Loomis Sayles Funds I NPORT-P Loomis Sayles Intermediate Duration Bond Fund (Jun 2020 report)

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

Loomis Sayles Intermediate Duration Bond Fund

Principal         Amount		Description	Value (†)
	Bonds and Notes – 98.8% of Net Assets
		ABS Car Loan – 10.8%
$	90,000	American Credit Acceptance Receivables Trust, Series 2020-2, Class B, 2.480%, 9/13/2024, 144A	$	91,167
	845,000	American Credit Acceptance Receivables Trust, Series 2019-4, Class C, 2.690%, 12/12/2025, 144A		856,351
	9,181	AmeriCredit Automobile Receivables Trust, Series 2016-2, Class C, 2.870%, 11/08/2021		9,190
	101,014	AmeriCredit Automobile Receivables Trust, Series 2016-3, Class C, 2.240%, 4/08/2022		101,413
	28,139	AmeriCredit Automobile Receivables Trust, Series 2017-1, Class B, 2.300%, 2/18/2022		28,180
	510,000	AmeriCredit Automobile Receivables Trust, Series 2018-3, Class B, 3.580%, 10/18/2024		530,096
	480,000	AmeriCredit Automobile Receivables Trust, Series 2019-2, Class B, 2.540%, 7/18/2024		493,507
	695,000	AmeriCredit Automobile Receivables Trust, Series 2019-3, Class A3, 2.060%, 4/18/2024		707,531
	385,000	AmeriCredit Automobile Receivables Trust, Series 2020-1, Class A3, 1.110%, 8/19/2024		387,486
	360,000	Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A(a)		357,686
	100,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A, 3.450%, 3/20/2023, 144A		100,318
	140,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A		141,859
	134,146	Bank of The West Auto Trust, Series 2017-1, Class A3, 2.110%, 1/15/2023, 144A		135,142
	450,000	Bank of The West Auto Trust, Series 2019-1, Class A3, 2.430%, 4/15/2024, 144A		461,112
	188,503	California Republic Auto Receivables Trust, Series 2017-1, Class A4, 2.280%, 6/15/2022(a)		189,240
	565,000	Capital One Prime Auto Receivables Trust, Series 2019-2, Class A3, 1.920%, 5/15/2024		577,816
	552,929	CarMax Auto Owner Trust, Series 2019-4, Class A2A, 2.010%, 3/15/2023		557,844
	226,917	CarMax Auto Owner Trust, Series 2017-2, Class A3, 1.930%, 3/15/2022(a)		227,655
	510,000	CarMax Auto Owner Trust, Series 2020-2, Class A3, 1.700%, 11/15/2024		521,829
	660,000	Carvana Auto Receivables Trust, Series 2019-3A, Class A3, 2.340%, 6/15/2023, 144A		666,923
	5,111	CIG Auto Receivables Trust, Series 2017-1A, Class A, 2.710%, 5/15/2023, 144A		5,120
	640,437	CPS Auto Receivables Trust, Series 2018-D, Class B, 3.610%, 11/15/2022, 144A		645,194
	145,000	CPS Auto Receivables Trust, Series 2020-A, Class B, 2.360%, 2/15/2024, 144A		147,511
	595,000	Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A, 2.380%, 11/15/2028, 144A		606,908
	435,000	Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A, 2.010%, 2/15/2029, 144A		439,934

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Car Loan – continued
$	585,000	Credit Acceptance Auto Loan Trust, Series 2020-1A, Class B, 2.390%, 4/16/2029, 144A	$	592,981
	820,859	Drive Auto Receivables Trust, Series 2018-5, Class B, 3.680%, 7/15/2023		825,147
	215,000	Drive Auto Receivables Trust, Series 2019-3, Class B, 2.650%, 2/15/2024		216,904
	44,589	DT Auto Owner Trust, Series 2018-2A, Class C, 3.670%, 3/15/2024, 144A		44,958
	285,000	DT Auto Owner Trust, Series 2019-1A, Class C, 3.610%, 11/15/2024, 144A		290,822
	270,000	DT Auto Owner Trust, Series 2019-2A, Class C, 3.180%, 2/18/2025, 144A		273,890
	105,000	DT Auto Owner Trust, Series 2019-4A, Class B, 2.360%, 1/16/2024, 144A		106,427
	200,000	DT Auto Owner Trust, Series 2020-2A, Class A, 1.140%, 1/16/2024, 144A		200,344
	320,000	DT Auto Owner Trust, Series 2020-2A, Class C, 3.280%, 3/16/2026, 144A		328,991
	12,676	Exeter Automobile Receivables Trust, Series 2017-2A, Class B, 2.820%, 5/16/2022, 144A		12,687
	150,000	Exeter Automobile Receivables Trust, Series 2019-2A, Class B, 3.060%, 5/15/2023, 144A		151,237
	170,000	Exeter Automobile Receivables Trust, Series 2020-1A, Class B, 2.260%, 4/15/2024, 144A		171,918
	230,000	Exeter Automobile Receivables Trust, Series 2020-2A, Class A, 1.130%, 8/15/2023, 144A		230,133
	440,000	Exeter Automobile Receivables Trust, Series 2020-2A, Class C, 3.280%, 5/15/2025, 144A		450,713
	3,949	First Investors Auto Owner Trust, Series 2017-2A, Class A2, 2.270%, 7/15/2022, 144A		3,951
	61,517	First Investors Auto Owner Trust, Series 2018-2A, Class A1, 3.230%, 12/15/2022, 144A		61,740
	341,238	First Investors Auto Owner Trust, Series 2019-2A, Class A, 2.210%, 9/16/2024, 144A		345,640
	4,061	Flagship Credit Auto Trust, Series 2016-2, Class B, 3.840%, 9/15/2022, 144A		4,066
	800,000	Flagship Credit Auto Trust, Series 2018-4, Class B, 3.880%, 10/16/2023, 144A		823,233
	747,999	Flagship Credit Auto Trust, Series 2020-1, Class A, 1.900%, 8/15/2024, 144A(a)		755,740
	915,000	Flagship Credit Auto Trust, Series 2020-1, Class B, 2.050%, 2/17/2025, 144A		925,648
	175,000	Ford Credit Auto Owner Trust, Series 2020-A, Class A3, 1.040%, 8/15/2024		176,808
	705,000	Ford Credit Auto Owner Trust, Series 2016-2, Class A, 2.030%, 12/15/2027, 144A(a)		713,169
	595,000	Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.190%, 7/15/2031, 144A(a)		637,146
	785,000	Ford Credit Auto Owner Trust, Series 2020-B, Class A3, 0.560%, 10/15/2024		786,214
	635,000	Ford Credit Floorplan Master Owner Trust, Series 2019-1, Class A, 2.840%, 3/15/2024		652,302
	300,816	GLS Auto Receivables Issuer Trust, Series 2019-2A, Class A, 3.060%, 4/17/2023, 144A		304,069

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Car Loan – continued
$	260,000	GLS Auto Receivables Issuer Trust, Series 2019-4A, Class B, 2.780%, 9/16/2024, 144A	$	263,442
	240,000	GLS Auto Receivables Issuer Trust, Series 2020-2A, Class A, 1.580%, 8/15/2024, 144A		240,579
	265,000	GLS Auto Receivables Trust, Series 2018-3A, Class B, 3.780%, 8/15/2023, 144A		270,568
	140,000	GM Financial Automobile Leasing Trust, Series 2020-2, Class A3, 0.800%, 7/20/2023		140,828
	145,000	GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3, 1.490%, 12/16/2024		147,802
	18,476	GM Financial Consumer Automobile Receivables Trust, Series 2017-1A, Class A3, 1.780%, 10/18/2021, 144A		18,499
	178,144	GM Financial Consumer Automobile Receivables Trust, Series 2017-3A, Class A3, 1.970%, 5/16/2022, 144A(a)		179,003
	450,000	GM Financial Consumer Automobile Receivables Trust, Series 2019-3, Class A3, 2.180%, 4/16/2024		460,205
	485,000	Honda Auto Receivables Owner Trust, Series 2020-2, Class A2, 0.740%, 11/15/2022		486,566
	455,000	Honda Auto Receivables Owner Trust, Series 2020-2, Class A3, 0.820%, 7/15/2024		458,175
	420,000	Hyundai Auto Receivables Trust, Series 2019-B, Class A3, 1.940%, 2/15/2024		430,488
	170,000	Hyundai Auto Receivables Trust, Series 2020-A, Class A3, 1.410%, 11/15/2024		174,065
	290,000	Mercedes-Benz Auto Receivables Trust, Series 2020-1, Class A3, 0.550%, 2/18/2025		290,012
	150,000	NextGear Floorplan Master Owner Trust, Series 2017-2A, Class A2, 2.560%, 10/17/2022, 144A		150,569
	125,000	NextGear Floorplan Master Owner Trust, Series 2018-1A, Class A2, 3.220%, 2/15/2023, 144A		125,603
	310,000	NextGear Floorplan Master Owner Trust, Series 2018-2A, Class A2, 3.690%, 10/15/2023, 144A		314,330
	865,000	NextGear Floorplan Master Owner Trust, Series 2020-1A, Class A2, 1.550%, 2/15/2025, 144A(a)		821,721
	1,045,000	Prestige Auto Receivables Trust, Series 2019-1A, Class A3, 2.450%, 5/15/2023, 144A(a)		1,059,455
	210,000	Santander Consumer Auto Receivables Trust, Series 2020-AA, Class C, 3.710%, 2/17/2026, 144A		216,255
	140,000	Santander Drive Auto Receivables Trust, Series 2020-1, Class A3, 2.030%, 2/15/2024		142,149
	370,000	Santander Drive Auto Receivables Trust, Series 2019-2, Class C, 2.900%, 10/15/2024		377,569
	460,000	Santander Drive Auto Receivables Trust, Series 2018-5, Class C, 3.810%, 12/16/2024		467,832
	655,000	Santander Drive Auto Receivables Trust, Series 2019-3, Class A3, 2.160%, 11/15/2022		658,945
	440,000	Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.350%, 5/25/2033, 144A		446,692
	200,000	Toyota Auto Receivables Owner Trust, Series 2020-B, Class A3, 1.360%, 8/15/2024		203,631
	225,000	Westlake Automobile Receivables Trust, Series 2019-3A, Class B, 2.410%, 10/15/2024, 144A		227,916
	515,000	Westlake Automobile Receivables Trust, Series 2019-1A, Class B, 3.260%, 10/17/2022, 144A		522,792

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Car Loan – continued
$	830,000	Westlake Automobile Receivables Trust, Series 2019-2A, Class B, 2.620%, 7/15/2024, 144A	$	841,048
	835,000	Westlake Automobile Receivables Trust, Series 2020-2A, Class A2A, 0.930%, 2/15/2024, 144A		835,367
	400,000	Westlake Automobile Receivables Trust, Series 2020-2A, Class C, 2.010%, 7/15/2025, 144A		400,813
	60,209	World Omni Auto Receivables Trust, Series 2017-B, Class A3, 1.950%, 2/15/2023		60,749
	635,000	World Omni Auto Receivables Trust, Series 2020-B, Class A3, 0.630%, 5/15/2025		636,117
				31,143,675
		ABS Credit Card – 1.1%
	620,000	American Express Credit Account Master Trust, Series 2019-1, Class A, 2.870%, 10/15/2024		645,945
	925,000	Barclays Dryrock Issuance Trust, Series 2019-1, Class A, 1.960%, 5/15/2025(a)		947,656
	805,000	Capital One Multi-Asset Execution Trust, Series 2017-A4, Class A4, 1.990%, 7/17/2023(a)		807,642
	260,000	Citibank Credit Card Issuance Trust, Series 2014-A1, Class A1, 2.880%, 1/23/2023		263,744
	585,000	World Financial Network Credit Card Master Trust, Series 2019-C, Class A, 2.210%, 7/15/2026		596,673
				3,261,660
		ABS Home Equity – 0.2%
	194,646	Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, 4.000%, 4/28/2055, 144A		199,367
	1,295	Colony American Finance Ltd., Series 2015-1, Class A, 2.896%, 10/15/2047, 144A		1,294
	132,793	CoreVest American Finance Trust, Series 2017-1, Class A, 2.968%, 10/15/2049, 144A		135,075
	3,528	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 4.595%, 7/25/2021(b)(c)(d)		3,404
	3,858	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)(c)(d)		3,813
	106,163	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 1-month LIBOR + 1.850%, 2.035%, 10/25/2027(a)(e)		106,011
	65,110	Mill City Mortgage Loan Trust, Series 2016-1, Class A1, 2.500%, 4/25/2057, 144A(d)		65,863
	48,845	Towd Point Mortgage Trust, Series 2015-2, Class 1A12, 2.750%, 11/25/2060, 144A(d)		49,323
				564,150
		ABS Other – 2.1%
	610,000	CNH Equipment Trust, Series 2020-A, Class A2, 1.080%, 7/17/2023		615,410
	250,000	CNH Equipment Trust, Series 2020-A, Class A3, 1.160%, 6/16/2025		256,557
	145,603	Diamond Resorts Owner Trust, Series 2018-1, Class A, 3.700%, 1/21/2031, 144A		148,482
	32,609	John Deere Owner Trust, Series 2017-B, Class A3, 1.820%, 10/15/2021		32,671

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Other – continued
$	255,000	Kubota Credit Owner Trust, Series 2020-1A, Class A3, 1.960%, 3/15/2024, 144A	$	261,712
	174,909	Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(d)		149,828
	555,000	OneMain Financial Issuance Trust, Series 2018-1A, Class A, 3.300%, 3/14/2029, 144A(a)		564,013
	269,862	S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A		238,751
	213,289	SCF Equipment Leasing LLC, Series 2018-1A, Class A2, 3.630%, 10/20/2024, 144A(a)		214,936
	47,068	Sierra Timeshare Conduit Receivables Funding LLC, Series 2017-1A, Class A, 2.910%, 3/20/2034, 144A		46,749
	387,390	SoFi Consumer Loan Program Trust, Series 2018-2, Class A2, 3.350%, 4/26/2027, 144A		390,517
	340,440	SoFi Consumer Loan Program Trust, Series 2018-4, Class A, 3.540%, 11/26/2027, 144A		343,885
	100,833	TAL Advantage V LLC, Series 2014-1A, Class A, 3.510%, 2/22/2039, 144A		100,218
	35,139	TAL Advantage V LLC, Series 2014-2A, Class A2, 3.330%, 5/20/2039, 144A		34,923
	110,417	TAL Advantage V LLC, Series 2014-3A, Class A, 3.270%, 11/21/2039, 144A		110,108
	2,180,000	Verizon Owner Trust, Series 2019-B, Class A1A, 2.330%, 12/20/2023(a)		2,237,409
	300,506	Wheels SPV 2 LLC, Series 2019-1A, Class A2, 2.300%, 5/22/2028, 144A		303,235
				6,049,404
		ABS Student Loan – 0.7%
	57,036	Earnest Student Loan Program LLC, Series 2017-A, Class A2, 2.650%, 1/25/2041, 144A		57,721
	254,659	Massachusetts Educational Financing Authority, Series 2018-A, Class A, 3.850%, 5/25/2033		263,888
	1,249,943	Navient Private Education Refi Loan Trust, Series 2020-BA, Class A1, 1.800%, 1/15/2069, 144A(a)		1,266,453
	71,849	North Carolina State Education Assistance Authority, Series 2011-2, Class A2, 3-month LIBOR + 0.800%, 1.791%, 7/25/2025(e)		71,690
	111,307	SoFi Professional Loan Program LLC, Series 2016-B, Class A2B, 2.740%, 10/25/2032, 144A		112,322
	180,000	SoFi Professional Loan Program LLC, Series 2017-E, Class A2B, 2.720%, 11/26/2040, 144A		183,137
	14,661	South Carolina Student Loan Corp., Series 2010-1, Class A2, 3-month LIBOR + 1.000%, 1.991%, 7/25/2025(e)		14,635
				1,969,846
		ABS Whole Business – 0.2%
	525,638	Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048, 144A		509,075
		Aerospace & Defense – 0.3%
	80,000	Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030, 144A		89,143
	29,000	Raytheon Technologies Corp., 3.650%, 8/16/2023		31,406

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Aerospace & Defense – continued
$	450,000	Rolls-Royce PLC, 2.375%, 10/14/2020, 144A	$	448,978
	415,000	Textron, Inc., 3.000%, 6/01/2030		413,163
				982,690
		Agency Commercial Mortgage-Backed Securities – 1.2%
	1,175,000	FHLMC Multifamily Structured Pass Through Certificates, Series KJ26, Class A2, 2.606%, 7/25/2027		1,277,366
	647,472	FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021(a)(d)		654,416
	509,476	FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(a)		541,808
	701,647	FHLMC Multifamily Structured Pass Through Certificates, Series K042, Class A2, 2.670%, 12/25/2024(a)		758,599
	94,269	FHLMC Multifamily Structured Pass Through Certificates, Series KJ28, Class A1, 1.766%, 2/25/2025		96,141
				3,328,330
		Airlines – 0.4%
	430,000	Delta Air Lines, Inc., 2.900%, 10/28/2024		348,737
	655,000	Southwest Airlines Co., 5.125%, 6/15/2027		677,666
				1,026,403
		Automotive – 3.8%
	795,000	American Honda Finance Corp., MTN, 2.200%, 6/27/2022		816,625
	245,000	American Honda Finance Corp., MTN, 3.625%, 10/10/2023		266,142
	290,000	BMW U.S. Capital LLC, 1.850%, 9/15/2021, 144A		292,670
	495,000	BorgWarner, Inc., 2.650%, 7/01/2027		507,867
	225,000	Daimler Finance North America LLC, 2.625%, 3/10/2030, 144A		223,915
	160,000	Daimler Finance North America LLC, 3.350%, 2/22/2023, 144A		167,557
	670,000	Ford Motor Credit Co. LLC, 2.979%, 8/03/2022		642,161
	200,000	Ford Motor Credit Co. LLC, 3.810%, 1/09/2024		192,060
	280,000	Ford Motor Credit Co. LLC, 4.271%, 1/09/2027		261,012
	425,000	General Motors Financial Co., Inc., 2.900%, 2/26/2025		423,305
	360,000	General Motors Financial Co., Inc., 4.150%, 6/19/2023		376,284
	295,000	Harley-Davidson Financial Services, Inc., 3.350%, 6/08/2025, 144A		301,676
	220,000	Harley-Davidson Financial Services, Inc., 4.050%, 2/04/2022, 144A		226,758

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Automotive – continued
$	195,000	Hyundai Capital America, 2.375%, 2/10/2023, 144A	$	196,459
	295,000	Hyundai Capital America, 2.750%, 9/18/2020, 144A		295,642
	95,000	Hyundai Capital America, 3.000%, 6/20/2022, 144A		96,763
	400,000	Hyundai Capital America, 3.000%, 2/10/2027, 144A		395,066
	600,000	Nissan Motor Acceptance Corp., 2.150%, 7/13/2020, 144A		599,863
	585,000	Nissan Motor Acceptance Corp., 3.450%, 3/15/2023, 144A		581,501
	955,000	PACCAR Financial Corp., MTN, 1.900%, 2/07/2023		988,375
	240,000	PACCAR Financial Corp., MTN, 0.800%, 6/08/2023		240,920
	160,000	PACCAR Financial Corp., MTN, 1.800%, 2/06/2025		166,544
	250,000	Toyota Motor Credit Corp., MTN, 1.150%, 5/26/2022		252,827
	295,000	Toyota Motor Credit Corp., MTN, 1.800%, 10/07/2021		299,689
	1,020,000	Toyota Motor Credit Corp., MTN, 1.800%, 2/13/2025		1,057,262
	275,000	Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A		293,490
	615,000	Volkswagen Group of America Finance LLC, 4.250%, 11/13/2023, 144A		673,001
				10,835,434
		Banking – 20.8%
	1,335,000	Ally Financial, Inc., 3.050%, 6/05/2023		1,351,042
	315,000	American Express Co., 2.200%, 10/30/2020		316,446
	495,000	American Express Co., 3.700%, 8/03/2023		538,314
	625,000	ANZ New Zealand International Ltd., 1.900%, 2/13/2023, 144A		641,889
	915,000	ANZ New Zealand International Ltd., 2.200%, 7/17/2020, 144A		915,700
	1,190,000	Australia & New Zealand Banking Group Ltd., MTN, 2.050%, 11/21/2022		1,233,948
	400,000	Banco Santander S.A., 3.490%, 5/28/2030		429,522
	975,000	Bank of America Corp., (fixed rate to 6/19/2025, variable rate thereafter), MTN, 1.319%, 6/19/2026		977,537
	395,000	Bank of Ireland Group PLC, 4.500%, 11/25/2023, 144A		422,524
	695,000	Bank of Montreal, MTN, 1.850%, 5/01/2025		719,532
	725,000	Bank of Montreal, MTN, 2.050%, 11/01/2022		748,602

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Banking – continued
$	655,000	Bank of New York Mellon Corp. (The), MTN, 1.600%, 4/24/2025	$	677,964
	1,235,000	Bank of New Zealand, 2.000%, 2/21/2025, 144A		1,283,349
	685,000	Bank of Nova Scotia (The), 1.300%, 6/11/2025		689,588
	870,000	Bank of Nova Scotia (The), 2.000%, 11/15/2022		897,642
	950,000	Bank of Nova Scotia (The), 2.150%, 7/14/2020		950,583
	450,000	Banque Federative du Credit Mutuel S.A., 2.200%, 7/20/2020, 144A		450,387
	200,000	Banque Federative du Credit Mutuel S.A., 2.375%, 11/21/2024, 144A		210,778
	460,000	Banque Federative du Credit Mutuel S.A., 2.700%, 7/20/2022, 144A		478,203
	485,000	Banque Federative du Credit Mutuel S.A., 3.750%, 7/20/2023, 144A		524,200
	795,000	Barclays PLC, (fixed rate to 5/16/2023, variable rate thereafter), 4.338%, 5/16/2024		856,346
	300,000	BNP Paribas S.A, (fixed rate to 1/13/2030, variable rate thereafter), 3.052%, 1/13/2031, 144A		315,988
	675,000	BNP Paribas S.A, (fixed rate to 6/09/2025, variable rate thereafter), 2.219%, 6/09/2026, 144A		691,211
	510,000	BNP Paribas S.A., (fixed rate to 11/19/2024, variable rate thereafter), 2.819%, 11/19/2025, 144A		534,091
	160,000	Capital One Financial Corp., 3.750%, 3/09/2027		176,695
	510,000	Citigroup, Inc., (fixed rate to 4/08/2025, variable rate thereafter), 3.106%, 4/08/2026		548,543
	940,000	Citigroup, Inc., (fixed rate to 11/04/2021, variable rate thereafter), 2.312%, 11/04/2022		958,535
	940,000	Citigroup, Inc., (fixed rate to 6/03/2030, variable rate thereafter), 2.572%, 6/03/2031		972,205
	160,000	Citizens Financial Group, Inc., 3.250%, 4/30/2030		172,919
	225,000	Comerica, Inc., 3.700%, 7/31/2023		242,413
	660,000	Cooperatieve Rabobank U.A. (NY), 2.750%, 1/10/2023		695,187
	750,000	Credit Agricole S.A, (fixed rate to 6/16/2025, variable rate thereafter), 1.907%, 6/16/2026, 144A		760,947
	925,000	Credit Agricole S.A., 3.750%, 4/24/2023, 144A		989,878
	405,000	Credit Suisse AG, 2.100%, 11/12/2021		413,470
	895,000	Credit Suisse Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A		906,454
	940,000	Danske Bank A/S, 3.875%, 9/12/2023, 144A		996,403
	215,000	Deutsche Bank AG, 3.150%, 1/22/2021		216,008
	395,000	Deutsche Bank AG, (fixed rate to 11/26/2024, variable rate thereafter), 3.961%, 11/26/2025		414,385

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Banking – continued
$	865,000	DNB Bank ASA, 2.150%, 12/02/2022, 144A	$	895,064
	520,000	Goldman Sachs Group, Inc. (The), (fixed rate to 10/31/2021, variable rate thereafter), 2.876%, 10/31/2022		533,113
	845,000	HSBC Holdings PLC, (fixed rate to 6/04/2030, variable rate thereafter), 2.848%, 6/04/2031		862,902
	520,000	HSBC Holdings PLC, (fixed rate to 9/12/2025, variable rate thereafter), 4.292%, 9/12/2026		578,437
	360,000	JPMorgan Chase & Co., (fixed rate to 5/13/2030, variable rate thereafter), 2.956%, 5/13/2031		381,810
	535,000	JPMorgan Chase & Co., (fixed rate to 4/01/2022, variable rate thereafter), 3.207%, 4/01/2023		557,019
	1,335,000	JPMorgan Chase & Co., (fixed rate to 6/01/2023, variable rate thereafter), 1.514%, 6/01/2024		1,357,281
	770,000	KeyCorp, MTN, 2.250%, 4/06/2027		807,789
	375,000	Lloyds Banking Group PLC, (fixed rate to 7/09/2024, variable rate thereafter), 3.870%, 7/09/2025		407,216
	495,000	Lloyds Banking Group PLC, 4.050%, 8/16/2023		537,818
	1,195,000	Macquarie Bank Ltd., 2.100%, 10/17/2022, 144A		1,227,777
	135,000	Macquarie Bank Ltd., 2.300%, 1/22/2025, 144A		141,371
	930,000	National Australia Bank Ltd., 3.700%, 11/04/2021		969,702
	625,000	National Bank of Canada, 2.150%, 10/07/2022, 144A		642,365
	1,135,000	National Bank of Canada, 2.200%, 11/02/2020		1,139,983
	620,000	Nationwide Building Society, (fixed rate to 3/08/2023, variable rate thereafter), 3.766%, 3/08/2024, 144A		653,283
	1,020,000	NatWest Markets PLC, 3.625%, 9/29/2022, 144A		1,068,982
	315,000	Northern Trust Corp., (fixed rate to 5/08/2027, variable rate thereafter), 3.375%, 5/08/2032		337,534
	215,000	PNC Financial Services Group, Inc. (The), 2.600%, 7/23/2026		233,122
	625,000	Royal Bank of Scotland Group PLC, (fixed rate to 5/22/2027, variable rate thereafter), 3.073%, 5/22/2028		657,801
	870,000	Santander Holdings USA, Inc., 3.244%, 10/05/2026		903,861
	690,000	Santander Holdings USA, Inc., 3.450%, 6/02/2025		718,763
	70,000	Santander Holdings USA, Inc., 3.500%, 6/07/2024		73,630
	350,000	Santander UK PLC, 2.125%, 11/03/2020		351,943
	580,000	Santander UK PLC, 2.875%, 6/18/2024		618,446
	1,405,000	Societe Generale S.A., 1.375%, 7/08/2025, 144A		1,401,080

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Banking – continued
$	840,000	Societe Generale S.A., 2.625%, 10/16/2024, 144A	$	857,800
	395,000	Societe Generale S.A., 2.625%, 1/22/2025, 144A		403,116
	820,000	Standard Chartered PLC, (fixed rate to 1/30/2025, variable rate thereafter), 2.819%, 1/30/2026, 144A		837,479
	530,000	Standard Chartered PLC, (fixed rate to 5/21/2024, variable rate thereafter), 3.785%, 5/21/2025, 144A		561,388
	245,000	State Street Corp., (fixed rate to 3/30/2025, variable rate thereafter), 2.901%, 3/30/2026, 144A		265,204
	305,000	State Street Corp., (fixed rate to 5/15/2022, variable rate thereafter), 2.653%, 5/15/2023		316,558
	985,000	Sumitomo Mitsui Financial Group, Inc., 2.130%, 7/08/2030		986,809
	545,000	Sumitomo Mitsui Financial Group, Inc., 2.696%, 7/16/2024		577,357
	235,000	Sumitomo Mitsui Financial Group, Inc., 2.784%, 7/12/2022		244,793
	515,000	Svenska Handelsbanken AB, 3.900%, 11/20/2023		570,951
	1,400,000	Swedbank AB, 1.300%, 6/02/2023, 144A		1,419,082
	1,140,000	Synchrony Bank, 3.650%, 5/24/2021		1,158,494
	75,000	Synchrony Financial, 4.250%, 8/15/2024		78,760
	700,000	Toronto-Dominion Bank (The), MTN, 1.900%, 12/01/2022		722,758
	1,065,000	Toronto-Dominion Bank (The), MTN, 3.250%, 6/11/2021		1,094,105
	890,000	Truist Bank, 1.500%, 3/10/2025		913,475
	590,000	Truist Financial Corp., MTN, 1.950%, 6/05/2030		599,812
	340,000	Truist Financial Corp., MTN, 2.500%, 8/01/2024		361,763
	770,000	Truist Financial Corp., MTN, 3.050%, 6/20/2022		804,851
	665,000	UniCredit SpA, 3.750%, 4/12/2022, 144A		682,318
	335,000	UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A		337,724
	340,000	Wells Fargo & Co., (fixed rate to 4/30/2025, variable rate thereafter), 2.188%, 4/30/2026		351,549
	1,110,000	Wells Fargo & Co., (fixed rate to 6/02/2027, variable rate thereafter), MTN, 2.393%, 6/02/2028		1,146,868
	1,030,000	Wells Fargo Bank NA, 3.625%, 10/22/2021		1,068,971
	195,000	Westpac Banking Corp., 2.800%, 1/11/2022		202,163
				59,941,668

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Brokerage – 1.1%
$	415,000	Ameriprise Financial, Inc., 3.000%, 3/22/2022	$	431,847
	625,000	Brookfield Finance LLC, 3.450%, 4/15/2050		599,346
	935,000	Intercontinental Exchange, Inc., 2.100%, 6/15/2030		955,645
	1,300,000	National Securities Clearing Corp., 1.200%, 4/23/2023, 144A		1,318,808
				3,305,646
		Building Materials – 0.1%
	40,000	Masco Corp., 3.500%, 4/01/2021		40,551
	165,000	Owens Corning, 3.875%, 6/01/2030		176,177
				216,728
		Chemicals – 1.3%
	860,000	Air Products & Chemicals, Inc., 2.050%, 5/15/2030		902,658
	360,000	Cabot Corp., 4.000%, 7/01/2029		371,991
	460,000	DuPont de Nemours, Inc., 2.169%, 5/01/2023		468,987
	255,000	DuPont de Nemours, Inc., 3.766%, 11/15/2020		257,907
	9,000	Eastman Chemical Co., 4.500%, 1/15/2021		9,060
	260,000	LYB International Finance III LLC, 3.375%, 5/01/2030		278,391
	960,000	Nutrien Ltd., 1.900%, 5/13/2023		990,675
	335,000	PPG Industries, Inc., 2.550%, 6/15/2030		346,370
	140,000	Yara International ASA, 3.148%, 6/04/2030, 144A		144,725
				3,770,764
		Collateralized Mortgage Obligations – 2.5%
	525,483	Government National Mortgage Association, Series 2010-H02, Class FA, 1-month LIBOR + 0.680%, 0.854%, 2/20/2060(e)		528,458
	284,883	Government National Mortgage Association, Series 2010-H03, Class FA, 1-month LIBOR + 0.550%, 0.724%, 3/20/2060(e)		284,980
	159,900	Government National Mortgage Association, Series 2014-H14, Class FA, 1-month LIBOR + 0.500%, 1.516%, 7/20/2064(e)		159,712
	118,518	Government National Mortgage Association, Series 2014-H15, Class FA, 1-month LIBOR + 0.500%, 0.803%, 7/20/2064(e)		118,358
	6,085	Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065(b)(c)		6,080
	288,268	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065(a)		294,618
	483,294	Government National Mortgage Association, Series 2016-H06, Class FC, 1-month LIBOR + 0.920%, 1.223%, 2/20/2066(a)(e)		489,099

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	207,333	Government National Mortgage Association, Series 2016-H10, Class FJ, 1-month LIBOR + 0.600%, 0.903%, 4/20/2066(a)(e)	$	207,456
	1,857,032	Government National Mortgage Association, Series 2018-H17, Class JA, 3.750%, 9/20/2068(a)(d)		2,111,658
	380,159	Government National Mortgage Association, Series 2019-H01, Class FL, 1-month LIBOR + 0.450%, 0.753%, 12/20/2068(e)		379,269
	1,302,913	Government National Mortgage Association, Series 2019-H01, Class FT, 1-month LIBOR + 0.400%, 0.703%, 10/20/2068(a)(e)		1,299,537
	1,188,050	Government National Mortgage Association, Series 2019-H10, Class FM, 1-month LIBOR + 0.400%, 0.703%, 5/20/2069(a)(e)		1,187,839
				7,067,064
		Construction Machinery – 1.1%
	275,000	Caterpillar Financial Services Corp., MTN, 0.950%, 5/13/2022		278,478
	300,000	Caterpillar Financial Services Corp., MTN, 3.150%, 9/07/2021		309,609
	500,000	Caterpillar Financial Services Corp., MTN, 3.650%, 12/07/2023		552,951
	265,000	Caterpillar Financial Services Corp., Series I, 2.650%, 5/17/2021		270,283
	300,000	CNH Industrial Capital LLC, 1.950%, 7/02/2023		301,969
	1,090,000	John Deere Capital Corp., 0.700%, 7/05/2023		1,093,848
	110,000	John Deere Capital Corp., MTN, 2.600%, 3/07/2024		117,237
	174,000	John Deere Capital Corp., Series 0014, 2.450%, 9/11/2020		174,703
				3,099,078
		Consumer Cyclical Services – 0.6%
	500,000	Amazon.com, Inc., 1.500%, 6/03/2030		506,051
	350,000	eBay, Inc., 1.900%, 3/11/2025		361,176
	375,000	Expedia Group, Inc., 6.250%, 5/01/2025, 144A		399,477
	495,000	Western Union Co. (The), 4.250%, 6/09/2023		533,308
				1,800,012
		Consumer Products – 0.2%
	420,000	Hasbro, Inc., 3.550%, 11/19/2026		443,828
		Diversified Manufacturing – 0.7%
	135,000	Amphenol Corp., 2.050%, 3/01/2025		140,486
	205,000	Carrier Global Corp., 2.242%, 2/15/2025, 144A		209,596
	455,000	Kennametal, Inc., 4.625%, 6/15/2028		487,594

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Diversified Manufacturing – continued
$	265,000	Timken Co. (The), 4.500%, 12/15/2028	$	285,644
	175,000	Westinghouse Air Brake Technologies Corp., 3-month LIBOR + 1.300%, 1.613%, 9/15/2021(e)		175,000
	405,000	Westinghouse Air Brake Technologies Corp., 3.200%, 6/15/2025		412,694
	410,000	WW Grainger, Inc., 1.850%, 2/15/2025		428,517
				2,139,531
		Electric – 4.2%
	435,000	AES Corp. (The), 3.300%, 7/15/2025, 144A		447,967
	720,000	Alliant Energy Finance LLC, 4.250%, 6/15/2028, 144A		836,551
	495,000	Berkshire Hathaway Energy Co., 3.700%, 7/15/2030, 144A		579,357
	120,000	Consolidated Edison Co. of New York, Inc., Series B, 2.900%, 12/01/2026		131,740
	225,000	Dominion Energy, Inc., 3.071%, 8/15/2024		242,029
	470,000	Dominion Energy, Inc., Series B, 3.600%, 3/15/2027		520,382
	270,000	DTE Energy Co., 2.250%, 11/01/2022		278,827
	1,135,000	Duke Energy Carolinas LLC, 3.050%, 3/15/2023		1,207,490
	265,000	Entergy Corp., 2.800%, 6/15/2030		280,037
	451,000	Exelon Corp., 2.450%, 4/15/2021		457,212
	116,000	Exelon Generation Co. LLC, 4.250%, 6/15/2022		122,890
	330,000	FirstEnergy Corp., Series B, 2.250%, 9/01/2030		331,813
	25,000	IPALCO Enterprises, Inc., 4.250%, 5/01/2030, 144A		27,084
	345,000	ITC Holdings Corp., 2.950%, 5/14/2030, 144A		367,450
	188,000	National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043		188,235
	630,000	NextEra Energy Capital Holdings, Inc., 2.250%, 6/01/2030		648,835
	435,000	NextEra Energy Capital Holdings, Inc., 2.403%, 9/01/2021		444,826
	295,000	PacifiCorp, 2.700%, 9/15/2030		321,381
	1,115,000	PNM Resources, Inc., 3.250%, 3/09/2021		1,131,577
	370,000	PSEG Power LLC, 3.850%, 6/01/2023		400,051
	935,000	Public Service Co. of Colorado, Series 35, 1.900%, 1/15/2031		953,881

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Electric – continued
$	235,000	Public Service Enterprise Group, Inc., 2.875%, 6/15/2024	$	250,849
	440,000	Puget Energy, Inc., 4.100%, 6/15/2030, 144A		485,772
	180,000	Southern California Edison Co., 2.250%, 6/01/2030		181,746
	720,000	Southern Power Co., Series E, 2.500%, 12/15/2021		738,095
	600,000	Vistra Operations Co. LLC, 3.550%, 7/15/2024, 144A		619,245
				12,195,322
		Finance Companies – 1.3%
	310,000	Air Lease Corp., 3.250%, 10/01/2029		294,509
	705,000	Ares Capital Corp., 3.250%, 7/15/2025		684,211
	305,000	Aviation Capital Group LLC, 3.875%, 5/01/2023, 144A		289,780
	225,000	Aviation Capital Group LLC, 4.375%, 1/30/2024, 144A		211,380
	375,000	Avolon Holdings Funding Ltd., 3.625%, 5/01/2022, 144A		353,491
	615,000	FS KKR Capital Corp., 4.125%, 2/01/2025		593,958
	115,000	GATX Corp., 4.000%, 6/30/2030		123,101
	970,000	GE Capital Funding LLC, 4.050%, 5/15/2027, 144A		1,022,577
	150,000	Oaktree Specialty Lending Corp., 3.500%, 2/25/2025		146,547
				3,719,554
		Financial Other – 0.4%
	470,000	LeasePlan Corp NV, 2.875%, 10/24/2024, 144A		480,582
	410,000	Mitsubishi UFJ Lease & Finance Co. Ltd., 2.652%, 9/19/2022, 144A		420,754
	185,000	ORIX Corp., 3.250%, 12/04/2024		199,398
				1,100,734
		Food & Beverage – 1.5%
	835,000	Bacardi Ltd., 4.700%, 5/15/2028, 144A		944,439
	120,000	Brown-Forman Corp., 3.500%, 4/15/2025		134,464
	525,000	Bunge Ltd. Finance Corp., 4.350%, 3/15/2024		573,701
	160,000	Campbell Soup Co., 3.125%, 4/24/2050		163,023
	350,000	Cargill, Inc., 2.125%, 4/23/2030, 144A		366,894

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Food & Beverage – continued
$	1,095,000	General Mills, Inc., 2.600%, 10/12/2022	$	1,140,754
	220,000	Hershey Co. (The), 0.900%, 6/01/2025		221,263
	555,000	Mondelez International, Inc., 2.750%, 4/13/2030		597,423
	140,000	Smithfield Foods, Inc., 3.350%, 2/01/2022, 144A		138,920
				4,280,881
		Government Owned - No Guarantee – 0.1%
	335,000	Equinor ASA, 2.375%, 5/22/2030		348,041
		Health Insurance – 0.2%
	350,000	Health Care Service Corp. A Mutual Legal Reserve Co., 1.500%, 6/01/2025, 144A		355,813
	310,000	Humana, Inc., 2.500%, 12/15/2020		312,795
				668,608
		Healthcare – 0.9%
	575,000	AmerisourceBergen Corp., 2.800%, 5/15/2030		605,716
	419,000	Cigna Corp., 3.750%, 7/15/2023		454,819
	95,000	Cigna Corp., 4.500%, 2/25/2026, 144A		110,514
	420,000	CVS Health Corp., 4.300%, 3/25/2028		491,219
	510,000	DH Europe Finance II S.a.r.l., 2.200%, 11/15/2024		536,021
	395,000	Stryker Corp., 1.950%, 6/15/2030		397,635
				2,595,924
		Hybrid ARMs – 0.0%
	79,113	FHLMC, 1-year CMT + 2.500%, 4.099%, 5/01/2036(e)		83,463
	35,457	FHLMC, 1-year CMT + 2.258%, 4.167%, 1/01/2035(e)		37,095
				120,558
		Independent Energy – 0.5%
	400,000	Aker BP ASA, 3.750%, 1/15/2030, 144A		375,689
	565,000	Canadian Natural Resources Ltd., 2.950%, 7/15/2030		563,299
	545,000	Diamondback Energy, Inc., 4.750%, 5/31/2025		583,165
				1,522,153

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Integrated Energy – 0.8%
$	530,000	Chevron Corp., 2.236%, 5/11/2030	$	555,047
	195,000	Exxon Mobil Corp., 2.610%, 10/15/2030		208,755
	635,000	Exxon Mobil Corp., 3.482%, 3/19/2030		722,669
	660,000	Suncor Energy, Inc., 2.800%, 5/15/2023		689,320
				2,175,791
		Life Insurance – 6.1%
	1,385,000	AIG Global Funding, 0.800%, 7/07/2023, 144A		1,385,098
	85,000	AIG Global Funding, 2.150%, 7/02/2020, 144A		85,000
	380,000	American International Group, Inc., 3.400%, 6/30/2030		410,842
	195,000	Athene Global Funding, 2.500%, 1/14/2025, 144A		194,692
	785,000	Athene Global Funding, 2.800%, 5/26/2023, 144A		800,877
	330,000	Brighthouse Financial, Inc., 3.700%, 6/22/2027		336,422
	965,000	Five Corners Funding Trust II, 2.850%, 5/15/2030, 144A		997,952
	405,000	Global Atlantic Finance Co., 4.400%, 10/15/2029, 144A		372,865
	1,370,000	Guardian Life Global Funding, 1.100%, 6/23/2025, 144A		1,374,992
	155,000	Jackson National Life Global Funding, 3.875%, 6/11/2025, 144A		172,279
	345,000	Manulife Financial Corp., 2.484%, 5/19/2027		361,291
	1,400,000	MassMutual Global Funding II, 0.850%, 6/09/2023, 144A		1,405,926
	795,000	Metropolitan Life Global Funding I, 0.900%, 6/08/2023, 144A		799,485
	700,000	Metropolitan Life Global Funding I, 0.950%, 7/02/2025, 144A		699,279
	505,000	Metropolitan Life Global Funding I, 2.400%, 6/17/2022, 144A		524,280
	1,400,000	New York Life Global Funding, 0.950%, 6/24/2025, 144A		1,403,407
	1,070,000	New York Life Global Funding, 2.875%, 4/10/2024, 144A(a)		1,153,280
	915,000	New York Life Global Funding, 2.950%, 1/28/2021, 144A(a)		927,866
	645,000	Principal Life Global Funding II, 1.250%, 6/23/2025, 144A		647,158
	1,360,000	Protective Life Global Funding, 1.082%, 6/09/2023, 144A		1,370,924
	655,000	Reliance Standard Life Global Funding II, 2.750%, 5/07/2025, 144A		668,844

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Life Insurance – continued
$	565,000	Reliance Standard Life Global Funding II, 3.850%, 9/19/2023, 144A	$	605,121
	700,000	Unum Group, 4.500%, 3/15/2025		751,874
	63,000	Unum Group, 5.625%, 9/15/2020		63,562
				17,513,316
		Lodging – 0.1%
	350,000	Marriott International, Inc., Series Z, 4.150%, 12/01/2023		363,158
		Media Entertainment – 0.4%
	95,000	Activision Blizzard, Inc., 2.300%, 9/15/2021		96,827
	130,000	Interpublic Group of Cos., Inc. (The), 3.500%, 10/01/2020		130,861
	170,000	RELX Capital, Inc., 3.000%, 5/22/2030		183,226
	170,000	ViacomCBS, Inc., 4.950%, 1/15/2031		200,748
	470,000	Walt Disney Co. (The), 2.650%, 1/13/2031		498,040
				1,109,702
		Metals & Mining – 0.1%
	155,000	Glencore Funding LLC, 4.125%, 3/12/2024, 144A		166,122
		Midstream – 0.8%
	25,000	Energy Transfer Operating LP, 4.250%, 3/15/2023		26,410
	440,000	Midwest Connector Capital Co. LLC, 3.625%, 4/01/2022, 144A		450,765
	1,130,000	MPLX LP, 3-month LIBOR + 0.900%, 1.213%, 9/09/2021(e)		1,121,042
	185,000	ONEOK, Inc., 5.850%, 1/15/2026		211,152
	420,000	ONEOK, Inc., 3.100%, 3/15/2030		401,838
	70,000	Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030		68,584
				2,279,791
		Mortgage Related – 1.6%
	2,137	FHLMC, 3.000%, 10/01/2026		2,250
	176	FHLMC, 6.500%, 1/01/2024		195
	43	FHLMC, 8.000%, 7/01/2025		48
	7	FNMA, 6.000%, 9/01/2021		7

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Mortgage Related – continued
$	15,079	GNMA, 3.916%, 5/20/2062(d)	$	15,141
	62,511	GNMA, 3.975%, 2/20/2063(d)		63,713
	9,243	GNMA, 3.991%, 5/20/2062(d)		10,004
	15,349	GNMA, 4.042%, 10/20/2062(d)		16,139
	48,500	GNMA, 4.072%, 2/20/2063(a)(d)		49,350
	48,217	GNMA, 4.203%, 4/20/2063(d)		48,810
	22,784	GNMA, 4.255%, 2/20/2063(d)		23,100
	32,099	GNMA, 4.257%, 11/20/2064(d)		33,158
	74,415	GNMA, 4.275%, 4/20/2063(a)(d)		76,399
	56,145	GNMA, 4.371%, 6/20/2066(d)		62,286
	228,498	GNMA, 4.430%, 10/20/2066(d)		256,307
	107,310	GNMA, 4.437%, 9/20/2066(d)		119,612
	61,675	GNMA, 4.444%, 11/20/2066(d)		69,593
	30,941	GNMA, 4.445%, 3/20/2063(d)		31,181
	106,611	GNMA, 4.490%, 11/20/2066(d)		119,732
	65,137	GNMA, 4.494%, 8/20/2066(d)		71,902
	186,410	GNMA, 4.520%, 9/20/2066(d)		209,621
	84,725	GNMA, 4.521%, 10/20/2066(d)		95,453
	1,038,168	GNMA, 4.527%, 4/20/2067(a)(d)		1,174,520
	113,320	GNMA, 4.528%, 10/20/2066(d)		126,952
	462,394	GNMA, 4.545%, 7/20/2067(a)(d)		527,644
	811,264	GNMA, 4.578%, 1/20/2067(a)(d)		917,842
	2,116	GNMA, 4.630%, 7/20/2062(d)		2,237
	371,285	GNMA, 4.684%, 5/20/2064(a)(d)		407,314
	698	GNMA, 4.700%, 8/20/2061(d)		779
	574	GNMA, 6.500%, 12/15/2023		632
				4,531,921

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Non-Agency Commercial Mortgage-Backed Securities – 5.5%
$	230,000	BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062	$	254,734
	270,000	BANK, Series 2020-BN25, Class A5, 2.649%, 1/15/2063		292,064
	565,000	Barclays Commercial Mortgage Securities Trust, Series 2017-C1, Class A2, 3.189%, 2/15/2050(a)		579,633
	285,000	Benchmark Mortgage Trust, Series 2020-B16, Class A5, 2.732%, 2/15/2053		306,862
	491,600	CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.865%, 1/10/2048(a)		548,286
	361,996	CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A4, 3.283%, 5/10/2058		389,991
	992,138	Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4, 3.314%, 4/10/2049(a)		1,076,592
	540,000	Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072		599,043
	263,676	Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A5, 3.612%, 6/10/2046(d)		279,636
	535,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A(a)		518,769
	26,367	Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047		26,406
	68,558	Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class A2, 2.928%, 2/10/2047		68,762
	160,706	Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047		166,194
	478,193	Commercial Mortgage Pass Through Certificates, Series 2014-LC17, Class A3, 3.723%, 10/10/2047(a)		493,828
	280,000	Commercial Mortgage Pass Through Certificates, Series 2014-UBS3, Class A4, 3.819%, 6/10/2047		302,078
	280,000	Commercial Mortgage Pass Through Certificates, Series 2015-DC1, Class A5, 3.350%, 2/10/2048		301,768
	520,299	Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class A5, 3.765%, 2/10/2049(a)		580,990
	640,000	Credit Suisse Mortgage Capital Certificates, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A(a)		624,628
	84,913	CSAIL Commercial Mortgage Trust, Series 2015-C4, Class ASB, 3.617%, 11/15/2048		90,116
	470,000	CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A4, 2.968%, 12/15/2052		511,968
	340,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033, 144A(d)		337,622
	330,000	GS Mortgage Securities Trust, Series 2014-GC18, Class A4, 4.074%, 1/10/2047		356,581
	245,000	GS Mortgage Securities Trust, Series 2020-GC45, Class A5, 2.911%, 2/13/2053		267,574
	180,000	Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10, 4.155%, 8/05/2034, 144A		150,918
	355,000	Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034, 144A		317,186
	850,000	JPMDB Commercial Mortgage Securities Trust, Series 2019-COR6, Class A4, 3.057%, 11/13/2052		936,858

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Non-Agency Commercial Mortgage-Backed Securities – continued
$	87,277	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047	$	90,402
	3,086	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2017-JP5, Class A1, 2.086%, 3/15/2050		3,084
	575,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-COR5, Class A4, 3.386%, 6/13/2052(a)		642,438
	240,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A4, 4.218%, 7/15/2046(d)		257,452
	111,476	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 2/15/2047		112,367
	129,604	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.306%, 4/15/2048		138,244
	550,000	Morgan Stanley Capital I Trust, Series 2020-L4, Class A3, 2.698%, 2/15/2053		594,161
	194,995	Starwood Retail Property Trust, Series 2014-STAR, Class A, 1-month LIBOR + 1.470%, 1.655%, 11/15/2027, 144A(e)		141,415
	505,000	UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A(a)		461,139
	565,000	UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A4, 3.244%, 4/10/2046(a)		586,358
	201,109	Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4, 3.426%, 3/15/2059		217,719
	1,295,000	Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class A2, 3.118%, 1/15/2060(a)		1,325,499
	152,101	WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A3, 3.660%, 3/15/2047		153,571
	325,000	WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A5, 4.101%, 3/15/2047		353,102
	272,052	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ASB, 3.638%, 5/15/2047(a)		282,190
				15,738,228
		Oil Field Services – 0.8%
	980,000	Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc., 2.773%, 12/15/2022		1,021,320
	375,000	National Oilwell Varco, Inc., 3.600%, 12/01/2029		366,949
	970,000	Schlumberger Investment S.A., 2.650%, 6/26/2030		986,161
				2,374,430
		Packaging – 0.1%
	190,000	CCL Industries, Inc., 3.050%, 6/01/2030, 144A		193,933
	220,000	Sonoco Products Co., 3.125%, 5/01/2030		229,646
				423,579
		Pharmaceuticals – 1.2%
	305,000	AbbVie, Inc., 3.600%, 5/14/2025		337,261

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Pharmaceuticals – continued
$	470,000	Amgen, Inc., 2.300%, 2/25/2031	$	491,855
	235,000	Bayer U.S. Finance II LLC, 3.375%, 7/15/2024, 144A		254,611
	525,000	Pfizer, Inc., 3.200%, 9/15/2023		566,273
	990,000	Takeda Pharmaceutical Co. Ltd., 2.050%, 3/31/2030		989,462
	825,000	Upjohn, Inc., 2.700%, 6/22/2030, 144A		846,691
				3,486,153
		Property & Casualty Insurance – 0.4%
	645,000	American Financial Group, Inc., 3.500%, 8/15/2026		687,455
	180,000	Assurant, Inc., 4.200%, 9/27/2023		190,801
	235,000	Loews Corp., 3.200%, 5/15/2030		253,957
				1,132,213
		Railroads – 0.1%
	215,000	Union Pacific Corp., 3.646%, 2/15/2024		235,121
		Refining – 0.1%
	280,000	Marathon Petroleum Corp., 4.700%, 5/01/2025		313,449
		REITs - Apartments – 0.1%
	210,000	Essex Portfolio LP, 2.650%, 3/15/2032		221,495
		REITs - Health Care – 0.4%
	255,000	Healthpeak Properties, Inc., 3.000%, 1/15/2030		266,544
	615,000	Omega Healthcare Investors, Inc., 4.500%, 1/15/2025		633,311
	200,000	Welltower, Inc., 2.750%, 1/15/2031		199,768
				1,099,623
		REITs - Office Property – 0.1%
	290,000	Office Properties Income Trust, 4.250%, 5/15/2024		283,013
		REITs - Shopping Centers – 0.3%
	55,000	Brixmor Operating Partnership LP, 4.050%, 7/01/2030		56,252
	535,000	Federal Realty Investment Trust, 3.500%, 6/01/2030		564,318
	235,000	Regency Centers LP, 3.700%, 6/15/2030		253,529
				874,099

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		REITs - Single Tenant – 0.0%
$	120,000	Realty Income Corp., 3.250%, 1/15/2031	$	129,829
		Restaurants – 0.6%
	1,280,000	McDonald’s Corp., MTN, 2.625%, 1/15/2022		1,322,995
	420,000	McDonald’s Corp., MTN, 3.350%, 4/01/2023		450,146
				1,773,141
		Retailers – 0.9%
	345,000	AutoNation, Inc., 3.500%, 11/15/2024		355,884
	290,000	AutoNation, Inc., 4.500%, 10/01/2025		311,851
	190,000	Best Buy Co., Inc., 4.450%, 10/01/2028		220,446
	475,000	Home Depot, Inc. (The), 2.500%, 4/15/2027		520,407
	270,000	Home Depot, Inc. (The), 2.950%, 6/15/2029		303,640
	850,000	Seven & i Holdings Co. Ltd., 3.350%, 9/17/2021, 144A		873,808
				2,586,036
		Technology – 3.7%
	125,000	Apple, Inc., 3.350%, 2/09/2027		142,404
	645,000	Broadcom, Inc., 4.150%, 11/15/2030, 144A		700,910
	110,000	DXC Technology Co., 4.125%, 4/15/2025		117,290
	290,000	Equinix, Inc., 1.800%, 7/15/2027		289,846
	235,000	Flex Ltd., 3.750%, 2/01/2026		248,909
	470,000	Flex Ltd., 4.875%, 6/15/2029		518,683
	450,000	Genpact Luxembourg S.a.r.l., 3.700%, 4/01/2022		462,053
	395,000	Hewlett Packard Enterprise Co., 4.650%, 10/01/2024		443,547
	1,145,000	Hewlett Packard Enterprise Co., 3-month LIBOR + 0.680%, 0.998%, 3/12/2021(e)		1,144,352
	1,070,000	HP, Inc., 3.000%, 6/17/2027		1,121,805
	315,000	Infor, Inc., 1.450%, 7/15/2023, 144A		317,601
	470,000	International Business Machines Corp., 1.700%, 5/15/2027		480,010
	530,000	International Business Machines Corp., 2.850%, 5/13/2022		554,521
	89,000	Jabil, Inc., 5.625%, 12/15/2020		90,742

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Technology – continued
$	175,000	Marvell Technology Group Ltd., 4.200%, 6/22/2023	$	188,047
	460,000	Microchip Technology, Inc., 2.670%, 9/01/2023, 144A		473,470
	140,000	Microchip Technology, Inc., 3.922%, 6/01/2021		142,728
	755,000	Micron Technology, Inc., 2.497%, 4/24/2023		784,644
	575,000	NetApp, Inc., 1.875%, 6/22/2025		583,194
	565,000	Panasonic Corp., 2.536%, 7/19/2022, 144A		581,298
	925,000	PayPal Holdings, Inc., 1.350%, 6/01/2023		943,049
	105,000	Seagate HDD Cayman, 4.125%, 1/15/2031, 144A		110,331
	205,000	Seagate HDD Cayman, 4.875%, 3/01/2024		219,728
	130,000	Texas Instruments, Inc., 2.250%, 9/04/2029		138,378
				10,797,540
		Tobacco – 0.4%
	135,000	Altria Group, Inc., 2.350%, 5/06/2025		141,860
	565,000	BAT Capital Corp., 3.215%, 9/06/2026		607,290
	460,000	BAT Capital Corp., 4.700%, 4/02/2027		525,752
				1,274,902
		Transportation Services – 1.0%
	605,000	Element Fleet Management Corp., 3.850%, 6/15/2025, 144A		621,012
	205,000	FedEx Corp., 4.250%, 5/15/2030		234,136
	175,000	Penske Truck Leasing Co. LP/PTL Finance Corp., 4.000%, 7/15/2025, 144A		191,407
	695,000	Penske Truck Leasing Co. LP/PTL Finance Corp., 4.125%, 8/01/2023, 144A		741,966
	135,000	Penske Truck Leasing Co. LP/PTL Finance Corp., 4.450%, 1/29/2026, 144A		148,817
	370,000	Ryder System, Inc., MTN, 4.625%, 6/01/2025		412,500
	255,000	Ryder System, Inc., MTN, 3.750%, 6/09/2023		272,112
	275,000	Ryder System, Inc., MTN, 3.875%, 12/01/2023		296,234
				2,918,184

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Treasuries – 14.1%
$	11,265,000	U.S. Treasury Note, 0.250%, 4/15/2023	$	11,288,762
	2,875,000	U.S. Treasury Note, 0.250%, 6/15/2023		2,881,064
	15,620,000	U.S. Treasury Note, 0.500%, 3/31/2025		15,786,573
	5,045,000	U.S. Treasury Note, 0.625%, 5/15/2030		5,031,008
	5,270,000	U.S. Treasury Note, 1.750%, 12/31/2024		5,622,843
				40,610,250
		Wireless – 0.4%
	200,000	SK Telecom Co. Ltd., 3.750%, 4/16/2023, 144A		213,868
	960,000	T-Mobile USA, Inc., 2.050%, 2/15/2028, 144A		960,451
				1,174,319
		Wirelines – 0.4%
	935,000	AT&T, Inc., 2.300%, 6/01/2027		967,978
	205,000	British Telecommunications PLC, 4.500%, 12/04/2023		226,943
				1,194,921
		Total Bonds and Notes (Identified Cost $277,018,930)		284,787,087
	Short-Term Investments – 3.3%
	9,652,249	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2020 at 0.000% to be repurchased at $9,652,249 on 7/01/2020 collateralized by $8,724,400 U.S. Treasury Note, 2.500% due 2/28/2026 valued at $9,845,337 including accrued interest(f) (Identified Cost $9,652,249)		9,652,249
		Total Investments – 102.1% (Identified Cost $286,671,179)		294,439,336
		Other assets less liabilities – (2.1)%		(6,124,491	)
		Net Assets – 100.0%	$	288,314,845

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.

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 pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

(a) Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

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

(c) Fair valued by the Fund’s adviser. At June 30, 2020, the value of these securities amounted to $13,297 or less than 0.1% of net assets.

(d) Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2020 is disclosed.

(e) Variable rate security. Rate as of June 30, 2020 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 June 30, 2020, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2020, the value of Rule 144A holdings amounted to $87,399,812 or 30.3% of net assets.

ABS Asset-Backed Securities

ARMs Adjustable Rate Mortgages

CMT Constant Maturity Treasury

FHLMC Federal Home Loan Mortgage Corp.

FNMA Federal National Mortgage Association

GNMA Government National Mortgage Association

LIBOR London Interbank Offered Rate

MTN Medium Term Note

REITs Real Estate Investment Trusts

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 June 30, 2020, open long futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		9/30/2020		174	$	21,834,981	$	21,879,140	$	44,159

At June 30, 2020, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Ultra 10 Year U.S. Treasury Note		9/21/2020		20	$	3,138,847	$	3,149,687	$	(10,840	)

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 June 30, 2020, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
ABS Home Equity	$	—	$	556,933	$	7,217	(a)	$	564,150
Collateralized Mortgage Obligations		—		7,060,984		6,080	(a)		7,067,064
All Other Bonds and Notes*		—		277,155,873		—			277,155,873
Total Bonds and Notes		—		284,773,790		13,297			284,787,087
Short-Term Investments		—		9,652,249		—			9,652,249
Futures Contracts (unrealized appreciation)		44,159		—		—			44,159
Total	$	44,159	$	294,426,039	$	13,297		$	294,483,495

Liability Valuation Inputs

Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(10,840	)	$	—	$	—	$	(10,840	)

* 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 September 30, 2019 and/or June 30, 2020:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2019		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2020		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2020
Bonds and Notes
ABS Car Loan	$	660,000	$	—	$	—		$	—	$	—	$	—		$	—	$	(660,000	)	$	—	$	—
ABS Home Equity		16,609		—		(39	)		456		—		(9,809	)		—		—			7,217		32
Collateralized Mortgage Obligations		—		—		(200	)		319		—		(17,534	)		23,495		—			6,080		319
Total	$	676,609	$	—	$	(239	)	$	775	$	—	$	(27,343	)	$	23,495	$	(660,000	)	$	13,297	$	351

A debt security valued at $660,000 was transferred from Level 3 to Level 2 during the period ended June 30, 2020. At September 30, 2019, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At June 30, 2020 this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

A debt security valued at $23,495 was transferred from Level 2 to Level 3 during the period ended June 30, 2020. At September 30, 2019, this security was 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 June 30, 2020 this security was 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 security.    

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 its duration in order to control interest rate risk without having to buy or sell portfolio securities. During the period ended June 30, 2020, the Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for the Fund, as of June 30, 2020:

Assets	Unrealized appreciation on futures contracts
Exchange-traded asset derivatives
Interest rate contracts	$	44,159

Liability	Unrealized depreciation on futures contracts
Exchange-traded liability derivatives
Interest rate contracts	$	(10,840	)

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 clearing house, 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 are required to segregate customer margin 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 clients, 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 (including brokers holding margin for exchange-traded derivatives) 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 June 30, 2020:

Maximum Amount of Loss - Gross	Maximum Amount of Loss - Net
$165,000	$	165,000

Industry Summary at June 30, 2020 (Unaudited)

Banking	20.8	%
Treasuries	14.1
ABS Car Loan	10.8
Life Insurance	6.1
Non-Agency Commercial Mortgage-Backed Securities	5.5
Electric	4.2
Automotive	3.8
Technology	3.7
Collateralized Mortgage Obligations	2.5
ABS Other	2.1
Other Investments, less than 2% each	25.2
Short-Term Investments	3.3
Total Investments	102.1
Other assets less liabilities (including futures contracts)	(2.1	)
Net Assets	100.0	%