Loomis Sayles Funds I NPORT-P Loomis Sayles Intermediate Duration Bond Fund (Dec 2021 report)

PORTFOLIO OF INVESTMENTS – as of December 31, 2021 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund

Principal Amount		Description	Value (†)
	Bonds and Notes – 96.1% of Net Assets
		ABS Car Loan – 8.0%
	$       507,939	American Credit Acceptance Receivables Trust, Series 2019-4, Class C, 2.690%, 12/12/2025, 144A	$	510,937
	67,178	American Credit Acceptance Receivables Trust, Series 2020-2, Class B, 2.480%, 9/13/2024, 144A		67,410
	117,797	American Credit Acceptance Receivables Trust, Series 2020-3, Class B, 1.150%, 8/13/2024, 144A		117,939
	240,000	American Credit Acceptance Receivables Trust, Series 2020-4, Class C, 1.310%, 12/14/2026, 144A		240,136
	385,000	American Credit Acceptance Receivables Trust, Series 2021-3, Class B, 0.660%, 2/13/2026, 144A		382,865
	334,627	AmeriCredit Automobile Receivables Trust, Series 2018-3, Class B, 3.580%, 10/18/2024		336,380
	480,000	AmeriCredit Automobile Receivables Trust, Series 2019-2, Class B, 2.540%, 7/18/2024		484,516
	262,163	AmeriCredit Automobile Receivables Trust, Series 2019-3, Class A3, 2.060%, 4/18/2024		263,007
	239,194	AmeriCredit Automobile Receivables Trust, Series 2020-1, Class A3, 1.110%, 8/19/2024		239,648
	110,000	AmeriCredit Automobile Receivables Trust, Series 2020-2, Class A3, 0.660%, 12/18/2024		110,083
	265,000	AmeriCredit Automobile Receivables Trust, Series 2020-2, Class B, 0.970%, 2/18/2026		265,089
	125,000	AmeriCredit Automobile Receivables Trust, Series 2020-3, Class C, 1.060%, 8/18/2026		124,685
	215,000	AmeriCredit Automobile Receivables Trust, Series 2021-2, Class B, 0.690%, 1/19/2027		212,353
	520,000	AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.410%, 8/18/2027		515,613
	50,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A, 3.450%, 3/20/2023, 144A		50,196
	140,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A		146,616
	188,081	Bank of The West Auto Trust, Series 2019-1, Class A3, 2.430%, 4/15/2024, 144A		189,222
	306,260	Capital One Prime Auto Receivables Trust, Series 2019-2, Class A3, 1.920%, 5/15/2024		308,434
	392,461	CarMax Auto Owner Trust, Series 2020-2, Class A3, 1.700%, 11/15/2024		394,976
	485,000	CarMax Auto Owner Trust, Series 2020-3, Class A3, 0.620%, 3/17/2025		484,942
	220,000	Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.750%, 3/10/2028		218,582
	305,000	Carvana Auto Receivables Trust, Series 2021-N4, Class C, 1.720%, 9/11/2028		304,881
	1,075,000	Carvana Auto Receivables Trust, Series 2021-P4, Class A3, 1.310%, 1/11/2027		1,075,053
	15,091	CPS Auto Receivables Trust, Series 2020-A, Class B, 2.360%, 2/15/2024, 144A		15,100
	525,376	Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A, 2.380%, 11/15/2028, 144A		530,028

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Car Loan – continued
	$       435,000	Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A, 2.010%, 2/15/2029, 144A	$	438,259
	585,000	Credit Acceptance Auto Loan Trust, Series 2020-1A, Class B, 2.390%, 4/16/2029, 144A		591,621
	315,000	Credit Acceptance Auto Loan Trust, Series 2020-2A, Class A, 1.370%, 7/16/2029, 144A		315,851
	265,000	Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.000%, 5/15/2030, 144A		262,827
	405,000	Drive Auto Receivables Trust, Series 2021-1, Class B, 0.650%, 7/15/2025		404,379
	585,000	Drive Auto Receivables Trust, Series 2021-2, Class B, 0.580%, 12/15/2025		581,507
	465,000	Drive Auto Receivables Trust, Series 2021-3, Class B, 1.110%, 5/15/2026		463,934
	33,763	DT Auto Owner Trust, Series 2019-1A, Class C, 3.610%, 11/15/2024, 144A		33,820
	146,530	DT Auto Owner Trust, Series 2019-2A, Class C, 3.180%, 2/18/2025, 144A		147,443
	7,748	DT Auto Owner Trust, Series 2019-4A, Class B, 2.360%, 1/16/2024, 144A		7,753
	20,586	DT Auto Owner Trust, Series 2020-2A, Class A, 1.140%, 1/16/2024, 144A		20,605
	320,000	DT Auto Owner Trust, Series 2020-2A, Class C, 3.280%, 3/16/2026, 144A		327,081
	30,000	DT Auto Owner Trust, Series 2021-1A, Class B, 0.620%, 9/15/2025, 144A		29,929
	300,000	DT Auto Owner Trust, Series 2021-2A, Class B, 0.810%, 1/15/2027, 144A		299,242
	410,000	DT Auto Owner Trust, Series 2021-4A, Class C, 1.500%, 9/15/2027, 144A		407,948
	21,135	Exeter Automobile Receivables Trust, Series 2020-1A, Class B, 2.260%, 4/15/2024, 144A		21,145
	440,000	Exeter Automobile Receivables Trust, Series 2020-2A, Class C, 3.280%, 5/15/2025, 144A		446,901
	275,000	Exeter Automobile Receivables Trust, Series 2021-1A, Class B, 0.500%, 2/18/2025		274,670
	330,000	Exeter Automobile Receivables Trust, Series 2021-2A, Class B, 0.570%, 9/15/2025		328,979
	715,000	Exeter Automobile Receivables Trust, Series 2021-4A, Class B, 1.050%, 5/15/2026		713,372
	30,261	First Investors Auto Owner Trust, Series 2019-2A, Class A, 2.210%, 9/16/2024, 144A		30,319
	8,722	Flagship Credit Auto Trust, Series 2018-4, Class B, 3.880%, 10/16/2023, 144A		8,733
	145,184	Flagship Credit Auto Trust, Series 2020-1, Class A, 1.900%, 8/15/2024, 144A		145,836
	915,000	Flagship Credit Auto Trust, Series 2020-1, Class B, 2.050%, 2/17/2025, 144A		921,973
	290,000	Flagship Credit Auto Trust, Series 2021-2, Class B, 0.930%, 6/15/2027, 144A		286,555
	595,000	Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.190%, 7/15/2031, 144A		626,847
	136,218	Ford Credit Auto Owner Trust, Series 2020-A, Class A3, 1.040%, 8/15/2024		136,702

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Car Loan – continued
	$       740,420	Ford Credit Auto Owner Trust, Series 2020-B, Class A3, 0.560%, 10/15/2024	$	740,188
	570,000	Ford Credit Auto Owner Trust, Series 2021-1, Class A, 1.370%, 10/17/2033, 144A		563,075
	635,000	Ford Credit Floorplan Master Owner Trust, Series 2019-1, Class A, 2.840%, 3/15/2024		638,230
	260,000	GLS Auto Receivables Issuer Trust, Series 2019-4A, Class B, 2.780%, 9/16/2024, 144A		262,046
	51,627	GLS Auto Receivables Issuer Trust, Series 2020-2A, Class A, 1.580%, 8/15/2024, 144A		51,778
	300,000	GLS Auto Receivables Issuer Trust, Series 2020-3A, Class B, 1.380%, 8/15/2024, 144A		300,596
	265,000	GLS Auto Receivables Issuer Trust, Series 2020-4A, Class C, 1.140%, 11/17/2025, 144A		264,919
	995,000	GLS Auto Receivables Issuer Trust, Series 2021-4A, Class B, 1.530%, 4/15/2026, 144A		994,178
	340,000	GLS Auto Receivables Trust, Series 2021-2A, Class B, 0.770%, 9/15/2025, 144A		337,894
	140,000	GM Financial Automobile Leasing Trust, Series 2020-2, Class A3, 0.800%, 7/20/2023		140,331
	185,649	GM Financial Consumer Automobile Receivables Trust, Series 2019-3, Class A3, 2.180%, 4/16/2024		186,830
	121,759	GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3, 1.490%, 12/16/2024		122,557
	180,000	GMF Floorplan Owner Revolving Trust, Series 2020-1, Class A, 0.680%, 8/15/2025, 144A		179,218
	431,196	Honda Auto Receivables Owner Trust, Series 2020-2, Class A3, 0.820%, 7/15/2024		431,958
	223,335	Hyundai Auto Receivables Trust, Series 2019-B, Class A3, 1.940%, 2/15/2024		224,773
	170,000	Hyundai Auto Receivables Trust, Series 2020-A, Class A3, 1.410%, 11/15/2024		171,156
	290,000	Mercedes-Benz Auto Receivables Trust, Series 2020-1, Class A3, 0.550%, 2/18/2025		289,874
	865,000	NextGear Floorplan Master Owner Trust, Series 2020-1A, Class A2, 1.550%, 2/15/2025, 144A		871,333
	695,000	Prestige Auto Receivables Trust, Series 2020-1A, Class C, 1.310%, 11/16/2026, 144A		694,610
	430,000	Prestige Auto Receivables Trust, Series 2021-1A, Class C, 1.530%, 2/15/2028, 144A		427,494
	210,000	Santander Consumer Auto Receivables Trust, Series 2020-AA, Class C, 3.710%, 2/17/2026, 144A		216,259
	226,147	Santander Consumer Auto Receivables Trust, Series 2020-BA, Class A3, 0.460%, 8/15/2024, 144A		226,136
	186,168	Santander Drive Auto Receivables Trust, Series 2019-2, Class C, 2.900%, 10/15/2024		187,038
	2,937	Santander Drive Auto Receivables Trust, Series 2020-1, Class A3, 2.030%, 2/15/2024		2,939
	491,377	Santander Drive Auto Receivables Trust, Series 2020-2, Class B, 0.960%, 11/15/2024		491,930
	615,000	Santander Drive Auto Receivables Trust, Series 2020-3, Class C, 1.120%, 1/15/2026		617,016
	170,000	Santander Drive Auto Receivables Trust, Series 2020-4, Class C, 1.010%, 1/15/2026		170,227

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Car Loan – continued
	$       460,000	Santander Drive Auto Receivables Trust, Series 2021-2, Class C, 0.900%, 6/15/2026	$	458,626
	745,000	Santander Drive Auto Receivables Trust, Series 2021-3, Class C, 0.950%, 9/15/2027		737,817
	530,000	Santander Drive Auto Receivables Trust, Series 2021-4, Class B, 0.880%, 6/15/2026		526,550
	440,000	Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.350%, 5/25/2033, 144A		439,146
	188,422	Toyota Auto Receivables Owner Trust, Series 2020-B, Class A3, 1.360%, 8/15/2024		189,360
	57,717	Westlake Automobile Receivables Trust, Series 2019-3A, Class B, 2.410%, 10/15/2024, 144A		57,767
	186,965	Westlake Automobile Receivables Trust, Series 2020-2A, Class A2A, 0.930%, 2/15/2024, 144A		187,156
	400,000	Westlake Automobile Receivables Trust, Series 2020-2A, Class C, 2.010%, 7/15/2025, 144A		404,739
	590,000	Westlake Automobile Receivables Trust, Series 2021-1A, Class B, 0.640%, 3/16/2026, 144A		588,088
	270,000	Westlake Automobile Receivables Trust, Series 2021-2A, Class B, 0.620%, 7/15/2026, 144A		267,812
	1,050,000	Westlake Automobile Receivables Trust, Series 2021-3A, Class C, 1.580%, 1/15/2027, 144A		1,046,989
	635,000	World Omni Auto Receivables Trust, Series 2020-B, Class A3, 0.630%, 5/15/2025		635,137
	310,000	World Omni Select Auto Trust, Series 2020-A, Class A3, 0.550%, 7/15/2025		310,052
	360,000	World Omni Select Auto Trust, Series 2021-A, Class B, 0.850%, 8/16/2027		354,776
				31,871,520
		ABS Credit Card – 0.5%
	620,000	American Express Credit Account Master Trust, Series 2019-1, Class A, 2.870%, 10/15/2024		623,306
	925,000	Barclays Dryrock Issuance Trust, Series 2019-1, Class A, 1.960%, 5/15/2025		932,722
	585,000	World Financial Network Credit Card Master Trust, Series 2019-C, Class A, 2.210%, 7/15/2026		591,839
				2,147,867
		ABS Home Equity – 0.0%
	93,695	Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, 4.000%, 4/28/2055, 144A		93,655
	2,254	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(a)		2,297
	3,628	Mill City Mortgage Loan Trust, Series 2016-1, Class A1, 2.500%, 4/25/2057, 144A(a)		3,628
				99,580
		ABS Other – 1.2%
	395,000	Affirm Asset Securitization Trust, Series 2021-B, Class A, 1.030%, 8/17/2026, 144A		392,301
	527,249	Aqua Finance Trust, Series 2021-A, Class A, 1.540%, 7/17/2046, 144A		522,542

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Other – continued
	$       216,798	Chesapeake Funding II LLC, Series 2020-1A, Class A1, 0.870%, 8/16/2032, 144A	$	217,008
	235,252	CNH Equipment Trust, Series 2020-A, Class A3, 1.160%, 6/16/2025		236,011
	78,265	Diamond Resorts Owner Trust, Series 2018-1, Class A, 3.700%, 1/21/2031, 144A		79,673
	795,000	Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034, 144A		790,370
	253,372	Kubota Credit Owner Trust, Series 2020-1A, Class A3, 1.960%, 3/15/2024, 144A		255,523
	600,556	Marlette Funding Trust, Series 2021-3A, Class A, 0.650%, 12/15/2031, 144A		598,797
	102,600	MVW LLC, Series 2020-1A, Class A, 1.740%, 10/20/2037, 144A		103,154
	155,105	OneMain Financial Issuance Trust, Series 2018-1A, Class A, 3.300%, 3/14/2029, 144A		155,201
	244,388	S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A		237,900
	25,055	Sierra Timeshare Conduit Receivables Funding LLC, Series 2017-1A, Class A, 2.910%, 3/20/2034, 144A		25,071
	143,915	Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A, 1.330%, 7/20/2037, 144A		142,780
	1,002,426	Verizon Owner Trust, Series 2019-B, Class A1A, 2.330%, 12/20/2023		1,009,137
	39,220	Wheels SPV 2 LLC, Series 2019-1A, Class A2, 2.300%, 5/22/2028, 144A		39,349
				4,804,817
		ABS Student Loan – 0.1%
	140,908	Massachusetts Educational Financing Authority, Series 2018-A, Class A, 3.850%, 5/25/2033		146,238
	82,850	Navient Private Education Refi Loan Trust, Series 2020-GA, Class A, 1.170%, 9/16/2069, 144A		82,457
	114,573	Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A		114,112
	26,157	SoFi Professional Loan Program LLC, Series 2016-B, Class A2B, 2.740%, 10/25/2032, 144A		26,309
	51,319	SoFi Professional Loan Program LLC, Series 2017-E, Class A2B, 2.720%, 11/26/2040, 144A		51,851
				420,967
		ABS Whole Business – 0.1%
	517,613	Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048, 144A		528,785
		Aerospace & Defense – 0.3%
	1,325,000	Raytheon Technologies Corp., 2.375%, 3/15/2032		1,323,561
	29,000	Raytheon Technologies Corp., 3.650%, 8/16/2023		30,150
				1,353,711

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Agency Commercial Mortgage-Backed Securities – 0.6%
	$       495,107	FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(a)	$	507,418
	701,647	FHLMC Multifamily Structured Pass Through Certificates, Series K042, Class A2, 2.670%, 12/25/2024		728,877
	1,175,000	FHLMC Multifamily Structured Pass Through Certificates, Series KJ26, Class A2, 2.606%, 7/25/2027		1,226,922
	64,945	FHLMC Multifamily Structured Pass Through Certificates, Series KJ28, Class A1, 1.766%, 2/25/2025		65,012
				2,528,229
		Automotive – 2.3%
	1,440,000	American Honda Finance Corp., MTN, 0.875%, 7/07/2023		1,440,485
	145,000	American Honda Finance Corp., MTN, 3.625%, 10/10/2023		152,006
	635,000	Aptiv PLC, 3.100%, 12/01/2051		604,858
	160,000	Daimler Finance North America LLC, 3.350%, 2/22/2023, 144A		164,440
	765,000	Daimler Trucks Finance North America LLC, 2.375%, 12/14/2028, 144A		768,637
	665,000	Denso Corp., 1.239%, 9/16/2026, 144A		651,266
	420,000	General Motors Financial Co., Inc., 1.200%, 10/15/2024		416,911
	360,000	General Motors Financial Co., Inc., 4.150%, 6/19/2023		374,413
	295,000	Harley-Davidson Financial Services, Inc., 3.350%, 6/08/2025, 144A		309,046
	220,000	Harley-Davidson Financial Services, Inc., 4.050%, 2/04/2022, 144A		220,607
	645,000	Hyundai Capital America, 2.100%, 9/15/2028, 144A		626,626
	195,000	Hyundai Capital America, 2.375%, 2/10/2023, 144A		197,699
	95,000	Hyundai Capital America, 3.000%, 6/20/2022, 144A		95,976
	240,000	Kia Corp., 1.000%, 4/16/2024, 144A		239,048
	275,000	Nissan Motor Acceptance Co. LLC, 3.450%, 3/15/2023, 144A		282,178
	105,000	PACCAR Financial Corp., MTN, 0.800%, 6/08/2023		105,083
	160,000	PACCAR Financial Corp., MTN, 1.800%, 2/06/2025		162,299
	955,000	PACCAR Financial Corp., MTN, 1.900%, 2/07/2023		966,547
	250,000	Toyota Motor Credit Corp., MTN, 1.150%, 5/26/2022		250,790
	480,000	Toyota Motor Credit Corp., MTN, 1.900%, 4/06/2028		480,986
	275,000	Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A		289,327

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Automotive – continued
	$       290,000	Volkswagen Group of America Finance LLC, 4.250%, 11/13/2023, 144A	$	306,244
				9,105,472
		Banking – 14.6%
	1,400,000	ABN AMRO Bank NV, (fixed rate to 12/13/2028, variable rate thereafter), 2.470%, 12/13/2029, 144A		1,399,993
	1,165,000	Ally Financial, Inc., 3.050%, 6/05/2023		1,194,431
	1,305,000	American Express Co., 1.650%, 11/04/2026		1,308,665
	625,000	ANZ New Zealand International Ltd., 1.900%, 2/13/2023, 144A		633,137
	1,190,000	Australia & New Zealand Banking Group Ltd., MTN, 2.050%, 11/21/2022		1,206,955
	800,000	Banco Bilbao Vizcaya Argentaria S.A., 0.875%, 9/18/2023		796,782
	805,000	Bank of America Corp., MTN, (fixed rate to 6/14/2028, variable rate thereafter), 2.087%, 6/14/2029		799,342
	395,000	Bank of Ireland Group PLC, 4.500%, 11/25/2023, 144A		417,946
	910,000	Bank of Ireland Group PLC, (fixed rate to 9/30/2026, variable rate thereafter), 2.029%, 9/30/2027, 144A		893,680
	175,000	Bank of Montreal, MTN, 1.850%, 5/01/2025		177,584
	655,000	Bank of New York Mellon Corp. (The), MTN, 1.600%, 4/24/2025		661,015
	295,000	Bank of New York Mellon Corp. (The), MTN, 1.800%, 7/28/2031		288,588
	1,235,000	Bank of New Zealand, 2.000%, 2/21/2025, 144A		1,256,404
	1,325,000	Bank of Nova Scotia (The), 1.300%, 9/15/2026		1,298,584
	870,000	Bank of Nova Scotia (The), 2.000%, 11/15/2022		881,441
	200,000	Banque Federative du Credit Mutuel S.A., 2.375%, 11/21/2024, 144A		204,966
	460,000	Banque Federative du Credit Mutuel S.A., 2.700%, 7/20/2022, 144A		465,543
	485,000	Banque Federative du Credit Mutuel S.A., 3.750%, 7/20/2023, 144A		506,100
	1,465,000	Barclays PLC, (fixed rate to 11/24/2026, variable rate thereafter), 2.279%, 11/24/2027		1,467,612
	795,000	Barclays PLC, (fixed rate to 5/16/2023, variable rate thereafter), 4.338%, 5/16/2024		827,576
	645,000	BNP Paribas S.A., (fixed rate to 9/15/2028, variable rate thereafter), 2.159%, 9/15/2029, 144A		631,842
	1,600,000	Canadian Imperial Bank of Commerce, 1.000%, 10/18/2024		1,585,843
	490,000	Capital One Financial Corp., (fixed rate to 11/02/2031, variable rate thereafter), 2.618%, 11/02/2032		488,658
	1,545,000	Capital One Financial Corp., (fixed rate to 12/06/2023, variable rate thereafter), 1.343%, 12/06/2024		1,554,336

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Banking – continued
	$       505,000	Capital One Financial Corp., (fixed rate to 7/29/2031, variable rate thereafter), 2.359%, 7/29/2032	$	478,086
	510,000	Citigroup, Inc., (fixed rate to 4/08/2025, variable rate thereafter), 3.106%, 4/08/2026		534,647
	230,000	Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025		228,186
	225,000	Comerica, Inc., 3.700%, 7/31/2023		234,142
	660,000	Cooperatieve Rabobank U.A., 2.750%, 1/10/2023		673,880
	1,380,000	Cooperatieve Rabobank U.A., (fixed rate to 12/15/2026, variable rate thereafter), 1.980%, 12/15/2027, 144A		1,380,372
	750,000	Credit Agricole S.A., (fixed rate to 6/16/2025, variable rate thereafter), 1.907%, 6/16/2026, 144A		751,441
	575,000	Credit Suisse AG, 1.250%, 8/07/2026		560,529
	500,000	Danske Bank A/S, 3.875%, 9/12/2023, 144A		520,038
	800,000	Danske Bank A/S, (fixed rate to 9/10/2024, variable rate thereafter), 0.976%, 9/10/2025, 144A		787,673
	980,000	Deutsche Bank AG, (fixed rate to 11/16/2026, variable rate thereafter), 2.311%, 11/16/2027		979,564
	395,000	Deutsche Bank AG, (fixed rate to 11/26/2024, variable rate thereafter), 3.961%, 11/26/2025		417,100
	505,000	Deutsche Bank AG, Series E, 0.962%, 11/08/2023		504,101
	205,000	DNB Bank ASA, 2.150%, 12/02/2022, 144A		208,007
	590,000	DNB Bank ASA, (fixed rate to 9/16/2025, variable rate thereafter), 1.127%, 9/16/2026, 144A		577,234
	1,460,000	Goldman Sachs Group, Inc. (The), (fixed rate to 10/21/2026, variable rate thereafter), 1.948%, 10/21/2027		1,455,153
	510,000	Goldman Sachs Group, Inc. (The), (fixed rate to 12/09/2025, variable rate thereafter), 1.093%, 12/09/2026		496,974
	480,000	Goldman Sachs Group, Inc. (The), (fixed rate to 3/09/2026, variable rate thereafter), 1.431%, 3/09/2027		470,220
	1,330,000	HSBC Holdings PLC, (fixed rate to 11/22/2031, variable rate thereafter), 2.871%, 11/22/2032		1,341,036
	395,000	HSBC Holdings PLC, (fixed rate to 8/17/2028, variable rate thereafter), 2.206%, 8/17/2029		387,345
	865,000	JPMorgan Chase & Co., (fixed rate to 11/19/2025, variable rate thereafter), 1.045%, 11/19/2026		842,690
	535,000	JPMorgan Chase & Co., (fixed rate to 4/01/2022, variable rate thereafter), 3.207%, 4/01/2023		538,187
	1,070,000	JPMorgan Chase & Co., (fixed rate to 6/01/2028, variable rate thereafter), 2.069%, 6/01/2029		1,061,071
	495,000	Lloyds Banking Group PLC, 4.050%, 8/16/2023		518,613
	375,000	Lloyds Banking Group PLC, (fixed rate to 7/09/2024, variable rate thereafter), 3.870%, 7/09/2025		396,142
	1,195,000	Macquarie Bank Ltd., 2.100%, 10/17/2022, 144A		1,209,276

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Banking – continued
	$         65,000	Macquarie Bank Ltd., 2.300%, 1/22/2025, 144A	$	66,592
	295,000	Macquarie Group Ltd., (fixed rate to 6/23/2031, variable rate thereafter), 2.691%, 6/23/2032, 144A		294,216
	620,000	Nationwide Building Society, (fixed rate to 3/08/2023, variable rate thereafter), 3.766%, 3/08/2024, 144A		638,598
	1,215,000	NatWest Markets PLC, 1.600%, 9/29/2026, 144A		1,195,104
	660,000	NatWest Markets PLC, 3.625%, 9/29/2022, 144A		674,717
	1,305,000	Nordea Bank Abp, 1.500%, 9/30/2026, 144A		1,282,469
	210,000	Northern Trust Corp., (fixed rate to 5/08/2027, variable rate thereafter), 3.375%, 5/08/2032		221,096
	355,000	Royal Bank of Canada, 0.650%, 7/29/2024		349,976
	410,000	Royal Bank of Canada, 1.200%, 4/27/2026		402,730
	795,000	Royal Bank of Canada, GMTN, 2.300%, 11/03/2031		798,703
	690,000	Santander Holdings USA, Inc., 3.450%, 6/02/2025		723,907
	245,000	Societe Generale S.A., 1.375%, 7/08/2025, 144A		242,354
	465,000	Societe Generale S.A., (fixed rate to 6/09/2026, variable rate thereafter), 1.792%, 6/09/2027, 144A		455,046
	555,000	Standard Chartered PLC, (fixed rate to 1/30/2025, variable rate thereafter), 2.819%, 1/30/2026, 144A		568,923
	430,000	Standard Chartered PLC, (fixed rate to 11/23/2024, variable rate thereafter), 1.822%, 11/23/2025, 144A		429,471
	375,000	Standard Chartered PLC, (fixed rate to 6/29/2031, variable rate thereafter), 2.678%, 6/29/2032, 144A		368,216
	500,000	State Street Corp., (fixed rate to 11/18/2026, variable rate thereafter), 1.684%, 11/18/2027		500,705
	245,000	State Street Corp., (fixed rate to 3/30/2025, variable rate thereafter), 2.901%, 3/30/2026		256,163
	305,000	State Street Corp., (fixed rate to 5/15/2022, variable rate thereafter), 2.653%, 5/15/2023		307,211
	1,540,000	Sumitomo Mitsui Financial Group, Inc., 1.902%, 9/17/2028		1,509,706
	235,000	Sumitomo Mitsui Financial Group, Inc., 2.784%, 7/12/2022		237,889
	840,000	Sumitomo Mitsui Trust Bank Ltd., 0.850%, 3/25/2024, 144A		831,927
	1,400,000	Swedbank AB, 1.300%, 6/02/2023, 144A		1,408,204
	75,000	Synchrony Financial, 4.250%, 8/15/2024		79,435
	840,000	Toronto-Dominion Bank (The), MTN, 1.250%, 9/10/2026		825,264
	700,000	Toronto-Dominion Bank (The), MTN, 1.900%, 12/01/2022		708,683
	770,000	Truist Financial Corp., MTN, 3.050%, 6/20/2022		777,559

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Banking – continued
	$       515,000	Truist Financial Corp., MTN, (fixed rate to 6/07/2028, variable rate thereafter), 1.887%, 6/07/2029	$	507,119
	665,000	UniCredit SpA, 3.750%, 4/12/2022, 144A		670,028
	585,000	UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026, 144A		583,867
	1,225,000	Westpac Banking Corp., 1.953%, 11/20/2028		1,220,098
	195,000	Westpac Banking Corp., 2.800%, 1/11/2022		195,119
				57,829,825
		Brokerage – 2.2%
	415,000	Ameriprise Financial, Inc., 3.000%, 3/22/2022		417,361
	990,000	BlackRock, Inc., 2.100%, 2/25/2032		982,245
	635,000	Blackstone Holdings Finance Co. LLC, 2.000%, 1/30/2032, 144A		611,283
	1,285,000	Blackstone Private Credit Fund, 2.625%, 12/15/2026, 144A		1,252,818
	925,000	Blackstone Private Credit Fund, 3.250%, 3/15/2027, 144A		934,554
	465,000	Intercontinental Exchange, Inc., 2.100%, 6/15/2030		461,238
	1,065,000	Jefferies Group LLC/Jefferies Group Capital Finance, Inc., 2.625%, 10/15/2031		1,047,500
	445,000	KKR Group Finance Co. X LLC, 3.250%, 12/15/2051, 144A		443,456
	1,300,000	National Securities Clearing Corp., 1.200%, 4/23/2023, 144A		1,308,850
	1,300,000	Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A		1,383,836
				8,843,141
		Chemicals – 0.7%
	360,000	Cabot Corp., 4.000%, 7/01/2029		392,732
	1,370,000	Ecolab, Inc., 2.125%, 2/01/2032		1,358,613
	960,000	Nutrien Ltd., 1.900%, 5/13/2023		972,263
				2,723,608
		Collateralized Mortgage Obligations – 1.2%
	352,842	Government National Mortgage Association, Series 2010-H02, Class FA, 1-month LIBOR + 0.680%, 0.773%, 2/20/2060(b)		354,251
	205,774	Government National Mortgage Association, Series 2010-H03, Class FA, 1-month LIBOR + 0.550%, 0.643%, 3/20/2060(b)		206,371
	123,525	Government National Mortgage Association, Series 2014-H14, Class FA, 1-month LIBOR + 0.500%, 0.575%, 7/20/2064(b)		123,927
	97,588	Government National Mortgage Association, Series 2014-H15, Class FA, 1-month LIBOR + 0.500%, 0.581%, 7/20/2064(b)		97,948

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
	$              345	Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065(c)(d)	$	344
	256,577	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065		260,165
	380,499	Government National Mortgage Association, Series 2016-H06, Class FC, 1-month LIBOR + 0.920%, 1.001%, 2/20/2066(b)		385,963
	1,068,726	Government National Mortgage Association, Series 2018-H17, Class JA, 3.750%, 9/20/2068(a)		1,133,909
	272,911	Government National Mortgage Association, Series 2019-H01, Class FL, 1-month LIBOR + 0.450%, 0.531%, 12/20/2068(b)		273,337
	920,560	Government National Mortgage Association, Series 2019-H01, Class FT, 1-month LIBOR + 0.400%, 0.481%, 10/20/2068(b)		920,592
	858,712	Government National Mortgage Association, Series 2019-H10, Class FM, 1-month LIBOR + 0.400%, 0.481%, 5/20/2069(b)		858,765
				4,615,572
		Construction Machinery – 0.2%
	275,000	Caterpillar Financial Services Corp., MTN, 0.950%, 5/13/2022		275,633
	300,000	CNH Industrial Capital LLC, 1.950%, 7/02/2023		303,903
	215,000	John Deere Capital Corp., MTN, 1.300%, 10/13/2026		212,828
				792,364
		Consumer Cyclical Services – 0.3%
	945,000	eBay, Inc., 1.400%, 5/10/2026		930,482
	165,000	Expedia Group, Inc., 6.250%, 5/01/2025, 144A		186,147
				1,116,629
		Diversified Manufacturing – 0.5%
	135,000	Amphenol Corp., 2.050%, 3/01/2025		137,537
	245,000	Johnson Controls International PLC/Tyco Fire & Security Finance SCA, 2.000%, 9/16/2031		237,248
	225,000	Kennametal, Inc., 4.625%, 6/15/2028		250,732
	830,000	Leggett & Platt, Inc., 3.500%, 11/15/2051		832,859
	135,000	Timken Co. (The), 4.500%, 12/15/2028		150,462
	275,000	WW Grainger, Inc., 1.850%, 2/15/2025		280,130
				1,888,968
		Electric – 2.4%
	435,000	AES Corp. (The), 3.300%, 7/15/2025, 144A		450,399
	360,000	Alliant Energy Finance LLC, 4.250%, 6/15/2028, 144A		397,304
	185,000	Arizona Public Service Co., 2.200%, 12/15/2031		179,532

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Electric – continued
	$       120,000	Consolidated Edison Co. of New York, Inc., Series B, 2.900%, 12/01/2026	$	124,010
	225,000	Dominion Energy, Inc., 3.071%, 8/15/2024		232,897
	270,000	DTE Energy Co., 2.250%, 11/01/2022		273,561
	1,135,000	Duke Energy Carolinas LLC, 3.050%, 3/15/2023		1,162,776
	285,000	Duke Energy Corp., 0.900%, 9/15/2025		276,947
	605,000	Entergy Corp., 0.900%, 9/15/2025		585,962
	116,000	Exelon Generation Co. LLC, 4.250%, 6/15/2022		116,824
	188,000	National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043		192,292
	900,000	NextEra Energy Capital Holdings, Inc., 0.650%, 3/01/2023		898,179
	825,000	Oncor Electric Delivery Co. LLC, 2.750%, 5/15/2030, 144A		860,005
	115,000	Pacific Gas & Electric Co., SOFR + 1.150%, 1.200%, 11/14/2022(b)		115,172
	235,000	Public Service Enterprise Group, Inc., 2.875%, 6/15/2024		243,319
	845,000	Southern California Edison Co., SOFR + 0.470%, 0.520%, 12/02/2022(b)		845,772
	515,000	Southern California Edison Co., 0.700%, 8/01/2023		511,770
	600,000	Vistra Operations Co. LLC, 3.550%, 7/15/2024, 144A		617,866
	1,540,000	WEC Energy Group, Inc., 0.550%, 9/15/2023		1,527,719
				9,612,306
		Finance Companies – 2.2%
	475,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028		481,715
	510,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.150%, 2/15/2024		526,013
	360,000	Air Lease Corp., 1.875%, 8/15/2026		354,041
	555,000	Aircastle Ltd., 2.850%, 1/26/2028, 144A		558,212
	805,000	Ares Capital Corp., 2.875%, 6/15/2028		801,428
	985,000	Ares Capital Corp., 3.200%, 11/15/2031		968,434
	50,000	Ares Capital Corp., 4.250%, 3/01/2025		52,916
	305,000	Aviation Capital Group LLC, 3.875%, 5/01/2023, 144A		313,957
	225,000	Aviation Capital Group LLC, 4.375%, 1/30/2024, 144A		235,928

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Finance Companies – continued
	$         47,000	Avolon Holdings Funding Ltd., 3.625%, 5/01/2022, 144A	$	47,303
	545,000	Bain Capital Specialty Finance, Inc., 2.550%, 10/13/2026		529,687
	400,000	Barings BDC, Inc., 3.300%, 11/23/2026, 144A		395,613
	885,000	FS KKR Capital Corp., 3.125%, 10/12/2028		880,503
	935,000	Golub Capital BDC, Inc., 2.500%, 8/24/2026		918,895
	945,000	Main Street Capital Corp., 3.000%, 7/14/2026		947,717
	150,000	Oaktree Specialty Lending Corp., 3.500%, 2/25/2025		156,285
	260,000	Owl Rock Capital Corp., 3.750%, 7/22/2025		269,328
	90,000	Owl Rock Capital Corp., 4.250%, 1/15/2026		94,641
				8,532,616
		Financial Other – 0.4%
	675,000	Blackstone Secured Lending Fund, 2.850%, 9/30/2028, 144A		658,046
	470,000	LeasePlan Corp. NV, 2.875%, 10/24/2024, 144A		484,478
	410,000	Mitsubishi HC Capital, Inc., 2.652%, 9/19/2022, 144A		414,515
	185,000	ORIX Corp., 3.250%, 12/04/2024		194,924
				1,751,963
		Food & Beverage – 1.6%
	120,000	Brown-Forman Corp., 3.500%, 4/15/2025		127,831
	525,000	Bunge Ltd. Finance Corp., 4.350%, 3/15/2024		558,252
	605,000	Cargill, Inc., 2.125%, 11/10/2031, 144A		596,500
	1,060,000	Coca-Cola Europacific Partners PLC, 0.800%, 5/03/2024, 144A		1,042,471
	1,095,000	General Mills, Inc., 2.600%, 10/12/2022		1,111,124
	535,000	J M Smucker Co. (The), 2.125%, 3/15/2032		517,416
	910,000	JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 5/15/2032, 144A		910,000
	1,065,000	Pernod Ricard International Finance LLC, 1.250%, 4/01/2028, 144A		1,008,785
	340,000	Viterra Finance BV, 2.000%, 4/21/2026, 144A		337,825
				6,210,204

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Gaming – 0.1%
	$       210,000	GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032	$	211,132
		Government Owned—No Guarantee – 0.2%
	350,000	BOC Aviation USA Corp., 1.625%, 4/29/2024, 144A		349,471
	325,000	DAE Funding LLC, 1.550%, 8/01/2024, 144A		322,562
				672,033
		Healthcare – 0.8%
	1,300,000	Baxter International, Inc., 2.272%, 12/01/2028, 144A		1,309,416
	227,000	Cigna Corp., 3.750%, 7/15/2023		236,060
	92,000	CVS Health Corp., 4.300%, 3/25/2028		103,241
	980,000	Danaher Corp., 2.800%, 12/10/2051		966,383
	510,000	DH Europe Finance II S.a.r.l., 2.200%, 11/15/2024		521,155
				3,136,255
		Hybrid ARMs – 0.0%
	24,237	FHLMC, 1-year CMT + 2.225%, 2.289%, 1/01/2035(b)		25,775
	44,709	FHLMC, 1-year CMT + 2.500%, 2.601%, 5/01/2036(b)		47,509
				73,284
		Independent Energy – 0.3%
	255,000	Continental Resources, Inc., 2.875%, 4/01/2032, 144A		249,455
	470,000	Diamondback Energy, Inc., 4.750%, 5/31/2025		514,856
	530,000	Pioneer Natural Resources Co., 0.550%, 5/15/2023		527,975
				1,292,286
		Industrial Other – 0.1%
	225,000	CK Hutchison International Ltd., 1.500%, 4/15/2026, 144A		221,942
		Integrated Energy – 0.2%
	660,000	Suncor Energy, Inc., 2.800%, 5/15/2023		675,200
		Life Insurance – 4.0%
	535,000	AIG Global Funding, 0.900%, 9/22/2025, 144A		519,213
	875,000	Athene Global Funding, 2.500%, 3/24/2028, 144A		879,950
	685,000	Athene Global Funding, 2.646%, 10/04/2031, 144A		675,847

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Life Insurance – continued
	$       235,000	Brighthouse Financial Global Funding, 1.000%, 4/12/2024, 144A	$	232,987
	885,000	Brighthouse Financial Global Funding, 1.200%, 12/15/2023, 144A		886,496
	1,285,000	Equitable Financial Life Global Funding, 1.800%, 3/08/2028, 144A		1,263,609
	615,000	F&G Global Funding, 2.000%, 9/20/2028, 144A		597,902
	230,000	GA Global Funding Trust, 1.000%, 4/08/2024, 144A		227,780
	1,460,000	GA Global Funding Trust, 1.250%, 12/08/2023, 144A		1,459,159
	545,000	GA Global Funding Trust, 1.950%, 9/15/2028, 144A		529,608
	665,000	Great-West Lifeco U.S. Finance LP, 0.904%, 8/12/2025, 144A		646,050
	1,370,000	Guardian Life Global Funding, 1.100%, 6/23/2025, 144A		1,356,905
	945,000	Hill City Funding Trust, 4.046%, 8/15/2041, 144A		914,023
	565,000	Jackson Financial, Inc., 3.125%, 11/23/2031, 144A		567,973
	155,000	Jackson National Life Global Funding, 3.875%, 6/11/2025, 144A		166,650
	795,000	Metropolitan Life Global Funding I, 0.900%, 6/08/2023, 144A		797,173
	700,000	Metropolitan Life Global Funding I, 0.950%, 7/02/2025, 144A		690,305
	1,070,000	New York Life Global Funding, 2.875%, 4/10/2024, 144A		1,113,197
	320,000	Reliance Standard Life Global Funding II, 1.512%, 9/28/2026, 144A		314,220
	655,000	Reliance Standard Life Global Funding II, 2.750%, 5/07/2025, 144A		678,691
	175,000	Reliance Standard Life Global Funding II, 3.850%, 9/19/2023, 144A		182,567
	495,000	RGA Global Funding, 2.000%, 11/30/2026, 144A		496,680
	755,000	Security Benefit Global Funding, 1.250%, 5/17/2024, 144A		751,276
				15,948,261
		Lodging – 0.1%
	350,000	Marriott International, Inc., Series Z, 4.150%, 12/01/2023		367,514
		Media Entertainment – 0.1%
	380,000	Prosus NV, 3.061%, 7/13/2031, 144A		371,028
		Metals & Mining – 0.1%
	425,000	Anglo American Capital PLC, 2.250%, 3/17/2028, 144A		417,364

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Metals & Mining – continued
	$       155,000	Glencore Funding LLC, 4.125%, 3/12/2024, 144A	$	162,982
				580,346
		Midstream – 0.1%
	25,000	Energy Transfer LP, 4.250%, 3/15/2023		25,690
	440,000	Midwest Connector Capital Co. LLC, 3.625%, 4/01/2022, 144A		440,792
				466,482
		Mortgage Related – 0.7%
	1,120	FHLMC, 3.000%, 10/01/2026		1,174
	69	FHLMC, 6.500%, 1/01/2024		76
	22	FHLMC, 8.000%, 7/01/2025		23
	9,318	GNMA, 3.630%, 2/20/2063(a)		9,336
	4,770	GNMA, 3.890%, 10/20/2062(a)		4,917
	5,993	GNMA, 3.990%, 5/20/2062(a)		6,289
	13,212	GNMA, 4.015%, 4/20/2063(a)		13,748
	45,693	GNMA, 4.286%, 11/20/2066(a)		48,831
	60,183	GNMA, 4.373%, 9/20/2066(a)		63,987
	46,558	GNMA, 4.395%, 6/20/2066(a)		49,314
	175,796	GNMA, 4.408%, 10/20/2066(a)		188,414
	65,666	GNMA, 4.457%, 10/20/2066(a)		70,830
	67,716	GNMA, 4.462%, 11/20/2066(a)		72,732
	34,556	GNMA, 4.470%, 8/20/2066(a)		37,202
	7,054	GNMA, 4.471%, 11/20/2064(a)		7,342
	68,271	GNMA, 4.509%, 10/20/2066(a)		72,895
	148,897	GNMA, 4.532%, 9/20/2066(a)		159,169
	404,057	GNMA, 4.577%, 7/20/2067(a)		439,874
	2,095	GNMA, 4.630%, 7/20/2062(a)		2,141
	720,622	GNMA, 4.647%, 4/20/2067(a)		783,339
	578,361	GNMA, 4.680%, 1/20/2067(a)		625,254

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Mortgage Related – continued
	$       258,281	GNMA, 4.700%, with various maturities from 2061 to 2064(a)(e)	$	267,610
	225	GNMA, 6.500%, 12/15/2023		247
				2,924,744
		Natural Gas – 0.2%
	605,000	Sempra Energy, (fixed rate to 1/01/2027, variable rate thereafter), 4.125%, 4/01/2052		612,675
		Non-Agency Commercial Mortgage-Backed Securities – 5.1%
	230,000	BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062		243,556
	270,000	BANK, Series 2020-BN25, Class A5, 2.649%, 1/15/2063		279,846
	1,600,000	BANK, Series 2021-BN37, Class A5, 2.618%, 11/15/2064(a)		1,655,694
	401,806	Barclays Commercial Mortgage Securities Trust, Series 2017-C1, Class A2, 3.189%, 2/15/2050		402,423
	660,000	Barclays Commercial Mortgage Securities Trust, Series 2020-BID, Class A, 1-month LIBOR + 2.140%, 2.250%, 10/15/2037, 144A(b)		661,855
	1,840,000	BBCMS Mortgage Trust, Series 2021-C12, Class A5, 2.689%, 11/15/2054		1,907,339
	285,000	Benchmark Mortgage Trust, Series 2020-B16, Class A5, 2.732%, 2/15/2053		295,296
	755,000	Benchmark Mortgage Trust, Series 2021-B31, Class A5, 2.669%, 12/15/2054		782,681
	520,000	BPR Trust, Series 2021-NRD, Class A, 30-day Average SOFR + 1.525%, 1.625%, 12/15/2023, 144A(b)		518,710
	491,600	CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.865%, 1/10/2048		528,887
	361,996	CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A4, 3.283%, 5/10/2058		380,340
	145,000	CIM Retail Portfolio Trust, Series 2021-RETL, Class A, 1-month LIBOR + 1.400%, 1.510%, 8/15/2036, 144A(b)		144,635
	992,138	Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4, 3.314%, 4/10/2049		1,046,770
	540,000	Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072		575,191
	535,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		531,746
	263,676	Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A5, 3.612%, 6/10/2046(a)		271,364
	24,066	Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047		24,130
	83,248	Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047		85,296
	280,000	Commercial Mortgage Pass Through Certificates, Series 2014-UBS3, Class A4, 3.819%, 6/10/2047		294,519
	280,000	Commercial Mortgage Pass Through Certificates, Series 2015-DC1, Class A5, 3.350%, 2/10/2048		293,467
	520,299	Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class A5, 3.765%, 2/10/2049		558,507

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Non-Agency Commercial Mortgage-Backed Securities – continued
	$       640,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A	$	673,280
	64,575	CSAIL Commercial Mortgage Trust, Series 2015-C4, Class ASB, 3.617%, 11/15/2048		67,147
	470,000	CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A4, 2.968%, 12/15/2052		492,510
	605,000	GS Mortgage Securities Corp. II, Series 2012-BWTR, Class A, 2.954%, 11/05/2034, 144A		610,806
	440,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(a)		448,741
	330,000	GS Mortgage Securities Trust, Series 2014-GC18, Class A4, 4.074%, 1/10/2047		344,647
	245,000	GS Mortgage Securities Trust, Series 2020-GC45, Class A5, 2.911%, 2/13/2053		257,785
	180,000	Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10, 4.155%, 8/05/2034, 144A		169,984
	355,000	Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034, 144A		335,264
	49,432	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047		50,683
	575,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-COR5, Class A4, 3.386%, 6/13/2052		621,013
	470,000	MedTrust, Series 2021-MDLN, Class A, 1-month LIBOR + 0.950%, 1.060%, 11/15/2038, 144A(b)		469,435
	240,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A4, 4.075%, 7/15/2046(a)		246,885
	129,604	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.306%, 4/15/2048		135,653
	550,000	Morgan Stanley Capital I Trust, Series 2020-L4, Class A3, 2.698%, 2/15/2053		569,148
	845,000	New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.910%, 10/20/2061, 144A		828,532
	211,070	UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A		211,203
	565,000	UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A4, 3.244%, 4/10/2046		575,399
	201,109	Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4, 3.426%, 3/15/2059		213,920
	177,984	Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class A2, 3.118%, 1/15/2060		177,908
	490,000	Wells Fargo Commercial Mortgage Trust, Series 2020-C58, Class A4, 2.092%, 7/15/2053		485,499
	122,928	WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A3, 3.660%, 3/15/2047		122,914
	325,000	WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A5, 4.101%, 3/15/2047		341,714
	160,492	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ASB, 3.638%, 5/15/2047		165,111
				20,097,433

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Oil Field Services – 0.3%
	$       205,000	Baker Hughes Holdings LLC/Baker Hughes Co-Obligor, Inc., 2.061%, 12/15/2026	$	206,840
	850,000	Baker Hughes Holdings LLC/Baker Hughes Co-Obligor, Inc., 2.773%, 12/15/2022		866,882
				1,073,722
		Pharmaceuticals – 1.1%
	1,275,000	Amgen, Inc., 2.000%, 1/15/2032		1,234,599
	235,000	Bayer U.S. Finance II LLC, 3.375%, 7/15/2024, 144A		244,527
	1,365,000	Merck & Co., Inc., 2.150%, 12/10/2031		1,368,807
	1,370,000	Roche Holdings, Inc., 2.076%, 12/13/2031, 144A		1,365,951
				4,213,884
		Property & Casualty Insurance – 0.5%
	540,000	American Financial Group, Inc., 3.500%, 8/15/2026		577,586
	180,000	Assurant, Inc., 4.200%, 9/27/2023		189,031
	450,000	Enstar Group Ltd., 3.100%, 9/01/2031		441,096
	940,000	Everest Reinsurance Holdings, Inc., 3.125%, 10/15/2052		915,005
				2,122,718
		Railroads – 0.3%
	930,000	Canadian Pacific Railway Co., 1.350%, 12/02/2024		931,118
	215,000	Union Pacific Corp., 3.646%, 2/15/2024		224,683
				1,155,801
		REITs - Apartments – 0.1%
	155,000	American Campus Communities Operating Partnership LP, 2.250%, 1/15/2029		153,305
	225,000	Invitation Homes Operating Partnership LP, 2.000%, 8/15/2031		211,881
				365,186
		REITs - Diversified – 0.1%
	295,000	LXP Industrial Trust, 2.375%, 10/01/2031		282,960
		REITs - Health Care – 0.4%
	315,000	Healthpeak Properties, Inc., 2.125%, 12/01/2028		315,435
	235,000	Omega Healthcare Investors, Inc., 4.500%, 1/15/2025		251,049

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		REITs - Health Care – continued
	$    1,055,000	Welltower, Inc., 2.750%, 1/15/2032	$	1,064,264
				1,630,748
		REITs - Office Property – 0.4%
	590,000	Kilroy Realty LP, 2.650%, 11/15/2033		573,473
	190,000	Office Properties Income Trust, 2.400%, 2/01/2027		183,918
	635,000	Office Properties Income Trust, 3.450%, 10/15/2031		615,275
	340,000	Office Properties Income Trust, 4.500%, 2/01/2025		358,342
				1,731,008
		REITs - Regional Malls – 0.2%
	310,000	Simon Property Group LP, 1.750%, 2/01/2028		304,009
	450,000	Simon Property Group LP, 2.250%, 1/15/2032		437,843
				741,852
		REITs - Storage – 0.3%
	485,000	CubeSmart LP, 2.250%, 12/15/2028		485,064
	570,000	Life Storage LP, 2.400%, 10/15/2031		560,262
	280,000	Public Storage, 1.950%, 11/09/2028		279,018
				1,324,344
		Restaurants – 0.4%
	1,280,000	McDonald’s Corp., MTN, 2.625%, 1/15/2022		1,280,807
	420,000	McDonald’s Corp., MTN, 3.350%, 4/01/2023		432,360
				1,713,167
		Retailers – 0.9%
	345,000	AutoNation, Inc., 3.500%, 11/15/2024		361,793
	290,000	AutoNation, Inc., 4.500%, 10/01/2025		315,272
	1,105,000	Dollar Tree, Inc., 2.650%, 12/01/2031		1,107,411
	310,000	Falabella S.A., 3.375%, 1/15/2032, 144A		306,900
	190,000	Tapestry, Inc., 3.050%, 3/15/2032		191,116
	1,245,000	Walgreens Boots Alliance, Inc., 0.950%, 11/17/2023		1,244,344
				3,526,836

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Technology – 1.9%
	$       870,000	CDW LLC/CDW Finance Corp., 3.276%, 12/01/2028	$	891,432
	1,160,000	DXC Technology Co., 1.800%, 9/15/2026		1,146,249
	165,000	Flex Ltd., 4.875%, 6/15/2029		187,174
	450,000	Genpact Luxembourg S.a.r.l., 3.700%, 4/01/2022		452,186
	525,000	Global Payments, Inc., 1.500%, 11/15/2024		525,073
	490,000	HP, Inc., 1.450%, 6/17/2026, 144A		480,297
	315,000	Infor, Inc., 1.450%, 7/15/2023, 144A		315,955
	530,000	International Business Machines Corp., 2.850%, 5/13/2022		534,855
	175,000	Marvell Technology, Inc., 4.200%, 6/22/2023		181,818
	285,000	Microchip Technology, Inc., 0.972%, 2/15/2024		282,493
	460,000	Microchip Technology, Inc., 2.670%, 9/01/2023		469,796
	565,000	Panasonic Corp., 2.536%, 7/19/2022, 144A		569,481
	925,000	PayPal Holdings, Inc., 1.350%, 6/01/2023		932,510
	200,000	Qorvo, Inc., 1.750%, 12/15/2024, 144A		200,129
	170,000	Western Digital Corp., 2.850%, 2/01/2029		171,637
	165,000	Western Union Co. (The), 4.250%, 6/09/2023		171,787
				7,512,872
		Tobacco – 0.4%
	585,000	Altria Group, Inc., 2.450%, 2/04/2032		555,409
	1,025,000	BAT Capital Corp., 4.700%, 4/02/2027		1,127,549
				1,682,958
		Transportation Services – 0.6%
	450,000	Element Fleet Management Corp., 3.850%, 6/15/2025, 144A		478,267
	175,000	Penske Truck Leasing Co. LP/PTL Finance Corp., 4.000%, 7/15/2025, 144A		187,828
	695,000	Penske Truck Leasing Co. LP/PTL Finance Corp., 4.125%, 8/01/2023, 144A		725,140
	175,000	Ryder System, Inc., MTN, 1.750%, 9/01/2026		173,734
	255,000	Ryder System, Inc., MTN, 3.750%, 6/09/2023		264,449

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Transportation Services – continued
	$       370,000	Ryder System, Inc., MTN, 4.625%, 6/01/2025	$	405,994
				2,235,412
		Treasuries – 36.4%
	7,790,000	U.S. Treasury Note, 0.250%, 8/31/2025		7,546,258
	20,350,000	U.S. Treasury Note, 0.250%, 10/31/2025(f)		19,668,752
	23,985,000	U.S. Treasury Note, 0.375%, 12/31/2025(f)		23,248,586
	14,355,000	U.S. Treasury Note, 0.500%, 3/31/2025(f)		14,116,685
	7,525,000	U.S. Treasury Note, 0.625%, 7/31/2026		7,317,181
	4,705,000	U.S. Treasury Note, 0.750%, 5/31/2026		4,608,327
	9,505,000	U.S. Treasury Note, 0.750%, 8/31/2026		9,292,251
	2,305,000	U.S. Treasury Note, 0.875%, 6/30/2026		2,268,444
	9,635,000	U.S. Treasury Note, 0.875%, 9/30/2026		9,463,000
	15,830,000	U.S. Treasury Note, 1.125%, 10/31/2026(f)		15,724,879
	9,850,000	U.S. Treasury Note, 1.250%, 11/30/2026		9,843,844
	15,655,000	U.S. Treasury Note, 1.250%, 8/15/2031(f)		15,305,208
	6,010,000	U.S. Treasury Note, 1.375%, 11/15/2031		5,933,936
				144,337,351
		Wireless – 0.1%
	200,000	SK Telecom Co. Ltd., 3.750%, 4/16/2023, 144A		207,053
		Wirelines – 0.2%
	205,000	British Telecommunications PLC, 4.500%, 12/04/2023		216,853
	710,000	Verizon Communications, Inc., 2.100%, 3/22/2028		711,352
				928,205
		Total Bonds and Notes (Identified Cost $382,656,551)		381,214,836
	Short-Term Investments – 3.3%
	1,354,318	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2021 at 0.000% to be repurchased at $1,354,318 on 1/03/2022 collateralized by $1,143,900 U.S. Treasury Inflation Indexed Note, 0.125% due 7/15/2030 valued at $1,381,498 including accrued interest(g)		1,354,318
	11,905,000	U.S. Treasury Bills, 0.086%, 6/02/2022(h)		11,899,730

Principal Amount	Description	Value (†)
	Total Short-Term Investments (Identified Cost $13,254,967)	$	13,254,048
	Total Investments – 99.4% (Identified Cost $395,911,518)		394,468,884
	Other assets less liabilities – 0.6%		2,307,209
	Net Assets – 100.0%	$	396,776,093

(†) 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) 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, 2021 is disclosed.

(b) Variable rate security. Rate as of December 31, 2021 is disclosed.

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

(d) Fair valued by the Fund’s adviser. At December 31, 2021, the value of this security amounted to $344 or less than 0.1% of net assets.

(e) 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.

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

(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 December 31, 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.

(h) Interest rate represents discount rate at time of purchase; not a coupon rate.

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, 2021, the value of Rule 144A holdings amounted to $92,096,457 or 23.2% of net assets.

ABS Asset-Backed Securities

ARMs Adjustable Rate Mortgages

CMT Constant Maturity Treasury

FHLMC Federal Home Loan Mortgage Corp.

GMTN Global Medium Term Note

GNMA Government National Mortgage Association

LIBOR London Interbank Offered Rate

MTN Medium Term Note

REITs Real Estate Investment Trusts

SOFR Secured Overnight Financing Rate

Futures Contracts

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At December 31, 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		3/31/2022		174	$	21,006,751	$	21,049,922	$	43,171

At December 31, 2021, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Ultra Long U.S. Treasury Bond		3/22/2022		20	$	3,958,881	$	3,942,500	$	16,381

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, 2021, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Collateralized Mortgage Obligations	$	—	$	4,615,228	$	344	(a)	$	4,615,572
All Other Bonds and Notes*		—		376,599,264		—			376,599,264
Total Bonds and Notes		—		381,214,492		344			381,214,836
Short-Term Investments		—		13,254,048		—			13,254,048
Futures Contracts (unrealized appreciation)		59,552		—		—			59,552
Total	$	59,552	$	394,468,540	$	344		$	394,528,436

* 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, 2021 and/or December 31, 2021:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2021		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 December 31, 2021		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2021
Bonds and Notes
ABS Other	$	564,912	$	—	$	—		$	—		$	—	$	—		$	—	$	(564,912	)	$	—	$	—
Collateralized Mortgage Obligations		531		—		(2	)		(2	)		—		(183	)		—		—			344		(2	)
Total	$	565,443	$	—	$	(2	)	$	(2	)	$	—	$	(183	)	$	—	$	(564,912	)	$	344	$	(2	)

A debt security valued at $564,912 was transferred from Level 3 to Level 2 during the period ended December 31, 2021. At September 30, 2021, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At December 31, 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.

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include futures contracts.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Fund may also use futures contracts to gain investment exposure. During the period ended December 31, 2021, the Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for the Fund, as of December 31, 2021:

Assets	Unrealized appreciation on futures contracts
Exchange-traded asset derivatives
Interest rate contracts	$	59,552

The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, as of December 31, 2021:

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

Industry Summary at December 31, 2021 (Unaudited)

Treasuries	36.4	%
Banking	14.6
ABS Car Loan	8.0
Non-Agency Commercial Mortgage-Backed Securities	5.1
Life Insurance	4.0
Electric	2.4
Automotive	2.3
Brokerage	2.2
Finance Companies	2.2
Other Investments, less than 2% each	18.9
Short-Term Investments	3.3
Total Investments	99.4
Other assets less liabilities (including futures contracts)	0.6
Net Assets	100.0	%