Loomis Sayles Funds I NPORT-P Loomis Sayles Global Bond Fund (Dec 2020 report)

PORTFOLIO OF INVESTMENTS – as of December 31, 2020 (Unaudited)

Loomis Sayles Global Bond Fund

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – 95.3% of Net Assets
	Non-Convertible Bonds – 95.1%
			Australia – 1.6%
	4,845,000		New South Wales Treasury Corp., Series 26, 4.000%, 5/20/2026, (AUD)(a)	$	4,422,747
	9,190,000		Queensland Treasury Corp., Series 27, 2.750%, 8/20/2027, 144A, (AUD)(a)		8,027,702
					12,450,449
			Belgium – 0.7%
	1,190,000		Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.700%, 2/01/2036(a)		1,511,642
	305,000		Anheuser-Busch InBev Finance, Inc., 4.700%, 2/01/2036		382,510
	1,645,000		Anheuser-Busch InBev Worldwide, Inc., 4.500%, 6/01/2050(a)		2,076,417
	1,150,000		Anheuser-Busch InBev Worldwide, Inc., 4.750%, 1/23/2029(a)		1,420,130
					5,390,699
			Bermuda – 0.3%
	1,935,000		XLIT Ltd., (fixed rate to 6/29/2027, variable rate thereafter), 3.250%, 6/29/2047, (EUR)(a)		2,671,199
			Brazil – 3.9%
	3,245,000		Banco Bradesco S.A., 2.850%, 1/27/2023, 144A		3,323,691
	34,907	(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2027, (BRL)		7,606,988
	16,075	(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2029, (BRL)		3,575,307
	3,525,000		Brazilian Government International Bond, 4.625%, 1/13/2028		3,948,035
	3,045,000		Embraer Netherlands Finance BV, 5.050%, 6/15/2025		3,227,730
	530,000		Embraer Netherlands Finance BV, 5.400%, 2/01/2027		563,130
	2,705,000		Itau Unibanco Holding S.A., 2.900%, 1/24/2023, 144A		2,768,595
	1,780,000		Republic of Brazil, 2.875%, 4/01/2021, (EUR)		2,185,410
	1,460,000		Suzano Austria GmbH, 3.750%, 1/15/2031		1,549,060
	1,660,000		Ultrapar International S.A, 5.250%, 6/06/2029, 144A		1,848,825
					30,596,771
			Canada – 1.4%
	2,150,000		Alimentation Couche-Tard, Inc., 1.875%, 5/06/2026, (EUR)(a)		2,824,815
	4,285,000		Canadian Government Bond, 2.000%, 12/01/2051, (CAD)(a)		4,060,197

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		Canada – continued
	2,585,000	Fairstone Financial Issuance Trust I, Series 2019-1A, Class A, 3.948%, 3/21/2033, 144A, (CAD)(a)	$	2,048,890
	750,000	Ford Auto Securitization Trust, Series 2019-AA, Class A3, 2.552%, 9/15/2024, 144A, (CAD)(a)		608,054
	693,537	Ford Auto Securitization Trust, Series 2019-BA, Class A2, 2.321%, 10/15/2023, 144A, (CAD)(a)		551,577
	1,260,000	Province of Manitoba Canada, MTN, 4.400%, 9/05/2025, (CAD)(a)		1,155,708
				11,249,241
		Chile – 0.3%
	2,235,000	Engie Energia Chile S.A., 3.400%, 1/28/2030(a)		2,422,181
		China – 6.6%
	131,960,000	China Government Bond, 1.990%, 4/09/2025, (CNY)(a)		19,498,793
	16,600,000	China Government Bond, 2.680%, 5/21/2030, (CNY)(a)		2,448,882
	22,000,000	China Government Bond, 3.390%, 3/16/2050, (CNY)(a)		3,150,914
	27,700,000	China Government Bond, Series 1906, 3.290%, 5/23/2029, (CNY)		4,277,324
	31,000,000	China Government Bond, Series 1906, 3.290%, 5/23/2029, (CNY)(a)		4,786,897
	33,630,000	China Government Bond, Series 1907, 3.250%, 6/06/2026, (CNY)(a)		5,228,003
	17,000,000	China Government Bond, Series 1907, 3.250%, 6/06/2026, (CNY)		2,642,761
	58,890,000	China Government Bond, Series 1916, 3.120%, 12/05/2026, (CNY)(a)		9,050,815
				51,084,389
		Colombia – 1.0%
	730,000	Colombia Telecomunicaciones S.A. E.S.P., 4.950%, 7/17/2030, 144A		810,300
	19,798,100,000	Titulos De Tesoreria, Series B, 7.500%, 8/26/2026, (COP)(a)		6,691,326
				7,501,626
		Czech – 0.5%
	85,110,000	Czech Republic Government Bond, 2.400%, 9/17/2025, (CZK)(a)		4,254,014
		Denmark – 0.8%
	33,175,000	Denmark Government Bond, 1.750%, 11/15/2025, (DKK)(a)		6,071,367
		Finland – 0.3%
	2,015,000	Nokia OYJ, 4.375%, 6/12/2027(a)		2,197,615

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		France – 0.6%
$	1,770,000	BNP Paribas S.A., (fixed rate to 3/25/2024, variable rate thereafter), 6.625%, 144A(b)	$	1,931,512
	250,000	Credit Agricole S.A., 3.250%, 1/14/2030, 144A(a)		273,850
	2,000,000	Unibail-Rodamco-Westfield SE, EMTN, 1.750%, 2/27/2034, (EUR)(a)		2,533,722
				4,739,084
		Germany – 3.1%
	300,000	Allianz SE, (fixed rate to 9/25/2029, variable rate thereafter), 1.301%, 9/25/2049, (EUR)(a)		378,073
	3,475,000	Bundesrepublik Deutschland Bundesanleihe, Zero Coupon, 2/15/2030, (EUR)(a)		4,484,090
	2,930,000	Bundesrepublik Deutschland Bundesanleihe, 1.250%, 8/15/2048, (EUR)(a)		5,041,641
	4,795,000	Bundesrepublik Deutschland Bundesanleihe, Zero Coupon, 8/15/2026, (EUR)(a)		6,105,481
	2,370,000	Bundesrepublik Deutschland Bundesanleihe, 0.250%, 8/15/2028, (EUR)(a)		3,105,290
	555,000	Bundesrepublik Deutschland Bundesanleihe, 4.750%, 7/04/2040, (EUR)		1,380,786
	2,630,000	Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031		2,850,239
	235,000	Deutsche Telekom AG, EMTN, 1.750%, 12/09/2049, (EUR)(a)		334,723
	520,000	Volkswagen Financial Services AG, EMTN, 3.375%, 4/06/2028, (EUR)(a)		760,687
				24,441,010
		India – 0.5%
	3,455,000	Bharti Airtel Ltd., 4.375%, 6/10/2025, 144A(a)		3,756,172
		Indonesia – 1.0%
	93,413,000,000	Indonesia Treasury Bond, 8.250%, 5/15/2029, (IDR)(a)		7,649,854
		Israel – 0.8%
	14,660,000	State of Israel, 1.000%, 3/31/2030, (ILS)		4,657,266
	855,000	Teva Pharmaceutical Finance Netherlands II BV, 1.125%, 10/15/2024, (EUR)		968,032
	300,000	Teva Pharmaceutical Finance Netherlands II BV, 1.250%, 3/31/2023, (EUR)		353,338
				5,978,636
		Italy – 5.5%
	560,000	Assicurazioni Generali SpA, EMTN (fixed rate to 10/27/2027, variable rate thereafter), 5.500%, 10/27/2047, (EUR)		841,644
	985,000	Atlantia SpA, EMTN, 1.625%, 2/03/2025, (EUR)		1,194,950

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
			Non-Convertible Bonds – continued
			Italy – continued
	2,045,000		Atlantia SpA, EMTN, 1.875%, 7/13/2027, (EUR)	$	2,457,503
	1,600,000		Enel Finance International NV, 6.000%, 10/07/2039, 144A(a)		2,282,844
	620,000		Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		678,328
	3,670,000		Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A		4,200,653
	1,250,000		Intesa Sanpaolo SpA, Series XR, 4.000%, 9/23/2029, 144A(a)		1,409,207
	18,045,000		Italy Buoni Poliennali Del Tesoro, 1.350%, 4/01/2030, (EUR)(a)		23,854,918
	850,000		Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039, 144A		1,098,829
	380,000		Telecom Italia SpA, 5.303%, 5/30/2024, 144A		413,250
	605,000		UniCredit SpA, (fixed rate to 4/02/2029, variable rate thereafter), 7.296%, 4/02/2034, 144A		731,754
	350,000		UniCredit SpA, 6.572%, 1/14/2022, 144A(a)		368,836
	300,000		UniCredit SpA, (fixed rate to 1/15/2027, variable rate thereafter), 2.731%, 1/15/2032, (EUR)		370,167
	340,000		UniCredit SpA, (fixed rate to 2/20/2024, variable rate thereafter), EMTN, 4.875%, 2/20/2029, (EUR)		452,364
	2,115,000		UniCredit SpA, (fixed rate to 9/23/2024, variable rate thereafter), EMTN, 2.000%, 9/23/2029, (EUR)(a)		2,553,249
					42,908,496
			Japan – 6.1%
	676,407,504	(†††)	Japan Government CPI Linked Bond, Series 23, 0.100%, 3/10/2028, (JPY)(a)		6,572,290
	1,965,352,373	(†††)	Japan Government CPI Linked Bond, Series 24, 0.100%, 3/10/2029, (JPY)(a)		19,135,680
	271,150,000		Japan Government Thirty Year Bond, Series 26, 2.400%, 3/20/2037, (JPY)(a)		3,503,640
	572,450,000		Japan Government Thirty Year Bond, Series 41, 1.700%, 12/20/2043, (JPY)(a)		7,021,029
	480,200,000		Japan Government Thirty Year Bond, Series 51, 0.300%, 6/20/2046, (JPY)(a)		4,390,885
	724,400,000		Japan Government Thirty Year Bond, Series 62, 0.500%, 3/20/2049, (JPY)(a)		6,813,310
					47,436,834
			Korea – 1.1%
	9,400,000,000		Korea Treasury Bond, 1.375%, 6/10/2030, (KRW)(a)		8,386,092
			Malaysia – 0.3%
	7,770,000		Malaysia Government Bond, Series 0119, 3.906%, 7/15/2026, (MYR)(a)		2,091,774

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
			Non-Convertible Bonds – continued
			Mexico – 4.0%
$	2,120,000		America Movil SAB de CV, 2.875%, 5/07/2030(a)	$	2,298,568
	3,255,000		America Movil SAB de CV, 3.625%, 4/22/2029(a)		3,678,378
	405,000		Cemex SAB de CV, 5.200%, 9/17/2030, 144A		444,082
	880,000		Cemex SAB de CV, 5.450%, 11/19/2029, 144A		968,009
	200,000		Cemex SAB de CV, 5.450%, 11/19/2029		220,002
	250,000		Cemex SAB de CV, 5.700%, 1/11/2025		255,500
	2,584,000		Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050(a)		2,875,461
	1,015,000		Grupo Bimbo SAB de CV, 4.000%, 9/06/2049(a)		1,148,320
	200,000		Grupo Bimbo SAB de CV, 4.700%, 11/10/2047(a)		248,376
	234,271	(††††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(a)		1,187,160
	1,368,435	(††††)	Mexican Fixed Rate Bonds, Series M 20, 8.500%, 5/31/2029, (MXN)(a)		8,382,047
	1,025,000		Orbia Advance Corp. SAB de CV, 5.875%, 9/17/2044, 144A(a)		1,274,854
	2,165,000		Sigma Alimentos S.A. de CV, 4.125%, 5/02/2026, 144A(a)		2,387,216
	3,715,000		Sigma Alimentos S.A. de CV, 4.125%, 5/02/2026(a)		4,096,308
	1,175,000		Sigma Finance Netherlands BV, 4.875%, 3/27/2028		1,371,824
					30,836,105
			Netherlands – 0.3%
	440,000		NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030, 144A(a)		498,966
	1,850,000		NXP BV/NXP Funding LLC/NXP USA, Inc., 4.300%, 6/18/2029, 144A(a)		2,204,870
					2,703,836
			New Zealand – 0.1%
	1,045,000		New Zealand Government Bond, Series 0423, 5.500%, 4/15/2023, (NZD)(a)		841,058
			Norway – 1.2%
	320,000		Aker BP ASA, 3.750%, 1/15/2030, 144A		336,099
	2,755,000		Aker BP ASA, 4.000%, 1/15/2031, 144A		2,984,347
	38,675,000		Norway Government Bond, Series 475, 2.000%, 5/24/2023, 144A, (NOK)(a)		4,685,655

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		Norway – continued
	9,420,000	Norway Government Bond, Series 477, 1.750%, 3/13/2025, 144A, (NOK)(a)	$	1,151,373
				9,157,474
		Poland – 0.6%
	16,435,000	Republic of Poland Government Bond, Series 0726, 2.500%, 7/25/2026, (PLN)(a)		4,861,909
		Portugal – 0.2%
	420,000	EDP Finance BV, 1.710%, 1/24/2028, 144A		421,600
	1,040,000	EDP Finance BV, 3.625%, 7/15/2024, 144A		1,135,026
	230,000	EDP Finance BV, EMTN, 0.375%, 9/16/2026, (EUR)		285,203
				1,841,829
		Singapore – 0.3%
	2,980,000	Singapore Government Bond, 0.500%, 11/01/2025, (SGD)(a)		2,258,067
		South Africa – 1.6%
	1,035,000	Anglo American Capital PLC, 5.625%, 4/01/2030, 144A(a)		1,315,102
	190,570,000	Republic of South Africa, Series R213, 7.000%, 2/28/2031, (ZAR)		11,111,288
				12,426,390
		Spain – 2.6%
	3,400,000	Banco Bilbao Vizcaya Argentaria S.A., GMTN, (fixed rate to 1/16/2025, variable rate thereafter), 1.000%, 1/16/2030, (EUR)(a)		4,147,089
	600,000	Banco Santander S.A., 4.250%, 4/11/2027(a)		694,055
	2,600,000	Banco Santander S.A., 5.179%, 11/19/2025(a)		3,044,912
	200,000	CaixaBank S.A., (fixed rate to 3/23/2026, variable rate thereafter), 5.250%, (EUR)(b)		250,194
	1,100,000	CaixaBank S.A., (fixed rate to 4/17/2025, variable rate thereafter), EMTN, 2.250%, 4/17/2030, (EUR)		1,405,355
	1,420,000	Grifols S.A., 1.625%, 2/15/2025, (EUR)		1,734,743
	2,460,000	Spain Government Bond, 1.950%, 7/30/2030, 144A, (EUR)(a)		3,562,918
	2,835,000	Spain Government Bond, 4.200%, 1/31/2037, 144A, (EUR)(a)		5,508,520
				20,347,786
		Supranationals – 1.6%
	2,665,000	Inter-American Development Bank, 4.400%, 1/26/2026, (CAD)(a)		2,475,818

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		Supranationals – continued
	37,000,000,000	International Bank for Reconstruction & Development, EMTN, 8.400%, 10/12/2021, (IDR)(a)	$	2,718,934
	18,000,000	Nordic Investment Bank, EMTN, 0.200%, 1/16/2023, (SEK)(a)		2,193,458
	44,510,000	Nordic Investment Bank, EMTN, 1.500%, 3/13/2025, (NOK)(a)		5,329,209
				12,717,419
		Sweden – 0.2%
	9,900,000	Sweden Government Bond, Series 1057, 1.500%, 11/13/2023, 144A, (SEK)(a)		1,268,213
		Switzerland – 0.1%
	105,000	Argentum Netherlands BV for Zurich Insurance Co. Ltd., EMTN, (fixed rate to 10/01/2026, variable rate thereafter), 3.500%, 10/01/2046, (EUR)(a)		147,930
	285,000	Cloverie PLC for Zurich Insurance Co. Ltd., EMTN, (fixed rate to 6/24/2026, variable rate thereafter), 5.625%, 6/24/2046(a)		333,023
	510,000	Willow No. 2 (Ireland) PLC for Zurich Insurance Co. Ltd., EMTN, (fixed rate to 10/01/2025, variable rate thereafter), 4.250%, 10/01/2045(a)		554,497
				1,035,450
		Thailand – 0.3%
	74,870,000	Thailand Government Bond, 1.600%, 12/17/2029, (THB)(a)		2,592,927
		United Arab Emirates – 0.6%
	735,000	DP World Crescent Ltd., MTN, 4.848%, 9/26/2028		853,519
	1,180,000	DP World PLC, MTN, 4.700%, 9/30/2049		1,360,280
	1,755,000	DP World PLC, MTN, 5.625%, 9/25/2048(a)		2,234,466
				4,448,265
		United Kingdom – 7.1%
	1,120,000	Aviva PLC, (fixed rate to 3/03/2035, variable rate thereafter), 4.000%, 6/03/2055, (GBP)(a)		1,768,494
	1,300,000	Aviva PLC, EMTN, (fixed rate to 12/04/2025, variable rate thereafter), 3.375%, 12/04/2045, (EUR)(a)		1,764,636
	360,000	Aviva PLC, EMTN, (fixed rate to 9/12/2029, variable rate thereafter), 4.375%, 9/12/2049, (GBP)		570,958
	1,425,000	Barclays PLC, 4.337%, 1/10/2028(a)		1,637,023
	1,050,000	Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035		1,137,717
	1,680,000	Barclays PLC, EMTN, (fixed rate to 1/24/2025, variable rate thereafter), 1.375%, 1/24/2026, (EUR)(a)		2,147,951
	1,321,646	Brass PLC, Series 8A, Class A1, 3-month LIBOR + 0.700%, 0.921%, 11/16/2066, 144A(a)(c)		1,326,261

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		United Kingdom – continued
$	3,490,000	British Telecommunications PLC, 3.250%, 11/08/2029, 144A(a)	$	3,849,696
	1,535,000	British Telecommunications PLC, 5.125%, 12/04/2028(a)		1,888,391
	100,000	British Telecommunications PLC, EMTN, 1.125%, 9/12/2029, (EUR)		128,142
	1,370,000	Channel Link Enterprises Finance PLC, Series A7, (fixed rate to 6/20/2022, variable rate thereafter), 1.761%, 6/30/2050, (EUR)(a)		1,665,443
	1,055,000	Channel Link Enterprises Finance PLC, Series A8, (fixed rate to 6/20/2027, variable rate thereafter), 2.706%, 6/30/2050, (EUR)(a)		1,315,275
	3,350,000	CK Hutchison International 19 Ltd., 3.625%, 4/11/2029, 144A(a)		3,788,891
	2,268,000	Co-Operative Bank PLC (The), 4.750%, 11/11/2021, (GBP)(a)		3,203,810
	722,565	Gosforth Funding PLC, Series 2018-1A, Class A1, 3-month LIBOR + 0.450%, 0.657%, 8/25/2060, 144A(a)(c)		722,607
	2,360,000	Heathrow Funding Ltd., EMTN, 1.875%, 3/14/2036, (EUR)(a)		3,133,837
	2,030,000	Lanark Master Issuer PLC, Series 2019-2A, Class 1A, 2.710%, 12/22/2069, 144A(a)(d)		2,064,567
	1,070,000	Lanark Master Issuer PLC, Series 2020-1A, Class 1A, 2.277%, 12/22/2069, 144A(a)(d)		1,087,955
	180,500	Lanark Master Issuer PLC, Series 2020-1A, Class 2A, 3-month SONIA + 0.570%, 0.624%, 12/22/2069, 144A, (GBP)(a)(c)		247,574
	2,250,000	Lloyds Banking Group PLC, (fixed rate to 7/09/2024, variable rate thereafter), 3.870%, 7/09/2025(a)		2,480,593
	460,000	Lloyds Banking Group PLC, (fixed rate to 3/18/2025, variable rate thereafter), EMTN, 4.500%, 3/18/2030, (EUR)(a)		642,713
	130,000	Lloyds Banking Group PLC, (fixed rate to 9/07/2023, variable rate thereafter), EMTN, 1.750%, 9/07/2028, (EUR)		163,433
	1,065,000	Nationwide Building Society, (fixed rate to 7/25/2024, variable rate thereafter), EMTN, 2.000%, 7/25/2029, (EUR)(a)		1,359,006
	305,000	Network Rail Infrastructure Finance PLC, EMTN, 4.750%, 1/22/2024, (GBP)(a)		476,193
	1,225,000	Penarth Master Issuer PLC, Series 2019-1A, Class A1, 1-month LIBOR + 0.540%, 0.684%, 7/18/2023, 144A(a)(c)		1,225,153
	225,000	Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A(a)		272,182
	435,000	United Kingdom Gilt, 1.500%, 7/22/2047, (GBP)(a)		703,806
	4,995,000	United Kingdom Gilt, 3.500%, 1/22/2045, (GBP)(a)		11,015,103
	350,000	United Kingdom Gilt, 4.500%, 9/07/2034, (GBP)(a)		739,679
	35,000	Vodafone Group PLC, 4.250%, 9/17/2050		43,350

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		United Kingdom – continued
$	2,035,000	Vodafone Group PLC, 5.250%, 5/30/2048(a)	$	2,834,651
				55,405,090
		United States – 37.9%
	565,000	AEP Transmission Co. LLC, Series M, 3.650%, 4/01/2050(a)		685,003
	560,000	AES Corp. (The), 3.950%, 7/15/2030, 144A(a)		633,030
	290,000,000	Aflac, Inc., 0.932%, 1/25/2027, (JPY)(a)		2,837,004
	390,000,000	Aflac, Inc., (fixed rate to 10/23/2027, variable rate thereafter), 2.108%, 10/23/2047, (JPY)(a)		3,983,888
	585,000	Air Lease Corp., MTN, 3.000%, 2/01/2030(a)		600,561
	275,000	Ally Financial, Inc., 3.875%, 5/21/2024		301,330
	590,000	Ally Financial, Inc., 4.625%, 3/30/2025		672,492
	360,000	Ally Financial, Inc., 5.800%, 5/01/2025		427,482
	2,980,000	American Tower Corp., 2.400%, 3/15/2025(a)		3,167,626
	717,000	AT&T, Inc., 3.550%, 9/15/2055, 144A		714,566
	3,390,000	AT&T, Inc., 3.650%, 6/01/2051(a)		3,549,645
	269,000	AT&T, Inc., 3.650%, 9/15/2059, 144A		271,620
	496,000	AT&T, Inc., 3.800%, 12/01/2057, 144A		518,289
	2,050,000	Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A(a)		2,061,446
	1,290,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A, 3.450%, 3/20/2023, 144A(a)		1,324,061
	1,805,000	Bank of America Corp., (fixed rate to 2/13/2030, variable rate thereafter), MTN, 2.496%, 2/13/2031(a)		1,917,030
	2,825,000	Bank of America Corp., (fixed rate to 4/29/2030, variable rate thereafter), 2.592%, 4/29/2031(a)		3,027,717
	370,998	Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, 4.000%, 4/28/2055, 144A(a)		380,844
	749,615	Bayview Opportunity Master Fund IVb Trust, Series 2019-RN4, Class A1, 3.278%, 10/28/2034, 144A(a)(d)		750,694
	85,000	Boeing Co. (The), 2.250%, 6/15/2026		86,998
	160,000	Boeing Co. (The), 3.100%, 5/01/2026(a)		171,327
	2,885,000	Boeing Co. (The), 3.250%, 2/01/2028		3,095,172
	10,000	Boeing Co. (The), 3.250%, 2/01/2035		10,255

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		United States – continued
$	120,000	Boeing Co. (The), 3.550%, 3/01/2038(a)	$	122,423
	40,000	Boeing Co. (The), 3.625%, 3/01/2048		40,330
	485,000	Boeing Co. (The), 3.750%, 2/01/2050(a)		507,213
	195,000	Boeing Co. (The), 3.825%, 3/01/2059(a)		198,083
	235,000	Boeing Co. (The), 3.850%, 11/01/2048(a)		242,393
	560,000	Boeing Co. (The), 3.950%, 8/01/2059(a)		599,344
	210,000	Boeing Co. (The), 5.805%, 5/01/2050(a)		289,410
	94,000	Broadcom Corp./Broadcom Cayman Finance Ltd., 3.500%, 1/15/2028		103,608
	300,000	Broadcom Corp./Broadcom Cayman Finance Ltd., 3.875%, 1/15/2027		336,692
	1,635,000	Broadcom, Inc., 4.300%, 11/15/2032		1,938,275
	265,000	Broadcom, Inc., 4.750%, 4/15/2029		316,071
	3,735,000	Broadcom, Inc., 5.000%, 4/15/2030(a)		4,540,310
	2,290,000	Centene Corp., 3.375%, 2/15/2030		2,409,286
	4,051,000	Centene Corp., 4.625%, 12/15/2029(a)		4,497,461
	2,910,000	Centene Corp., 3.000%, 10/15/2030		3,084,309
	400,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 2.800%, 4/01/2031		423,072
	805,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.700%, 4/01/2051		835,956
	600,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.800%, 3/01/2050		716,640
	3,525,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.050%, 3/30/2029(a)		4,285,919
	905,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.125%, 7/01/2049		1,104,565
	1,136,754	Citigroup Mortgage Loan Trust, Series 2018-A, Class A1, 4.000%, 1/25/2068, 144A(a)(d)		1,141,624
	3,925,738	Citigroup Mortgage Loan Trust, Series 2018-C, Class A1, 4.125%, 3/25/2059, 144A(a)(d)		3,926,057
	1,637,002	Citigroup Mortgage Loan Trust, Series 2019-B, Class A1, 3.258%, 4/25/2066, 144A(a)(d)		1,670,868
	1,645,098	Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 3.228%, 11/25/2070, 144A(a)(d)		1,653,067

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		United States – continued
$	3,177,000	Citigroup, Inc., (fixed rate to 3/31/2030, variable rate thereafter), 4.412%, 3/31/2031(a)	$	3,852,612
	760,000	Citigroup, Inc., (fixed rate to 6/03/2030, variable rate thereafter), 2.572%, 6/03/2031		810,054
	2,930,000	Citigroup, Inc., Series MPLE, 4.090%, 6/09/2025, (CAD)(a)		2,552,224
	3,475,000	Constellation Brands, Inc., 3.150%, 8/01/2029(a)		3,869,935
	405,000	Constellation Brands, Inc., 3.750%, 5/01/2050(a)		476,866
	600,000,000	Corning, Inc., 0.698%, 8/09/2024, (JPY)(a)		5,707,888
	1,349,655	Credit Suisse Mortgage Trust, Series 2019-RP10, Class A1, 3.089%, 12/26/2059, 144A(a)(d)		1,353,382
	660,000	CVS Health Corp., 3.250%, 8/15/2029(a)		743,315
	475,000	Dell International LLC/EMC Corp., 5.300%, 10/01/2029, 144A		582,326
	1,985,000	Dell International LLC/EMC Corp., 6.200%, 7/15/2030, 144A(a)		2,580,362
	3,485,000	Delta Air Lines, Inc./SkyMiles IP Ltd., 4.500%, 10/20/2025, 144A		3,724,974
	340,000	Delta Air Lines, Inc./SkyMiles IP Ltd., 4.750%, 10/20/2028, 144A		371,114
	330,652	Diamond Resorts Owner Trust, Series 2018-1, Class A, 3.700%, 1/21/2031, 144A(a)		345,318
	2,440,000	Diamondback Energy, Inc., 3.500%, 12/01/2029(a)		2,606,690
	1,180,000	Dominion Energy, Inc., Class C, 3.375%, 4/01/2030(a)		1,344,132
	745,000	Duke Realty LP, 2.875%, 11/15/2029(a)		823,665
	1,300,000	Energy Transfer Operating LP, 5.150%, 3/15/2045		1,408,801
	160,000	Enterprise Products Operating LLC, 3.700%, 1/31/2051(a)		176,125
	585,000	Ferguson Finance PLC, 3.250%, 6/02/2030, 144A(a)		652,339
	2,130,231	FHLMC, 4.000%, with various maturities from 2046 to 2048(a)(e)		2,319,039
	702,357	FHLMC, 4.500%, with various maturities from 2044 to 2048(a)(e)		773,329
	482,887	FNMA, 3.000%, 11/01/2046(a)		507,607
	1,634,705	FNMA, 3.500%, with various maturities from 2045 to 2047(a)(e)		1,749,190
	1,050,251	FNMA, 4.000%, with various maturities from 2047 to 2048(a)(e)		1,126,832
	1,732,504	FNMA, 4.500%, with various maturities from 2043 to 2047(a)(e)		1,914,764
	2,035,000	Ford Motor Credit Co. LLC, 4.000%, 11/13/2030		2,136,750

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		United States – continued
$	955,000	Freeport-McMoRan, Inc., 4.125%, 3/01/2028	$	1,001,556
	990,000	Freeport-McMoRan, Inc., 4.250%, 3/01/2030		1,066,725
	125,000	Freeport-McMoRan, Inc., 5.000%, 9/01/2027		132,500
	615,000	GATX Corp., 4.000%, 6/30/2030(a)		726,807
	1,415,000	GE Capital Funding LLC, 4.550%, 5/15/2032, 144A(a)		1,698,167
	1,790,000	General Electric Co., 4.350%, 5/01/2050(a)		2,176,905
	2,995,000	General Motors Co. , 6.125%, 10/01/2025(a)		3,632,841
	315,000	General Motors Financial Co., Inc., EMTN, 0.955%, 9/07/2023, (EUR)(a)		391,910
	1,015,680	GNMA, 1-month LIBOR + 1.770%, 1.916%, 5/20/2064(a)(c)		1,060,791
	869,219	GNMA, 1-month LIBOR + 2.002%, 2.148%, 11/20/2064(a)(c)		928,831
	1,061,647	GNMA, 1-month LIBOR + 2.058%, 2.204%, 11/20/2064(a)(c)		1,128,800
	1,914,832	GNMA, 1-month LIBOR + 2.306%, 2.455%, 10/20/2063(a)(c)		2,011,144
	74,001	GNMA, 3.762%, 1/20/2063(a)(d)		76,574
	228,340	GNMA, 4.481%, 4/20/2065(a)(d)		254,499
	1,497,229	GNMA, 4.567%, 2/20/2065(a)(d)		1,650,733
	5,121	GNMA, 4.630%, 12/20/2061(a)(d)		5,232
	1,306,461	GNMA, 4.644%, 7/20/2064(a)(d)		1,427,884
	1,396,578	GNMA, 4.655%, 7/20/2064(a)(d)		1,531,829
	2,496,901	GNMA, 4.663%, 5/20/2064(a)(d)		2,724,530
	800,000	IQVIA, Inc., 2.250%, 1/15/2028, (EUR)		985,139
	715,000	Keurig Dr Pepper, Inc., 3.430%, 6/15/2027(a)		816,542
	1,960,000	Keurig Dr Pepper, Inc., 3.800%, 5/01/2050(a)		2,347,511
	90,000	Kinder Morgan, Inc., 5.050%, 2/15/2046(a)		109,616
	3,660,000	Kraft Heinz Foods Co., 3.750%, 4/01/2030, 144A(a)		3,911,703
	845,000	Kraft Heinz Foods Co., 4.375%, 6/01/2046		910,631
	2,406,881	Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1, 3.250%, 11/25/2059, 144A(a)(d)		2,410,853

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		United States – continued
$	2,158,782	Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(a)(d)	$	2,165,384
	55,000	Lennar Corp., 4.750%, 5/30/2025		62,838
	420,000	Lennar Corp., 5.000%, 6/15/2027		494,550
	1,040,000	Nutrition & Biosciences, Inc., 3.468%, 12/01/2050, 144A		1,129,726
	1,322,241	OSW Structured Asset Trust, Series 2020-RPL1, Class A1, 3.072%, 12/26/2059, 144A(a)(d)		1,339,773
	895,000	Owens Corning, 3.875%, 6/01/2030(a)		1,032,350
	855,734	Preston Ridge Partners Mortgage LLC, Series 2019-3A, Class A1, 3.351%, 7/25/2024, 144A(a)(d)		857,526
	1,247,515	Preston Ridge Partners Mortgage LLC, Series 2019-4A, Class A1, 3.351%, 11/25/2024, 144A(a)(d)		1,249,574
	726,038	Preston Ridge Partners Mortgage LLC, Series 2020-1A, Class A1, 2.981%, 2/25/2025, 144A(a)(d)		727,658
	1,595,000	Prologis Euro Finance LLC, 0.250%, 9/10/2027, (EUR)(a)		1,975,254
	530,000	Prologis Euro Finance LLC, 0.375%, 2/06/2028, (EUR)(a)		661,350
	530,000,000	Prologis Yen Finance LLC, 0.972%, 9/25/2028, (JPY)(a)		5,178,606
	1,715,000	PulteGroup, Inc., 5.000%, 1/15/2027		2,023,700
	670,000	Quicken Loans LLC, 5.250%, 1/15/2028, 144A		715,225
	590,000	Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.625%, 3/01/2029, 144A		601,800
	2,280,000	Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A		2,365,500
	1,885,000	Regency Centers LP, 3.700%, 6/15/2030(a)		2,135,239
	1,585,000	Santander Drive Auto Receivables Trust, Series 2019-2, Class C, 2.900%, 10/15/2024(a)		1,622,481
	875,000	Santander Holdings USA, Inc., 3.244%, 10/05/2026(a)		950,267
	2,210,000	Seagate HDD Cayman, 3.125%, 7/15/2029, 144A		2,210,243
	2,825	SoFi Professional Loan Program LLC, Series 2018-C, Class A1FX, 3.080%, 1/25/2048, 144A(a)		2,830
	4,110,000	T-Mobile USA, Inc., 3.875%, 4/15/2030, 144A(a)		4,760,202
	1,645,000	T-Mobile USA, Inc., 4.375%, 4/15/2040, 144A(a)		2,007,509
	865,000	Thermo Fisher Scientific, Inc., EMTN, 1.875%, 10/01/2049, (EUR)(a)		1,220,203
	565,467	Towd Point HE Trust, Series 2019-HE1, Class A1, 1-month LIBOR + 0.900%, 1.048%, 4/25/2048, 144A(a)(c)		565,147
	2,220,000	U.S. Treasury Bond, 1.250%, 5/15/2050		2,013,956

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Non-Convertible Bonds – continued
		United States – continued
$	1,390,000	U.S. Treasury Bond, 1.625%, 11/15/2050	$	1,384,787
	5,040,000	U.S. Treasury Bond, 2.875%, 5/15/2043(a)(f)		6,371,662
	22,345,000	U.S. Treasury Note, 0.125%, 5/31/2022(a)		22,349,364
	16,745,000	U.S. Treasury Note, 0.625%, 5/15/2030(a)		16,370,854
	6,995,000	U.S. Treasury Note, 0.875%, 11/15/2030		6,972,048
	11,395,000	U.S. Treasury Note, 1.500%, 8/31/2021(a)		11,500,048
	420,000	U.S. Treasury Note, 1.500%, 2/15/2030		444,330
	23,236,000	UMBS® (TBA), 2.500%, 2/01/2051(g)		24,453,268
	1,005,926	United Airlines Pass Through Trust, Series 2016-1, Class B, 3.650%, 7/07/2027(a)		986,486
	1,214,896	United Airlines Pass Through Trust, Series 2016-2, Class B, 3.650%, 4/07/2027(a)		1,175,387
	565,000	Upjohn Finance BV, 1.362%, 6/23/2027, (EUR)		731,372
	3,270,000	Upjohn Finance BV, 1.908%, 6/23/2032, (EUR)(a)		4,418,084
	420,000	Valvoline, Inc., 3.625%, 6/15/2031, 144A		431,025
	991,000	Valvoline, Inc., 4.250%, 2/15/2030, 144A		1,050,460
	1,694,708	Vericrest Opportunity Loan Trust, Series 2019-NPL5, Class A1A, 3.352%, 9/25/2049, 144A(a)(d)		1,696,878
	803,014	Vericrest Opportunity Loan Trust, Series 2019-NPL9, Class A1A, 3.327%, 11/26/2049, 144A(a)(d)		805,313
	329,688	Vericrest Opportunity Loan Trust, Series 2020-NPL1, Class A1A, 3.228%, 1/25/2050, 144A(a)(d)		330,613
	732,589	Vericrest Opportunity Loan Trust, Series 2020-NPL2, Class A1A, 2.981%, 2/25/2050, 144A(a)(d)		733,162
	1,976,593	Vericrest Opportunity Loan Trust, Series 2020-NPL3, Class A1A, 2.981%, 2/25/2050, 144A(a)(d)		1,977,299
	570,000,000	Walmart, Inc., 0.183%, 7/15/2022, (JPY)(a)		5,504,509
				295,556,782
		Total Non-Convertible Bonds (Identified Cost $684,369,387)		741,576,103
	Municipals – 0.2%
		United States – 0.2%
	980,000	State of Illinois, 5.100%, 6/01/2033 (Identified Cost $973,918)		1,054,686
		Total Bonds and Notes (Identified Cost $685,343,305)		742,630,789

Principal Amount (‡)		Description	Value (†)
	Total Purchased Options – 0.0%
	(Identified Cost $114,912) (see detail below)		$	49,386
	Short-Term Investments – 5.1%
$	15,124,363	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2020 at 0.000% to be repurchased at $15,124,363 on 1/04/2021 collateralized by $15,426,900 U.S. Treasury Note, 0.125% due 12/31/2022 valued at $15,426,900 including accrued interest(h)		15,124,363
	24,305,000	U.S. Treasury Bills, 0.076%, 3/25/2021(i)		24,300,949
	710,000	U.S. Treasury Bills, 0.114%, 1/07/2021(i)		709,999
		Total Short-Term Investments (Identified Cost $40,135,091)		40,135,311
		Total Investments – 100.4% (Identified Cost $725,593,308)		782,815,486
		Other assets less liabilities – (0.4)%		(3,189,161	)
		Net Assets – 100.0%	$	779,626,325

Purchased Options – 0.0%

Description	Expiration Date		Exercise Price		Units of Currency		Notional Amount		Cost		Value (†)
Over-the-Counter Options on Currency – 0.0%
AUD Put(j)(k)		2/18/2021		0.75		10,324,000	$	5,969,466	$	78,782	$	45,368
JPY Call(j)(l)		2/16/2021		97.00		9,010,000		8,464,191		36,130		4,018
Total									$	114,912	$	49,386

Written Options – (0.0%)

Description	Expiration Date		Exercise Price		Units of Currency			Notional Amount			Premiums (Received)			Value (†)
Over-the-Counter Options on Currency – (0.0%)
AUD Call(k)		02/18/2021		0.785		(10,324,000	)	$	(6,248,041	)	$	(38,545	)	$	(60,451	)
AUD Put(k)		02/18/2021		0.73		(10,324,000	)		(5,810,280	)		(31,387	)		(17,168	)
Total											$	(69,932	)	$	(77,619	)

(†)	Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. 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. Over-the-counter (“OTC”) currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available. Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on quotations obtained from broker-dealers. Centrally cleared swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers. Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service. 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.
(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
(††)	Amount shown represents units. One unit represents a principal amount of 1,000.
(†††)	Amount shown represents principal amount including inflation adjustments.
(††††)	Amount shown represents units. One unit represents a principal amount of 100.
(a)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts or TBA transactions.
(b)	Perpetual bond with no specified maturity date.
(c)	Variable rate security. Rate as of December 31, 2020 is disclosed.
(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 December 31, 2020 is disclosed.
(e)	The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation and Federal National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.
(f)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

(g)	When-issued/delayed delivery. The Fund may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Fund at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Fund take delivery of the security. No interest accrues to the Fund until the transaction settles. Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Fund or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Fund covers its net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities at the custodian. Purchases of when-issued or delayed delivery securities may have a similar effect on the Fund’s NAV as if the Fund’s had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.
(h)	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 December 31, 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.
(i)	Interest rate represents discount rate at time of purchase; not a coupon rate.
(j)	Non-income producing security.
(k)	Counterparty is HSBC Bank USA
(l)	Counterparty is Credit Suisse International.
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 December 31, 2020, the value of Rule 144A holdings amounted to $142,264,156 or 18.2% of net assets.
ABS	Asset-Backed Securities
CPI	Consumer Price Index
EMTN	Euro Medium Term Note
FHLMC	Federal Home Loan Mortgage Corp.
FNMA	Federal National Mortgage Association
GMTN	Global Medium Term Note
GNMA	Government National Mortgage Association
LIBOR	London Interbank Offered Rate
MTN	Medium Term Note
SONIA	Sterling Overnight Index
TBA	To Be Announced
UMBS®	Uniform Mortgage-Backed Securities
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
CHF	Swiss Franc
CNY	Chinese Yuan Renminbi
COP	Colombian Peso
CZK	Czech Koruna
DKK	Danish Krone
EUR	Euro
GBP	British Pound
IDR	Indonesian Rupiah
ILS	Israeli Shekel
JPY	Japanese Yen
KRW	South Korean Won
MXN	Mexican Peso
MYR	Malaysian Ringgit
NOK	Norwegian Krone
NZD	New Zealand Dollar
PLN	Polish Zloty
SEK	Swedish Krona
SGD	Singapore Dollar
THB	Thai Baht
ZAR	South African Rand

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

At December 31, 2020, the Fund had the following open forward foreign currency contracts:

Counterparty	Delivery Date		Currency Bought/ Sold (B/S)			Units of Currency		In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
Bank of America, N.A.		3/02/2021		BRL	S		40,910,000	$	7,575,715	$	7,867,645	$	(291,930	)
Citibank N.A.		3/17/2021		ZAR	S		72,730,000		4,807,960		4,904,366		(96,406	)
Credit Suisse International		3/17/2021		CHF	B		3,258,000		3,676,554		3,687,888		11,334
Credit Suisse International		3/17/2021		JPY	B		3,465,416,000		33,291,857		33,589,444		297,587
HSBC Bank USA		3/17/2021		CAD	B		8,879,000		6,936,015		6,976,817		40,802
HSBC Bank USA		3/17/2021		COP	S		22,072,575,000		6,384,523		6,451,247		(66,724	)
HSBC Bank USA		3/17/2021		SGD	B		9,055,000		6,767,816		6,852,035		84,219
Morgan Stanley Capital Services, Inc.		3/17/2021		GBP	B		10,642,000		14,362,337		14,559,475		197,138
Standard Chartered Bank		3/17/2021		EUR	B		49,333,000		60,157,647		60,365,644		207,997
UBS AG		3/17/2021		AUD	B		8,540,000		6,429,339		6,587,841		158,502
Total												$	542,519

At December 31, 2020, the Fund had the following open forward cross currency contracts:

Counterparty	Settlement Date		Deliver/Units of Currency			Receive/Units of Currency			Notional Value		Unrealized Appreciation (Depreciation)
BNP Paribas S.A.		3/17/2021		EUR	2,729,380		SEK	28,011,000	$	3,407,166	$	67,398
Credit Suisse International		3/17/2021		IDR	21,947,060,000		JPY	160,314,536		1,553,890		2,164
Credit Suisse International		3/17/2021		PLN	13,192,000		EUR	2,946,649		3,605,626		73,145
HSBC Bank USA		3/17/2021		NOK	58,567,000		EUR	5,491,648		6,719,779		(109,096	)
UBS AG		3/17/2021		ZAR	80,905,000		EUR	4,410,268		5,396,564		(59,063	)
Total											$	(25,452	)

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 December 31, 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		3/31/2021		120	$	15,130,518	$	15,139,688	$	9,170
10 Year Japan Government Bond		3/15/2021		17		25,033,720		25,012,251		(21,469	)
Euro-Buxl® 30 Year Bond		3/08/2021		39		10,644,767		10,731,414		86,647
German Euro BOBL		3/08/2021		157		25,900,808		25,927,397		26,589
German Euro Bund		3/08/2021		13		2,819,297		2,821,181		1,884
UK Long Gilt		3/29/2021		101		18,516,203		18,720,457		204,254
Total									$	307,075

At December 31, 2020, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		3/22/2021		165	$	22,771,407	$	22,782,891	$	(11,484	)
30 Year U.S. Treasury Bond		3/22/2021		142		24,780,940		24,592,625		188,315
Ultra 10 Year U.S. Treasury Note		3/22/2021		297		46,370,809		46,438,734		(67,925	)
Ultra Long U.S. Treasury Bond		3/22/2021		13		2,774,710		2,776,312		(1,602	)
Total									$	107,304

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 December 31, 2020, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes*	$	—	$	742,630,789	$	—	$	742,630,789
Short-Term Investments		—		40,135,311		—		40,135,311
Purchased Options*		—		49,386		—		49,386
Total Investments		—		782,815,486		—		782,815,486
Forward Foreign Currency Contracts (unrealized appreciation)		—		1,140,286		—		1,140,286
Futures Contracts (unrealized appreciation)		516,859		—		—		516,859
Total	$	516,859	$	783,955,772	$	—	$	784,472,631

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Written Options*	$	—		$	(77,619	)	$	—	$	(77,619	)
Forward Foreign Currency Contracts (unrealized depreciation)		—			(623,219	)		—		(623,219	)
Futures Contracts (unrealized depreciation)		(102,480	)		—			—		(102,480	)
Total	$	(102,480	)	$	(700,838	)	$	—	$	(803,318	)

* Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

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 forward foreign currency contracts, futures contracts and option contracts.

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts and option contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. The Fund may also use forward foreign currency contracts and option contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the period ended December 31, 2020, the Fund engaged in forward foreign currency contracts and option contracts for hedging purposes and to gain exposure to foreign currencies.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the period ended December 31, 2020, the Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for the Fund, as of December 31, 2020:

Assets	Investments at value1		Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	49,386	$	1,140,286	$	—
Exchange-traded asset derivatives
Interest rate contracts		—		—		516,859
Total asset derivatives	$	49,386	$	1,140,286	$	516,859

Liabilities	Options written at value			Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(77,619	)	$	(623,219	)	$	—
Exchange-traded liability derivatives
Interest rate contracts		—			—			(102,480	)
Total liability derivatives	$	(77,619	)	$	(623,219	)	$	(102,480	)

¹ Represents purchased options, at value.

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.

Over-the-counter derivatives, including forward foreign currency contracts and option contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of December 31, 2020, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:

Counterparty	Derivatives			Collateral Pledged
Bank of America, N.A.	$	(291,930	)	$	300,000
Citibank N.A.		(96,406	)		100,000
HSBC Bank USA		(83,050	)		—

Timing differences may exist between when contracts under the ISDA agreement are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

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. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). 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 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 (i) 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 OTC derivative counterparties and 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, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of December 31, 2020:

Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
$	8,210,766	$	7,181,131

Net loss amount reflects cash received as collateral of $463,599.

Industry Summary at December 31, 2020 (Unaudited)

Treasuries	42.2	%
Banking	7.3
Mortgage Related	5.8
ABS Home Equity	4.0
Food & Beverage	3.8
Wireless	3.0
Technology	2.8
Other Investments, less than 2% each	26.4
Short-Term Investments	5.1
Total Investments	100.4
Other assets less liabilities (including open written options, forward foreign currency and futures contracts)	(0.4	)
Net Assets	100.0	%

Currency Exposure Summary at December 31, 2020 (Unaudited)

United States Dollar	52.7	%
Euro	13.3
Japanese Yen	9.1
Yuan Renminbi	6.6
British Pound	2.4
Other, less than 2% each	16.3
Total Investments	100.4
Other assets less liabilities (including open written options, forward foreign currency and futures contracts)	(0.4	)
Net Assets	100.0	%