Loomis Sayles Funds I NPORT-P Loomis Sayles Intermediate Duration Bond Fund (Jun 2022 report)

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

Loomis Sayles Intermediate Duration Bond Fund

Principal         Amount		Description	Value (†)
	Bonds and Notes – 99.2% of Net Assets
		ABS Car Loan – 8.2%
$	81,798	American Credit Acceptance Receivables Trust, Series 2019-4, Class C, 2.690%, 12/12/2025, 144A	$	81,797
	240,000	American Credit Acceptance Receivables Trust, Series 2020-4, Class C, 1.310%, 12/14/2026, 144A		235,812
	385,000	American Credit Acceptance Receivables Trust, Series 2021-3, Class B, 0.660%, 2/13/2026, 144A		378,620
	180,000	American Credit Acceptance Receivables Trust, Series 2022-1, Class B, 1.680%, 9/14/2026, 144A		172,534
	267,749	AmeriCredit Automobile Receivables Trust, Series 2019-2, Class B, 2.540%, 7/18/2024		267,762
	74,648	AmeriCredit Automobile Receivables Trust, Series 2020-1, Class A3, 1.110%, 8/19/2024		74,493
	65,503	AmeriCredit Automobile Receivables Trust, Series 2020-2, Class A3, 0.660%, 12/18/2024		65,022
	265,000	AmeriCredit Automobile Receivables Trust, Series 2020-2, Class B, 0.970%, 2/18/2026		259,413
	215,000	AmeriCredit Automobile Receivables Trust, Series 2021-2, Class B, 0.690%, 1/19/2027		202,751
	520,000	AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.410%, 8/18/2027		475,671
	335,000	AmeriCredit Automobile Receivables Trust, Series 2022-2, Class A3, 4.380%, 4/18/2028		335,710
	140,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A		137,611
	51,283	Bank of The West Auto Trust, Series 2019-1, Class A3, 2.430%, 4/15/2024, 144A		51,287
	150,390	Capital One Prime Auto Receivables Trust, Series 2019-2, Class A3, 1.920%, 5/15/2024		149,981
	225,925	CarMax Auto Owner Trust, Series 2020-2, Class A3, 1.700%, 11/15/2024		224,756
	326,861	CarMax Auto Owner Trust, Series 2020-3, Class A3, 0.620%, 3/17/2025		322,091
	105,731	Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.750%, 3/10/2028		100,197
	305,000	Carvana Auto Receivables Trust, Series 2021-N4, Class C, 1.720%, 9/11/2028		291,490
	1,075,000	Carvana Auto Receivables Trust, Series 2021-P4, Class A3, 1.310%, 1/11/2027(a)		1,016,887
	144,576	Credit Acceptance Auto Loan Trust, Series 2019-3A, Class A, 2.380%, 11/15/2028, 144A		144,406
	208,327	Credit Acceptance Auto Loan Trust, Series 2020-1A, Class A, 2.010%, 2/15/2029, 144A		207,284
	585,000	Credit Acceptance Auto Loan Trust, Series 2020-1A, Class B, 2.390%, 4/16/2029, 144A		574,596
	315,000	Credit Acceptance Auto Loan Trust, Series 2020-2A, Class A, 1.370%, 7/16/2029, 144A		310,538
	265,000	Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.000%, 5/15/2030, 144A		252,158
	405,000	Drive Auto Receivables Trust, Series 2021-1, Class B, 0.650%, 7/15/2025		403,188

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Car Loan – continued
$	585,000	Drive Auto Receivables Trust, Series 2021-2, Class B, 0.580%, 12/15/2025	$	571,750
	465,000	Drive Auto Receivables Trust, Series 2021-3, Class B, 1.110%, 5/15/2026		446,049
	3,004	DT Auto Owner Trust, Series 2019-2A, Class C, 3.180%, 2/18/2025, 144A		3,005
	320,000	DT Auto Owner Trust, Series 2020-2A, Class C, 3.280%, 3/16/2026, 144A		317,914
	30,000	DT Auto Owner Trust, Series 2021-1A, Class B, 0.620%, 9/15/2025, 144A		29,417
	300,000	DT Auto Owner Trust, Series 2021-2A, Class B, 0.810%, 1/15/2027, 144A		290,891
	410,000	DT Auto Owner Trust, Series 2021-4A, Class C, 1.500%, 9/15/2027, 144A		383,098
	360,367	Exeter Automobile Receivables Trust, Series 2020-2A, Class C, 3.280%, 5/15/2025, 144A		359,981
	128,037	Exeter Automobile Receivables Trust, Series 2021-1A, Class B, 0.500%, 2/18/2025		127,616
	330,000	Exeter Automobile Receivables Trust, Series 2021-2A, Class B, 0.570%, 9/15/2025		324,941
	715,000	Exeter Automobile Receivables Trust, Series 2021-4A, Class B, 1.050%, 5/15/2026		692,362
	605,000	Exeter Automobile Receivables Trust, Series 2022-3A, Class B, 4.860%, 12/15/2026		605,323
	874,228	Flagship Credit Auto Trust, Series 2020-1, Class B, 2.050%, 2/17/2025, 144A		871,799
	290,000	Flagship Credit Auto Trust, Series 2021-2, Class B, 0.930%, 6/15/2027, 144A		274,263
	1,428,402	Flagship Credit Auto Trust, Series 2022-1, Class A, 1.790%, 10/15/2026, 144A(a)		1,390,315
	595,000	Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.190%, 7/15/2031, 144A		585,283
	81,943	Ford Credit Auto Owner Trust, Series 2020-A, Class A3, 1.040%, 8/15/2024		81,110
	453,780	Ford Credit Auto Owner Trust, Series 2020-B, Class A3, 0.560%, 10/15/2024		448,535
	570,000	Ford Credit Auto Owner Trust, Series 2021-1, Class A, 1.370%, 10/17/2033, 144A		518,061
	410,000	Foursight Capital Automobile Receivables Trust, Series 2022-1, Class A3, 1.830%, 12/15/2026, 144A		390,418
	112,925	GLS Auto Receivables Issuer Trust, Series 2019-4A, Class B, 2.780%, 9/16/2024, 144A		112,922
	6,416	GLS Auto Receivables Issuer Trust, Series 2020-2A, Class A, 1.580%, 8/15/2024, 144A		6,415
	53,783	GLS Auto Receivables Issuer Trust, Series 2020-3A, Class B, 1.380%, 8/15/2024, 144A		53,741
	265,000	GLS Auto Receivables Issuer Trust, Series 2020-4A, Class C, 1.140%, 11/17/2025, 144A		256,581
	995,000	GLS Auto Receivables Issuer Trust, Series 2021-4A, Class B, 1.530%, 4/15/2026, 144A		951,334
	340,000	GLS Auto Receivables Trust, Series 2021-2A, Class B, 0.770%, 9/15/2025, 144A		332,264
	41,813	GM Financial Automobile Leasing Trust, Series 2020-2, Class A3, 0.800%, 7/20/2023		41,743

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Car Loan – continued
$	75,890	GM Financial Consumer Automobile Receivables Trust, Series 2019-3, Class A3, 2.180%, 4/16/2024	$	75,878
	76,840	GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3, 1.490%, 12/16/2024		76,146
	180,000	GMF Floorplan Owner Revolving Trust, Series 2020-1, Class A, 0.680%, 8/15/2025, 144A		173,848
	269,061	Honda Auto Receivables Owner Trust, Series 2020-2, Class A3, 0.820%, 7/15/2024		266,174
	88,423	Hyundai Auto Receivables Trust, Series 2019-B, Class A3, 1.940%, 2/15/2024		88,322
	115,947	Hyundai Auto Receivables Trust, Series 2020-A, Class A3, 1.410%, 11/15/2024		114,764
	179,288	Mercedes-Benz Auto Receivables Trust, Series 2020-1, Class A3, 0.550%, 2/18/2025		177,019
	865,000	NextGear Floorplan Master Owner Trust, Series 2020-1A, Class A2, 1.550%, 2/15/2025, 144A		851,560
	695,000	Prestige Auto Receivables Trust, Series 2020-1A, Class C, 1.310%, 11/16/2026, 144A		688,723
	430,000	Prestige Auto Receivables Trust, Series 2021-1A, Class C, 1.530%, 2/15/2028, 144A		399,879
	210,000	Santander Consumer Auto Receivables Trust, Series 2020-AA, Class C, 3.710%, 2/17/2026, 144A		209,101
	75,315	Santander Consumer Auto Receivables Trust, Series 2020-BA, Class A3, 0.460%, 8/15/2024, 144A		75,138
	290,000	Santander Drive Auto Receivables Trust, Series 2020-3, Class C, 1.120%, 1/15/2026		287,039
	170,000	Santander Drive Auto Receivables Trust, Series 2020-4, Class C, 1.010%, 1/15/2026		167,555
	460,000	Santander Drive Auto Receivables Trust, Series 2021-2, Class C, 0.900%, 6/15/2026		445,411
	745,000	Santander Drive Auto Receivables Trust, Series 2021-3, Class C, 0.950%, 9/15/2027		716,825
	530,000	Santander Drive Auto Receivables Trust, Series 2021-4, Class B, 0.880%, 6/15/2026		514,133
	835,000	Santander Drive Auto Receivables Trust, Series 2022-3, Class B, 4.130%, 8/16/2027		825,276
	440,000	Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.350%, 5/25/2033, 144A		407,958
	115,047	Toyota Auto Receivables Owner Trust, Series 2020-B, Class A3, 1.360%, 8/15/2024		114,163
	185,000	United Auto Credit Securitization Trust, Series 2022-1, Class B, 2.100%, 3/10/2025, 144A		180,580
	400,000	Westlake Automobile Receivables Trust, Series 2020-2A, Class C, 2.010%, 7/15/2025, 144A		395,238
	590,000	Westlake Automobile Receivables Trust, Series 2021-1A, Class B, 0.640%, 3/16/2026, 144A		576,641
	270,000	Westlake Automobile Receivables Trust, Series 2021-2A, Class B, 0.620%, 7/15/2026, 144A		260,203
	1,050,000	Westlake Automobile Receivables Trust, Series 2021-3A, Class C, 1.580%, 1/15/2027, 144A		994,351
	450,416	World Omni Auto Receivables Trust, Series 2020-B, Class A3, 0.630%, 5/15/2025		444,424
	225,179	World Omni Select Auto Trust, Series 2020-A, Class A3, 0.550%, 7/15/2025		223,303

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Car Loan – continued
$	360,000	World Omni Select Auto Trust, Series 2021-A, Class B, 0.850%, 8/16/2027	$	336,619
				27,289,457
		ABS Credit Card – 0.7%
	925,000	Barclays Dryrock Issuance Trust, Series 2019-1, Class A, 1.960%, 5/15/2025		925,015
	960,000	Mercury Financial Credit Card Master Trust, Series 2022-1A, Class A, 2.500%, 9/21/2026, 144A		909,272
	585,000	World Financial Network Credit Card Master Trust, Series 2019-C, Class A, 2.210%, 7/15/2026		584,950
				2,419,237
		ABS Home Equity – 0.0%
	1,948	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)		1,947
		ABS Other – 1.3%
	395,000	Affirm Asset Securitization Trust, Series 2021-B, Class A, 1.030%, 8/17/2026, 144A		374,388
	125,000	Affirm Asset Securitization Trust, Series 2022-A, Class A, 4.300%, 5/17/2027, 144A		123,763
	430,467	Aqua Finance Trust, Series 2021-A, Class A, 1.540%, 7/17/2046, 144A		397,667
	164,402	Chesapeake Funding II LLC, Series 2020-1A, Class A1, 0.870%, 8/15/2032, 144A		162,010
	135,555	CNH Equipment Trust, Series 2020-A, Class A3, 1.160%, 6/16/2025		133,703
	60,796	Diamond Resorts Owner Trust, Series 2018-1, Class A, 3.700%, 1/21/2031, 144A		60,649
	592,655	Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034, 144A		575,193
	156,180	Kubota Credit Owner Trust, Series 2020-1A, Class A3, 1.960%, 3/15/2024, 144A		155,262
	340,244	Marlette Funding Trust, Series 2021-3A, Class A, 0.650%, 12/15/2031, 144A		333,250
	81,320	MVW LLC, Series 2020-1A, Class A, 1.740%, 10/20/2037, 144A		76,269
	1,135,000	OneMain Financial Issuance Trust, Series 2022-S1, Class A, 4.130%, 5/14/2035, 144A(a)		1,117,371
	224,771	S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A		197,417
	370,000	SCF Equipment Leasing LLC, Series 2022-1A, Class A3, 2.920%, 7/20/2029, 144A		357,681
	112,618	Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A, 1.330%, 7/20/2037, 144A		105,648
	270,573	Verizon Owner Trust, Series 2019-B, Class A1A, 2.330%, 12/20/2023		270,641
				4,440,912
		ABS Student Loan – 0.1%
	116,902	Massachusetts Educational Financing Authority, Series 2018-A, Class A, 3.850%, 5/25/2033		116,593

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		ABS Student Loan – continued
$	66,136	Navient Private Education Refi Loan Trust, Series 2020-GA, Class A, 1.170%, 9/16/2069, 144A	$	62,135
	91,039	Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A		84,852
	11,442	SoFi Professional Loan Program LLC, Series 2016-B, Class A2B, 2.740%, 10/25/2032, 144A		11,443
	25,573	SoFi Professional Loan Program LLC, Series 2017-E, Class A2B, 2.720%, 11/26/2040, 144A		25,490
				300,513
		ABS Whole Business – 0.2%
	514,938	Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048, 144A		500,758
		Aerospace & Defense – 0.0%
	29,000	Raytheon Technologies Corp., 3.650%, 8/16/2023		28,970
		Agency Commercial Mortgage-Backed Securities – 0.7%
	487,491	FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(b)		487,239
	701,647	FHLMC Multifamily Structured Pass Through Certificates, Series K042, Class A2, 2.670%, 12/25/2024		688,870
	1,175,000	FHLMC Multifamily Structured Pass Through Certificates, Series KJ26, Class A2, 2.606%, 7/25/2027(a)		1,145,656
	38,807	FHLMC Multifamily Structured Pass Through Certificates, Series KJ28, Class A1, 1.766%, 2/25/2025		37,905
				2,359,670
		Automotive – 2.9%
	1,205,000	American Honda Finance Corp., MTN, 2.250%, 1/12/2029		1,061,741
	145,000	American Honda Finance Corp., MTN, 3.625%, 10/10/2023		145,384
	160,000	Daimler Finance North America LLC, 3.350%, 2/22/2023, 144A		160,207
	725,000	Daimler Trucks Finance North America LLC, 3.650%, 4/07/2027, 144A		694,516
	665,000	Denso Corp., 1.239%, 9/16/2026, 144A		593,192
	675,000	General Motors Financial Co., Inc., 3.800%, 4/07/2025		658,062
	735,000	General Motors Financial Co., Inc., 5.000%, 4/09/2027		721,004
	295,000	Harley-Davidson Financial Services, Inc., 3.350%, 6/08/2025, 144A		283,443
	645,000	Hyundai Capital America, 2.100%, 9/15/2028, 144A		543,576
	195,000	Hyundai Capital America, 2.375%, 2/10/2023, 144A		192,498
	240,000	Kia Corp., 1.000%, 4/16/2024, 144A		228,488
	275,000	Nissan Motor Acceptance Co. LLC, 3.450%, 3/15/2023, 144A		273,461

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Automotive – continued
$	205,000	PACCAR Financial Corp., 2.000%, 2/04/2027	$	189,164
	105,000	PACCAR Financial Corp., MTN, 0.800%, 6/08/2023		102,727
	160,000	PACCAR Financial Corp., MTN, 1.800%, 2/06/2025		152,911
	955,000	PACCAR Financial Corp., MTN, 1.900%, 2/07/2023		947,076
	860,000	Toyota Motor Credit Corp., 3.050%, 3/22/2027		826,837
	845,000	Toyota Motor Credit Corp., 4.450%, 6/29/2029		855,270
	275,000	Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A		265,790
	290,000	Volkswagen Group of America Finance LLC, 4.250%, 11/13/2023, 144A		289,968
	590,000	Volkswagen Group of America Finance LLC, 4.350%, 6/08/2027, 144A		578,343
				9,763,658
		Banking – 19.8%
	500,000	ABN AMRO Bank NV, (fixed rate to 12/13/2028, variable rate thereafter), 2.470%, 12/13/2029, 144A		426,158
	1,130,000	Ally Financial, Inc., 4.750%, 6/09/2027		1,085,134
	855,000	American Express Co., 2.550%, 3/04/2027		796,664
	430,000	American Express Co., 4.050%, 5/03/2029		421,593
	525,000	ANZ New Zealand International Ltd., 2.166%, 2/18/2025, 144A		501,599
	565,000	ASB Bank Ltd., (fixed rate to 6/17/2027, variable rate thereafter), 5.284%, 6/17/2032, 144A		558,837
	1,190,000	Australia & New Zealand Banking Group Ltd., MTN, 2.050%, 11/21/2022		1,185,060
	800,000	Banco Bilbao Vizcaya Argentaria S.A., 0.875%, 9/18/2023		771,662
	1,600,000	Banco Santander S.A., 3.892%, 5/24/2024		1,591,617
	840,000	Bank of America Corp., (fixed rate to 4/02/2025, variable rate thereafter), MTN, 3.384%, 4/02/2026		814,216
	395,000	Bank of Ireland Group PLC, 4.500%, 11/25/2023, 144A		394,051
	910,000	Bank of Ireland Group PLC, (fixed rate to 9/30/2026, variable rate thereafter), 2.029%, 9/30/2027, 144A		790,917
	805,000	Bank of Montreal, 3.700%, 6/07/2025		797,872
	1,210,000	Bank of Montreal, MTN, 1.500%, 1/10/2025		1,141,902
	515,000	Bank of Montreal, MTN, 2.650%, 3/08/2027		477,011
	425,000	Bank of New York Mellon Corp. (The), 2.050%, 1/26/2027		390,490

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Banking – continued
$	655,000	Bank of New York Mellon Corp. (The), MTN, 1.600%, 4/24/2025	$	616,492
	295,000	Bank of New York Mellon Corp. (The), MTN, 1.800%, 7/28/2031		238,836
	635,000	Bank of New Zealand, 2.000%, 2/21/2025, 144A		604,699
	690,000	Bank of New Zealand, 2.285%, 1/27/2027, 144A		635,471
	870,000	Bank of Nova Scotia (The), 2.000%, 11/15/2022		867,624
	825,000	Bank of Nova Scotia (The), 3.450%, 4/11/2025		814,110
	200,000	Banque Federative du Credit Mutuel S.A., 2.375%, 11/21/2024, 144A		191,660
	460,000	Banque Federative du Credit Mutuel S.A., 2.700%, 7/20/2022, 144A		460,024
	485,000	Banque Federative du Credit Mutuel S.A., 3.750%, 7/20/2023, 144A		485,206
	485,000	Barclays PLC, (fixed rate to 5/16/2023, variable rate thereafter), 4.338%, 5/16/2024		484,742
	1,600,000	Canadian Imperial Bank of Commerce, 1.000%, 10/18/2024		1,493,091
	170,000	Capital One Financial Corp., (fixed rate to 11/02/2031, variable rate thereafter), 2.618%, 11/02/2032		136,673
	1,015,000	Capital One Financial Corp., (fixed rate to 12/06/2023, variable rate thereafter), 1.343%, 12/06/2024		972,667
	850,000	Capital One Financial Corp., (fixed rate to 5/10/2027, variable rate thereafter), 4.927%, 5/10/2028		841,825
	255,000	Capital One Financial Corp., (fixed rate to 7/29/2031, variable rate thereafter), 2.359%, 7/29/2032		194,497
	510,000	Citigroup, Inc., (fixed rate to 4/08/2025, variable rate thereafter), 3.106%, 4/08/2026		489,577
	230,000	Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025		215,471
	335,000	Citigroup, Inc., (fixed rate to 5/24/2027, variable rate thereafter), 4.658%, 5/24/2028		332,420
	815,000	Citizens Financial Group, Inc., (fixed rate to 5/21/2032, variable rate thereafter), 5.641%, 5/21/2037		804,362
	225,000	Comerica, Inc., 3.700%, 7/31/2023		224,851
	590,000	Commonwealth Bank of Australia, 2.552%, 3/14/2027, 144A		550,944
	890,000	Cooperatieve Rabobank U.A., (fixed rate to 12/15/2026, variable rate thereafter), 1.980%, 12/15/2027, 144A		791,354
	750,000	Credit Agricole S.A., (fixed rate to 6/16/2025, variable rate thereafter), 1.907%, 6/16/2026, 144A		689,730
	575,000	Credit Suisse AG, 1.250%, 8/07/2026		502,619
	1,070,000	Credit Suisse AG, 3.700%, 2/21/2025		1,044,759
	500,000	Danske Bank A/S, 3.875%, 9/12/2023, 144A		497,831
	390,000	Danske Bank A/S, (fixed rate to 3/28/2024, variable rate thereafter), 3.773%, 3/28/2025, 144A		383,571

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Banking – continued
$	800,000	Danske Bank A/S, (fixed rate to 9/10/2024, variable rate thereafter), 0.976%, 9/10/2025, 144A	$	736,690
	420,000	Deutsche Bank AG, 4.162%, 5/13/2025		416,187
	960,000	Deutsche Bank AG, (fixed rate to 1/07/2027, variable rate thereafter), 2.552%, 1/07/2028		830,985
	205,000	DNB Bank ASA, 2.150%, 12/02/2022, 144A		204,679
	935,000	DNB Bank ASA, (fixed rate to 3/28/2024, variable rate thereafter), 2.968%, 3/28/2025, 144A		914,963
	590,000	DNB Bank ASA, (fixed rate to 9/16/2025, variable rate thereafter), 1.127%, 9/16/2026, 144A		531,307
	980,000	Goldman Sachs Group, Inc. (The), (fixed rate to 10/21/2026, variable rate thereafter), 1.948%, 10/21/2027		867,819
	480,000	Goldman Sachs Group, Inc. (The), (fixed rate to 3/09/2026, variable rate thereafter), 1.431%, 3/09/2027		425,478
	805,000	HSBC Holdings PLC, (fixed rate to 6/09/2027, variable rate thereafter), 4.755%, 6/09/2028		782,552
	395,000	HSBC Holdings PLC, (fixed rate to 8/17/2028, variable rate thereafter), 2.206%, 8/17/2029		331,770
	1,405,000	HSBC USA, Inc., 3.750%, 5/24/2024		1,396,742
	315,000	Huntington National Bank (The), (fixed rate to 5/16/2024, variable rate thereafter), 4.008%, 5/16/2025		314,096
	665,000	ING Groep NV, (fixed rate to 3/28/2027, variable rate thereafter), 4.017%, 3/28/2028		633,351
	930,000	JPMorgan Chase & Co., (fixed rate to 4/26/2025, variable rate thereafter), 4.080%, 4/26/2026		918,400
	550,000	JPMorgan Chase & Co., (fixed rate to 6/01/2028, variable rate thereafter), 2.069%, 6/01/2029		473,014
	255,000	KeyBank NA, 4.390%, 12/14/2027		253,858
	495,000	Lloyds Banking Group PLC, 4.050%, 8/16/2023		496,208
	520,000	Lloyds Banking Group PLC, (fixed rate to 3/18/2025, variable rate thereafter), 3.511%, 3/18/2026		506,250
	375,000	Lloyds Banking Group PLC, (fixed rate to 7/09/2024, variable rate thereafter), 3.870%, 7/09/2025		370,332
	1,195,000	Macquarie Bank Ltd., 2.100%, 10/17/2022, 144A		1,191,344
	65,000	Macquarie Bank Ltd., 2.300%, 1/22/2025, 144A		62,262
	780,000	Macquarie Group Ltd., (fixed rate to 6/21/2027, variable rate thereafter), 4.098%, 6/21/2028, 144A		747,777
	1,650,000	Mitsubishi UFJ Financial Group, Inc., (fixed rate to 4/17/2025, variable rate thereafter), 3.837%, 4/17/2026		1,627,161
	1,050,000	National Australia Bank Ltd., 3.905%, 6/09/2027		1,037,871
	1,630,000	National Bank of Canada, (fixed rate to 6/09/2024, variable rate thereafter), 3.750%, 6/09/2025		1,617,987
	620,000	Nationwide Building Society, (fixed rate to 3/08/2023, variable rate thereafter), 3.766%, 3/08/2024, 144A		618,379

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Banking – continued
$	295,000	NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter), 5.516%, 9/30/2028	$	297,101
	1,215,000	NatWest Markets PLC, 1.600%, 9/29/2026, 144A		1,070,214
	660,000	NatWest Markets PLC, 3.625%, 9/29/2022, 144A		660,739
	1,305,000	Nordea Bank Abp, 1.500%, 9/30/2026, 144A		1,159,337
	915,000	Nordea Bank Abp, 3.600%, 6/06/2025, 144A		905,603
	550,000	Northern Trust Corp., 4.000%, 5/10/2027		553,310
	210,000	Northern Trust Corp., (fixed rate to 5/08/2027, variable rate thereafter), 3.375%, 5/08/2032		197,703
	1,650,000	Royal Bank of Canada, 3.625%, 5/04/2027		1,599,327
	690,000	Santander Holdings USA, Inc., 3.450%, 6/02/2025		663,511
	395,000	Santander U.K. Group Holdings PLC, (fixed rate to 1/11/2027, variable rate thereafter), 2.469%, 1/11/2028		349,015
	1,630,000	Societe Generale S.A., 4.677%, 6/15/2027, 144A		1,619,519
	390,000	Standard Chartered PLC, (fixed rate to 1/12/2027, variable rate thereafter), 2.608%, 1/12/2028, 144A		348,535
	257,000	Standard Chartered PLC, (fixed rate to 3/30/2025, variable rate thereafter), 3.971%, 3/30/2026, 144A		251,071
	375,000	Standard Chartered PLC, (fixed rate to 6/29/2031, variable rate thereafter), 2.678%, 6/29/2032, 144A		300,945
	335,000	State Street Corp., (fixed rate to 11/18/2026, variable rate thereafter), 1.684%, 11/18/2027		300,792
	1,015,000	Sumitomo Mitsui Financial Group, Inc., 1.902%, 9/17/2028		860,365
	235,000	Sumitomo Mitsui Financial Group, Inc., 2.784%, 7/12/2022		235,009
	840,000	Sumitomo Mitsui Trust Bank Ltd., 0.850%, 3/25/2024, 144A		796,459
	200,000	Sumitomo Mitsui Trust Bank Ltd., 2.550%, 3/10/2025, 144A		192,214
	1,400,000	Swedbank AB, 1.300%, 6/02/2023, 144A		1,370,474
	235,000	Swedbank AB, 3.356%, 4/04/2025, 144A		230,888
	75,000	Synchrony Financial, 4.250%, 8/15/2024		74,534
	1,020,000	Synchrony Financial, 4.875%, 6/13/2025		1,008,584
	900,000	Toronto-Dominion Bank, 4.108%, 6/08/2027		889,979
	260,000	Truist Financial Corp., MTN, (fixed rate to 6/07/2028, variable rate thereafter), 1.887%, 6/07/2029		223,473
	270,000	UBS AG, 1.375%, 1/13/2025, 144A		252,791

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Banking – continued
$	555,000	UBS Group AG, (fixed rate to 12/05/2025, variable rate thereafter), 4.488%, 5/12/2026, 144A	$	552,880
	585,000	UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026, 144A		523,310
	1,470,000	Wells Fargo & Co., (fixed rate to 4/25/2025, variable rate thereafter), MTN, 3.908%, 4/25/2026		1,445,723
	335,000	Westpac Banking Corp., 1.953%, 11/20/2028		292,309
	1,015,000	Westpac Banking Corp., 3.735%, 8/26/2025		1,011,441
				66,254,506
		Brokerage – 1.5%
	595,000	Ares Finance Co. IV LLC, 3.650%, 2/01/2052, 144A		418,216
	705,000	Blue Owl Finance LLC, 4.375%, 2/15/2032, 144A		595,049
	880,000	Charles Schwab Corp. (The), 2.450%, 3/03/2027		820,699
	660,000	Intercontinental Exchange, Inc., 4.600%, 3/15/2033		656,086
	390,000	KKR Group Finance Co. XII LLC, 4.850%, 5/17/2032, 144A		385,035
	1,205,000	Nomura Holdings, Inc., 2.329%, 1/22/2027		1,066,907
	1,170,000	Nomura Holdings, Inc., 5.605%, 7/06/2029		1,170,795
				5,112,787
		Building Materials – 0.3%
	440,000	Ferguson Finance PLC, 4.650%, 4/20/2032, 144A		413,881
	640,000	Fortune Brands Home & Security, Inc., 4.000%, 3/25/2032		565,969
				979,850
		Chemicals – 0.5%
	245,000	Albemarle Corp., 4.650%, 6/01/2027		241,106
	360,000	Cabot Corp., 4.000%, 7/01/2029		337,822
	310,000	Cabot Corp., 5.000%, 6/30/2032		300,966
	960,000	Nutrien Ltd., 1.900%, 5/13/2023		944,637
				1,824,531
		Collateralized Mortgage Obligations – 1.1%
	294,502	Government National Mortgage Association, Series 2010-H02, Class FA, 1-month LIBOR + 0.680%, 1.703%, 2/20/2060(c)		293,288
	181,170	Government National Mortgage Association, Series 2010-H03, Class FA, 1-month LIBOR + 0.550%, 1.573%, 3/20/2060(c)		180,085
	110,016	Government National Mortgage Association, Series 2014-H14, Class FA, 1-month LIBOR + 0.500%, 0.938%, 7/20/2064(c)		108,929

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	89,804	Government National Mortgage Association, Series 2014-H15, Class FA, 1-month LIBOR + 0.500%, 1.303%, 7/20/2064(c)	$	88,846
	246	Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065(d)(e)		228
	231,237	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065		226,007
	331,458	Government National Mortgage Association, Series 2016-H06, Class FC, 1-month LIBOR + 0.920%, 1.723%, 2/20/2066(c)		330,482
	872,890	Government National Mortgage Association, Series 2018-H17, Class JA, 3.750%, 9/20/2068(b)		863,646
	237,604	Government National Mortgage Association, Series 2019-H01, Class FL, 1-month LIBOR + 0.450%, 1.253%, 12/20/2068(c)		235,284
	765,978	Government National Mortgage Association, Series 2019-H01, Class FT, 1-month LIBOR + 0.400%, 1.203%, 10/20/2068(c)		760,747
	730,404	Government National Mortgage Association, Series 2019-H10, Class FM, 1-month LIBOR + 0.400%, 1.203%, 5/20/2069(c)		722,170
				3,809,712
		Construction Machinery – 0.7%
	1,190,000	Caterpillar Financial Services Corp., MTN, 3.400%, 5/13/2025		1,186,933
	300,000	CNH Industrial Capital LLC, 1.950%, 7/02/2023		293,199
	945,000	CNH Industrial Capital LLC, 3.950%, 5/23/2025		934,999
				2,415,131
		Consumer Cyclical Services – 0.2%
	710,000	eBay, Inc., 1.400%, 5/10/2026		638,640
	165,000	Expedia Group, Inc., 6.250%, 5/01/2025, 144A		169,936
				808,576
		Consumer Products – 0.5%
	775,000	Brunswick Corp., 4.400%, 9/15/2032		669,622
	500,000	Church & Dwight Co., Inc., 5.000%, 6/15/2052		511,151
	495,000	JAB Holdings BV, 4.500%, 4/08/2052, 144A		381,934
				1,562,707
		Diversified Manufacturing – 0.4%
	135,000	Amphenol Corp., 2.050%, 3/01/2025		128,964
	225,000	Kennametal, Inc., 4.625%, 6/15/2028		220,846
	490,000	Parker-Hannifin Corp., 4.250%, 9/15/2027		486,578
	135,000	Timken Co. (The), 4.500%, 12/15/2028		131,753

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Diversified Manufacturing – continued
$	275,000	WW Grainger, Inc., 1.850%, 2/15/2025	$	261,921
				1,230,062
		Electric – 4.7%
	950,000	AEP Texas, Inc., 4.700%, 5/15/2032		945,402
	435,000	AES Corp. (The), 3.300%, 7/15/2025, 144A		408,021
	360,000	Alliant Energy Finance LLC, 4.250%, 6/15/2028, 144A		352,785
	550,000	American Electric Power Co., Inc., 2.031%, 3/15/2024		532,064
	120,000	Consolidated Edison Co. of New York, Inc., Series B, 2.900%, 12/01/2026		113,729
	225,000	Dominion Energy, Inc., 3.071%, 8/15/2024		219,665
	270,000	DTE Energy Co., 2.250%, 11/01/2022		269,447
	1,135,000	Duke Energy Carolinas LLC, 3.050%, 3/15/2023		1,133,966
	285,000	Duke Energy Corp., 0.900%, 9/15/2025		257,910
	1,145,000	Enel Finance International NV, 5.000%, 6/15/2032, 144A		1,105,419
	605,000	Entergy Corp., 0.900%, 9/15/2025		544,595
	700,000	Eversource Energy, 4.600%, 7/01/2027		705,599
	510,000	Fells Point Funding Trust, 3.046%, 1/31/2027, 144A		470,285
	590,000	National Rural Utilities Cooperative Finance Corp., 1.875%, 2/07/2025		563,724
	188,000	National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043		174,658
	900,000	NextEra Energy Capital Holdings, Inc., 0.650%, 3/01/2023		884,546
	300,000	NextEra Energy Capital Holdings, Inc., 2.940%, 3/21/2024		295,398
	825,000	Oncor Electric Delivery Co. LLC, 2.750%, 5/15/2030		750,896
	115,000	Pacific Gas & Electric Co., SOFR Index + 1.150%, 2.371%, 11/14/2022(c)		114,532
	525,000	Pacific Gas & Electric Co., 4.950%, 6/08/2025		514,766
	235,000	Public Service Enterprise Group, Inc., 2.875%, 6/15/2024		229,960
	275,000	Puget Energy, Inc., 4.224%, 3/15/2032		253,513
	845,000	Southern California Edison Co., SOFR + 0.470%, 1.845%, 12/02/2022(c)		843,141
	1,135,000	Southern California Edison Co., Series D, 4.700%, 6/01/2027		1,137,040

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Electric – continued
$	285,000	Southern Co. (The), 5.113%, 8/01/2027	$	287,369
	1,040,000	Vistra Operations Co. LLC, 5.125%, 5/13/2025, 144A		1,030,546
	1,540,000	WEC Energy Group, Inc., 0.550%, 9/15/2023		1,487,690
				15,626,666
		Finance Companies – 3.0%
	510,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.150%, 2/15/2024		493,570
	360,000	Air Lease Corp., 1.875%, 8/15/2026		311,034
	555,000	Aircastle Ltd., 2.850%, 1/26/2028, 144A		458,799
	500,000	Ares Capital Corp., 2.875%, 6/15/2028		396,120
	50,000	Ares Capital Corp., 4.250%, 3/01/2025		47,808
	305,000	Aviation Capital Group LLC, 3.875%, 5/01/2023, 144A		302,364
	225,000	Aviation Capital Group LLC, 4.375%, 1/30/2024, 144A		220,957
	545,000	Bain Capital Specialty Finance, Inc., 2.550%, 10/13/2026		466,575
	200,000	Barings BDC, Inc., 3.300%, 11/23/2026, 144A		173,484
	1,115,000	Blackstone Private Credit Fund, 2.625%, 12/15/2026, 144A		934,180
	615,000	Blackstone Secured Lending Fund, 2.850%, 9/30/2028		495,955
	650,000	FS KKR Capital Corp., 3.125%, 10/12/2028		518,417
	280,000	GATX Corp., 3.500%, 6/01/2032		245,514
	810,000	Golub Capital BDC, Inc., 2.500%, 8/24/2026		677,993
	695,000	Hercules Capital, Inc., 3.375%, 1/20/2027		608,444
	785,000	Main Street Capital Corp., 3.000%, 7/14/2026		684,968
	600,000	Morgan Stanley Direct Lending Fund, 4.500%, 2/11/2027, 144A		544,476
	110,000	Oaktree Specialty Lending Corp., 3.500%, 2/25/2025		104,228
	260,000	Owl Rock Capital Corp., 3.750%, 7/22/2025		240,469
	90,000	Owl Rock Capital Corp., 4.250%, 1/15/2026		82,787
	500,000	Owl Rock Core Income Corp., 5.500%, 3/21/2025, 144A		480,015
	1,110,000	Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A		1,043,386

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Finance Companies – continued
$	520,000	USAA Capital Corp., 3.375%, 5/01/2025, 144A	$	515,502
				10,047,045
		Financial Other – 0.3%
	470,000	LeasePlan Corp. NV, 2.875%, 10/24/2024, 144A		450,042
	410,000	Mitsubishi HC Capital, Inc., 2.652%, 9/19/2022, 144A		409,502
	185,000	ORIX Corp., 3.250%, 12/04/2024		182,031
				1,041,575
		Food & Beverage – 1.5%
	120,000	Brown-Forman Corp., 3.500%, 4/15/2025		119,777
	1,060,000	Coca-Cola Europacific Partners PLC, 0.800%, 5/03/2024, 144A		1,001,880
	355,000	Constellation Brands, Inc., 4.350%, 5/09/2027		351,987
	1,095,000	General Mills, Inc., 2.600%, 10/12/2022		1,095,419
	815,000	JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.750%, 4/01/2033, 144A		776,116
	765,000	Keurig Dr Pepper, Inc., 4.050%, 4/15/2032		715,768
	915,000	Pernod Ricard International Finance LLC, 1.250%, 4/01/2028, 144A		771,928
	340,000	Viterra Finance BV, 2.000%, 4/21/2026, 144A		300,756
				5,133,631
		Government Owned - No Guarantee – 0.4%
	800,000	Antares Holdings LP, 3.750%, 7/15/2027, 144A		672,597
	350,000	BOC Aviation USA Corp., 1.625%, 4/29/2024, 144A		335,275
	325,000	DAE Funding LLC, 1.550%, 8/01/2024, 144A		304,414
				1,312,286
		Healthcare – 0.4%
	650,000	Baxter International, Inc., 2.272%, 12/01/2028		569,223
	227,000	Cigna Corp., 3.750%, 7/15/2023		227,493
	92,000	CVS Health Corp., 4.300%, 3/25/2028		91,027
	510,000	DH Europe Finance II S.a.r.l., 2.200%, 11/15/2024		489,226
				1,376,969

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Hybrid ARMs – 0.0%
$	19,161	FHLMC, 1-year CMT + 2.225%, 2.410%, 1/01/2035(c)	$	19,766
	39,667	FHLMC, 1-year CMT + 2.500%, 2.951%, 5/01/2036(c)		41,137
				60,903
		Independent Energy – 0.3%
	350,000	ConocoPhillips Co., 2.400%, 3/07/2025		337,784
	530,000	Pioneer Natural Resources Co., 0.550%, 5/15/2023		516,557
				854,341
		Life Insurance – 6.1%
	535,000	AIG Global Funding, 0.900%, 9/22/2025, 144A		479,911
	635,000	Athene Global Funding, 2.500%, 3/24/2028, 144A		545,405
	415,000	Athene Global Funding, 2.646%, 10/04/2031, 144A		331,023
	445,000	Athene Global Funding, 3.205%, 3/08/2027, 144A		404,703
	885,000	Brighthouse Financial Global Funding, 1.200%, 12/15/2023, 144A		851,296
	780,000	Brighthouse Financial Global Funding, 1.750%, 1/13/2025, 144A		725,262
	985,000	CNO Global Funding, 2.650%, 1/06/2029, 144A		858,070
	830,000	Corebridge Financial, Inc., 3.650%, 4/05/2027, 144A		780,225
	1,285,000	Equitable Financial Life Global Funding, 1.800%, 3/08/2028, 144A		1,113,851
	615,000	F&G Global Funding, 2.000%, 9/20/2028, 144A		517,384
	1,170,000	F&G Global Funding, 5.150%, 7/07/2025, 144A		1,176,862
	820,000	GA Global Funding Trust, 1.250%, 12/08/2023, 144A		787,029
	995,000	GA Global Funding Trust, 2.250%, 1/06/2027, 144A		889,970
	110,000	Globe Life, Inc., 4.800%, 6/15/2032		108,076
	665,000	Great-West Lifeco U.S. Finance LP, 0.904%, 8/12/2025, 144A		603,376
	1,370,000	Guardian Life Global Funding, 1.100%, 6/23/2025, 144A		1,264,615
	465,000	Jackson Financial, Inc., 5.170%, 6/08/2027		460,971
	955,000	Jackson National Life Global Funding, 1.750%, 1/12/2025, 144A		900,626
	155,000	Jackson National Life Global Funding, 3.875%, 6/11/2025, 144A		153,654
	340,000	Lincoln National Corp., 3.400%, 3/01/2032		297,407

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Life Insurance – continued
$	795,000	Metropolitan Life Global Funding I, 0.900%, 6/08/2023, 144A	$	778,096
	700,000	Metropolitan Life Global Funding I, 0.950%, 7/02/2025, 144A		643,811
	1,070,000	New York Life Global Funding, 2.875%, 4/10/2024, 144A(a)		1,056,665
	745,000	Protective Life Global Funding, 1.646%, 1/13/2025, 144A		702,180
	430,000	Protective Life Global Funding, 3.218%, 3/28/2025, 144A		420,364
	1,175,000	Protective Life Global Funding, 4.714%, 7/06/2027, 144A		1,184,656
	655,000	Reliance Standard Life Global Funding II, 2.750%, 5/07/2025, 144A		626,646
	175,000	Reliance Standard Life Global Funding II, 3.850%, 9/19/2023, 144A		174,888
	770,000	RGA Global Funding, 2.700%, 1/18/2029, 144A		681,238
	755,000	Security Benefit Global Funding, 1.250%, 5/17/2024, 144A		716,067
				20,234,327
		Lodging – 0.1%
	350,000	Marriott International, Inc., Series Z, 4.150%, 12/01/2023		351,270
		Media Entertainment – 0.1%
	550,000	Prosus NV, 4.193%, 1/19/2032, 144A		439,111
		Metals & Mining – 0.2%
	200,000	Anglo American Capital PLC, 3.875%, 3/16/2029, 144A		183,937
	155,000	Glencore Funding LLC, 4.125%, 3/12/2024, 144A		154,222
	395,000	Nucor Corp., 3.950%, 5/23/2025		392,784
				730,943
		Midstream – 0.5%
	300,000	Boardwalk Pipelines LP, 3.600%, 9/01/2032		253,817
	25,000	Energy Transfer LP, 4.250%, 3/15/2023		24,987
	510,000	MPLX LP, 4.950%, 3/14/2052		440,720
	950,000	Targa Resources Corp., 5.200%, 7/01/2027		954,109
				1,673,633
		Mortgage Related – 0.7%
	901	FHLMC, 3.000%, 10/01/2026		899

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Mortgage Related – continued
$	46	FHLMC, 6.500%, 1/01/2024	$	49
	19	FHLMC, 8.000%, 7/01/2025		19
	4,818	GNMA, 3.890%, 10/20/2062(b)		4,688
	5,957	GNMA, 3.991%, 5/20/2062(b)		5,908
	13,355	GNMA, 4.015%, 4/20/2063(b)		13,211
	46,681	GNMA, 4.287%, 11/20/2066(b)		47,223
	19,120	GNMA, 4.303%, 6/20/2066(b)		19,270
	139,070	GNMA, 4.438%, 10/20/2066(b)		140,946
	47,665	GNMA, 4.441%, 9/20/2066(b)		48,319
	56,754	GNMA, 4.449%, 10/20/2066(b)		57,604
	35,336	GNMA, 4.470%, 8/20/2066(b)		35,912
	61,245	GNMA, 4.504%, 11/20/2066(b)		62,145
	138,320	GNMA, 4.521%, 9/20/2066(b)		140,200
	5,447	GNMA, 4.540%, 11/20/2064(b)		5,463
	49,783	GNMA, 4.586%, 10/20/2066(b)		50,597
	346,528	GNMA, 4.622%, 7/20/2067(b)		354,062
	697,931	GNMA, 4.644%, 4/20/2067(b)		711,632
	439,646	GNMA, 4.673%, 1/20/2067(b)		448,010
	206,228	GNMA, 4.700%, with various maturities from 2061 to 2064(b)(f)		207,990
	136	GNMA, 6.500%, 12/15/2023		143
				2,354,290
		Natural Gas – 0.1%
	290,000	Sempra Energy, 3.700%, 4/01/2029		272,338
		Non-Agency Commercial Mortgage-Backed Securities – 5.5%
	230,000	BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062		210,264
	270,000	BANK, Series 2020-BN25, Class A5, 2.649%, 1/15/2063		241,047
	870,000	BANK, Series 2021-BN37, Class A5, 2.618%, 11/15/2064(b)		758,940

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Non-Agency Commercial Mortgage-Backed Securities – continued
$	297,586	Barclays Commercial Mortgage Securities Trust, Series 2017-C1, Class A2, 3.189%, 2/15/2050	$	297,425
	660,000	Barclays Commercial Mortgage Securities Trust, Series 2020-BID, Class A, 1-month LIBOR + 2.140%, 3.464%, 10/15/2037, 144A(c)		651,185
	865,000	BBCMS Mortgage Trust, Series 2021-C12, Class A5, 2.689%, 11/15/2054(a)		755,324
	285,000	Benchmark Mortgage Trust, Series 2020-B16, Class A5, 2.732%, 2/15/2053		256,081
	755,000	Benchmark Mortgage Trust, Series 2021-B31, Class A5, 2.669%, 12/15/2054		659,618
	520,000	BPR Trust, Series 2021-NRD, Class A, 1-month Term SOFR + 1.525%, 2.859%, 12/15/2023, 144A(c)		497,662
	360,000	BPR Trust, Series 2022-OANA, Class A, 1-month Term SOFR + 1.898%, 3.177%, 4/15/2037, 144A(c)		352,636
	491,600	CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.865%, 1/10/2048		483,852
	361,996	CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A4, 3.283%, 5/10/2058		349,430
	992,138	Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4, 3.314%, 4/10/2049		963,002
	540,000	Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072		494,294
	535,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		515,102
	263,676	Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A5, 3.612%, 6/10/2046(b)		262,576
	21,808	Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047		21,694
	60,757	Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047		60,817
	280,000	Commercial Mortgage Pass Through Certificates, Series 2014-UBS3, Class A4, 3.819%, 6/10/2047		277,806
	280,000	Commercial Mortgage Pass Through Certificates, Series 2015-DC1, Class A5, 3.350%, 2/10/2048		273,696
	520,299	Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class A5, 3.765%, 2/10/2049		509,573
	795,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A		751,363
	55,992	CSAIL Commercial Mortgage Trust, Series 2015-C4, Class ASB, 3.617%, 11/15/2048		55,531
	470,000	CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A4, 2.968%, 12/15/2052		423,032
	605,000	GS Mortgage Securities Corp. II, Series 2012-BWTR, Class A, 2.954%, 11/05/2034, 144A		600,257
	440,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033, 144A(b)		408,227
	330,000	GS Mortgage Securities Trust, Series 2014-GC18, Class A4, 4.074%, 1/10/2047		328,821
	245,000	GS Mortgage Securities Trust, Series 2020-GC45, Class A5, 2.911%, 2/13/2053		221,778
	180,000	Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10, 4.155%, 8/05/2034, 144A		162,005
	355,000	Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034, 144A		320,719

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Non-Agency Commercial Mortgage-Backed Securities – continued
$	37,477	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047	$	37,355
	575,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-COR5, Class A4, 3.386%, 6/13/2052		539,630
	470,000	MedTrust, Series 2021-MDLN, Class A, 1-month LIBOR + 0.950%, 2.275%, 11/15/2038, 144A(c)		449,345
	240,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A4, 4.209%, 7/15/2046(b)		239,133
	129,604	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.306%, 4/15/2048		125,934
	550,000	Morgan Stanley Capital I Trust, Series 2020-L4, Class A3, 2.698%, 2/15/2053		490,167
	845,000	New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.910%, 10/20/2061, 144A		736,935
	980,000	SPGN Mortgage Trust, Series 2022-TFLM. Class A, 1-month Term SOFR + 1.550%, 2.829%, 2/15/2039, 144A(c)		934,246
	201,215	UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A		196,382
	565,000	UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A4, 3.244%, 4/10/2046		561,165
	201,109	Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4, 3.426%, 3/15/2059		195,685
	490,000	Wells Fargo Commercial Mortgage Trust, Series 2020-C58, Class A4, 2.092%, 7/15/2053		411,115
	825,000	Wells Fargo Commercial Mortgage Trust, Series 2022-C62, Class A4, 4.000%, 4/15/2055(b)		789,601
	34,135	WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A3, 3.660%, 3/15/2047		33,701
	325,000	WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A5, 4.101%, 3/15/2047		324,410
	120,809	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ASB, 3.638%, 5/15/2047		120,382
				18,348,943
		Packaging – 0.1%
	335,000	Amcor Flexibles North America, Inc., 4.000%, 5/17/2025		331,307
		Pharmaceuticals – 0.1%
	235,000	Bayer U.S. Finance II LLC, 3.375%, 7/15/2024, 144A		230,758
	245,000	CSL Finance PLC, 4.250%, 4/27/2032, 144A		239,541
				470,299
		Property & Casualty Insurance – 0.2%
	135,000	Assurant, Inc., 4.200%, 9/27/2023		135,929
	125,000	Brown & Brown, Inc., 4.200%, 3/17/2032		113,780
	240,000	Trustage Financial Group, Inc., 4.625%, 4/15/2032, 144A		219,885

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Property & Casualty Insurance – continued
$	325,000	Willis North America, Inc., 4.650%, 6/15/2027	$	319,684
				789,278
		Railroads – 0.5%
	415,000	Burlington Northern Santa Fe LLC, 4.450%, 1/15/2053		401,359
	930,000	Canadian Pacific Railway Co., 1.350%, 12/02/2024		874,854
	215,000	Union Pacific Corp., 3.646%, 2/15/2024		215,254
				1,491,467
		REITs - Apartments – 0.1%
	155,000	American Campus Communities Operating Partnership LP, 2.250%, 1/15/2029		143,530
	225,000	Invitation Homes Operating Partnership LP, 2.000%, 8/15/2031		173,084
				316,614
		REITs - Health Care – 0.2%
	235,000	Omega Healthcare Investors, Inc., 4.500%, 1/15/2025		232,910
	355,000	Welltower, Inc., 2.750%, 1/15/2032		295,684
				528,594
		REITs - Office Property – 0.4%
	570,000	Kilroy Realty LP, 2.650%, 11/15/2033		441,239
	190,000	Office Properties Income Trust, 2.400%, 2/01/2027		155,258
	560,000	Office Properties Income Trust, 3.450%, 10/15/2031		419,474
	205,000	Office Properties Income Trust, 4.500%, 2/01/2025		196,421
				1,212,392
		REITs - Regional Malls – 0.1%
	310,000	Simon Property Group LP, 1.750%, 2/01/2028		264,186
		REITs - Storage – 0.2%
	215,000	Extra Space Storage LP, 3.900%, 4/01/2029		201,332
	550,000	Life Storage LP, 2.400%, 10/15/2031		437,708
				639,040
		Restaurants – 0.1%
	420,000	McDonald’s Corp., MTN, 3.350%, 4/01/2023		421,437

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Retailers – 1.1%
$	575,000	Amazon.com, Inc., 3.600%, 4/13/2032	$	553,677
	345,000	AutoNation, Inc., 3.500%, 11/15/2024		334,772
	495,000	AutoNation, Inc., 3.850%, 3/01/2032		426,519
	290,000	AutoNation, Inc., 4.500%, 10/01/2025		288,796
	445,000	Home Depot, Inc. (The), 2.875%, 4/15/2027		429,907
	425,000	O’Reilly Automotive, Inc., 4.700%, 6/15/2032		423,262
	190,000	Tapestry, Inc., 3.050%, 3/15/2032		154,796
	1,245,000	Walgreens Boots Alliance, Inc., 0.950%, 11/17/2023		1,204,142
				3,815,871
		Technology – 2.5%
	485,000	Avnet, Inc., 5.500%, 6/01/2032		475,875
	440,000	Broadcom, Inc., 4.000%, 4/15/2029, 144A		407,702
	870,000	CDW LLC/CDW Finance Corp., 3.276%, 12/01/2028		750,466
	165,000	Flex Ltd., 4.875%, 6/15/2029		158,905
	525,000	Global Payments, Inc., 1.500%, 11/15/2024		492,845
	825,000	HP, Inc., 4.000%, 4/15/2029		772,931
	805,000	HP, Inc., 4.750%, 1/15/2028		795,446
	315,000	Infor, Inc., 1.450%, 7/15/2023, 144A		306,454
	545,000	Jabil, Inc., 4.250%, 5/15/2027		528,827
	1,035,000	KLA Corp., 4.650%, 7/15/2032		1,055,844
	175,000	Marvell Technology, Inc., 4.200%, 6/22/2023		174,735
	285,000	Microchip Technology, Inc., 0.972%, 2/15/2024		270,598
	460,000	Microchip Technology, Inc., 2.670%, 9/01/2023		452,336
	50,000	Motorola Solutions, Inc., 5.600%, 6/01/2032		50,416
	105,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027		103,365
	565,000	Panasonic Holdings Corp., 2.536%, 7/19/2022, 144A		564,943
	570,000	PayPal Holdings, Inc., 4.400%, 6/01/2032		564,288

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Technology – continued
$	200,000	Qorvo, Inc., 1.750%, 12/15/2024, 144A	$	186,824
	170,000	Western Digital Corp., 2.850%, 2/01/2029		138,413
	165,000	Western Union Co. (The), 4.250%, 6/09/2023		165,021
				8,416,234
		Tobacco – 0.5%
	585,000	Altria Group, Inc., 2.450%, 2/04/2032		440,580
	1,025,000	BAT Capital Corp., 4.700%, 4/02/2027		1,001,231
	125,000	BAT Capital Corp., 4.742%, 3/16/2032		111,098
				1,552,909
		Transportation Services – 0.9%
	450,000	Element Fleet Management Corp., 3.850%, 6/15/2025, 144A		442,000
	175,000	Penske Truck Leasing Co. LP/PTL Finance Corp., 4.000%, 7/15/2025, 144A		172,268
	695,000	Penske Truck Leasing Co. LP/PTL Finance Corp., 4.125%, 8/01/2023, 144A		697,582
	485,000	Penske Truck Leasing Co. LP/PTL Finance Corp., 4.400%, 7/01/2027, 144A		475,429
	285,000	Ryder System, Inc., 2.850%, 3/01/2027		265,683
	255,000	Ryder System, Inc., MTN, 3.750%, 6/09/2023		254,353
	240,000	Ryder System, Inc., MTN, 4.300%, 6/15/2027		236,454
	370,000	Ryder System, Inc., MTN, 4.625%, 6/01/2025		371,961
				2,915,730
		Treasuries – 28.8%
	10,625,000	U.S. Treasury Note, 0.375%, 12/31/2025(a)		9,683,276
	5,595,000	U.S. Treasury Note, 0.500%, 3/31/2025(a)		5,221,709
	15,830,000	U.S. Treasury Note, 1.125%, 10/31/2026(a)		14,591,426
	4,630,000	U.S. Treasury Note, 1.250%, 11/30/2026(a)		4,287,271
	14,640,000	U.S. Treasury Note, 1.375%, 11/15/2031(a)		12,697,913
	3,470,000	U.S. Treasury Note, 1.500%, 1/31/2027(a)		3,239,841
	6,825,000	U.S. Treasury Note, 1.875%, 2/28/2027(a)		6,478,418
	3,495,000	U.S. Treasury Note, 1.875%, 2/15/2032		3,166,252

Principal         Amount		Description	Value (†)
	Bonds and Notes – continued
		Treasuries – continued
$	20,320,000	U.S. Treasury Note, 2.500%, 5/31/2024	$	20,136,644
	13,855,000	U.S. Treasury Note, 2.625%, 5/31/2027		13,593,054
	3,240,000	U.S. Treasury Note, 2.750%, 4/30/2027		3,196,209
				96,292,013
		Wireless – 0.3%
	680,000	Crown Castle International Corp., 2.900%, 3/15/2027		627,062
	200,000	SK Telecom Co. Ltd., 3.750%, 4/16/2023, 144A		200,388
				827,450
		Wirelines – 0.1%
	205,000	British Telecommunications PLC, 4.500%, 12/04/2023		205,946
		Total Bonds and Notes (Identified Cost $349,297,455)		331,452,022
	Short-Term Investments – 1.1%
	3,830,254	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $ 3,830,292 on 7/01/2022 collateralized by $3,889,300 U.S. Treasury Note, 3.250% due 6/30/2027 valued at $3,906,922 including accrued interest(g) (Identified Cost $3,830,254)		3,830,254
		Total Investments – 100.3% (Identified Cost $353,127,709)		335,282,276
		Other assets less liabilities – (0.3)%		(998,690	)
		Net Assets – 100.0%	$	334,283,586

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

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

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

Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.

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

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

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

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

(b) Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2022 is disclosed.

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

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

(e) Fair valued by the Fund’s adviser. At June 30, 2022, the value of this security amounted to $228 or less than 0.1% of net assets.

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

(g) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of June 30, 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.

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 $91,939,402 or 27.5% of net assets.

ABS Asset-Backed Securities

ARMs Adjustable Rate Mortgages

CMT Constant Maturity Treasury

FHLMC Federal Home Loan Mortgage Corp.

GNMA Government National Mortgage Association

LIBOR London Interbank Offered Rate

MTN Medium Term Note

REITs Real Estate Investment Trusts

SOFR Secured Overnight Financing Rate

Futures Contracts

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

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

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

At June 30, 2022, open long futures contracts were as follows:

Financial Futures	Expiration Date	Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note	9/30/2022		374	$	42,397,041	$	41,981,500	$	(415,541	)
At June 30, 2022, open short futures contracts were as follows:
Financial Futures	Expiration Date	Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
Ultra Long U.S. Treasury Bond	9/21/2022		12	$	1,901,820	$	1,852,125	$	49,695

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
Collateralized Mortgage Obligations	$	—	$	3,809,484	$	228	(a)	$	3,809,712
All Other Bonds and Notes *		—		327,642,310		—			327,642,310
Total Bonds and Notes	$	—	$	331,451,794	$	228		$	331,452,022
Short-Term Investments		—		3,830,254		—			3,830,254
Futures Contracts (unrealized appreciation)		49,695		—		—			49,695
Total	$	49,695	$	335,282,048	$	228		$	335,331,971

Liability Valuation Inputs

Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(415,541	)	$	—	$	—	$	(415,541	)

* 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
ABS Other	$	564,912	$	—	$	—		$	—		$	—	$	—		$	—	$	(564,912	)	$	—	$	—
Collateralized Mortgage Obligations		531		—		(3	)		(17	)		—		(283	)		—		—			228		(19	)
Total	$	565,443	$	—	$	(3	)	$	(17	)	$	—	$	(283	)	$	—	$	(564,912	)	$	228	$	(19	)

A debt security valued at $564,912 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.

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 to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Fund may also use futures contracts to gain investment exposure. As of June 30, 2022, the Fund used futures contracts to manage duration.

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

Assets	Unrealized appreciation on futures contracts
Exchange-traded asset derivatives
Interest rate contracts	$	49,695
Liabilities	Unrealized (depreciation) on futures contracts
Exchange-traded liability derivatives
Interest rate contracts	$	(415,541	)

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

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, as of June 30, 2022:

Maximum Amount of Loss - Gross	Maximum Amount of Loss - Net
$          844,866	$	844,866

Industry Summary at June 30, 2022 (Unaudited)

Treasuries	28.8	%
Banking	19.8
ABS Car Loan	8.2
Life Insurance	6.1
Non-Agency Commercial Mortgage-Backed Securities	5.5
Electric	4.7
Finance Companies	3.0
Automotive	2.9
Technology	2.5
Other Investments, less than 2% each	17.7
Short-Term Investments	1.1
Total Investments	100.3
Other assets less liabilities (including futures contracts)	(0.3	)
Net Assets	100.0	%