Loomis Sayles Funds I NPORT-P Loomis Sayles Securitized Asset Fund (Jun 2022 report)

PORTFOLIO OF INVESTMENTS – as of June 30, 2022 (Unaudited)

Loomis Sayles Securitized Asset Fund

Principal         Amount		Description	Value (†)
	Bonds and Notes – 91.8% of Net Assets
		ABS Car Loan – 7.9%
$	147,623	American Credit Acceptance Receivables Trust, Series 2019-4, Class C, 2.690%, 12/12/2025, 144A	$	147,623
	1,401,121	American Credit Acceptance Receivables Trust, Series 2020-1A, Class C, 2.190%, 3/13/2026, 144A		1,399,938
	1,086,303	American Credit Acceptance Receivables Trust, Series 2020-2, Class C, 3.880%, 4/13/2026, 144A		1,084,490
	1,695,000	American Credit Acceptance Receivables Trust, Series 2021-1, Class C, 0.830%, 3/15/2027, 144A		1,656,527
	1,280,000	AmeriCredit Automobile Receivables Trust, Series 2021-2, Class C, 1.010%, 1/19/2027		1,186,990
	2,880,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class B, 2.680%, 8/20/2026, 144A		2,677,786
	3,860,000	Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A		3,545,364
	2,750,000	Bank of The West Auto Trust, Series 2019-1, Class B, 2.760%, 1/15/2025, 144A		2,714,097
	201,614	California Republic Auto Receivables Trust, Series 2018-1, Class C, 3.870%, 10/16/2023		201,625
	3,070,000	Carmax Auto Owner Trust, Series 2018-4, Class D, 4.150%, 4/15/2025		3,071,220
	500,000	CarMax Auto Owner Trust, Series 2020-3, Class C, 1.690%, 4/15/2026		469,354
	1,485,000	CarMax Auto Owner Trust, Series 2021-1, Class C, 0.940%, 12/15/2026		1,369,419
	2,896,183	Carvana Auto Receivables Trust, Series 2021-N1, Class C, 1.300%, 1/10/2028		2,801,654
	1,380,000	Carvana Auto Receivables Trust, Series 2021-N2, Class C, 1.070%, 3/10/2028		1,331,136
	4,455,000	Carvana Auto Receivables Trust, Series 2021-P1, Class C, 1.530%, 3/10/2027		3,991,395
	5,410,000	Carvana Auto Receivables Trust, Series 2021-P2, Class C, 1.600%, 6/10/2027		4,783,581
	2,360,000	Credit Acceptance Auto Loan Trust, Series 2019-3A, Class B, 2.860%, 1/16/2029, 144A		2,341,673
	910,000	Credit Acceptance Auto Loan Trust, Series 2020-1A, Class B, 2.390%, 4/16/2029, 144A		893,816
	1,245,000	Credit Acceptance Auto Loan Trust, Series 2020-2A, Class A, 1.370%, 7/16/2029, 144A		1,227,365
	2,775,000	Credit Acceptance Auto Loan Trust, Series 2021-2A, Class A, 0.960%, 2/15/2030, 144A		2,656,647
	1,435,000	Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.000%, 5/15/2030, 144A		1,365,457
	570,000	Drive Auto Receivables Trust, Series 2021-1, Class C, 1.020%, 6/15/2027		555,311
	1,260,000	DT Auto Owner Trust, Series 2020-3A, Class C, 1.470%, 6/15/2026, 144A		1,224,954
	1,385,000	DT Auto Owner Trust, Series 2021-1A, Class C, 0.840%, 10/15/2026, 144A		1,321,321
	570,000	DT Auto Owner Trust, Series 2021-2A, Class C, 1.100%, 2/16/2027, 144A		541,026

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Car Loan – continued
$	3,360,000	First Investors Auto Owner Trust, Series 2019-2A, Class C, 2.710%, 12/15/2025, 144A	$	3,346,183
	1,625,000	First Investors Auto Owner Trust, Series 2021-1A, Class C, 1.170%, 3/15/2027, 144A		1,528,780
	1,826,000	Flagship Credit Auto Trust, Series 2019-4, Class C, 2.770%, 12/15/2025, 144A		1,812,122
	3,500,000	Flagship Credit Auto Trust, Series 2020-1, Class C, 2.240%, 1/15/2026, 144A		3,431,267
	750,000	Flagship Credit Auto Trust, Series 2020-2, Class C, 3.800%, 4/15/2026, 144A		748,232
	1,690,000	Flagship Credit Auto Trust, Series 2021-1, Class C, 0.910%, 3/15/2027, 144A		1,582,236
	885,000	Flagship Credit Auto Trust, Series 2021-2, Class B, 0.930%, 6/15/2027, 144A		836,974
	3,335,000	Ford Credit Auto Owner Trust, Series 2020-A, Class C, 3.490%, 10/15/2026		3,295,697
	1,650,000	Ford Credit Auto Owner Trust, Series 2020-B, Class C, 2.040%, 12/15/2026		1,580,928
	2,815,000	Ford Credit Auto Owner Trust, Series 2021-A, Class C, 0.830%, 8/15/2028		2,609,516
	2,014,314	Foursight Capital Automobile Receivables Trust, Series 2020-1, Class B, 2.270%, 2/18/2025, 144A		2,011,345
	2,375,000	Foursight Capital Automobile Receivables Trust, Series 2021-2, Class C, 1.570%, 7/15/2027, 144A		2,193,066
	3,086,678	GLS Auto Receivables Trust, Series 2020-1A, Class B, 2.430%, 11/15/2024, 144A		3,083,566
	1,665,000	GLS Auto Receivables Trust, Series 2021-2A, Class C, 1.080%, 6/15/2026, 144A		1,559,775
	1,725,000	GM Financial Consumer Automobile Receivables Trust, Series 2020-3, Class D, 1.910%, 9/16/2027		1,645,217
	565,000	GMF Floorplan Owner Revolving Trust, Series 2020-1, Class C, 1.480%, 8/15/2025, 144A		550,600
	1,776,000	Hyundai Auto Lease Securitization Trust, Series 2021-B, Class B, 0.620%, 3/16/2026, 144A		1,681,691
	800,000	Hyundai Auto Receivables Trust, Series 2020-B, Class C, 1.600%, 12/15/2026		760,250
	4,230,000	Hyundai Auto Receivables Trust, Series 2021-C, Class C, 1.660%, 6/15/2028		3,851,162
	2,807,618	JPMorgan Chase Bank NA, Series 2021-1, Class B, 0.875%, 9/25/2028, 144A		2,726,920
	2,610,000	Prestige Auto Receivables Trust, Series 2020-1A, Class C, 1.310%, 11/16/2026, 144A		2,586,429
	770,000	Santander Consumer Auto Receivables Trust, Series 2020-AA, Class C, 3.710%, 2/17/2026, 144A		766,705
	1,110,000	Santander Consumer Auto Receivables Trust, Series 2021-AA, Class C, 1.030%, 11/16/2026, 144A		1,027,366
	765,000	Santander Drive Auto Receivables Trust, Series 2020-1, Class C, 4.110%, 12/15/2025		765,387
	1,350,000	Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028		1,362,868
	1,045,971	Santander Drive Auto Receivables Trust, Series 2020-2, Class C, 1.460%, 9/15/2025		1,042,487
	1,105,000	Santander Drive Auto Receivables Trust, Series 2020-3, Class C, 1.120%, 1/15/2026		1,093,719

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Car Loan – continued
$	1,790,000	Santander Drive Auto Receivables Trust, Series 2021-3, Class C, 0.950%, 9/15/2027	$	1,722,305
	3,980,000	Santander Retail Auto Lease Trust, Series 2021-B, Class C, 1.100%, 6/20/2025, 144A		3,734,239
	150,000	Westlake Automobile Receivables Trust, Series 2020-2A, Class C, 2.010%, 7/15/2025, 144A		148,214
	2,290,000	Westlake Automobile Receivables Trust, Series 2021-2A, Class C, 0.890%, 7/15/2026, 144A		2,168,969
	530,000	World Omni Auto Receivables Trust, Series 2020-B, Class B, 1.220%, 3/16/2026		494,705
	1,980,000	World Omni Auto Receivables Trust, Series 2021-A, Class C, 0.890%, 8/16/2027		1,815,985
	2,610,000	World Omni Auto Receivables Trust, Series 2021-B, Class C, 1.290%, 12/15/2027		2,408,520
	1,490,000	World Omni Select Auto Trust, Series 2020-A, Class C, 1.250%, 10/15/2026		1,438,845
				107,972,039
		ABS Credit Card – 0.7%
	850,000	Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A		833,609
	2,275,000	Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540%, 3/20/2026, 144A		2,164,552
	1,655,000	Mission Lane Credit Card Master Trust, Series 2021-A, Class A, 1.590%, 9/15/2026, 144A		1,593,814
	5,275,000	World Financial Network Credit Card Master Trust, Series 2019-C, Class M, 2.710%, 7/15/2026		5,271,037
				9,863,012
		ABS Home Equity – 6.6%
	1,901,008	Ajax Mortgage Loan Trust, Series 2019-D, Class A1, 2.956%, 9/25/2065, 144A(a)		1,785,725
	1,448,850	Citigroup Mortgage Loan Trust, Series 2019-RP1, Class M2, 4.000%, 1/25/2066, 144A(a)		1,348,798
	577,975	CoreVest American Finance Trust, Series 2018-1, Class A, 3.804%, 6/15/2051, 144A		575,479
	529,953	CoreVest American Finance Trust, Series 2019-2, Class A, 2.835%, 6/15/2052, 144A		514,904
	1,713,440	CoreVest American Finance Trust, Series 2019-3, Class A, 2.705%, 10/15/2052, 144A		1,649,208
	14,356	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(a)		14,350
	1,844,026	Credit Suisse Mortgage Trust, Series 2021-RPL1, Class A1, 1.668%, 9/27/2060, 144A(a)		1,745,195
	910,000	FirstKey Homes Trust, Series 2020-SRF1, Class B, 1.740%, 8/17/2037, 144A		847,748
	2,495,000	FirstKey Homes Trust, Series 2021-SFR1, Class C, 1.888%, 8/17/2038, 144A		2,227,172
	5,430,000	FirstKey Homes Trust, Series 2021-SFR2, Class C, 1.707%, 9/17/2038, 144A		4,740,770
	2,751,000	FRTKL, Series 2021-SFR1, Class C, 1.922%, 9/17/2038, 144A		2,434,500
	79,701	Gosforth Funding PLC, Series 2018-1A, Class A1, 3-month LIBOR + 0.450%, 1.974%, 8/25/2060, 144A(b)		79,664

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Home Equity – continued
$	907,771	HarborView Mortgage Loan Trust, Series 2004-3, Class 1A, 2.718%, 5/19/2034(a)	$	876,558
	1,510,390	Home Partners of America Trust, Series 2021-1, Class C, 2.078%, 9/17/2041, 144A		1,293,123
	5,974,724	Invitation Homes Trust, Series 2018-SFR4, Class B, 1-month LIBOR + 1.250%, 2.773%, 1/17/2038, 144A(b)(c)		5,914,513
	12,208,016	JPMorgan Mortgage Trust, Series 2017-4, Class AX1, IO, 0.383%, 11/25/2048, 144A(a)(d)(e)(f)		104,891
	4,515,000	Legacy Mortgage Asset Trust, Series 2020-RPL1, Class A2, 3.250%, 9/25/2059, 144A(a)		4,145,381
	4,006,000	Mill City Mortgage Loan Trust, Series 2015-2, Class B1, 3.576%, 9/25/2057, 144A(a)		3,880,890
	539,187	Mill City Mortgage Loan Trust, Series 2018-2, Class M1, 3.750%, 5/25/2058, 144A(a)		525,278
	842,830	Mill City Mortgage Loan Trust, Series 2018-3, Class A1, 3.500%, 8/25/2058, 144A(a)		824,462
	1,646,966	Mill City Mortgage Loan Trust, Series 2019-1, Class M1, 3.500%, 10/25/2069, 144A(a)		1,517,935
	1,275,861	Mill City Mortgage Loan Trust, Series 2021-NMR1, Class A1, 1.125%, 11/25/2060, 144A(a)		1,215,268
	39,012	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 3.158%, 7/25/2035(a)(e)(f)		33,913
	231,323	Onslow Bay Financial LLC, Series 2018-EXP1, Class 1A3, 4.000%, 4/25/2048, 144A(a)		222,013
	162,925	Onslow Bay Financial LLC, Series 2019-EXP1, Class 1A3, 4.000%, 1/25/2059, 144A(a)		156,172
	585,000	Progress Residential Trust, Series 2020-SFR2, Class A, 2.078%, 6/17/2037, 144A		550,344
	1,120,000	Progress Residential Trust, Series 2020-SFR3, Class B, 1.495%, 10/17/2027, 144A		1,010,018
	2,670,000	Progress Residential Trust, Series 2021-SFR2, Class C, 1.997%, 4/19/2038, 144A		2,401,721
	1,892,000	Progress Residential Trust, Series 2021-SFR3, Class B, 1.888%, 5/17/2026, 144A		1,700,178
	3,450,000	Progress Residential Trust, Series 2021-SFR4, Class C, 2.039%, 5/17/2038, 144A		3,090,186
	830,000	Progress Residential Trust, Series 2021-SFR5, Class C, 1.808%, 7/17/2038, 144A		730,347
	1,715,000	Progress Residential Trust, Series 2021-SFR6, Class C, 1.855%, 7/17/2038, 144A		1,511,998
	5,450,000	Progress Residential Trust, Series 2021-SFR9, Class C, 2.362%, 11/17/2040, 144A		4,635,996
	1,855	RALI Trust, Series 2006-QS13, Class 2A1, 5.750%, 7/25/2022(e)(f)		1,470
	21,270	RALI Trust, Series 2006-QS18, Class 3A3, 5.750%, 7/25/2022(e)(f)		17,760
	956	RALI Trust, Series 2006-QS6, Class 2A1, 6.000%, 7/25/2022(e)(f)		812
	81,826	Sequoia Mortgage Trust, Series 2019-CH2, Class A1, 4.500%, 8/25/2049, 144A(a)		81,123
	5,570,000	Towd Point Mortgage Trust, Series 2017-3, Class A2, 3.000%, 7/25/2057, 144A(a)(c)		5,411,846
	4,036,054	Towd Point Mortgage Trust, Series 2017-4, Class A2, 3.000%, 6/25/2057, 144A(a)		3,783,977

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Home Equity – continued
$	2,167,000	Towd Point Mortgage Trust, Series 2017-5, Class M2, 1-month LIBOR + 1.500%, 3.124%, 2/25/2057, 144A(b)	$	2,115,208
	887,521	Towd Point Mortgage Trust, Series 2018-3, Class A1, 3.750%, 5/25/2058, 144A(a)		867,365
	2,325,000	Towd Point Mortgage Trust, Series 2018-4, Class A2, 3.000%, 6/25/2058, 144A(a)		2,098,381
	5,530,000	Towd Point Mortgage Trust, Series 2019-2, Class A2, 3.750%, 12/25/2058, 144A(a)(c)		5,199,665
	407,282	Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(a)		394,359
	5,555,000	Towd Point Mortgage Trust, Series 2020-2, Class A2B, 3.000%, 4/25/2060, 144A(a)		4,769,652
	5,000,000	Towd Point Mortgage Trust, Series 2020-4, Class A2, 2.500%, 10/25/2060, 144A		4,203,184
	2,863,843	Tricon American Homes Trust, Series 2017-SFR2, Class A, 2.928%, 1/17/2036, 144A		2,828,829
	1,694,069	Tricon American Homes Trust, Series 2019-SFR1, Class A, 2.750%, 3/17/2038, 144A		1,630,816
	1,275,000	Tricon American Homes Trust, Series 2020-SFR1, Class C, 2.249%, 7/17/2038, 144A		1,170,571
	1,305,000	Tricon American Homes Trust, Series 2020-SFR2, Class B, 1.832%, 11/17/2039, 144A		1,146,408
	750,221	WaMu Mortgage Pass Through Certificates, Series 2007-HY2, Class 2A2, 2.884%, 11/25/2036(a)		683,064
				90,709,188
		ABS Other – 7.2%
	4,804,000	AASET LLC, Series 2022-1A, Class A, 6.000%, 5/16/2047, 144A		4,682,862
	2,139,232	Accelerated Assets LLC, Series 2018-1, Class A, 3.870%, 12/02/2033, 144A		2,090,755
	2,630,000	Affirm Asset Securitization Trust, Series 2021-A, Class A, 0.880%, 8/15/2025, 144A		2,601,178
	1,366,830	Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(a)		1,207,805
	3,183,675	CAL Funding IV Ltd., Series 2020-1A, Class A, 2.220%, 9/25/2045, 144A		2,870,046
	1,597,322	Castlelake Aircraft Structured Trust, Series 2019-1A, Class A, 3.967%, 4/15/2039, 144A		1,409,092
	339,287	Castlelake Aircraft Structured Trust, Series 2021-1A, Class A, 3.474%, 1/15/2046, 144A		302,051
	1,069,712	CCG Receivables Trust, Series 2019-1, Class B, 3.220%, 9/14/2026, 144A		1,071,167
	550,000	Chesapeake Funding II LLC, Series 2020-1A, Class C, 2.140%, 8/15/2032, 144A		538,443
	2,225,000	Chesapeake Funding II LLC, Series 2021-1A, Class B, 0.990%, 4/15/2033, 144A		2,073,280
	2,463,675	CLI Funding VI LLC, Series 2020-3A, Class A, 2.070%, 10/18/2045, 144A		2,200,244
	1,000,000	Dell Equipment Finance Trust, Series 2020-1, Class C, 4.260%, 6/22/2023, 144A		1,001,393
	740,000	Dell Equipment Finance Trust, Series 2020-2, Class C, 1.370%, 1/22/2024, 144A		722,453

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Other – continued
$	711,666	Diamond Resorts Owner Trust, Series 2018-1, Class A, 3.700%, 1/21/2031, 144A	$	709,949
	5,798,053	Government National Mortgage Association, Series 2021-H17, Class IO, 3.744%, 3/20/2070(a)(d)(e)(f)		121,260
	812,000	GreatAmerica Leasing Receivables Funding LLC, Series 2021-1, Class B, 0.720%, 12/15/2026, 144A		748,527
	2,601,649	Hilton Grand Vacations Trust, Series 2020-AA, Class A, 2.740%, 2/25/2039, 144A		2,491,756
	634,028	Horizon Aircraft Finance II Ltd., Series 2019-1, Class A, 3.721%, 7/15/2039, 144A		561,020
	4,265,000	HPEFS Equipment Trust, Series 2021-1A, Class C, 0.750%, 3/20/2031, 144A		4,057,410
	1,455,000	HPEFS Equipment Trust, Series 2021-2A, Class C, 0.880%, 9/20/2028, 144A		1,379,272
	2,023,892	Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A		1,776,842
	893,672	MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A		827,937
	1,585,000	Marlette Funding Trust, Series 2021-2A, Class B, 1.060%, 9/15/2031, 144A		1,521,909
	673,712	Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(a)		540,957
	305,000	MMAF Equipment Finance LLC, Series 2020-A, Class A5, 1.560%, 10/09/2042, 144A		267,882
	589,914	MVW LLC, Series 2021-1WA, Class B, 1.440%, 1/22/2041, 144A		532,765
	945,000	Navient Private Education Refi Loan Trust, Series 2020-HA, Class B, 2.780%, 1/15/2069, 144A		843,765
	681,921	OneMain Financial Issuance Trust, Series 2019-1A, Class B, 3.790%, 2/14/2031, 144A		681,730
	5,197,341	OneMain Financial Issuance Trust, Series 2020-1A, Class A, 3.840%, 5/14/2032, 144A(c)		5,182,170
	5,400,000	OneMain Financial Issuance Trust, Series 2021-1A, Class B, 1.950%, 6/16/2036, 144A		4,582,727
	1,009,517	Orange Lake Timeshare Trust, Series 2018-A, Class A, 3.100%, 11/08/2030, 144A		988,284
	4,120,794	S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A		3,619,318
	1,635,000	SCF Equipment Leasing LLC, Series 2021-1A, Class B, 1.370%, 8/20/2029, 144A		1,500,993
	306,221	Sierra Timeshare Receivables Funding LLC, Series 2018-2A, Class A, 3.500%, 6/20/2035, 144A		303,246
	1,896,438	Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class A, 2.590%, 5/20/2036, 144A		1,854,736
	2,238,537	Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A, 1.330%, 7/20/2037, 144A		2,099,974
	592,728	Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class B, 2.320%, 7/20/2037, 144A		566,257
	494,442	Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class B, 1.340%, 11/20/2037, 144A		460,137
	3,004,688	SLAM Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046, 144A		2,578,743

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Other – continued
$	210,000	SLM Private Credit Student Loan Trust, Series 2003-C, Class A3, 28-day Auction Rate Security, 5.112%, 9/15/2032(a)	$	205,853
	145,000	SLM Private Credit Student Loan Trust, Series 2003-C, Class A4, 28-day Auction Rate Security, 5.152%, 9/15/2032(a)		142,137
	5,485,000	SMB Private Education Loan Trust, Series 2019-B, Class B, 3.560%, 6/15/2043, 144A		5,037,309
	3,027,432	SoFi Consumer Loan Program Trust, Series 2021-B, Class B, 2.250%, 1/25/2029, 144A		3,025,213
	3,129,830	SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.970%, 9/25/2037, 144A		2,921,849
	568,168	Textainer Marine Containers VII Ltd., Series 2020-1A, Class A, 2.730%, 8/21/2045, 144A		532,512
	6,917,867	Textainer Marine Containers VII Ltd., Series 2021-2A, Class A, 2.230%, 4/20/2046, 144A		6,146,874
	1,659,616	Textainer Marine Containers VIII Ltd., Series 2020-2A, Class A, 2.100%, 9/20/2045, 144A		1,501,940
	1,819,667	TIF Funding II LLC, Series 2020-1A, Class A, 2.090%, 8/20/2045, 144A		1,634,186
	1,787,500	Triton Container Finance VIII LLC, Series 2021-1A, Class A, 1.860%, 3/20/2046, 144A		1,560,142
	4,075,560	TRP - TRIP Rail Master Funding LLC, Series 2021-2, Class A, 2.150%, 6/19/2051, 144A		3,594,432
	4,468,071	Wave Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042, 144A		4,011,064
	1,203,189	Welk Resorts LLC, Series 2019-AA, Class A, 2.800%, 6/15/2038, 144A		1,166,490
	1,930,973	Willis Engine Structured Trust, Series 2021-A, Class A, 3.104%, 5/15/2046, 144A		1,527,637
	3,195,786	Willis Engine Structured Trust V, Series 2020-A, Class A, 3.228%, 3/15/2045, 144A		2,716,922
				99,294,895
		ABS Student Loan – 2.2%
	611,676	College Ave Student Loans LLC, Series 2021-A, Class A2, 1.600%, 7/25/2051, 144A		541,169
	561,890	Commonbond Student Loan Trust, Series 2020, Class A, 1.980%, 8/25/2050, 144A		512,302
	1,760,130	Education Funding Trust, Series 2020-A, Class A, 2.790%, 7/25/2041, 144A		1,664,984
	823,657	EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.800%, 11/25/2045, 144A		724,562
	1,225,130	Massachusetts Educational Financing Authority, Series 2018-A, Class A, 3.850%, 5/25/2033		1,221,889
	1,532,035	Navient Private Education Refi Loan Trust, Series 2019-CA, Class A2, 3.130%, 2/15/2068, 144A		1,495,495
	1,158,889	Navient Private Education Refi Loan Trust, Series 2019-GA, Class A, 2.400%, 10/15/2068, 144A		1,108,029
	950,497	Navient Private Education Refi Loan Trust, Series 2020-BA, Class A2, 2.120%, 1/15/2069, 144A		893,665
	1,690,630	Navient Private Education Refi Loan Trust, Series 2020-DA, Class A, 1.690%, 5/15/2069, 144A		1,603,693

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Student Loan – continued
$	1,565,000	Navient Private Education Refi Loan Trust, Series 2020-DA, Class B, 3.330%, 5/15/2069, 144A	$	1,426,123
	189,221	Navient Private Education Refi Loan Trust, Series 2020-GA, Class A, 1.170%, 9/16/2069, 144A		177,776
	1,852,258	Navient Private Education Refi Loan Trust, Series 2021-A, Class A, 0.840%, 5/15/2069, 144A		1,695,417
	1,324,452	Navient Private Education Refi Loan Trust, Series 2021-BA, Class A, 0.940%, 7/15/2069, 144A		1,196,543
	1,630,000	Nelnet Student Loan Trust, Series 2021-A, Class B1, 2.850%, 4/20/2062, 144A		1,408,996
	560,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day Auction Rate Security, 5.023%, 6/15/2032(a)		548,878
	92,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A4, 28-day Auction Rate Security, 5.166%, 6/15/2032(a)		90,281
	182,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day Auction Rate Security, 5.133%, 3/15/2033(a)		178,526
	2,681,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day Auction Rate Security, 5.213%, 3/15/2033(a)		2,629,833
	3,642,403	SMB Private Education Loan Trust, Series 2018-A, Class A2B, 1-month LIBOR + 0.800%, 2.124%, 2/15/2036, 144A(b)		3,579,062
	1,388,908	SMB Private Education Loan Trust, Series 2018-B, Class A2A, 3.600%, 1/15/2037, 144A		1,334,979
	990,220	SMB Private Education Loan Trust, Series 2021-A, Class APT2, 1.070%, 1/15/2053, 144A		875,349
	136,142	SoFi Professional Loan Program LLC, Series 2016-B, Class A2B, 2.740%, 10/25/2032, 144A		136,152
	655,158	SoFi Professional Loan Program LLC, Series 2017-F, Class A2FX, 2.840%, 1/25/2041, 144A		644,750
	4,469,095	SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX, 2.540%, 5/15/2046, 144A(c)		4,284,106
				29,972,559
		ABS Whole Business – 1.6%
	2,497,952	Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A		2,458,604
	1,770,923	DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A		1,650,950
	3,878,875	Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048, 144A		3,772,066
	3,931,200	Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A		3,494,951
	2,518,167	Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A		2,497,855
	4,579,725	Triton Container Finance VIII LLC, Series 2020-1A, Class A, 2.110%, 9/20/2045, 144A		4,054,275
	3,538,275	Wendy’s Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A		3,332,765
	1,564,200	Wendy’s Funding LLC, Series 2021-1A, Class A2I, 2.370%, 6/15/2051, 144A		1,325,817
				22,587,283

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Agency Commercial Mortgage-Backed Securities – 9.4%
$	38,929,739	Federal Home Loan Mortgage Corp., Series K-1521, Class X1, IO, 1.096%, 8/25/2036(a)(d)	$	3,711,402
	255,031,964	Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K138, Class X1, 0.252%, 1/25/2032(a)(d)		3,456,703
	19,810,000	Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K145, Class X1, 0.317%, 6/25/2055(a)		539,406
	66,605,000	Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K146, Class X1, 0.230%, 6/25/2032(a)		1,454,653
	17,658,314	Federal National Mortgage Association, REMIC, Series 2020-M37, Class X, IO, 1.182%, 4/25/2032(a)(d)		1,139,367
	17,113	Federal National Mortgage Association, Series 2015-M17, Class FA, 1-month LIBOR + 0.930%, 1.858%, 11/25/2022(b)		17,095
	23,264,438	Federal National Mortgage Association, Series 2019-M17, Class X, 0.416%, 8/25/2034(a)(d)		491,257
	16,959,632	Federal National Mortgage Association, Series 2020-M33, Class X, IO, 1.918%, 6/25/2028(a)(d)		1,246,579
	18,094,183	Federal National Mortgage Association, Series 2020-M43, Class X1, IO, 2.211%, 8/25/2034(a)(d)		2,093,808
	18,364,481	FHLMC Multifamily Structured Pass Through Certificates, Series K-103, Class X1, 0.757%, 11/25/2029(a)(d)		729,107
	13,738,734	FHLMC Multifamily Structured Pass Through Certificates, Series K-108, Class X1, 1.810%, 3/25/2030(a)(d)		1,480,816
	14,615,219	FHLMC Multifamily Structured Pass Through Certificates, Series K-117, Class X1, 1.339%, 8/25/2030(a)(d)		1,137,158
	3,379,271	FHLMC Multifamily Structured Pass Through Certificates, Series K-1513, Class X1, IO, 0.994%, 8/25/2034(a)(d)(e)(f)		241,430
	20,645,059	FHLMC Multifamily Structured Pass Through Certificates, Series K-1514, Class X1, 0.700%, 10/25/2034(a)(d)		1,047,840
	2,560,553	FHLMC Multifamily Structured Pass Through Certificates, Series K-1517, Class X1, IO, 1.443%, 7/25/2035(a)(d)(e)(f)		303,555
	347,772,109	FHLMC Multifamily Structured Pass Through Certificates, Series K028, Class X1, 0.337%, 2/25/2023(a)(d)(e)(f)		346,085
	73,417,872	FHLMC Multifamily Structured Pass Through Certificates, Series K031, Class X1, 0.292%, 4/25/2023(a)(d)(e)(f)		92,621
	30,677,320	FHLMC Multifamily Structured Pass Through Certificates, Series K036, Class X1, 0.837%, 10/25/2023(a)(d)(e)(f)		236,568
	32,237,146	FHLMC Multifamily Structured Pass Through Certificates, Series K038, Class X1, 1.243%, 3/25/2024(a)(d)(e)(f)		444,254
	36,219,187	FHLMC Multifamily Structured Pass Through Certificates, Series K040, Class X1, 0.837%, 9/25/2024(a)(d)(e)(f)		440,743
	68,590,450	FHLMC Multifamily Structured Pass Through Certificates, Series K047, Class X1, 0.231%, 5/25/2025(a)(d)(e)(f)		233,123
	38,442,737	FHLMC Multifamily Structured Pass Through Certificates, Series K051, Class X1, 0.644%, 9/25/2025(a)(d)(e)(f)		534,670
	16,313,113	FHLMC Multifamily Structured Pass Through Certificates, Series K052, Class X1, 0.775%, 11/25/2025(a)(d)(e)(f)		293,058
	9,341,570	FHLMC Multifamily Structured Pass Through Certificates, Series K053, Class X1, 1.017%, 12/25/2025(a)(d)(e)(f)		235,993
	16,235,573	FHLMC Multifamily Structured Pass Through Certificates, Series K054, Class X1, 1.298%, 1/25/2026(a)(d)(e)(f)		553,944

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Agency Commercial Mortgage-Backed Securities – continued
$	7,211,656	FHLMC Multifamily Structured Pass Through Certificates, Series K055, Class X1, 1.485%, 3/25/2026(a)(d)(e)(f)	$	296,495
	26,939,431	FHLMC Multifamily Structured Pass Through Certificates, Series K057, Class X1, 1.306%, 7/25/2026(a)(d)		1,034,975
	8,374,286	FHLMC Multifamily Structured Pass Through Certificates, Series K058, Class X1, 1.046%, 8/25/2026(a)(d)(e)(f)		264,792
	24,929,018	FHLMC Multifamily Structured Pass Through Certificates, Series K059, Class X1, 0.426%, 9/25/2026(a)(d)(e)(f)		270,204
	90,940,507	FHLMC Multifamily Structured Pass Through Certificates, Series K060, Class X1, 0.192%, 10/25/2026(a)(d)(e)(f)		328,092
	17,525,754	FHLMC Multifamily Structured Pass Through Certificates, Series K105, Class X1, 1.645%, 1/25/2030(a)(d)		1,605,657
	11,607,622	FHLMC Multifamily Structured Pass Through Certificates, Series K107, Class X1, IO, 1.707%, 1/25/2030(a)(d)		1,123,896
	32,679,283	FHLMC Multifamily Structured Pass Through Certificates, Series K141, Class X1, 0.407%, 2/25/2032(a)(d)		856,459
	79,234,565	FHLMC Multifamily Structured Pass Through Certificates, Series K142, Class X1, 0.403%, 3/25/2032(a)(d)		1,995,523
	35,940,446	FHLMC Multifamily Structured Pass Through Certificates, Series K143, Class X1, 0.450%, 4/25/2055(a)(d)		1,040,745
	46,067,423	FHLMC Multifamily Structured Pass Through Certificates, Series K144, Class X1, 0.435%, 4/25/2032(a)(d)		1,310,738
	14,530,627	FHLMC Multifamily Structured Pass Through Certificates, Series K152, Class X1, 1.102%, 1/25/2031(a)(d)		881,877
	123,706,285	FHLMC Multifamily Structured Pass Through Certificates, Series K157, Class X1, IO, 0.155%, 8/25/2033(a)(d)		658,600
	901,149	FHLMC Multifamily Structured Pass Through Certificates, Series KS01, Class X1, 1.254%, 1/25/2023(a)(d)(e)(f)		1,592
	23,713,122	FHLMC Multifamily Structured Pass Through Certificates, Series KS03, Class X, 0.311%, 8/25/2025(a)(d)(e)(f)		140,797
	32,342,386	FHLMC Multifamily Structured Pass Through Certificates, Series KW02, Class X1, 0.426%, 12/25/2026(a)(d)(e)(f)		208,098
	325,676,986	FREMF Mortgage Trust, Series 2018-K156, Class X2A, IO 0.100%, 7/25/2036, 144A(d)		2,382,588
	25,299,366	FRESB Mortgage Trust, Series 2021-SB91, Class X1, IO, 0.678%, 8/25/2041(a)(d)		838,937
	16,081,443	FRESB Multifamily Mortgage Pass-Through Certificates, Series 2021-SB90, Class X1, IO, 0.754%, 6/25/2041(a)(d)		495,545
	95,242,097	FRESB Multifamily Structured Pass Through Certificates, Series 2022-SB95, Class X1, 0.103%, 11/25/2041(a)(d)		854,360
	3,519,653	Government National Mortgage Association, Series 2006-46, Class IO, 0.476%, 4/16/2046(a)(d)(e)(f)		35,003
	1,502,022	Government National Mortgage Association, Series 2006-51, Class IO, 0.940%, 8/16/2046(a)(d)(e)(f)		33,180
	4,000,000	Government National Mortgage Association, Series 2008-52, Class E, 6.041%, 8/16/2042(a)		4,010,162
	815,771	Government National Mortgage Association, Series 2008-80, Class E, 5.674%, 8/16/2042(a)		819,948
	4,173,681	Government National Mortgage Association, Series 2009-114, Class IO, 0.021%, 10/16/2049(a)(d)(e)(f)		148

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Agency Commercial Mortgage-Backed Securities – continued
$	1,708,125	Government National Mortgage Association, Series 2010-124, Class X, 1.024%, 12/16/2052(a)(d)(e)(f)	$	30,108
	242,690	Government National Mortgage Association, Series 2010-49, Class IA, 1.450%, 10/16/2052(a)(d)(e)(f)		9,627
	1,538,823	Government National Mortgage Association, Series 2011-119, Class IO, 0.228%, 8/16/2051(a)(d)(e)(f)		3,646
	3,011,172	Government National Mortgage Association, Series 2011-121, Class ZA, 6.500%, 8/16/2051		3,032,360
	4,813,729	Government National Mortgage Association, Series 2011-161, Class IO, 0.232%, 4/16/2045(a)(d)(e)(f)		19,794
	966,452	Government National Mortgage Association, Series 2011-38, Class IO, 0.530%, 4/16/2053(a)(d)(e)(f)		8,485
	71,780	Government National Mortgage Association, Series 2012-100, Class IC, 1.431%, 9/16/2050(a)(d)(e)(f)(g)		3
	54,574	Government National Mortgage Association, Series 2012-111, Class IC, 1.331%, 9/16/2050(a)(d)(e)(f)(g)		2
	20,705,087	Government National Mortgage Association, Series 2012-142, Class IO, 0.212%, 4/16/2054(a)(d)(e)(f)		84,313
	4,571,266	Government National Mortgage Association, Series 2012-23, Class IO, 0.207%, 6/16/2053(a)(d)(e)(f)		27,092
	7,114,932	Government National Mortgage Association, Series 2012-55, Class IO, Zero Coupon, 0.026%, 4/16/2052(a)(d)(e)(f)		70
	1,152,543	Government National Mortgage Association, Series 2012-70, Class IO, 0.094%, 8/16/2052(a)(d)(e)(f)		924
	6,669,939	Government National Mortgage Association, Series 2012-79, Class IO, 0.389%, 3/16/2053(a)(d)(e)(f)		72,097
	24,770,858	Government National Mortgage Association, Series 2012-85, Class IO, 0.358%, 9/16/2052(a)(d)(e)(f)		239,777
	1,109,486	Government National Mortgage Association, Series 2013-175, Class IO, 0.212%, 5/16/2055(a)(d)(e)(f)		7,200
	2,538,617	Government National Mortgage Association, Series 2014-101, Class IO, 0.647%, 4/16/2056(a)(d)(e)(f)		47,224
	11,269,457	Government National Mortgage Association, Series 2014-130, Class IB, 0.334%, 8/16/2054(a)(d)(e)(f)		137,896
	12,207,142	Government National Mortgage Association, Series 2014-24, Class IX, 0.173%, 1/16/2054(a)(d)(e)(f)		78,311
	7,591,181	Government National Mortgage Association, Series 2014-70, Class IO, 0.540%, 3/16/2049(a)(d)(e)(f)		116,047
	3,986,166	Government National Mortgage Association, Series 2014-86, Class IO, 0.491%, 4/16/2056(a)(d)(e)(f)		60,057
	16,222,372	Government National Mortgage Association, Series 2015-120, Class IO, 0.698%, 3/16/2057(a)(d)(e)(f)		396,554
	18,792,894	Government National Mortgage Association, Series 2015-146, Class IB, 0.552%, 7/16/2055(a)(d)(e)(f)		323,617
	7,492,440	Government National Mortgage Association, Series 2015-171, Class IO, 0.809%, 11/16/2055(a)(d)(e)(f)		243,852
	8,170,548	Government National Mortgage Association, Series 2015-189, Class IG, 0.736%, 1/16/2057(a)(d)		258,998
	4,831,103	Government National Mortgage Association, Series 2015-21, Class IO, 0.786%, 7/16/2056(a)(d)(e)(f)		136,388
	14,137,144	Government National Mortgage Association, Series 2015-32, Class IO, 0.613%, 9/16/2049(a)(d)		330,053

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Agency Commercial Mortgage-Backed Securities – continued
$	2,897,905	Government National Mortgage Association, Series 2015-68, Class IO, 0.404%, 7/16/2057(a)(d)(e)(f)	$	54,647
	13,230,606	Government National Mortgage Association, Series 2015-70, Class IO, 0.587%, 12/16/2049(a)(d)(e)(f)		293,233
	7,871,905	Government National Mortgage Association, Series 2015-73, Class IO, 0.660%, 11/16/2055(a)(d)(e)(f)		154,801
	19,666,931	Government National Mortgage Association, Series 2016-132, Class IO, 0.668%, 7/16/2056(a)(d)		527,003
	10,500,799	Government National Mortgage Association, Series 2016-143, Class IO, 0.856%, 10/16/2056(d)(e)(f)		461,455
	7,480,851	Government National Mortgage Association, Series 2016-6, Class IO, 0.510%, 2/16/2051(a)(d)(e)(f)		93,347
	24,688,906	Government National Mortgage Association, Series 2017-168, Class IO, 0.581%, 12/16/2059(a)(d)		982,572
	25,247,965	Government National Mortgage Association, Series 2017-90, Class IO, 0.719%, 1/16/2059(a)(d)		1,102,152
	5,541,246	Government National Mortgage Association, Series 2018-133, Class IO, 1.118%, 6/16/2058(a)(d)		370,931
	11,300,635	Government National Mortgage Association, Series 2018-2, Class IO, 0.706%, 12/16/2059(a)(d)		568,628
	35,296,053	Government National Mortgage Association, Series 2018-82, Class IO, 0.470%, 5/16/2058(a)(d)		1,272,345
	19,850,737	Government National Mortgage Association, Series 2018-96, Class IO, 0.461%, 8/16/2060(a)(d)		735,768
	9,993,480	Government National Mortgage Association, Series 2019-75, Class IO, 0.868%, 12/16/2060(a)(d)		584,082
	8,973,271	Government National Mortgage Association, Series 2019-94, Class IO, 1.016%, 8/16/2061(d)		568,069
	40,133,059	Government National Mortgage Association, Series 2020-108, Class IO, 0.847%, 6/16/2062(a)(d)		2,615,809
	19,694,251	Government National Mortgage Association, Series 2020-128, Class IO, 0.923%, 10/16/2062(a)(d)		1,420,621
	33,874,030	Government National Mortgage Association, Series 2020-130, Class IO, 1.011%, 8/16/2060(a)(d)		2,533,737
	41,649,147	Government National Mortgage Association, Series 2020-136, Class IO, 1.012%, 8/16/2062(a)(d)		3,161,283
	40,111,988	Government National Mortgage Association, Series 2020-172, Class IO, 1.131%, 9/16/2062(d)		3,315,308
	16,972,814	Government National Mortgage Association, Series 2020-174, Class IO, 0.867%, 1/16/2063(a)(d)		1,169,554
	37,482,115	Government National Mortgage Association, Series 2020-179, Class IO, 1.007%, 9/16/2062(a)(d)		2,858,986
	45,377,902	Government National Mortgage Association, Series 2020-197, Class IO, 0.959%, 10/16/2062(a)(d)		3,352,460
	35,488,782	Government National Mortgage Association, Series 2020-26, Class IO, 0.712%, 10/15/2061(a)(d)		1,956,358
	9,536,827	Government National Mortgage Association, Series 2021-10, Class IO, 0.987%, 5/16/2063(a)(d)		708,977
	42,941,333	Government National Mortgage Association, Series 2021-106, Class IO, 0.855%, 4/16/2063(a)(d)		3,051,583
	42,490,957	Government National Mortgage Association, Series 2021-12, Class IO, 0.972%, 3/16/2063(a)(d)		3,071,374
	46,316,291	Government National Mortgage Association, Series 2021-128, Class IO, 1.005%, 6/16/2061(a)(d)		3,347,139

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Agency Commercial Mortgage-Backed Securities – continued
$	58,472,780	Government National Mortgage Association, Series 2021-132, Class BI, 0.916%, 4/16/2063(a)(d)	$	4,373,910
	53,973,976	Government National Mortgage Association, Series 2021-133, Class IO, 0.879%, 7/16/2063(a)(d)		4,044,486
	55,816,011	Government National Mortgage Association, Series 2021-144, Class IO, 0.825%, 4/16/2063(a)(d)		3,928,387
	11,494,166	Government National Mortgage Association, Series 2021-145, Class IO, 0.772%, 7/16/2061(a)(d)		745,523
	48,944,421	Government National Mortgage Association, Series 2021-151, Class IO, 0.916%, 4/16/2063(a)(d)		3,719,874
	52,462,061	Government National Mortgage Association, Series 2021-163, Class IO, 0.796%, 3/16/2064(a)(d)		3,704,619
	22,422,145	Government National Mortgage Association, Series 2021-180, Class IO, 0.903%, 11/16/2063(a)(d)		1,717,043
	58,763,869	Government National Mortgage Association, Series 2021-186, Class IO, 0.768%, 5/16/2063(a)(d)		3,990,284
	41,878,312	Government National Mortgage Association, Series 2021-20, Class IO, 1.140%, 8/16/2062(a)(d)		3,443,737
	35,361,022	Government National Mortgage Association, Series 2021-33, Class IO, 0.839%, 10/16/2062(a)(d)		2,472,372
	31,377,359	Government National Mortgage Association, Series 2021-40, Class IO, 0.822%, 2/16/2063(a)(d)		2,220,513
	47,166,595	Government National Mortgage Association, Series 2021-52, Class IO, 0.718%, 4/16/2063(a)(d)		3,066,866
	28,897,549	Government National Mortgage Association, Series 2022-17, Class IO, 0.802%, 6/16/2064(a)(d)		2,114,743
				129,528,720
		Collateralized Mortgage Obligations – 6.7%
	9,991	Federal Home Loan Mortgage Corp., REMIC, Series 1673, Class SE, 8.390%, 2/15/2024(a)(e)(f)		9,978
	53,130	Federal Home Loan Mortgage Corp., REMIC, Series 2626, Class SQ, 11.690%, 6/15/2023(a)(e)(f)		52,499
	69,127	Federal Home Loan Mortgage Corp., REMIC, Series 2649, Class IM, 7.000%, 7/15/2033(d)(e)(f)		15,776
	24,401	Federal Home Loan Mortgage Corp., REMIC, Series 2725, Class SC, 7.482%, 11/15/2033(a)(e)(f)		23,443
	798,265	Federal Home Loan Mortgage Corp., REMIC, Series 3013, Class AS, 14.922%, 5/15/2035(a)(e)(f)		835,337
	3,037,233	Federal Home Loan Mortgage Corp., REMIC, Series 3149, Class LS, 5.876%, 5/15/2036(a)(d)(e)(f)		401,949
	888,212	Federal Home Loan Mortgage Corp., REMIC, Series 3229, Class BI, 5.296%, 10/15/2036(a)(d)(e)(f)		118,390
	1,004,456	Federal Home Loan Mortgage Corp., REMIC, Series 3416, Class BI, 4.926%, 2/15/2038(a)(d)(e)(f)		108,837
	453,457	Federal Home Loan Mortgage Corp., REMIC, Series 3417, Class VS, 13.991%, 2/15/2038(a)(e)(f)		495,076
	426,488	Federal Home Loan Mortgage Corp., REMIC, Series 3417, Class WS, 12.932%, 2/15/2038(a)(e)(f)		451,016
	1,126,619	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, IO, 2.554%, 6/15/2048(a)(d)		1,077,352
	531,096	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, IO, 3.870%, 12/15/2036(a)(d)		533,405

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	1,277,327	Federal Home Loan Mortgage Corp., REMIC, Series 3747, Class CS, 5.176%, 10/15/2040(a)(d)(e)(f)	$	167,381
	55,231	Federal Home Loan Mortgage Corp., REMIC, Series 3792, Class DF, 1-month LIBOR + 0.400%, 1.724%, 11/15/2040(b)(e)(f)		54,998
	186,391	Federal Home Loan Mortgage Corp., REMIC, Series 3808, Class SH, 7.077%, 2/15/2041(a)(e)(f)		149,551
	1,291,094	Federal Home Loan Mortgage Corp., REMIC, Series 3922, Class SH, 4.576%, 9/15/2041(a)(d)(e)(f)		159,049
	1,525,339	Federal Home Loan Mortgage Corp., REMIC, Series 4041, Class��ES, 17.380%, 8/15/2040(a)		1,890,168
	1,147,799	Federal Home Loan Mortgage Corp., REMIC, Series 4097, Class US, 4.826%, 8/15/2032(a)(d)(e)(f)		91,076
	5,345,788	Federal Home Loan Mortgage Corp., REMIC, Series 4136, Class SG, IO, 4.826%, 11/15/2042(a)(d)(e)(f)		734,497
	3,696,722	Federal Home Loan Mortgage Corp., REMIC, Series 4321, Class BS, 1.010%, 6/15/2039(a)(d)(e)(f)		167,245
	1,337,613	Federal Home Loan Mortgage Corp., REMIC, Series 4512, Class IE, 4.500%, 3/15/2044(d)(e)(f)		172,260
	3,798,100	Federal Home Loan Mortgage Corp., REMIC, Series 4672, Class SP, 4.776%, 4/15/2047(a)(d)(e)(f)		462,773
	1,540,304	Federal Home Loan Mortgage Corp., REMIC, Series 4749, Class IO, 4.000%, 12/15/2047(d)(e)(f)		264,329
	3,676,455	Federal Home Loan Mortgage Corp., REMIC, Series 5048, Class HI, IO, 4.500%, 1/15/2042(d)		633,399
	189,792	Federal Home Loan Mortgage Corp., REMIC, Series 5065, Class EI, IO, 5.438%, 11/25/2044(a)(d)		41,219
	9,305,884	Federal Home Loan Mortgage Corp., REMIC, Series 5065, Class HI, IO, 4.973%, 4/15/2042(a)(d)		1,696,544
	1,166,239	Federal Home Loan Mortgage Corp., REMIC, Series 5078, Class MI, IO, 4.000%, 9/25/2043(d)(e)(f)		313,714
	16,360,262	Federal Home Loan Mortgage Corp., REMIC, Series 5094, Class IO, 1.592%, 12/15/2048(a)(d)		1,218,113
	6,362,416	Federal Home Loan Mortgage Corp., REMIC, Series 5187, Class EI, 4.500%, 1/25/2052(d)		1,023,407
	3,865,321	Federal Home Loan Mortgage Corp., REMIC, Series 5187, Class IA, 5.000%, 1/25/2052(d)		610,303
	20,555,220	Federal Home Loan Mortgage Corp., REMIC, Series 5187, Class IE, 4.000%, 1/25/2052(d)		3,519,921
	366,529	Federal Home Loan Mortgage Corp., REMIC, Series 5214, Class BI, 0.922%, 4/25/2052(a)(d)		14,512
	125,000	Federal Home Loan Mortgage Corp., REMIC, Series 5214, Class BY, 3.000%, 4/25/2052		112,372
	223,610	Federal Home Loan Mortgage Corp., Series 224, Class IO, 6.000%, 3/01/2033(d)(e)(f)		36,750
	21,864	Federal National Mortgage Association, REMIC, Series 1996-45, Class SC, 5.626%, 1/25/2024(a)(d)(e)(f)		588
	727,161	Federal National Mortgage Association, REMIC, Series 2005-22, Class DG, 6.810%, 4/25/2035(a)(e)(f)		714,733
	1,277,221	Federal National Mortgage Association, REMIC, Series 2005-45, Class DA, 18.467%, 6/25/2035(a)		1,557,735
	2,293,359	Federal National Mortgage Association, REMIC, Series 2005-62, Class GZ, 5.750%, 7/25/2035		2,451,964
	1,078,687	Federal National Mortgage Association, REMIC, Series 2006-46, Class SK, 18.247%, 6/25/2036(a)		1,329,566

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	37,161	Federal National Mortgage Association, REMIC, Series 2006-69, Class KI, 5.676%, 8/25/2036(a)(d)(e)(f)	$	4,200
	288,946	Federal National Mortgage Association, REMIC, Series 2008-15, Class AS, 24.882%, 8/25/2036(a)		403,168
	718,070	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.407%, 8/25/2038(a)		699,174
	191,858	Federal National Mortgage Association, REMIC, Series 2008-87, Class LD, 4.076%, 11/25/2038(a)(e)(f)		195,769
	806,893	Federal National Mortgage Association, REMIC, Series 2009-11, Class VP, 2.326%, 3/25/2039(a)(e)(f)		765,887
	67,894	Federal National Mortgage Association, REMIC, Series 2010-75, Class MT, 1.587%, 12/25/2039(a)(e)(f)		63,660
	2,556,888	Federal National Mortgage Association, REMIC, Series 2010-80, Class PZ, 5.000%, 7/25/2040		2,682,197
	286,817	Federal National Mortgage Association, REMIC, Series 2011-100, Class SH, 6.638%, 11/25/2040(a)(e)(f)		266,966
	1,690,194	Federal National Mortgage Association, REMIC, Series 2011-51, Class SM, 4.226%, 6/25/2041(a)(d)(e)(f)		180,950
	1,432,287	Federal National Mortgage Association, REMIC, Series 2012-14, Class MS, 4.876%, 3/25/2042(a)(d)(e)(f)		198,127
	1,053,368	Federal National Mortgage Association, REMIC, Series 2012-21, Class SB, 4.326%, 3/25/2042(a)(d)(e)(f)		106,142
	3,817,322	Federal National Mortgage Association, REMIC, Series 2012-97, Class SB, 4.376%, 9/25/2042(a)(d)(e)(f)		448,199
	396,352	Federal National Mortgage Association, REMIC, Series 2013-109, Class US, 8.200%, 7/25/2043(a)		386,884
	1,809,834	Federal National Mortgage Association, REMIC, Series 2013-117, Class S, 4.976%, 11/25/2043(a)(d)(e)(f)		283,589
	1,955,039	Federal National Mortgage Association, REMIC, Series 2013-34, Class PS, 4.526%, 8/25/2042(a)(d)(e)(f)		170,685
	12,825,581	Federal National Mortgage Association, REMIC, Series 2014-15, Class SA, 4.426%, 4/25/2044(a)(d)		1,703,826
	1,036,439	Federal National Mortgage Association, REMIC, Series 2014-28, Class SD, 4.426%, 5/25/2044(a)(d)(e)(f)		86,980
	365,468	Federal National Mortgage Association, REMIC, Series 2015-55, Class KT, 5.500%, 5/25/2041(a)(e)(f)		366,290
	8,854,847	Federal National Mortgage Association, REMIC, Series 2016-22, Class ST, IO, 4.476%, 4/25/2046(a)(d)		914,576
	1,243,622	Federal National Mortgage Association, REMIC, Series 2016-26, Class KL, 4.500%, 11/25/2042(a)		1,091,087
	9,739,601	Federal National Mortgage Association, REMIC, Series 2016-32, Class SA, 4.476%, 10/25/2034(a)(d)		1,009,440
	11,989,331	Federal National Mortgage Association, REMIC, Series 2016-60, Class ES, 4.476%, 9/25/2046(a)(d)		1,339,880
	8,148,959	Federal National Mortgage Association, REMIC, Series 2016-60, Class QS, 4.476%, 9/25/2046(a)(d)		896,060
	4,969,828	Federal National Mortgage Association, REMIC, Series 2016-82, Class SC, 4.476%, 11/25/2046(a)(d)		512,766
	5,116,590	Federal National Mortgage Association, REMIC, Series 2016-82, Class SG, 4.476%, 11/25/2046(a)(d)		508,452
	6,130,551	Federal National Mortgage Association, REMIC, Series 2016-93, Class SL, 5.026%, 12/25/2046(a)(d)		646,235
	8,338,977	Federal National Mortgage Association, REMIC, Series 2017-26, Class SA, 4.526%, 4/25/2047(a)(d)		807,717

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	44,145,316	Federal National Mortgage Association, REMIC, Series 2017-57, Class SD, IO, 2.326%, 8/25/2047(a)(d)	$	2,502,863
	3,600,000	Federal National Mortgage Association, REMIC, Series 2020-72, Class LI, IO, 5.000%, 12/25/2040(d)		856,059
	13,829,164	Federal National Mortgage Association, REMIC, Series 2021-24, Class IO, 1.188%, 3/25/2059(a)(d)		1,067,353
	299,846	Federal National Mortgage Association, Series 334, Class 11, 6.000%, 3/25/2033(d)(e)(f)		47,740
	79,863	Federal National Mortgage Association, Series 334, Class 19, 7.000%, 2/25/2033(a)(d)(e)(f)		17,151
	319,758	Federal National Mortgage Association, Series 339, Class 13, 6.000%, 6/25/2033(d)(e)(f)		55,187
	202,007	Federal National Mortgage Association, Series 339, Class 7, 5.500%, 11/25/2033(d)(e)(f)		32,977
	707,622	Federal National Mortgage Association, Series 356, Class 13, 5.500%, 6/25/2035(d)(e)(f)		135,752
	302,710	Federal National Mortgage Association, Series 359, Class 17, 6.000%, 7/25/2035(d)(e)(f)		59,826
	156,553	Federal National Mortgage Association, Series 374, Class 18, 6.500%, 8/25/2036(d)(e)(f)		32,110
	357,711	Federal National Mortgage Association, Series 374, Class 20, 6.500%, 9/25/2036(d)(e)(f)		74,038
	162,502	Federal National Mortgage Association, Series 374, Class 22, 7.000%, 10/25/2036(d)(e)(f)		36,945
	180,134	Federal National Mortgage Association, Series 374, Class 23, 7.000%, 10/25/2036(d)(e)(f)		35,337
	242,420	Federal National Mortgage Association, Series 374, Class 24, 7.000%, 6/25/2037(d)(e)(f)		56,961
	209,514	Federal National Mortgage Association, Series 381, Class 12, 6.000%, 11/25/2035(d)(e)(f)		38,955
	102,922	Federal National Mortgage Association, Series 381, Class 13, 6.000%, 11/25/2035(a)(d)(e)(f)		19,031
	132,498	Federal National Mortgage Association, Series 381, Class 18, 7.000%, 3/25/2037(d)(e)(f)		27,186
	80,489	Federal National Mortgage Association, Series 381, Class 19, 7.000%, 3/25/2037(a)(d)(e)(f)		17,144
	24,341	Federal National Mortgage Association, Series 383, Class 32, 6.000%, 1/25/2038(d)(e)(f)		6,804
	743,684	Federal National Mortgage Association, Series 384, Class 20, 5.500%, 5/25/2036(a)(d)(e)(f)		137,923
	271,206	Federal National Mortgage Association, Series 384, Class 31, 6.500%, 7/25/2037(d)(e)(f)		58,596
	182,847	Federal National Mortgage Association, Series 384, Class 36, 7.000%, 7/25/2037(a)(d)(e)(f)		26,219
	194,701	Federal National Mortgage Association, Series 384, Class 4, 4.500%, 9/25/2036(a)(d)(e)(f)		13,572
	109,861	Federal National Mortgage Association, Series 385, Class 23, 7.000%, 7/25/2037(d)(e)(f)		24,247
	20,593	Federal National Mortgage Association, Series 386, Class 25, 7.000%, 3/25/2038(a)(d)(e)(f)		4,967
	335,697	Government National Mortgage Association, Series 2009-65, Class NZ, 5.500%, 8/20/2039(e)(f)		353,164
	211,047	Government National Mortgage Association, Series 2010-H02, Class FA, 1-month LIBOR + 0.680%, 1.703%, 2/20/2060(b)		210,176

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	166,008	Government National Mortgage Association, Series 2010-H22, Class FE, 1-month LIBOR + 0.350%, 1.153%, 5/20/2059(b)(e)(f)	$	163,881
	138,765	Government National Mortgage Association, Series 2010-H24, Class FA, 1-month LIBOR + 0.350%, 1.153%, 10/20/2060(b)		137,258
	139,031	Government National Mortgage Association, Series 2011-H05, Class FB, 1-month LIBOR + 0.500%, 1.303%, 12/20/2060(b)		137,903
	63,214	Government National Mortgage Association, Series 2011-H11, Class FA, 1-month LIBOR + 0.500%, 1.303%, 3/20/2061(b)		62,729
	77,972	Government National Mortgage Association, Series 2011-H21, Class FA, 1-month LIBOR + 0.600%, 1.403%, 10/20/2061(b)(e)(f)		77,143
	222,869	Government National Mortgage Association, Series 2011-H21, Class FT, 1-year CMT + 0.700%, 2.361%, 10/20/2061(b)(e)(f)		221,121
	4,369	Government National Mortgage Association, Series 2012-H11, Class BA, 2.000%, 5/20/2062(e)(f)		4,030
	268,326	Government National Mortgage Association, Series 2012-H22, Class HD, 5.310%, 1/20/2061(a)(e)(f)		272,727
	6,788	Government National Mortgage Association, Series 2012-H24, Class FE, 1-month LIBOR + 0.600%, 1.403%, 10/20/2062(b)(e)(f)		6,704
	96,894	Government National Mortgage Association, Series 2012-H24, Class HI, 1.150%, 10/20/2062(a)(d)(e)(f)		6,148
	342,148	Government National Mortgage Association, Series 2013-H01, Class JA, 1-month LIBOR + 0.320%, 1.123%, 1/20/2063(b)(e)(f)		337,229
	33,473	Government National Mortgage Association, Series 2013-H11, Class JA, 3.500%, 4/20/2063(e)(f)		32,978
	1,443,890	Government National Mortgage Association, Series 2013-H13, Class SI, 1.312%, 6/20/2063(a)(d)(e)(f)		47,441
	7,881,852	Government National Mortgage Association, Series 2013-H16, Class AI, 1.538%, 7/20/2063(a)(d)(e)(f)		165,448
	5,505,645	Government National Mortgage Association, Series 2013-H18, Class EI, 1.668%, 7/20/2063(a)(d)(e)(f)		262,631
	897,359	Government National Mortgage Association, Series 2013-H18, Class JI, 1.302%, 8/20/2063(a)(d)(e)(f)		18,403
	176,363	Government National Mortgage Association, Series 2013-H20, Class FA, 1-month LIBOR + 0.600%, 1.403%, 8/20/2063(b)(e)(f)		174,361
	16,074,805	Government National Mortgage Association, Series 2014-H24, Class HI, 0.972%, 9/20/2064(a)(d)(e)(f)		368,824
	2,069,571	Government National Mortgage Association, Series 2015-152, Class PI, IO, 4.000%, 10/20/2045(d)(e)(f)		257,779
	16,097,395	Government National Mortgage Association, Series 2015-H01, Class XZ, 4.591%, 10/20/2064(a)(c)		16,269,974
	600,607	Government National Mortgage Association, Series 2015-H04, Class HA, 3.500%, 11/20/2064(a)(e)(f)		594,239
	3,394	Government National Mortgage Association, Series 2015-H05, Class FA, 1-month LIBOR + 0.300%, 1.103%, 4/20/2061(b)(e)(f)		3,265
	2,410,318	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065		2,355,800
	19,451	Government National Mortgage Association, Series 2015-H13, Class FL, 1-month LIBOR + 0.280%, 1.083%, 5/20/2063(b)(e)(f)		19,051
	11,960	Government National Mortgage Association, Series 2015-H19, Class FA, 1-month LIBOR + 0.200%, 1.003%, 4/20/2063(b)(e)(f)		11,435
	349,824	Government National Mortgage Association, Series 2015-H28, Class JZ, 4.995%, 3/20/2065(a)(e)(f)		350,996
	3,385	Government National Mortgage Association, Series 2015-H29, Class FA, 1-month LIBOR + 0.700%, 1.503%, 10/20/2065(b)(e)(f)		3,270

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	135,197	Government National Mortgage Association, Series 2015-H29, Class HZ, 4.598%, 9/20/2065(a)(e)(f)	$	135,300
	3,376	Government National Mortgage Association, Series 2015-H30, Class FA, 1-month LIBOR + 0.680%, 1.483%, 8/20/2061(b)(e)(f)		3,252
	1,444,312	Government National Mortgage Association, Series 2016-17, Class GT, 5.000%, 8/20/2045(a)		1,314,908
	589,423	Government National Mortgage Association, Series 2016-23, Class PA, 5.631%, 7/20/2037(a)(e)(f)		608,250
	10,861,785	Government National Mortgage Association, Series 2016-H01, Class AI, 1.213%, 1/20/2066(a)(d)(e)(f)		284,561
	16,807,787	Government National Mortgage Association, Series 2016-H09, Class JI, 2.360%, 4/20/2066(a)(d)		582,222
	206,057	Government National Mortgage Association, Series 2016-H14, Class JZ, 4.129%, 8/20/2063(a)(e)(f)		204,155
	646,225	Government National Mortgage Association, Series 2016-H19, Class CZ, 4.713%, 8/20/2066(a)(e)(f)		645,985
	35,315	Government National Mortgage Association, Series 2016-H19, Class EZ, 5.141%, 6/20/2061(a)(e)(f)		33,670
	88,148	Government National Mortgage Association, Series 2016-H19, Class FC, 1-month LIBOR + 0.400%, 1.203%, 8/20/2066(b)(e)(f)		87,563
	4,480,388	Government National Mortgage Association, Series 2017-128, Class IO, 0.980%, 12/16/2056(a)(d)(e)(f)		223,795
	2,089,530	Government National Mortgage Association, Series 2017-H05, Class AI, IO, 1.960%, 1/20/2067(a)(d)		115,850
	11,325,789	Government National Mortgage Association, Series 2018-110, Class IO, 0.620%, 1/16/2060(a)(d)		569,025
	12,551,016	Government National Mortgage Association, Series 2018-129, Class IO, 0.610%, 7/16/2060(a)(d)		610,741
	12,449,272	Government National Mortgage Association, Series 2018-143, Class IO, 0.473%, 10/16/2060(a)(d)		628,999
	57,009	Government National Mortgage Association, Series 2018-H02, Class FJ, 1-month LIBOR + 0.200%, 1.003%, 10/20/2064(b)(e)(f)		56,368
	38,346	Government National Mortgage Association, Series 2018-H10, Class FJ, 1-month LIBOR + 0.250%, 1.053%, 6/20/2068(b)(e)(f)		38,132
	4,245,107	Government National Mortgage Association, Series 2018-H16, Class CZ, 4.265%, 5/20/2068(a)		4,304,942
	280,000	Government National Mortgage Association, Series 2019-111, Class LP, 3.500%, 9/20/2049(e)(f)		250,702
	17,963,781	Government National Mortgage Association, Series 2019-116, Class IO, 0.627%, 12/16/2061(a)(d)		1,071,629
	324,000	Government National Mortgage Association, Series 2019-132, Class LP, 3.500%, 10/20/2049(e)(f)		291,807
	8,447,001	Government National Mortgage Association, Series 2019-152, Class LI, 3.955%, 2/20/2044(a)(d)		1,358,068
	2,595,839	Government National Mortgage Association, Series 2019-44, Class BS, 4.455%, 4/20/2049(a)(d)(e)(f)		230,691
	10,706,216	Government National Mortgage Association, Series 2019-70, Class SK, 4.405%, 8/20/2043(a)(d)		1,392,658
	2,042,152	Government National Mortgage Association, Series 2019-H02, Class BZ, 4.262%, 1/20/2069(a)		2,182,967
	4,075,853	Government National Mortgage Association, Series 2020-148, Class IJ, IO, 3.000%, 6/20/2049(d)		1,005,483
	11,096,300	Government National Mortgage Association, Series 2020-47, Class IQ, 3.500%, 3/20/2050(d)		2,956,539

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	62,613,501	Government National Mortgage Association, Series 2021-H03, Class IO, 3.686%, 4/20/2070(a)(c)(d)(g)(h)	$	1,880,910
	9,078,767	Government National Mortgage Association, Series 2021-H08, Class IA, IO, 3.750%, 1/20/2068(a)(d)		274,950
				92,105,304
		Mortgage Related – 35.7%
	95,476,414	FHLMC, 2.000%, with various maturities from 2050 to 2052(c)(i)		83,225,975
	16,396,769	FHLMC, 2.500%, with various maturities from 2050 to 2052(c)(i)		14,635,755
	163,818,774	FNMA, 2.000%, with various maturities from 2050 to 2051(c)(i)		142,716,878
	125,291,778	FNMA, 2.500%, with various maturities from 2050 to 2052(c)(i)		112,917,163
	84,905,346	FNMA, 3.000%, with various maturities from 2047 to 2052(i)		79,294,238
	471,537	FNMA, 4.000%, 1/01/2052		463,003
	9	GNMA, 5.470%, 11/20/2059(a)		9
	119,235	Government National Mortgage Association, Series 2018-H12, Class HZ, 4.627%, 8/20/2068(a)(e)(f)		120,868
	2,576,589	Government National Mortgage Association, Series 2019-HO2, Class JA, 3.500%, 12/20/2068		2,526,565
	9,563,379	Government National Mortgage Association, Series 2020-148, Class EI, 3.000%, 11/20/2049(d)		2,287,355
	27,131,000	UMBS® (TBA), 3.000%, 8/01/2052(j)		25,231,830
	20,270,000	UMBS® (TBA), 3.500%, 7/01/2052(j)		19,492,456
	8,000,000	UMBS® (TBA), 4.000%, 8/01/2052(j)		7,873,906
				490,786,001
		Non-Agency Commercial Mortgage-Backed Securities – 13.8%
	4,155,000	BANK, Series 2019-BN19, Class A3, 3.183%, 8/15/2061		3,867,133
	3,720,000	BANK, Series 2019-BN20, Class A3, 3.011%, 9/15/2062		3,420,163
	3,525,000	BANK, Series 2019-BN22, Class A4, 2.978%, 11/15/2062		3,226,504
	1,770,000	BANK, Series 2020-BN25, Class A5, 2.649%, 1/15/2063		1,580,200
	3,649,000	BANK, Series 2020-BN26, Class A4, 2.403%, 3/15/2063		3,196,246
	785,000	BANK, Series 2020-BN28, Class AS, 2.140%, 3/15/2063		650,256
	3,570,000	BANK, Series 2021-BN33, Class A5, 2.556%, 5/15/2064		3,111,015
	5,300,000	BANK, Series 2022-BNK39, Class A4, 2.928%, 2/15/2055		4,751,370

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Non-Agency Commercial Mortgage-Backed Securities – continued
$	1,000,000	Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2016-UB10, Class A4, 3.170%, 7/15/2049	$	962,843
	4,045,000	Barclays Commercial Mortgage Securities Trust, Series 2020-BID, Class A, 1-month LIBOR + 2.140%, 3.464%, 10/15/2037, 144A(b)		3,990,977
	3,330,000	Benchmark Mortgage Trust, Series 2019-B10, Class A4, 3.717%, 3/15/2062		3,209,703
	4,630,000	Benchmark Mortgage Trust, Series 2019-B11, Class A5, 3.542%, 5/15/2052		4,412,078
	5,185,000	Benchmark Mortgage Trust, Series 2019-B13, Class A4, 2.952%, 8/15/2057		4,741,887
	4,970,000	BMO Mortgage Trust, Series 2022-C1, Class A5, 3.374%, 2/15/2055(a)		4,587,504
	2,770,000	BX Commercial Mortgage Trust, Series 2022-AHP, Class B, 1-month Term SOFR + 1.840%, 3.119%, 1/17/2039, 144A(b)		2,711,431
	510,000	Cali Mortgage Trust, Series 2019-101C, Class A, 3.957%, 3/10/2039, 144A		483,575
	230,000	Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class AM, 3.416%, 10/15/2045, 144A		228,898
	2,424,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		2,333,844
	2,572,000	Commercial Mortgage Pass Through Certificates, Series 2013-CR13, Class A4, 4.194%, 11/10/2046(a)		2,565,456
	2,605,000	Commercial Mortgage Pass Through Certificates, Series 2013-CR6, Class A4, 3.101%, 3/10/2046		2,592,307
	5,595,000	Commercial Mortgage Pass Through Certificates, Series 2013-WWP, Class A2, 3.424%, 3/10/2031, 144A		5,585,977
	313,330	Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047		311,691
	789,093	Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047		789,879
	580,860	Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A4, 3.691%, 3/10/2047		574,061
	1,300,000	Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5, 3.961%, 3/10/2047		1,292,519
	2,520,000	Commercial Mortgage Pass Through Certificates, Series 2014-UBS5, Class A4, 3.838%, 9/10/2047		2,494,090
	3,110,000	Commercial Mortgage Pass Through Certificates, Series 2015-DC1, Class A5, 3.350%, 2/10/2048		3,039,984
	875,044	Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class ASB, 3.550%, 2/10/2049		867,230
	6,160,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A(c)		5,821,878
	1,805,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A		1,660,932
	2,045,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class C, 4.336%, 9/15/2037, 144A		1,816,792
	2,405,000	CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A4, 2.968%, 12/15/2052		2,164,666
	5,365,000	DROP Mortgage Trust, Series 2021-FILE, Class A, 1-month LIBOR + 1.150%, 2.470%, 10/15/2043, 144A(b)		5,176,357
	3,627,673	Extended Stay America Trust, Series 2021-ESH, Class C, 1-month LIBOR + 1.700%, 3.025%, 7/15/2038, 144A(b)		3,509,243

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Non-Agency Commercial Mortgage-Backed Securities – continued
$	2,675,000	Greystone Commercial Real Estate Notes Ltd., Series 2021-HC2, Class A, 1-month LIBOR + 1.800%, 3.124%, 12/15/2039, 144A(b)	$	2,564,381
	3,690,000	GS Mortgage Securities Corp. II, Series 2012-BWTR, Class A, 2.954%, 11/05/2034, 144A		3,661,073
	5,775,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033, 144A(a)		5,357,973
	3,461,000	GS Mortgage Securities Trust, Series 2013-GC16, Class B, 5.161%, 11/10/2046(a)		3,419,524
	2,930,000	GS Mortgage Securities Trust, Series 2014-GC18, Class A4, 4.074%, 1/10/2047		2,919,529
	5,100,000	GS Mortgage Securities Trust, Series 2014-GC18, Class AS, 4.383%, 1/10/2047		4,910,220
	1,295,000	GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(a)		1,185,575
	1,416,000	GS Mortgage Securities Trust, Series 2014-GC20, Class A5, 3.998%, 4/10/2047		1,406,544
	2,373,000	GS Mortgage Securities Trust, Series 2014-GC22, Class C, 4.843%, 6/10/2047(a)		2,303,426
	5,000,000	GS Mortgage Securities Trust, Series 2019-GSA1, Class A4, 3.048%, 11/10/2052		4,608,515
	2,555,000	GS Mortgage Securities Trust, Series 2020-GC45, Class A5, 2.911%, 2/13/2053		2,312,832
	5,885,000	Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10, 4.155%, 8/05/2034, 144A		5,296,653
	1,575,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 4.509%, 12/15/2047, 144A(a)		1,559,226
	2,405,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class AS, 4.243%, 4/15/2047(a)		2,383,565
	505,631	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047		503,983
	730,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C25, Class AS, 4.065%, 11/15/2047		714,804
	1,300,000	Morgan Stanley Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A		1,287,743
	2,467,516	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A4, 3.134%, 12/15/2048		2,463,200
	3,905,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class AS, 3.456%, 5/15/2046		3,866,298
	930,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C16, Class B, 4.476%, 6/15/2047(a)		888,197
	693,173	Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.385%, 6/15/2044, 144A(a)		654,150
	3,285,000	Morgan Stanley Capital I Trust, Series 2013-ALTM, Class A2, 3.828%, 2/05/2035, 144A(a)		3,076,264
	5,780,000	Morgan Stanley Capital I Trust, Series 2019-L3, Class A4, 3.127%, 11/15/2052(c)		5,307,175
	2,085,000	Morgan Stanley Capital I Trust, Series 2021-L5, Class A4, 2.728%, 5/15/2054		1,832,713
	3,475,000	RBS Commercial Funding, Inc., Trust, Series 2013-SMV, Class C, 3.704%, 3/11/2031, 144A(a)		3,363,570

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Non-Agency Commercial Mortgage-Backed Securities – continued
$	1,861,317	Starwood Retail Property Trust, Series 2014-STAR, Class A, 1-month LIBOR + 1.470%, 2.795%, 11/15/2027, 144A(b)	$	1,321,535
	6,500,000	Starwood Retail Property Trust, Series 2014-STAR, Class B, 1-month LIBOR + 1.900%, 3.225%, 11/15/2027, 144A(b)(e)(f)(g)		4,183,613
	1,350,000	UBS Commercial Mortgage Trust, Series 2019-C16, Class A4, 3.605%, 4/15/2052		1,278,329
	4,000,000	Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class AS, 4.020%, 8/15/2050		3,879,248
	2,269,035	Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class ASB, 3.400%, 6/15/2048		2,247,974
	5,000,000	Wells Fargo Commercial Mortgage Trust, Series 2018-C48, Class A5, 4.302%, 1/15/2052		4,982,780
	5,012,000	Wells Fargo Commercial Mortgage Trust, Series 2019-C54, Class A4, 3.146%, 12/15/2052		4,610,975
	924,000	Wells Fargo Commercial Mortgage Trust, Series 2020-C58, Class AS, 2.398%, 7/15/2053		765,248
	1,875,000	WFRBS Commercial Mortgage Trust, Series 2013-C15, Class AS, 4.358%, 8/15/2046(a)		1,855,602
	688,277	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class A4, 3.723%, 5/15/2047		677,117
	1,635,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class A5, 3.995%, 5/15/2047		1,613,855
	790,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class AS, 4.176%, 5/15/2047		777,714
	1,605,291	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ASB, 3.638%, 5/15/2047		1,599,620
	535,000	WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, 4.204%, 11/15/2047(a)		495,638
				189,865,070
		Total Bonds and Notes (Identified Cost $1,446,656,702)		1,262,684,071
	Collateralized Loan Obligations – 6.8%
	2,225,000	AGL CLO 12 Ltd., Series 2021-12A, Class B, 3-month LIBOR + 1.600%, 2.663%, 7/20/2034, 144A(b)		2,088,225
	3,000,000	AGL CLO 3 Ltd., Series 2020-3A, Class A, 3-month LIBOR + 1.300%, 2.344%, 1/15/2033, 144A(b)		2,921,292
	5,255,000	Alinea CLO Ltd., Series 2018-1A, Class B, 3-month LIBOR + 1.650%, 2.713%, 7/20/2031, 144A(b)		5,002,424
	595,000	Allegro CLO VIII Ltd., Series 2018-2A, Class B1, 3-month LIBOR + 1.670%, 2.714%, 7/15/2031, 144A(b)		567,763
	3,835,000	Dryden 53 CLO Ltd., Series 2017-53A, Class B, 3-month LIBOR + 1.400%, 2.444%, 1/15/2031, 144A(b)		3,667,184
	4,275,000	Elmwood CLO VIII Ltd., Series 2021-1A, Class B1, 3-month LIBOR + 1.550%, 2.613%, 1/20/2034, 144A(b)		4,056,052
	1,565,000	Galaxy XXVI CLO Ltd., Series 2018-26A, Class B, 3-month LIBOR + 1.700%, 3.205%, 11/22/2031, 144A(b)		1,489,702
	3,497,500	Hayfin U.S. XII Ltd., Series 2018-8A, Class B, 3-month LIBOR + 1.480%, 2.543%, 4/20/2031, 144A(b)		3,320,778
	3,005,000	LCM 30 Ltd., Series 30A, Class BR, 3-month LIBOR + 1.500%, 2.563%, 4/20/2031, 144A(b)		2,837,258
	4,685,000	Madison Park Funding XIV Ltd., Series 2014-14A, Class BRR, 3-month LIBOR + 1.700%, 2.836%, 10/22/2030, 144A(b)		4,496,326

Principal         Amount		Description	Value (†)
	Collateralized Loan Obligations – continued
$	1,750,000	Madison Park Funding XXVI Ltd., Series 2017-26A, Class AR, 3-month LIBOR + 1.200%, 2.439%, 7/29/2030, 144A(b)	$	1,728,683
	2,350,000	Magnetite XXIX Ltd., Series 2021-29A, Class B, 3-month LIBOR + 1.400%, 2.444%, 1/15/2034, 144A(b)		2,231,428
	2,075,000	Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3-month LIBOR + 1.650%, 2.694%, 7/15/2034, 144A(b)		1,968,034
	2,560,000	Neuberger Berman Loan Advisers CLO Ltd., Series 2021-40A, Class B, 3-month LIBOR + 1.400%, 2.444%, 4/16/2033, 144A(b)		2,423,491
	5,280,000	OCP CLO Ltd., Series 2020-8RA, Class A2, 3-month LIBOR + 1.550%, 2.594%, 1/17/2032, 144A(b)		4,984,325
	2,040,000	Octagon Investment Partners Ltd., Series 2018-18A, Class A2, 3-month LIBOR + 1.470%, 2.514%, 4/16/2031, 144A(b)		1,939,436
	4,045,000	OHA Credit Funding 2 Ltd., Series 2019-2A, Class BR, 3-month LIBOR + 1.600%, 2.698%, 4/21/2034, 144A(b)		3,795,201
	4,205,000	OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, 3-month LIBOR + 1.650%, 2.713%, 7/02/2035, 144A(b)		3,998,358
	5,300,000	OHA Credit Funding Ltd., Series 2021-8A, Class B1, 3-month LIBOR + 1.500%, 2.544%, 1/18/2034, 144A(b)		5,019,672
	4,970,000	Palmer Square CLO Ltd., Series 2013-2A, Class A2R3, 3-month LIBOR + 1.500%, 2.544%, 10/17/2031, 144A(b)		4,742,623
	575,000	Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3-month LIBOR + 1.700%, 3.205%, 5/21/2034, 144A(b)		546,892
	3,800,000	Post CLO Ltd., Series 2022-1A, Class A, 3-month Term SOFR + 1.380%, 2.093%, 4/20/2035, 144A(b)		3,637,090
	4,500,000	Race Point VIII CLO Ltd., Series 2013-8A, Class BR2, 3-month LIBOR + 1.500%, 2.978%, 2/20/2030, 144A(b)		4,335,408
	1,035,000	Recette CLO Ltd., Series 2015-1A, Class BRR, 3-month LIBOR + 1.400%, 2.463%, 4/20/2034, 144A(b)		959,889
	7,650,000	Rockland Park CLO Ltd., Series 2021-1A, Class B, 3-month LIBOR + 1.650%, 2.713%, 4/20/2034, 144A(b)		7,264,126
	5,900,000	TICP CLO VII Ltd., Series 2017-7A, Class BR, 3-month LIBOR + 1.700%, 2.744%, 4/15/2033, 144A(b)		5,619,071
	3,830,000	VERDE CLO Ltd., Series 2019-1A, Class BR, 3-month LIBOR + 1.600%, 2.644%, 4/15/2032, 144A(b)		3,614,769
	3,000,000	Vibrant CLO Ltd., Series 2018-10A, Class A1, 3-month LIBOR + 1.200%, 2.263%, 10/20/2031, 144A(b)		2,920,350
	1,315,000	Voya CLO Ltd., Series 2013-3A, Class A2RR, 3-month LIBOR + 1.700%, 2.744%, 10/18/2031, 144A(b)		1,247,559
	385,209	WhiteHorse IX Ltd., Series 2014-9A, Class C, 3-month LIBOR + 2.700%, 3.744%, 7/17/2026, 144A(b)		384,922
		Total Collateralized Loan Obligations (Identified Cost $98,018,156)		93,808,331
	Loan Participations – 0.2%
		ABS Other – 0.2%
	2,521,608	Harbour Aircraft Investments Ltd., Series 2017-1, Class A, 4.000%, 11/15/2037 (Identified Cost $2,509,148)		2,283,170
	Short-Term Investments – 4.1%
	28,925,316	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $28,925,597 on 7/01/2022 collateralized by $29,370,800 U.S. Treasury Note, 3.250% due 6/30/2027 valued at $29,503,879 including accrued interest(k)		28,925,316

Principal         Amount		Description	Value (†)
$	20,000,000	U.S. Treasury Bills, 0.815%-0.821%, 7/28/2022(l)(m)	$	19,983,837
	8,000,000	U.S. Treasury Bills, 0.885%, 8/04/2022(l)		7,991,066
		Total Short-Term Investments (Identified Cost $56,906,347)		56,900,219
		Total Investments – 102.9% (Identified Cost $1,604,090,353)		1,415,675,791
		Other assets less liabilities – (2.9)%		(40,242,734	)
		Net Assets – 100.0%	$	1,375,433,057

(†) 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.

Senior loans and collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available.

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

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans and collateralized loan obligations 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.

Centrally cleared swap agreements are valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers.

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.

As of June 30, 2022, securities held by the Fund were fair valued as follows:

Securities classified as fair valued	Percentage of Net Assets	Securities fair valued by the Fund’s adviser	Percentage of Net Assets
$1,880,910	Less than 0.1%	$30,163,455	2.2%

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 June 30, 2022 is disclosed.

(b) Variable rate security. Rate as of June 30, 2022 is disclosed.

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

(d) Interest only security. Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.

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

(f) Fair valued by the Fund’s adviser. At June 30, 2022, the value of these securities amounted to $30,163,455 or 2.2% of net assets.

(g) Illiquid security.

(h) Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2022, the value of this security amounted to $1,880,910 or less than 0.1% of net assets.

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

(j) When-issued/delayed delivery. The Fund may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Fund at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Fund take delivery of the security. No interest accrues to the Fund until the transaction settles. Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Fund or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Fund covers its net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities.

Purchases of when-issued or delayed delivery securities may have a similar effect on the Fund’s NAV as if the Fund’s had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

(k) 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, 2022, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

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

(m) The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

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, 2022, the value of Rule 144A holdings amounted to $464,549,083 or 33.8% of net assets.

ABS Asset-Backed Securities

CMT Constant Maturity Treasury

FHLMC Federal Home Loan Mortgage Corp.

FNMA Federal National Mortgage Association

GNMA Government National Mortgage Association

LIBOR London Interbank Offered Rate

REMIC Real Estate Mortgage Investment Conduit

SLM Sallie Mae

SOFR Secured Overnight Financing Rate

TBA To Be Announced

UMBS^® Uniform Mortgage-Backed Securities

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, 2022, open long futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		9/21/2022		377	$	45,266,377	$	44,686,281	$	(580,096	)
30 Year U.S. Treasury Bond		9/21/2022		259		36,582,331		35,903,875		(678,456	)
Ultra 10 Year U.S. Treasury Note		9/21/2022		216		27,991,390		27,513,000		(478,390	)
Ultra Long U.S. Treasury Bond		9/21/2022		224		35,501,060		34,573,000		(928,060	)
Total									$	(2,665,002	)

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, 2022, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
ABS Home Equity	$	—	$	90,550,342	$	158,846	(a)	$	90,709,188
ABS Other		—		99,173,635		121,260	(a)		99,294,895
Agency Commercial Mortgage-Backed Securities		—		120,893,708		8,635,012	(a)		129,528,720
Collateralized Mortgage Obligations		—		75,161,448		16,943,856	(a)		92,105,304
Mortgage Related		—		490,665,133		120,868	(a)		490,786,001
Non-Agency Commercial Mortgage-Backed Securities		—		185,681,457		4,183,613	(a)		189,865,070
All Other Bonds and Notes*		—		170,394,893		—			170,394,893
Total Bonds and Notes		—		1,232,520,616		30,163,455			1,262,684,071
Collateralized Loan Obligations		—		93,808,331		—			93,808,331
Loan Participations*		—		2,283,170		—			2,283,170
Short-Term Investments		—		56,900,219		—			56,900,219
Total	$	—	$	1,385,512,336	$	30,163,455		$	1,415,675,791

Liability Valuation Inputs

Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(2,665,002	)	$	—	$	—	$	(2,665,002	)

* 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 June 30, 2022:

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 June 30, 2022		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2022
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	145,087	$	—	$	(149,509	)	$	191,891		$	—	$	(28,623	)	$	—	$	—		$	158,846	$	186,168
ABS Other		—		—		(69,154	)		(330,807	)		521,221		—			—		—			121,260		(330,807	)
Agency Commercial Mortgage-Backed Securities		10,606,608		—		(7,153,547	)		1,677,815			—		—			8,289,362		(4,785,226	)		8,635,012		1,391,000
Collateralized Mortgage Obligations		19,938,586		1,267		(3,911,663	)		(2,292,144	)		51,829		(3,077,019	)		6,425,983		(192,983	)		16,943,856		(2,403,484	)
Mortgage Related		134,462		—		—			(17,650	)		4,056		—			—		—			120,868		(17,650	)
Non-Agency Commercial Mortgage-Backed Securities		3,754,766		—		—			428,847			—		—			—		—			4,183,613		428,847
Total	$	34,579,509	$	1,267	$	(11,283,873	)	$	(342,048	)	$	577,106	$	(3,105,642	)	$	14,715,345	$	(4,978,209	)	$	30,163,455	$	(745,926	)

Debt securities valued at $14,715,345 were transferred from Level 2 to Level 3 during the period ended June 30, 2022. At September 30, 2021, these securities were 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, 2022, these securities were 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 securities.

A debt security valued at $4,785,226 was transferred from Level 3 to Level 2 during the period ended June 30, 2022. 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 June 30, 2022, 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 $192,983 was transferred from Level 3 to Level 2 during the period ended June 30, 2022. At September 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. At June 30, 2022, 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.

The significant unobservable inputs used for those securities fair valued by the adviser and categorized in Level 3 as of June 30, 2022, were as follows:

Description	Valuation Technique(s)	Unobservable Input	Unobservable Input Value(s)		Value
Bonds and Notes
ABS Home Equity1	Market Discount	Discount Rate		1.00%	$	104,891
				3.00%		53,955
ABS Other1	Market Discount	Discount Rate		0.50%		121,260
Agency Commercial Mortgage-Backed Securities1	Market Discount	Discount Rate		1.00%		8,458,138
				2.00%		176,874
Collateralized Mortgage Obligations1	Market Discount	Discount Rate		0.50%		2,670,606
				1.00%		13,210,910
				2.00%		973,428
				3.00%		88,912
Mortgage Related1	Market Discount	Discount Rate		1.00%		120,868
Non-Agency Commercial Mortgage-Backed Securities2	Discounted Cash Flows	Constant Default Rate		100%
		Loss Severity		40%
		Lag Time		21 months
		Loss Adjusted Spread		13%		4,183,613
					$	30,163,455

¹  “Odd lot” securities (those with current principal below the normal trading size) are valued using a discount to the “round lot” price for the same security. The significant unobservable input used in the fair value measurement is the discount rate. Discount rates are set at a specific fixed rate depending on the size of the odd lot. The Unobservable Input Value(s) noted above reflect a range due to the fact that there are multiple odd lot securities within each asset type that have had different discount rates applied. A significant change in the discount rate could have a material effect on the fair value measurement. There is an inverse relationship between the discount rate and the fair value measurement, meaning a significant increase in the discount rate would result in a lower fair value measurement, and vice versa.

²  Security is valued using a discounted cash flow model. The significant unobservable inputs used in the fair value measurement are the constant default rate, loss severity, lag time, and loss adjusted spread. Significant changes in input values could have a material effect on the fair value measurement. There is an inverse relationship between the loss severity, lag time, and loss adjusted spread and the fair value measurement, meaning a significant increase in any of those input values in isolation would have resulted in a lower fair value measurement, and vice versa. The constant default rate of 100% is based on the fact that the underlying loan is in default.

Derivatives

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

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts and interest rate swaps to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. As of June 30, 2022, the Fund used futures contracts to hedge against changes in interest rates and to manage duration.

The following is a summary of derivative instruments for the Fund, as of June 30, 2022:

Liabilities	Unrealized depreciation on futures contracts
Exchange-traded liability derivatives Interest rate contracts	$	(2,665,002	)

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 each 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 June 30, 2022:

Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
$	6,021,855	$	6,021,855

Industry Summary at June 30, 2022 (Unaudited)

Mortgage Related	35.7	%
Non-Agency Commercial Mortgage-Backed Securities	13.8
Agency Commercial Mortgage-Backed Securities	9.4
ABS Car Loan	7.9
ABS Other	7.4
Collateralized Mortgage Obligations	6.7
ABS Home Equity	6.6
ABS Student Loan	2.2
Other Investments, less than 2% each	2.3
Collateralized Loan Obligations	6.8
Short-Term Investments	4.1
Total Investments	102.9
Other assets less liabilities (including futures contracts)	(2.9	)
Net Assets	100.0	%