PORTFOLIO OF INVESTMENTS – as of December 31, 2019 (Unaudited)
Loomis Sayles Limited Term Government and Agency Fund
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – 85.2% of Net Assets | ||||||||||
ABS Car Loan – 1.5% |
| |||||||||
$ | 1,550,000 | Avis Budget Rental Car Funding AESOP LLC, Series2016-1A, Class A, | $ | 1,566,436 | ||||||
840,000 | Avis Budget Rental Car Funding AESOP LLC, Series2019-1A, Class A, | 859,416 | ||||||||
1,488,782 | CPS Auto Receivables Trust, Series2019-C, Class A, | 1,492,172 | ||||||||
1,955,000 | Credit Acceptance Auto Loan Trust, Series2019-3A, Class A, | 1,952,321 | ||||||||
1,170,554 | Exeter Automobile Receivables Trust, Series2019-3A, Class A, | 1,172,641 | ||||||||
668,940 | First Investors Auto Owner Trust, Series2018-2A, Class A1, | 671,562 | ||||||||
2,090,000 | Foursight Capital Automobile Receivables Trust, Series2018-2, Class A3, | 2,116,222 | ||||||||
1,495,000 | NextGear Floorplan Master Owner Trust, Series2017-1A, Class A2, | 1,496,167 | ||||||||
685,000 | NextGear Floorplan Master Owner Trust, Series2017-2A, Class A2, | 687,498 | ||||||||
|
| |||||||||
12,014,435 | ||||||||||
|
| |||||||||
ABS Home Equity – 0.2% |
| |||||||||
805,014 | CoreVest American Finance Trust, Series2017-1, Class A, | 808,375 | ||||||||
644,854 | Towd Point Mortgage Trust, Series2015-2, Class 1A12, | 645,411 | ||||||||
|
| |||||||||
1,453,786 | ||||||||||
|
| |||||||||
ABS Other – 0.8% |
| |||||||||
662,241 | Diamond Resorts Owner Trust, Series2018-1, Class A, | 677,785 | ||||||||
825,000 | Navistar Financial Dealer Note Master Owner Trust II, Series2018-1, Class A, | 826,362 | ||||||||
2,208,363 | SoFi Consumer Loan Program Trust, Series2018-4, Class A, | 2,226,125 | ||||||||
2,115,199 | Welk Resorts LLC, Series2019-AA, Class A, | 2,127,070 | ||||||||
|
| |||||||||
5,857,342 | ||||||||||
|
| |||||||||
ABS Student Loan – 0.5% |
| |||||||||
4,000,000 | Navient Private Education Refi Loan Trust, Series2019-FA, Class A2, | 3,992,743 | ||||||||
75,771 | SoFi Professional Loan Program LLC, Series2016-D, Class A1, | 76,074 | ||||||||
|
| |||||||||
4,068,817 | ||||||||||
|
| |||||||||
Agency Commercial Mortgage-Backed Securities – 11.0% |
| |||||||||
1,123,231 | Federal National Mortgage Association, Series2015-M17, Class FA, | 1,125,242 | ||||||||
594,438 | Federal National Mortgage Association, Series2016-M3, Class ASQ2, | 593,472 |
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Agency Commercial Mortgage-Backed Securities – continued |
| |||||||||
$ | 7,720,000 | FHLMC Multifamily Structured Pass Through Certificates, Series KJ26, Class A2, | $ | 7,816,880 | ||||||
13,445,000 | FHLMC Multifamily Structured Pass Through Certificates, Series KJ20, Class A2, | 14,449,797 | ||||||||
377,464 | FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, | 376,818 | ||||||||
4,162,579 | FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, | 4,227,030 | ||||||||
3,835,112 | FHLMC Multifamily Structured Pass Through Certificates, Series K015, Class A2, | 3,882,157 | ||||||||
6,178,142 | FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class A2, | 6,256,289 | ||||||||
2,580,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K064, Class A2, | 2,730,439 | ||||||||
2,278,228 | FHLMC Multifamily Structured Pass Through Certificates, Series K725, Class A1, | 2,302,985 | ||||||||
8,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Series KC06, Class A2, | 8,012,140 | ||||||||
220,573 | FHLMC Multifamily Structured Pass Through Certificates, Series KF06, Class A, | 220,145 | ||||||||
1,721,918 | FHLMC Multifamily Structured Pass Through Certificates, Series KF14, Class A, | 1,721,488 | ||||||||
4,265,451 | FHLMC Multifamily Structured Pass Through Certificates, Series KF53, Class A, | 4,240,651 | ||||||||
5,024,779 | FHLMC Multifamily Structured Pass Through Certificates, Series KF72, Class A, | 5,005,931 | ||||||||
130,159 | FHLMC Multifamily Structured Pass Through Certificates, Series KI01, Class A, | 129,995 | ||||||||
1,465,429 | FHLMC Multifamily Structured Pass Through Certificates, Series KI02, Class A, | 1,465,137 | ||||||||
10,261,000 | FHLMC Multifamily Structured Pass Through Certificates, Series KJ21, Class A2, | 10,965,380 | ||||||||
5,019,980 | FHLMC Multifamily Structured Pass Through Certificates, Series Q008, Class A, | 5,022,500 | ||||||||
5,200,000 | FNMA, | 5,545,330 | ||||||||
128,579 | Government National Mortgage Association, Series2003-72, Class Z, | 137,028 | ||||||||
102,357 | Government National Mortgage Association, Series2003-88, Class Z, | 106,739 | ||||||||
|
| |||||||||
86,333,573 | ||||||||||
|
| |||||||||
Collateralized Mortgage Obligations – 12.1% |
| |||||||||
30,400 | Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, | 29,646 | ||||||||
23,145 | Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, | 22,621 | ||||||||
112,475 | Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB, | 120,211 | ||||||||
2,060 | Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, | 2,039 | ||||||||
910,020 | Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, | 983,408 |
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Collateralized Mortgage Obligations – continued |
| |||||||||
$ | 1,382,341 | Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, | $ | 1,529,023 | ||||||
729,005 | Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY, | 803,105 | ||||||||
1,076,841 | Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, | 1,085,626 | ||||||||
1,223,724 | Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, | 1,282,104 | ||||||||
700,591 | Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW, | 721,262 | ||||||||
1,071,371 | Federal National Mortgage Association, REMIC, Series2003-48, Class GH, | 1,203,945 | ||||||||
16,259 | Federal National Mortgage Association, REMIC, Series1992-162, Class FB, | 16,057 | ||||||||
23,994 | Federal National Mortgage Association, REMIC, Series1994-42, Class FD, | 23,403 | ||||||||
8,049 | Federal National Mortgage Association, REMIC, Series2002-W10, Class A7, | 8,279 | ||||||||
363,810 | Federal National Mortgage Association, REMIC, Series2005-100, Class BQ, | 376,350 | ||||||||
437,990 | Federal National Mortgage Association, REMIC, Series2007-73, Class A1, | 430,534 | ||||||||
1,091,246 | Federal National Mortgage Association, REMIC, Series2008-86, Class LA, | 1,121,076 | ||||||||
5,412,360 | Federal National Mortgage Association, REMIC, Series2013-67, Class NF, | 5,262,658 | ||||||||
2,817 | Federal National Mortgage Association, REMIC, SeriesG93-19, Class FD, | 2,789 | ||||||||
7,741 | FHLMC Structured Pass Through Securities, SeriesT-60, Class 2A1, | 8,483 | ||||||||
492,108 | FHLMC Structured Pass Through Securities, SeriesT-62, Class 1A1, | 499,003 | ||||||||
4,762,080 | Government National Mortgage Association, Series2019-H13, Class FT, | 4,760,211 | ||||||||
1,021,256 | Government National Mortgage Association, Series2010-H20, Class AF, | 1,015,822 | ||||||||
985,203 | Government National Mortgage Association, Series2010-H24, Class FA, | 980,066 | ||||||||
746,810 | Government National Mortgage Association, Series2011-H06, Class FA, | 744,964 | ||||||||
121,101 | Government National Mortgage Association, Series2011-H23, Class HA, | 122,336 | ||||||||
134,837 | Government National Mortgage Association, Series2012-124, Class HT, | 136,393 | ||||||||
18,734 | Government National Mortgage Association, Series2012-H15, Class FA, | 18,535 | ||||||||
808,151 | Government National Mortgage Association, Series2012-H18, Class NA, | 807,616 | ||||||||
320,706 | Government National Mortgage Association, Series2012-H29, Class HF, | 318,568 | ||||||||
91,452 | Government National Mortgage Association, Series2013-H02, Class GF, | 90,920 | ||||||||
3,239,234 | Government National Mortgage Association, Series2013-H08, Class FA, | 3,226,849 |
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Collateralized Mortgage Obligations – continued |
| |||||||||
$ | 2,164,364 | Government National Mortgage Association, Series2013-H10, Class FA, | $ | 2,157,430 | ||||||
7,890,465 | Government National Mortgage Association, Series2013-H22, Class FT, | 7,907,566 | ||||||||
5,062,783 | Government National Mortgage Association, Series2014-H14, Class FA, | 5,054,262 | ||||||||
3,611,425 | Government National Mortgage Association, Series2014-H15, Class FA, | 3,604,403 | ||||||||
3,046,976 | Government National Mortgage Association, Series2015-H04, Class FL, | 3,039,201 | ||||||||
45,945 | Government National Mortgage Association, Series2015-H05, Class FA, | 45,543 | ||||||||
480,223 | Government National Mortgage Association, Series2015-H09, Class HA, | 477,771 | ||||||||
5,149,067 | Government National Mortgage Association, Series2015-H10, Class JA, | 5,069,138 | ||||||||
29,415 | Government National Mortgage Association, Series2015-H11, Class FA, | 29,165 | ||||||||
4,189,475 | Government National Mortgage Association, Series2015-H12, Class FL, | 4,159,936 | ||||||||
696,146 | Government National Mortgage Association, Series2015-H19, Class FH, | 694,699 | ||||||||
62,871 | Government National Mortgage Association, Series2015-H29, Class FA, | 62,643 | ||||||||
19,841 | Government National Mortgage Association, Series2015-H30, Class FA, | 19,775 | ||||||||
5,490,881 | Government National Mortgage Association, Series2016-H06, Class FC, | 5,542,714 | ||||||||
1,594,320 | Government National Mortgage Association, Series2016-H10, Class FJ, | 1,595,598 | ||||||||
1,814,023 | Government National Mortgage Association, Series2016-H19, Class FJ, | 1,812,860 | ||||||||
2,011,968 | Government National Mortgage Association, Series2017-H24, Class FJ, | 2,009,617 | ||||||||
7,827,343 | Government National Mortgage Association, Series2018-H11, Class FJ, | 7,702,598 | ||||||||
14,223,195 | Government National Mortgage Association, Series2019-H04, Class NA, | 14,900,566 | ||||||||
187,340 | NCUA Guaranteed Notes, Series2010-A1, Class A, | 187,282 | ||||||||
279,767 | NCUA Guaranteed Notes, Series2010-R1, Class 1A, | 280,283 | ||||||||
815,991 | NCUA Guaranteed Notes, Series2010-R3, Class 1A, | 816,689 | ||||||||
53,796 | NCUA Guaranteed Notes, Series2010-R3, Class 2A, | 53,822 | ||||||||
|
| |||||||||
94,977,463 | ||||||||||
|
| |||||||||
Hybrid ARMs – 6.6% |
| |||||||||
6,784,397 | FHLMC, | 6,904,763 | ||||||||
399,526 | FHLMC, | 404,831 |
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Hybrid ARMs – continued |
| |||||||||
$ | 63,708 | FHLMC, | $ | 63,844 | ||||||
1,210,562 | FHLMC, | 1,269,984 | ||||||||
875,592 | FHLMC, | 927,330 | ||||||||
345,396 | FHLMC, | 359,988 | ||||||||
216,250 | FHLMC, | 227,220 | ||||||||
147,774 | FHLMC, | 156,250 | ||||||||
170,609 | FHLMC, | 177,933 | ||||||||
538,597 | FHLMC, | 568,284 | ||||||||
2,331,359 | FHLMC, | 2,460,831 | ||||||||
244,687 | FHLMC, | 258,355 | ||||||||
483,523 | FHLMC, | 499,759 | ||||||||
725,717 | FHLMC, | 760,431 | ||||||||
1,485,901 | FHLMC, | 1,570,663 | ||||||||
224,148 | FHLMC, | 233,966 | ||||||||
267,855 | FHLMC, | 285,145 | ||||||||
1,716,190 | FHLMC, | 1,800,533 | ||||||||
843,165 | FHLMC, | 888,126 | ||||||||
552,753 | FHLMC, | 582,761 | ||||||||
221,379 | FHLMC, | 233,081 | ||||||||
208,759 | FHLMC, | 219,931 | ||||||||
304,098 | FNMA, | 317,049 | ||||||||
1,495,093 | FNMA, | 1,550,569 | ||||||||
657,455 | FNMA, | 679,616 | ||||||||
74,549 | FNMA, | 77,287 | ||||||||
1,107,960 | FNMA, | 1,158,619 | ||||||||
167,668 | FNMA, | 175,555 | ||||||||
204,260 | FNMA, | 208,760 |
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Hybrid ARMs – continued |
| |||||||||
$ | 180,237 | FNMA, | $ | 188,742 | ||||||
1,042,019 | FNMA, | 1,086,265 | ||||||||
334,746 | FNMA, | 350,824 | ||||||||
1,438,444 | FNMA, | 1,518,263 | ||||||||
375,751 | FNMA, | 398,560 | ||||||||
661,750 | FNMA, | 692,474 | ||||||||
365,978 | FNMA, | 379,274 | ||||||||
1,504,678 | FNMA, | 1,570,130 | ||||||||
482,879 | FNMA, | 505,075 | ||||||||
264,813 | FNMA, | 278,859 | ||||||||
295,033 | FNMA, | 309,142 | ||||||||
2,237,989 | FNMA, | 2,360,961 | ||||||||
931,643 | FNMA, | 989,319 | ||||||||
3,218,223 | FNMA, | 3,393,574 | ||||||||
149,421 | FNMA, | 153,922 | ||||||||
47,760 | FNMA, | 49,861 | ||||||||
1,578,760 | FNMA, | 1,664,279 | ||||||||
510,721 | FNMA, | 534,115 | ||||||||
553,534 | FNMA, | 582,354 | ||||||||
1,173,838 | FNMA, | 1,235,707 | ||||||||
1,124,973 | FNMA, | 1,193,675 | ||||||||
551,868 | FNMA, | 579,925 | ||||||||
201,680 | FNMA, | 208,884 | ||||||||
351,702 | FNMA, | 370,113 | ||||||||
395,726 | FNMA, | 422,375 | ||||||||
362,629 | FNMA, | 379,588 | ||||||||
425,982 | FNMA, | 442,561 |
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Hybrid ARMs – continued |
| |||||||||
$ | 1,352,381 | FNMA, | $ | 1,422,362 | ||||||
65,079 | FNMA, | 68,239 | ||||||||
481,387 | FNMA, | 505,082 | ||||||||
478,684 | FNMA, | 498,928 | ||||||||
179,049 | FNMA, | 187,858 | ||||||||
206,771 | FNMA, | 220,267 | ||||||||
1,020,738 | FNMA, | 1,083,571 | ||||||||
500,841 | FNMA, | 535,861 | ||||||||
|
| |||||||||
51,382,453 | ||||||||||
|
| |||||||||
Mortgage Related – 4.5% |
| |||||||||
50,685 | FHLMC, | 52,041 | ||||||||
395,251 | FHLMC, | 420,525 | ||||||||
187,303 | FHLMC, | 195,598 | ||||||||
63,853 | FHLMC, | 66,072 | ||||||||
18,547 | FHLMC, | 18,546 | ||||||||
34,701 | FHLMC, | 34,763 | ||||||||
44,231 | FHLMC, | 44,431 | ||||||||
47,313 | FHLMC, | 47,496 | ||||||||
212,796 | FHLMC, | 243,125 | ||||||||
141 | FHLMC, | 153 | ||||||||
129,716 | FNMA, | 133,858 | ||||||||
1,186,196 | FNMA, | 1,307,225 | ||||||||
525,651 | FNMA, | 560,664 | ||||||||
426,791 | FNMA, | 440,475 | ||||||||
166,738 | FNMA, | 185,782 | ||||||||
66,017 | FNMA, | 72,162 | ||||||||
2,849,470 | GNMA, | 2,959,023 |
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Mortgage Related – continued |
| |||||||||
$ | 2,175,128 | GNMA, | $ | 2,259,543 | ||||||
230,358 | GNMA, | 231,379 | ||||||||
39,599 | GNMA, | 40,576 | ||||||||
90,872 | GNMA, | 90,846 | ||||||||
97,134 | GNMA, | 97,304 | ||||||||
2,613,963 | GNMA, | 2,715,066 | ||||||||
101,365 | GNMA, | 103,239 | ||||||||
769,385 | GNMA, | 814,902 | ||||||||
838,559 | GNMA, | 885,225 | ||||||||
635,406 | GNMA, | 640,856 | ||||||||
865,031 | GNMA, | 872,297 | ||||||||
1,993,884 | GNMA, | 2,023,257 | ||||||||
1,419,207 | GNMA, | 1,479,105 | ||||||||
1,691,848 | GNMA, | 1,702,169 | ||||||||
3,184,342 | GNMA, | 3,444,596 | ||||||||
2,067,402 | GNMA, | 2,076,983 | ||||||||
449,859 | GNMA, | 455,335 | ||||||||
44,655 | GNMA, | 45,258 | ||||||||
2,291,195 | GNMA, | 2,435,558 | ||||||||
1,961,071 | GNMA, | 2,079,420 | ||||||||
377,465 | GNMA, | 401,828 | ||||||||
1,884,891 | GNMA, | 2,015,216 | ||||||||
1,267,477 | GNMA, | 1,343,812 | ||||||||
20,071 | GNMA, | 20,322 | ||||||||
38,239 | GNMA, | 38,842 | ||||||||
25,244 | GNMA, | 27,114 | ||||||||
33,032 | GNMA, | 33,689 |
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Mortgage Related – continued |
| |||||||||
$ | 68,421 | GNMA, | $ | 70,417 | ||||||
25,961 | GNMA, | 27,000 | ||||||||
7,612 | GNMA, | 7,709 | ||||||||
10,703 | GNMA, | 12,225 | ||||||||
43,539 | GNMA, | 49,886 | ||||||||
47,291 | GNMA, | 51,799 | ||||||||
|
| |||||||||
35,374,712 | ||||||||||
|
| |||||||||
Non-Agency Commercial Mortgage-Backed Securities – 2.0% |
| |||||||||
1,310,000 | Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, | 1,325,147 | ||||||||
1,488,000 | Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5, | 1,578,474 | ||||||||
4,282,000 | Commercial Mortgage Pass Through Certificates, Series2016-DC2, Class ASB, | 4,453,063 | ||||||||
1,397,747 | DBUBS Mortgage Trust, Series 2011-LC2A, Class A4, | 1,427,249 | ||||||||
2,600,000 | Hudsons Bay Simon JV Trust, Series2015-HB7, Class A7, | 2,643,904 | ||||||||
1,040,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series2013-C8, Class A4, | 1,064,912 | ||||||||
3,279,464 | Starwood Retail Property Trust, Series 2014-STAR, Class A, | 3,269,404 | ||||||||
|
| |||||||||
15,762,153 | ||||||||||
|
| |||||||||
Treasuries – 46.0% |
| |||||||||
8,395,000 | U.S. Treasury Note, | 8,336,301 | ||||||||
24,445,000 | U.S. Treasury Note, | 24,262,617 | ||||||||
21,405,000 | U.S. Treasury Note, | 21,240,282 | ||||||||
20,945,000 | U.S. Treasury Note, | 20,664,370 | ||||||||
9,635,000 | U.S. Treasury Note, | 9,608,278 | ||||||||
5,000,000 | U.S. Treasury Note, | 4,950,195 | ||||||||
13,605,000 | U.S. Treasury Note, | 13,616,160 | ||||||||
24,755,000 | U.S. Treasury Note, | 24,831,392 | ||||||||
8,460,000 | U.S. Treasury Note, | 8,495,030 | ||||||||
12,480,000 | U.S. Treasury Note, | 12,528,263 | ||||||||
12,605,000 | U.S. Treasury Note, | 12,655,715 |
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Treasuries – continued |
| |||||||||
$ | 12,105,000 | U.S. Treasury Note, | $ | 12,143,301 | ||||||
16,165,000 | U.S. Treasury Note, | 16,269,820 | ||||||||
9,900,000 | U.S. Treasury Note, | 9,940,605 | ||||||||
4,080,000 | U.S. Treasury Note, | 4,112,672 | ||||||||
9,045,000 | U.S. Treasury Note, | 9,175,728 | ||||||||
13,945,000 | U.S. Treasury Note, | 14,069,742 | ||||||||
6,000,000 | U.S. Treasury Note, | 6,074,063 | ||||||||
8,305,000 | U.S. Treasury Note, | 8,452,933 | ||||||||
6,550,000 | U.S. Treasury Note, | 6,594,008 | ||||||||
11,915,000 | U.S. Treasury Note, | 12,191,000 | ||||||||
2,545,000 | U.S. Treasury Note, | 2,611,607 | ||||||||
8,000,000 | U.S. Treasury Note, | 8,056,563 | ||||||||
3,865,000 | U.S. Treasury Note, | 3,897,309 | ||||||||
7,835,000 | U.S. Treasury Note, | 8,019,857 | ||||||||
67,520,000 | U.S. Treasury Note, | 70,571,587 | ||||||||
6,030,000 | U.S. Treasury Note, | 6,307,239 | ||||||||
|
| |||||||||
359,676,637 | ||||||||||
|
| |||||||||
Total Bonds and Notes | 666,901,371 | |||||||||
|
| |||||||||
Short-Term Investments – 14.4% | ||||||||||
55,390,000 | Federal Home Loan Bank Discount Notes, | 55,376,060 | ||||||||
7,350,000 | Federal Home Loan Bank Discount Notes, | 7,347,534 | ||||||||
9,533,151 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2019 at 0.900% to be repurchased at $9,533,628 on 1/02/2020 collateralized by $9,585,000 U.S. Treasury Note, 1.875% due 7/31/2022 valued at $9,726,781 including accrued interest(h) | 9,533,151 | ||||||||
16,330,000 | U.S. Treasury Bills, | 16,291,643 | ||||||||
14,595,000 | U.S. Treasury Bills, | 14,556,624 | ||||||||
9,230,000 | U.S. Treasury Bills, | 9,222,085 | ||||||||
|
| |||||||||
Total Short-Term Investments | 112,327,097 | |||||||||
|
| |||||||||
Total Investments – 99.6% | 779,228,468 | |||||||||
Other assets less liabilities – 0.4% | 3,075,974 | |||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 782,304,442 | ||||||||
|
|
(†) | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Listed equity securities (including shares ofclosed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Variable rate security. 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, 2019 is disclosed. |
(b) | Variable rate security. Rate as of December 31, 2019 is disclosed. |
(c) | Level 3 security. Value has been determined using significant unobservable inputs. |
(d) | Fair valued by the Fund’s adviser. At December 31, 2019, the value of these securities amounted to $1,453,756 or 0.2% of net assets. |
(e) | Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(f) | The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments. |
(g) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(h) | 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 aretri-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, 2019, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
(i) | The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the value of Rule 144A holdings amounted to $32,060,084 or 4.1% of net assets. | |
ABS | Asset-Backed Securities | |
ARMs | Adjustable Rate Mortgages | |
CMT | Constant Maturity Treasury | |
COFI | Cost Of Funds Index | |
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 |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• | Level 1 — quoted prices in active markets for identical assets or liabilities; |
• | Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
• | Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2019, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Collateralized Mortgage Obligations | $ | — | $ | 93,523,707 | $ | 1,453,756 | (a) | $ | 94,977,463 | |||||||
All Other Bonds and Notes* | — | 571,923,908 | — | 571,923,908 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 665,447,615 | 1,453,756 | 666,901,371 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | — | 112,327,097 | — | 112,327,097 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | 777,774,712 | $ | 1,453,756 | $ | 779,228,468 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(a) | Fair valued by the Fund’s adviser. |
The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. 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. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. 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, 2019 and/or December 31, 2019:
Asset Valuation Inputs
Investments in | Balance as of September 30, 2019 | 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, 2019 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2019 | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Collateralized Mortgage Obligations | $ | 1,744,293 | $ | — | $ | (177,172 | ) | $ | 181,351 | $ | 192 | $ | (1,525,801 | ) | $ | 1,230,893 | $ | — | $ | 1,453,756 | $ | 172,553 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities valued at $1,230,893 were transferred from Level 2 to Level 3 during the period ended December 31, 2019. At September 30, 2019, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At December 31, 2019 these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.
All transfers are recognized as of the beginning of the reporting period.
Industry Summary at December 31, 2019 (Unaudited)
Treasuries | 46.0 | % | ||
Collateralized Mortgage Obligations | 12.1 | |||
Agency Commercial Mortgage-Backed Securities | 11.0 | |||
Hybrid ARMs | 6.6 | |||
Mortgage Related | 4.5 | |||
Non-Agency Commercial Mortgage-Backed Securities | 2.0 | |||
Other Investments, less than 2% each | 3.0 | |||
Short-Term Investments | 14.4 | |||
|
| |||
Total Investments | 99.6 | |||
Other assets less liabilities | 0.4 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|