NPORT-EX 2 NPORT_IABN_72793801_1222.htm HTML

PORTFOLIO OF INVESTMENTS – as of December 31, 2022 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund

 

Principal
Amount

    

Description

    Value (†)  
                   

Bonds and Notes – 94.6% of Net Assets

   
     ABS Car Loan – 3.4%

 

$      58,120         AmeriCredit Automobile Receivables Trust, Series 2020-2, Class A3,
0.660%, 12/18/2024		    $ 57,918  
         3,220,000     Avis Budget Rental Car Funding AESOP LLC, Series 2022-1A, Class A,
3.830%, 8/21/2028, 144A		      3,099,295  
     331,642     CarMax Auto Owner Trust, Series 2020-2, Class A3,
1.700%, 11/15/2024		      329,401  
     1,865,000     Carvana Auto Receivables Trust, Series 2021-N2, Class A2,
0.970%, 3/10/2028		      1,697,816  
     7,901,415     Credit Acceptance Auto Loan Trust, Series 2020-3A, Class A,
1.240%, 10/15/2029, 144A		          7,738,287  
     2,735,000     Exeter Automobile Receivables Trust, Series 2022-5A, Class A3,
5.430%, 4/15/2026		      2,724,730  
     2,807     Flagship Credit Auto Trust, Series 2020-3, Class A,
0.700%, 4/15/2025, 144A		      2,803  
     132,019     Ford Credit Auto Owner Trust, Series 2020-A, Class A3,
1.040%, 8/15/2024		      130,806  
     56,414     GM Financial Consumer Automobile Receivables Trust, Series 2019-4, Class A3,
1.750%, 7/16/2024		      56,296  
     177,213     GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3,
1.840%, 9/16/2024		      176,028  
     142,794     GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3,
1.490%, 12/16/2024		      141,053  
     655,000     GM Financial Revolving Receivables Trust, Series 2021-1, Class A,
1.170%, 6/12/2034, 144A		      569,289  
     96,653     Honda Auto Receivables Owner Trust, Series 2020-1, Class A3,
1.610%, 4/22/2024		      95,761  
     226,768     Hyundai Auto Receivables Trust, Series 2020-A, Class A3,
1.410%, 11/15/2024		      223,548  
     612,607     Nissan Auto Receivables Owner Trust, Series 2020-A, Class A3,
1.380%, 12/16/2024		      603,857  
     620,000     PenFed Auto Receivables Owner Trust, Series 2022-A, Class A4,
4.180%, 12/15/2028, 144A		      602,169  
     765,000     Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A,
1.350%, 5/25/2033, 144A		      698,870  
     4,365,000     Toyota Auto Loan Extended Note Trust, Series 2022-1A, Class A,
3.820%, 4/25/2035, 144A		      4,135,013  
     87,997     Toyota Auto Receivables Owner Trust, Series 2020-A, Class A3,
1.660%, 5/15/2024		      87,483  
     196,811     Toyota Auto Receivables Owner Trust, Series 2020-B, Class A3,
1.360%, 8/15/2024		      194,741  
       

 

 

  
          23,365,164  
       

 

 

  
     ABS Other – 0.6%

 

     426,817     Chesapeake Funding II LLC, Series 2020-1A, Class A1,
0.870%, 8/15/2032, 144A		      420,876  
     150,897     CNH Equipment Trust, Series 2020-A, Class A3,
1.160%, 6/16/2025		      148,716  
       1,239,202     Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2,
0.560%, 12/11/2034, 144A		      1,197,486  
     675,000     Enterprise Fleet Financing LLC, Series 2022-3, Class A2,
4.380%, 7/20/2029, 144A		      659,920  

Principal
Amount

    

Description

    Value (†)  
                   

Bonds and Notes – continued

   
     ABS Other – continued

 

$      215,183     Kubota Credit Owner Trust, Series 2020-1A, Class A3,
1.960%, 3/15/2024, 144A		    $ 213,847  
            384,478         MVW LLC, Series 2020-1A, Class A,
1.740%, 10/20/2037, 144A		      350,129  
     613,452     Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A,
1.330%, 7/20/2037, 144A		      577,001  
     761,286     Welk Resorts LLC, Series 2019-AA, Class A,
2.800%, 6/15/2038, 144A		      711,463  
       

 

 

  
          4,279,438  
       

 

 

  
     ABS Student Loan – 1.1%

 

     1,678,917     Navient Private Education Refi Loan Trust, Series 2019-FA, Class A2,
2.600%, 8/15/2068, 144A		          1,556,242  
     523,485     Navient Private Education Refi Loan Trust, Series 2020-DA, Class A,
1.690%, 5/15/2069, 144A		      471,476  
     1,695,273     Navient Private Education Refi Loan Trust, Series 2021-CA, Class A,
1.060%, 10/15/2069, 144A		      1,446,757  
     3,932,393     Navient Private Education Refi Loan Trust, Series 2021-EA, Class A,
0.970%, 12/16/2069, 144A		      3,324,005  
     982,926     SMB Private Education Loan Trust, Series 2021-D, Class A1A,
1.340%, 3/17/2053, 144A		      861,032  
     13,999     SoFi Professional Loan Program LLC, Series 2016-D, Class A1,
1-month LIBOR + 0.950%, 5.339%, 1/25/2039, 144A(a)		      13,960  
       

 

 

  
          7,673,472  
       

 

 

  
     Agency Commercial Mortgage-Backed Securities – 38.1%

 

     3,917,187     Federal Home Loan Mortgage Corp., Series Q016, Class APT1,
1.242%, 5/25/2051(b)		      3,516,929  
     11,380,000     Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K747, Class A2,
2.050%, 11/25/2028(b)		      9,938,518  
     7,165,000     Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ37, Class A2,
2.333%, 11/25/2030		      6,259,545  
     2,796,678     Federal National Mortgage Association, Series 2014-M2, Class A2,
3.513%, 12/25/2023(b)		      2,749,970  
     2,416,652     Federal National Mortgage Association, Series 2020-M5, Class FA,
1-month LIBOR + 0.460%, 4.580%, 1/25/2027(a)		      2,394,363  
     7,288,202     FHLMC Multifamily Structured Pass Through Certificates, Series KJ20, Class A2,
3.799%, 12/25/2025		      7,104,044  
     2,494,039     FHLMC Multifamily Structured Pass Through Certificates, Series K-F100, Class AS,
30-day Average SOFR + 0.180%, 3.905%, 1/25/2028(a)		      2,438,583  
     7,862,871     FHLMC Multifamily Structured Pass Through Certificates, Series K034, Class A2,
3.531%, 7/25/2023(b)		      7,794,634  
     7,715,533     FHLMC Multifamily Structured Pass Through Certificates, Series K035, Class A2,
3.458%, 8/25/2023(b)		      7,643,609  
     7,500,000     FHLMC Multifamily Structured Pass Through Certificates, Series K038, Class A2,
3.389%, 3/25/2024		      7,357,127  
     2,580,000     FHLMC Multifamily Structured Pass Through Certificates, Series K064, Class A2,
3.224%, 3/25/2027		      2,455,181  
     19,108,648     FHLMC Multifamily Structured Pass Through Certificates, Series K139, Class A1,
2.209%, 10/25/2031		      16,820,886  

Principal
Amount

    

Description

    Value (†)  
                   

Bonds and Notes – continued

   
     Agency Commercial Mortgage-Backed Securities – continued

 

$      8,000,000     FHLMC Multifamily Structured Pass Through Certificates, Series KC06, Class A2,
2.541%, 8/25/2026		    $ 7,469,920  
       16,952,321         FHLMC Multifamily Structured Pass Through Certificates, Series KF123, Class AS,
30-day Average SOFR + 0.200%, 3.925%, 9/25/2028(a)		      16,529,377  
     1,255,062     FHLMC Multifamily Structured Pass Through Certificates, Series KF53, Class A,
1-month LIBOR + 0.390%, 4.532%, 10/25/2025(a)		      1,235,926  
     7,060,382     FHLMC Multifamily Structured Pass Through Certificates, Series KF72, Class A,
1-month LIBOR + 0.500%, 4.642%, 10/25/2026(a)		      7,034,049  
     2,105,685     FHLMC Multifamily Structured Pass Through Certificates, Series KF74, Class AS,
1-month Average Compounded SOFR + 0.530%, 4.281%, 1/25/2027(a)		      2,090,581  
     7,689,993     FHLMC Multifamily Structured Pass Through Certificates, Series KF77, Class AL,
1-month LIBOR + 0.700%, 4.842%, 2/25/2027(a)		      7,670,252  
     10,114,311     FHLMC Multifamily Structured Pass Through Certificates, Series KF77, Class AS,
30-day Average SOFR + 0.900%, 4.625%, 2/25/2027(a)		      10,103,165  
     24,224,552     FHLMC Multifamily Structured Pass Through Certificates, Series KF78, Class AL,
1-month LIBOR + 0.800%, 4.942%, 3/25/2030(a)		      24,210,184  
     24,224,552     FHLMC Multifamily Structured Pass Through Certificates, Series KF78, Class AS,
30-day Average SOFR + 1.000%, 4.725%, 3/25/2030(a)		        24,224,499  
     3,919,612     FHLMC Multifamily Structured Pass Through Certificates, Series KF79, Class AL,
1-month LIBOR + 0.470%, 4.612%, 5/25/2030(a)		      3,858,506  
     3,616,861     FHLMC Multifamily Structured Pass Through Certificates, Series KF79, Class AS,
30-day Average SOFR + 0.580%, 4.305%, 5/25/2030(a)		      3,568,811  
     5,055,821     FHLMC Multifamily Structured Pass Through Certificates, Series KF80, Class AL,
1-month LIBOR + 0.440%, 4.582%, 6/25/2030(a)		      4,972,739  
     2,840,671     FHLMC Multifamily Structured Pass Through Certificates, Series KF80, Class AS,
30-day Average SOFR + 0.510%, 4.235%, 6/25/2030(a)		      2,792,234  
     1,054,948     FHLMC Multifamily Structured Pass Through Certificates, Series KF81, Class AL,
1-month LIBOR + 0.360%, 4.502%, 6/25/2027(a)		      1,036,968  
     791,211     FHLMC Multifamily Structured Pass Through Certificates, Series KF81, Class AS,
30-day Average SOFR + 0.400%, 4.125%, 6/25/2027(a)		      781,790  
     778,976     FHLMC Multifamily Structured Pass Through Certificates, Series KF84, Class AL,
1-month LIBOR + 0.300%, 4.442%, 7/25/2030(a)		      759,776  
     655,329     FHLMC Multifamily Structured Pass Through Certificates, Series KF84, Class AS,
30-day Average SOFR + 0.320%, 4.045%, 7/25/2030(a)		      639,804  
     223,849     FHLMC Multifamily Structured Pass Through Certificates, Series KF85, Class AL,
1-month LIBOR + 0.300%, 4.442%, 8/25/2030(a)		      219,582  
     596,730     FHLMC Multifamily Structured Pass Through Certificates, Series KF85, Class AS,
30-day Average SOFR + 0.330%, 4.055%, 8/25/2030(a)		      583,886  
     657,363     FHLMC Multifamily Structured Pass Through Certificates, Series KF86, Class AL,
1-month LIBOR + 0.290%, 4.432%, 8/25/2027(a)		      646,949  
     587,006     FHLMC Multifamily Structured Pass Through Certificates, Series KF86, Class AS,
30-day Average SOFR + 0.320%, 4.045%, 8/25/2027(a)		      578,706  
     8,905,523     FHLMC Multifamily Structured Pass Through Certificates, Series KJ21, Class A2,
3.700%, 9/25/2026		      8,631,261  
     7,124,036     FHLMC Multifamily Structured Pass Through Certificates, Series KJ26, Class A2,
2.606%, 7/25/2027		      6,700,300  
     19,388     FHLMC Multifamily Structured Pass Through Certificates, Series KJ28, Class A1,
1.766%, 2/25/2025		      19,231  
     16,300,000     FHLMC Multifamily Structured Pass Through Certificates, Series KJ42, Class A2,
4.118%, 11/25/2032		      15,642,866  
     8,515,000     FHLMC Multifamily Structured Pass Through Certificates, Series KS12, Class A,
1-month LIBOR + 0.650%, 4.792%, 8/25/2029(a)		      8,396,773  
     2,855,000     FHLMC Multifamily Structured Pass Through Certificates, Series KS14, Class AL,
1-month LIBOR + 0.340%, 4.482%, 4/25/2030(a)		      2,804,618  

Principal
Amount

    

Description

    Value (†)  
                   

Bonds and Notes – continued

   
     Agency Commercial Mortgage-Backed Securities – continued

 

$      3,140,000     FHLMC Multifamily Structured Pass Through Certificates, Series KS14, Class AS,
30-day Average SOFR + 0.370%, 4.095%, 4/25/2030(a)		    $ 3,077,583  
     1,260,335     FHLMC Multifamily Structured Pass Through Certificates, Series Q008, Class A,
1-month LIBOR + 0.390%, 4.532%, 10/25/2045(a)		      1,247,081  
     5,200,000     FNMA,
3.580%, 1/01/2026		      5,032,641  
         8,490,905         Freddie Mac Multifamily Structured Pass Through Certificates, Series K-F121, Class AS,
30-day Average SOFR + 0.180%, 3.905%, 8/25/2028(a)		      8,284,015  
     567,681     Freddie Mac Multifamily Structured Pass Through Certificates, Series KF93, Class AL,
1-month LIBOR + 0.280%, 4.422%, 10/25/2027(a)		      559,784  
     681,585     Freddie Mac Multifamily Structured Pass Through Certificates, Series KF93, Class AS,
30-day Average SOFR + 0.310%, 4.035%, 10/25/2027(a)		      669,807  
     3,245,439     Freddie Mac Multifamily Structured Pass Through Certificates, Series KF97, Class AS,
30-day Average SOFR + 0.250%, 3.975%, 12/25/2030(a)		      3,169,096  
     1,398,155     Freddie Mac Multifamily Structured Pass Through Certificates, Series Q015, Class A,
30-day Average SOFR + 0.200%, 4.004%, 8/25/2024(a)		      1,395,149  
     82,338     Government National Mortgage Association, Series 2003-72, Class Z,
5.334%, 11/16/2045(b)		      80,353  
       

 

 

  
          263,191,651  
       

 

 

  
     Collateralized Mortgage Obligations – 14.7%

 

     1,210     Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD,
7-year CMT - 0.200%, 4.030%, 5/15/2023(a)(c)		      1,172  
     1,520     Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I,
10-year CMT - 0.650%, 3.140%, 8/15/2023(a)(c)		      1,469  
     48,548     Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB,
6.000%, 3/15/2029(c)		      47,043  
     417,526     Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG,
5.500%, 5/15/2035(c)		      415,391  
     610,331     Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE,
5.000%, 9/15/2035(c)		      605,909  
     205,937     Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY,
5.500%, 2/15/2038(c)		      196,906  
     615,040     Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, IO,
2.576%, 6/15/2048(b)(d)		      554,158  
     523,780     Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, IO,
3.871%, 12/15/2036(b)(d)		      513,583  
     98,978     Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW,
1-month LIBOR + 2.100% 6.418%, 6/15/2043(b)(c)		      88,030  
     3,554     Federal National Mortgage Association, REMIC, Series 1994-42, Class FD,
10-year CMT - 0.500%, 3.250%, 4/25/2024(a)(c)		      3,426  
     5,664     Federal National Mortgage Association, REMIC, Series 2002-W10, Class A7,
4.209%, 8/25/2042(b)(c)		      5,189  
     583,202     Federal National Mortgage Association, REMIC, Series 2003-48, Class GH,
5.500%, 6/25/2033(c)		      586,433  
     33,766     Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ,
5.500%, 11/25/2025(c)		      32,516  
     302,640     Federal National Mortgage Association, REMIC, Series 2007-73, Class A1,
1-month LIBOR + 0.060%, 3.821%, 7/25/2037(a)(c)		      294,868  

Principal
Amount

    

Description

    Value (†)  
                   

Bonds and Notes – continued

   
     Collateralized Mortgage Obligations – continued

 

$      568,611     Federal National Mortgage Association, REMIC, Series 2008-86, Class LA,
3.421%, 8/25/2038(b)		    $ 534,018  
         1,132,512         Federal National Mortgage Association, REMIC, Series 2012-56, Class FK,
1-month LIBOR + 0.450%, 4.839%, 6/25/2042(a)		      1,101,668  
     1,371,225     Federal National Mortgage Association, REMIC, Series 2012-58, Class KF,
1-month LIBOR + 0.550%, 4.939%, 6/25/2042(a)		      1,340,751  
     3,024,416     Federal National Mortgage Association, REMIC, Series 2012-83, Class LF,
1-month LIBOR + 0.510%, 4.899%, 8/25/2042(a)		      2,948,898  
     1,840,298     Federal National Mortgage Association, REMIC, Series 2013-67, Class NF,
1-month LIBOR + 1.000%, 5.000%, 7/25/2043(a)		      1,648,326  
     3,222,823     Federal National Mortgage Association, REMIC, Series 2015-4, Class BF,
1-month LIBOR + 0.400%, 4.789%, 2/25/2045(a)		      3,159,064  
     5,064,837     Federal National Mortgage Association, REMIC, Series 2020-35, Class FA,
1-month LIBOR + 0.500%, 3.466%, 6/25/2050(a)		          4,956,232  
     5,122     FHLMC Structured Pass Through Securities, Series T-60, Class 2A1,
3.607%, 3/25/2044(b)(c)		      4,260  
     263,671     FHLMC Structured Pass Through Securities, Series T-62, Class 1A1,
12-month MTA + 1.200%, 3.248%, 10/25/2044(a)(c)		      261,081  
     978,488     Government National Mortgage Association, Series 2005-18, Class F,
1-month LIBOR + 0.200%, 4.553%, 2/20/2035(a)(c)		      963,012  
     736,512     Government National Mortgage Association, Series 2007-59, Class FM,
1-month LIBOR + 0.520%, 4.873%, 10/20/2037(a)(c)		      730,600  
     211,313     Government National Mortgage Association, Series 2009-H01, Class FA,
1-month LIBOR + 1.150%, 5.503%, 11/20/2059(a)(c)		      210,124  
     614,401     Government National Mortgage Association, Series 2010-H20, Class AF,
1-month LIBOR + 0.330%, 4.172%, 10/20/2060(a)		      608,429  
     519,245     Government National Mortgage Association, Series 2010-H24, Class FA,
1-month LIBOR + 0.350%, 4.192%, 10/20/2060(a)		      514,083  
     338,163     Government National Mortgage Association, Series 2010-H27, Class FA,
1-month LIBOR + 0.380%, 4.222%, 12/20/2060(a)		      334,866  
     32,523     Government National Mortgage Association, Series 2011- H20, Class FA,
1-month LIBOR + 0.550%, 4.392%, 9/20/2061(a)		      32,312  
     417,360     Government National Mortgage Association, Series 2011-H06, Class FA,
1-month LIBOR + 0.450%, 4.292%, 2/20/2061(a)		      413,861  
     23,657     Government National Mortgage Association, Series 2011-H08, Class FA,
1-month LIBOR + 0.600%, 4.442%, 2/20/2061(a)		      23,530  
     28,766     Government National Mortgage Association, Series 2011-H23, Class HA,
3.000%, 12/20/2061(c)		      26,354  
     25,282     Government National Mortgage Association, Series 2012-124, Class HT,
6.500%, 7/20/2032(b)(c)		      24,465  
     2,235,034     Government National Mortgage Association, Series 2012-18, Class FM,
1-month LIBOR + 0.250%, 4.603%, 9/20/2038(a)		      2,217,257  
     89     Government National Mortgage Association, Series 2012-H15, Class FA,
1-month LIBOR + 0.450%, 4.292%, 5/20/2062(a)(c)		      85  
     290,623     Government National Mortgage Association, Series 2012-H18, Class NA,
1-month LIBOR + 0.520%, 4.362%, 8/20/2062(a)		      288,608  
       1,110,697     Government National Mortgage Association, Series 2012-H20, Class PT,
4.911%, 7/20/2062(b)		      1,107,646  
     14,953     Government National Mortgage Association, Series 2012-H29, Class HF,
1-month LIBOR + 0.500%, 4.342%, 10/20/2062(a)(c)		      14,262  
     27,049     Government National Mortgage Association, Series 2013-H02, Class GF,
1-month LIBOR + 0.500%, 4.342%, 12/20/2062(a)(c)		      25,893  
     795,458     Government National Mortgage Association, Series 2013-H08, Class FA,
1-month LIBOR + 0.350%, 4.192%, 3/20/2063(a)		      788,280  

Principal
Amount

    

Description

    Value (†)  
                   

Bonds and Notes – continued

   
     Collateralized Mortgage Obligations – continued

 

$      960,492     Government National Mortgage Association, Series 2013-H10, Class FA,
1-month LIBOR + 0.400%, 4.242%, 3/20/2063(a)		    $ 952,142  
     128,121     Government National Mortgage Association, Series 2013-H14, Class FG,
1-month LIBOR + 0.470%, 4.312%, 5/20/2063(a)		      127,056  
         3,489,118         Government National Mortgage Association, Series 2013-H22, Class FT,
1-year CMT + 0.650%, 5.143%, 4/20/2063(a)		      3,484,565  
     3,029,049     Government National Mortgage Association, Series 2014-H14, Class FA,
1-month LIBOR + 0.500%, 3.643%, 7/20/2064(a)		      2,998,927  
     2,556,078     Government National Mortgage Association, Series 2014-H15, Class FA,
1-month LIBOR + 0.500%, 4.342%, 7/20/2064(a)		      2,528,309  
     1,734,615     Government National Mortgage Association, Series 2015-H04, Class FL,
1-month LIBOR + 0.470%, 4.312%, 2/20/2065(a)		      1,717,370  
     3,454     Government National Mortgage Association, Series 2015-H05, Class FA,
1-month LIBOR + 0.300%, 4.142%, 4/20/2061(a)(c)		      3,319  
     5,606     Government National Mortgage Association, Series 2015-H09, Class HA,
1.750%, 3/20/2065(c)		      5,039  
     232,024     Government National Mortgage Association, Series 2015-H10, Class FC,
1-month LIBOR + 0.480%, 4.322%, 4/20/2065(a)		      229,610  
     3,492,931     Government National Mortgage Association, Series 2015-H10, Class JA,
2.250%, 4/20/2065		          3,367,889  
     2,391     Government National Mortgage Association, Series 2015-H11, Class FA,
1-month LIBOR + 0.250%, 4.092%, 4/20/2065(a)(c)		      2,283  
     1,930,543     Government National Mortgage Association, Series 2015-H12, Class FL,
1-month LIBOR + 0.230%, 4.072%, 5/20/2065(a)		      1,909,930  
     47,898     Government National Mortgage Association, Series 2015-H19, Class FH,
1-month LIBOR + 0.300%, 4.142%, 7/20/2065(a)(c)		      47,046  
     2,789     Government National Mortgage Association, Series 2015-H29, Class FA,
1-month LIBOR + 0.700%, 4.542%, 10/20/2065(a)(c)		      2,677  
     2,961     Government National Mortgage Association, Series 2015-H30, Class FA,
1-month LIBOR + 0.680%, 4.522%, 8/20/2061(a)(c)		      2,828  
     3,382,794     Government National Mortgage Association, Series 2016-H06, Class FC,
1-month LIBOR + 0.920%, 3.554%, 2/20/2066(a)		      3,334,274  
     929,055     Government National Mortgage Association, Series 2016-H20, Class FB,
1-month LIBOR + 0.550%, 4.392%, 9/20/2066(a)		      921,209  
     2,322,065     Government National Mortgage Association, Series 2017-H05, Class FC,
1-month LIBOR + 0.750%, 3.282%, 2/20/2067(a)		      2,288,227  
     31,416     Government National Mortgage Association, Series 2018-H02, Class FJ,
1-month LIBOR + 0.200%, 4.042%, 10/20/2064(a)(c)		      31,096  
     4,599,173     Government National Mortgage Association, Series 2018-H11, Class FJ,
12-month LIBOR + 0.080%, 2.855%, 6/20/2068(a)		      4,491,146  
     103,407     Government National Mortgage Association, Series 2018-H14, Class FG,
1-month LIBOR + 0.350%, 4.192%, 9/20/2068(a)		      102,269  
     6,605,684     Government National Mortgage Association, Series 2018-H16, Class FA,
1-month LIBOR + 0.420%, 3.427%, 9/20/2068(a)		      6,413,489  
     6,112,877     Government National Mortgage Association, Series 2019-H04, Class NA,
3.500%, 9/20/2068		      5,748,638  
       1,888,953     Government National Mortgage Association, Series 2019-H13, Class FT,
1-year CMT + 0.450%, 5.010%, 8/20/2069(a)		      1,888,149  
     1,826,056     Government National Mortgage Association, Series 2020-30, Class F,
1-month LIBOR + 0.400%, 2.464%, 4/20/2048(a)		      1,756,442  
     3,478,056     Government National Mortgage Association, Series 2020-53, Class NF,
1-month LIBOR + 0.450%, 2.487%, 5/20/2046(a)		      3,306,275  
     3,600,573     Government National Mortgage Association, Series 2020-H02, Class FG,
1-month LIBOR + 0.600%, 3.962%, 1/20/2070(a)		      3,548,897  

Principal
Amount

    

Description

    Value (†)  
                   

Bonds and Notes – continued

   
     Collateralized Mortgage Obligations – continued

 

$      4,109,616     Government National Mortgage Association, Series 2020-H04, Class FP,
1-month LIBOR + 0.500%, 4.342%, 6/20/2069(a)		    $ 4,043,912  
         7,739,105         Government National Mortgage Association, Series 2020-H07, Class FL,
1-month LIBOR + 0.650%, 4.492%, 4/20/2070(a)		      7,614,722  
     7,767,762     Government National Mortgage Association, Series 2020-H10, Class FD,
1-month LIBOR + 0.400%, 4.242%, 5/20/2070(a)		      7,712,820  
     3,133,765     Government National Mortgage Association, Series 2020-HO1, Class FT,
1-year CMT + 0.500%, 5.060%, 1/20/2070(a)		      3,122,601  
       

 

 

  
          101,327,214  
       

 

 

  
     Hybrid ARMs – 2.7%

 

     148,314     FHLMC,
12-month LIBOR + 1.903%, 2.453%, 4/01/2037(a)		      145,283  
     83,441     FHLMC,
1-year CMT + 2.250%, 2.497%, 2/01/2035(a)		      84,085  
     276,429     FHLMC,
1-year CMT + 2.245%, 2.572%, 3/01/2036(a)		      278,796  
     60,442     FHLMC,
12-month LIBOR + 1.678%, 2.875%, 3/01/2038(a)		      59,507  
     147,605     FHLMC,
12-month LIBOR + 1.724%, 3.138%, 4/01/2037(a)		      146,796  
     642,071     FHLMC,
12-month LIBOR + 1.896%, 3.275%, 9/01/2041(a)		      639,740  
     763,041     FHLMC,
1-year CMT + 2.262%, 3.399%, 2/01/2036(a)		      771,293  
     80,286     FHLMC,
12-month LIBOR + 1.793%, 3.457%, 11/01/2038(a)		      78,941  
     219,865     FHLMC,
6-month LIBOR + 1.770%, 3.643%, 6/01/2037(a)		      213,778  
     239,641     FHLMC,
1-year CMT + 2.165%, 3.691%, 4/01/2036(a)		      235,335  
     41,569     FHLMC,
12-month LIBOR + 1.742%, 3.806%, 12/01/2037(a)		      40,942  
     85,877     FHLMC,
1-year CMT + 2.208%, 3.827%, 9/01/2038(a)		      84,165  
       1,342,591     FHLMC,
12-month LIBOR + 1.840%, 3.828%, 1/01/2046(a)		      1,351,192  
     77,697     FHLMC,
12-month LIBOR + 1.703%, 3.883%, 11/01/2038(a)		      76,611  
     1,275,335     FHLMC,
1-year CMT + 2.251%, 3.891%, 3/01/2037(a)		      1,294,189  
     432,301     FHLMC,
12-month LIBOR + 1.765%, 4.015%, 9/01/2035(a)		      436,364  
     154,058     FHLMC,
12-month LIBOR + 1.936%, 4.037%, 12/01/2034(a)		      152,004  
     226,347     FHLMC,
1-year CMT + 2.220%, 4.124%, 7/01/2033(a)		      222,184  
     282,545     FHLMC,
1-year CMT + 2.248%, 4.203%, 9/01/2038(a)		      287,558  
     447,332     FHLMC,
1-year CMT + 2.285%, 4.324%, 2/01/2036(a)		      448,083  
     113,319     FNMA,
12-month LIBOR + 1.800%, 2.050%, 12/01/2041(a)		      110,520  

Principal
Amount

    

Description

    Value (†)  
                   

Bonds and Notes – continued

   
     Hybrid ARMs – continued

 

$      178,424     FNMA,
12-month LIBOR + 1.734%, 2.188%, 2/01/2037(a)		    $ 175,078  
            302,267         FNMA,
1-year CMT + 2.185%, 2.310%, 1/01/2036(a)		      301,130  
     29,847     FNMA,
12-month LIBOR + 1.565%, 2.315%, 4/01/2037(a)		      29,220  
     467,283     FNMA,
12-month LIBOR + 1.820%, 2.445%, 2/01/2047(a)		      465,824  
     447,104     FNMA,
12-month LIBOR + 1.804%, 2.520%, 3/01/2037(a)		      442,831  
     94,270     FNMA,
12-month LIBOR + 1.800%, 2.544%, 3/01/2034(a)		      94,866  
     41,084     FNMA,
12-month LIBOR + 1.754%, 2.733%, 1/01/2037(a)		      40,504  
     104,552     FNMA,
1-year CMT + 2.199%, 2.737%, 4/01/2034(a)		      101,748  
     123,683     FNMA,
1-year CMT + 2.147%, 2.744%, 9/01/2034(a)		      124,700  
     229,984     FNMA,
1-year CMT + 2.134%, 2.920%, 6/01/2036(a)		      229,725  
     474,309     FNMA,
12-month LIBOR + 1.706%, 3.042%, 9/01/2037(a)		      480,657  
     649,549     FNMA,
12-month LIBOR + 1.554%, 3.172%, 4/01/2037(a)		      653,894  
     46,086     FNMA,
1-year CMT + 2.211%, 3.211%, 4/01/2033(a)		      45,475  
     20,131     FNMA,
12-month LIBOR + 1.806%, 3.293%, 7/01/2041(a)		      19,770  
     125,462     FNMA,
12-month LIBOR + 1.684%, 3.373%, 11/01/2036(a)		      126,684  
     458,946     FNMA,
12-month LIBOR + 1.566%, 3.470%, 7/01/2035(a)		      462,848  
     123,102     FNMA,
1-year CMT + 2.500%, 3.480%, 8/01/2036(a)		      126,513  
     822,376     FNMA,
1-year CMT + 2.168%, 3.485%, 12/01/2040(a)		      834,077  
     137,481     FNMA,
1-year CMT + 2.486%, 3.492%, 5/01/2035(a)		      138,293  
       1,367,743     FNMA,
1-year CMT + 2.205%, 3.508%, 10/01/2034(a)		          1,388,895  
     873,079     FNMA,
1-year CMT + 2.228%, 3.641%, 4/01/2034(a)		      879,397  
     20,465     FNMA,
6-month LIBOR + 1.460%, 3.737%, 2/01/2037(a)		      20,635  
     388,621     FNMA,
12-month LIBOR + 1.564%, 3.756%, 9/01/2037(a)		      389,942  
     274,586     FNMA,
6-month LIBOR + 2.030%, 3.767%, 7/01/2037(a)		      276,121  
     86,248     FNMA,
12-month LIBOR + 1.729%, 3.795%, 11/01/2035(a)		      87,479  
     86,330     FNMA,
12-month LIBOR + 1.554%, 3.804%, 8/01/2035(a)		      85,061  
     216,323     FNMA,
12-month LIBOR + 1.639%, 3.889%, 8/01/2038(a)		      213,282  

Principal
Amount

    

Description

    Value (†)  
                   

Bonds and Notes – continued

   
     Hybrid ARMs – continued

 

$      137,927     FNMA,
12-month LIBOR + 1.667%, 3.917%, 10/01/2033(a)		    $ 138,053  
            304,421         FNMA,
12-month LIBOR + 1.669%, 3.919%, 7/01/2038(a)		      300,971  
     189,259     FNMA,
1-year CMT + 2.287%, 3.920%, 6/01/2033(a)		      187,075  
     290,766     FNMA,
12-month LIBOR + 1.678%, 3.928%, 8/01/2034(a)		      286,260  
     51,757     FNMA,
1-year CMT + 2.145%, 3.934%, 9/01/2036(a)		      51,526  
     291,519     FNMA,
1-year CMT + 2.270%, 4.020%, 6/01/2037(a)		      301,085  
     809,205     FNMA,
12-month LIBOR + 1.800%, 4.050%, 10/01/2041(a)		      817,927  
     248,679     FNMA,
6-month LIBOR + 1.547%, 4.115%, 7/01/2035(a)		      251,060  
         823,897     FNMA,
1-year CMT + 2.185%, 4.220%, 11/01/2033(a)		      839,202  
     61,189     FNMA,
12-month LIBOR + 2.473%, 4.223%, 6/01/2035(a)		      60,617  
     133,474     FNMA,
1-year CMT + 2.223%, 4.223%, 8/01/2035(a)		      131,026  
     52,401     FNMA,
1-year CMT + 2.440%, 4.266%, 8/01/2033(a)		      51,776  
     98,541     FNMA,
1-year CMT + 2.185%, 4.310%, 12/01/2034(a)		      96,485  
     112,823     FNMA,
1-year CMT + 2.287%, 4.364%, 10/01/2033(a)		      110,905  
       

 

 

  
            19,015,983  
       

 

 

  
     Mortgage Related – 1.8%

 

     15,015     FHLMC,
3.000%, 10/01/2026		      14,555  
     120,940     FHLMC,
4.000%, with various maturities from 2024 to 2042(e)		      116,594  
     33,889     FHLMC,
4.500%, with various maturities from 2025 to 2034(e)		      33,596  
     1,728     FHLMC,
5.500%, 10/01/2023		      1,721  
     114,270     FHLMC,
6.500%, 12/01/2034		      118,542  
     33     FHLMC,
7.500%, 6/01/2026		      33  
     79,282     FNMA,
3.000%, 3/01/2042		      72,140  
     567,624     FNMA,
5.000%, with various maturities from 2037 to 2038(e)		      579,652  
     178,687     FNMA,
5.500%, with various maturities from 2023 to 2033(e)		      180,375  
     136,275     FNMA,
6.500%, with various maturities from 2032 to 2037(e)		      140,455  
     28,621     FNMA,
7.500%, with various maturities from 2030 to 2032(e)		      29,027  

Principal
Amount

    

Description

    Value (†)  
                   

Bonds and Notes – continued

   
     Mortgage Related – continued

 

$      25,466     GNMA,
4.140%, 12/20/2061(b)		    $ 24,750  
              14,174         GNMA,
4.317%, 8/20/2061(b)		      13,863  
     13,231     GNMA,
4.390%, 12/20/2062(b)		      12,889  
     168,063     GNMA,
4.435%, 7/20/2063(b)		      164,431  
     2,072,101     GNMA,
4.465%, 10/20/2065(b)		      2,030,417  
     1,009,355     GNMA,
4.586%, 2/20/2066(b)		      994,223  
     1,581,748     GNMA,
4.593%, 3/20/2064(b)		      1,569,139  
     164,248     GNMA,
4.606%, 1/20/2064(b)		      162,454  
     6,884     GNMA,
4.621%, 2/20/2062(b)		      6,399  
     50,841     GNMA,
4.630%, with various maturities from 2062 to 2063(b)(e)		      49,219  
     2,426     GNMA,
4.641%, 8/20/2062(b)		      2,387  
       1,432,347     GNMA,
4.683%, 11/20/2063(b)		      1,420,688  
     379,002     GNMA,
4.700%, with various maturities from 2061 to 2064(b)(e)		      372,375  
     1,265,618     GNMA,
1-month LIBOR + 1.746%, 4.861%, 2/20/2061(a)		      1,280,080  
     1,975     GNMA,
4.891%, 4/20/2061(b)		      1,913  
     907,722     GNMA,
1-month LIBOR + 1.890%, 4.970%, 2/20/2063(a)		      921,964  
     613,018     GNMA,
1-month LIBOR + 2.139%, 5.205%, 3/20/2063(a)		      626,284  
     531,020     GNMA,
1-month LIBOR + 2.205%, 5.285%, 5/20/2065(a)		      542,963  
     536,191     GNMA,
1-month LIBOR + 2.244%, 5.324%, 6/20/2065(a)		      552,315  
     464,076     GNMA,
1-month LIBOR + 2.336%, 5.413%, 2/20/2063(a)		      473,264  
     5,125     GNMA,
6.000%, 12/15/2031		      5,359  
     22,914     GNMA,
6.500%, 5/15/2031		      23,604  
     21,665     GNMA,
7.000%, 10/15/2028		      21,925  
       

 

 

  
            12,559,595  
       

 

 

  
     Non-Agency Commercial Mortgage-Backed Securities – 4.1%

 

     1,595,000     BANK, Series 2020-BN25, Class A5,
2.649%, 1/15/2063		      1,355,523  
     3,895,000     Barclays Commercial Mortgage Securities Trust, Series 2020-BID, Class A,
1-month LIBOR + 2.140%, 6.458%, 10/15/2037, 144A(a)		      3,759,055  

Principal
Amount

    

Description

    Value (†)  
                   

Bonds and Notes – continued

   
     Non-Agency Commercial Mortgage-Backed Securities – continued

 

$      1,825,000     BPR Trust, Series 2021-NRD, Class A,
1-month SOFR + 1.525%, 5.851%, 12/15/2038, 144A(a)		    $ 1,698,165  
         4,650,000         BPR Trust, Series 2022-SSP, Class A,
1-month SOFR + 3.000%, 7.336%, 5/15/2039, 144A(a)		      4,557,618  
     1,745,000     CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3,
3.839%, 12/10/2054		      1,625,496  
     1,248,273     Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2,
3.400%, 10/05/2030, 144A		      1,070,254  
     1,488,000     Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5,
3.961%, 3/10/2047		      1,454,233  
     2,590,923     Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class ASB,
3.550%, 2/10/2049		      2,507,977  
     2,570,000     DROP Mortgage Trust, Series 2021-FILE, Class A,
1-month LIBOR + 1.150%, 5.470%, 10/15/2043, 144A(a)		      2,447,469  
     2,600,000     Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7,
3.914%, 8/05/2034, 144A		      2,312,820  
     3,295,000     SPGN Mortgage Trust, Series 2022-TFLM. Class A,
1-month SOFR + 1.550%, 5.886%, 2/15/2039, 144A(a)		      3,118,597  
     3,279,464     Starwood Retail Property Trust, Series 2014-STAR, Class A,
1-month LIBOR + 1.470%, 5.788%, 11/15/2027, 144A(a)		      2,271,029  
       

 

 

  
          28,178,236  
       

 

 

  
     Treasuries – 28.1%

 

     7,425,000     U.S. Treasury Note,
0.375%, 9/30/2027		      6,259,623  
     3,725,000     U.S. Treasury Note,
1.875%, 2/28/2027		      3,411,576  
     9,515,000     U.S. Treasury Note,
2.750%, 4/30/2027		      9,016,949  
     71,120,000     U.S. Treasury Note,
2.750%, 2/15/2028		      66,872,247  
     27,490,000     U.S. Treasury Note,
2.750%, 8/15/2032		      25,033,081  
     26,990,000     U.S. Treasury Note,
3.875%, 11/30/2027		      26,842,399  
     4,820,000     U.S. Treasury Note,
3.875%, 12/31/2027		      4,792,134  
     5,270,000     U.S. Treasury Note,
4.125%, 10/31/2027		      5,289,351  
     47,260,000     U.S. Treasury Note,
4.250%, 12/31/2024		      47,095,698  
       

 

 

  
          194,613,058  
       

 

 

  
     Total Bonds and Notes
(Identified Cost $679,761,267)		      654,203,811  
       

 

 

  

Short-Term Investments – 14.5%

   
     6,666,135     Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $6,667,468 on 1/03/2023 collateralized by $3,376,300 U.S. Treasury Inflation Indexed Bond, 3.625% due 4/15/2028 valued at $6,799,497 including accrued interest(f)      6,666,135  
     66,250,000     U.S. Treasury Bills,
3.431%-3.672%, 1/03/2023(g)(h)		      66,250,000  
     27,340,000     U.S. Treasury Bills,
3.322%-3.488%, 1/10/2023(g)(h)		      27,320,768  

Principal
Amount

    

Description

    Value (†)  
                   
                                     Total Short-Term Investments
(Identified Cost $100,223,533)		    $ 100,236,903  
       

 

 

  
     Total Investments – 109.1%
(Identified Cost $779,984,800)		      754,440,714  
     Other assets less liabilities – (9.1)%      (62,962,389 ) 
       

 

 

  
     Net Assets – 100.0%    $ 691,478,325  
       

 

 

  

 

(†)

Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Fund’s Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight.

Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Shares of open-end investment companies are valued at net asset value per share.

Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair 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 fair valued using evaluated bids furnished by an independent pricing service, if available.

Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to fair value debt and unlisted equities where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment.

The Fund may also fair value investments 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 a Fund’s investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund’s net asset value (“NAV”) is calculated. Fair valuation by the Fund’s valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.

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 December 31, 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 December 31, 2022 is disclosed.

(c)

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

(d)

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.

(e)

The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.

(f)

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 December 31, 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.

(g)

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

(h)

The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

 

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 December 31, 2022, the value of Rule 144A holdings amounted to $49,884,927 or 7.2% 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 Fund’s pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Fund has knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.

Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2022, at value:

Asset Valuation Inputs

 

Description

    Level 1      Level 2      Level 3      Total  

Bonds and Notes

            

Collateralized Mortgage Obligations

    $ —        $ 96,694,438      $ 4,632,776      $ 101,327,214  

All Other Bonds and Notes*

      —          552,876,597        —          552,876,597  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Bonds and Notes

      —          649,571,035        4,632,776        654,203,811  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments

      —          100,236,903        —          100,236,903  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ —        $ 749,807,938      $ 4,632,776      $ 754,440,714  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

*

Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

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, 2022 and/or December 31, 2022:

Asset Valuation Inputs

 

Investments in
Securities

   Balance as of
September 30,
2022		     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
December 31, 2022		     Change in
Unrealized
Appreciation
(Depreciation)
from Investments
Still Held at
December 31, 2022		  

Bonds and Notes

                    

Collateralized Mortgage
Obligations

   $ 3,867,800     $ —       $ (11,662 )    $ (23,306 )    $ 64     $ (205,652 )    $ 1,005,532     $ —       $ 4,632,776     $ (35,964 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

A debt security valued at $1,005,532 was transferred from Level 2 to Level 3 during the period ended December 31, 2022. At September 30, 2022, this security was valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At December 31, 2022, this security was fair valued as determined by the Fund’s valuation designee as an independent pricing service did not provide a reliable price for the security.

Industry Summary at December 31, 2022 (Unaudited)

 

Agency Commercial Mortgage-Backed Securities

      38.1 % 

Treasuries

      28.1  

Collateralized Mortgage Obligations

      14.7  

Non-Agency Commercial Mortgage-Backed Securities

      4.1  

ABS Car Loan

      3.4  

Hybrid ARMs

      2.7  

Other Investments, less than 2% each

      3.5  

Short-Term Investments

      14.5  
  

 

 

  

Total Investments

      109.1  

Other assets less liabilities

      (9.1 ) 
  

 

 

  

Net Assets

      100.0 %