PORTFOLIO OF INVESTMENTS – as of September 30, 2021 (Unaudited)
Natixis Loomis Sayles Short Duration Income ETF
Principal | Description | Value (†) | ||||
Bonds and Notes – 99.4% of Net Assets |
| |||||
ABS Car Loan – 17.0% |
| |||||
$ 93,767 | American Credit Acceptance Receivables Trust, Series 2019-4, Class C, 2.690%, 12/12/2025, 144A(a) | $ | 94,542 | |||
5,629 | American Credit Acceptance Receivables Trust, Series 2020-1A, Class B, 2.080%, 12/13/2023, 144A | 5,635 | ||||
20,000 | American Credit Acceptance Receivables Trust, Series 2020-2, Class B, 2.480%, 9/13/2024, 144A(a) | 20,144 | ||||
5,000 | American Credit Acceptance Receivables Trust, Series 2020-3, Class B, 1.150%, 8/13/2024, 144A | 5,014 | ||||
10,000 | American Credit Acceptance Receivables Trust, Series 2020-4, Class C, 1.310%, 12/14/2026, 144A(a) | 10,082 | ||||
24,423 | American Credit Acceptance Receivables Trust, Series 2021-1, Class A, 0.350%, 5/13/2024, 144A | 24,431 | ||||
58,250 | American Credit Acceptance Receivables Trust, Series 2021-2, Class A, 0.370%, 10/15/2024, 144A | 58,278 | ||||
73,767 | American Credit Acceptance Receivables Trust, Series 2021-3, Class A, 0.330%, 6/13/2025, 144A | 73,782 | ||||
35,000 | American Credit Acceptance Receivables Trust, Series 2021-3, Class B, 0.660%, 2/13/2026, 144A | 35,036 | ||||
80,000 | American Credit Acceptance Receivables Trust, Series 2021-3, Class C, 0.980%, 11/15/2027, 144A | 79,941 | ||||
115,000 | AmeriCredit Automobile Receivables Trust, Series 2018-3, Class B, 3.580%, 10/18/2024(a) | 116,061 | ||||
20,000 | AmeriCredit Automobile Receivables Trust, Series 2019-2, Class B, 2.540%, 7/18/2024(a) | 20,290 | ||||
10,000 | AmeriCredit Automobile Receivables Trust, Series 2020-3, Class C, 1.060%, 8/18/2026 | 10,067 | ||||
85,000 | AmeriCredit Automobile Receivables Trust, Series 2021-1, Class A3, 0.370%, 8/18/2025 | 84,953 | ||||
50,000 | AmeriCredit Automobile Receivables Trust, Series 2021-2, Class A2, 0.260%, 11/18/2024 | 50,010 | ||||
20,000 | AmeriCredit Automobile Receivables Trust, Series 2021-2, Class B, 0.690%, 1/19/2027 | 19,960 | ||||
100,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A(a) | 106,591 | ||||
105,000 | BMW Vehicle Lease Trust, Series 2021-2, Class A2, 0.190%, 11/27/2023 | 104,943 | ||||
90,000 | Canadian Pacer Auto Receivables Trust, Series 2021-1A, Class A3, 0.500%, 10/20/2025, 144A | 89,951 | ||||
12,037 | CarMax Auto Owner Trust, Series 2019-3, Class A3, 2.180%, 8/15/2024(a) | 12,188 | ||||
20,000 | CarMax Auto Owner Trust, Series 2021-1, Class A3, 0.340%, 12/15/2025 | 19,993 | ||||
175,000 | CarMax Auto Owner Trust, Series 2021-3, Class A2A, 0.290%, 9/16/2024(a) | 175,041 | ||||
135,000 | CarMax Auto Owner Trust, Series 2021-3, Class A3, 0.550%, 6/15/2026 | 135,045 | ||||
35,000 | Carvana Auto Receivables Trust, Series 2020-P1, Class A3, 0.440%, 6/09/2025 | 35,041 | ||||
20,000 | Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.750%, 3/10/2028 | 19,949 |
Principal | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
ABS Car Loan – continued |
| |||||
$ 102,392 | Carvana Auto Receivables Trust, Series 2021-P1, Class A2, 0.280%, 3/11/2024 | $ | 102,399 | |||
140,000 | Carvana Auto Receivables Trust, Series 2021-P1, Class A3, 0.540%, 12/10/2025 | 140,250 | ||||
175,000 | Carvana Auto Receivables Trust, Series 2021-P2, Class A2, 0.300%, 7/10/2024(a) | 175,025 | ||||
85,000 | Carvana Auto Receivables Trust, Series 2021-P3, Class A3, 0.700%, 11/10/2026 | 84,932 | ||||
43,287 | CIG Auto Receivables Trust, Series 2020-1A, Class A, 0.680%, 10/12/2023, 144A(a) | 43,338 | ||||
415 | Drive Auto Receivables Trust, Series 2019-3, Class B, 2.650%, 2/15/2024 | 415 | ||||
30,000 | Drive Auto Receivables Trust, Series 2021-1, Class B, 0.650%, 7/15/2025 | 30,079 | ||||
60,000 | Drive Auto Receivables Trust, Series 2021-2, Class B, 0.580%, 12/15/2025 | 60,013 | ||||
13,921 | DT Auto Owner Trust, Series 2019-1A, Class C, 3.610%, 11/15/2024, 144A(a) | 13,993 | ||||
29,517 | DT Auto Owner Trust, Series 2019-2A, Class C, 3.180%, 2/18/2025, 144A(a) | 29,795 | ||||
5,236 | DT Auto Owner Trust, Series 2019-4A, Class B, 2.360%, 1/16/2024, 144A | 5,250 | ||||
10,000 | DT Auto Owner Trust, Series 2020-1A, Class B, 2.160%, 5/15/2024, 144A | 10,069 | ||||
15,000 | DT Auto Owner Trust, Series 2020-2A, Class C, 3.280%, 3/16/2026, 144A(a) | 15,564 | ||||
17,585 | DT Auto Owner Trust, Series 2020-3A, Class A, 0.540%, 4/15/2024, 144A(a) | 17,610 | ||||
35,000 | DT Auto Owner Trust, Series 2020-3A, Class C, 1.470%, 6/15/2026, 144A(a) | 35,415 | ||||
31,541 | DT Auto Owner Trust, Series 2021-1A, Class A, 0.350%, 1/15/2025, 144A | 31,559 | ||||
25,000 | DT Auto Owner Trust, Series 2021-2A, Class B, 0.810%, 1/15/2027, 144A | 25,063 | ||||
164,234 | DT Auto Owner Trust, Series 2021-3A, Class A, 0.330%, 4/15/2025, 144A | 164,261 | ||||
90,000 | Enterprise Fleet Financing LLC, Series 2021-2, Class A2, 0.480%, 5/20/2027, 144A | 89,857 | ||||
10,324 | Exeter Automobile Receivables Trust, Series 2020-1A, Class B, 2.260%, 4/15/2024, 144A(a) | 10,354 | ||||
25,000 | Exeter Automobile Receivables Trust, Series 2020-2A, Class C, 3.280%, 5/15/2025, 144A(a) | 25,651 | ||||
30,000 | Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.320%, 7/15/2025(a) | 30,295 | ||||
17,506 | Exeter Automobile Receivables Trust, Series 2021-1A, Class A2, 0.300%, 6/15/2023 | 17,506 | ||||
32,150 | Exeter Automobile Receivables Trust, Series 2021-2A, Class A2, 0.270%, 1/16/2024 | 32,154 | ||||
30,000 | Exeter Automobile Receivables Trust, Series 2021-2A, Class B, 0.570%, 9/15/2025 | 30,039 | ||||
1,134 | First Investors Auto Owner Trust, Series 2019-1A, Class A, 2.890%, 3/15/2024, 144A(a) | 1,135 | ||||
8,702 | First Investors Auto Owner Trust, Series 2019-2A, Class A, 2.210%, 9/16/2024, 144A(a) | 8,741 |
Principal | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
ABS Car Loan – continued |
| |||||
$ 18,711 | First Investors Auto Owner Trust, Series 2021-1A, Class A, 0.450%, 3/16/2026, 144A | $ | 18,720 | |||
17,167 | Flagship Credit Auto Trust, Series 2018-4, Class B, 3.880%, 10/16/2023, 144A(a) | 17,235 | ||||
10,000 | Flagship Credit Auto Trust, Series 2020-2, Class C, 3.800%, 4/15/2026, 144A(a) | 10,434 | ||||
15,000 | Flagship Credit Auto Trust, Series 2020-4, Class C, 1.280%, 2/16/2027, 144A(a) | 15,120 | ||||
46,409 | Flagship Credit Auto Trust, Series 2021-1, Class A, 0.310%, 6/16/2025, 144A | 46,401 | ||||
30,000 | Flagship Credit Auto Trust, Series 2021-2, Class B, 0.930%, 6/15/2027, 144A | 30,058 | ||||
65,000 | Flagship Credit Auto Trust, Series 2021-2, Class C, 1.270%, 6/15/2027, 144A | 64,998 | ||||
26,618 | Ford Credit Auto Lease Trust, Series 2020-A, Class A3, 1.850%, 3/15/2023(a) | 26,707 | ||||
55,000 | Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025 | 54,905 | ||||
105,000 | Foursight Capital Automobile Receivables Trust, Series 2021-2, Class A3, 0.810%, 5/15/2026, 144A(a) | 104,934 | ||||
35,000 | GLS Auto Receivables Issuer Trust, Series 2019-4A, Class B, 2.780%, 9/16/2024, 144A(a) | 35,516 | ||||
65,000 | GLS Auto Receivables Issuer Trust, Series 2020-3A, Class B, 1.380%, 8/15/2024, 144A(a) | 65,365 | ||||
5,602 | GLS Auto Receivables Trust, Series 2018-3A, Class B, 3.780%, 8/15/2023, 144A(a) | 5,621 | ||||
40,000 | GM Financial Automobile Leasing Trust, Series 2020-3, Class A3, 0.450%, 8/21/2023(a) | 40,065 | ||||
160,000 | GM Financial Automobile Leasing Trust, Series 2021-2, Class A2, 0.220%, 7/20/2023 | 160,031 | ||||
80,000 | GM Financial Automobile Leasing Trust, Series 2021-2, Class A3, 0.340%, 5/20/2024 | 79,993 | ||||
6,547 | GM Financial Consumer Automobile Receivables Trust, Series 2018-2, Class A3, 2.810%, 12/16/2022(a) | 6,561 | ||||
30,697 | GM Financial Consumer Automobile Receivables Trust, Series 2019-3, Class A3, 2.180%, 4/16/2024(a) | 30,987 | ||||
20,000 | GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025 | 20,000 | ||||
170,000 | GM Financial Consumer Automobile Receivables Trust, Series 2021-3, Class A2, 0.210%, 8/16/2024 | 170,150 | ||||
195,000 | GM Financial Leasing Trust, Series 2021-1, Class A3, 0.260%, 2/20/2024(a) | 194,962 | ||||
27,923 | Harley-Davidson Motorcycle Trust, Series 2020-A, Class A3, 1.870%, 10/15/2024(a) | 28,182 | ||||
35,000 | Harley-Davidson Motorcycle Trust, Series 2021-A, Class A3, 0.370%, 4/15/2026 | 35,014 | ||||
70,000 | Honda Auto Receivables Owner Trust, Series 2020-3, Class A3, 0.370%, 10/18/2024(a) | 70,100 | ||||
30,000 | Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025 | 29,979 | ||||
155,000 | Honda Auto Receivables Owner Trust, Series 2021-2, Class A2, 0.170%, 11/15/2023 | 155,029 | ||||
160,000 | Hyundai Auto Lease Securitization Trust, Series 2021-B, Class A2, 0.190%, 10/16/2023, 144A | 159,979 |
Principal | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
ABS Car Loan – continued |
| |||||
$ 135,000 | Hyundai Auto Receivables Trust, Series 2021-B, Class A2, 0.240%, 5/15/2024 | $ | 135,061 | |||
165,000 | Mercedes-Benz Auto Lease Trust, Series 2021-B, Class A2, 0.220%, 1/16/2024 | 165,007 | ||||
60,000 | Mercedes-Benz Auto Lease Trust, Series 2021-B, Class A3, 0.400%, 11/15/2024 | 59,978 | ||||
100,000 | NextGear Floorplan Master Owner Trust, Series 2020-1A, Class A2, 1.550%, 2/15/2025, 144A(a) | 101,547 | ||||
145,000 | NextGear Floorplan Master Owner Trust, Series 2021-1A, Class A, 0.850%, 7/15/2026, 144A | 144,894 | ||||
38,515 | Nissan Auto Lease Trust, Series 2020-A, Class A3, 1.840%, 1/17/2023(a) | 38,693 | ||||
50,000 | Nissan Auto Lease Trust, Series 2020-B, Class A3, 0.430%, 10/16/2023(a) | 50,084 | ||||
175,000 | Nissan Auto Receivables Owner Trust, Series 2021-A, Class A2, 0.160%, 2/15/2024 | 174,988 | ||||
70,000 | Prestige Auto Receivables Trust, Series 2020-1A, Class C, 1.310%, 11/16/2026, 144A(a) | 70,454 | ||||
25,000 | Santander Consumer Auto Receivables Trust, Series 2020-AA, Class C, 3.710%, 2/17/2026, 144A(a) | 26,112 | ||||
24,868 | Santander Drive Auto Receivables Trust, Series 2019-2, Class C, 2.900%, 10/15/2024(a) | 25,043 | ||||
10,000 | Santander Drive Auto Receivables Trust, Series 2020-2, Class B, 0.960%, 11/15/2024(a) | 10,039 | ||||
65,000 | Santander Drive Auto Receivables Trust, Series 2020-3, Class C, 1.120%, 1/15/2026(a) | 65,410 | ||||
40,000 | Santander Drive Auto Receivables Trust, Series 2020-4, Class C, 1.010%, 1/15/2026(a) | 40,258 | ||||
75,000 | Santander Drive Auto Receivables Trust, Series 2021-1, Class A3, 0.320%, 9/16/2024 | 75,043 | ||||
60,000 | Santander Drive Auto Receivables Trust, Series 2021-2, Class A3, 0.340%, 2/18/2025 | 60,032 | ||||
45,000 | Santander Drive Auto Receivables Trust, Series 2021-2, Class C, 0.900%, 6/15/2026 | 45,158 | ||||
90,000 | Santander Drive Auto Receivables Trust, Series 2021-3, Class B, 0.600%, 12/15/2025 | 90,098 | ||||
70,000 | Santander Drive Auto Receivables Trust, Series 2021-3, Class C, 0.950%, 9/15/2027 | 70,127 | ||||
160,000 | Santander Retail Auto Lease Trust, Series 2021-B, Class A2, 0.310%, 1/22/2024, 144A | 159,957 | ||||
160,000 | Santander Retail Auto Lease Trust, Series 2021-B, Class A3, 0.510%, 8/20/2024, 144A | 159,973 | ||||
95,000 | Toyota Auto Receivables Owner Trust, Series 2021-C, Class A3, 0.430%, 1/15/2026 | 94,939 | ||||
11,117 | USAA Auto Owner Trust, Series 2019-1, Class A3, 2.160%, 7/17/2023(a) | 11,153 | ||||
25,000 | Westlake Automobile Receivables Trust, Series 2020-2A, Class C, 2.010%, 7/15/2025, 144A(a) | 25,458 | ||||
15,000 | Westlake Automobile Receivables Trust, Series 2020-3A, Class C, 1.240%, 11/17/2025, 144A(a) | 15,141 | ||||
75,000 | Westlake Automobile Receivables Trust, Series 2021-2A, Class A2A, 0.320%, 4/15/2025, 144A | 75,018 | ||||
45,000 | Westlake Automobile Receivables Trust, Series 2021-2A, Class B, 0.620%, 7/15/2026, 144A | 44,992 |
Principal | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
ABS Car Loan – continued |
| |||||
$ 17,802 | World Omni Auto Receivables Trust, Series 2018-B, Class A3, 2.870%, 7/17/2023(a) | $ | 17,888 | |||
80,000 | World Omni Auto Receivables Trust, Series 2020-A, Class A3, 1.700%, 1/17/2023(a) | 80,848 | ||||
65,000 | World Omni Auto Receivables Trust, Series 2021-B, Class A3, 0.420%, 6/15/2026 | 64,925 | ||||
95,000 | World Omni Auto Receivables Trust, Series 2021-C, Class A2, 0.220%, 9/16/2024 | 94,977 | ||||
175,000 | World Omni Automobile Lease Securitization Trust, Series 2021-A, Class A2, 0.210%, 4/15/2024 | 174,928 | ||||
35,000 | World Omni Select Auto Trust, Series 2020-A, Class A3, 0.550%, 7/15/2025(a) | 35,054 | ||||
40,000 | World Omni Select Auto Trust, Series 2021-A, Class B, 0.850%, 8/16/2027 | 39,883 | ||||
|
| |||||
6,857,936 | ||||||
|
| |||||
ABS Credit Card – 0.7% |
| |||||
170,000 | Capital One Multi-Asset Execution Trust, Series 2021-A1, Class A1, 0.550%, 7/15/2026 | 169,777 | ||||
110,000 | World Financial Network Credit Card Master Trust, Series 2019-C, Class A, 2.210%, 7/15/2026(a) | 112,075 | ||||
|
| |||||
281,852 | ||||||
|
| |||||
ABS Other – 2.0% |
| |||||
175,000 | CNH Equipment Trust, Series 2021-B, Class A2, 0.220%, 8/15/2024(a) | 174,948 | ||||
135,000 | DLLAA LLC, Series 2021-1A, Class A2, 0.360%, 5/17/2024, 144A | 135,091 | ||||
77,604 | GLS Auto Receivables Trust, Series 2021-2A, Class A, 0.310%, 11/15/2024, 144A | 77,652 | ||||
45,000 | GreatAmerica Leasing Receivables Funding LLC, Series 2021-1, Class A2, 0.270%, 6/15/2023, 144A | 45,007 | ||||
170,000 | HPEFS Equipment Trust, Series 2021-2A, Class AC, 0.300%, 9/20/2028, 144A | 170,131 | ||||
175,000 | Kubota Credit Owner Trust, Series 2021-2A, Class A2, 0.260%, 6/17/2024, 144A(a) | 175,074 | ||||
11,404 | OneMain Financial Issuance Trust, Series 2015-3A, Class A, 3.630%, 11/20/2028, 144A(a) | 11,418 | ||||
|
| |||||
789,321 | ||||||
|
| |||||
ABS Student Loan – 0.6% |
| |||||
171,909 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class A, 0.970%, 12/16/2069, 144A | 171,076 | ||||
61,187 | SoFi Professional Loan Program LLC, Series 2015-D, Class A2, 2.720%, 10/27/2036, 144A(a) | 61,600 | ||||
20,611 | SoFi Professional Loan Program Trust, Series 2020-A, Class A1FX, 2.060%, 5/15/2046, 144A(a) | 20,650 | ||||
|
| |||||
253,326 | ||||||
|
| |||||
Aerospace & Defense – 0.2% |
| |||||
20,000 | Boeing Co. (The), 4.875%, 5/01/2025 | 22,258 | ||||
20,000 | Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 21,661 |
Principal | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Aerospace & Defense – continued |
| |||||
$ 40,000 | Raytheon Technologies Corp., 1.900%, 9/01/2031 | $ | 38,813 | |||
2,000 | Raytheon Technologies Corp., 3.650%, 8/16/2023 | 2,113 | ||||
|
| |||||
84,845 | ||||||
|
| |||||
Agency Commercial Mortgage-Backed Securities – 0.2% |
| |||||
49,302 | FHLMC Multifamily Structured Pass Through Certificates, Series KF81, Class AL, 1-month LIBOR + 0.360%, 0.443%, 6/25/2027(a)(b) | 49,613 | ||||
35,856 | FHLMC Multifamily Structured Pass Through Certificates, Series KF81, Class AS, 30-day Average SOFR + 0.400%, 0.450%, 6/25/2027(a)(b) | 35,969 | ||||
7,321 | FHLMC Multifamily Structured Pass Through Certificates, Series KJ28, Class A1, 1.766%, 2/25/2025(a) | 7,390 | ||||
|
| |||||
92,972 | ||||||
|
| |||||
Airlines – 0.2% |
| |||||
55,000 | Southwest Airlines Co., 5.250%, 5/04/2025 | 62,100 | ||||
15,000 | United Airlines, Inc., 4.375%, 4/15/2026, 144A | 15,394 | ||||
|
| |||||
77,494 | ||||||
|
| |||||
Automotive – 2.2% |
| |||||
40,000 | American Honda Finance Corp., MTN, 0.650%, 9/08/2023(a) | 40,153 | ||||
85,000 | American Honda Finance Corp., MTN, 1.300%, 9/09/2026 | 84,889 | ||||
55,000 | BMW U.S. Capital LLC, 3.450%, 4/12/2023, 144A(a) | 57,435 | ||||
60,000 | General Motors Financial Co., Inc., 2.900%, 2/26/2025 | 62,950 | ||||
30,000 | Goodyear Tire & Rubber Co. (The), 5.625%, 4/30/2033 | 32,700 | ||||
25,000 | Harley-Davidson Financial Services, Inc., 3.350%, 6/08/2025, 144A | 26,547 | ||||
30,000 | Harley-Davidson Financial Services, Inc., 4.050%, 2/04/2022, 144A(a) | 30,364 | ||||
75,000 | Hyundai Capital America, 0.875%, 6/14/2024, 144A | 74,605 | ||||
65,000 | Hyundai Capital America, 2.100%, 9/15/2028, 144A | 64,060 | ||||
40,000 | Hyundai Capital America, 2.375%, 2/10/2023, 144A | 40,881 | ||||
25,000 | PACCAR Financial Corp., MTN, 1.900%, 2/07/2023(a) | 25,517 | ||||
15,000 | PACCAR Financial Corp., MTN, 2.000%, 9/26/2022 | 15,275 | ||||
145,000 | Toyota Motor Corp., 0.681%, 3/25/2024 | 145,180 | ||||
120,000 | Toyota Motor Credit Corp., 1.900%, 9/12/2031 | 117,803 |
Principal | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Automotive – continued |
| |||||
$ 50,000 | Toyota Motor Credit Corp., MTN, 0.450%, 7/22/2022(a) | $ | 50,098 | |||
|
| |||||
868,457 | ||||||
|
| |||||
Banking – 8.5% |
| |||||
80,000 | Ally Financial, Inc., 3.050%, 6/05/2023 | 82,994 | ||||
75,000 | American Express Co., 3.700%, 11/05/2021(a) | 75,007 | ||||
125,000 | Bank of America Corp., (fixed rate to 1/20/2022, variable rate thereafter), MTN, 3.124%, 1/20/2023(a) | 126,039 | ||||
35,000 | Bank of Montreal, SOFR + 0.350%, 0.400%, 12/08/2023(a)(b) | 35,118 | ||||
65,000 | Bank of Montreal, MTN, 2.900%, 3/26/2022(a) | 65,858 | ||||
35,000 | Bank of New York Mellon Corp. (The), MTN, 1.600%, 4/24/2025(a) | 35,777 | ||||
145,000 | Bank of Nova Scotia (The), 0.700%, 4/15/2024 | 145,007 | ||||
55,000 | Bank of Nova Scotia (The), 1.950%, 2/01/2023(a) | 56,172 | ||||
15,000 | Canadian Imperial Bank of Commerce, 0.950%, 6/23/2023(a) | 15,124 | ||||
70,000 | Canadian Imperial Bank of Commerce, (fixed rate to 7/22/2022, variable rate thereafter), 2.606%, 7/22/2023(a) | 71,236 | ||||
85,000 | Capital One Financial Corp., 3.200%, 1/30/2023(a) | 88,002 | ||||
45,000 | Capital One Financial Corp., (fixed rate to 7/29/2031, variable rate thereafter), 2.359%, 7/29/2032 | 44,056 | ||||
80,000 | Citigroup, Inc., (fixed rate to 1/24/2022, variable rate thereafter), 3.142%, 1/24/2023(a) | 80,673 | ||||
15,000 | Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025 | 15,049 | ||||
75,000 | Comerica, Inc., 3.700%, 7/31/2023(a) | 79,211 | ||||
200,000 | Commonwealth Bank of Australia, 1.125%, 6/15/2026, 144A | 199,017 | ||||
150,000 | Deutsche Bank AG, (fixed rate to 4/01/2024, variable rate thereafter), 1.447%, 4/01/2025 | 151,036 | ||||
50,000 | Fifth Third Bancorp, 2.600%, 6/15/2022(a) | 50,718 | ||||
85,000 | Goldman Sachs Group, Inc. (The), (fixed rate to 11/17/2022, variable rate thereafter), 0.627%, 11/17/2023(a) | 85,074 | ||||
95,000 | Goldman Sachs Group, Inc. (The), Series FXD, 0.481%, 1/27/2023 | 95,015 | ||||
15,000 | JPMorgan Chase & Co., (fixed rate to 2/16/2024, variable rate thereafter), 0.563%, 2/16/2025 | 14,938 | ||||
110,000 | JPMorgan Chase & Co., (fixed rate to 4/01/2022, variable rate thereafter), 3.207%, 4/01/2023(a) | 111,538 | ||||
145,000 | JPMorgan Chase & Co., (fixed rate to 6/23/2024, variable rate thereafter), 0.969%, 6/23/2025 | 145,178 |
Principal | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Banking – continued |
| |||||
$ 80,000 | Macquarie Bank Ltd., 2.100%, 10/17/2022, 144A(a) | $ | 81,532 | |||
110,000 | Mitsubishi UFJ Financial Group, Inc., 2.665%, 7/25/2022(a) | 112,138 | ||||
120,000 | Morgan Stanley, (fixed rate to 1/25/2023, variable rate thereafter), MTN, 0.529%, 1/25/2024 | 120,086 | ||||
160,000 | Morgan Stanley, (fixed rate to 5/30/2024, variable rate thereafter), 0.790%, 5/30/2025 | 159,509 | ||||
120,000 | Royal Bank of Canada, 0.650%, 7/29/2024 | 119,746 | ||||
60,000 | Royal Bank of Canada, GMTN, SOFR + 0.300%, 0.350%, 1/19/2024(b) | 60,162 | ||||
55,000 | Santander Holdings USA, Inc., 3.450%, 6/02/2025 | 58,891 | ||||
55,000 | State Street Corp., (fixed rate to 3/30/2025, variable rate thereafter), 2.901%, 3/30/2026(a) | 58,348 | ||||
200,000 | Sumitomo Mitsui Financial Group, Inc., 1.902%, 9/17/2028 | 197,652 | ||||
65,000 | Synchrony Financial, 2.850%, 7/25/2022 | 66,181 | ||||
15,000 | Synchrony Financial, 4.375%, 3/19/2024 | 16,187 | ||||
40,000 | Toronto-Dominion Bank (The), MTN, SOFR + 0.240%, 0.290%, 1/06/2023(b) | 40,077 | ||||
130,000 | Toronto-Dominion Bank (The), MTN, 1.250%, 9/10/2026 | 129,060 | ||||
95,000 | Truist Financial Corp., 2.700%, 1/27/2022(a) | 95,552 | ||||
40,000 | Truist Financial Corp., MTN, 3.050%, 6/20/2022(a) | 40,718 | ||||
160,000 | Wells Fargo & Co., MTN, (fixed rate to 5/19/2024, variable rate thereafter), 0.805%, 5/19/2025 | 160,208 | ||||
25,000 | Westpac Banking Corp., 2.800%, 1/11/2022(a) | 25,182 | ||||
|
| |||||
3,409,066 | ||||||
|
| |||||
Brokerage – 1.1% |
| |||||
80,000 | Ameriprise Financial, Inc., 3.000%, 3/22/2022(a) | 81,010 | ||||
175,000 | Blackstone Holdings Finance Co. LLC, 1.625%, 8/05/2028, 144A | 171,018 | ||||
175,000 | Blackstone Private Credit Fund, 1.750%, 9/15/2024, 144A | 174,769 | ||||
|
| |||||
426,797 | ||||||
|
| |||||
Building Materials – 0.1% |
| |||||
30,000 | Masonite International Corp., 3.500%, 2/15/2030, 144A | 29,775 | ||||
|
| |||||
Cable Satellite – 0.4% |
| |||||
110,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A | 108,969 |
Principal | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Cable Satellite – continued |
| |||||
$ 60,000 | Sirius XM Radio, Inc., 3.875%, 9/01/2031, 144A | $ | 58,612 | |||
|
| |||||
167,581 | ||||||
|
| |||||
Chemicals – 0.5% |
| |||||
60,000 | Ashland LLC, 3.375%, 9/01/2031, 144A | 60,525 | ||||
90,000 | Chemours Co. (The), 4.625%, 11/15/2029, 144A | 87,876 | ||||
45,000 | LYB International Finance III LLC, 3-month LIBOR + 1.000%, 1.131%, 10/01/2023(b) | 45,026 | ||||
|
| |||||
193,427 | ||||||
|
| |||||
Collateralized Mortgage Obligations – 1.3% |
| |||||
115,667 | Government National Mortgage Association, Series 2019-H13, Class FT, 1-year CMT + 0.450%, 0.520%, 8/20/2069(a)(b) | 115,576 | ||||
1,047 | Government National Mortgage Association, Series 2011-H23, Class HA, 3.000%, 12/20/2061(a)(c)(d) | 1,090 | ||||
998 | Government National Mortgage Association, Series 2012-H28, Class FA, 1-month LIBOR + 0.580%, 0.670%, 9/20/2062(a)(b)(c)(d) | 991 | ||||
4,518 | Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(a)(c)(d) | 4,528 | ||||
485 | Government National Mortgage Association, Series 2013-H10, Class LA, 2.500%, 4/20/2063(a)(c)(d) | 509 | ||||
10,379 | Government National Mortgage Association, Series 2013-H11, Class JA, 3.500%, 4/20/2063(a)(c)(d) | 10,602 | ||||
21,914 | Government National Mortgage Association, Series 2016-H13, Class FT, 1-month LIBOR + 0.580%, 0.670%, 5/20/2066(a)(b)(c)(d) | 21,874 | ||||
9,187 | Government National Mortgage Association, Series 2018-H02, Class FJ, 1-month LIBOR + 0.200%, 0.290%, 10/20/2064(a)(b) | 9,180 | ||||
49,573 | Government National Mortgage Association, Series 2019-H01, Class FJ, 1-month LIBOR + 0.300%, 0.390%, 9/20/2068(a)(b) | 49,560 | ||||
41,207 | Government National Mortgage Association, Series 2019-H01, Class FT, 1-month LIBOR + 0.400%, 0.490%, 10/20/2068(a)(b) | 41,257 | ||||
58,038 | Government National Mortgage Association, Series 2019-H0A, Class FT, 1-year CMT + 0.430%, 0.500%, 4/20/2069(a)(b) | 58,096 | ||||
199,381 | Government National Mortgage Association, Series 2020-HO1, Class FT, 1-year CMT + 0.500%, 0.610%, 1/20/2070(a)(b) | 200,055 | ||||
|
| |||||
513,318 | ||||||
|
| |||||
Construction Machinery – 0.5% |
| |||||
75,000 | Caterpillar Financial Services Corp., MTN, 1.950%, 11/18/2022(a) | 76,423 | ||||
80,000 | CNH Industrial Capital LLC, 1.950%, 7/02/2023 | 81,774 | ||||
30,000 | John Deere Capital Corp., MTN, 2.950%, 4/01/2022(a) | 30,407 | ||||
|
| |||||
188,604 | ||||||
|
| |||||
Consumer Cyclical Services – 0.1% |
| |||||
31,000 | Expedia Group, Inc., 6.250%, 5/01/2025, 144A | 35,741 | ||||
|
|
Principal | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Consumer Products – 0.2% |
| |||||
$ 30,000 | Newell Brands, Inc., 4.350%, 4/01/2023 | $ | 31,240 | |||
65,000 | Tempur Sealy International, Inc., 3.875%, 10/15/2031, 144A | 65,081 | ||||
|
| |||||
96,321 | ||||||
|
| |||||
Diversified Manufacturing – 0.5% |
| |||||
35,000 | Amphenol Corp., 2.050%, 3/01/2025 | 36,115 | ||||
35,000 | Honeywell International, Inc., 1.850%, 11/01/2021(a) | 35,041 | ||||
55,000 | Johnson Controls International PLC/Tyco Fire & Security Finance SCA, 2.000%, 9/16/2031 | 53,562 | ||||
85,000 | Otis Worldwide Corp., 3-month LIBOR + 0.450%, 0.595%, 4/05/2023(b) | 84,934 | ||||
|
| |||||
209,652 | ||||||
|
| |||||
Electric – 4.1% |
| |||||
45,000 | AES Corp. (The), 3.300%, 7/15/2025, 144A | 47,800 | ||||
25,000 | Alliant Energy Finance LLC, 3.750%, 6/15/2023, 144A | 26,211 | ||||
65,000 | American Electric Power Co., Inc., Series A, 3-month LIBOR + 0.480%, 0.606%, 11/01/2023(b) | 65,042 | ||||
140,000 | Clearway Energy Operating LLC, 3.750%, 1/15/2032, 144A | 140,259 | ||||
85,000 | Consolidated Edison, Inc., Series A, 0.650%, 12/01/2023 | 84,908 | ||||
30,000 | Dominion Energy, Inc., 3.071%, 8/15/2024 | 31,710 | ||||
65,000 | Dominion Energy, Inc., Series D, 3-month LIBOR + 0.530%, 0.646%, 9/15/2023(b) | 65,015 | ||||
5,000 | Edison International, 4.950%, 4/15/2025 | 5,505 | ||||
200,000 | Entergy Louisiana LLC, 0.950%, 10/01/2024 | 200,050 | ||||
45,000 | Eversource Energy, Series N, 3.800%, 12/01/2023(a) | 47,952 | ||||
125,000 | NextEra Energy Capital Holdings, Inc., 3-month LIBOR + 0.270%, 0.401%, 2/22/2023(b) | 125,011 | ||||
120,000 | NRG Energy, Inc., 3.875%, 2/15/2032, 144A | 118,650 | ||||
45,000 | Pacific Gas & Electric Co., 3-month LIBOR + 1.375%, 1.500%, 11/15/2021(b) | 45,018 | ||||
35,000 | Pacific Gas & Electric Co., 3.000%, 6/15/2028 | 35,616 | ||||
35,000 | PSEG Power LLC, 3.850%, 6/01/2023 | 36,818 | ||||
75,000 | Southern California Edison Co., Series D, 3-month LIBOR + 0.270%, 0.389%, 12/03/2021(a)(b) | 75,009 | ||||
65,000 | Southern California Edison Co., 0.700%, 8/01/2023 | 65,101 | ||||
65,000 | Southern California Edison Co., 1.100%, 4/01/2024 | 65,314 |
Principal | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Electric – continued |
| |||||
$ 85,000 | Southern Co. (The), Series 21-A, 0.600%, 2/26/2024 | $ | 84,826 | |||
75,000 | Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A | 79,094 | ||||
110,000 | WEC Energy Group, Inc., 0.800%, 3/15/2024 | 110,340 | ||||
90,000 | Xcel Energy, Inc., 0.500%, 10/15/2023 | 90,101 | ||||
|
| |||||
1,645,350 | ||||||
|
| |||||
Finance Companies – 1.8% |
| |||||
80,000 | Air Lease Corp., 0.800%, 8/18/2024 | 79,518 | ||||
40,000 | Air Lease Corp., MTN, 0.700%, 2/15/2024 | 39,748 | ||||
40,000 | Aircastle Ltd., 2.850%, 1/26/2028, 144A | 40,510 | ||||
85,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 86,107 | ||||
70,000 | Aviation Capital Group LLC, 3.875%, 5/01/2023, 144A | 73,042 | ||||
35,000 | Avolon Holdings Funding Ltd., 5.500%, 1/15/2026, 144A | 39,235 | ||||
10,000 | FS KKR Capital Corp., 4.125%, 2/01/2025 | 10,685 | ||||
15,000 | FS KKR Capital Corp., 4.250%, 2/14/2025, 144A | 15,844 | ||||
35,000 | Hercules Capital, Inc., 2.625%, 9/16/2026 | 34,989 | ||||
100,000 | Main Street Capital Corp., 3.000%, 7/14/2026 | 101,997 | ||||
65,000 | Oaktree Specialty Lending Corp., 3.500%, 2/25/2025 | 68,085 | ||||
25,000 | Owl Rock Capital Corp., 3.400%, 7/15/2026 | 26,036 | ||||
30,000 | Owl Rock Capital Corp., 3.750%, 7/22/2025 | 31,549 | ||||
95,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 94,287 | ||||
|
| |||||
741,632 | ||||||
|
| |||||
Financial Other – 0.5% |
| |||||
70,000 | Blackstone Secured Lending Fund, 2.850%, 9/30/2028, 144A | 69,526 | ||||
55,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 57,063 | ||||
85,000 | ORIX Corp., 2.900%, 7/18/2022(a) | 86,732 | ||||
|
| |||||
213,321 | ||||||
|
| |||||
Food & Beverage – 0.9% |
| |||||
35,000 | Bunge Ltd. Finance Corp., 4.350%, 3/15/2024 | 37,844 |
Principal | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Food & Beverage – continued |
| |||||
$ 55,000 | J M Smucker Co. (The), 2.125%, 3/15/2032 | $ | 53,687 | |||
60,000 | Keurig Dr Pepper, Inc., 0.750%, 3/15/2024 | 60,046 | ||||
80,000 | Mondelez International, Inc., 0.625%, 7/01/2022 | 80,227 | ||||
45,000 | Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A | 45,770 | ||||
75,000 | Sysco Corp., 5.650%, 4/01/2025 | 86,260 | ||||
|
| |||||
363,834 | ||||||
|
| |||||
Gaming – 0.2% |
| |||||
65,000 | GLP Capital LP/GLP Financing II, Inc., 5.250%, 6/01/2025 | 72,480 | ||||
|
| |||||
Government Owned - No Guarantee – 0.5% |
| |||||
200,000 | NBN Co. Ltd., 0.875%, 10/08/2024, 144A | 199,311 | ||||
|
| |||||
Health Insurance – 0.4% |
| |||||
40,000 | Centene Corp., 2.625%, 8/01/2031 | 39,730 | ||||
125,000 | Humana, Inc., 0.650%, 8/03/2023 | 125,081 | ||||
|
| |||||
164,811 | ||||||
|
| |||||
Healthcare – 1.0% |
| |||||
55,000 | Cigna Corp., 3.750%, 7/15/2023(a) | 58,136 | ||||
20,000 | CVS Health Corp., 3.700%, 3/09/2023 | 20,885 | ||||
145,000 | Illumina, Inc., 0.550%, 3/23/2023 | 145,008 | ||||
175,000 | Universal Health Services, Inc., 1.650%, 9/01/2026, 144A | 173,973 | ||||
|
| |||||
398,002 | ||||||
|
| |||||
Home Construction – 0.1% |
| |||||
20,000 | Forestar Group, Inc., 3.850%, 5/15/2026, 144A | 19,975 | ||||
|
| |||||
Independent Energy – 0.4% |
| |||||
30,000 | Diamondback Energy, Inc., 0.900%, 3/24/2023 | 29,991 | ||||
55,000 | EQT Corp., 6.625%, 2/01/2025 | 62,950 | ||||
50,000 | Pioneer Natural Resources Co., 0.550%, 5/15/2023 | 50,051 | ||||
|
| |||||
142,992 | ||||||
|
| |||||
Industrial Other – 0.1% |
| |||||
40,000 | TopBuild Corp., 4.125%, 2/15/2032, 144A | 40,400 | ||||
|
|
Principal | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Integrated Energy – 0.3% |
| |||||
$ 115,000 | Shell International Finance BV, 2.375%, 4/06/2025(a) | $ | 120,256 | |||
|
| |||||
Life Insurance – 5.5% |
| |||||
25,000 | AIG Global Funding, 0.650%, 6/17/2024, 144A | 24,937 | ||||
20,000 | AIG Global Funding, 0.800%, 7/07/2023, 144A | 20,159 | ||||
95,000 | AIG Global Funding, 2.300%, 7/01/2022, 144A(a) | 96,493 | ||||
20,000 | Athene Global Funding, 1.608%, 6/29/2026, 144A | 19,985 | ||||
145,000 | Athene Global Funding, 1.730%, 10/02/2026, 144A | 144,921 | ||||
50,000 | Athene Global Funding, 2.500%, 1/14/2025, 144A(a) | 51,953 | ||||
80,000 | Athene Global Funding, 2.500%, 3/24/2028, 144A | 81,880 | ||||
20,000 | Brighthouse Financial Global Funding, 1.000%, 4/12/2024, 144A | 20,100 | ||||
95,000 | Equitable Financial Life Global Funding, 0.500%, 4/06/2023, 144A | 95,105 | ||||
42,000 | Equitable Holdings, Inc., 3.900%, 4/20/2023 | 44,060 | ||||
200,000 | F&G Global Funding, 0.900%, 9/20/2024, 144A | 199,632 | ||||
75,000 | GA Global Funding Trust, 1.000%, 4/08/2024, 144A | 75,324 | ||||
40,000 | Guardian Life Global Funding, 1.100%, 6/23/2025, 144A(a) | 40,104 | ||||
45,000 | Guardian Life Global Funding, 3.400%, 4/25/2023, 144A(a) | 47,086 | ||||
75,000 | Jackson National Life Global Funding, 3.300%, 2/01/2022, 144A(a) | 75,765 | ||||
20,000 | Jackson National Life Global Funding, 3.875%, 6/11/2025, 144A(a) | 21,796 | ||||
150,000 | Met Tower Global Funding, 0.700%, 4/05/2024, 144A | 150,269 | ||||
120,000 | New York Life Global Funding, SOFR + 0.220%, 0.270%, 2/02/2023, 144A(a)(b) | 120,202 | ||||
145,000 | Northwestern Mutual Global Funding, 0.600%, 3/25/2024, 144A | 144,784 | ||||
200,000 | Pricoa Global Funding I, 1.200%, 9/01/2026, 144A | 198,830 | ||||
175,000 | Principal Life Global Funding II, 0.500%, 1/08/2024, 144A(a) | 174,771 | ||||
150,000 | Protective Life Global Funding, 0.502%, 4/12/2023, 144A | 150,149 | ||||
95,000 | Reliance Standard Life Global Funding II, 1.512%, 9/28/2026, 144A | 94,526 | ||||
70,000 | Reliance Standard Life Global Funding II, 2.150%, 1/21/2023, 144A(a) | 71,524 |
Principal | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Life Insurance – continued |
| |||||
$ 70,000 | Security Benefit Global Funding, 1.250%, 5/17/2024, 144A | $ | 70,469 | |||
|
| |||||
2,234,824 | ||||||
|
| |||||
Lodging – 0.4% |
| |||||
140,000 | Hyatt Hotels Corp., 1.300%, 10/01/2023 | 140,186 | ||||
30,000 | Hyatt Hotels Corp., 5.375%, 4/23/2025 | 33,508 | ||||
|
| |||||
173,694 | ||||||
|
| |||||
Metals & Mining – 0.5% |
| |||||
85,000 | Glencore Funding LLC, 2.625%, 9/23/2031, 144A | 83,241 | ||||
65,000 | Glencore Funding LLC, 4.125%, 3/12/2024, 144A | 69,637 | ||||
60,000 | Novelis Corp., 3.875%, 8/15/2031, 144A | 59,343 | ||||
|
| |||||
212,221 | ||||||
|
| |||||
Midstream – 0.8% |
| |||||
125,000 | Enbridge, Inc., SOFR + 0.400%, 0.450%, 2/17/2023(b) | 125,350 | ||||
55,000 | Gray Oak Pipeline LLC, 2.600%, 10/15/2025, 144A | 56,379 | ||||
55,000 | Midwest Connector Capital Co. LLC, 3.625%, 4/01/2022, 144A(a) | 55,651 | ||||
90,000 | MPLX LP, 3.375%, 3/15/2023 | 93,455 | ||||
|
| |||||
330,835 | ||||||
|
| |||||
Natural Gas – 0.8% |
| |||||
60,000 | Atmos Energy Corp., 0.625%, 3/09/2023 | 60,002 | ||||
75,000 | CenterPoint Energy Resources Corp., 0.700%, 3/02/2023 | 75,004 | ||||
45,000 | CenterPoint Energy Resources Corp., 3.550%, 4/01/2023(a) | 46,918 | ||||
140,000 | ONE Gas, Inc., 0.850%, 3/11/2023 | 140,025 | ||||
|
| |||||
321,949 | ||||||
|
| |||||
Non-Agency Commercial Mortgage-Backed Securities – 0.6% |
| |||||
139,111 | Benchmark Mortgage Trust, Series 2019-B10, Class A1, 2.793%, 3/15/2062(a) | 142,377 | ||||
100,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.297%, 8/15/2046(e) | 105,317 | ||||
|
| |||||
247,694 | ||||||
|
| |||||
Oil Field Services – 0.0% |
| |||||
15,000 | Helmerich & Payne, Inc., 2.900%, 9/29/2031, 144A | 15,043 | ||||
|
|
Principal | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Pharmaceuticals – 1.1% |
| |||||
$ 120,000 | AbbVie, Inc., 2.150%, 11/19/2021(a) | $ | 120,289 | |||
95,000 | AstraZeneca PLC, 3.500%, 8/17/2023(a) | 100,391 | ||||
80,000 | Bayer U.S. Finance II LLC, 3.375%, 7/15/2024, 144A | 84,576 | ||||
10,000 | Bristol-Myers Squibb Co., 2.000%, 8/01/2022 | 10,147 | ||||
70,000 | Bristol-Myers Squibb Co., 3.550%, 8/15/2022(a) | 71,990 | ||||
60,000 | Pfizer, Inc., 3.200%, 9/15/2023(a) | 63,106 | ||||
|
| |||||
450,499 | ||||||
|
| |||||
Property & Casualty Insurance – 0.4% |
| |||||
30,000 | Allstate Corp. (The), 3-month LIBOR + 0.630%, 0.762%, 3/29/2023(a)(b) | 30,230 | ||||
80,000 | AON Corp., 2.200%, 11/15/2022(a) | 81,636 | ||||
45,000 | Assurant, Inc., 4.200%, 9/27/2023 | 47,911 | ||||
|
| |||||
159,777 | ||||||
|
| |||||
Refining – 0.2% |
| |||||
85,000 | Marathon Petroleum Corp., 4.500%, 5/01/2023 | 89,831 | ||||
|
| |||||
REITs - Diversified – 0.1% |
| |||||
25,000 | Lexington Realty Trust, 2.375%, 10/01/2031 | 24,240 | ||||
|
| |||||
REITs - Health Care – 0.1% |
| |||||
45,000 | Ventas Realty LP, 2.500%, 9/01/2031 | 44,421 | ||||
|
| |||||
REITs - Mortgage – 0.5% |
| |||||
140,000 | Blackstone Mortgage Trust, Inc., 3.750%, 1/15/2027, 144A | 138,775 | ||||
45,000 | Starwood Property Trust, Inc., 5.500%, 11/01/2023, 144A | 47,204 | ||||
|
| |||||
185,979 | ||||||
|
| |||||
REITs - Office Property – 0.6% |
| |||||
80,000 | Kilroy Realty LP, 2.650%, 11/15/2033 | 78,896 | ||||
15,000 | Office Properties Income Trust, 2.400%, 2/01/2027 | 14,823 | ||||
100,000 | Office Properties Income Trust, 3.450%, 10/15/2031 | 97,823 | ||||
55,000 | Office Properties Income Trust, 4.500%, 2/01/2025 | 58,955 | ||||
|
| |||||
250,497 | ||||||
|
|
Principal | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
REITs - Regional Malls – 0.1% |
| |||||
$ 45,000 | Simon Property Group LP, 3.500%, 9/01/2025(a) | $ | 48,879 | |||
|
| |||||
REITs - Shopping Centers – 0.1% |
| |||||
40,000 | Federal Realty Investment Trust, 3.950%, 1/15/2024(a) | 42,653 | ||||
|
| |||||
REITs - Storage – 0.1% |
| |||||
45,000 | Life Storage LP, 2.400%, 10/15/2031 | 44,564 | ||||
|
| |||||
Retailers – 0.9% |
| |||||
65,000 | 7-Eleven, Inc., 0.625%, 2/10/2023, 144A | 65,023 | ||||
95,000 | Crocs, Inc., 4.125%, 8/15/2031, 144A | 95,713 | ||||
105,000 | Home Depot, Inc. (The), 1.500%, 9/15/2028 | 103,861 | ||||
35,000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A | 36,394 | ||||
55,000 | Lowe’s Cos, Inc., 1.700%, 9/15/2028 | 54,519 | ||||
|
| |||||
355,510 | ||||||
|
| |||||
Technology – 3.5% |
| |||||
12,000 | Broadcom, Inc., 3.137%, 11/15/2035, 144A | 11,962 | ||||
105,000 | CGI, Inc., 1.450%, 9/14/2026, 144A | 103,931 | ||||
80,000 | Dell International LLC/EMC Corp., 5.850%, 7/15/2025 | 93,073 | ||||
185,000 | DXC Technology Co., 1.800%, 9/15/2026 | 184,761 | ||||
35,000 | Equifax, Inc., 2.350%, 9/15/2031 | 34,455 | ||||
105,000 | Genpact Luxembourg S.a.r.l., 3.700%, 4/01/2022 | 106,385 | ||||
75,000 | Hewlett Packard Enterprise Co., 4.650%, 10/01/2024 | 82,852 | ||||
80,000 | Infor, Inc., 1.450%, 7/15/2023, 144A | 80,842 | ||||
90,000 | Marvell Technology, Inc., 4.200%, 6/22/2023, 144A | 95,035 | ||||
75,000 | Microchip Technology, Inc., 2.670%, 9/01/2023 | 77,760 | ||||
75,000 | Micron Technology, Inc., 2.497%, 4/24/2023 | 77,196 | ||||
40,000 | Nielsen Finance LLC/Nielsen Finance Co., 4.500%, 7/15/2029, 144A | 39,112 | ||||
35,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027, 144A | 37,322 | ||||
65,000 | Seagate HDD Cayman, 4.875%, 3/01/2024 | 70,038 |
Principal | Description | Value (†) | ||||
Bonds and Notes – continued |
| |||||
Technology – continued |
| |||||
$ 80,000 | Skyworks Solutions, Inc., 0.900%, 6/01/2023 | $ | 80,156 | |||
175,000 | VMware, Inc., 0.600%, 8/15/2023 | 175,221 | ||||
55,000 | Western Union Co. (The), 4.250%, 6/09/2023 | 58,116 | ||||
|
| |||||
1,408,217 | ||||||
|
| |||||
Transportation Services – 0.6% |
| |||||
50,000 | Element Fleet Management Corp., 3.850%, 6/15/2025, 144A | 53,837 | ||||
30,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 4.125%, 8/01/2023, 144A | 31,793 | ||||
50,000 | Ryder System, Inc., MTN, 4.625%, 6/01/2025 | 55,999 | ||||
100,000 | Triton Container International Ltd., 0.800%, 8/01/2023, 144A | 99,937 | ||||
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241,566 | ||||||
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Treasuries – 35.6% |
| |||||
2,425,000 | U.S. Treasury Note, 0.125%, 11/30/2022(a) | 2,424,621 | ||||
525,000 | U.S. Treasury Note, 0.125%, 12/31/2022(a) | 524,836 | ||||
1,060,000 | U.S. Treasury Note, 0.125%, 1/31/2023(a) | 1,059,462 | ||||
775,000 | U.S. Treasury Note, 0.125%, 2/28/2023(a) | 774,425 | ||||
3,180,000 | U.S. Treasury Note, 0.125%, 3/31/2023 | 3,176,894 | ||||
705,000 | U.S. Treasury Note, 0.125%, 4/30/2023(a) | 704,064 | ||||
4,815,000 | U.S. Treasury Note, 0.125%, 7/31/2023 | 4,804,655 | ||||
530,000 | U.S. Treasury Note, 0.125%, 8/31/2023(a) | 528,592 | ||||
340,000 | U.S. Treasury Note, 0.375%, 9/15/2024 | 338,539 | ||||
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14,336,088 | ||||||
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Wirelines – 0.3% |
| |||||
85,000 | Bell Telephone Co. of Canada/Bell Canada (The), 0.750%, 3/17/2024 | 85,027 | ||||
50,000 | Verizon Communications, Inc., 3.000%, 3/22/2027(a) | 53,659 | ||||
|
| |||||
138,686 | ||||||
|
| |||||
Total Bonds and Notes (Identified Cost $39,889,367) | 40,056,516 | |||||
|
|
Principal | Description | Value (†) | ||||
Short-Term Investments – 3.8% |
| |||||
$1,521,737 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2021 at 0.000% to be repurchased at $1,521,737 on 10/01/2021 collateralized by $1,718,900 U.S. Treasury Bond, 1.375% due 11/15/2040 valued at $1,552,248 including accrued interest(f) (Identified Cost $1,521,737) | $ | 1,521,737 | |||
|
| |||||
Total Investments – 103.2% (Identified Cost $41,411,104) | 41,578,253 | |||||
Other assets less liabilities – (3.2)% | (1,271,392 | ) | ||||
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| |||||
Net Assets – 100.0% | $ | 40,306,861 | ||||
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(†) | 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 or sub-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 or sub-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.
Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
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 or sub-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.
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) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. | |
(b) | Variable rate security. Rate as of September 30, 2021 is disclosed. | |
(c) | Level 3 security. Value has been determined using significant unobservable inputs. | |
(d) | Fair valued by the Fund’s adviser. At September 30, 2021, the value of these securities amounted to $39,594 or 0.1% of net assets. | |
(e) | 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 September 30, 2021 is disclosed. |
(f) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of September 30, 2021, 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 September 30, 2021, the value of Rule 144A holdings amounted to $9,554,310 or 23.7% of net assets. | |
ABS | Asset-Backed Securities | |
CMT | Constant Maturity Treasury | |
FHLMC | Federal Home Loan Mortgage Corp. | |
GMTN | Global Medium Term Note | |
LIBOR | London Interbank Offered Rate | |
MTN | Medium Term Note | |
REITs | Real Estate Investment Trusts | |
SOFR | Secured Overnight Financing Rate | |
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At September 30, 2021, open long futures contracts were as follows:
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Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||
2 Year U.S. Treasury Note | 12/31/2021 | 32 | $ | 7,046,645 | $ | 7,041,750 | $ | (4,895 | ) | |||||||||
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At September 30, 2021, open short futures contracts were as follows: |
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Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||
10 Year U.S. Treasury Note | 12/21/2021 | 25 | $ | 3,324,283 | $ | 3,290,234 | $ | 34,049 | ||||||||||
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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 September 30, 2021, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Collateralized Mortgage Obligations | $ | — | $ | 473,724 | $ | 39,594 | (a) | $ | 513,318 | |||||||
All Other Bonds and Notes* | — | 39,543,198 | — | 39,543,198 | ||||||||||||
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Total Bonds and Notes | — | 40,016,922 | 39,594 | 40,056,516 | ||||||||||||
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Short-Term Investments | — | 1,521,737 | — | 1,521,737 | ||||||||||||
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Total Investments | — | 41,538,659 | 39,594 | 41,578,253 | ||||||||||||
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Futures Contracts (unrealized appreciation) | 34,049 | — | — | 34,049 | ||||||||||||
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Total | $ | 34,049 | $ | 41,538,659 | $ | 39,594 | $ | 41,612,302 | ||||||||
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Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts (unrealized depreciation) | $ | (4,895 | ) | $ | — | $ | — | $ | (4,895 | ) | ||||||
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* | 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. The Fund’s adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2020 and/or September 30, 2021:
Asset Valuation Inputs
Investments in Securities | Balance as of December 31, 2020 | 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 September 30, 2021 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2021 | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Collateralized Mortgage Obligations | $ | 29,612 | $ | — | $ | (125 | ) | $ | (651 | ) | $ | 331 | $ | (78,908 | ) | $ | 89,335 | $ | — | $ | 39,594 | $ | (533 | ) | ||||||||||||||||
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Debt securities valued at $89,335 were transferred from Level 2 to Level 3 during the period ended September 30, 2021. At December 31, 2020, 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 September 30, 2021, 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.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include futures contracts. The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the period ended September 30, 2021, the Fund used futures contracts to manage duration.
The following is a summary of derivative instruments for the Fund, as of September 30, 2021:
Assets | Unrealized appreciation on futures contracts | |||
Exchange-traded asset derivatives | ||||
Interest rate contracts | $ | 34,049 |
Liabilities | Unrealized depreciation on futures contracts | |||
Exchange-traded liability derivatives | ||||
Interest rate contracts | $ | (4,895 | ) |
The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, as of September 30, 2021:
Maximum Amount of Loss - Gross | Maximum Amount of Loss - Net | |||||
$ | 48,000 | $ | 48,000 |
Industry Summary at September 30, 2021 (Unaudited)
Treasuries | 35.6 | % | ||
ABS Car Loan | 17.0 | |||
Banking | 8.5 | |||
Life Insurance | 5.5 | |||
Electric | 4.1 | |||
Technology | 3.5 | |||
Automotive | 2.2 | |||
ABS Other | 2.0 | |||
Other Investments, less than 2% each | 21.0 | |||
Short-Term Investments | 3.8 | |||
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| |||
Total Investments | 103.2 | |||
Other assets less liabilities (including futures contracts) | (3.2 | ) | ||
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| |||
Net Assets | 100.0 | % | ||
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