Portfolio of Investments – as of March 31, 2024 (Unaudited)Natixis Loomis Sayles Short Duration Income ETF
Principal Amount | Description | Value (†) |
Bonds and Notes — 99.4% of Net Assets | ||
ABS Car Loan — 15.0% | ||
$20,000 | American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029(a) | $20,191 |
60,000 | American Credit Acceptance Receivables Trust, Series 2023-3, Class C, 6.440%, 10/12/2029(a) | 60,520 |
30,000 | American Credit Acceptance Receivables Trust, Series 2023-4, Class B, 6.630%, 2/14/2028(a) | 30,349 |
397 | American Credit Acceptance Receivables Trust , Series 2021-3, Class C, 0.980%, 11/15/2027(a) | 396 |
55,000 | AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.410%, 8/18/2027 | 51,052 |
105,000 | AmeriCredit Automobile Receivables Trust, Series 2023-1, Class B, 5.570%, 3/20/2028 | 105,787 |
85,000 | AmeriCredit Automobile Receivables Trust , Series 2022-1, Class B, 2.770%, 4/19/2027 | 81,957 |
35,260 | Avid Automobile Receivables Trust , Series 2023-1, Class A, 6.630%, 7/15/2026(a) | 35,261 |
100,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class A, 5.360%, 6/20/2030(a) | 100,421 |
23,072 | Canada Pacer Auto Receivables Trust, Series 2021-1A, Class A3, 0.500%, 10/20/2025(a) | 22,695 |
60,000 | Capital One Prime Auto Receivables Trust, Series 2023-2, Class A3, 5.820%, 6/15/2028 | 60,935 |
105,000 | Capital One Prime Auto Receivables Trust , Series 2023-1, Class A3, 4.870%, 2/15/2028 | 104,603 |
6,509 | Carvana Auto Receivables Trust, Series 2021-N4, Class C, 1.720%, 9/11/2028 | 6,168 |
45,000 | Carvana Auto Receivables Trust, Series 2023-P1, Class A3, 5.980%, 12/10/2027(a) | 45,196 |
50,000 | DT Auto Owner Trust, Series 2021-4A, Class C, 1.500%, 9/15/2027(a) | 48,645 |
50,000 | DT Auto Owner Trust, Series 2022-3A, Class B, 6.740%, 7/17/2028(a) | 50,239 |
60,000 | DT Auto Owner Trust, Series 2023-2A, Class B, 5.410%, 2/15/2029(a) | 59,674 |
18,638 | Enterprise Fleet Financing LLC, Series 2021-2, Class A2, 0.480%, 5/20/2027(a) | 18,360 |
80,000 | Exeter Automobile Receivables Trust, Series 2022-5A, Class B, 5.970%, 3/15/2027 | 79,960 |
25,000 | Exeter Automobile Receivables Trust, Series 2023-5A, Class A3, 6.320%, 3/15/2027 | 25,173 |
90,000 | First Investors Auto Owner Trust , Series 2022-1A, Class C, 3.130%, 5/15/2028(a) | 86,428 |
160,000 | Flagship Credit Auto Trust, Series 2023-2, Class C, 5.810%, 5/15/2029(a) | 159,784 |
8,045 | Flagship Credit Auto Trust , Series 2020-4, Class C, 1.280%, 2/16/2027(a) | 7,901 |
75,000 | Ford Credit Auto Lease Trust , Series 2023-A, Class A3, 4.940%, 3/15/2026 | 74,751 |
6,961 | Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025 | 6,902 |
85,000 | Ford Credit Auto Owner Trust, Series 2023-B, Class A3, 5.230%, 5/15/2028 | 85,188 |
48,073 | GLS Auto Select Receivables Trust, Series 2023-2A, Class A2, 6.370%, 6/15/2028(a) | 48,416 |
45,000 | GM Financial Consumer Automobile Receivables Trust, Series 2023-4, Class A3, 5.780%, 8/16/2028 | 45,684 |
30,000 | Harley-Davidson Motorcycle Trust, Series 2023-B, Class A3, 5.690%, 8/15/2028 | 30,288 |
25,000 | Harley-Davidson Motorcycle Trust, Series 2023-B, Class A4, 5.780%, 4/15/2031 | 25,400 |
1,957 | Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025 | 1,945 |
Principal Amount | Description | Value (†) |
ABS Car Loan — continued | ||
$20,000 | Honda Auto Receivables Owner Trust, Series 2023-4, Class A3, 5.670%, 6/21/2028 | $20,242 |
35,000 | Huntington Auto Trust, Series 2024-1A, Class A3, 5.230%, 1/16/2029(a) | 35,035 |
25,000 | Hyundai Auto Receivables Trust, Series 2023-C, Class A3, 5.540%, 10/16/2028 | 25,287 |
20,000 | Hyundai Auto Receivables Trust, Series 2024-A, Class A3, 4.990%, 2/15/2029 | 20,013 |
15,000 | LAD Auto Receivables Trust, Series 2023-4A, Class B, 6.390%, 10/16/2028(a) | 15,256 |
25,000 | LAD Auto Receivables Trust, Series 2024-1A, Class A3, 5.230%, 1/18/2028(a) | 24,876 |
30,000 | Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class A, 6.180%, 8/25/2028(a) | 30,249 |
130,000 | OneMain Direct Auto Receivables Trust, Series 2023-1A, Class A, 5.410%, 11/14/2029(a) | 129,834 |
120,000 | Prestige Auto Receivables Trust, Series 2023-1A, Class C, 5.650%, 2/15/2028(a) | 119,329 |
20,000 | Santander Drive Auto Receivables Trust, Series 2023-3, Class C, 5.770%, 11/15/2030 | 20,283 |
50,000 | Santander Drive Auto Receivables Trust, Series 2023-4, Class B, 5.770%, 12/15/2028 | 50,348 |
75,000 | Santander Drive Auto Receivables Trust, Series 2023-5, Class B, 6.160%, 12/17/2029 | 76,667 |
10,000 | SBNA Auto Receivables Trust, Series 2024-A, Class A3, 5.320%, 12/15/2028(a) | 9,994 |
140,000 | SFS Auto Receivables Securitization Trust, Series 2023-1A, Class A3, 5.470%, 10/20/2028(a) | 140,623 |
42,308 | Toyota Auto Receivables Owner Trust, Series 2021-C, Class A3, 0.430%, 1/15/2026 | 41,400 |
105,000 | Toyota Lease Owner Trust, Series 2023-A, Class A3, 4.930%, 4/20/2026(a) | 104,544 |
105,000 | VStrong Auto Receivables Trust, Series 2023-A, Class A3, 6.870%, 11/15/2027(a) | 105,378 |
5,000 | VStrong Auto Receivables Trust, Series 2024-A, Class B, 5.770%, 7/15/2030(a) | 5,012 |
100,000 | Westlake Automobile Receivables Trust, Series 2023-3A, Class C, 6.020%, 9/15/2028(a) | 100,728 |
20,000 | Westlake Automobile Receivables Trust, Series 2024-1A, Class A3, 5.440%, 5/17/2027(a) | 19,977 |
20,000 | World Omni Auto Receivables Trust, Series 2023-D, Class A3, 5.790%, 2/15/2029 | 20,310 |
2,695,654 | ||
ABS Credit Card — 3.0% | ||
105,000 | Brex Commercial Charge Card Master Trust, Series 2024-1, Class A1, 6.050%, 7/15/2027(a) | 104,968 |
170,000 | Capital One Multi-Asset Execution Trust, Series 2021-A1, Class A1, 0.550%, 7/15/2026 | 167,501 |
85,000 | Synchrony Card Funding LLC, Series 2023-A2, Class A, 5.740%, 10/15/2029 | 86,262 |
175,000 | World Financial Network Credit Card Master Trust, Series 2023-A, Class A, 5.020%, 3/15/2030 | 174,423 |
533,154 | ||
ABS Other — 4.1% | ||
81,172 | Chesapeake Funding II LLC, Series 2023-1A, Class A1, 5.650%, 5/15/2035(a) | 81,259 |
60,000 | Daimler Trucks Retail Trust, Series 2023-1, Class A4, 5.930%, 12/16/2030 | 60,720 |
100,000 | Dell Equipment Finance Trust, Series 2023-3, Class A3, 5.930%, 4/23/2029(a) | 101,094 |
180,000 | HPEFS Equipment Trust , Series 2023-1A, Class A3, 5.410%, 2/22/2028(a) | 179,947 |
Principal Amount | Description | Value (†) |
ABS Other — continued | ||
$40,740 | Marlette Funding Trust, Series 2023-2A, Class A, 6.040%, 6/15/2033(a) | $40,713 |
78,288 | SCF Equipment Leasing LLC, Series 2022-1A, Class A3, 2.920%, 7/20/2029(a) | 76,927 |
175,000 | Wheels Fleet Lease Funding 1 LLC, Series 2023-1A, Class A, 5.800%, 4/18/2038(a) | 175,084 |
25,000 | Ziply Fiber Issuer LLC, Series 2024-1A, Class A2, 6.640%, 4/20/2054(a) | 24,990 |
740,734 | ||
ABS Student Loan — 0.5% | ||
105,966 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class A, 0.970%, 12/16/2069(a) | 91,466 |
Aerospace & Defense — 1.0% | ||
20,000 | Boeing Co., 4.875%, 5/01/2025 | 19,778 |
20,000 | Bombardier, Inc., 7.250%, 7/01/2031(a) | 20,041 |
20,000 | Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 19,627 |
55,000 | L3Harris Technologies, Inc., 5.050%, 6/01/2029 | 54,824 |
65,000 | RTX Corp., 5.750%, 11/08/2026 | 65,999 |
180,269 | ||
Agency Commercial Mortgage-Backed Securities — 0.1% | ||
13,356 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF81, Class AL, 30 day USD SOFR Average + 0.474%, 5.795%, 6/25/2027(b) | 13,308 |
9,714 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF81, Class AS, 30 day USD SOFR Average + 0.400%, 5.720%, 6/25/2027(b) | 9,654 |
22,962 | ||
Airlines — 0.4% | ||
55,000 | Southwest Airlines Co., 5.250%, 5/04/2025 | 54,781 |
15,000 | United Airlines, Inc., 4.375%, 4/15/2026(a) | 14,501 |
69,282 | ||
Automotive — 2.4% | ||
50,000 | American Honda Finance Corp., 4.900%, 3/13/2029 | 49,858 |
40,000 | BMW U.S. Capital LLC, 4.900%, 4/02/2029(a) | 39,966 |
50,000 | General Motors Financial Co., Inc., 5.800%, 1/07/2029 | 50,881 |
45,000 | General Motors Financial Co., Inc., 6.050%, 10/10/2025 | 45,333 |
20,000 | Harley-Davidson Financial Services, Inc., 3.350%, 6/08/2025(a) | 19,400 |
30,000 | Harley-Davidson Financial Services, Inc., 6.500%, 3/10/2028(a) | 30,792 |
75,000 | Hyundai Capital America, 5.950%, 9/21/2026(a) | 75,871 |
20,000 | Nissan Motor Acceptance Co. LLC, 7.050%, 9/15/2028(a) | 20,906 |
30,000 | Toyota Motor Credit Corp., MTN, 5.000%, 8/14/2026 | 30,032 |
60,000 | Toyota Motor Credit Corp., Series B, 5.000%, 3/19/2027 | 60,184 |
423,223 | ||
Banking — 5.6% | ||
15,000 | Ally Financial, Inc., (fixed rate to 1/03/2029, variable rate thereafter), 6.848%, 1/03/2030 | 15,438 |
20,000 | Ally Financial, Inc., 7.100%, 11/15/2027 | 20,897 |
110,000 | Bank of America Corp., MTN, (fixed rate to 4/02/2025, variable rate thereafter), 3.384%, 4/02/2026 | 107,588 |
85,000 | Bank of Montreal, 5.266%, 12/11/2026 | 85,376 |
15,000 | Bank of New York Mellon Corp., MTN, (fixed rate to 3/14/2029, variable rate thereafter), 4.975%, 3/14/2030 | 15,013 |
55,000 | Capital One Financial Corp., (fixed rate to 10/29/2026, variable rate thereafter), 7.149%, 10/29/2027 | 57,239 |
Principal Amount | Description | Value (†) |
Banking — continued | ||
$50,000 | Citizens Financial Group, Inc., (fixed rate to 1/23/2029, variable rate thereafter), 5.841%, 1/23/2030 | $49,928 |
25,000 | Comerica, Inc., (fixed rate to 1/30/2029, variable rate thereafter), 5.982%, 1/30/2030 | 24,699 |
90,000 | Goldman Sachs Bank USA, (fixed rate to 3/18/2026, variable rate thereafter), 5.283%, 3/18/2027 | 89,955 |
60,000 | Goldman Sachs Group, Inc., (fixed rate to 8/10/2025, variable rate thereafter), 5.798%, 8/10/2026 | 60,194 |
40,000 | Huntington Bancshares, Inc., (fixed rate to 8/21/2028, variable rate thereafter), 6.208%, 8/21/2029 | 40,941 |
25,000 | JPMorgan Chase & Co., (fixed rate to 10/23/2028, variable rate thereafter), 6.087%, 10/23/2029 | 25,990 |
60,000 | Royal Bank of Canada, GMTN, 5.200%, 7/20/2026 | 60,193 |
25,000 | Santander Holdings USA, Inc., (fixed rate to 1/09/2029, variable rate thereafter), 6.174%, 1/09/2030 | 25,225 |
55,000 | State Street Corp., 4.993%, 3/18/2027 | 55,107 |
60,000 | Synchrony Financial, 4.875%, 6/13/2025 | 59,107 |
65,000 | Toronto-Dominion Bank, GMTN, 4.994%, 4/05/2029 | 65,004 |
30,000 | Truist Financial Corp., MTN, (fixed rate to 10/30/2028, variable rate thereafter), 7.161%, 10/30/2029 | 31,992 |
120,000 | Wells Fargo & Co., MTN, (fixed rate to 4/25/2025, variable rate thereafter), 3.908%, 4/25/2026 | 117,775 |
1,007,661 | ||
Brokerage — 0.2% | ||
20,000 | Cantor Fitzgerald LP, 7.200%, 12/12/2028(a) | 20,690 |
15,000 | Jefferies Financial Group, Inc., 5.875%, 7/21/2028 | 15,270 |
35,960 | ||
Building Materials — 0.4% | ||
75,000 | Builders FirstSource, Inc., 6.375%, 3/01/2034(a) | 75,310 |
Cable Satellite — 0.3% | ||
50,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 6.150%, 11/10/2026 | 50,392 |
Chemicals — 1.2% | ||
60,000 | Celanese U.S. Holdings LLC, 6.165%, 7/15/2027 | 61,111 |
65,000 | EIDP, Inc., 4.500%, 5/15/2026 | 64,252 |
25,000 | LYB International Finance III LLC, 5.500%, 3/01/2034 | 25,046 |
75,000 | Nutrien Ltd., 5.900%, 11/07/2024 | 75,084 |
225,493 | ||
Collateralized Mortgage Obligations — 0.5% | ||
385 | Government National Mortgage Association, Series 2012-H28, Class FA, 1 mo. USD SOFR + 0.694%, 6.024%, 9/20/2062(b)(c) | 371 |
364 | Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(c) | 318 |
2,840 | Government National Mortgage Association, Series 2013-H11, Class JA, 3.500%, 4/20/2063(c) | 2,697 |
3,588 | Government National Mortgage Association, Series 2016-H13, Class FT, 1 mo. USD SOFR + 0.694%, 6.024%, 5/20/2066(b)(c) | 3,552 |
209 | Government National Mortgage Association, Series 2018-H02, Class FJ, 1 mo. USD SOFR + 0.314%, 5.644%, 10/20/2064(b)(c) | 203 |
2,525 | Government National Mortgage Association, Series 2019-H01, Class FJ, 1 mo. USD SOFR + 0.414%, 5.744%, 9/20/2068(b)(c) | 2,446 |
7,271 | Government National Mortgage Association, Series 2019-H01, Class FT, 1 mo. USD SOFR + 0.514%, 5.844%, 10/20/2068(b) | 7,260 |
10,149 | Government National Mortgage Association, Series 2019-H05, Class FT, 1 yr. CMT + 0.430%, 5.230%, 4/20/2069(b) | 10,145 |
Principal Amount | Description | Value (†) |
Collateralized Mortgage Obligations — continued | ||
$17,617 | Government National Mortgage Association, Series 2019-H13, Class FT, 1 yr. CMT + 0.450%, 5.250%, 8/20/2069(b) | $17,593 |
42,098 | Government National Mortgage Association, Series 2020-H01, Class FT, 1 yr. CMT + 0.500%, 5.300%, 1/20/2070(b) | 41,899 |
86,484 | ||
Construction Machinery — 0.7% | ||
35,000 | Caterpillar Financial Services Corp., 4.850%, 2/27/2029 | 35,201 |
35,000 | CNH Industrial Capital LLC, 5.450%, 10/14/2025 | 35,062 |
55,000 | John Deere Capital Corp., MTN, 4.900%, 3/07/2031 | 55,015 |
125,278 | ||
Consumer Cyclical Services — 0.4% | ||
66,000 | Expedia Group, Inc., 6.250%, 5/01/2025(a) | 66,289 |
Consumer Products — 0.2% | ||
10,000 | Brunswick Corp., 5.850%, 3/18/2029 | 10,109 |
30,000 | Estee Lauder Cos., Inc., 5.000%, 2/14/2034 | 29,760 |
39,869 | ||
Electric — 6.2% | ||
45,000 | AES Corp., 3.300%, 7/15/2025(a) | 43,593 |
105,000 | Ameren Corp., 5.700%, 12/01/2026 | 106,397 |
20,000 | American Electric Power Co., Inc., 5.699%, 8/15/2025 | 20,041 |
20,000 | Appalachian Power Co., 5.650%, 4/01/2034 | 20,185 |
85,000 | CenterPoint Energy, Inc., 5.250%, 8/10/2026 | 85,145 |
30,000 | Dominion Energy, Inc., 3.071%, 8/15/2024 | 29,676 |
90,000 | DTE Energy Co., 4.220%, 11/01/2024 | 89,169 |
100,000 | Duke Energy Corp., 4.850%, 1/05/2027 | 99,589 |
50,000 | Edison International, 4.700%, 8/15/2025 | 49,386 |
50,000 | Entergy Louisiana LLC, 5.350%, 3/15/2034 | 50,187 |
50,000 | Georgia Power Co., 5.004%, 2/23/2027 | 50,060 |
85,000 | ITC Holdings Corp., 4.950%, 9/22/2027(a) | 84,390 |
20,000 | National Grid PLC, 5.418%, 1/11/2034 | 19,859 |
45,000 | National Rural Utilities Cooperative Finance Corp., MTN, 5.600%, 11/13/2026 | 45,592 |
50,000 | NextEra Energy Capital Holdings, Inc., 5.749%, 9/01/2025 | 50,215 |
25,000 | Pennsylvania Electric Co., 5.150%, 3/30/2026(a) | 24,792 |
30,000 | Public Service Enterprise Group, Inc., 5.200%, 4/01/2029 | 30,023 |
35,000 | Southern California Edison Co., 5.150%, 6/01/2029 | 35,144 |
85,000 | Vistra Operations Co. LLC, 5.125%, 5/13/2025(a) | 84,355 |
60,000 | WEC Energy Group, Inc., 5.600%, 9/12/2026 | 60,693 |
25,000 | Xcel Energy, Inc., 5.500%, 3/15/2034 | 24,860 |
1,103,351 | ||
Finance Companies — 3.8% | ||
80,000 | Air Lease Corp., 0.800%, 8/18/2024 | 78,476 |
25,000 | Air Lease Corp., 5.100%, 3/01/2029 | 24,834 |
40,000 | Aircastle Ltd., 2.850%, 1/26/2028(a) | 35,906 |
10,000 | Aircastle Ltd., 5.950%, 2/15/2029(a) | 10,004 |
5,000 | Aircastle Ltd., 6.500%, 7/18/2028(a) | 5,100 |
10,000 | Ares Capital Corp., 3.250%, 7/15/2025 | 9,660 |
20,000 | Ares Capital Corp., 7.000%, 1/15/2027 | 20,575 |
10,000 | ARES Capital Corp., 5.875%, 3/01/2029 | 9,970 |
35,000 | Avolon Holdings Funding Ltd., 5.500%, 1/15/2026(a) | 34,636 |
60,000 | Bain Capital Specialty Finance, Inc., 2.550%, 10/13/2026 | 55,065 |
15,000 | Blackstone Private Credit Fund, 2.625%, 12/15/2026 | 13,686 |
35,000 | Blackstone Secured Lending Fund, 2.850%, 9/30/2028 | 30,859 |
30,000 | Blue Owl Capital Corp., 3.750%, 7/22/2025 | 29,102 |
10,000 | Blue Owl Capital Corp., 5.950%, 3/15/2029 | 9,944 |
Principal Amount | Description | Value (†) |
Finance Companies — continued | ||
$15,000 | Blue Owl Capital Corp. II, 8.450%, 11/15/2026(a) | $15,450 |
30,000 | Blue Owl Credit Income Corp., 7.950%, 6/13/2028(a) | 31,124 |
35,000 | Blue Owl Technology Finance Corp. II, 6.750%, 4/04/2029(a) | 34,566 |
30,000 | GATX Corp., 5.400%, 3/15/2027 | 30,205 |
20,000 | Goldman Sachs BDC, Inc., 6.375%, 3/11/2027 | 20,149 |
30,000 | Golub Capital BDC, Inc., 2.500%, 8/24/2026 | 27,563 |
15,000 | Golub Capital BDC, Inc., 6.000%, 7/15/2029 | 14,732 |
25,000 | Hercules Capital, Inc., 3.375%, 1/20/2027 | 22,959 |
10,000 | Macquarie Airfinance Holdings Ltd., 6.400%, 3/26/2029(a) | 10,158 |
25,000 | Main Street Capital Corp., 3.000%, 7/14/2026 | 23,295 |
25,000 | Navient Corp., 11.500%, 3/15/2031 | 27,823 |
10,000 | New Mountain Finance Corp., 6.875%, 2/01/2029 | 9,895 |
25,000 | Sixth Street Lending Partners, 6.500%, 3/11/2029(a) | 24,985 |
15,000 | Sixth Street Specialty Lending, Inc., 6.125%, 3/01/2029 | 14,913 |
675,634 | ||
Food & Beverage — 2.7% | ||
30,000 | Anheuser-Busch InBev Worldwide, Inc., 5.000%, 6/15/2034 | 30,179 |
65,000 | Campbell Soup Co., 5.200%, 3/19/2027 | 65,151 |
20,000 | Cargill, Inc., 4.500%, 6/24/2026(a) | 19,832 |
85,000 | Conagra Brands, Inc., 5.300%, 10/01/2026 | 85,136 |
75,000 | General Mills, Inc., 4.700%, 1/30/2027 | 74,357 |
105,000 | Keurig Dr Pepper, Inc., 5.050%, 3/15/2029 | 105,302 |
105,000 | Tyson Foods, Inc., 5.400%, 3/15/2029 | 105,939 |
485,896 | ||
Gaming — 0.4% | ||
65,000 | GLP Capital LP/GLP Financing II, Inc., 5.250%, 6/01/2025 | 64,582 |
Government Owned - No Guarantee — 1.1% | ||
200,000 | NBN Co. Ltd., 0.875%, 10/08/2024(a) | 195,137 |
Health Insurance — 0.8% | ||
55,000 | Humana, Inc., 5.375%, 4/15/2031 | 55,030 |
95,000 | UnitedHealth Group, Inc., 5.150%, 10/15/2025 | 95,115 |
150,145 | ||
Healthcare — 0.9% | ||
25,000 | IQVIA, Inc., 6.250%, 2/01/2029 | 25,958 |
65,000 | Smith & Nephew PLC, 5.150%, 3/20/2027 | 64,985 |
75,000 | Solventum Corp., 5.450%, 2/25/2027(a) | 75,259 |
166,202 | ||
Home Construction — 0.1% | ||
20,000 | Forestar Group, Inc., 3.850%, 5/15/2026(a) | 19,100 |
Independent Energy — 0.9% | ||
15,000 | Crescent Energy Finance LLC, 9.250%, 2/15/2028(a) | 15,838 |
31,000 | EQT Corp., 6.125%, 2/01/2025 | 31,037 |
65,000 | Pioneer Natural Resources Co., 5.100%, 3/29/2026 | 64,918 |
45,000 | Sitio Royalties Operating Partnership LP/Sitio Finance Corp., 7.875%, 11/01/2028(a) | 46,544 |
158,337 | ||
Industrial Other — 0.0% | ||
5,000 | CIMIC Finance USA Pty. Ltd., 7.000%, 3/25/2034(a) | 5,134 |
Life Insurance — 2.8% | ||
45,000 | Athene Global Funding, 5.516%, 3/25/2027(a) | 45,044 |
120,000 | Brighthouse Financial Global Funding, 1.750%, 1/13/2025(a) | 115,981 |
95,000 | Corebridge Global Funding, 5.750%, 7/02/2026(a) | 95,096 |
25,000 | Lincoln National Corp., 5.852%, 3/15/2034 | 24,679 |
90,000 | New York Life Global Funding, 4.900%, 4/02/2027(a) | 89,848 |
Principal Amount | Description | Value (†) |
Life Insurance — continued | ||
$35,000 | New York Life Global Funding, 5.450%, 9/18/2026(a) | $35,284 |
90,000 | Northwestern Mutual Global Funding, 5.070%, 3/25/2027(a) | 90,361 |
496,293 | ||
Lodging — 0.4% | ||
65,000 | Hyatt Hotels Corp., 5.750%, 1/30/2027 | 66,011 |
Media Entertainment — 0.4% | ||
70,000 | Warnermedia Holdings, Inc., 3.755%, 3/15/2027 | 66,803 |
Metals & Mining — 1.4% | ||
60,000 | Cleveland-Cliffs, Inc., 7.000%, 3/15/2032(a) | 60,792 |
90,000 | Glencore Funding LLC, 5.371%, 4/04/2029(a) | 90,179 |
30,000 | Mineral Resources Ltd., 9.250%, 10/01/2028(a) | 31,596 |
25,000 | Newmont Corp./ Newcrest Finance Pty Ltd., 5.350%, 3/15/2034(a) | 25,159 |
45,000 | Nucor Corp., 3.950%, 5/23/2025 | 44,294 |
252,020 | ||
Midstream — 1.5% | ||
70,000 | Kinetik Holdings LP, 6.625%, 12/15/2028(a) | 71,243 |
125,000 | TransCanada PipeLines Ltd., SOFR Index + 1.520%, 6.881%, 3/09/2026(b) | 125,052 |
75,000 | Williams Cos., Inc., 5.400%, 3/02/2026 | 75,193 |
271,488 | ||
Natural Gas — 0.9% | ||
20,000 | NiSource, Inc., 5.350%, 4/01/2034 | 19,892 |
65,000 | Sempra, 5.400%, 8/01/2026 | 65,188 |
70,000 | Spire, Inc., 5.300%, 3/01/2026 | 69,925 |
155,005 | ||
Non-Agency Commercial Mortgage-Backed Securities — 1.8% | ||
30,000 | BANK, Series 2023-5YR3, Class A3, 6.724%, 9/15/2056(b) | 31,825 |
10,000 | BANK, Series 2023-5YR4, Class A3, 6.500%, 12/15/2056 | 10,536 |
25,000 | BBCMS Mortgage Trust, Series 2024-5C25, Class A3, 5.946%, 3/15/2057 | 25,909 |
75,000 | Benchmark Mortgage Trust, Series 2023-V2, Class A3, 5.812%, 5/15/2055(b) | 76,678 |
100,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037(a) | 88,500 |
107,197 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030(a) | 95,504 |
328,952 | ||
Office REITs — 0.1% | ||
30,000 | Hudson Pacific Properties LP, 5.950%, 2/15/2028 | 27,712 |
Other REITs — 0.6% | ||
20,000 | Prologis Targeted U.S. Logistics Fund LP, 5.250%, 4/01/2029(a) | 19,943 |
95,000 | Starwood Property Trust, Inc., 3.750%, 12/31/2024(a) | 93,157 |
113,100 | ||
Packaging — 0.8% | ||
40,000 | Amcor Flexibles North America, Inc., 4.000%, 5/17/2025 | 39,274 |
100,000 | Sonoco Products Co., 1.800%, 2/01/2025 | 96,757 |
136,031 | ||
Pharmaceuticals — 0.3% | ||
55,000 | Astrazeneca Finance LLC, 4.850%, 2/26/2029 | 55,155 |
Property & Casualty Insurance — 0.7% | ||
20,000 | AmWINS Group, Inc., 6.375%, 2/15/2029(a) | 20,108 |
40,000 | Aon North America, Inc., 5.150%, 3/01/2029 | 40,219 |
5,000 | CNA Financial Corp., 5.125%, 2/15/2034 | 4,865 |
Principal Amount | Description | Value (†) |
Property & Casualty Insurance — continued | ||
$30,000 | Radian Group, Inc., 6.200%, 5/15/2029 | $30,445 |
25,000 | SiriusPoint Ltd., 7.000%, 4/05/2029 | 24,996 |
120,633 | ||
Refining — 0.4% | ||
70,000 | Phillips 66 Co., 5.250%, 6/15/2031 | 70,933 |
Retail REITs — 0.3% | ||
50,000 | Realty Income Corp., 4.750%, 2/15/2029 | 49,384 |
Retailers — 1.5% | ||
30,000 | Advance Auto Parts, Inc., 5.900%, 3/09/2026 | 29,952 |
50,000 | AutoZone, Inc., 5.050%, 7/15/2026 | 50,078 |
85,000 | Lowe's Cos., Inc., 4.400%, 9/08/2025 | 83,957 |
50,000 | O'Reilly Automotive, Inc., 5.750%, 11/20/2026 | 50,823 |
45,000 | Tapestry, Inc., 7.350%, 11/27/2028 | 47,417 |
262,227 | ||
Technology — 1.8% | ||
60,000 | Broadcom, Inc., 4.000%, 4/15/2029(a) | 57,155 |
80,000 | Dell International LLC/EMC Corp., 5.850%, 7/15/2025 | 80,403 |
45,000 | Flex Ltd., 6.000%, 1/15/2028 | 45,772 |
60,000 | Global Payments, Inc., 1.500%, 11/15/2024 | 58,473 |
25,000 | Microchip Technology, Inc., 5.050%, 3/15/2029 | 25,004 |
35,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027 | 33,078 |
25,000 | Qorvo, Inc., 1.750%, 12/15/2024 | 24,261 |
324,146 | ||
Tobacco — 0.7% | ||
35,000 | Altria Group, Inc., 6.200%, 11/01/2028 | 36,480 |
35,000 | BAT Capital Corp., 5.834%, 2/20/2031 | 35,300 |
50,000 | Philip Morris International, Inc., 4.875%, 2/13/2029 | 49,681 |
121,461 | ||
Transportation Services — 0.6% | ||
60,000 | Element Fleet Management Corp., 5.643%, 3/13/2027(a) | 60,186 |
45,000 | Element Fleet Management Corp., 6.319%, 12/04/2028(a) | 46,493 |
5,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 5.350%, 1/12/2027(a) | 5,004 |
111,683 | ||
Treasuries — 29.1% | ||
930,000 | U.S. Treasury Notes, 2.500%, 5/31/2024(d) | 925,722 |
595,000 | U.S. Treasury Notes, 3.875%, 4/30/2025 | 587,934 |
2,060,000 | U.S. Treasury Notes, 4.625%, 6/30/2025 | 2,052,517 |
1,285,000 | U.S. Treasury Notes, 4.625%, 2/28/2026 | 1,283,946 |
195,000 | U.S. Treasury Notes, 4.750%, 7/31/2025 | 194,657 |
175,000 | U.S. Treasury Notes, 5.000%, 8/31/2025 | 175,356 |
5,220,132 | ||
Wirelines — 0.4% | ||
25,000 | Bell Telephone Co. of Canada or Bell Canada, 5.200%, 2/15/2034 | 24,777 |
50,000 | Verizon Communications, Inc., 3.000%, 3/22/2027 | 47,383 |
72,160 | ||
Total Bonds and Notes (Identified Cost $17,891,381) | 17,814,327 | |
Principal Amount | Description | Value (†) |
Short-Term Investments — 1.5% | ||
$267,240 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2024 at 3.500% to be repurchased at $267,344 on 4/01/2024 collateralized by $293,900 U.S. Treasury Note, 0.750% due 4/30/2026 valued at $272,634 including accrued interest(e) (Identified Cost $267,240) | $267,240 |
Total Investments — 100.9% (Identified Cost $18,158,621) | 18,081,567 | |
Other assets less liabilities — (0.9)% | (167,554 ) | |
Net Assets — 100.0% | $17,914,013 |
(†) | Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Fund's Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board's oversight. Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value ("NAV") per share. Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids furnished by an independent pricing service, if available. Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to fair value debt and unlisted equities where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. The Fund may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer's security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund's investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund's NAV is calculated. Fair valuation by the Fund's valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund's NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund. The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. |
(a) | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2024, the value of Rule 144A holdings amounted to $4,948,061 or 27.6% of net assets. |
(b) | Variable rate security. Rate as of March 31, 2024 is disclosed. Issuers comprised of various lots with differing coupon rates have been aggregated for the purpose of presentation in the Portfolio of Investments and show a weighted average rate. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. These securities may not indicate a reference rate and/or spread in their description. |
(c) | Level 3 security. Value has been determined using significant unobservable inputs. |
(d) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(e) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund's policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. As of March 31, 2024, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
ABS | Asset-Backed Securities |
CMT | Constant Maturity Treasury |
GMTN | Global Medium Term Note |
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 March 31, 2024, open long futures contracts were as follows: | |||||
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 2 Year U.S. Treasury Notes Futures | 6/28/2024 | 12 | $2,456,030 | $2,453,813 | $(2,217 ) |
At March 31, 2024, open short futures contracts were as follows: | |||||
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 10 Year U.S. Treasury Notes Futures | 6/18/2024 | 11 | $1,210,998 | $1,218,766 | $(7,768 ) |
Fair Value Measurements.
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• Level 1 — quoted prices in active markets for identical assets or liabilities;
• Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and
• Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Fund's pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Fund has knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.
Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.
The following is a summary of the inputs used to value the Fund's investments as of March 31, 2024, at value:
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes | ||||
Collateralized Mortgage Obligations | $ — | $76,897 | $9,587 | $86,484 |
All Other Bonds and Notes(a) | — | 17,727,843 | — | 17,727,843 |
Total Bonds and Notes | — | 17,804,740 | 9,587 | 17,814,327 |
Short-Term Investments | — | 267,240 | — | 267,240 |
Total Investments | $— | $18,071,980 | $9,587 | $18,081,567 |
Liability Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Futures Contracts (unrealized depreciation) | $(9,985 ) | $ — | $ — | $(9,985 ) |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2023 and/or March 31, 2024:
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of December 31, 2023 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of March 31, 2024 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2024 |
Bonds and Notes | ||||||||||
Collateralized Mortgage Obligations | $15,930 | $ — | $ — | $84 | $42 | $(6,469 ) | $ — | $ — | $9,587 | $(60 ) |
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 at period end 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. As of March 31, 2024, the Fund used futures contracts to manage duration.
The following is a summary of derivative instruments for the Fund, as of March 31, 2024:
Liabilities | Unrealized depreciation on futures contracts |
Exchange-traded liability derivatives | |
Interest rate contracts | $(9,985 ) |
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.
Industry Summary at March 31, 2024 (Unaudited) | |
Treasuries | 29.1% |
ABS Car Loan | 15.0 |
Electric | 6.2 |
Banking | 5.6 |
ABS Other | 4.1 |
Finance Companies | 3.8 |
ABS Credit Card | 3.0 |
Life Insurance | 2.8 |
Food & Beverage | 2.7 |
Automotive | 2.4 |
Other Investments, less than 2% each | 24.7 |
Short-Term Investments | 1.5 |
Total Investments | 100.9 |
Other assets less liabilities (including futures contracts) | (0.9) |
Net Assets | 100.0% |