NPORT-EX 2 JLS.htm HTML
JLS   

Nuveen Mortgage and Income Fund

 

Portfolio of Investments    September 30, 2020

     (Unaudited)

 

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
 

LONG-TERM INVESTMENTS – 125.5% (98.0% of Total Investments)

 

 

MORTGAGE-BACKED SECURITIES – 88.0% (68.7% of Total Investments)

 

$ 5,000    

Angel Oak Mortgage Trust I LLC 2018-1, 144A, (3)

     4.100%        4/27/48        A      $ 5,111,257  
  800    

BANK 2020-BNK25, 144A, (3)

     2.500%        1/15/63        BBB        634,683  
  1,000    

BBCMS Mortgage Trust 2020-C6, 144A

     3.688%        2/15/53        N/R        1,010,479  
  3,722    

BCAP LLC Trust 2007-AA1, (1-Month LIBOR reference rate + 0.180% spread), (3), (4)

     0.328%        3/25/37        Caa3        3,549,646  
  1,000    

Benchmark 2020-B16 Mortgage Trust, 144A, (3)

     2.500%        2/15/53        BBB        842,259  
  1,500    

Benchmark 2020-B18 Mortgage Trust, 144A

     4.139%        7/15/53        B–        1,501,754  
  1,499    

BX Commercial Mortgage Trust 2020-BXLP, 144A, (1-Month LIBOR reference rate + 1.600% spread), (3), (4)

     1.752%        12/15/36        N/R        1,479,839  
  845    

CD 2016-CD1 Mortgage Trust, (3)

     3.631%        8/10/49        A–        779,151  
  1,500    

CD 2016-CD2 Mortgage Trust

     4.158%        11/10/49        A–        1,458,572  
  878    

CD 2017-CD3 Mortgage Trust, (3)

     4.711%        2/10/50        A–        875,496  
  25    

CF 2020-P1 Mortgage Trust, 144A

     2.840%        4/15/25        N/R        25,065  
  750    

CF 2020-P1 Mortgage Trust, 144A

     10.010%        4/15/52        N/R        748,071  
  2,132    

ChaseFlex Trust Series 2007-2, (1-Month LIBOR reference rate + 0.280% spread), (3), (4)

     0.428%        5/25/37        B3        1,984,766  
  785    

CHL Mortgage Pass-Through Trust 2006-HYB1

     3.276%        3/20/36        Caa3        756,932  
  1,000    

Citigroup Commercial Mortgage Trust 2015-GC29

     4.296%        4/10/48        A–        987,923  
  1,200    

COMM 2013-CCRE11 Mortgage Trust, (3)

     5.278%        8/10/50        Aa3        1,270,049  
  1,500    

COMM 2013-LC13 Mortgage Trust, 144A

     5.463%        8/10/46        BB–        1,225,740  
  325    

COMM 2014-CCRE19 Mortgage Trust

     4.703%        8/10/47        AA–        351,934  
  1,000    

COMM 2014-CCRE19 Mortgage Trust, 144A, (3)

     4.868%        8/10/47        BBB–        882,882  
  1,000    

COMM 2015-CCRE22 Mortgage Trust, 144A

     3.000%        3/10/48        BB–        645,331  
  500    

COMM 2015-CCRE23 Mortgage Trust

     4.435%        5/10/48        N/R        503,304  
  1,500    

COMM 2015-CCRE24 Mortgage Trust, (3)

     3.463%        8/10/48        BBB–        1,254,176  
  600    

COMM 2015-CCRE25 Mortgage Trust

     4.689%        8/10/48        A–        590,402  
  1,500    

COMM 2015-CCRE26 Mortgage Trust

     4.630%        10/10/48        A–        1,523,961  
  800    

COMM 2015-LC21 Mortgage Trust, (3)

     4.480%        7/10/48        N/R        856,669  
  1,000    

COMM MORTGAGE TRUST

     4.713%        5/10/51        A–        1,019,456  
  1,500    

Connecticut Avenue Securities Trust 2020-R02, 144A, (1-Month LIBOR reference rate + 2.000% spread), (4)

     2.148%        1/25/40        B        1,461,203  
  31    

Countrywide Asset-Backed Certificates, (1-Month LIBOR reference rate + 1.350% spread), (4)

     1.498%        4/25/34        Ba3        31,225  
  800    

CPT MORTGAGE TRUST, 144A

     3.097%        11/13/39        N/R        753,778  
  1,000    

Ellington Financial Mortgage Trust 2019-1, 144A

     3.587%        6/25/59        BBB        999,038  
  1,690    

Fannie Mae Connecticut Avenue Securities, (1-Month LIBOR reference rate + 3.000% spread), (3), (4)

     3.148%        7/25/24        Aaa        1,476,628  
  698    

Fannie Mae Connecticut Avenue Securities, (1-Month LIBOR reference rate + 5.900% spread), (4)

     6.048%        10/25/28        BBB        737,222  
  1,995    

Fannie Mae Connecticut Avenue Securities, (1-Month LIBOR reference rate + 0.450% spread), (4)

     0.598%        7/25/30        BBB        1,943,756  
  986    

Fannie Mae Connecticut Avenue Securities, (1-Month LIBOR reference rate + 2.200% spread), (4)

     0.000%        8/25/30        Aaa        954,239  
  1,119    

Fannie Mae Connecticut Avenue Securities, (1-Month LIBOR reference rate + 2.150% spread), (4)

     2.298%        10/25/30        BB        1,096,993  
  3,476    

Fannie Mae Connecticut Avenue Securities, (1-Month LIBOR reference rate + 2.100% spread), (4)

     2.248%        3/25/31        Aaa        3,415,245  
  976    

First Horizon Alternative Mortgage Securities Trust 2005-AA7

     2.547%        9/25/35        N/R        923,026  
  1,661    

First Horizon Alternative Mortgage Securities Trust 2006-FA3

     6.000%        7/25/36        N/R        1,169,754  
  94    

Flagstar Mortgage Trust 2017-2, 144A

     4.102%        10/25/47        A3        97,811  
  2,822    

Freddie Mac Stacr Remic Trust 2019-Hqa4, 144A, (1-Month LIBOR reference rate + 2.050% spread), (3), (4)

     2.198%        11/25/49        B+        2,785,579  
  1,500    

Freddie Mac STACR Remic Trust 2020-DNA2, 144A, (1-Month LIBOR reference rate + 1.850% spread), (4)

     1.998%        2/25/50        BB        1,460,305  
  750    

Freddie Mac Stacr Remic Trust 2020-HQA2, 144A, (1-Month LIBOR reference rate + 3.100% spread), (4)

     3.248%        3/25/50        Ba2        738,724  
  1,500    

Freddie Mac Stacr Trust 2018-HQA2, 144A, (1-Month LIBOR reference rate + 2.300% spread), (4)

     2.448%        10/25/48        B+        1,468,105  

 

1

JLS    Nuveen Mortgage and Income Fund (continued)
   Portfolio of Investments    September 30, 2020
   (Unaudited)

 

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
 

MORTGAGE-BACKED SECURITIES (continued)

 

$ 2,214    

Freddie Mac STACR Trust 2019-HRP1, 144A, (1-Month LIBOR reference rate + 1.400% spread), (3), (4)

     1.548%        2/25/49        BBB+      $ 2,059,197  
  285    

Freddie Mac Strips, (I/O), (1-Month LIBOR reference rate + 5.920% spread), (4)

     5.768%        3/15/44        N/R        54,415  
  700    

Freddie Mac Structured Agency Credit Risk Debt Notes, (1-Month LIBOR reference rate + 4.150% spread), (3), (4)

     0.046%        1/25/25        Aaa        702,078  
  2,427    

Freddie Mac Structured Agency Credit Risk Debt Notes, (1-Month LIBOR reference rate + 3.250% spread), (3), (4)

     3.398%        7/25/29        Aaa        2,485,350  
  5,000    

Freddie Mac Structured Agency Credit Risk Debt Notes, (1-Month LIBOR reference rate + 3.450% spread), (4)

     3.598%        10/25/29        BBB        5,144,747  
  1,500    

Freddie Mac Structured Agency Credit Risk Debt Notes, (1-Month LIBOR reference rate + 2.350% spread), (3), (4)

     2.498%        4/25/30        Ba2        1,499,999  
  111    

Freddie Mac Structured Agency Credit Risk Debt Notes, 144A

     3.989%        9/25/47        Ba3        110,407  
  552    

Freddie Mac Structured Agency Credit Risk Debt Notes, 144A

     4.473%        11/25/48        Aaa        548,863  
  1,580    

GMACM Mortgage Loan Trust 2005-AF2

     6.000%        12/25/35        N/R        1,492,669  
  1,000    

GS Mortgage Securities Corp Trust 2018-TWR, 144A, (1-Month LIBOR reference rate + 1.450% spread), (4)

     1.602%        7/15/31        A–        945,327  
  1,000    

GS Mortgage Securities Trust 2015-GC30, (3)

     4.169%        5/10/50        N/R        1,049,610  
  500    

GS Mortgage Securities Trust 2019-GC40, 144A

     3.668%        7/10/52        BBB–        497,102  
  1,687    

GSAA Home Equity Trust 2007-8, (1-Month LIBOR reference rate + 0.450% spread), (3), (4)

     0.598%        8/25/37        B1        1,661,911  
  546    

Hudson Yards, 144A

     3.041%        12/10/41        Baa3        540,089  
  1,000    

Hudson Yards, 144A

     3.041%        12/10/41        N/R        877,183  
  1,989    

IndyMac INDX Mortgage Loan Trust 2005-AR11, (3)

     3.233%        8/25/35        Caa3        1,758,225  
  1,087    

JP Morgan Mortgage Trust 2006-A6

     3.489%        10/25/36        N/R        966,452  
  1,000    

JPMBB Commercial Mortgage Securities Trust 2015-C27, (3)

     3.898%        2/15/48        N/R        1,058,390  
  760    

JPMBB Commercial Mortgage Securities Trust 2015-C29, (3)

     4.118%        5/15/48        AA–        789,589  
  400    

JPMBB Commercial Mortgage Securities Trust 2015-C29

     4.352%        5/15/48        A–        374,786  
  1,000    

MFT 2020-B6 Mortgage Trust, 144A

     3.392%        8/10/40        N/R        973,182  
  600    

Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19

     4.000%        12/15/47        N/R        597,546  
  226    

Morgan Stanley Capital I Trust 2015-MS1

     4.166%        5/15/48        N/R        237,908  
  590    

Morgan Stanley Capital I Trust, 144A

     0.056%        9/15/47        AAA        591,709  
  269    

Morgan Stanley Mortgage Loan Trust 2007-15AR

     3.060%        11/25/37        CCC        225,718  
  1,000    

Natixis Commercial Mortgage Securities Trust 2019-1776, 144A

     3.902%        10/15/36        Ba3        969,369  
  1,000    

Natixis Commercial Mortgage Securities Trust 2019-MILE D, 144A, (1-Month LIBOR reference rate + 2.750% spread), (3), (4)

     2.902%        7/15/36        N/R        953,395  
  1,050    

Natixis Commercial Mortgage Securities Trust 2019-MILE F, 144A, (1-Month LIBOR reference rate + 4.250% spread), (4)

     4.402%        7/15/36        N/R        967,112  
  2,000    

Natixis Commercial Mortgage Securities Trust 2019-MILE, 144A, (1-Month LIBOR reference rate + 1.500% spread), (3), (4)

     1.652%        7/15/36        N/R        1,980,034  
  2,039    

RALI Series 2007-QS2 Trust, (3)

     6.250%        1/25/37        Caa3        1,962,275  
  4,274    

RAMP Series 2006-NC2 Trust, (1-Month LIBOR reference rate + 0.290% spread), (3), (4)

     0.438%        2/25/36        Aaa        4,225,150  
  2,275    

STACR Trust 2018-HRP1, 144A, (1-Month LIBOR reference rate + 1.650% spread), (3), (4)

     1.798%        4/25/43        BB–        2,190,604  
  1,500    

Tricon American Homes 2016-SFR1 Trust, 144A

     4.878%        11/17/33        N/R        1,498,517  
  605    

UBS-Barclays Commercial Mortgage Trust 2013-C5, 144A, (3)

     4.234%        3/10/46        A3        574,509  
  1,250    

Vericrest Opportunity Loan Trust 2019-NPL2, 144A

     3.967%        2/25/49        N/R        1,250,443  
  1,500    

VOLT LXXXIV LLC, 144A

     3.967%        12/27/49        N/R        1,481,121  
  1,165    

WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust, (12MTA reference rate + 0.980% spread), (4)

     1.999%        7/25/46        Caa3        1,056,049  
  1,190    

Wells Fargo Commercial Mortgage Trust 2012-LC5, 144A

     4.917%        10/15/45        Baa3        1,177,137  
  1,300    

Wells Fargo Commercial Mortgage Trust 2015-NXS1, (3)

     4.285%        5/15/48        BBB–        1,227,724  
  1,000    

Wells Fargo Commercial Mortgage Trust 2016-C32, (3)

     4.884%        1/15/59        N/R        1,089,012  
  1,000    

WFRBS Commercial Mortgage Trust 2013-C18

     4.845%        12/15/46        A3        933,780  
$ 108,130    

Total Mortgage-Backed Securities (cost $105,705,534)

                                104,161,111  
Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
 

ASSET-BACKED SECURITIES – 37.5% (29.3% of Total Investments)

 

$ 961    

AASET 2020-1 Trust, 144A

     6.413%        1/16/40        BB      $ 398,092  
  965    

Adams Outdoor Advertising LP, 144A

     4.810%        11/15/48        A        1,003,769  
  1,500    

Adams Outdoor Advertising LP, 144A

     7.356%        11/15/48        BB        1,487,239  

 

2

  
  
  

 

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
 

ASSET-BACKED SECURITIES (continued)

 

$ 1,250    

Air Canada 2020-2 Class A Pass Through Trust, 144A

     5.250%        4/01/29        A      $ 1,281,274  
  1,250    

Air Canada 2020-2 Class B Pass Through Trust, 144A

     9.000%        10/01/25        BBB–        1,308,828  
  308    

ARTS Ltd

     2.030%        9/15/21        BB+        302,308  
  1,275    

Avis Budget Rental Car Funding AESOP LLC, 144A

     4.530%        3/20/23        BBB        1,295,353  
  225    

Avis Budget Rental Car Funding AESOP LLC, 144A

     4.950%        3/20/25        BBB        235,223  
  1,000    

Bojangles Issuer LLC, 144A

     3.832%        10/20/50        N/R        1,003,130  
  1,000    

Bowman Park CLO Ltd, 144A, (3-Month LIBOR reference rate +

3.350% spread), (4)

     3.606%        11/23/25        BBB–        991,472  
  1,000    

Caelus Re VI Ltd, 144A, (3-Month U.S. Treasury Bill reference rate + 5.500% spread), (4)

     5.592%        6/07/23        N/R        1,005,800  
  775    

CARS-DB4 LP, 144A

     4.520%        2/15/50        BBB        800,831  
  300    

Cayuga Park CLO, Ltd, 144A, (3-Month LIBOR reference rate + 7.330% spread), (4)

     7.562%        7/17/31        BB–        297,797  
  1,200    

Cayuga Park CLO, Ltd, 144A, (3-Month LIBOR reference rate + 4.000% spread), (4)

     0.000%        7/17/31        BBB–        1,201,912  
  500    

CIFC Funding 2015-IV Ltd, 144A, (3-Month LIBOR reference rate + 4.000% spread), (4)

     0.000%        10/20/27        Baa3        500,012  
  1,375    

CIFC Funding Ltd, 144A, (3-Month LIBOR reference rate + 4.250% spread), (4)

     0.000%        8/24/32        BBB–        1,381,073  
  416    

DB Master Finance LLC, 144A

     4.021%        5/20/49        BBB        441,101  
  49    

Domino’s Pizza Master Issuer LLC, 144A

     4.118%        7/25/47        BBB+        52,447  
  1,000    

Drive Auto Receivables Trust 2020-2

     3.050%        5/15/28        BBB        1,040,380  
  977    

DRIVEN BRANDS FUNDING LLC, 144A

     4.739%        4/20/48        BBB–        1,027,861  
  1,500    

Four Seas LP, 144A

     4.950%        8/28/27        N/R        1,447,059  
  417    

Garanti Diversified Payment Rights Finance Co

     3.440%        10/09/21        BB+        410,938  
  455    

Hilton Grand Vacations Trust 2020-A, 144A

     4.220%        2/25/39        A        480,778  
  911    

Hilton Grand Vacations Trust 2020-A, 144A

     6.420%        2/25/39        BBB        997,366  
  500    

HIN Timeshare Trust 2020-A, 144A

     3.420%        10/09/39        BBB        500,863  
  700    

HIN Timeshare Trust 2020-A, 144A

     5.500%        10/09/39        BB        684,230  
  500    

HIN Timeshare Trust 2020-A, 144A

     6.500%        10/09/39        B        475,552  
  1,433    

Horizon Aircraft Finance II Ltd, 144A

     4.703%        7/15/39        BBB        1,070,351  
  732    

Horizon Aircraft Finance III Ltd, 144A

     4.458%        11/15/39        BBB        551,892  
  529    

Jack in the Box Funding LLC, 144A

     3.982%        8/25/49        BBB        542,286  
  651    

Jack in the Box Funding LLC, 144A

     4.476%        8/25/49        BBB        680,873  
  328    

LUNAR AIRCRAFT 2020-1 LTD, 144A

     4.335%        2/15/45        BB        214,046  
  307    

LUNAR AIRCRAFT 2020-1 LTD, 144A

     6.413%        2/15/45        B        125,338  
  1,375    

Magnetite XXIII Ltd, 144A, (3-Month LIBOR reference rate + 6.750% spread), (4)

     6.995%        10/25/32        BB–        1,324,533  
  257    

Morgan Stanley ABS Capital I Inc Trust 2004-HE6, (1-Month LIBOR reference rate + 0.825% spread), (4)

     0.973%        8/25/34        BBB        255,526  
  800    

Mosaic Solar Loan Trust 2020-1, 144A

     4.470%        4/20/46        N/R        812,989  
  540    

Mosaic Solar Loan Trust 2020-1, 144A

     6.910%        4/20/46        N/R        551,624  
  500    

Mosaic Solar Loan Trust 2020-2, 144A

     3.000%        8/20/46        N/R        495,894  
  300    

Mosaic Solar Loan Trust 2020-2, 144A

     5.420%        8/20/46        N/R        298,111  
  1,137    

MVW 2020-1 LLC, 144A

     4.210%        10/20/37        BBB        1,181,118  
  726    

MVW 2020-1 LLC, 144A

     7.140%        10/20/37        BB        753,144  
  1,250    

Neuberger Berman Loan Advisers CLO 37 Ltd, 144A, (3-Month LIBOR reference rate + 7.050% spread), (4)

     7.219%        7/20/31        BB–        1,220,399  
  1,315    

SERVPRO Master Issuer LLC, 144A

     3.882%        10/25/49        BBB–        1,385,616  
  589    

Sesac Finance LLC, 144A

     5.216%        7/25/49        N/R        625,418  
  250    

Sierra Ltd, 144A, (3-Month U.S. Treasury Bill reference rate + 3.250% spread), (4)

     3.342%        12/28/22        N/R        253,025  
  382    

Sierra Timeshare 2019-3 Receivables Funding LLC, 144A

     4.180%        8/20/36        BB        371,076  
  1,426    

Sierra Timeshare 2020-2 Receivables Funding LLC, 144A

     3.510%        7/20/37        BBB        1,442,072  
  1,188    

Sierra Timeshare 2020-2 Receivables Funding LLC, 144A

     6.590%        7/20/37        BB        1,201,489  
  766    

Sonic Capital LLC, 144A

     3.845%        1/20/50        BBB        809,517  
  660    

START Ireland, 144A

     5.095%        3/15/44        BB        357,230  
  500    

Sutter Re Ltd, 144A, (3-Month U.S. Treasury Bill reference rate + 5.000% spread), (4)

     5.092%        6/06/22        N/R        511,800  
  508    

Taco Bell Funding LLC, 144A

     4.970%        5/25/46        BBB        547,059  
  246    

Taco Bell Funding LLC, 144A

     4.318%        11/25/48        BBB        250,810  
  1,000    

Tesla Auto Lease Trust 2018-B, 144A

     7.870%        6/20/22        Ba3        1,045,748  
  710    

Tesla Auto Lease Trust 2019-A, 144A

     5.480%        5/22/23        Ba3        743,505  
  1,500    

Tesla Auto Lease Trust 2020-A, 144A

     4.640%        8/20/24        Ba2        1,556,006  

 

3

JLS    Nuveen Mortgage and Income Fund (continued)
   Portfolio of Investments    September 30, 2020
   (Unaudited)

 

Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
 

ASSET-BACKED SECURITIES (continued)

 

$ 1,000    

Voya CLO 2020-1 Ltd, 144A, (3-Month LIBOR reference rate + 4.250% spread), (4)

     4.553%        7/16/31        BBB–      $ 994,223  
  112    

Wendy’s Funding LLC, 144A

     3.783%        6/15/49        BBB        119,196  
$ 45,326    

Total Asset-Backed Securities (cost $45,076,137)

                                44,344,602  
 

Total Long-Term Investments (cost $150,781,671)

                                148,505,713  
Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
 

SHORT-TERM INVESTMENTS – 2.6% (2.0% of Total Investments)

 

      U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 1.4% (1.1% of Total Investments)                
$ 1,705    

Federal Agricultural Mortgage Corp Discount Notes

     0.000%        10/01/20        N/R      $ 1,705,000  
      REPURCHASE AGREEMENTS – 1.2% (0.9% of Total Investments)                
  1,382    

Repurchase Agreement with Fixed Income Clearing Corporation,
dated 9/30/20, repurchase price $1,382,016,
collateralized by $1,416,100 U.S. Treasury Notes,
0.375%, due 9/30/27, value $1,409,684

     0.000%        10/01/20        Aaa        1,382,016  
$ 3,087    

Total Short-Term Investments (cost $3,087,016)

                                3,087,016  
 

Total Investments (cost $153,868,687) – 128.1%

                                151,592,729  
 

Borrowings – (3.5)% (5), (6)

                                (4,125,000 ) 
 

Reverse Repurchase Agreements – (22.1)% (7)

                                (26,119,720 ) 
 

Other Assets Less Liabilities – (2.5)%

                                (2,971,271 ) 
 

Net Assets Applicable to Common Shares – 100%

                              $ 118,376,738  

Part F of Form N-PORT was prepared in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) and in conformity with the applicable rules and regulations of the U.S. Securities and Exchange Commission (“SEC”) related to interim filings. Part F of Form N-PORT does not include all information and footnotes required by U.S. GAAP for complete financial statements. Certain footnote disclosures normally included in financial statements prepared in accordance with U.S. GAAP have been condensed or omitted from this report pursuant to the rules of the SEC. For a full set of the Fund’s notes to financial statements, please refer to the Fund’s most recently filed annual or semi-annual report.

Fair Value Measurements

The Fund’s investments in securities are recorded at their estimated fair value utilizing valuation methods approved by the Board of Directors/Trustees. Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. U.S. GAAP establishes the three-tier hierarchy which is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect management’s assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.

 

Level 1 –   Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 –   Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, credit spreads, etc.).
Level 3 –   Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

 

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The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:

 

      Level 1      Level 2      Level 3      Total  

Long-Term Investments:

            

Mortgage-Backed Securities

    $ —      $ 104,161,111      $ —      $ 104,161,111  

Asset-Backed Securities

      —        44,344,602        —        44,344,602  

Short-Term Investments:

            

U.S. Government And Agency Obligations

      —        1,705,000        —        1,705,000  

Repurchase Agreements

      —        1,382,016        —        1,382,016  

Total

    $ —      $ 151,592,729      $ —      $ 151,592,729  

 

For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

 

(1)

All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted.

 

(2)

For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.

 

(3)

Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in reverse repurchase agreements. As of the end of the reporting period, investments with a value of $46,639,292 have been pledged as collateral for reverse repurchase agreements.

 

(4)

Variable rate security. The rate shown is the coupon as of the end of the reporting period.

 

(5)

Borrowings as a percentage of Total Investments is 2.7%.

 

(6)

The Fund may pledge up to 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives, when applicable) in the Portfolio of Investments as collateral for borrowings. As of the end of the reporting period, investments with a value of $10,623,238 have been pledged as collateral for borrowings.

 

(7)

Reverse Repurchase Agreements as a percentage of Total Investments is 17.2%.

 

12MTA

Federal Reserve U.S. 12-Month Cumulative Treasury Average 1-Year CMT.

 

144A

Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.

 

I/O

Interest only security.

 

LIBOR

London Inter-Bank Offered Rate

 

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