMA,

7.000%, 10/15/2028

      24,410  
     

 

 

  
        15,317,080  
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities – 3.2%

 

  1,595,000     

BANK, Series 2020-BN25, Class A5,

2.649%, 1/15/2063

      1,423,966  
  3,895,000     

Barclays Commercial Mortgage Securities Trust, Series 2020-BID, Class A,

1-month LIBOR + 2.140%, 3.464%, 10/15/2037, 144A(a)

      3,842,980  
  1,825,000     

BPR Trust, Series 2021-NRD, Class A,

1-month Term SOFR + 1.525%, 2.859%, 12/15/2023, 144A(a)

      1,746,602  
  4,650,000     

BPR Trust, Series 2022-SSP, Class A,

1-month Term SOFR + 3.000%, 4.279%, 5/15/2039, 144A(a)

      4,649,986  
  1,310,000     

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

3.400%, 10/05/2030, 144A

      1,261,277  
  1,488,000     

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

3.961%, 3/10/2047

      1,479,437  
  3,122,448     

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

3.550%, 2/10/2049

      3,094,565  
  2,570,000     

DROP Mortgage Trust, Series 2021-FILE, Class A,

1-month LIBOR + 1.150%, 2.470%, 10/15/2043, 144A(a)

      2,479,634  
  2,600,000     

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

3.914%, 8/05/2034, 144A

      2,348,928  
  938,287     

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

3.134%, 12/15/2048

      936,647  
  3,295,000     

SPGN Mortgage Trust, Series 2022-TFLM. Class A,

1-month Term SOFR + 1.550%, 2.829%, 2/15/2039, 144A(a)

      3,141,162  
  3,279,464     

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

1-month LIBOR + 1.470%, 2.795%, 11/15/2027, 144A(a)

      2,328,419  
     

 

 

  
        28,733,603  
     

 

 

  
   Treasuries – 37.2%

 

  8,840,000     

U.S. Treasury Note,

0.250%, 8/31/2025

      8,094,125  
  13,070,000     

U.S. Treasury Note,

0.250%, 9/30/2025

      11,941,181  
  13,605,000     

U.S. Treasury Note,

0.250%, 10/31/2025

      12,397,556  
  7,255,000     

U.S. Treasury Note,

0.375%, 11/30/2025

      6,626,422  
  65,670,000     

U.S. Treasury Note,

0.375%, 12/31/2025

      59,849,483  

        Principal        
Amount		     

Description

            Value (†)          
               
 

Bonds and Notes – continued

  
   Treasuries – continued

 

$ 24,685,000     

U.S. Treasury Note,

0.375%, 1/31/2026

    $ 22,445,993  
  11,585,000     

U.S. Treasury Note,

0.500%, 2/28/2026

      10,559,094  
  13,225,000     

U.S. Treasury Note,

0.750%, 3/31/2026

      12,146,853  
  67,095,000     

U.S. Treasury Note,

0.750%, 8/31/2026

      61,072,176  
  25,460,000     

U.S. Treasury Note,

0.875%, 9/30/2026

      23,252,141  
  21,410,000     

U.S. Treasury Note,

1.250%, 12/31/2026

      19,789,196  
  8,920,000     

U.S. Treasury Note,

1.875%, 2/28/2027

      8,467,031  
  5,050,000     

U.S. Treasury Note,

2.625%, 5/31/2027

      4,954,523  
  7,310,000     

U.S. Treasury Note,

2.750%, 5/15/2025

      7,254,033  
  3,860,000     

U.S. Treasury Note,

2.750%, 4/30/2027

      3,807,830  
  9,955,000     

U.S. Treasury Note,

2.875%, 7/31/2025

      9,909,114  
  48,410,000     

U.S. Treasury Note,

3.000%, 6/30/2024

      48,434,583  
     

 

 

  
        331,001,334  
     

 

 

  
  

Total Bonds and Notes

(Identified Cost $891,412,743)

      854,727,840  
     

 

 

  
 

Short-Term Investments – 4.3%

  
  5,770,373      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $5,770,429 on 7/01/2022 collateralized by $6,798,000 U.S. Treasury Note, 0.375% due 9/30/2027 valued at $5,885,813 including accrued interest(g)      5,770,373  
  32,100,000     

U.S. Treasury Bills,

0.913%-0.963%, 7/12/2022(h)(i)

      32,090,584  
     

 

 

  
  

Total Short-Term Investments

(Identified Cost $37,861,141)

      37,860,957  
     

 

 

  
  

Total Investments – 100.3%

(Identified Cost $929,273,884)

      892,588,797  
   Other assets less liabilities – (0.3)%      (2,559,375 ) 
     

 

 

  
   Net Assets – 100.0%    $ 890,029,422  
     

 

 

  

  (†)

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, 2022 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, 2022 is disclosed.

  (c)

Fair valued by the Fund’s adviser. At June 30, 2022, the value of these securities amounted to $4,127,303 or 0.5% of net assets.

  (d)

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

  (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 and Federal 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, 2022, 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)

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)

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

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, 2022, the value of Rule 144A holdings amounted to $54,708,988 or 6.1% 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, 2022, at value:

Asset Valuation Inputs

 

Description

    Level 1      Level 2      Level 3     Total  

Bonds and Notes

           

Collateralized Mortgage Obligations

    $ —        $ 110,967,534      $ 4,127,303 (a)    $ 115,094,837  

All Other Bonds and Notes*

      —          739,633,003        —         739,633,003  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Bonds and Notes

    $ —        $ 850,600,537      $ 4,127,303     $ 854,727,840  
  

 

 

     

 

 

     

 

 

    

 

 

  

Short-Term Investments

      —          37,860,957        —         37,860,957  
  

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ —        $ 888,461,494      $ 4,127,303     $ 892,588,797  
  

 

 

     

 

 

     

 

 

    

 

 

  

 

*

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, 2021 and/or June 30, 2022:

Asset Valuation Inputs

 

Investments in Securities

   Balance as of
September 30,
2021		     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, 2022		     Change in Unrealized Appreciation
(Depreciation) from Investments
still Held at June 30, 2022		  

Bonds and Notes Collateralized Mortgage Obligations

   $ 4,629,151     $ —       $ (73,081 )    $ (180,350 )    $ 267     $ (1,231,743 )    $ 983,059     $ —       $ 4,127,303     $ (189,283 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Debt securities valued at $983,059 were transferred from Level 2 to Level 3 during the period ended June 30, 2022. At September 30, 2021, 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, 2022, 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, 2022 (Unaudited)

 

Treasuries

      37.2 % 

Agency Commercial Mortgage-Backed Securities

      33.2  

Collateralized Mortgage Obligations

      13.0  

Non-Agency Commercial Mortgage-Backed Securities

      3.2  

ABS Car Loan

      2.9  

Hybrid ARMs

      2.5  

Other Investments, less than 2% each

      4.0  

Short-Term Investments

      4.3  
  

 

 

  

Total Investments

      100.3  

Other assets less liabilities

      (0.3 ) 
  

 

 

  

Net Assets

      100.0 %