Portfolio of Investments – as of June 30, 2024 (Unaudited)Loomis Sayles Limited Term Government and Agency Fund
Principal Amount | Description | Value (†) |
Bonds and Notes — 95.1% of Net Assets | ||
ABS Car Loan — 1.8% | ||
$3,220,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2022-1A, Class A, 3.830%, 8/21/2028(a) | $3,075,611 |
1,269,251 | Carvana Auto Receivables Trust, Series 2021-N2, Class A2, 0.970%, 3/10/2028 | 1,213,022 |
655,000 | GM Financial Revolving Receivables Trust, Series 2021-1, Class A, 1.170%, 6/12/2034(a) | 600,724 |
1,555,000 | Hertz Vehicle Financing III LLC, Series 2023-3A, Class A, 5.940%, 2/25/2028(a) | 1,563,804 |
1,260,000 | NextGear Floorplan Master Owner Trust, Series 2024-1A, Class A2, 5.120%, 3/15/2029(a) | 1,253,236 |
620,000 | PenFed Auto Receivables Owner Trust, Series 2022-A, Class A4, 4.180%, 12/15/2028(a) | 611,517 |
765,000 | Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.350%, 5/25/2033(a) | 736,323 |
4,365,000 | Toyota Auto Loan Extended Note Trust, Series 2022-1A, Class A, 3.820%, 4/25/2035(a) | 4,221,049 |
13,275,286 | ||
ABS Other — 0.5% | ||
742,182 | BHG Securitization Trust, Series 2024-1CON, Class A, 5.810%, 4/17/2035(a) | 744,189 |
384,014 | Enterprise Fleet Financing LLC, Series 2022-3, Class A2, 4.380%, 7/20/2029(a) | 380,192 |
225,249 | MVW LLC, Series 2020-1A, Class A, 1.740%, 10/20/2037(a) | 212,221 |
736,516 | MVW LLC, Series 2024-1A, Class A, 5.320%, 2/20/2043(a) | 737,557 |
308,036 | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A, 1.330%, 7/20/2037(a) | 297,628 |
427,878 | Welk Resorts LLC, Series 2019-AA, Class A, 2.800%, 6/15/2038(a) | 419,706 |
1,033,600 | Wheels Fleet Lease Funding 1 LLC, Series 2023-1A, Class A, 5.800%, 4/18/2038(a) | 1,034,342 |
3,825,835 | ||
ABS Student Loan — 0.8% | ||
1,143,200 | Navient Private Education Refi Loan Trust, Series 2019-FA, Class A2, 2.600%, 8/15/2068(a) | 1,071,714 |
358,101 | Navient Private Education Refi Loan Trust, Series 2020-DA, Class A, 1.690%, 5/15/2069(a) | 328,799 |
1,285,164 | Navient Private Education Refi Loan Trust, Series 2021-CA, Class A, 1.060%, 10/15/2069(a) | 1,131,817 |
3,065,260 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class A, 0.970%, 12/16/2069(a) | 2,666,320 |
655,654 | SMB Private Education Loan Trust, Series 2021-D, Class A1A, 1.340%, 3/17/2053(a) | 592,219 |
5,790,869 | ||
Agency Commercial Mortgage-Backed Securities — 25.8% | ||
2,580,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K064, Class A2, 3.224%, 3/25/2027 | 2,469,804 |
18,735,512 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K139, Class A1, 2.209%, 10/25/2031 | 16,844,119 |
11,380,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K747, Class A2, 2.050%, 11/25/2028(b) | 10,144,030 |
7,818,900 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KC06, Class A2, 2.541%, 8/25/2026 | 7,452,627 |
Principal Amount | Description | Value (†) |
Agency Commercial Mortgage-Backed Securities — continued | ||
$1,807,793 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K-F100, Class AS, 30 day USD SOFR Average + 0.180%, 5.504%, 1/25/2028(b) | $1,792,152 |
4,949,701 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K-F121, Class AS, 30 day USD SOFR Average + 0.180%, 5.504%, 8/25/2028(b) | 4,914,942 |
12,451,163 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF123, Class AS, 30 day USD SOFR Average + 0.200%, 5.524%, 9/25/2028(b) | 12,376,668 |
1,236,319 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF53, Class A, 30 day USD SOFR Average + 0.504%, 5.829%, 10/25/2025(b) | 1,233,852 |
5,142,218 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF72, Class A, 30 day USD SOFR Average + 0.614%, 5.939%, 10/25/2026(b) | 5,137,310 |
706,471 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF74, Class AS, 1 mo. USD SOFR Historical Calendar Day Compounded + 0.530%, 5.856%, 1/25/2027(b) | 705,833 |
4,973,170 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF77, Class AL, 30 day USD SOFR Average + 0.814%, 6.139%, 2/25/2027(b) | 4,989,608 |
6,540,993 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF77, Class AS, 30 day USD SOFR Average + 0.900%, 6.224%, 2/25/2027(b) | 6,604,127 |
17,161,381 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF78, Class AL, 30 day USD SOFR Average + 0.914%, 6.239%, 3/25/2030(b) | 17,277,768 |
17,161,381 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF78, Class AS, 30 day USD SOFR Average + 1.000%, 6.324%, 3/25/2030(b) | 17,419,831 |
2,800,246 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF79, Class AL, 30 day USD SOFR Average + 0.584%, 5.909%, 5/25/2030(b) | 2,802,802 |
2,583,955 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF79, Class AS, 30 day USD SOFR Average + 0.580%, 5.904%, 5/25/2030(b) | 2,593,934 |
3,838,147 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF80, Class AL, 30 day USD SOFR Average + 0.554%, 5.879%, 6/25/2030(b) | 3,840,544 |
2,156,507 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF80, Class AS, 30 day USD SOFR Average + 0.510%, 5.834%, 6/25/2030(b) | 2,155,440 |
474,644 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF81, Class AL, 30 day USD SOFR Average + 0.474%, 5.799%, 6/25/2027(b) | 473,572 |
Principal Amount | Description | Value (†) |
Agency Commercial Mortgage-Backed Securities — continued | ||
$355,983 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF81, Class AS, 30 day USD SOFR Average + 0.400%, 5.724%, 6/25/2027(b) | $354,293 |
470,676 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF84, Class AL, 30 day USD SOFR Average + 0.414%, 5.739%, 7/25/2030(b) | 468,676 |
395,965 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF84, Class AS, 30 day USD SOFR Average + 0.320%, 5.644%, 7/25/2030(b) | 393,012 |
127,978 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF85, Class AL, 30 day USD SOFR Average + 0.414%, 5.739%, 8/25/2030(b) | 127,355 |
341,160 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF85, Class AS, 30 day USD SOFR Average + 0.330%, 5.654%, 8/25/2030(b) | 338,717 |
508,155 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF86, Class AL, 30 day USD SOFR Average + 0.404%, 5.729%, 8/25/2027(b) | 506,825 |
453,768 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF86, Class AS, 30 day USD SOFR Average + 0.320%, 5.644%, 8/25/2027(b) | 451,531 |
368,500 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF93, Class AL, 30 day USD SOFR Average + 0.394%, 5.719%, 10/25/2027(b) | 367,240 |
442,438 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF93, Class AS, 30 day USD SOFR Average + 0.310%, 5.634%, 10/25/2027(b) | 438,907 |
2,123,790 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF97, Class AS, 30 day USD SOFR Average + 0.250%, 5.574%, 12/25/2030(b) | 2,102,571 |
5,811,793 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ20, Class A2, 3.799%, 12/25/2025 | 5,722,275 |
7,713,721 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ21, Class A2, 3.700%, 9/25/2026 | 7,521,796 |
5,822,169 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ26, Class A2, 2.606%, 7/25/2027 | 5,575,845 |
7,165,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ37, Class A2, 2.333%, 11/25/2030 | 6,325,831 |
16,300,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ42, Class A2, 4.118%, 11/25/2032 | 15,670,429 |
8,515,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KS12, Class A, 30 day USD SOFR Average + 0.764%, 6.089%, 8/25/2029(b) | 8,545,382 |
2,855,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KS14, Class AL, 30 day USD SOFR Average + 0.454%, 5.779%, 4/25/2030(b) | 2,849,824 |
Principal Amount | Description | Value (†) |
Agency Commercial Mortgage-Backed Securities — continued | ||
$3,140,000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KS14, Class AS, 30 day USD SOFR Average + 0.370%, 5.694%, 4/25/2030(b) | $3,123,750 |
381,668 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series Q008, Class A, 30 day USD SOFR Average + 0.504%, 5.829%, 10/25/2045(b) | 380,695 |
3,904,320 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series Q016, Class APT1, 1.242%, 5/25/2051(b) | 3,648,243 |
5,200,000 | Federal National Mortgage Association, 3.580%, 1/01/2026 | 5,065,815 |
698,280 | Federal National Mortgage Association, Series 2020-M5, Class FA, 30 day USD SOFR Average + 0.574%, 5.899%, 1/25/2027(b) | 696,264 |
66,676 | Government National Mortgage Association, Series 2003-72, Class Z, 5.420%, 11/16/2045(b) | 65,922 |
191,970,161 | ||
Collateralized Mortgage Obligations — 8.9% | ||
32,037 | Federal Home Loan Mortgage Corp., Series 2131, Class ZB, REMICS, 6.000%, 3/15/2029(c) | 30,611 |
322,081 | Federal Home Loan Mortgage Corp., Series 2978, Class JG, REMICS, 5.500%, 5/15/2035(c) | 324,524 |
498,370 | Federal Home Loan Mortgage Corp., Series 3036, Class NE, REMICS, 5.000%, 9/15/2035(c) | 494,206 |
181,596 | Federal Home Loan Mortgage Corp., Series 3412, Class AY, REMICS, 5.500%, 2/15/2038(c) | 184,456 |
478,792 | Federal Home Loan Mortgage Corp., Series 3561, Class W, REMICS, 2.565%, 6/15/2048(b)(d) | 431,229 |
330,628 | Federal Home Loan Mortgage Corp., Series 3620, Class AT, REMICS, 4.035%, 12/15/2036(b)(c)(d) | 323,251 |
98,978 | Federal Home Loan Mortgage Corp., Series 4212, Class FW, REMICS, 0.000%, 6/15/2043(b)(c) | 86,033 |
4,330 | Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, Series T-60, Class 2A1, 4.158%, 3/25/2044(b)(c) | 3,721 |
217,851 | Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates, Series T-62, Class 1A1, 1 yr. MTA + 1.200%, 6.353%, 10/25/2044(b)(c) | 194,985 |
4,473 | Federal National Mortgage Association, Series 2002-W10, Class A7, REMICS, 4.589%, 8/25/2042(b)(c) | 4,074 |
432,947 | Federal National Mortgage Association, Series 2003-48, Class GH, REMICS, 5.500%, 6/25/2033(c) | 434,192 |
241,644 | Federal National Mortgage Association, Series 2007-73, Class A1, REMICS, 30 day USD SOFR Average + 0.174%, 6.087%, 7/25/2037(b)(c) | 232,906 |
456,537 | Federal National Mortgage Association, Series 2008-86, Class LA, REMICS, 3.505%, 8/25/2038(b) | 435,571 |
945,663 | Federal National Mortgage Association, Series 2012-56, Class FK, REMICS, 30 day USD SOFR Average + 0.564%, 5.900%, 6/25/2042(b)(c) | 918,882 |
1,094,165 | Federal National Mortgage Association, Series 2012-58, Class KF, REMICS, 30 day USD SOFR Average + 0.664%, 6.000%, 6/25/2042(b) | 1,079,772 |
2,586,871 | Federal National Mortgage Association, Series 2012-83, Class LF, REMICS, 30 day USD SOFR Average + 0.624%, 5.960%, 8/25/2042(b) | 2,547,547 |
Principal Amount | Description | Value (†) |
Collateralized Mortgage Obligations — continued | ||
$1,840,298 | Federal National Mortgage Association, Series 2013-67, Class NF, REMICS, 30 day USD SOFR Average + 1.114%, 5.000%, 7/25/2043(b) | $1,723,800 |
2,864,283 | Federal National Mortgage Association, Series 2015-4, Class BF, REMICS, 30 day USD SOFR Average + 0.514%, 5.850%, 2/25/2045(b) | 2,802,900 |
3,748,569 | Federal National Mortgage Association, Series 2020-35, Class FA, REMICS, 30 day USD SOFR Average + 0.614%, 5.943%, 6/25/2050(b) | 3,635,074 |
773,802 | Government National Mortgage Association, Series 2005-18, Class F, 1 mo. USD SOFR + 0.314%, 5.653%, 2/20/2035(b)(c) | 762,072 |
599,585 | Government National Mortgage Association, Series 2007-59, Class FM, 1 mo. USD SOFR + 0.634%, 5.973%, 10/20/2037(b)(c) | 593,556 |
89,371 | Government National Mortgage Association, Series 2009-H01, Class FA, 1 mo. USD SOFR + 1.264%, 6.603%, 11/20/2059(b)(c) | 88,748 |
281,529 | Government National Mortgage Association, Series 2010-H20, Class AF, 1 mo. USD SOFR + 0.444%, 5.767%, 10/20/2060(b) | 280,553 |
256,337 | Government National Mortgage Association, Series 2010-H24, Class FA, 1 mo. USD SOFR + 0.464%, 5.787%, 10/20/2060(b) | 255,624 |
184,455 | Government National Mortgage Association, Series 2010-H27, Class FA, 1 mo. USD SOFR + 0.494%, 5.817%, 12/20/2060(b) | 183,966 |
8,750 | Government National Mortgage Association, Series 2011-H08, Class FA, 1 mo. USD SOFR + 0.714%, 6.037%, 2/20/2061(b)(c) | 8,663 |
1,697,745 | Government National Mortgage Association, Series 2012-18, Class FM, 1 mo. USD SOFR + 0.364%, 5.703%, 9/20/2038(b) | 1,693,316 |
87 | Government National Mortgage Association, Series 2012-H15, Class FA, 1 mo. USD SOFR + 0.564%, 5.500%, 5/20/2062(b)(c) | 84 |
131,293 | Government National Mortgage Association, Series 2012-H18, Class NA, 1 mo. USD SOFR + 0.634%, 5.957%, 8/20/2062(b)(c) | 129,760 |
8,949 | Government National Mortgage Association, Series 2012-H29, Class HF, 1 mo. USD SOFR + 0.614%, 5.937%, 10/20/2062(b)(c) | 8,608 |
4,184 | Government National Mortgage Association, Series 2013-H02, Class GF, 1 mo. USD SOFR + 0.614%, 5.937%, 12/20/2062(b)(c) | 4,037 |
374,186 | Government National Mortgage Association, Series 2013-H08, Class FA, 1 mo. USD SOFR + 0.464%, 5.787%, 3/20/2063(b)(c) | 369,214 |
421,032 | Government National Mortgage Association, Series 2013-H10, Class FA, 1 mo. USD SOFR + 0.514%, 5.837%, 3/20/2063(b) | 419,989 |
55,218 | Government National Mortgage Association, Series 2013-H14, Class FG, 1 mo. USD SOFR + 0.584%, 5.907%, 5/20/2063(b)(c) | 54,567 |
2,228,708 | Government National Mortgage Association, Series 2014-H14, Class FA, 1 mo. USD SOFR + 0.614%, 5.939%, 7/20/2064(b) | 2,226,028 |
2,075,496 | Government National Mortgage Association, Series 2014-H15, Class FA, 1 mo. USD SOFR + 0.614%, 5.937%, 7/20/2064(b) | 2,072,948 |
1,199,008 | Government National Mortgage Association, Series 2015-H04, Class FL, 1 mo. USD SOFR + 0.584%, 5.909%, 2/20/2065(b) | 1,197,314 |
Principal Amount | Description | Value (†) |
Collateralized Mortgage Obligations — continued | ||
$4,354 | Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065(c) | $3,900 |
175,315 | Government National Mortgage Association, Series 2015-H10, Class FC, 1 mo. USD SOFR + 0.594%, 5.917%, 4/20/2065(b) | 175,077 |
1,039,560 | Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065 | 999,289 |
1,475 | Government National Mortgage Association, Series 2015-H11, Class FA, 1 mo. USD SOFR + 0.364%, 5.687%, 4/20/2065(b)(c) | 1,417 |
764,111 | Government National Mortgage Association, Series 2015-H12, Class FL, 1 mo. USD SOFR + 0.344%, 5.667%, 5/20/2065(b) | 760,753 |
17,392 | Government National Mortgage Association, Series 2015-H19, Class FH, 1 mo. USD SOFR + 0.414%, 5.737%, 7/20/2065(b)(c) | 16,668 |
1,258 | Government National Mortgage Association, Series 2015-H29, Class FA, 1 mo. USD SOFR + 0.814%, 6.137%, 10/20/2065(b)(c) | 1,214 |
2,382 | Government National Mortgage Association, Series 2015-H30, Class FA, 1 mo. USD SOFR + 0.794%, 6.117%, 8/20/2061(b)(c) | 2,296 |
2,413,876 | Government National Mortgage Association, Series 2016-H06, Class FC, 1 mo. USD SOFR + 1.034%, 6.357%, 2/20/2066(b) | 2,415,857 |
543,855 | Government National Mortgage Association, Series 2016-H20, Class FB, 1 mo. USD SOFR + 0.664%, 5.987%, 9/20/2066(b) | 543,499 |
1,792,853 | Government National Mortgage Association, Series 2017-H05, Class FC, 1 mo. USD SOFR + 0.864%, 6.187%, 2/20/2067(b) | 1,789,525 |
3,701,650 | Government National Mortgage Association, Series 2018-H11, Class FJ, 1yr. USD SOFR + 0.795%, 5.805%, 6/20/2068(b) | 3,680,740 |
55,193 | Government National Mortgage Association, Series 2018-H14, Class FG, 1 mo. USD SOFR + 0.464%, 5.787%, 9/20/2068(b) | 55,009 |
6,028,991 | Government National Mortgage Association, Series 2018-H16, Class FA, 1 mo. USD SOFR + 0.534%, 5.857%, 9/20/2068(b) | 5,966,092 |
5,638,645 | Government National Mortgage Association, Series 2019-H04, Class NA, 3.500%, 9/20/2068 | 5,165,354 |
323,565 | Government National Mortgage Association, Series 2019-H13, Class FT, 1 yr. CMT + 0.450%, 5.630%, 8/20/2069(b) | 323,030 |
1,441,095 | Government National Mortgage Association, Series 2020-30, Class F, 1 mo. USD SOFR + 0.514%, 5.844%, 4/20/2048(b) | 1,395,104 |
2,788,344 | Government National Mortgage Association, Series 2020-53, Class NF, 1 mo. USD SOFR + 0.564%, 5.894%, 5/20/2046(b) | 2,616,769 |
846,550 | Government National Mortgage Association, Series 2020-H01, Class FT, 1 yr. CMT + 0.500%, 5.680%, 1/20/2070(b) | 842,377 |
2,950,013 | Government National Mortgage Association, Series 2020-H02, Class FG, 1 mo. USD SOFR + 0.714%, 6.037%, 1/20/2070(b) | 2,949,921 |
3,321,029 | Government National Mortgage Association, Series 2020-H04, Class FP, 1 mo. USD SOFR + 0.614%, 5.937%, 6/20/2069(b) | 3,315,321 |
Principal Amount | Description | Value (†) |
Collateralized Mortgage Obligations — continued | ||
$5,030,256 | Government National Mortgage Association, Series 2020-H07, Class FL, 1 mo. USD SOFR + 0.764%, 6.087%, 4/20/2070(b) | $5,019,456 |
2,144,772 | Government National Mortgage Association, Series 2020-H10, Class FD, 1 mo. USD SOFR + 0.514%, 5.837%, 5/20/2070(b) | 2,136,618 |
66,412,067 | ||
Hybrid ARMs — 1.9% | ||
72,652 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.703%, 5.992%, 11/01/2038(b) | 72,862 |
396,296 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.765%, 6.015%, 9/01/2035(b) | 400,518 |
34,827 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.750%, 6.061%, 12/01/2037(b) | 35,089 |
163,566 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.220%, 6.158%, 7/01/2033(b) | 165,502 |
105,714 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.748%, 6.169%, 4/01/2037(b) | 106,651 |
103,257 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.909%, 6.192%, 12/01/2034(b) | 103,426 |
955,448 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.840%, 6.245%, 1/01/2046(b) | 978,306 |
209,079 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.248%, 6.271%, 9/01/2038(b) | 213,941 |
54,379 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.165%, 6.290%, 4/01/2036(b) | 54,870 |
63,572 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.207%, 6.352%, 9/01/2038(b) | 64,482 |
923,285 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.249%, 6.377%, 3/01/2037(b) | 947,048 |
389,400 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.286%, 6.425%, 2/01/2036(b) | 395,708 |
132,189 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.902%, 6.445%, 4/01/2037(b) | 133,533 |
572,771 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.260%, 6.459%, 2/01/2036(b) | 582,322 |
61,942 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.250%, 6.499%, 2/01/2035(b) | 63,388 |
240,895 | Federal Home Loan Mortgage Corp., 1 yr. CMT + 2.245%, 6.538%, 3/01/2036(b) | 246,916 |
203,828 | Federal Home Loan Mortgage Corp., 6 mo. RFUCC Treasury + 1.771%, 6.644%, 6/01/2037(b) | 201,441 |
63,722 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.777%, 6.817%, 11/01/2038(b) | 63,869 |
53,163 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.686%, 6.876%, 3/01/2038(b) | 53,240 |
458,791 | Federal Home Loan Mortgage Corp., 1 yr. RFUCC Treasury + 1.896%, 7.257%, 9/01/2041(b) | 461,415 |
64,357 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.513%, 5.764%, 8/01/2035(b) | 64,006 |
325,814 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.584%, 5.838%, 9/01/2037(b) | 327,680 |
145,406 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.616%, 5.866%, 8/01/2038(b) | 145,733 |
99,684 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.670%, 5.920%, 10/01/2033(b) | 100,290 |
208,223 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.681%, 5.931%, 7/01/2038(b) | 209,615 |
7,464 | Federal National Mortgage Association, 1 yr. CMT + 2.145%, 5.934%, 9/01/2036(b) | 7,514 |
84,313 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.713%, 5.963%, 8/01/2034(b) | 83,916 |
Principal Amount | Description | Value (†) |
Hybrid ARMs — continued | ||
$260,807 | Federal National Mortgage Association, 1 yr. CMT + 2.270%, 6.020%, 6/01/2037(b) | $266,053 |
111,560 | Federal National Mortgage Association, 1 yr. CMT + 2.287%, 6.037%, 6/01/2033(b) | 113,697 |
342,676 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.555%, 6.048%, 7/01/2035(b) | 348,664 |
656,546 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.800%, 6.050%, 10/01/2041(b) | 675,359 |
107,661 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.800%, 6.050%, 12/01/2041(b) | 108,225 |
70,076 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.732%, 6.057%, 11/01/2035(b) | 71,966 |
33,112 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.728%, 6.073%, 1/01/2037(b) | 33,392 |
495,447 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.550%, 6.161%, 4/01/2037(b) | 507,023 |
164,872 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.734%, 6.188%, 2/01/2037(b) | 166,423 |
698,233 | Federal National Mortgage Association, 1 yr. CMT + 2.185%, 6.219%, 11/01/2033(b) | 710,719 |
430,876 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.705%, 6.220%, 9/01/2037(b) | 442,827 |
122,312 | Federal National Mortgage Association, 1 yr. CMT + 2.223%, 6.223%, 8/01/2035(b) | 124,743 |
99,857 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.672%, 6.256%, 11/01/2036(b) | 101,120 |
46,799 | Federal National Mortgage Association, 1 yr. CMT + 2.440%, 6.266%, 8/01/2033(b) | 47,890 |
96,366 | Federal National Mortgage Association, 1 yr. CMT + 2.146%, 6.299%, 9/01/2034(b) | 98,123 |
269,106 | Federal National Mortgage Association, 1 yr. CMT + 2.185%, 6.310%, 1/01/2036(b) | 272,809 |
27,461 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.565%, 6.315%, 4/01/2037(b) | 27,617 |
66,517 | Federal National Mortgage Association, 1 yr. CMT + 2.287%, 6.351%, 10/01/2033(b) | 67,640 |
618,873 | Federal National Mortgage Association, 1 yr. CMT + 2.176%, 6.375%, 12/01/2040(b) | 634,712 |
561,556 | Federal National Mortgage Association, 1 yr. CMT + 2.225%, 6.402%, 4/01/2034(b) | 570,111 |
451,838 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.820%, 6.445%, 2/01/2047(b) | 458,275 |
302,272 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.805%, 6.508%, 3/01/2037(b) | 305,030 |
800,851 | Federal National Mortgage Association, 1 yr. CMT + 2.216%, 6.516%, 10/01/2034(b) | 822,271 |
71,020 | Federal National Mortgage Association, 1 yr. CMT + 2.195%, 6.523%, 4/01/2034(b) | 71,933 |
77,423 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.800%, 6.544%, 3/01/2034(b) | 79,312 |
199,802 | Federal National Mortgage Association, 1 yr. CMT + 2.131%, 6.570%, 6/01/2036(b) | 202,422 |
124,867 | Federal National Mortgage Association, 1 yr. CMT + 2.486%, 6.611%, 5/01/2035(b) | 128,105 |
94,745 | Federal National Mortgage Association, 1 yr. CMT + 2.500%, 6.793%, 8/01/2036(b) | 98,335 |
236,203 | Federal National Mortgage Association, 6 mo. RFUCC Treasury + 2.062%, 6.831%, 7/01/2037(b) | 240,460 |
12,196 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.809%, 6.937%, 7/01/2041(b) | 12,321 |
19,003 | Federal National Mortgage Association, 6 mo. RFUCC Treasury + 1.460%, 7.057%, 2/01/2037(b) | 19,263 |
Principal Amount | Description | Value (†) |
Hybrid ARMs — continued | ||
$37,382 | Federal National Mortgage Association, 1 yr. CMT + 2.212%, 7.086%, 4/01/2033(b) | $37,934 |
174,121 | Federal National Mortgage Association, 6 mo. RFUCC Treasury + 1.544%, 7.231%, 7/01/2035(b) | 176,230 |
56,028 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 2.473%, 8.223%, 6/01/2035(b) | 56,626 |
14,380,911 | ||
Mortgage Related — 0.7% | ||
7,073 | Federal Home Loan Mortgage Corp., 3.000%, 10/01/2026 | 6,900 |
2,711 | Federal Home Loan Mortgage Corp., 4.000%, 12/01/2024 | 2,692 |
83,750 | Federal Home Loan Mortgage Corp., 4.000%, 1/01/2042 | 79,104 |
3,021 | Federal Home Loan Mortgage Corp., 4.500%, 1/01/2025 | 3,008 |
9,656 | Federal Home Loan Mortgage Corp., 4.500%, 5/01/2034 | 9,290 |
90,978 | Federal Home Loan Mortgage Corp., 6.500%, 12/01/2034 | 92,702 |
13 | Federal Home Loan Mortgage Corp., 7.500%, 6/01/2026 | 13 |
58,441 | Federal National Mortgage Association, 3.000%, 3/01/2042 | 51,759 |
208,752 | Federal National Mortgage Association, 5.000%, 7/01/2037 | 205,917 |
239,392 | Federal National Mortgage Association, 5.000%, 2/01/2038 | 236,140 |
131,795 | Federal National Mortgage Association, 5.500%, 3/01/2033 | 132,276 |
1,512 | Federal National Mortgage Association, 6.500%, 7/01/2032 | 1,539 |
619 | Federal National Mortgage Association, 6.500%, 1/01/2033 | 637 |
1,917 | Federal National Mortgage Association, 6.500%, 10/01/2033 | 1,967 |
1,729 | Federal National Mortgage Association, 6.500%, 10/01/2033 | 1,772 |
1,525 | Federal National Mortgage Association, 6.500%, 10/01/2033 | 1,569 |
1,188 | Federal National Mortgage Association, 6.500%, 12/01/2034 | 1,227 |
749 | Federal National Mortgage Association, 6.500%, 2/01/2036 | 771 |
11,250 | Federal National Mortgage Association, 6.500%, 11/01/2037 | 11,861 |
6,283 | Federal National Mortgage Association, 7.500%, 7/01/2031 | 6,356 |
9,984 | Federal National Mortgage Association, 7.500%, 9/01/2032 | 9,961 |
27,092 | Government National Mortgage Association, 4.140%, 12/20/2061(b) | 26,084 |
81,016 | Government National Mortgage Association, 4.140%, 7/20/2063(b) | 78,149 |
16,935 | Government National Mortgage Association, 4.302%, 1/20/2064(b) | 16,648 |
14,130 | Government National Mortgage Association, 4.390%, 12/20/2062(b) | 13,861 |
1,434,418 | Government National Mortgage Association, 4.430%, 10/20/2065(b) | 1,403,495 |
141,835 | Government National Mortgage Association, 4.476%, 11/20/2063(b) | 139,852 |
Principal Amount | Description | Value (†) |
Mortgage Related — continued | ||
$416,213 | Government National Mortgage Association, 4.537%, 2/20/2066(b) | $408,350 |
1,721 | Government National Mortgage Association, 4.572%, 8/20/2062(b) | 1,672 |
3,219 | Government National Mortgage Association, 4.630%, 8/20/2061(b) | 3,134 |
3,345 | Government National Mortgage Association, 4.630%, 2/20/2062(b) | 3,198 |
1,279 | Government National Mortgage Association, 4.700%, 6/20/2061(b) | 1,240 |
5,449 | Government National Mortgage Association, 4.700%, 2/20/2062(b) | 5,246 |
7,604 | Government National Mortgage Association, 4.700%, 6/20/2062(b) | 7,224 |
7,360 | Government National Mortgage Association, 4.700%, 6/20/2063(b) | 6,947 |
1,396 | Government National Mortgage Association, 4.798%, 4/20/2061(b) | 1,364 |
3,926 | Government National Mortgage Association, 6.000%, 12/15/2031 | 4,084 |
16,274 | Government National Mortgage Association, 6.500%, 5/15/2031 | 16,766 |
11,941 | Government National Mortgage Association, 7.000%, 10/15/2028 | 12,017 |
374,671 | Government National Mortgage Association, 1 mo. RFUCC Treasury + 1.828%, 7.155%, 2/20/2061(b) | 384,031 |
485,090 | Government National Mortgage Association, 1 mo. RFUCC Treasury + 1.890%, 7.324%, 2/20/2063(b) | 494,707 |
344,741 | Government National Mortgage Association, 1 mo. RFUCC Treasury + 2.161%, 7.595%, 3/20/2063(b) | 354,717 |
298,675 | Government National Mortgage Association, 1 mo. RFUCC Treasury + 2.172%, 7.608%, 5/20/2065(b) | 305,187 |
387,897 | Government National Mortgage Association, 1 mo. RFUCC Treasury + 2.189%, 7.624%, 6/20/2065(b) | 397,805 |
230,910 | Government National Mortgage Association, 1 mo. RFUCC Treasury + 2.310%, 7.745%, 2/20/2063(b) | 235,773 |
5,179,012 | ||
Non-Agency Commercial Mortgage-Backed Securities — 3.5% | ||
1,595,000 | Bank, Series 2020-BN25, Class A5, 2.649%, 1/15/2063 | 1,378,096 |
740,100 | Bank, Series 2023-5YR4, Class A3, 6.500%, 12/15/2056 | 767,724 |
3,895,000 | BBCMS Mortgage Trust, Series 2020-BID, Class A, 1 mo. USD SOFR + 2.254%, 7.584%, 10/15/2037(a)(b) | 3,891,766 |
1,825,000 | BPR Trust, Series 2021-NRD, Class A, 1 mo. USD SOFR + 1.525%, 6.854%, 12/15/2038(a)(b) | 1,782,732 |
4,650,000 | BPR Trust, Series 2022-SSP, Class A, 1 mo. USD SOFR + 3.000%, 8.329%, 5/15/2039(a)(b) | 4,683,793 |
1,745,000 | CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3, 3.839%, 12/10/2054 | 1,662,538 |
951,889 | Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030(a) | 915,771 |
1,185,155 | Commercial Mortgage Trust, Series 2016-DC2, Class ASB, 3.550%, 2/10/2049 | 1,168,459 |
2,570,000 | DROP Mortgage Trust, Series 2021-FILE, Class A, 1 mo. USD SOFR + 1.264%, 6.594%, 10/15/2043(a)(b) | 2,448,053 |
1,633,913 | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034(a) | 1,610,975 |
Principal Amount | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — continued | ||
$3,295,000 | SPGN Mortgage Trust, Series 2022-TFLM, Class A, 1 mo. USD SOFR + 1.550%, 6.879%, 2/15/2039(a)(b) | $3,266,741 |
2,995,449 | Starwood Retail Property Trust, Series 2014-STAR, Class A, Prime + 0.000%, 8.500%, 11/15/2027(a)(b) | 2,138,173 |
25,714,821 | ||
Treasuries — 51.2% | ||
4,010,000 | U.S. Treasury Notes, 0.375%, 9/30/2027 | 3,515,642 |
3,620,000 | U.S. Treasury Notes, 2.750%, 4/30/2027 | 3,448,899 |
71,120,000 | U.S. Treasury Notes, 2.750%, 2/15/2028 | 67,055,603 |
13,575,000 | U.S. Treasury Notes, 3.750%, 12/31/2028 | 13,228,201 |
26,990,000 | U.S. Treasury Notes, 3.875%, 11/30/2027 | 26,476,557 |
10,465,000 | U.S. Treasury Notes, 3.875%, 12/31/2027 | 10,264,285 |
12,315,000 | U.S. Treasury Notes, 4.000%, 2/29/2028 | 12,127,389 |
42,930,000 | U.S. Treasury Notes, 4.000%, 6/30/2028 | 42,277,665 |
9,755,000 | U.S. Treasury Notes, 4.000%, 1/31/2029 | 9,604,865 |
5,270,000 | U.S. Treasury Notes, 4.125%, 10/31/2027 | 5,210,918 |
7,645,000 | U.S. Treasury Notes, 4.125%, 7/31/2028 | 7,564,071 |
5,655,000 | U.S. Treasury Notes, 4.125%, 3/31/2029 | 5,597,346 |
3,850,000 | U.S. Treasury Notes, 4.250%, 12/31/2025 | 3,813,154 |
12,050,000 | U.S. Treasury Notes, 4.250%, 1/31/2026 | 11,934,207 |
6,070,000 | U.S. Treasury Notes, 4.250%, 6/30/2029 | 6,044,866 |
13,620,000 | U.S. Treasury Notes, 4.375%, 8/31/2028 | 13,604,039 |
6,735,000 | U.S. Treasury Notes, 4.500%, 3/31/2026 | 6,699,746 |
8,865,000 | U.S. Treasury Notes, 4.625%, 6/30/2025 | 8,822,060 |
20,570,000 | U.S. Treasury Notes, 4.625%, 3/15/2026 | 20,498,487 |
5,565,000 | U.S. Treasury Notes, 4.625%, 11/15/2026 | 5,562,391 |
4,420,000 | U.S. Treasury Notes, 4.625%, 4/30/2029 | 4,470,761 |
18,775,000 | U.S. Treasury Notes, 4.750%, 7/31/2025 | 18,708,261 |
Principal Amount | Description | Value (†) |
Treasuries — continued | ||
$42,820,000 | U.S. Treasury Notes, 4.875%, 5/31/2026 | $42,906,978 |
18,230,000 | U.S. Treasury Notes, 4.875%, 10/31/2028 | 18,570,388 |
3,710,000 | U.S. Treasury Notes, 5.000%, 8/31/2025 | 3,707,102 |
9,130,000 | U.S. Treasury Notes, 5.000%, 10/31/2025 | 9,131,070 |
380,844,951 | ||
Total Bonds and Notes (Identified Cost $725,260,959) | 707,393,913 | |
Short-Term Investments — 7.4% | ||
2,136,005 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2024 at 3.500% to be repurchased at $2,136,628 on 7/01/2024 collateralized by $1,744,000 U.S. Treasury Inflation Indexed Note, 0.125% due 7/15/2026 valued at $2,178,870 including accrued interest(e) | 2,136,005 |
19,090,000 | Federal Home Loan Bank Discount Notes, 5.200%–5.245%, 7/01/2024(f)(g) | 19,081,656 |
33,590,000 | Federal Home Loan Bank Discount Notes, 5.200%–5.220%, 7/10/2024(f)(g) | 33,531,274 |
Total Short-Term Investments (Identified Cost $54,772,241) | 54,748,935 | |
Total Investments — 102.5% (Identified Cost $780,033,200) | 762,142,848 | |
Other assets less liabilities — (2.5)% | (18,314,889 ) | |
Net Assets — 100.0% | $743,827,959 |
(†) | 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 ("NAV") 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 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, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. |
(a) | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2024, the value of Rule 144A holdings amounted to $42,416,972 or 5.7% of net assets. |
(b) | Variable rate security. Rate as of June 30, 2024 is disclosed. Issuers comprised of various lots with differing coupon rates have been aggregated for the purpose of presentation in the Portfolio of Investments and show a weighted average rate. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. These securities may not indicate a reference rate and/or spread in their description. |
(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 may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund's policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. As of June 30, 2024, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
(f) | 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. |
(g) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
ABS | Asset-Backed Securities |
ARMs | Adjustable Rate Mortgages |
CMT | Constant Maturity Treasury |
MTA | Monthly Treasury Average Interest |
REMICS | Real Estate Mortgage Investment Conduits |
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 each 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 each 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 June 30, 2024, at value:
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes | ||||
Collateralized Mortgage Obligations | $ — | $61,135,422 | $5,276,645 | $66,412,067 |
All Other Bonds and Notes(a) | — | 640,981,846 | — | 640,981,846 |
Total Bonds and Notes | — | 702,117,268 | 5,276,645 | 707,393,913 |
Short-Term Investments | — | 54,748,935 | — | 54,748,935 |
Total Investments | $— | $756,866,203 | $5,276,645 | $762,142,848 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2023 and/or June 30, 2024:
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of September 30, 2023 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of June 30, 2024 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2024 |
Bonds and Notes | ||||||||||
Collateralized Mortgage Obligations | $5,429,401 | $ — | $(1,988 ) | $101,700 | $10,042 | $(896,379 ) | $633,869 | $ — | $5,276,645 | $51,838 |
Debt securities valued at $633,869 were transferred from Level 2 to Level 3 during the period ended June 30, 2024. At September 30, 2023, these securities were fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies. At June 30, 2024, these securities were fair valued as determined by the Fund's valuation designee as an independent pricing service did not provide a reliable price for the securities.
Industry Summary at June 30, 2024 (Unaudited) | |
Treasuries | 51.2% |
Agency Commercial Mortgage-Backed Securities | 25.8 |
Collateralized Mortgage Obligations | 8.9 |
Non-Agency Commercial Mortgage-Backed Securities | 3.5 |
Other Investments, less than 2% each | 5.7 |
Short-Term Investments | 7.4 |
Total Investments | 102.5 |
Other assets less liabilities | (2.5) |
Net Assets | 100.0% |