NPORT-EX 2 JLS_-__-_3.31.21.htm FOR VALIDATION PURPOSES ONLY - [159076.TX]
JLS   

Nuveen Mortgage and Income Fund

 

Portfolio of Investments    March 31, 2021

     (Unaudited)

 

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

LONG-TERM INVESTMENTS – 130.4% (99.1% of Total Investments)

 

 

MORTGAGE-BACKED SECURITIES – 84.9% (64.5% of Total Investments)

 

$ 1,500    

Alen 2021-ACEN Mortgage Trust, 144A, (1-Month LIBOR reference rate + 4.000% spread), (3)

     4.106%        4/15/34        BB–      $ 1,500,448  
  1,000    

Angel Oak Mortgage Trust 2019-5, 144A

     3.957%        10/25/49        BB        1,025,640  
  1,000    

BANK 2019-BNK21, 144A

     2.500%        10/17/52        BBB        885,415  
  1,000    

BBCMS Mortgage Trust 2020-C6, 144A

     3.688%        2/15/53        N/R        1,030,974  
  3,355    

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

     0.289%        3/25/37        Caa3        3,270,009  
  1,500    

Benchmark 2020-B18 Mortgage Trust, 144A

     4.139%        7/15/53        B–        1,512,295  
  499    

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

     1.706%        12/15/36        N/R        498,389  
  845    

CD 2016-CD1 Mortgage Trust (4)

     3.631%        8/10/49        A–        827,526  
  1,500    

CD 2016-CD2 Mortgage Trust

     4.023%        11/10/49        A–        1,525,440  
  1,028    

CD 2017-CD3 Mortgage Trust (4)

     4.559%        2/10/50        A–        1,053,623  
  25    

CF 2020-P1 Mortgage Trust, 144A

     2.840%        4/15/25        N/R        26,216  
  750    

CF 2020-P1 Mortgage Trust, 144A

     10.010%        4/15/52        N/R        803,811  
  680    

CHL Mortgage Pass-Through Trust 2006-HYB1

     2.581%        3/20/36        Caa3        678,656  
  1,000    

Citigroup Commercial Mortgage Trust 2015-GC29 (4)

     4.151%        4/10/48        A–        1,052,804  
  1,200    

COMM 2013-CCRE11 Mortgage Trust (4)

     5.112%        8/10/50        Aa3        1,295,288  
  1,500    

COMM 2013-LC13 Mortgage Trust, 144A

     5.306%        8/10/46        BB–        1,368,105  
  700    

COMM 2014-CCRE15 Mortgage Trust, 144A

     4.741%        2/10/47        Baa3        716,123  
  1,000    

COMM 2014-CCRE19 Mortgage Trust, 144A

     4.709%        8/10/47        BBB–        960,913  
  1,000    

COMM 2015-CCRE22 Mortgage Trust, 144A

     3.000%        3/10/48        BB–        785,998  
  1,500    

COMM 2015-CCRE24 Mortgage Trust (4)

     3.463%        8/10/48        BBB–        1,349,960  
  800    

COMM 2015-CCRE25 Mortgage Trust

     4.534%        8/10/48        A–        843,665  
  1,245    

COMM 2015-CCRE25 Mortgage Trust

     3.784%        8/10/48        BB        1,126,971  
  1,500    

COMM 2015-CCRE26 Mortgage Trust (4)

     4.480%        10/10/48        A–        1,621,846  
  800    

COMM 2015-LC21 Mortgage Trust (4)

     4.335%        7/10/48        N/R        863,652  
  1,000    

COMM MORTGAGE TRUST (4)

     4.561%        5/10/51        A–        1,075,570  
  1,352    

Connecticut Avenue Securities Trust 2018-R07, 144A, (1-Month LIBOR reference rate + 2.400% spread), (3)

     2.550%        4/25/31        B+        1,354,457  
  617    

Connecticut Avenue Securities Trust 2019-R01, 144A, (1-Month LIBOR reference rate + 2.450% spread), (3)

     2.559%        7/25/31        Aaa        618,373  
  1,253    

Connecticut Avenue Securities Trust 2019-R07, 144A, (1-Month LIBOR reference rate + 2.100% spread), (3)

     2.209%        10/25/39        B        1,254,427  
  2,000    

Connecticut Avenue Securities Trust 2020-R01, 144A, (1-Month LIBOR reference rate + 2.050% spread), (3), (4)

     2.159%        1/25/40        B        1,997,099  
  2,500    

Connecticut Avenue Securities Trust 2020-R02, 144A, (1-Month LIBOR reference rate + 2.000% spread), (3), (5)

     2.109%        1/25/40        B        2,492,209  
  800    

CPT MORTGAGE TRUST, 144A

     2.997%        11/13/39        N/R        766,457  
  1,000    

Ellington Financial Mortgage Trust 2019-1, 144A

     3.587%        6/25/59        BBB        1,002,455  
  1,510    

Fannie Mae Connecticut Avenue Securities, 144A, (1-Month LIBOR reference rate + 2.100% spread), (3)

     2.209%        9/25/39        B        1,512,230  
  1,386    

Fannie Mae Connecticut Avenue Securities, (1-Month LIBOR reference rate + 3.000% spread), (3), (5)

     3.109%        7/25/24        Aaa        1,365,991  
  1,844    

Fannie Mae Connecticut Avenue Securities, (1-Month LIBOR reference rate + 2.650% spread), (3), (4)

     2.759%        2/25/30        Aaa        1,858,941  
  972    

Fannie Mae Connecticut Avenue Securities, (1-Month LIBOR reference rate + 2.200% spread), (3)

     2.306%        8/25/30        Aaa        970,381  
  1,100    

Fannie Mae Connecticut Avenue Securities, (1-Month LIBOR reference rate + 2.150% spread), (3)

     2.259%        10/25/30        BB        1,095,046  
  2,492    

Fannie Mae Connecticut Avenue Securities, (1-Month LIBOR reference rate + 2.550% spread), (3)

     2.659%        12/25/30        B+        2,496,380  
  3,424    

Fannie Mae Connecticut Avenue Securities, (1-Month LIBOR reference rate + 2.100% spread), (3), (5)

     2.209%        3/25/31        Aaa        3,410,415  
  885    

First Horizon Alternative Mortgage Securities Trust 2005-AA7

     2.376%        9/25/35        N/R        865,565  
  1,523    

First Horizon Alternative Mortgage Securities Trust 2006-FA3

     6.000%        7/25/36        N/R        1,051,338  
  93    

Flagstar Mortgage Trust 2017-2, 144A

     4.106%        10/25/47        A3        96,131  
  1,132    

Freddie Mac Multifamily Structured Pass-Through Certificates, (I/O)

     2.803%        10/25/55        N/R        235,262  

 

1

JLS    Nuveen Mortgage and Income Fund (continued)
   Portfolio of Investments    March 31, 2021
   (Unaudited)

 

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

MORTGAGE-BACKED SECURITIES (continued)

 

$ 1,985    

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

     2.159%        11/25/49        B+      $ 1,984,865  
  2,490    

Freddie Mac Stacr Remic Trust 2020-DNA1, 144A, (1-Month LIBOR reference rate + 1.700% spread), (3)

     1.809%        12/25/49        BB–        2,481,539  
  2,000    

Freddie Mac STACR Remic Trust 2020-DNA2, 144A, (1-Month LIBOR reference rate + 1.850% spread), (3), (5)

     1.959%        2/25/50        BB        1,992,248  
  1,922    

Freddie Mac STACR REMIC Trust 2020-HQA1, 144A, (1-Month LIBOR reference rate + 1.900% spread), (3), (4)

     2.009%        1/25/50        B        1,918,518  
  1,500    

Freddie Mac Stacr Remic Trust 2020-HQA2, 144A, (1-Month LIBOR reference rate + 3.100% spread), (3), (5)

     3.209%        3/25/50        Ba2        1,516,846  
  1,500    

Freddie Mac Stacr Trust 2018-HQA2, 144A, (1-Month LIBOR reference rate + 2.300% spread), (3)

     2.409%        10/25/48        B+        1,499,999  
  1,394    

Freddie Mac STACR Trust 2019-DNA4, 144A, (1-Month LIBOR reference rate + 1.950% spread), (3), (4)

     2.059%        10/25/49        BB–        1,392,846  
  1,425    

Freddie Mac STACR Trust 2019-DNA4, 144A, (1-Month LIBOR reference rate + 2.700% spread), (3)

     2.809%        10/25/49        B        1,411,099  
  2,214    

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

     1.509%        2/25/49        BBB+        2,199,059  
  235    

Freddie Mac Strips, Series FHS 327 S8, (1-Month LIBOR *-100% reference rate + 5.920% spread), (I/O), (3)

     5.814%        3/15/44        N/R        43,448  
  126    

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

     4.259%        1/25/25        Aaa        125,581  
  1,500    

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

     2.459%        4/25/30        Baa3        1,496,776  
  1,716    

Freddie Mac Structured Agency Credit Risk Debt Notes, (1-Month LIBOR reference rate + 1.800% spread), (3), (4)

     1.909%        7/25/30        Aaa        1,704,619  
  900    

Freddie Mac Structured Agency Credit Risk Debt Notes, (1-Month LIBOR reference rate + 2.300% spread), (3)

     2.472%        8/25/30        BB–        900,487  
  354    

Freddie Mac Structured Agency Credit Risk Debt Notes, 144A

     4.023%        9/25/47        Ba3        353,742  
  429    

Freddie Mac Structured Agency Credit Risk Debt Notes, 144A

     4.489%        11/25/48        Aaa        428,564  
  1,467    

GMACM Mortgage Loan Trust 2005-AF2

     6.000%        12/25/35        N/R        1,396,512  
  1,000    

GS Mortgage Securities Corp Trust 2018-TWR, 144A, (1-Month LIBOR reference rate + 1.450% spread), (3), (4)

     1.556%        7/15/31        A–        988,203  
  1,000    

GS Mortgage Securities Trust 2015-GC30 (4)

     4.030%        5/10/50        N/R        1,062,141  
  1,000    

GS Mortgage Securities Trust 2016-GS4

     3.811%        11/10/49        A–        942,641  
  500    

GS Mortgage Securities Trust 2019-GC40, 144A

     3.550%        7/10/52        BBB–        516,391  
  546    

Hudson Yards, 144A

     2.943%        12/10/41        Baa3        535,611  
  1,000    

Hudson Yards, 144A

     2.943%        12/10/41        N/R        930,037  
  1,840    

IndyMac INDX Mortgage Loan Trust 2005-AR11

     2.994%        8/25/35        Caa3        1,667,357  
  915    

JP Morgan Mortgage Trust 2006-A6

     3.130%        10/25/36        N/R        828,821  
  934    

JP Morgan Mortgage Trust 2018-6, 144A

     3.928%        12/25/48        Ba1        937,147  
  1,600    

JPMBB Commercial Mortgage Securities Trust 2014-C22

     4.554%        9/15/47        BBB        1,515,809  
  1,000    

JPMBB Commercial Mortgage Securities Trust 2015-C27 (4)

     3.898%        2/15/48        N/R        1,050,724  
  760    

JPMBB Commercial Mortgage Securities Trust 2015-C29 (4)

     4.118%        5/15/48        AA–        791,324  
  400    

JPMBB Commercial Mortgage Securities Trust 2015-C29

     4.198%        5/15/48        A–        391,376  
  1,500    

JPMCC Commercial Mortgage Securities Trust 2017-JP7, 144A

     4.400%        9/15/50        BBB        1,478,861  
  600    

Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19

     4.000%        12/15/47        N/R        625,622  
  226    

Morgan Stanley Capital I Trust 2015-MS1

     4.032%        5/15/48        N/R        242,500  
  250    

Morgan Stanley Mortgage Loan Trust 2007-15AR

     3.064%        11/25/37        CCC        215,617  
  2,000    

MRCD Mortgage Trust, 144A

     2.718%        12/15/36        N/R        1,974,683  
  1,000    

Natixis Commercial Mortgage Securities Trust 2019-1776, 144A

     3.902%        10/15/36        Ba3        981,120  
  1,000    

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

     2.856%        7/15/36        N/R        999,999  
  1,050    

Natixis Commercial Mortgage Securities Trust 2019-MILE, 144A, (1-Month LIBOR reference rate + 4.250% spread), (3)

     4.356%        7/15/36        N/R        1,033,574  
  1,849    

RALI Series 2007-QS2 Trust

     6.250%        1/25/37        Caa3        1,757,176  
  1,500    

Spruce Hill Mortgage Loan Trust 2020-SH1, 144A

     3.827%        1/28/50        BB        1,510,703  
  2,275    

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

     1.759%        4/25/43        BB–        2,259,537  
  1,000    

UBS-Barclays Commercial Mortgage Trust 2013-C5, 144A

     3.649%        3/10/46        Aa3        1,015,263  
  500    

Verus Securitization Trust 2019-2, 144A

     3.781%        5/25/59        BBB–        494,413  
  200    

Verus Securitization Trust 2019-3, 144A

     4.043%        7/25/59        BB        203,410  
  1,190    

Wells Fargo Commercial Mortgage Trust 2012-LC5, 144A (4)

     4.759%        10/15/45        Baa3        1,209,886  
  1,300    

Wells Fargo Commercial Mortgage Trust 2015-NXS1

     4.147%        5/15/48        BBB–        1,322,385  
$ 106,902    

Total Mortgage-Backed Securities (cost $104,507,247)

                                104,471,573  

 

2

  
  
  

 

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

ASSET-BACKED SECURITIES – 45.5% ( 34.6% of Total Investments)

 

$ 981    

AASET 2020-1 Trust, 144A

     6.413%        1/16/40        B      $ 681,659  
  948    

Adams Outdoor Advertising LP, 144A

     4.810%        11/15/48        A        1,015,949  
  1,500    

Adams Outdoor Advertising LP, 144A

     7.356%        11/15/48        BB        1,563,985  
  2,000    

AIMCO CLO 10 Ltd, 144A, (3-Month LIBOR reference rate + 3.550% spread), (3)

     3.772%        7/22/32        BBB–        2,002,146  
  1,250    

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

     5.250%        4/01/29        A        1,343,300  
  1,250    

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

     9.000%        10/01/25        BBB–        1,372,364  
  154    

ARTS Ltd

     1.964%        9/15/21        BB+        152,923  
  1,275    

Avis Budget Rental Car Funding AESOP LLC, 144A

     4.530%        3/20/23        BBB        1,303,733  
  225    

Avis Budget Rental Car Funding AESOP LLC, 144A

     4.950%        3/20/25        BBB        242,863  
  1,000    

Bojangles Issuer LLC, 144A

     3.832%        10/20/50        N/R        1,043,990  
  500    

Bonanza RE Ltd, 144A, (3-Month U.S. Treasury Bill reference rate + 4.750% spread), (3)

     4.765%        12/23/24        N/R        504,400  
  991    

British Airways 2020-1 Class A Pass-Through Trust, 144A

     4.250%        11/15/32        A        1,038,620  
  983    

British Airways 2020-1 Class B Pass-Through Trust, 144A (4)

     8.375%        11/15/28        BBB        1,118,998  
  750    

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

     5.515%        6/07/23        N/R        765,075  
  2,000    

Cars Net Lease Mortgage Notes Series 2020-1, 144A

     4.690%        12/15/50        BBB        2,144,425  
  775    

CARS-DB4 LP, 144A

     4.520%        2/15/50        BBB        791,959  
  300    

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

     7.553%        7/17/31        BB–        303,588  
  1,200    

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

     4.190%        7/17/31        BBB–        1,204,093  
  1,000    

CIFC Funding 2019-II Ltd, 144A, (3-Month LIBOR reference rate + 3.600% spread), (3)

     3.823%        4/17/30        Baa3        1,000,850  
  1,375    

CIFC Funding 2020-II Ltd, 144A, (3-Month LIBOR reference rate + 4.250% spread), (3)

     4.438%        8/24/32        BBB–        1,384,471  
  414    

DB Master Finance LLC, 144A

     4.021%        5/20/49        BBB        437,484  
  49    

Domino’s Pizza Master Issuer LLC, 144A

     4.118%        7/25/47        BBB+        52,214  
  973    

Driven Brands Funding LLC, 144A, (5)

     4.739%        4/20/48        BBB–        1,032,581  
  250    

Garanti Diversified Payment Rights Finance Co

     3.397%        10/09/21        BB+        248,250  
  1,995    

Hardee’s Funding LLC, 144A

     3.981%        12/20/50        BBB        2,059,020  
  379    

Hilton Grand Vacations Trust 2020-A, 144A

     4.220%        2/25/39        A        404,526  
  758    

Hilton Grand Vacations Trust 2020-A, 144A

     6.420%        2/25/39        BBB        843,268  
  596    

HIN Timeshare Trust 2020-A, 144A

     5.500%        10/09/39        BB        618,593  
  426    

HIN Timeshare Trust 2020-A, 144A

     6.500%        10/09/39        B        435,571  
  1,433    

Horizon Aircraft Finance II Ltd, 144A

     4.703%        7/15/39        BBB        1,383,642  
  244    

Horizon Aircraft Finance III Ltd, 144A

     4.458%        11/15/39        BBB        235,834  
  529    

Jack in the Box Funding LLC, 144A

     3.982%        8/25/49        BBB        542,550  
  651    

Jack in the Box Funding LLC, 144A

     4.476%        8/25/49        BBB        686,974  
  318    

Lunar Aircraft 2020-1 LTD, 144A

     4.335%        2/15/45        BB        306,749  
  317    

Lunar Aircraft 2020-1 LTD, 144A

     6.413%        2/15/45        B        258,221  
  1,375    

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

     6.968%        10/25/32        BB–        1,377,237  
  1,630    

Mexico Remittances Funding Fiduciary Estate Management Sarl, 144A

     4.875%        1/15/28        BB+        1,597,563  
  800    

Mosaic Solar Loan Trust 2020-1, 144A

     4.470%        4/20/46        N/R        823,384  
  540    

Mosaic Solar Loan Trust 2020-1, 144A

     6.910%        4/20/46        N/R        564,325  
  1,520    

Mosaic Solar Loan Trust 2020-2, 144A

     5.420%        8/20/46        N/R        1,568,028  
  987    

MVW 2020-1 LLC, 144A

     4.210%        10/20/37        BBB        1,043,486  
  630    

MVW 2020-1 LLC, 144A

     7.140%        10/20/37        BB        687,666  
  1,250    

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

     7.274%        7/20/31        BB–        1,253,425  
  250    

Oportun Funding XIV LLC, 144A

     3.440%        3/08/28        N/R        249,909  
  500    

Oportun Funding XIV LLC, 144A

     5.400%        3/08/28        N/R        499,761  
  400    

Residential Reinsurance 2020 Ltd, 144A, (3-Month U.S. Treasury Bill reference rate + 6.250% spread), (3)

     6.265%        12/06/24        N/R        405,400  
  1,308    

SERVPRO Master Issuer LLC, 144A

     3.882%        10/25/49        BBB–        1,349,287  
  586    

Sesac Finance LLC, 144A

     5.216%        7/25/49        N/R        619,083  
  307    

Sierra Timeshare 2019-3 Receivables Funding LLC, 144A

     4.180%        8/20/36        BB        311,420  
  938    

Sierra Timeshare 2020-2 Receivables Funding LLC, 144A

     6.590%        7/20/37        BB        989,773  
  294    

S-Jets 2017-1 Ltd, 144A

     5.682%        8/15/42        BB        270,203  
  762    

Sonic Capital LLC, 144A

     3.845%        1/20/50        BBB        789,291  
  660    

START Ireland, 144A

     5.095%        3/15/44        BB        626,809  
  505    

Taco Bell Funding LLC, 144A

     4.970%        5/25/46        BBB        547,557  

 

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JLS    Nuveen Mortgage and Income Fund (continued)
   Portfolio of Investments    March 31, 2021
   (Unaudited)

 

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

ASSET-BACKED SECURITIES (continued)

 

$ 500    

TCW CLO 2019-1 AMR Ltd, 144A, (3-Month LIBOR reference rate + 6.750% spread), (3)

     6.944%        2/15/29        BB–      $ 496,577  
  1,000    

TES LLC, 2017-1A B, 144A

     7.740%        10/20/47        N/R        984,263  
  1,000    

Tesla Auto Lease Trust 2018-B, 144A

     7.870%        6/20/22        Ba3        1,025,826  
  710    

Tesla Auto Lease Trust 2019-A, 144A

     5.480%        5/22/23        Ba3        749,626  
  1,500    

Tesla Auto Lease Trust 2020-A, 144A, (5)

     4.640%        8/20/24        Ba2        1,579,387  
  1,317    

United Airlines 2020-1 Class A Pass-Through Trust, (4)

     5.875%        10/15/27        A        1,460,552  
  250    

Ursa Re II Ltd, 144A, (3-Month U.S. Treasury Bill reference rate + 6.250% spread), (3)

     6.265%        12/07/23        N/R        255,375  
  1,756    

Vivint Solar Financing V LLC, 144A

     7.370%        4/30/48        N/R        1,869,214  
  1,000    

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

     4.473%        7/16/31        BBB–        1,002,282  
  472    

VR Funding LLC, 144A

     6.420%        11/15/50        N/R        463,238  
$ 54,536    

Asset-Backed Securities (cost $54,400,520)

                                55,984,815  
 

Total Long-Term Investments (cost $158,907,767)

                                160,456,388  
Principal
Amount (000)		     Description (1)   Coupon      Maturity      Ratings (2)      Value  
      SHORT-TERM INVESTMENTS – 1.2% (0.9% of Total Investments)  
      U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 1.2% (0.9% of Total Investments)  
$ 1,430    

Federal Agricultural Mortgage Corp Discount Notes

     0.000%        4/01/21        N/R      $ 1,429,998  
$ 1,430    

Total Short-Term Investments (cost $1,430,000)

                                1,429,998  
 

Total Investments (cost $160,337,767) – 131.6%

                                161,886,386  
 

Borrowings – (11.7)% (6), (7)

                                (14,355,000 ) 
 

Reverse Repurchase Agreements, including accrued interest – (19.7)% (8)

                                (24,218,879 ) 
 

Other Assets Less Liabilities – (0.2)%

                                (264,597 ) 
 

Net Assets Applicable to Common Shares – 100%

                              $ 123,047,910  

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 following table summarizes the market value of the Fund’s investments as of the end of the reporting period, based on the inputs used to value them:

 

      Level 1      Level 2      Level 3      Total  

Long-Term Investments:

                                    

Mortgage-Backed Securities

    $ —      $ 104,471,573      $ —      $ 104,471,573  

Asset-Backed Securities

      —        55,984,815        —        55,984,815  

Short-Term Investments:

            

U.S. Government and Agency Obligations

      —        1,429,998        —        1,429,998  

Total

    $ —      $ 161,886,386      $ —      $ 161,886,386  

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. Ratings are not covered by the report of independent registered public accounting firm.

 

(3)

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

 

(4)

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 $33,617,813 have been pledged as collateral for reverse repurchase agreements.

 

(5)

Investment, or portion of investment, is hypothecated. The total value of investments hypothecated as of the end of the reporting period was $11,958,436.

 

(6)

Borrowings as a percentage of Total Investments is 8.9%.

 

(7)

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 $35,324,464 have been pledged as collateral for borrowings.

 

(8)

Reverse Repurchase Agreements as a percentage of Total Investments is 15.0%.

 

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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