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PORTFOLIO OF INVESTMENTS as of June 30, 2020 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund

Principal

Amount

Description

Value ()

Bonds and Notes 94.3% of Net Assets

ABS Car Loan 3.3%

$

747,359

Ally Auto Receivables Trust, Series 2018-2,

Class A3,

2.920%, 11/15/2022

$

756,888

1,550,000

Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A,

Class A,

2.990%, 6/20/2022, 144A

1,540,039

840,000

Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A,

Class A,

3.450%, 3/20/2023, 144A

842,673

1,710,000

CarMax Auto Owner Trust, Series 2020-2,

Class A3,

1.700%, 11/15/2024

1,749,662

751,445

CPS Auto Receivables Trust, Series 2019-C,

Class A,

2.550%, 9/15/2022, 144A

755,794

1,955,000

Credit Acceptance Auto Loan Trust, Series 2019-3A,

Class A,

2.380%, 11/15/2028, 144A

1,994,127

482,798

Exeter Automobile Receivables Trust, Series 2019-3A,

Class A,

2.590%, 9/15/2022, 144A

484,770

213,112

First Investors Auto Owner Trust, Series 2018-2A,

Class A1,

3.230%, 12/15/2022, 144A

213,886

907,841

Flagship Credit Auto Trust, Series 2020-2,

Class A,

1.490%, 7/15/2024, 144A

914,660

595,000

Ford Credit Auto Owner Trust, Series 2020-A,

Class A3,

1.040%, 8/15/2024

601,146

2,090,000

Foursight Capital Automobile Receivables Trust, Series

2018-2, Class A3,

3.640%, 5/15/2023, 144A

2,119,495

475,000

GM Financial Automobile Leasing Trust, Series 2020-2,

Class A3,

0.800%, 7/20/2023

477,809

970,000

GM Financial Consumer Automobile Receivables Trust, Series

2019-4, Class A3,

1.750%, 7/16/2024

987,691

500,000

GM Financial Consumer Automobile Receivables Trust, Series

2020-2, Class A3,

1.490%, 12/16/2024

509,661

1,475,000

GM Financial Consumer Automobile Receivables Trust, Series

2019-3, Class A3,

2.180%, 4/16/2024

1,508,450

1,170,000

GM Financial Consumer Automobile Receivables Trust, Series

2020-1, Class A3,

1.840%, 9/16/2024

1,197,256

189,000

Honda Auto Receivables Owner Trust, Series 2019-2,

Class A3,

2.520%, 6/21/2023

194,667

410,000

Honda Auto Receivables Owner Trust, Series 2020-1,

Class A3,

1.610%, 4/22/2024

419,937

585,000

Hyundai Auto Receivables Trust, Series 2020-A,

Class A3,

1.410%, 11/15/2024

598,987

685,000

NextGear Floorplan Master Owner Trust, Series 2017-2A,

Class A2,

2.560%, 10/17/2022, 144A

687,600

1,805,000

Nissan Auto Receivables Owner Trust, Series 2020-A,

Class A3,

1.380%, 12/16/2024

1,838,855

2,748,547

Santander Consumer Auto Receivables Trust, Series

2020-AA, Class A,

1.370%, 10/15/2024, 144A

2,766,968

765,000

Toyota Auto Loan Extended Note Trust, Series 2020-1A,

Class A,

1.350%, 5/25/2033, 144A

776,635

1,610,000

Toyota Auto Receivables Owner Trust, Series 2017-C,

Class A4,

1.980%, 12/15/2022

1,631,549

1,255,000

Toyota Auto Receivables Owner Trust, Series 2019-A,

Class A3,

2.910%, 7/17/2023

1,291,746

Principal

Amount

Description

Value ()

Bonds and Notes continued

ABS Car Loan continued

$

450,000

Toyota Auto Receivables Owner Trust, Series 2020-A,

Class A3 MTN,

1.660%, 5/15/2024

$

460,523

670,000

Toyota Auto Receivables Owner Trust, Series 2020-B,

Class A3,

1.360%, 8/15/2024

682,163

1,250,000

United Auto Credit Securitization Trust, Series 2020-1,

Class A,

0.850%, 5/10/2022, 144A

1,249,955

2,940,000

Westlake Automobile Receivables Trust, Series 2020-2A,

Class A2A,

0.930%, 2/15/2024, 144A

2,941,291

765,000

World Omni Auto Receivables Trust, Series 2019-B,

Class A3,

2.590%, 7/15/2024

785,955

32,980,838

ABS Home Equity 0.1%

770,201

CoreVest American Finance Trust, Series 2017-1,

Class A,

2.968%, 10/15/2049, 144A

783,434

446,444

Towd Point Mortgage Trust, Series 2015-2,

Class 1A12,

2.750%, 11/25/2060, 144A(a)

450,814

1,234,248

ABS Other 0.6%

430,000

CNH Equipment Trust, Series 2020-A, Class A3,

1.160%, 6/16/2025

441,278

548,154

Diamond Resorts Owner Trust, Series 2018-1,

Class A,

3.700%, 1/21/2031, 144A

558,992

805,000

Kubota Credit Owner Trust, Series 2020-1A,

Class A3,

1.960%, 3/15/2024, 144A

826,188

825,000

Navistar Financial Dealer Note Master Owner Trust II, Series

2018-1, Class A,

1-month

LIBOR + 0.630%, 0.815%, 9/25/2023, 144A(b)

821,981

1,181,744

SoFi Consumer Loan Program Trust, Series 2018-4,

Class A,

3.540%, 11/26/2027, 144A

1,193,702

1,906,495

Welk Resorts LLC, Series 2019-AA, Class A,

2.800%, 6/15/2038, 144A

1,908,268

5,750,409

ABS Student Loan 0.6%

4,000,000

Navient Private Education Refi Loan Trust, Series

2019-FA, Class A2,

2.600%, 8/15/2068, 144A

4,109,907

1,605,000

Navient Private Education Refi Loan Trust, Series

2020-DA, Class A,

1.690%, 5/15/2069, 144A

1,610,539

58,636

SoFi Professional Loan Program LLC, Series 2016-D,

Class A1,

1-month LIBOR + 0.950%, 1.135%, 1/25/2039, 144A(b)

58,583

5,779,029

Agency Commercial Mortgage-Backed Securities 26.1%

7,364,690

Federal National Mortgage Association, Series 2014-M2,

Class A2,

3.513%, 12/25/2023(a)

7,908,013

1,080,510

Federal National Mortgage Association, Series 2015-M17,

Class FA,

1-month LIBOR + 0.930%, 1.648%, 11/25/2022(b)

1,081,438

545,630

Federal National Mortgage Association, Series 2016-M3,

Class ASQ2,

2.263%, 2/25/2023

554,583

5,860,309

Federal National Mortgage Association, Series 2020-M5,

Class FA,

1-month LIBOR + 0.460%, 0.633%, 1/25/2027(b)

5,844,574

9,998,191

FHLMC Multifamily Structured Pass Through Certificates, Series KF74, Class AS,

SOFR + 0.530%, 0.549%, 1/25/2027(b)

10,010,683

Principal

Amount

Description

Value ()

Bonds and Notes continued

Agency Commercial Mortgage-Backed Securities continued

$

16,778,774

FHLMC Multifamily Structured Pass Through Certificates, Series KF77, Class AL,

1-month LIBOR + 0.700%, 0.883%, 2/25/2027(b)

$

16,831,460

22,068,388

FHLMC Multifamily Structured Pass Through Certificates, Series KF77, Class AS,

SOFR30A + 0.900%, 0.918%, 2/25/2027(b)

22,096,437

31,425,000

FHLMC Multifamily Structured Pass Through Certificates, Series KF78, Class AL,

1-month LIBOR + 0.800%, 0.983%, 3/25/2030(b)

31,483,325

31,425,000

FHLMC Multifamily Structured Pass Through Certificates, Series KF78, Class AS,

SOFR30A + 1.000%, 1.018%, 3/25/2030(b)

31,483,199

7,720,000

FHLMC Multifamily Structured Pass Through Certificates, Series KJ26, Class A2,

2.606%, 7/25/2027

8,392,568

8,515,000

FHLMC Multifamily Structured Pass Through Certificates, Series KS12, Class A,

1-month LIBOR + 0.650%, 0.830%, 8/25/2029(b)

8,536,952

13,445,000

FHLMC Multifamily Structured Pass Through Certificates, Series KJ20, Class A2,

3.799%, 12/25/2025

15,259,715

4,116,059

FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2,

3.871%, 4/25/2021

4,178,308

3,786,631

FHLMC Multifamily Structured Pass Through Certificates, Series K015, Class A2,

3.230%, 7/25/2021

3,870,451

5,984,039

FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class A2,

2.873%, 12/25/2021

6,132,777

7,900,000

FHLMC Multifamily Structured Pass Through Certificates, Series K034, Class A2,

3.531%, 7/25/2023(a)

8,547,187

7,835,000

FHLMC Multifamily Structured Pass Through Certificates, Series K035, Class A2,

3.458%, 8/25/2023(a)

8,467,036

7,500,000

FHLMC Multifamily Structured Pass Through Certificates, Series K038, Class A2,

3.389%, 3/25/2024

8,198,621

2,580,000

FHLMC Multifamily Structured Pass Through Certificates, Series K064, Class A2,

3.224%, 3/25/2027

2,933,904

2,095,663

FHLMC Multifamily Structured Pass Through Certificates, Series K725, Class A1,

2.666%, 5/25/2023

2,163,715

8,000,000

FHLMC Multifamily Structured Pass Through Certificates, Series KC06, Class A2,

2.541%, 8/25/2026

8,614,518

219,421

FHLMC Multifamily Structured Pass Through Certificates, Series KF06, Class A,

1-month LIBOR + 0.330%, 0.513%, 11/25/2021(b)

218,742

974,472

FHLMC Multifamily Structured Pass Through Certificates, Series KF14, Class A,

1-month LIBOR + 0.650%, 0.833%, 1/25/2023(b)

975,078

3,867,859

FHLMC Multifamily Structured Pass Through Certificates, Series KF53, Class A,

1-month LIBOR + 0.390%, 0.573%, 10/25/2025(b)

3,885,297

13,451,897

FHLMC Multifamily Structured Pass Through Certificates, Series KF72, Class A,

1-month LIBOR + 0.500%, 0.683%, 11/25/2026(b)

13,549,861

4,855,000

FHLMC Multifamily Structured Pass Through Certificates, Series KF79, Class AL,

1-month LIBOR + 0.470%, 0.653%, 5/25/2030(b)

4,881,742

4,480,000

FHLMC Multifamily Structured Pass Through Certificates, Series KF79, Class AS,

SOFR30A + 0.580%, 0.623%, 5/25/2030(b)

4,482,695

130,159

FHLMC Multifamily Structured Pass Through Certificates, Series KI01, Class A,

1-month LIBOR + 0.160%, 0.343%, 9/25/2022(b)

130,053

175,887

FHLMC Multifamily Structured Pass Through Certificates, Series KI02, Class A,

1-month LIBOR + 0.200%, 0.383%, 2/25/2023(b)

175,760

10,261,000

FHLMC Multifamily Structured Pass Through Certificates, Series KJ21, Class A2,

3.700%, 9/25/2026

11,593,457

1,051,847

FHLMC Multifamily Structured Pass Through Certificates, Series KJ28, Class A1,

1.766%, 2/25/2025

1,072,726

3,579,642

FHLMC Multifamily Structured Pass Through Certificates, Series Q008, Class A,

1-month LIBOR + 0.390%, 0.573%, 10/25/2045(b)

3,581,946

Principal

Amount

Description

Value ()

Bonds and Notes continued

Agency Commercial Mortgage-Backed Securities continued

$

5,200,000

FNMA,

3.580%, 1/01/2026

$

5,833,336

124,843

Government National Mortgage Association, Series 2003-72,

Class Z,

5.291%, 11/16/2045(a)

137,809

22,857

Government National Mortgage Association, Series 2003-88,

Class Z,

5.438%, 3/16/2046(a)

24,573

263,132,539

Collateralized Mortgage Obligations 18.2%

23,386

Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD,

7-year CMT - 0.200%, 0.350%, 5/15/2023(b)(c)(d)

22,915

18,223

Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I,

10-year CMT - 0.650%, 0.020%, 8/15/2023(b)(c)(d)

17,748

101,152

Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB,

6.000%, 3/15/2029(c)(d)

111,494

782,784

Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG,

5.500%, 5/15/2035

885,016

1,269,808

Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE,

5.000%, 9/15/2035

1,463,455

693,555

Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY,

5.500%, 2/15/2038

788,808

1,000,076

Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, IO,

2.838%, 6/15/2048(a)(e)

1,073,807

1,101,759

Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, IO,

3.884%, 12/15/2036(a)(e)

1,196,124

650,041

Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW,

1-month LIBOR + 2.100%, 2.285%, 6/15/2043(b)

669,442

943,066

Federal National Mortgage Association, REMIC, Series

2003-48, Class GH,

5.500%, 6/25/2033

1,102,536

4,905,155

Federal National Mortgage Association, Series 2012-58,

Class KF,

1-month LIBOR + 0.550%, 0.735%, 6/25/2042(b)

4,930,639

7,583,662

Federal National Mortgage Association, Series 2012-83,

Class LF,

1-month LIBOR + 0.510%, 0.678%, 8/25/2042(b)

7,608,921

11,410

Federal National Mortgage Association, REMIC, Series

1992-162, Class FB,

7-year CMT- 0.050%, 0.490%, 9/25/2022(b)(c)(d)

11,236

19,620

Federal National Mortgage Association, REMIC, Series

1994-42, Class FD,

10-year

CMT - 0.500%, 0.190%, 4/25/2024(b)(c)(d)

19,084

7,660

Federal National Mortgage Association, REMIC, Series

2002-W10, Class A7,

4.488%, 8/25/2042(a)(c)(d)

8,194

292,773

Federal National Mortgage Association, REMIC, Series

2005-100, Class BQ,

5.500%, 11/25/2025(c)(d)

306,033

594,795

Federal National Mortgage Association, REMIC, Series

2007-73, Class A1,

1-month

LIBOR + 0.060%, 0.236%, 7/25/2037(b)

584,908

991,171

Federal National Mortgage Association, REMIC, Series

2008-86, Class LA,

3.508%, 8/25/2038(a)

1,068,864

2,882,070

Federal National Mortgage Association, REMIC, Series

2012-56, Class FK,

1-month

LIBOR + 0.450%, 0.635%, 6/25/2042(b)

2,881,325

5,412,360

Federal National Mortgage Association, REMIC, Series

2013-67, Class NF,

1-month

LIBOR + 1.000%, 1.185%, 7/25/2043(b)

5,183,087

7,387,367

Federal National Mortgage Association, REMIC, Series

2015-4, Class BF,

1-month

LIBOR + 0.400%, 0.585%, 2/25/2045(b)

7,380,310

13,310,379

Federal National Mortgage Association, Series 2020-35,

Class FA,

1-month LIBOR + 0.500%, 0.671%, 6/25/2050(b)

13,424,409

Principal

Amount

Description

Value ()

Bonds and Notes continued

Collateralized Mortgage Obligations continued

$

7,247

FHLMC Structured Pass Through Securities, Series T-60,

Class 2A1,

4.062%, 3/25/2044(a)(c)(d)

$

8,525

448,536

FHLMC Structured Pass Through Securities, Series T-62,

Class 1A1,

12-month MTA + 1.200%, 2.704%, 10/25/2044(b)

453,035

3,728,894

Government National Mortgage Association, Series

2017-H05, Class FC,

1-month

LIBOR + 0.750%, 1.053%, 2/20/2067(b)

3,755,789

4,246,899

Government National Mortgage Association, Series

2019-H13, Class FT,

1-year

CMT + 0.450%, 0.620%, 8/20/2069(b)

4,214,553

5,779,949

Government National Mortgage Association, Series

2020-H02, Class FG,

1-month

LIBOR + 0.600%, 0.903%, 1/20/2070(b)

5,797,061

1,772,917

Government National Mortgage Association, Series 2005-18,

Class F,

1-month LIBOR + 0.200%, 0.390%, 2/20/2035(b)

1,762,816

1,328,982

Government National Mortgage Association, Series 2007-59,

Class FM,

1-month LIBOR + 0.520%, 0.691%, 10/20/2037(b)

1,333,058

552,599

Government National Mortgage Association, Series

2009-H01, Class FA,

1-month

LIBOR + 1.150%, 1.340%, 11/20/2059(b)(c)(d)

554,811

1,073,043

Government National Mortgage Association, Series

2010-H20, Class AF,

1-month

LIBOR + 0.330%, 0.633%, 10/20/2060(b)

1,067,500

879,891

Government National Mortgage Association, Series

2010-H24, Class FA,

1-month

LIBOR + 0.350%, 0.653%, 10/20/2060(b)

875,348

499,789

Government National Mortgage Association, Series

2010-H27, Class FA,

1-month

LIBOR + 0.380%, 0.683%, 12/20/2060(b)

497,666

55,487

Government National Mortgage Association, Series 2011- H20, Class FA,

1-month LIBOR + 0.550%, 0.853%, 9/20/2061(b)

55,510

699,824

Government National Mortgage Association, Series

2011-H06, Class FA,

1-month

LIBOR + 0.450%, 0.753%, 2/20/2061(b)

698,316

55,628

Government National Mortgage Association, Series

2011-H08, Class FA,

1-month

LIBOR + 0.600%, 0.903%, 2/20/2061(b)

55,706

82,560

Government National Mortgage Association, Series

2011-H23, Class HA,

3.000%, 12/20/2061(c)(d)

84,540

41,765

Government National Mortgage Association, Series

2012-124, Class HT,

6.500%, 7/20/2032(a)(c)(d)

40,925

3,786,227

Government National Mortgage Association, Series 2012-18,

Class FM,

1-month LIBOR + 0.250%, 0.440%, 9/20/2038(b)

3,772,797

1,927

Government National Mortgage Association, Series

2012-H15, Class FA,

1-month

LIBOR + 0.450%, 0.753%, 5/20/2062(b)(c)(d)

1,902

697,916

Government National Mortgage Association, Series

2012-H18, Class NA,

1-month

LIBOR + 0.520%, 0.823%, 8/20/2062(b)

697,764

2,004,186

Government National Mortgage Association, Series

2012-H20, Class PT,

1.016%, 7/20/2062(a)

2,001,896

160,463

Government National Mortgage Association, Series

2012-H29, Class HF,

1-month

LIBOR + 0.500%, 0.803%, 10/20/2062(b)(c)(d)

159,542

53,641

Government National Mortgage Association, Series

2013-H02, Class GF,

1-month

LIBOR + 0.500%, 0.803%, 12/20/2062(b)(c)(d)

53,063

2,929,988

Government National Mortgage Association, Series

2013-H08, Class FA,

1-month

LIBOR + 0.350%, 0.653%, 3/20/2063(b)

2,919,414

1,925,428

Government National Mortgage Association, Series

2013-H10, Class FA,

1-month

LIBOR + 0.400%, 0.703%, 3/20/2063(b)

1,919,582

328,026

Government National Mortgage Association, Series

2013-H14, Class FG,

1-month

LIBOR + 0.470%, 0.773%, 5/20/2063(b)

327,563

7,093,042

Government National Mortgage Association, Series

2013-H22, Class FT,

1-year

CMT + 0.650%, 0.820%, 4/20/2063(b)

7,064,769

4,813,654

Government National Mortgage Association, Series

2014-H14, Class FA,

1-month

LIBOR + 0.500%, 1.516%, 7/20/2064(b)

4,808,013

Principal

Amount

Description

Value ()

Bonds and Notes continued

Collateralized Mortgage Obligations continued

$

3,522,113

Government National Mortgage Association, Series

2014-H15, Class FA,

1-month

LIBOR + 0.500%, 0.803%, 7/20/2064(b)

$

3,517,362

2,909,820

Government National Mortgage Association, Series

2015-H04, Class FL,

1-month

LIBOR + 0.470%, 0.773%, 2/20/2065(b)

2,903,694

46,356

Government National Mortgage Association, Series

2015-H05, Class FA,

1-month

LIBOR + 0.300%, 0.603%, 4/20/2061(b)(c)(d)

46,020

162,565

Government National Mortgage Association, Series

2015-H09, Class HA,

1.750%, 3/20/2065(c)(d)

162,439

317,521

Government National Mortgage Association, Series

2015-H10, Class FC,

1-month

LIBOR + 0.480%, 0.783%, 4/20/2065(b)

316,853

4,872,095

Government National Mortgage Association, Series

2015-H10, Class JA,

2.250%, 4/20/2065

4,979,410

22,174

Government National Mortgage Association, Series

2015-H11, Class FA,

1-month

LIBOR + 0.250%, 0.553%, 4/20/2065(b)(c)(d)

21,993

3,795,131

Government National Mortgage Association, Series

2015-H12, Class FL,

1-month

LIBOR + 0.230%, 0.533%, 5/20/2065(b)

3,768,021

348,272

Government National Mortgage Association, Series

2015-H19, Class FH,

1-month

LIBOR + 0.300%, 0.603%, 7/20/2065(b)(c)(d)

345,719

34,268

Government National Mortgage Association, Series

2015-H29, Class FA,

1-month

LIBOR + 0.700%, 1.003%, 10/20/2065(b)(c)(d)

34,168

7,654

Government National Mortgage Association, Series

2015-H30, Class FA,

1-month

LIBOR + 0.680%, 0.983%, 8/20/2061(b)(c)(d)

7,613

5,294,909

Government National Mortgage Association, Series

2016-H06, Class FC,

1-month

LIBOR + 0.920%, 1.223%, 2/20/2066(b)

5,358,509

773,052

Government National Mortgage Association, Series

2016-H10, Class FJ,

1-month

LIBOR + 0.600%, 0.903%, 4/20/2066(b)

773,512

628,284

Government National Mortgage Association, Series

2016-H19, Class FJ,

1-month

LIBOR + 0.400%, 0.703%, 9/20/2063(b)

627,992

1,678,047

Government National Mortgage Association, Series

2016-H20, Class FB,

1-month

LIBOR + 0.550%, 0.853%, 9/20/2066(b)

1,678,850

575,580

Government National Mortgage Association, Series

2017-H24, Class FJ,

1-month

LIBOR + 0.250%, 0.553%, 10/20/2067(b)

575,160

386,169

Government National Mortgage Association, Series

2018-H02, Class FJ,

1-month

LIBOR + 0.200%, 0.503%, 10/20/2064(b)

385,384

7,474,191

Government National Mortgage Association, Series

2018-H11, Class FJ,

12-month

LIBOR + 0.080%, 2.590%, 6/20/2068(b)

7,387,110

169,997

Government National Mortgage Association, Series

2018-H14, Class FG,

1-month

LIBOR + 0.350%, 0.653%, 9/20/2068(b)

169,718

13,427,321

Government National Mortgage Association, Series

2019-H04, Class NA,

3.500%, 9/20/2068

14,702,428

4,392,081

Government National Mortgage Association, Series 2020-30,

Class F,

1-month LIBOR + 0.400%, 0.573%, 4/20/2048(b)

4,386,592

7,968,604

Government National Mortgage Association, Series 2020-53,

Class NF,

1-month LIBOR + 0.450%, 0.623%, 5/20/2046(b)

7,969,249

6,178,252

Government National Mortgage Association, Series

2020-H04, Class FP,

1-month

LIBOR + 0.500%, 0.803%, 6/20/2069(b)

6,168,404

13,156,839

Government National Mortgage Association, Series

2020-H07, Class FL,

1-month

LIBOR + 0.650%, 0.840%, 4/20/2070(b)

13,197,138

6,916,354

Government National Mortgage Association, Series

2020-HO1, Class FT,

1-year

CMT + 0.500%, 2.036%, 1/20/2070(b)

6,916,381

182,981

NCUA Guaranteed Notes, Series 2010-A1, Class A,

1-month LIBOR + 0.350%, 0.530%, 12/07/2020(b)

182,755

216,390

NCUA Guaranteed Notes, Series 2010-R1, Class 1A,

1-month LIBOR + 0.450%, 0.624%, 10/07/2020(b)

216,088

751,879

NCUA Guaranteed Notes, Series 2010-R3, Class 1A,

1-month LIBOR + 0.560%, 0.734%, 12/08/2020(b)

750,516

50,143

NCUA Guaranteed Notes, Series 2010-R3, Class 2A,

1-month LIBOR + 0.560%, 0.734%, 12/08/2020(b)

50,143

183,319,040

Principal

Amount

Description

Value ()

Bonds and Notes continued

Hybrid ARMs 4.3%

$

4,720,201

FHLMC,

12-month LIBOR + 1.841%, 2.759%, 1/01/2046(b)

$

4,913,143

389,082

FHLMC,

6-month LIBOR + 1.701%, 3.116%, 6/01/2037(b)

391,720

472,386

FHLMC,

1-year CMT + 2.165%, 3.334%, 4/01/2036(b)

475,336

167,166

FHLMC,

12-month LIBOR + 1.636%, 3.524%, 11/01/2038(b)

168,618

227,542

FHLMC,

12-month LIBOR + 1.778%, 3.581%, 3/01/2038(b)

231,109

216,019

FHLMC,

1-year CMT + 1.941%, 3.648%, 9/01/2038(b)

217,511

1,341,627

FHLMC,

12-month LIBOR + 1.895%, 3.650%, 9/01/2041(b)

1,411,773

180,975

FHLMC,

12-month LIBOR + 1.831%, 3.683%, 11/01/2038(b)

184,771

814,413

FHLMC,

12-month LIBOR + 1.738%, 3.738%, 4/01/2037(b)

827,402

201,807

FHLMC,

1-year CMT + 2.250%, 3.759%, 2/01/2035(b)

212,082

530,554

FHLMC,

1-year CMT + 2.245%, 3.767%, 3/01/2036(b)

558,354

212,166

FHLMC,

12-month LIBOR + 1.724%, 3.784%, 4/01/2037(b)

223,374

61,572

FHLMC,

12-month LIBOR + 1.734%, 3.909%, 12/01/2037(b)

61,795

1,276,506

FHLMC,

1-year CMT + 2.27%, 3.934%, 2/01/2036(b)

1,338,648

142,428

FHLMC,

1-year CMT + 2.210%, 3.983%, 9/01/2038(b)

143,569

879,467

FHLMC,

12-month LIBOR + 1.759%, 4.008%, 9/01/2035(b)

920,523

833,719

FHLMC,

1-year CMT + 2.286%, 4.026%, 2/01/2036(b)

874,973

2,219,868

FHLMC,

1-year CMT + 2.248%, 4.119%, 3/01/2037(b)

2,324,318

204,610

FHLMC,

12-month LIBOR + 2.180%, 4.180%, 3/01/2037(b)

206,756

229,726

FHLMC,

12-month LIBOR + 1.931%, 4.228%, 12/01/2034(b)

232,323

479,301

FHLMC,

1-year CMT + 2.247%, 4.326%, 9/01/2038(b)

500,579

695,809

FHLMC,

1-year CMT + 2.220%, 4.595%, 7/01/2033(b)

697,925

584,169

FNMA,

6-month LIBOR + 1.540%, 3.085%, 7/01/2035(b)

600,654

Principal

Amount

Description

Value ()

Bonds and Notes continued

Hybrid ARMs continued

$

349,290

FNMA,

12-month LIBOR + 2.473%, 3.348%, 6/01/2035(b)

$

353,238

62,658

FNMA,

6-month LIBOR + 1.558%, 3.419%, 2/01/2037(b)

64,699

392,736

FNMA,

12-month LIBOR + 1.609%, 3.572%, 4/01/2037(b)

398,322

1,368,312

FNMA,

12-month LIBOR + 1.560%, 3.635%, 4/01/2037(b)

1,430,125

195,695

FNMA,

1-year CMT + 2.192%, 3.692%, 4/01/2033(b)

197,123

295,512

FNMA,

12-month LIBOR + 1.656%, 3.715%, 10/01/2033(b)

308,718

1,392,187

FNMA,

12-month LIBOR + 1.800%, 3.734%, 10/01/2041(b)

1,456,605

913,403

FNMA,

12-month LIBOR + 1.590%, 3.739%, 7/01/2035(b)

953,584

468,616

FNMA,

12-month LIBOR + 1.765%, 3.765%, 2/01/2037(b)

472,509

357,387

FNMA,

1-year CMT + 2.213%, 3.779%, 4/01/2034(b)

363,943

754,919

FNMA,

6-month LIBOR + 2.265%, 3.786%, 7/01/2037(b)

796,979

46,808

FNMA,

12-month LIBOR + 1.754%, 3.795%, 1/01/2037(b)

47,664

171,971

FNMA,

12-month LIBOR + 1.800%, 3.800%, 3/01/2034(b)

181,545

355,892

FNMA,

12-month LIBOR + 1.800%, 3.800%, 12/01/2041(b)

358,976

253,735

FNMA,

12-month LIBOR + 1.682%, 3.801%, 11/01/2036(b)

266,112

1,138,235

FNMA,

12-month LIBOR + 1.805%, 3.806%, 3/01/2037(b)

1,204,881

427,903

FNMA,

1-year CMT + 2.185%, 3.810%, 1/01/2036(b)

446,325

1,009,160

FNMA,

12-month LIBOR + 1.820%, 3.820%, 2/01/2047(b)

1,076,678

1,426,981

FNMA,

1-year CMT + 2.175%, 3.918%, 12/01/2040(b)

1,487,944

1,911,371

FNMA,

1-year CMT + 2.222%, 3.930%, 4/01/2034(b)

1,997,397

533,163

FNMA,

1-year CMT + 2.164%, 3.934%, 6/01/2036(b)

557,534

1,139,667

FNMA,

12-month LIBOR + 1.725%, 3.940%, 9/01/2037(b)

1,200,995

152,037

FNMA,

12-month LIBOR + 1.731%, 3.943%, 11/01/2035(b)

159,753

920,950

FNMA,

12-month LIBOR + 1.596%, 3.960%, 9/01/2037(b)

959,595

317,635

FNMA,

1-year CMT + 2.135%, 3.967%, 9/01/2034(b)

331,085

198,283

FNMA,

1-year CMT + 2.185%, 4.040%, 12/01/2034(b)

198,605

2,842,445

FNMA,

1-year CMT + 2.189%, 4.048%, 10/01/2034(b)

2,965,880

Principal

Amount

Description

Value ()

Bonds and Notes continued

Hybrid ARMs continued

$

186,009

FNMA,

1-year CMT + 2.500%, 4.104%, 8/01/2036(b)

$

197,121

203,744

FNMA,

1-year CMT + 2.500%, 4.199%, 5/01/2035(b)

214,116

173,989

FNMA,

12-month LIBOR + 1.561%, 4.201%, 8/01/2035(b)

174,996

236,333

FNMA,

1-year CMT + 2.287%, 4.271%, 10/01/2033(b)

237,703

1,315,921

FNMA,

1-year CMT + 2.173%, 4.276%, 11/01/2033(b)

1,367,903

143,080

FNMA,

1-year CMT + 2.145%, 4.277%, 9/01/2036(b)

146,103

122,313

FNMA,

12-month LIBOR + 1.801%, 4.279%, 7/01/2041(b)

123,550

359,213

FNMA,

1-year CMT + 2.223%, 4.303%, 8/01/2035(b)

361,567

508,651

FNMA,

12-month LIBOR + 1.703%, 4.328%, 8/01/2034(b)

515,558

360,063

FNMA,

12-month LIBOR + 1.657%, 4.347%, 8/01/2038(b)

362,123

474,869

FNMA,

12-month LIBOR + 1.619%, 4.369%, 7/01/2038(b)

483,319

523,138

FNMA,

1-year CMT +2.287%, 4.445%, 6/01/2033(b)

523,713

1,016,662

FNMA,

1-year CMT + 2.273%, 4.648%, 6/01/2037(b)

1,059,831

63,409

FNMA,

1-year CMT + 2.440%, 4.815%, 8/01/2033(b)

63,628

43,785,301

Mortgage Related 2.8%

43,638

FHLMC,

3.000%, 10/01/2026

45,949

339,010

FHLMC,

4.000%, with various maturities from 2024 to 2042(f)

368,683

144,508

FHLMC,

4.500%, with various maturities from 2025 to 2034(f)

152,843

45,147

FHLMC,

5.500%, 10/01/2023

46,990

10,258

FHLMC,

COFI + 1.250%, 5.891%, 8/01/2020(b)

10,234

17,004

FHLMC,

COFI + 1.250%, 5.914%, 10/01/2020(b)

17,032

23,398

FHLMC,

COFI + 1.250%, 5.955%, 11/01/2020(b)

23,374

191,166

FHLMC,

6.500%, 12/01/2034

221,442

122

FHLMC,

7.500%, 6/01/2026

134

117,659

FNMA,

3.000%, 3/01/2042

127,959

1,082,395

FNMA,

5.000%, with various maturities from 2037 to 2038(f)

1,241,835

Principal

Amount

Description

Value ()

Bonds and Notes continued

Mortgage Related continued

$

463,141

FNMA,

5.500%, with various maturities from 2023 to 2033(f)

$

503,094

307,504

FNMA,

6.000%, with various maturities from 2021 to 2022(f)

319,780

161,620

FNMA,

6.500%, with various maturities from 2032 to 2037(f)

181,371

53,944

FNMA,

7.500%, with various maturities from 2030 to 2032(f)

59,745

2,383,480

GNMA,

1-month LIBOR + 1.740%, 2.738%, 2/20/2061(b)

2,470,594

1,947,872

GNMA,

1-month LIBOR + 1.890%, 2.879%, 2/20/2063(b)

2,018,637

2,318,916

GNMA,

1-month LIBOR + 2.159%, 3.150%, 3/20/2063(b)

2,402,787

758,176

GNMA,

1-month LIBOR + 2.244%, 3.233%, 6/20/2065(b)

812,241

766,186

GNMA,

1-month LIBOR + 2.267%, 3.252%, 5/20/2065(b)

820,017

1,185,297

GNMA,

1-month LIBOR + 2.356%, 3.347%, 2/20/2063(b)

1,234,663

388,417

GNMA,

4.056%, 3/20/2063(a)

393,641

1,090,784

GNMA,

4.152%, 6/20/2063(a)

1,117,826

232,480

GNMA,

4.165%, 2/20/2063(a)

235,435

401,074

GNMA,

4.213%, 12/20/2062(a)

406,408

386,218

GNMA,

4.220%, 11/20/2062(a)

391,431

33,956

GNMA,

4.289%, 12/20/2061(a)

37,372

13,245

GNMA,

4.326%, 8/20/2061(a)

14,809

13,999

GNMA,

4.438%, 8/20/2062(a)

14,698

3,217,466

GNMA,

4.475%, 10/20/2065(a)

3,574,823

244,718

GNMA,

4.523%, 4/20/2063(a)

250,945

369,654

GNMA,

4.578%, 7/20/2063(a)

408,320

1,748,612

GNMA,

4.599%, 2/20/2066(a)

1,937,547

2,006,850

GNMA,

4.624%, 3/20/2064(a)

2,194,295

24,767

GNMA,

4.630%, with various maturities from 2061 to 2062(a)(f)

25,418

21,156

GNMA,

4.640%, 4/20/2061(a)

21,725

321,664

GNMA,

4.641%, 1/20/2064(a)

354,539

13,778

GNMA,

4.644%, 2/20/2062(a)

14,488

Principal

Amount

Description

Value ()

Bonds and Notes continued

Mortgage Related continued

$

1,728,610

GNMA,

4.671%, 11/20/2063(a)

$

1,901,285

1,222,439

GNMA,

4.684%, 5/20/2064(a)

1,341,063

44,798

GNMA,

4.700%, with various maturities from 2061 to 2062(a)(f)

48,159

23,798

GNMA,

4.714%, 8/20/2061(a)

24,464

12,186

GNMA,

4.720%, 3/20/2061(a)

12,349

7,807

GNMA,

5.070%, 3/20/2062(a)

7,806

9,627

GNMA,

6.000%, 12/15/2031

11,235

39,642

GNMA,

6.500%, 5/15/2031

47,255

45,160

GNMA,

7.000%, 10/15/2028

50,884

27,917,624

Non-Agency Commercial Mortgage-Backed

Securities 2.0%

1,595,000

BANK, Series 2020-BN25, Class A5,

2.649%, 1/15/2063

1,725,343

1,310,000

Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2,

3.400%, 10/05/2030, 144A

1,270,258

1,488,000

Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5,

3.961%, 3/10/2047

1,611,187

4,282,000

Commercial Mortgage Pass Through Certificates, Series

2016-DC2, Class ASB,

3.550%, 2/10/2049

4,536,794

1,397,747

DBUBS Mortgage Trust, Series 2011-LC2A, Class A4,

4.537%, 7/10/2044, 144A

1,419,410

4,159,430

GS Mortgage Securities Trust, Series 2010-C2,

Class A2,

5.162%, 12/10/2043, 144A(a)

4,193,199

2,600,000

Hudsons Bay Simon JV Trust, Series 2015-HB7,

Class A7,

3.914%, 8/05/2034, 144A

2,323,054

1,040,000

Morgan Stanley Bank of America Merrill Lynch Trust, Series

2013-C8, Class A4,

3.134%, 12/15/2048

1,075,233

3,279,464

Starwood Retail Property Trust, Series 2014-STAR, Class A,

1-month LIBOR + 1.470%, 1.655%, 11/15/2027, 144A(b)

2,378,339

20,532,817

Treasuries 36.3%

19,295,000

U.S. Treasury Note,

0.125%, 5/31/2022

19,280,680

27,075,000

U.S. Treasury Note,

0.125%, 6/30/2022

27,058,078

12,760,000

U.S. Treasury Note,

0.250%, 6/30/2025

12,735,078

47,425,000

U.S. Treasury Note,

0.375%, 4/30/2025

47,639,895

4,600,000

U.S. Treasury Note,

0.500%, 3/31/2025

4,649,055

35,270,000

U.S. Treasury Note,

1.125%, 2/28/2022

35,827,982

Principal

Amount

Description

Value ()

Bonds and Notes continued

Treasuries continued

$

20,945,000

U.S. Treasury Note,

1.250%, 7/31/2023

$

21,634,712

5,000,000

U.S. Treasury Note,

1.375%, 9/30/2023

5,193,164

19,720,000

U.S. Treasury Note,

1.625%, 8/31/2022

20,339,331

8,460,000

U.S. Treasury Note,

1.750%, 6/30/2022

8,726,358

12,480,000

U.S. Treasury Note,

1.750%, 7/15/2022

12,881,213

12,605,000

U.S. Treasury Note,

1.750%, 9/30/2022

13,051,591

16,165,000

U.S. Treasury Note,

1.875%, 4/30/2022

16,666,999

11,470,000

U.S. Treasury Note,

2.000%, 2/15/2025

12,384,912

6,000,000

U.S. Treasury Note,

2.125%, 5/15/2022

6,218,672

6,915,000

U.S. Treasury Note,

2.250%, 1/31/2024

7,420,659

3,340,000

U.S. Treasury Note,

2.250%, 10/31/2024

3,628,466

67,520,000

U.S. Treasury Note,

2.875%, 10/31/2023

73,533,500

6,030,000

U.S. Treasury Note,

2.875%, 11/30/2023

6,578,118

9,955,000

U.S. Treasury Note,

2.875%, 7/31/2025

11,242,539

366,691,002

Total Bonds and Notes

(Identified Cost $933,085,004)

951,122,847

Short-Term Investments 4.4%

13,050,000

Federal Home Loan Bank Discount Notes,

0.025%, 7/08/2020(g)

13,049,696

16,895,000

Federal Home Loan Bank Discount Notes,

0.030%-0.090%, 7/06/2020(g)(h)

16,894,718

6,566,446

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2020 at 0.000% to be repurchased at $6,566,446 on 7/01/2020 collateralized by $6,222,300 U.S. Treasury

Note, 1.625% due 2/15/2026 valued at $6,697,830 including accrued interest(i)

6,566,446

8,100,000

U.S. Treasury Bills,

0.085%, 7/02/2020(g)

8,099,979

Total Short-Term Investments

(Identified Cost $44,611,193)

44,610,839

Total Investments 98.7%

(Identified Cost $977,696,197)

995,733,686

Other assets less liabilities 1.3%

12,682,444

Net Assets 100.0%

$

1,008,416,130

()

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 of

closed-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 issuers 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 Funds 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 Funds 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 Funds 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 June 30, 2020 is disclosed.

(b)

Variable rate security. Rate as of June 30, 2020 is disclosed.

(c)

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

(d)

Fair valued by the Funds adviser. At June 30, 2020, the value of these securities amounted to

$2,017,964 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 Funds 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 Funds 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.

(i)

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 Funds 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 Funds ability to dispose of the underlying securities. As of

June 30, 2020, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

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

June 30, 2020, the value of Rule 144A holdings amounted to $41,194,561 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

MTN

Medium Term Note

REMIC

Real Estate Mortgage Investment Conduit

SOFR

Secured Overnight Financing Rate

SOFR30A

Secured Overnight Financing Rate 30-Day Average

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 Funds 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 Funds 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 Funds investments as of June 30, 2020, at

value:

Asset Valuation Inputs

Description

Level 1

Level 2

Level 3

Total

Bonds and Notes

Collateralized Mortgage Obligations

$

$

181,301,076

$

2,017,964

(a)

$

183,319,040

All Other Bonds and Notes*

767,803,807

767,803,807

Total Bonds and Notes

949,104,883

2,017,964

951,122,847

Short-Term Investments

44,610,839

44,610,839

Total

$

$

993,715,722

$

2,017,964

$

995,733,686

*

Details of the major categories of the Funds investments are reflected within the Portfolio of

Investments.

(a)

Fair valued by the Funds adviser.

The Funds 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 Funds 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 Funds 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 June 30, 2020:

Asset Valuation Inputs

Investments in Securities

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

June 30, 2020

Change in Unrealized

Appreciation (Depreciation)

from Investments Still Held at

June 30, 2020

Bonds and Notes

Collateralized Mortgage Obligations

$

1,744,293

$

$

(213,734

)

$

224,632

$

634,734

$

(3,238,898

)

$

2,866,937

$

$

2,017,964

$

206,434

Debt securities valued at $2,866,937 were transferred from Level 2 to Level 3 during the period ended June 30,

2020. 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 Funds valuation policies. At June 30, 2020 these securities were

valued at fair value as determined in good faith by the Funds adviser as an independent pricing service did not provide a reliable price for the securities.

Industry Summary at June 30, 2020 (Unaudited)

Treasuries

36.3

%

Agency Commercial Mortgage-Backed Securities

26.1

Collateralized Mortgage Obligations

18.2

Hybrid ARMs

4.3

ABS Car Loan

3.3

Mortgage Related

2.8

Non-Agency Commercial Mortgage-Backed Securities

2.0

Other Investments, less than 2% each

1.3

Short-Term Investments

4.4

Total Investments

98.7

Other assets less liabilities

1.3

Net Assets

100.0

%