Loomis Sayles Funds I NPORT-P/A Loomis Sayles Intermediate Duration Bond Fund (Jun 2021 report)

PORTFOLIO OF INVESTMENTS – as of June 30, 2021 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund

Principal Amount		Description	Value (†)
Bonds and Notes – 98.8% of Net Assets
		ABS Car Loan – 8.5%
$	845,000	American Credit Acceptance Receivables Trust, Series 2019-4, Class C, 2.690%, 12/12/2025, 144A	$	855,806
	90,000	American Credit Acceptance Receivables Trust, Series 2020-2, Class B, 2.480%, 9/13/2024, 144A		91,277
	135,000	American Credit Acceptance Receivables Trust, Series 2020-3, Class B, 1.150%, 8/13/2024, 144A		135,692
	240,000	American Credit Acceptance Receivables Trust, Series 2020-4, Class C, 1.310%, 12/14/2026, 144A		242,239
	510,000	AmeriCredit Automobile Receivables Trust, Series 2018-3, Class B, 3.580%, 10/18/2024		520,363
	480,000	AmeriCredit Automobile Receivables Trust, Series 2019-2, Class B, 2.540%, 7/18/2024		490,579
	625,924	AmeriCredit Automobile Receivables Trust, Series 2019-3, Class A3, 2.060%, 4/18/2024		631,472
	385,000	AmeriCredit Automobile Receivables Trust, Series 2020-1, Class A3, 1.110%, 8/19/2024		387,284
	110,000	AmeriCredit Automobile Receivables Trust, Series 2020-2, Class A3, 0.660%, 12/18/2024		110,396
	265,000	AmeriCredit Automobile Receivables Trust, Series 2020-2, Class B, 0.970%, 2/18/2026		266,865
	125,000	AmeriCredit Automobile Receivables Trust, Series 2020-3, Class C, 1.060%, 8/18/2026		125,884
	215,000	AmeriCredit Automobile Receivables Trust, Series 2021-2, Class B, 0.690%, 1/19/2027		215,751
	100,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A, 3.450%, 3/20/2023, 144A		101,602
	140,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A		150,146
	5,095	Bank of The West Auto Trust, Series 2017-1, Class A3, 2.110%, 1/15/2023, 144A		5,099
	356,750	Bank of The West Auto Trust, Series 2019-1, Class A3, 2.430%, 4/15/2024, 144A		361,046
	505,127	Capital One Prime Auto Receivables Trust, Series 2019-2, Class A3, 1.920%, 5/15/2024		510,974
	87,314	CarMax Auto Owner Trust, Series 2019-4, Class A2A, 2.010%, 3/15/2023		87,488
	510,000	CarMax Auto Owner Trust, Series 2020-2, Class A3, 1.700%, 11/15/2024		516,903
	485,000	CarMax Auto Owner Trust, Series 2020-3, Class A3, 0.620%, 3/17/2025		487,936
	77,221	Carvana Auto Receivables Trust, Series 2019-3A, Class A3, 2.340%, 6/15/2023, 144A		77,298
	220,000	Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.750%, 3/10/2028		219,563
	145,000	CPS Auto Receivables Trust, Series 2020-A, Class B, 2.360%, 2/15/2024, 144A		145,963
	595,000	Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A, 2.380%, 11/15/2028, 144A		606,408
	435,000	Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A, 2.010%, 2/15/2029, 144A		443,168

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	$	604,865
	315,000	Credit Acceptance Auto Loan Trust, Series 2020-2A, Class A, 1.370%, 7/16/2029, 144A		318,754
	265,000	Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.000%, 5/15/2030, 144A		265,528
	111,038	Drive Auto Receivables Trust, Series 2019-3, Class B, 2.650%, 2/15/2024		111,425
	405,000	Drive Auto Receivables Trust, Series 2021-1, Class B, 0.650%, 7/15/2025		405,674
	199,112	DT Auto Owner Trust, Series 2019-1A, Class C, 3.610%, 11/15/2024, 144A		200,791
	270,000	DT Auto Owner Trust, Series 2019-2A, Class C, 3.180%, 2/18/2025, 144A		273,613
	104,484	DT Auto Owner Trust, Series 2019-4A, Class B, 2.360%, 1/16/2024, 144A		105,028
	74,165	DT Auto Owner Trust, Series 2020-2A, Class A, 1.140%, 1/16/2024, 144A		74,445
	320,000	DT Auto Owner Trust, Series 2020-2A, Class C, 3.280%, 3/16/2026, 144A		332,951
	30,000	DT Auto Owner Trust, Series 2021-1A, Class B, 0.620%, 9/15/2025, 144A		29,999
	300,000	DT Auto Owner Trust, Series 2021-2A, Class B, 0.810%, 1/15/2027, 144A		300,772
	165,855	Exeter Automobile Receivables Trust, Series 2020-1A, Class B, 2.260%, 4/15/2024, 144A		166,657
	28,598	Exeter Automobile Receivables Trust, Series 2020-2A, Class A, 1.130%, 8/15/2023, 144A		28,626
	440,000	Exeter Automobile Receivables Trust, Series 2020-2A, Class C, 3.280%, 5/15/2025, 144A		453,648
	275,000	Exeter Automobile Receivables Trust, Series 2021-1A, Class B, 0.500%, 2/18/2025		275,147
	330,000	Exeter Automobile Receivables Trust, Series 2021-2A, Class B, 0.570%, 9/15/2025		330,154
	120,783	First Investors Auto Owner Trust, Series 2019-2A, Class A, 2.210%, 9/16/2024, 144A		121,637
	800,000	Flagship Credit Auto Trust, Series 2018-4, Class B, 3.880%, 10/16/2023, 144A		807,074
	342,262	Flagship Credit Auto Trust, Series 2020-1, Class A, 1.900%, 8/15/2024, 144A(a)		345,531
	915,000	Flagship Credit Auto Trust, Series 2020-1, Class B, 2.050%, 2/17/2025, 144A		934,022
	290,000	Flagship Credit Auto Trust, Series 2021-2, Class B, 0.930%, 6/15/2027, 144A		290,391
	595,000	Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.190%, 7/15/2031, 144A(a)		641,893
	175,000	Ford Credit Auto Owner Trust, Series 2020-A, Class A3, 1.040%, 8/15/2024		176,331
	785,000	Ford Credit Auto Owner Trust, Series 2020-B, Class A3, 0.560%, 10/15/2024(a)		788,817
	570,000	Ford Credit Auto Owner Trust, Series 2021-1, Class A, 1.370%, 10/17/2033, 144A		573,959
	635,000	Ford Credit Floorplan Master Owner Trust, Series 2019-1, Class A, 2.840%, 3/15/2024		646,663

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		ABS Car Loan – continued
$	3,746	GLS Auto Receivables Issuer Trust, Series 2019-2A, Class A, 3.060%, 4/17/2023, 144A	$	3,750
	260,000	GLS Auto Receivables Issuer Trust, Series 2019-4A, Class B, 2.780%, 9/16/2024, 144A		265,320
	108,568	GLS Auto Receivables Issuer Trust, Series 2020-2A, Class A, 1.580%, 8/15/2024, 144A		109,578
	300,000	GLS Auto Receivables Issuer Trust, Series 2020-3A, Class B, 1.380%, 8/15/2024, 144A		302,393
	265,000	GLS Auto Receivables Issuer Trust, Series 2020-4A, Class C, 1.140%, 11/17/2025, 144A		266,230
	105,109	GLS Auto Receivables Trust, Series 2018-3A, Class B, 3.780%, 8/15/2023, 144A		105,917
	340,000	GLS Auto Receivables Trust, Series 2021-2A, Class B, 0.770%, 9/15/2025, 144A		340,036
	140,000	GM Financial Automobile Leasing Trust, Series 2020-2, Class A3, 0.800%, 7/20/2023		140,750
	328,327	GM Financial Consumer Automobile Receivables Trust, Series 2019-3, Class A3, 2.180%, 4/16/2024		332,116
	145,000	GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3, 1.490%, 12/16/2024		147,056
	180,000	GMF Floorplan Owner Revolving Trust, Series 2020-1, Class A, 0.680%, 8/15/2025, 144A		180,855
	187,145	Honda Auto Receivables Owner Trust, Series 2020-2, Class A2, 0.740%, 11/15/2022		187,455
	455,000	Honda Auto Receivables Owner Trust, Series 2020-2, Class A3, 0.820%, 7/15/2024		457,932
	391,279	Hyundai Auto Receivables Trust, Series 2019-B, Class A3, 1.940%, 2/15/2024		395,132
	170,000	Hyundai Auto Receivables Trust, Series 2020-A, Class A3, 1.410%, 11/15/2024		172,444
	290,000	Mercedes-Benz Auto Receivables Trust, Series 2020-1, Class A3, 0.550%, 2/18/2025		291,541
	310,000	NextGear Floorplan Master Owner Trust, Series 2018-2A, Class A2, 3.690%, 10/15/2023, 144A		313,101
	865,000	NextGear Floorplan Master Owner Trust, Series 2020-1A, Class A2, 1.550%, 2/15/2025, 144A(a)		880,828
	377,580	Prestige Auto Receivables Trust, Series 2019-1A, Class A3, 2.450%, 5/15/2023, 144A(a)		378,692
	695,000	Prestige Auto Receivables Trust, Series 2020-1A, Class C, 1.310%, 11/16/2026, 144A		700,803
	210,000	Santander Consumer Auto Receivables Trust, Series 2020-AA, Class C, 3.710%, 2/17/2026, 144A		220,535
	300,000	Santander Consumer Auto Receivables Trust, Series 2020-BA, Class A3, 0.460%, 8/15/2024, 144A		300,536
	71,857	Santander Drive Auto Receivables Trust, Series 2018-5, Class C, 3.810%, 12/16/2024		72,065
	370,000	Santander Drive Auto Receivables Trust, Series 2019-2, Class C, 2.900%, 10/15/2024		375,097
	137,527	Santander Drive Auto Receivables Trust, Series 2020-1, Class A3, 2.030%, 2/15/2024		138,234
	175,000	Santander Drive Auto Receivables Trust, Series 2020-2, Class A3, 0.670%, 4/15/2024		175,291
	520,000	Santander Drive Auto Receivables Trust, Series 2020-2, Class B, 0.960%, 11/15/2024		523,045

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		ABS Car Loan – continued
$	615,000	Santander Drive Auto Receivables Trust, Series 2020-3, Class C, 1.120%, 1/15/2026	$	620,367
	170,000	Santander Drive Auto Receivables Trust, Series 2020-4, Class C, 1.010%, 1/15/2026		170,986
	460,000	Santander Drive Auto Receivables Trust, Series 2021-2, Class C, 0.900%, 6/15/2026		460,741
	440,000	Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.350%, 5/25/2033, 144A		448,734
	200,000	Toyota Auto Receivables Owner Trust, Series 2020-B, Class A3, 1.360%, 8/15/2024		203,066
	683,111	Westlake Automobile Receivables Trust, Series 2019-2A, Class B, 2.620%, 7/15/2024, 144A(a)		685,897
	225,000	Westlake Automobile Receivables Trust, Series 2019-3A, Class B, 2.410%, 10/15/2024, 144A		226,733
	457,186	Westlake Automobile Receivables Trust, Series 2020-2A, Class A2A, 0.930%, 2/15/2024, 144A(a)		458,564
	400,000	Westlake Automobile Receivables Trust, Series 2020-2A, Class C, 2.010%, 7/15/2025, 144A		407,394
	590,000	Westlake Automobile Receivables Trust, Series 2021-1A, Class B, 0.640%, 3/16/2026, 144A		590,627
	270,000	Westlake Automobile Receivables Trust, Series 2021-2A, Class B, 0.620%, 7/15/2026, 144A		269,944
	13,769	World Omni Auto Receivables Trust, Series 2017-B, Class A3, 1.950%, 2/15/2023		13,815
	635,000	World Omni Auto Receivables Trust, Series 2020-B, Class A3, 0.630%, 5/15/2025		638,771
	310,000	World Omni Select Auto Trust, Series 2020-A, Class A3, 0.550%, 7/15/2025		310,714
				30,674,682
		ABS Credit Card – 0.6%
	620,000	American Express Credit Account Master Trust, Series 2019-1, Class A, 2.870%, 10/15/2024		631,740
	925,000	Barclays Dryrock Issuance Trust, Series 2019-1, Class A, 1.960%, 5/15/2025(a)		942,221
	585,000	World Financial Network Credit Card Master Trust, Series 2019-C, Class A, 2.210%, 7/15/2026		598,691
				2,172,652
		ABS Home Equity – 0.1%
	124,469	Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, 4.000%, 4/28/2055, 144A		127,327
	29,955	CoreVest American Finance Trust, Series 2017-1, Class A, 2.968%, 10/15/2049, 144A		30,020
	2,711	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)		2,708
	24,625	Mill City Mortgage Loan Trust, Series 2016-1, Class A1, 2.500%, 4/25/2057, 144A(b)		24,755
				184,810
		ABS Other – 1.5%
	269,355	Chesapeake Funding II LLC, Series 2020-1A, Class A1, 0.870%, 8/16/2032, 144A		270,737

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		ABS Other – continued
$	135,708	CNH Equipment Trust, Series 2020-A, Class A2, 1.080%, 7/17/2023	$	135,938
	250,000	CNH Equipment Trust, Series 2020-A, Class A3, 1.160%, 6/16/2025		252,743
	103,545	Diamond Resorts Owner Trust, Series 2018-1, Class A, 3.700%, 1/21/2031, 144A		107,868
	795,000	Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034, 144A		795,946
	255,000	Kubota Credit Owner Trust, Series 2020-1A, Class A3, 1.960%, 3/15/2024, 144A		259,925
	174,289	Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(b)		167,422
	134,354	MVW LLC, Series 2020-1A, Class A, 1.740%, 10/20/2037, 144A		136,652
	394,448	OneMain Financial Issuance Trust, Series 2018-1A, Class A, 3.300%, 3/14/2029, 144A(a)		395,689
	254,242	S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A		251,442
	31,110	Sierra Timeshare Conduit Receivables Funding LLC, Series 2017-1A, Class A, 2.910%, 3/20/2034, 144A		31,472
	187,050	Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A, 1.330%, 7/20/2037, 144A		187,795
	2,180,000	Verizon Owner Trust, Series 2019-B, Class A1A, 2.330%, 12/20/2023(a)		2,203,980
	113,929	Wheels SPV 2 LLC, Series 2019-1A, Class A2, 2.300%, 5/22/2028, 144A		114,680
				5,312,289
		ABS Student Loan – 0.2%
	24,872	Earnest Student Loan Program LLC, Series 2017-A, Class A2, 2.650%, 1/25/2041, 144A		24,983
	164,021	Massachusetts Educational Financing Authority, Series 2018-A, Class A, 3.850%, 5/25/2033		173,722
	107,380	Navient Private Education Refi Loan Trust, Series 2020-GA, Class A, 1.170%, 9/16/2069, 144A		107,920
	152,673	Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A		153,689
	27,159	North Carolina State Education Assistance Authority, Series 2011-2, Class A2, 3-month LIBOR + 0.800%, 0.976%, 7/25/2025(c)		27,179
	46,601	SoFi Professional Loan Program LLC, Series 2016-B, Class A2B, 2.740%, 10/25/2032, 144A		47,130
	85,414	SoFi Professional Loan Program LLC, Series 2017-E, Class A2B, 2.720%, 11/26/2040, 144A		86,906
				621,529
		ABS Whole Business – 0.1%
	520,288	Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048, 144A		534,321
		Aerospace & Defense – 0.2%
	630,000	Boeing Co. (The), 2.196%, 2/04/2026		636,022

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Aerospace & Defense – continued
$	29,000	Raytheon Technologies Corp., 3.650%, 8/16/2023	$	30,774
				666,796
		Agency Commercial Mortgage-Backed Securities – 0.7%
	509,476	FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(a)(b)		531,563
	701,647	FHLMC Multifamily Structured Pass Through Certificates, Series K042, Class A2, 2.670%, 12/25/2024(a)		745,146
	1,175,000	FHLMC Multifamily Structured Pass Through Certificates, Series KJ26, Class A2, 2.606%, 7/25/2027(a)		1,258,035
	76,555	FHLMC Multifamily Structured Pass Through Certificates, Series KJ28, Class A1, 1.766%, 2/25/2025		77,397
				2,612,141
		Automotive – 2.3%
	1,440,000	American Honda Finance Corp., MTN, 0.875%, 7/07/2023		1,452,973
	145,000	American Honda Finance Corp., MTN, 3.625%, 10/10/2023		155,309
	290,000	BMW U.S. Capital LLC, 1.850%, 9/15/2021, 144A		290,578
	160,000	Daimler Finance North America LLC, 3.350%, 2/22/2023, 144A		167,288
	360,000	General Motors Financial Co., Inc., 4.150%, 6/19/2023		382,343
	295,000	Harley-Davidson Financial Services, Inc., 3.350%, 6/08/2025, 144A		315,545
	220,000	Harley-Davidson Financial Services, Inc., 4.050%, 2/04/2022, 144A		224,620
	1,045,000	Hyundai Capital America, 1.800%, 1/10/2028, 144A		1,035,650
	195,000	Hyundai Capital America, 2.375%, 2/10/2023, 144A		200,158
	95,000	Hyundai Capital America, 3.000%, 6/20/2022, 144A		97,173
	240,000	Kia Corp., 1.000%, 4/16/2024, 144A		241,217
	275,000	Nissan Motor Acceptance Corp., 3.450%, 3/15/2023, 144A		286,270
	105,000	PACCAR Financial Corp., MTN, 0.800%, 6/08/2023		105,870
	160,000	PACCAR Financial Corp., MTN, 1.800%, 2/06/2025		164,126
	955,000	PACCAR Financial Corp., MTN, 1.900%, 2/07/2023		978,461
	250,000	Toyota Motor Credit Corp., MTN, 1.150%, 5/26/2022		252,144
	295,000	Toyota Motor Credit Corp., MTN, 1.800%, 10/07/2021		296,274
	480,000	Toyota Motor Credit Corp., MTN, 1.900%, 4/06/2028		489,065
	555,000	Volkswagen Group of America Finance LLC, 1.250%, 11/24/2025, 144A		551,724

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Automotive – continued
$	275,000	Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A	$	296,755
	290,000	Volkswagen Group of America Finance LLC, 4.250%, 11/13/2023, 144A		313,420
				8,296,963
		Banking – 17.4%
	1,165,000	Ally Financial, Inc., 3.050%, 6/05/2023		1,215,726
	495,000	American Express Co., 3.700%, 8/03/2023		527,131
	1,145,000	ANZ New Zealand International Ltd., 1.250%, 6/22/2026, 144A		1,139,776
	625,000	ANZ New Zealand International Ltd., 1.900%, 2/13/2023, 144A		640,415
	1,190,000	Australia & New Zealand Banking Group Ltd., MTN, 2.050%, 11/21/2022		1,218,898
	800,000	Banco Bilbao Vizcaya Argentaria S.A., 0.875%, 9/18/2023		802,766
	400,000	Banco Santander S.A., 2.958%, 3/25/2031		412,148
	600,000	Bank of America Corp., (fixed rate to 4/22/2031, variable rate thereafter), 2.687%, 4/22/2032		617,277
	1,200,000	Bank of America Corp., MTN, (fixed rate to 6/14/2028, variable rate thereafter), 2.087%, 6/14/2029		1,209,710
	395,000	Bank of Ireland Group PLC, 4.500%, 11/25/2023, 144A		426,812
	175,000	Bank of Montreal, MTN, 1.850%, 5/01/2025		180,512
	725,000	Bank of Montreal, MTN, 2.050%, 11/01/2022		741,838
	655,000	Bank of New York Mellon Corp. (The), MTN, 1.600%, 4/24/2025		672,592
	1,235,000	Bank of New Zealand, 2.000%, 2/21/2025, 144A		1,277,019
	885,000	Bank of Nova Scotia (The), 0.550%, 9/15/2023		886,862
	870,000	Bank of Nova Scotia (The), 2.000%, 11/15/2022		889,670
	1,260,000	Bank of Nova Scotia (The), 2.150%, 8/01/2031		1,255,237
	200,000	Banque Federative du Credit Mutuel S.A., 2.375%, 11/21/2024, 144A		208,943
	460,000	Banque Federative du Credit Mutuel S.A., 2.700%, 7/20/2022, 144A		471,835
	485,000	Banque Federative du Credit Mutuel S.A., 3.750%, 7/20/2023, 144A		516,803
	795,000	Barclays PLC, (fixed rate to 5/16/2023, variable rate thereafter), 4.338%, 5/16/2024		847,618
	215,000	BNP Paribas S.A., (fixed rate to 1/13/2026, variable rate thereafter), 1.323%, 1/13/2027, 144A		212,395
	905,000	BNP Paribas S.A., (fixed rate to 4/19/2031, variable rate thereafter), 2.871%, 4/19/2032, 144A		929,408

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Banking – continued
$	675,000	BNP Paribas S.A., (fixed rate to 6/09/2025, variable rate thereafter), 2.219%, 6/09/2026, 144A	$	695,660
	940,000	Citigroup, Inc., (fixed rate to 11/04/2021, variable rate thereafter), 2.312%, 11/04/2022		945,900
	510,000	Citigroup, Inc., (fixed rate to 4/08/2025, variable rate thereafter), 3.106%, 4/08/2026		545,798
	230,000	Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025		230,547
	225,000	Comerica, Inc., 3.700%, 7/31/2023		239,146
	660,000	Cooperatieve Rabobank U.A., 2.750%, 1/10/2023		684,400
	980,000	Cooperatieve Rabobank U.A., (fixed rate to 2/24/2026, variable rate thereafter), 1.106%, 2/24/2027, 144A		966,156
	750,000	Credit Agricole S.A., (fixed rate to 6/16/2025, variable rate thereafter), 1.907%, 6/16/2026, 144A		764,656
	405,000	Credit Suisse AG, 2.100%, 11/12/2021		407,771
	725,000	Credit Suisse Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032, 144A		746,932
	525,000	Credit Suisse Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A		537,553
	940,000	Danske Bank A/S, 3.875%, 9/12/2023, 144A		1,000,293
	250,000	Deutsche Bank AG, (fixed rate to 11/24/2025, variable rate thereafter), 2.129%, 11/24/2026		253,677
	395,000	Deutsche Bank AG, (fixed rate to 11/26/2024, variable rate thereafter), 3.961%, 11/26/2025		427,031
	190,000	Deutsche Bank AG, (fixed rate to 5/28/2031, variable rate thereafter), 3.035%, 5/28/2032		193,201
	205,000	DNB Bank ASA, 2.150%, 12/02/2022, 144A		210,350
	1,055,000	DNB Bank ASA, (fixed rate to 9/16/2025, variable rate thereafter), 1.127%, 9/16/2026, 144A		1,046,832
	520,000	Goldman Sachs Group, Inc. (The), (fixed rate to 10/31/2021, variable rate thereafter), 2.876%, 10/31/2022		524,092
	510,000	Goldman Sachs Group, Inc. (The), (fixed rate to 12/09/2025, variable rate thereafter), 1.093%, 12/09/2026		502,081
	480,000	Goldman Sachs Group, Inc. (The), (fixed rate to 3/09/2026, variable rate thereafter), 1.431%, 3/09/2027		478,647
	445,000	Goldman Sachs Group, Inc. (The), (fixed rate to 4/22/2031, variable rate thereafter), 2.615%, 4/22/2032		454,597
	915,000	HSBC Holdings PLC, (fixed rate to 5/24/2031, variable rate thereafter), 2.804%, 5/24/2032		939,018
	520,000	HSBC Holdings PLC, (fixed rate to 9/12/2025, variable rate thereafter), 4.292%, 9/12/2026		578,699
	220,000	ING Groep NV, (fixed rate to 4/01/2031, variable rate thereafter), 2.727%, 4/01/2032		226,253
	865,000	JPMorgan Chase & Co., (fixed rate to 11/19/2025, variable rate thereafter), 1.045%, 11/19/2026		854,051
	535,000	JPMorgan Chase & Co., (fixed rate to 4/01/2022, variable rate thereafter), 3.207%, 4/01/2023		546,612

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Banking – continued
$	480,000	JPMorgan Chase & Co., (fixed rate to 4/22/2026, variable rate thereafter), 1.578%, 4/22/2027	$	482,487
	510,000	JPMorgan Chase & Co., (fixed rate to 6/01/2023, variable rate thereafter), 1.514%, 6/01/2024		520,055
	1,070,000	JPMorgan Chase & Co., (fixed rate to 6/01/2028, variable rate thereafter), 2.069%, 6/01/2029		1,078,411
	1,520,000	JPMorgan Chase & Co., (fixed rate to 6/23/2024, variable rate thereafter), 0.969%, 6/23/2025		1,521,796
	495,000	Lloyds Banking Group PLC, 4.050%, 8/16/2023		530,686
	375,000	Lloyds Banking Group PLC, (fixed rate to 7/09/2024, variable rate thereafter), 3.870%, 7/09/2025		406,264
	1,195,000	Macquarie Bank Ltd., 2.100%, 10/17/2022, 144A		1,222,458
	65,000	Macquarie Bank Ltd., 2.300%, 1/22/2025, 144A		67,825
	365,000	Macquarie Group Ltd., (fixed rate to 1/12/2026, variable rate thereafter), 1.340%, 1/12/2027, 144A		361,935
	895,000	Macquarie Group Ltd., (fixed rate to 6/23/2031, variable rate thereafter), 2.691%, 6/23/2032, 144A		897,340
	1,780,000	Morgan Stanley, (fixed rate to 5/30/2024, variable rate thereafter), 0.790%, 5/30/2025		1,773,718
	930,000	National Australia Bank Ltd., 3.700%, 11/04/2021		940,091
	625,000	National Bank of Canada, 2.150%, 10/07/2022, 144A		638,820
	620,000	Nationwide Building Society, (fixed rate to 3/08/2023, variable rate thereafter), 3.766%, 3/08/2024, 144A		651,086
	345,000	Natwest Group PLC, (fixed rate to 6/14/2026, variable rate thereafter), 1.642%, 6/14/2027		344,957
	570,000	NatWest Markets PLC, 0.800%, 8/12/2024, 144A		567,388
	1,020,000	NatWest Markets PLC, 3.625%, 9/29/2022, 144A		1,060,824
	210,000	Northern Trust Corp., (fixed rate to 5/08/2027, variable rate thereafter), 3.375%, 5/08/2032		228,344
	825,000	Royal Bank of Canada, 1.200%, 4/27/2026		824,432
	690,000	Santander Holdings USA, Inc., 3.450%, 6/02/2025		741,491
	245,000	Societe Generale S.A., 1.375%, 7/08/2025, 144A		246,219
	1,255,000	Societe Generale S.A., (fixed rate to 6/09/2026, variable rate thereafter), 1.792%, 6/09/2027, 144A		1,251,949
	820,000	Standard Chartered PLC, (fixed rate to 1/30/2025, variable rate thereafter), 2.819%, 1/30/2026, 144A		860,620
	530,000	Standard Chartered PLC, (fixed rate to 5/21/2024, variable rate thereafter), 3.785%, 5/21/2025, 144A		569,740
	1,135,000	Standard Chartered PLC, (fixed rate to 6/29/2031, variable rate thereafter), 2.678%, 6/29/2032, 144A		1,138,814
	245,000	State Street Corp., (fixed rate to 3/30/2025, variable rate thereafter), 2.901%, 3/30/2026		261,586
	305,000	State Street Corp., (fixed rate to 5/15/2022, variable rate thereafter), 2.653%, 5/15/2023		311,121

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Banking – continued
$	545,000	Sumitomo Mitsui Financial Group, Inc., 2.696%, 7/16/2024	$	576,134
	235,000	Sumitomo Mitsui Financial Group, Inc., 2.784%, 7/12/2022		241,005
	1,040,000	Sumitomo Mitsui Trust Bank Ltd., 0.850%, 3/25/2024, 144A		1,041,589
	515,000	Svenska Handelsbanken AB, 3.900%, 11/20/2023		557,971
	1,400,000	Swedbank AB, 1.300%, 6/02/2023, 144A		1,421,560
	75,000	Synchrony Financial, 4.250%, 8/15/2024		81,955
	675,000	Toronto-Dominion Bank (The), 0.750%, 9/11/2025		668,596
	430,000	Toronto-Dominion Bank (The), MTN, 1.200%, 6/03/2026		430,541
	700,000	Toronto-Dominion Bank (The), MTN, 1.900%, 12/01/2022		715,960
	375,000	Truist Financial Corp., (fixed rate to 3/02/2026, variable rate thereafter), MTN, 1.267%, 3/02/2027		374,579
	770,000	Truist Financial Corp., MTN, 3.050%, 6/20/2022		789,097
	515,000	Truist Financial Corp., MTN, (fixed rate to 6/07/2028, variable rate thereafter), 1.887%, 6/07/2029		516,560
	665,000	UniCredit SpA, 3.750%, 4/12/2022, 144A		680,997
	375,000	UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter), 1.982%, 6/03/2027, 144A		373,598
	585,000	UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026, 144A		593,099
	340,000	Wells Fargo & Co., (fixed rate to 4/30/2025, variable rate thereafter), 2.188%, 4/30/2026		352,986
	1,030,000	Wells Fargo Bank NA, 3.625%, 10/22/2021		1,037,761
	680,000	Westpac Banking Corp., 2.150%, 6/03/2031		687,425
	195,000	Westpac Banking Corp., 2.800%, 1/11/2022		197,700
				63,140,914
		Brokerage – 1.1%
	415,000	Ameriprise Financial, Inc., 3.000%, 3/22/2022		423,223
	890,000	Blue Owl Finance LLC, 3.125%, 6/10/2031, 144A		883,285
	515,000	Charles Schwab Corp. (The), 2.000%, 3/20/2028		528,297
	465,000	Intercontinental Exchange, Inc., 2.100%, 6/15/2030		462,345
	1,300,000	National Securities Clearing Corp., 1.200%, 4/23/2023, 144A(a)		1,320,371
	425,000	Owl Rock Technology Finance Corp., 3.750%, 6/17/2026, 144A		446,889
				4,064,410

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Building Materials – 0.2%
$	895,000	Eagle Materials, Inc., 2.500%, 7/01/2031	$	886,669
		Cable Satellite – 0.3%
	960,000	Cox Communications, Inc., 2.600%, 6/15/2031, 144A		974,393
		Chemicals – 0.4%
	360,000	Cabot Corp., 4.000%, 7/01/2029		389,445
	140,000	Huntsman International LLC, 2.950%, 6/15/2031		141,999
	960,000	Nutrien Ltd., 1.900%, 5/13/2023		983,393
				1,514,837
		Collateralized Mortgage Obligations – 1.5%
	404,260	Government National Mortgage Association, Series 2010-H02, Class FA, 1-month LIBOR + 0.680%, 0.770%, 2/20/2060(c)		406,153
	236,984	Government National Mortgage Association, Series 2010-H03, Class FA, 1-month LIBOR + 0.550%, 0.640%, 3/20/2060(c)		238,269
	135,462	Government National Mortgage Association, Series 2014-H14, Class FA, 1-month LIBOR + 0.500%, 0.610%, 7/20/2064(c)		136,369
	105,385	Government National Mortgage Association, Series 2014-H15, Class FA, 1-month LIBOR + 0.500%, 0.607%, 7/20/2064(c)		106,177
	752	Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065(d)(e)		754
	272,695	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065(a)		280,027
	411,133	Government National Mortgage Association, Series 2016-H06, Class FC, 1-month LIBOR + 0.920%, 1.027%, 2/20/2066(a)(c)		419,092
	5,615	Government National Mortgage Association, Series 2016-H10, Class FJ, 1-month LIBOR + 0.600%, 0.707%, 4/20/2066(a)(c)(d)(e)		5,560
	1,272,493	Government National Mortgage Association, Series 2018-H17, Class JA, 3.750%, 9/20/2068(a)(b)		1,379,252
	311,366	Government National Mortgage Association, Series 2019-H01, Class FL, 1-month LIBOR + 0.450%, 0.557%, 12/20/2068(c)		311,713
	1,060,824	Government National Mortgage Association, Series 2019-H01, Class FT, 1-month LIBOR + 0.400%, 0.507%, 10/20/2068(a)(c)		1,063,056
	979,833	Government National Mortgage Association, Series 2019-H10, Class FM, 1-month LIBOR + 0.400%, 0.507%, 5/20/2069(a)(c)		979,176
				5,325,598
		Construction Machinery – 0.8%
	1,435,000	Caterpillar Financial Services Corp., 0.650%, 7/07/2023		1,443,134
	275,000	Caterpillar Financial Services Corp., MTN, 0.950%, 5/13/2022		276,911
	300,000	Caterpillar Financial Services Corp., MTN, 3.150%, 9/07/2021		301,631
	300,000	CNH Industrial Capital LLC, 1.950%, 7/02/2023		307,533

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Construction Machinery – continued
$	745,000	John Deere Capital Corp., MTN, 2.000%, 6/17/2031	$	753,039
				3,082,248
		Consumer Cyclical Services – 0.4%
	1,255,000	eBay, Inc., 1.400%, 5/10/2026		1,259,249
	165,000	Expedia Group, Inc., 6.250%, 5/01/2025, 144A		191,937
				1,451,186
		Consumer Products – 0.1%
	420,000	Hasbro, Inc., 3.550%, 11/19/2026		460,369
		Diversified Manufacturing – 0.2%
	135,000	Amphenol Corp., 2.050%, 3/01/2025		140,387
	225,000	Kennametal, Inc., 4.625%, 6/15/2028		254,226
	135,000	Timken Co. (The), 4.500%, 12/15/2028		150,817
	275,000	WW Grainger, Inc., 1.850%, 2/15/2025		284,695
				830,125
		Electric – 3.7%
	735,000	AES Corp. (The), 1.375%, 1/15/2026, 144A		727,789
	435,000	AES Corp. (The), 3.300%, 7/15/2025, 144A		464,188
	360,000	Alliant Energy Finance LLC, 4.250%, 6/15/2028, 144A		409,680
	465,000	Ameren Corp., 1.750%, 3/15/2028		460,139
	185,000	Baltimore Gas & Electric Co., 2.250%, 6/15/2031		186,759
	120,000	Consolidated Edison Co. of New York, Inc., Series B, 2.900%, 12/01/2026		128,126
	225,000	Dominion Energy, Inc., 3.071%, 8/15/2024		238,515
	270,000	DTE Energy Co., 2.250%, 11/01/2022		276,049
	1,135,000	Duke Energy Carolinas LLC, 3.050%, 3/15/2023		1,184,814
	570,000	Duke Energy Corp., 0.900%, 9/15/2025		563,280
	605,000	Entergy Corp., 0.900%, 9/15/2025		596,918
	355,000	Entergy Corp., 2.400%, 6/15/2031		354,365
	116,000	Exelon Generation Co. LLC, 4.250%, 6/15/2022		119,093

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Electric – continued
$	188,000	National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043	$	196,797
	900,000	NextEra Energy Capital Holdings, Inc., 0.650%, 3/01/2023		903,673
	435,000	NextEra Energy Capital Holdings, Inc., 2.403%, 9/01/2021		436,575
	900,000	Pacific Gas & Electric Co., 3-month LIBOR + 1.375%, 1.531%, 11/15/2021(c)		901,844
	510,000	Pacific Gas & Electric Co., 3.000%, 6/15/2028		512,294
	370,000	PSEG Power LLC, 3.850%, 6/01/2023		392,747
	235,000	Public Service Enterprise Group, Inc., 2.875%, 6/15/2024		249,168
	575,000	Southern California Edison Co., Seies G, 2.500%, 6/01/2031		575,671
	370,000	Southern Co. (The), (fixed rate to 6/15/2026, variable rate thereafter), 3.750%, 9/15/2051		372,368
	720,000	Southern Power Co., Series E, 2.500%, 12/15/2021		725,916
	260,000	Southwestern Electric Power Co., 1.650%, 3/15/2026		263,124
	600,000	Vistra Operations Co. LLC, 3.550%, 7/15/2024, 144A		633,522
	1,540,000	WEC Energy Group, Inc., 0.550%, 9/15/2023		1,539,154
				13,412,568
		Finance Companies – 1.8%
	735,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.150%, 2/15/2024		771,478
	890,000	Air Lease Corp., 1.875%, 8/15/2026		890,688
	555,000	Aircastle Ltd., 2.850%, 1/26/2028, 144A		557,744
	705,000	Ares Capital Corp., 3.250%, 7/15/2025		741,546
	50,000	Ares Capital Corp., 4.250%, 3/01/2025		53,900
	305,000	Aviation Capital Group LLC, 3.875%, 5/01/2023, 144A		319,553
	225,000	Aviation Capital Group LLC, 4.375%, 1/30/2024, 144A		241,317
	285,000	Avolon Holdings Funding Ltd., 2.750%, 2/21/2028, 144A		281,993
	47,000	Avolon Holdings Funding Ltd., 3.625%, 5/01/2022, 144A		48,086
	535,000	Avolon Holdings Funding Ltd., 4.250%, 4/15/2026, 144A		579,767
	290,000	FS KKR Capital Corp., 3.400%, 1/15/2026		299,865
	210,000	FS KKR Capital Corp., 4.125%, 2/01/2025		223,116

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Finance Companies – continued
$	425,000	GE Capital Funding LLC, 4.050%, 5/15/2027	$	481,009
	150,000	Oaktree Specialty Lending Corp., 3.500%, 2/25/2025		157,545
	575,000	Owl Rock Capital Corp., 3.400%, 7/15/2026		599,282
	315,000	Owl Rock Capital Corp., 4.250%, 1/15/2026		340,309
				6,587,198
		Financial Other – 0.3%
	470,000	LeasePlan Corp NV, 2.875%, 10/24/2024, 144A		493,602
	410,000	Mitsubishi HC Capital, Inc., 2.652%, 9/19/2022, 144A		419,287
	185,000	ORIX Corp., 3.250%, 12/04/2024		199,441
				1,112,330
		Food & Beverage – 1.7%
	120,000	Brown-Forman Corp., 3.500%, 4/15/2025		130,892
	680,000	Bunge Ltd. Finance Corp., 2.750%, 5/14/2031		687,460
	525,000	Bunge Ltd. Finance Corp., 4.350%, 3/15/2024		571,073
	625,000	Coca-Cola Co. (The), 2.250%, 1/05/2032		639,871
	1,060,000	Coca-Cola Europacific Partners PLC, 0.800%, 5/03/2024, 144A		1,056,791
	1,095,000	General Mills, Inc., 2.600%, 10/12/2022		1,123,447
	185,000	Mondelez International, Inc., 2.750%, 4/13/2030		194,868
	1,065,000	Pernod Ricard International Finance LLC, 1.250%, 4/01/2028, 144A		1,021,316
	890,000	Viterra Finance BV, 2.000%, 4/21/2026, 144A		891,208
				6,316,926
		Government Owned - No Guarantee – 0.7%
	350,000	BOC Aviation USA Corp., 1.625%, 4/29/2024, 144A		352,754
	325,000	DAE Funding LLC, 1.550%, 8/01/2024, 144A		324,340
	1,030,000	NBN Co. Ltd., 2.625%, 5/05/2031, 144A		1,055,060
	825,000	Qatar Petroleum, 2.250%, 7/12/2031, 144A		816,230
				2,548,384
		Health Insurance – 0.3%
	370,000	Centene Corp., 2.500%, 3/01/2031		364,912

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Health Insurance – continued
$	745,000	UnitedHealth Group, Inc., 2.300%, 5/15/2031	$	762,944
				1,127,856
		Healthcare – 0.8%
	227,000	Cigna Corp., 3.750%, 7/15/2023		241,737
	237,000	CVS Health Corp., 4.300%, 3/25/2028		272,291
	510,000	DH Europe Finance II S.a.r.l., 2.200%, 11/15/2024		532,090
	1,245,000	Fresenius Medical Care U.S. Finance III, Inc., 3.000%, 12/01/2031, 144A		1,270,018
	635,000	Laboratory Corp. of America Holdings, 1.550%, 6/01/2026		637,625
				2,953,761
		Hybrid ARMs – 0.0%
	31,372	FHLMC, 1-year CMT + 2.225%, 2.462%, 1/01/2035(c)		33,332
	52,644	FHLMC, 1-year CMT + 2.500%, 2.667%, 5/01/2036(c)		56,289
				89,621
		Independent Energy – 0.5%
	200,000	Aker BP ASA, 3.750%, 1/15/2030, 144A		215,817
	210,000	Diamondback Energy, Inc., 0.900%, 3/24/2023		210,045
	470,000	Diamondback Energy, Inc., 4.750%, 5/31/2025		529,194
	300,000	Lundin Energy Finance BV, 3.100%, 7/15/2031, 144A		303,041
	530,000	Pioneer Natural Resources Co., 0.550%, 5/15/2023		530,506
				1,788,603
		Industrial Other – 0.1%
	455,000	CK Hutchison International Ltd., 1.500%, 4/15/2026, 144A		457,383
		Integrated Energy – 0.2%
	660,000	Suncor Energy, Inc., 2.800%, 5/15/2023		686,414
		Life Insurance – 4.7%
	1,385,000	AIG Global Funding, 0.800%, 7/07/2023, 144A		1,394,372
	535,000	AIG Global Funding, 0.900%, 9/22/2025, 144A		528,134
	350,000	Athene Global Funding, 1.200%, 10/13/2023, 144A		353,937
	940,000	Athene Global Funding, 1.608%, 6/29/2026, 144A		940,104

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Life Insurance – continued
$	875,000	Athene Global Funding, 2.500%, 3/24/2028, 144A	$	896,843
	235,000	Brighthouse Financial Global Funding, 1.000%, 4/12/2024, 144A		235,453
	1,285,000	Equitable Financial Life Global Funding, 1.800%, 3/08/2028, 144A		1,278,324
	840,000	F&G Global Funding, 1.750%, 6/30/2026, 144A		843,456
	825,000	GA Global Funding Trust, 1.000%, 4/08/2024, 144A		826,841
	665,000	Great-West Lifeco U.S. Finance LP, 0.904%, 8/12/2025, 144A		658,051
	1,370,000	Guardian Life Global Funding, 1.100%, 6/23/2025, 144A		1,374,414
	155,000	Jackson National Life Global Funding, 3.875%, 6/11/2025, 144A		170,209
	1,400,000	MassMutual Global Funding II, 0.850%, 6/09/2023, 144A		1,414,328
	795,000	Metropolitan Life Global Funding I, 0.900%, 6/08/2023, 144A		802,826
	700,000	Metropolitan Life Global Funding I, 0.950%, 7/02/2025, 144A		699,370
	1,070,000	New York Life Global Funding, 2.875%, 4/10/2024, 144A(a)		1,135,884
	1,360,000	Protective Life Global Funding, 1.082%, 6/09/2023, 144A		1,376,115
	655,000	Reliance Standard Life Global Funding II, 2.750%, 5/07/2025, 144A		689,105
	565,000	Reliance Standard Life Global Funding II, 3.850%, 9/19/2023, 144A		604,317
	755,000	Security Benefit Global Funding, 1.250%, 5/17/2024, 144A		756,242
				16,978,325
		Lodging – 0.1%
	350,000	Marriott International, Inc., Series Z, 4.150%, 12/01/2023		375,354
		Metals & Mining – 0.2%
	425,000	Anglo American Capital PLC, 2.250%, 3/17/2028, 144A		429,707
	155,000	Glencore Funding LLC, 4.125%, 3/12/2024, 144A		167,097
				596,804
		Midstream – 0.1%
	25,000	Energy Transfer LP, 4.250%, 3/15/2023		26,230
	440,000	Midwest Connector Capital Co. LLC, 3.625%, 4/01/2022, 144A		447,427
				473,657

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Mortgage Related – 1.0%
$	1,395	FHLMC, 3.000%, 10/01/2026	$	1,469
	97	FHLMC, 6.500%, 1/01/2024		109
	30	FHLMC, 8.000%, 7/01/2025		33
	18,440	GNMA, 3.630%, 2/20/2063(a)(b)		18,695
	28,197	GNMA, 3.667%, 2/20/2063(b)		28,478
	14,921	GNMA, 3.890%, with various maturities from 2062 to 2063(b)(f)		15,170
	13,071	GNMA, 4.015%, 4/20/2063(a)(b)		13,840
	6,599	GNMA, 4.035%, 5/20/2062(b)		7,024
	9,496	GNMA, 4.319%, 11/20/2064(b)		10,054
	54,787	GNMA, 4.362%, 6/20/2066(b)		60,434
	88,973	GNMA, 4.419%, 9/20/2066(b)		97,827
	212,452	GNMA, 4.443%, 10/20/2066(b)		236,779
	61,087	GNMA, 4.449%, 11/20/2066(b)		67,069
	87,462	GNMA, 4.507%, 11/20/2066(b)		97,466
	85,711	GNMA, 4.516%, 10/20/2066(b)		95,475
	80,306	GNMA, 4.517%, 10/20/2066(b)		89,244
	47,238	GNMA, 4.526%, 8/20/2066(b)		52,486
	457,569	GNMA, 4.537%, 7/20/2067(a)(b)		517,630
	159,967	GNMA, 4.547%, 9/20/2066(b)		178,316
	795,501	GNMA, 4.571%, 1/20/2067(a)(b)		891,488
	852,851	GNMA, 4.583%, 4/20/2067(a)(b)		957,753
	2,102	GNMA, 4.630%, 7/20/2062(b)		2,186
	267,492	GNMA, 4.700%, with various maturities from 2061 to 2064(a)(b)(f)		284,255
	328	GNMA, 6.500%, 12/15/2023		366
				3,723,646
		Non-Agency Commercial Mortgage-Backed Securities – 4.2%
	230,000	BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062		247,577

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Non-Agency Commercial Mortgage-Backed Securities – continued
$	270,000	BANK, Series 2020-BN25, Class A5, 2.649%, 1/15/2063	$	284,154
	481,551	Barclays Commercial Mortgage Securities Trust, Series 2017-C1, Class A2, 3.189%, 2/15/2050(a)		488,029
	660,000	Barclays Commercial Mortgage Securities Trust, Series 2020-BID, Class A, 1-month LIBOR + 2.140%, 2.213%, 10/15/2037, 144A(c)		666,171
	285,000	Benchmark Mortgage Trust, Series 2020-B16, Class A5, 2.732%, 2/15/2053		301,508
	491,600	CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.865%, 1/10/2048(a)		541,344
	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)		1,075,259
	540,000	Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072		587,087
	535,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A(a)		533,742
	263,676	Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A5, 3.612%, 6/10/2046(b)		277,119
	25,020	Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047		25,018
	5,640	Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class A2, 2.928%, 2/10/2047		5,610
	107,175	Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047		111,266
	280,000	Commercial Mortgage Pass Through Certificates, Series 2014-UBS3, Class A4, 3.819%, 6/10/2047		302,129
	280,000	Commercial Mortgage Pass Through Certificates, Series 2015-DC1, Class A5, 3.350%, 2/10/2048		300,118
	520,299	Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class A5, 3.765%, 2/10/2049(a)		571,525
	640,000	Credit Suisse Mortgage Capital Certificates, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A(a)		689,515
	72,834	CSAIL Commercial Mortgage Trust, Series 2015-C4, Class ASB, 3.617%, 11/15/2048		77,011
	470,000	CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A4, 2.968%, 12/15/2052		499,761
	605,000	GS Mortgage Securities Corp. II, Series 2012-BWTR, Class A, 2.954%, 11/05/2034, 144A		617,252
	440,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033, 144A(b)		459,128
	330,000	GS Mortgage Securities Trust, Series 2014-GC18, Class A4, 4.074%, 1/10/2047		353,216
	245,000	GS Mortgage Securities Trust, Series 2020-GC45, Class A5, 2.911%, 2/13/2053		262,223
	180,000	Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10, 4.155%, 8/05/2034, 144A		162,939
	355,000	Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034, 144A		323,230
	60,971	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047		63,227

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Non-Agency Commercial Mortgage-Backed Securities – continued
$	575,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-COR5, Class A4, 3.386%, 6/13/2052(a)	$	632,859
	240,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A4, 4.217%, 7/15/2046(b)		253,215
	129,604	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.306%, 4/15/2048		138,987
	550,000	Morgan Stanley Capital I Trust, Series 2020-L4, Class A3, 2.698%, 2/15/2053		581,297
	224,300	UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A(a)		224,393
	565,000	UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A4, 3.244%, 4/10/2046(a)		584,844
	201,109	Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4, 3.426%, 3/15/2059		219,486
	1,212,139	Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class A2, 3.118%, 1/15/2060(a)		1,221,304
	490,000	Wells Fargo Commercial Mortgage Trust, Series 2020-C58, Class A4, 2.092%, 7/15/2053		492,516
	127,432	WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A3, 3.660%, 3/15/2047		127,749
	325,000	WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A5, 4.101%, 3/15/2047		351,011
	200,184	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ASB, 3.638%, 5/15/2047(a)		208,498
				15,251,308
		Oil Field Services – 0.2%
	850,000	Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc., 2.773%, 12/15/2022		878,114
		Packaging – 0.3%
	575,000	Amcor Flexibles North America, Inc., 2.690%, 5/25/2031		586,451
	580,000	Berry Global, Inc., 1.570%, 1/15/2026, 144A		580,174
				1,166,625
		Paper – 0.2%
	600,000	Suzano Austria GmbH, 3.125%, 1/15/2032		594,222
		Pharmaceuticals – 0.7%
	335,000	AbbVie, Inc., 2.600%, 11/21/2024		353,240
	1,240,000	Astrazeneca Finance LLC, 1.200%, 5/28/2026		1,235,771
	235,000	Bayer U.S. Finance II LLC, 3.375%, 7/15/2024, 144A		250,388
	525,000	Pfizer, Inc., 3.200%, 9/15/2023		554,823
				2,394,222

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Property & Casualty Insurance – 0.2%
$	645,000	American Financial Group, Inc., 3.500%, 8/15/2026	$	700,423
	180,000	Assurant, Inc., 4.200%, 9/27/2023		193,012
				893,435
		Railroads – 0.1%
	215,000	Union Pacific Corp., 3.646%, 2/15/2024		230,477
		REITs - Health Care – 0.1%
	255,000	Healthpeak Properties, Inc., 3.000%, 1/15/2030		270,192
	235,000	Omega Healthcare Investors, Inc., 4.500%, 1/15/2025		256,650
				526,842
		REITs - Office Property – 0.3%
	675,000	Office Properties Income Trust, 4.500%, 2/01/2025		732,962
	195,000	Piedmont Operating Partnership LP, 3.150%, 8/15/2030		197,928
				930,890
		REITs - Regional Malls – 0.1%
	310,000	Simon Property Group LP, 1.750%, 2/01/2028		308,342
		REITs - Storage – 0.1%
	530,000	Public Storage, 2.300%, 5/01/2031		540,641
		Restaurants – 0.5%
	1,280,000	McDonald’s Corp., MTN, 2.625%, 1/15/2022		1,296,446
	420,000	McDonald’s Corp., MTN, 3.350%, 4/01/2023		440,623
				1,737,069
		Retailers – 0.7%
	625,000	Amazon.com, Inc., 2.100%, 5/12/2031		635,509
	345,000	AutoNation, Inc., 3.500%, 11/15/2024		371,391
	290,000	AutoNation, Inc., 4.500%, 10/01/2025		321,225
	310,000	Lowe’s Cos., Inc., 2.625%, 4/01/2031		320,315
	850,000	Seven & i Holdings Co. Ltd., 3.350%, 9/17/2021, 144A		855,324
				2,503,764

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Technology – 2.8%
$	420,000	Avnet, Inc., 3.000%, 5/15/2031	$	418,471
	220,000	Broadridge Financial Solutions, Inc., 2.600%, 5/01/2031		224,013
	110,000	DXC Technology Co., 4.125%, 4/15/2025		120,895
	325,000	Flex Ltd., 4.875%, 6/15/2029		374,856
	450,000	Genpact Luxembourg S.a.r.l., 3.700%, 4/01/2022		458,599
	485,000	Hewlett Packard Enterprise Co., 4.650%, 10/01/2024		539,213
	890,000	HP, Inc., 1.450%, 6/17/2026, 144A		883,397
	315,000	Infor, Inc., 1.450%, 7/15/2023, 144A		318,554
	530,000	International Business Machines Corp., 2.850%, 5/13/2022		542,170
	175,000	Marvell Technology, Inc., 4.200%, 6/22/2023, 144A		186,044
	285,000	Microchip Technology, Inc., 0.972%, 2/15/2024, 144A		284,860
	460,000	Microchip Technology, Inc., 2.670%, 9/01/2023		479,099
	755,000	Micron Technology, Inc., 2.497%, 4/24/2023		780,383
	1,265,000	NVIDIA Corp., 2.000%, 6/15/2031		1,266,349
	1,250,000	Oracle Corp., 2.875%, 3/25/2031		1,300,098
	565,000	Panasonic Corp., 2.536%, 7/19/2022, 144A		576,171
	925,000	PayPal Holdings, Inc., 1.350%, 6/01/2023		941,382
	265,000	Western Union Co. (The), 1.350%, 3/15/2026		263,187
	165,000	Western Union Co. (The), 4.250%, 6/09/2023		176,322
				10,134,063
		Tobacco – 0.6%
	1,015,000	Altria Group, Inc., 2.450%, 2/04/2032		981,588
	1,025,000	BAT Capital Corp., 4.700%, 4/02/2027		1,158,253
				2,139,841
		Transportation Services – 0.7%
	450,000	Element Fleet Management Corp., 3.850%, 6/15/2025, 144A		484,078
	175,000	Penske Truck Leasing Co. LP/PTL Finance Corp., 4.000%, 7/15/2025, 144A		192,727
	695,000	Penske Truck Leasing Co. LP/PTL Finance Corp., 4.125%, 8/01/2023, 144A		741,338

Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Transportation Services – continued
$	255,000	Ryder System, Inc., MTN, 3.750%, 6/09/2023	$	270,112
	275,000	Ryder System, Inc., MTN, 3.875%, 12/01/2023		295,369
	370,000	Ryder System, Inc., MTN, 4.625%, 6/01/2025		417,584
				2,401,208
		Treasuries – 33.8%
	2,675,000	U.S. Treasury Note, 0.125%, 1/15/2024		2,658,804
	10,860,000	U.S. Treasury Note, 0.250%, 8/31/2025		10,641,952
	7,395,000	U.S. Treasury Note, 0.250%, 9/30/2025		7,239,300
	24,385,000	U.S. Treasury Note, 0.250%, 10/31/2025		23,841,100
	7,010,000	U.S. Treasury Note, 0.375%, 11/30/2025		6,883,765
	23,985,000	U.S. Treasury Note, 0.375%, 12/31/2025		23,530,597
	14,355,000	U.S. Treasury Note, 0.500%, 3/31/2025		14,283,786
	3,895,000	U.S. Treasury Note, 0.625%, 8/15/2030		3,628,740
	3,580,000	U.S. Treasury Note, 0.750%, 3/31/2026		3,563,918
	4,705,000	U.S. Treasury Note, 0.750%, 5/31/2026		4,678,167
	5,645,000	U.S. Treasury Note, 0.875%, 11/15/2030		5,368,042
	11,185,000	U.S. Treasury Note, 1.125%, 2/15/2031(a)		10,858,188
	5,405,000	U.S. Treasury Note, 1.625%, 5/15/2031		5,487,764
				122,664,123
		Wireless – 0.1%
	200,000	SK Telecom Co. Ltd., 3.750%, 4/16/2023, 144A		210,594
		Wirelines – 0.3%
	205,000	British Telecommunications PLC, 4.500%, 12/04/2023		223,217
	710,000	Verizon Communications, Inc., 2.100%, 3/22/2028		724,850
				948,067
		Total Bonds and Notes (Identified Cost $354,864,962)		358,489,609

Principal Amount		Description	Value (†)
Short-Term Investments – 1.7%
$	6,219,941	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $6,219,941 on 7/01/2021 collateralized by $6,340,400 U.S. Treasury Note, 1.250% due 6/30/2028 valued at $6,344,363 including accrued interest(g) (Identified Cost $6,219,941)	$	6,219,941
		Total Investments – 100.5% (Identified Cost $361,084,903)		364,709,550
		Other assets less liabilities – (0.5)%		(1,768,760	)
		Net Assets – 100.0%	$	362,940,790

(†) 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) 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, 2021 is disclosed.

(c) Variable rate security. Rate as of June 30, 2021 is disclosed.

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

(e) Fair valued by the Fund’s adviser. At June 30, 2021, the value of these securities amounted to $6,314 or less than 0.1% of net assets.

(f) The Fund’s investment in mortgage related securities of Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.

(g) 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, 2021, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021, the value of Rule 144A holdings amounted to $94,877,107 or 26.1% of net assets.

ABS Asset-Backed Securities

ARMs Adjustable Rate Mortgages

CMT Constant Maturity Treasury

FHLMC Federal Home Loan Mortgage Corp.

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, 2021, open long futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		9/30/2021		174	$	21,551,994	$	21,476,766	$	(75,228	)

At June 30, 2021, 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		9/21/2021		20	$	2,900,801	$	2,944,063	$	(43,262	)

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, 2021, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Collateralized Mortgage Obligations	$	—	$	5,319,284	$	6,314	(a)	$	5,325,598
All Other Bonds and Notes*		—		353,164,011		—			353,164,011
Total Bonds and Notes		—		358,483,295		6,314			358,489,609
Short-Term Investments		—		6,219,941		—			6,219,941
Total	$	—	$	364,703,236	$	6,314		$	364,709,550

Liability Valuation Inputs

Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(118,490	)	$	—	$	—	$	(118,490	)

* 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, 2020 and/or June 30, 2021:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2020		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2021		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2021
Bonds and Notes
ABS Home Equity	$	3,643	$	—	$	—	$	—		$	—	$	—		$	—	$	(3,643	)	$	—	$	—
Collateralized Mortgage Obligations		4,042		—		17		(128	)		—		(88,885	)		91,268		—			6,314		(162	)
Total	$	7,685	$	—	$	17	$	(128	)	$	—	$	(88,885	)	$	91,268	$	(3,643	)	$	6,314	$	(162	)

A debt security valued at $3,643 was transferred from Level 3 to Level 2 during the period ended June 30, 2021. At September 30, 2020, this security was valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the security. At June 30, 2021, 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 $91,268 was transferred from Level 2 to Level 3 during the period ended June 30, 2021. At September 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. At June 30, 2021, 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 without having to buy or sell portfolio securities. The Fund may use futures contracts to gain investment exposure. During the period ended June 30, 2021 the Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for the Fund, as of June 30, 2021:

Liabilities	Unrealized depreciation on futures contracts
Exchange-traded liability derivatives
Interest rate contracts	$	(118,490	)

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 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. A 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 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 typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (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 June 30, 2021:

Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
$	166,143	$	166,143

Industry Summary at June 30, 2021 (Unaudited)

Treasuries	33.8	%
Banking	17.4
ABS Car Loan	8.5
Life Insurance	4.7
Non-Agency Commercial Mortgage-Backed Securities	4.2
Electric	3.7
Technology	2.8
Automotive	2.3
Other Investments, less than 2% each	21.4
Short-Term Investments	1.7
Total Investments	100.5
Other assets less liabilities (including futures contracts)	(0.5	)
Net Assets	100.0	%