PORTFOLIO OF INVESTMENTS – as of December 31, 2022 (Unaudited)
Loomis Sayles Intermediate Duration Bond Fund
Principal | Description | Value (†) | ||||||||
Bonds and Notes – 98.8% of Net Assets | ||||||||||
| ABS Car Loan – 8.3% |
| |||||||||
| $ | 255,000 | Ally Auto Receivables Trust, Series 2022-3,Class A3, 5.070%, 4/15/2027 | $ | 255,881 | ||||||
| 146,890 | American Credit Acceptance Receivables Trust, Series 2020-4, Class C, 1.310%, 12/14/2026, 144A | 144,500 | ||||||||
| 175,105 | American Credit Acceptance Receivables Trust, Series 2021-3, Class B, 0.660%, 2/13/2026, 144A | 174,482 | ||||||||
| 180,000 | American Credit Acceptance Receivables Trust, Series 2022-1, Class B, 1.680%, 9/14/2026, 144A | 175,405 | ||||||||
| 80,000 | American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029, 144A | 81,012 | ||||||||
| 16,185 | AmeriCredit Automobile Receivables Trust, Series 2020-2, Class A3, 0.660%, 12/18/2024 | 16,129 | ||||||||
| 265,000 | AmeriCredit Automobile Receivables Trust, Series 2020-2, Class B, 0.970%, 2/18/2026 | 259,656 | ||||||||
| 215,000 | AmeriCredit Automobile Receivables Trust, Series 2021-2, Class B, 0.690%, 1/19/2027 | 201,597 | ||||||||
| 520,000 | AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.410%, 8/18/2027 | 468,209 | ||||||||
| 335,000 | AmeriCredit Automobile Receivables Trust, Series 2022-2, Class A3, 4.380%, 4/18/2028 | 329,692 | ||||||||
| 140,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A | 135,265 | ||||||||
| 455,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2022-5A, Class A, 6.120%, 4/20/2027, 144A | 462,737 | ||||||||
| 30,835 | Capital One Prime Auto Receivables Trust, Series 2019-2, Class A3, 1.920%, 5/15/2024 | 30,777 | ||||||||
| 98,911 | CarMax Auto Owner Trust, Series 2020-2, Class A3, 1.700%, 11/15/2024 | 98,242 | ||||||||
| 188,250 | CarMax Auto Owner Trust, Series 2020-3, Class A3, 0.620%, 3/17/2025 | 184,771 | ||||||||
| 82,496 | Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.750%, 3/10/2028 | 75,077 | ||||||||
| 305,000 | Carvana Auto Receivables Trust, Series 2021-N4, Class C, 1.720%, 9/11/2028 | 291,139 | ||||||||
| 1,075,000 | Carvana Auto Receivables Trust, Series 2021-P4, Class A3, 1.310%, 1/11/2027 | 1,006,038 | ||||||||
| 165,000 | Carvana Auto Receivables Trust, Series 2022-P3, Class A3, 4.610%, 11/10/2027 | 160,795 | ||||||||
| 374,064 | Credit Acceptance Auto Loan Trust, Series 2020-1A, Class B, 2.390%, 4/16/2029, 144A | 371,937 | ||||||||
| 146,526 | Credit Acceptance Auto Loan Trust, Series 2020-2A, Class A, 1.370%, 7/16/2029, 144A | 145,090 | ||||||||
| 265,000 | Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.000%, 5/15/2030, 144A | 253,118 | ||||||||
| 845,000 | Credit Acceptance Auto Loan Trust, Series 2022-3A, Class A, 6.570%, 10/15/2032, 144A | 848,774 | ||||||||
| 13,746 | Drive Auto Receivables Trust, Series 2021-1, Class B, 0.650%, 7/15/2025 | 13,726 | ||||||||
| 503,292 | Drive Auto Receivables Trust, Series 2021-2, Class B, 0.580%, 12/15/2025 | 496,955 | ||||||||
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
| ABS Car Loan – continued |
| |||||||||
| $ | 465,000 | Drive Auto Receivables Trust, Series 2021-3, Class B, 1.110%, 5/15/2026 | $ | 452,131 | ||||||
| 262,335 | DT Auto Owner Trust, Series 2020-2A, Class C, 3.280%, 3/16/2026, 144A | 258,875 | ||||||||
| 21,320 | DT Auto Owner Trust, Series 2021-1A, Class B, 0.620%, 9/15/2025, 144A | 21,173 | ||||||||
| 300,000 | DT Auto Owner Trust, Series 2021-2A, Class B, 0.810%, 1/15/2027, 144A | 294,099 | ||||||||
| 410,000 | DT Auto Owner Trust, Series 2021-4A, Class C, 1.500%, 9/15/2027, 144A | 377,667 | ||||||||
| 630,000 | DT Auto Owner Trust, Series 2022-3A, Class B, 6.740%, 7/17/2028, 144A | 638,696 | ||||||||
| 144,656 | Exeter Automobile Receivables Trust, Series 2020-2A, Class C, 3.280%, 5/15/2025, 144A | 143,975 | ||||||||
| 143,121 | Exeter Automobile Receivables Trust, Series 2021-2A, Class B, 0.570%, 9/15/2025 | 142,150 | ||||||||
| 715,000 | Exeter Automobile Receivables Trust, Series 2021-4A, Class B, 1.050%, 5/15/2026 | 697,481 | ||||||||
| 605,000 | Exeter Automobile Receivables Trust, Series 2022-3A, Class B, 4.860%, 12/15/2026 | 597,080 | ||||||||
| 680,000 | Exeter Automobile Receivables Trust, Series 2022-5A, Class B, 5.970%, 3/15/2027 | 678,684 | ||||||||
| 215,000 | Exeter Automobile Receivables Trust, Series 2022-6A, Class B, 6.030%, 8/16/2027 | 215,255 | ||||||||
| 62,030 | Flagship Credit Auto Trust, Series 2020-1, Class B, 2.050%, 2/17/2025, 144A | 61,955 | ||||||||
| 290,000 | Flagship Credit Auto Trust, Series 2021-2, Class B, 0.930%, 6/15/2027, 144A | 276,088 | ||||||||
| 1,022,803 | Flagship Credit Auto Trust, Series 2022-1, Class A, 1.790%, 10/15/2026, 144A | 986,755 | ||||||||
| 490,000 | Flagship Credit Auto Trust, Series 2022-4, Class A3, 6.320%, 6/15/2027, 144A | 493,354 | ||||||||
| 595,000 | Ford Credit Auto Owner Trust, Series 2018-1, Class A, 3.190%, 7/15/2031, 144A | 568,349 | ||||||||
| 38,829 | Ford Credit Auto Owner Trust, Series 2020-A, Class A3, 1.040%, 8/15/2024 | 38,472 | ||||||||
| 221,105 | Ford Credit Auto Owner Trust, Series 2020-B, Class A3, 0.560%, 10/15/2024 | 218,697 | ||||||||
| 570,000 | Ford Credit Auto Owner Trust, Series 2021-1, Class A, 1.370%, 10/17/2033, 144A | 509,025 | ||||||||
| 410,000 | Foursight Capital Automobile Receivables Trust, Series 2022-1, Class A3, 1.830%, 12/15/2026, 144A | 393,565 | ||||||||
| 340,000 | Foursight Capital Automobile Receivables Trust, Series 2022-2, Class A3,, 4.590%, 6/15/2027, 144A | 333,297 | ||||||||
| 230,351 | GLS Auto Receivables Issuer Trust, Series 2020-4A, Class C, 1.140%, 11/17/2025, 144A | 226,457 | ||||||||
| 276,402 | GLS Auto Receivables Issuer Trust, Series 2021-2A, Class B, 0.770%, 9/15/2025, 144A | 273,318 | ||||||||
| 995,000 | GLS Auto Receivables Issuer Trust, Series 2021-4A, Class B, 1.530%, 4/15/2026, 144A | 951,617 | ||||||||
| 41,410 | GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3, 1.490%, 12/16/2024 | 40,905 | ||||||||
| 180,000 | GMF Floorplan Owner Revolving Trust, Series 2020-1, Class A, 0.680%, 8/15/2025, 144A | 174,948 | ||||||||
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
| ABS Car Loan – continued |
| |||||||||
| $ | 143,209 | Honda Auto Receivables Owner Trust, Series 2020-2, Class A3, 0.820%, 7/15/2024 | $ | 140,971 | ||||||
| 65,899 | Hyundai Auto Receivables Trust, Series 2020-A, Class A3, 1.410%, 11/15/2024 | 64,963 | ||||||||
| 98,879 | Mercedes-Benz Auto Receivables Trust, Series 2020-1, Class A3, 0.550%, 2/18/2025 | 97,071 | ||||||||
| 865,000 | NextGear Floorplan Master Owner Trust, Series 2020-1A, Class A2, 1.550%, 2/15/2025, 144A | 861,535 | ||||||||
| 469,833 | Prestige Auto Receivables Trust, Series 2020-1A, Class C, 1.310%, 11/16/2026, 144A | 466,326 | ||||||||
| 430,000 | Prestige Auto Receivables Trust, Series 2021-1A, Class C, 1.530%, 2/15/2028, 144A | 390,145 | ||||||||
| 210,000 | Santander Consumer Auto Receivables Trust, Series 2020-AA, Class C, 3.710%, 2/17/2026, 144A | 207,373 | ||||||||
| 128,380 | Santander Drive Auto Receivables Trust, Series 2020-3, Class C, 1.120%, 1/15/2026 | 127,214 | ||||||||
| 106,611 | Santander Drive Auto Receivables Trust, Series 2020-4, Class C, 1.010%, 1/15/2026 | 105,538 | ||||||||
| 835,000 | Santander Drive Auto Receivables Trust, Series 2022-3, Class B, 4.130%, 8/16/2027 | 814,604 | ||||||||
| 560,000 | Santander Drive Auto Receivables Trust, Series 2022-4, Class B, 4.420%, 11/15/2027 | 547,552 | ||||||||
| 285,000 | Santander Drive Auto Receivables Trust, Series 2022-5, Class B, 4.430%, 3/15/2027 | 277,125 | ||||||||
| �� | 155,000 | Santander Drive Auto Receivables Trust, Series 2022-7, Class A3, 5.750%, 4/15/2027 | 155,864 | |||||||
| 440,000 | Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.350%, 5/25/2033, 144A | 401,965 | ||||||||
| 58,750 | Toyota Auto Receivables Owner Trust, Series 2020-B, Class A3, 1.360%, 8/15/2024 | 58,132 | ||||||||
| 185,000 | United Auto Credit Securitization Trust, Series 2022-1, Class B, 2.100%, 3/10/2025, 144A | 182,207 | ||||||||
| 320,000 | United Auto Credit Securitization Trust, Series 2022-2, Class C, 5.810%, 5/10/2027, 144A | 315,653 | ||||||||
| 307,767 | Westlake Automobile Receivables Trust, Series 2020-2A, Class C, 2.010%, 7/15/2025, 144A | 304,425 | ||||||||
| 590,000 | Westlake Automobile Receivables Trust, Series 2021-1A, Class B, 0.640%, 3/16/2026, 144A | 580,835 | ||||||||
| 270,000 | Westlake Automobile Receivables Trust, Series 2021-2A, Class B, 0.620%, 7/15/2026, 144A | 260,634 | ||||||||
| 1,050,000 | Westlake Automobile Receivables Trust, Series 2021-3A, Class C, 1.580%, 1/15/2027, 144A | 982,583 | ||||||||
| 279,165 | World Omni Auto Receivables Trust, Series 2020-B, Class A3, 0.630%, 5/15/2025 | 273,390 | ||||||||
| 87,967 | World Omni Select Auto Trust, Series 2020-A, Class A3, 0.550%, 7/15/2025 | 87,266 | ||||||||
| 360,000 | World Omni Select Auto Trust, Series 2021-A, Class B, 0.850%, 8/16/2027 | 333,997 | ||||||||
|
| |||||||||
| 24,782,440 | ||||||||||
|
| |||||||||
| ABS Credit Card – 0.3% |
| |||||||||
| 960,000 | Mercury Financial Credit Card Master Trust, Series 2022-1A, Class A, 2.500%, 9/21/2026, 144A | 889,426 | ||||||||
|
| |||||||||
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
| ABS Home Equity – 0.0% |
| |||||||||
| $ | 1,812 | Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(a) | $ | 1,788 | ||||||
|
| |||||||||
| ABS Other – 1.3% | ||||||||||
| 395,000 | Affirm Asset Securitization Trust, Series 2021-B, Class A, 1.030%, 8/17/2026, 144A | 374,622 | ||||||||
| 125,000 | Affirm Asset Securitization Trust, Series 2022-A, Class A, 4.300%, 5/17/2027, 144A | 119,573 | ||||||||
| 362,165 | Aqua Finance Trust, Series 2021-A, Class A, 1.540%, 7/17/2046, 144A | 331,131 | ||||||||
| 127,676 | BHG Securitization Trust, Series 2022-C, Class A, 5.320%, 10/17/2035, 144A | 126,599 | ||||||||
| 124,263 | Chesapeake Funding II LLC, Series 2020-1A, Class A1, 0.870%, 8/15/2032, 144A | 122,534 | ||||||||
| 87,731 | CNH Equipment Trust, Series 2020-A, Class A3, 1.160%, 6/16/2025 | 86,463 | ||||||||
| 437,851 | Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034, 144A | 423,112 | ||||||||
| 180,000 | Enterprise Fleet Financing LLC, Series 2022-3, Class A2, 4.380%, 7/20/2029, 144A | 175,978 | ||||||||
| 102,404 | Hilton Grand Vacations Trust, Series 2022-2A, Class C, 5.570%, 1/25/2037, 144A | 100,461 | ||||||||
| 68,163 | Kubota Credit Owner Trust, Series 2020-1A, Class A3, 1.960%, 3/15/2024, 144A | 67,740 | ||||||||
| 148,407 | Marlette Funding Trust, Series 2021-3A, Class A, 0.650%, 12/15/2031, 144A | 146,473 | ||||||||
| 141,946 | Marlette Funding Trust, Series 2022-3A, Class A, 5.180%, 11/15/2032, 144A | 140,817 | ||||||||
| 67,622 | MVW LLC, Series 2020-1A, Class A, 1.740%, 10/20/2037, 144A | 61,580 | ||||||||
| 1,135,000 | OneMain Financial Issuance Trust, Series 2022-S1, Class A, 4.130%, 5/14/2035, 144A | 1,070,145 | ||||||||
| 207,642 | S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A | 160,925 | ||||||||
| 370,000 | SCF Equipment Leasing LLC, Series 2022-1A, Class A3, 2.920%, 7/20/2029, 144A | 348,182 | ||||||||
| 88,748 | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A, 1.330%, 7/20/2037, 144A | 83,475 | ||||||||
|
| |||||||||
| 3,939,810 | ||||||||||
|
| |||||||||
| ABS Student Loan – 0.1% |
| |||||||||
| 104,875 | Massachusetts Educational Financing Authority, Series 2018-A, Class A, 3.850%, 5/25/2033 | 97,977 | ||||||||
| 58,900 | Navient Private Education Refi Loan Trust, Series 2020-GA, Class A, 1.170%, 9/16/2069, 144A | 52,182 | ||||||||
| 78,335 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A | 70,304 | ||||||||
| 11,241 | SoFi Professional Loan Program LLC, Series 2017-E, Class A2B, 2.720%, 11/26/2040, 144A | 11,162 | ||||||||
|
| |||||||||
| 231,625 | ||||||||||
|
| |||||||||
| ABS Whole Business – 0.2% |
| |||||||||
| 512,263 | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048, 144A | 479,690 | ||||||||
|
| |||||||||
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
| Aerospace & Defense – 0.0% |
| |||||||||
| $ | 29,000 | Raytheon Technologies Corp., 3.650%, 8/16/2023 | $ | 28,756 | ||||||
|
| |||||||||
| Agency Commercial Mortgage-Backed Securities – 0.7% |
| |||||||||
| 340,885 | FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(a) | 339,776 | ||||||||
| 701,647 | FHLMC Multifamily Structured Pass Through Certificates, Series K042, Class A2, 2.670%, 12/25/2024 | 672,795 | ||||||||
| 1,084,293 | FHLMC Multifamily Structured Pass Through Certificates, Series KJ26, Class A2, 2.606%, 7/25/2027 | 1,019,800 | ||||||||
| 1,738 | FHLMC Multifamily Structured Pass Through Certificates, Series KJ28, Class A1, 1.766%, 2/25/2025 | 1,723 | ||||||||
|
| |||||||||
| 2,034,094 | ||||||||||
|
| |||||||||
| Automotive – 2.3% |
| |||||||||
| 300,000 | American Honda Finance Corp., MTN, 2.250%, 1/12/2029 | 257,309 | ||||||||
| 145,000 | American Honda Finance Corp., MTN, 3.625%, 10/10/2023 | 143,982 | ||||||||
| 665,000 | Denso Corp., 1.239%, 9/16/2026, 144A | 577,783 | ||||||||
| 875,000 | General Motors Financial Co., Inc., 6.050%, 10/10/2025 | 890,000 | ||||||||
| 295,000 | Harley-Davidson Financial Services, Inc., 3.350%, 6/08/2025, 144A | 274,948 | ||||||||
| 645,000 | Hyundai Capital America, 2.100%, 9/15/2028, 144A | 529,378 | ||||||||
| 195,000 | Hyundai Capital America, 2.375%, 2/10/2023, 144A | 194,560 | ||||||||
| 240,000 | Kia Corp., 1.000%, 4/16/2024, 144A | 225,900 | ||||||||
| 160,000 | Mercedes-Benz Finance North America LLC, 3.350%, 2/22/2023, 144A | 159,406 | ||||||||
| 275,000 | Nissan Motor Acceptance Co. LLC, 3.450%, 3/15/2023, 144A | 273,810 | ||||||||
| 105,000 | PACCAR Financial Corp., MTN, 0.800%, 6/08/2023 | 103,110 | ||||||||
| 955,000 | PACCAR Financial Corp., MTN, 1.900%, 2/07/2023 | 952,208 | ||||||||
| 445,000 | Stellantis Finance U.S., Inc., 6.375%, 9/12/2032, 144A | 439,295 | ||||||||
| 1,020,000 | Toyota Motor Credit Corp., 5.450%, 11/10/2027 | 1,042,848 | ||||||||
| 275,000 | Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A | 262,627 | ||||||||
| 290,000 | Volkswagen Group of America Finance LLC, 4.250%, 11/13/2023, 144A | 287,163 | ||||||||
| 295,000 | Volkswagen Group of America Finance LLC, 4.350%, 6/08/2027, 144A | 282,767 | ||||||||
|
| |||||||||
| 6,897,094 | ||||||||||
|
| |||||||||
| Banking – 21.6% |
| |||||||||
| 500,000 | ABN AMRO Bank NV, (fixed rate to 12/13/2028, variable rate thereafter), 2.470%, 12/13/2029, 144A | 404,314 | ||||||||
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
| Banking – continued |
| |||||||||
| $ | 1,060,000 | AIB Group PLC, (fixed rate to 10/14/2025, variable rate thereafter), 7.583%, 10/14/2026, 144A | $ | 1,079,293 | ||||||
| 850,000 | Ally Financial, Inc., 4.750%, 6/09/2027 | 796,719 | ||||||||
| 735,000 | Ally Financial, Inc., 7.100%, 11/15/2027 | 747,762 | ||||||||
| 545,000 | American Express Co., 5.850%, 11/05/2027 | 567,362 | ||||||||
| 820,000 | American Express Co., (fixed rate to 8/03/2032, variable rate thereafter), 4.420%, 8/03/2033 | 774,584 | ||||||||
| 525,000 | ANZ New Zealand International Ltd., 2.166%, 2/18/2025, 144A | 492,554 | ||||||||
| 1,055,000 | ASB Bank Ltd., 5.398%, 11/29/2027, 144A | 1,055,063 | ||||||||
| 565,000 | ASB Bank Ltd., (fixed rate to 6/17/2027, variable rate thereafter), 5.284%, 6/17/2032, 144A | 533,408 | ||||||||
| 1,505,000 | Australia & New Zealand Banking Group Ltd., 5.088%, 12/08/2025 | 1,511,040 | ||||||||
| 800,000 | Banco Bilbao Vizcaya Argentaria S.A., 0.875%, 9/18/2023 | 774,728 | ||||||||
| 400,000 | Banco Santander S.A, 5.294%, 8/18/2027 | 390,543 | ||||||||
| 800,000 | Banco Santander S.A., 3.892%, 5/24/2024 | 783,150 | ||||||||
| 505,000 | Bank of America Corp., (fixed rate to 11/10/2027, variable rate thereafter), 6.204%, 11/10/2028 | 521,398 | ||||||||
| 840,000 | Bank of America Corp., (fixed rate to 4/02/2025, variable rate thereafter), MTN, 3.384%, 4/02/2026 | 802,233 | ||||||||
| 395,000 | Bank of Ireland Group PLC, 4.500%, 11/25/2023, 144A | 390,883 | ||||||||
| 315,000 | Bank of Ireland Group PLC, (fixed rate to 9/16/2025, variable rate thereafter), 6.253%, 9/16/2026, 144A | 312,475 | ||||||||
| 910,000 | Bank of Ireland Group PLC, (fixed rate to 9/30/2026, variable rate thereafter), 2.029%, 9/30/2027, 144A | 767,865 | ||||||||
| 1,055,000 | Bank of Montreal, Series H, MTN, 4.700%, 9/14/2027 | 1,043,896 | ||||||||
| 1,495,000 | Bank of New York Mellon (The), (fixed rate to 11/21/2024, variable rate thereafter), MTN, 5.224%, 11/21/2025 | 1,493,744 | ||||||||
| 655,000 | Bank of New York Mellon Corp. (The), MTN, 1.600%, 4/24/2025 | 608,621 | ||||||||
| 295,000 | Bank of New York Mellon Corp. (The), MTN, 1.800%, 7/28/2031 | 227,687 | ||||||||
| 635,000 | Bank of New Zealand, 2.000%, 2/21/2025, 144A | 593,246 | ||||||||
| 690,000 | Bank of New Zealand, 2.285%, 1/27/2027, 144A | 614,325 | ||||||||
| 200,000 | Banque Federative du Credit Mutuel S.A., 2.375%, 11/21/2024, 144A | 189,093 | ||||||||
| 840,000 | Banque Federative du Credit Mutuel S.A., 4.753%, 7/13/2027, 144A | 818,846 | ||||||||
| 1,025,000 | Barclays PLC, (fixed rate to 11/02/2032, variable rate thereafter), 7.437%, 11/02/2033 | 1,073,996 | ||||||||
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
| Banking – continued |
| |||||||||
| $ | 485,000 | Barclays PLC, (fixed rate to 5/16/2023, variable rate thereafter), 4.338%, 5/16/2024 | $ | 481,623 | ||||||
| 455,000 | Barclays PLC, (fixed rate to 8/09/2027, variable rate thereafter), 5.501%, 8/09/2028 | 440,684 | ||||||||
| 865,000 | Canadian Imperial Bank of Commerce, 3.945%, 8/04/2025 | 844,825 | ||||||||
| 170,000 | Capital One Financial Corp., (fixed rate to 11/02/2031, variable rate thereafter), 2.618%, 11/02/2032 | 130,173 | ||||||||
| 1,015,000 | Capital One Financial Corp., (fixed rate to 12/06/2023, variable rate thereafter), 1.343%, 12/06/2024 | 971,713 | ||||||||
| 255,000 | Capital One Financial Corp., (fixed rate to 7/29/2031, variable rate thereafter), 2.359%, 7/29/2032 | 183,414 | ||||||||
| 510,000 | Citigroup, Inc., (fixed rate to 4/08/2025, variable rate thereafter), 3.106%, 4/08/2026 | 482,757 | ||||||||
| 230,000 | Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025 | 215,381 | ||||||||
| 815,000 | Citizens Financial Group, Inc., (fixed rate to 5/21/2032, variable rate thereafter), 5.641%, 5/21/2037 | 757,520 | ||||||||
| 225,000 | Comerica, Inc., 3.700%, 7/31/2023 | 223,347 | ||||||||
| 535,000 | Cooperatieve Rabobank U.A., (fixed rate to 12/15/2026, variable rate thereafter), 1.980%, 12/15/2027, 144A | 465,017 | ||||||||
| 750,000 | Credit Agricole S.A., (fixed rate to 6/16/2025, variable rate thereafter), 1.907%, 6/16/2026, 144A | 683,644 | ||||||||
| 880,000 | Credit Suisse AG, 5.000%, 7/09/2027 | 802,075 | ||||||||
| 1,210,000 | Credit Suisse Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028, 144A | 1,102,141 | ||||||||
| 500,000 | Danske Bank A/S, 3.875%, 9/12/2023, 144A | 493,742 | ||||||||
| 390,000 | Danske Bank A/S, (fixed rate to 3/28/2024, variable rate thereafter), 3.773%, 3/28/2025, 144A | 377,890 | ||||||||
| 800,000 | Danske Bank A/S, (fixed rate to 9/10/2024, variable rate thereafter), 0.976%, 9/10/2025, 144A | 730,394 | ||||||||
| 755,000 | Deutsche Bank AG, 5.371%, 9/09/2027 | 756,684 | ||||||||
| 265,000 | Deutsche Bank AG, (fixed rate to 7/14/2025, variable rate thereafter), 6.119%, 7/14/2026 | 263,227 | ||||||||
| 590,000 | DNB Bank ASA, (fixed rate to 9/16/2025, variable rate thereafter), 1.127%, 9/16/2026, 144A | 520,857 | ||||||||
| 1,175,000 | Fifth Third Bancorp, (fixed rate to 10/27/2027, variable rate thereafter), 6.361%, 10/27/2028 | 1,208,951 | ||||||||
| 1,190,000 | Goldman Sachs Group, Inc. (The), 5.700%, 11/01/2024 | 1,204,163 | ||||||||
| 485,000 | Goldman Sachs Group, Inc. (The), (fixed rate to 10/21/2026, variable rate thereafter), 1.948%, 10/21/2027 | 423,269 | ||||||||
| 1,025,000 | HSBC Holdings PLC, (fixed rate to 11/03/2032, variable rate thereafter), 8.113%, 11/03/2033 | 1,084,532 | ||||||||
| 1,405,000 | HSBC USA, Inc., 3.750%, 5/24/2024 | 1,377,546 | ||||||||
| 1,025,000 | Huntington National Bank (The), 5.650%, 1/10/2030 | 1,032,825 | ||||||||
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
| Banking – continued |
| |||||||||
| $ | 495,000 | Intesa Sanpaolo SpA, 7.000%, 11/21/2025, 144A | $ | 505,578 | ||||||
| 1,470,000 | JPMorgan Chase & Co., (fixed rate to 12/15/2024, variable rate thereafter), 5.546%, 12/15/2025 | 1,470,026 | ||||||||
| 550,000 | JPMorgan Chase & Co., (fixed rate to 6/01/2028, variable rate thereafter), 2.069%, 6/01/2029 | 459,354 | ||||||||
| 1,300,000 | KeyBank NA, 5.850%, 11/15/2027 | 1,341,834 | ||||||||
| 280,000 | Lloyds Banking Group PLC, (fixed rate to 3/18/2025, variable rate thereafter), 3.511%, 3/18/2026 | 266,009 | ||||||||
| 375,000 | Lloyds Banking Group PLC, (fixed rate to 7/09/2024, variable rate thereafter), 3.870%, 7/09/2025 | 362,951 | ||||||||
| 390,000 | Macquarie Group Ltd., (fixed rate to 11/09/2032, variable rate thereafter), 5.491%, 11/09/2033, 144A | 367,436 | ||||||||
| 295,000 | Mitsubishi UFJ Financial Group, Inc., (fixed rate to 9/13/2027, variable rate thereafter), 5.354%, 9/13/2028 | 292,654 | ||||||||
| 1,500,000 | National Australia Bank Ltd., 5.132%, 11/22/2024 | 1,506,037 | ||||||||
| 1,130,000 | National Bank of Canada, (fixed rate to 6/09/2024, variable rate thereafter), 3.750%, 6/09/2025 | 1,099,388 | ||||||||
| 595,000 | Nationwide Building Society, 4.850%, 7/27/2027, 144A | 579,852 | ||||||||
| 620,000 | Nationwide Building Society, (fixed rate to 3/08/2023, variable rate thereafter), 3.766%, 3/08/2024, 144A | 616,600 | ||||||||
| 1,215,000 | NatWest Markets PLC, 1.600%, 9/29/2026, 144A | 1,054,979 | ||||||||
| 1,305,000 | Nordea Bank Abp, 1.500%, 9/30/2026, 144A | 1,126,866 | ||||||||
| 210,000 | Northern Trust Corp., (fixed rate to 5/08/2027, variable rate thereafter), 3.375%, 5/08/2032 | 190,736 | ||||||||
| 345,000 | PNC Financial Services Group, Inc. (The), (fixed rate to 10/28/2032, variable rate thereafter), 6.037%, 10/28/2033 | 359,179 | ||||||||
| 700,000 | PNC Financial Services Group, Inc. (The), (fixed rate to 12/02/2027, variable rate thereafter), 5.354%, 12/02/2028 | 705,509 | ||||||||
| 970,000 | Royal Bank of Canada, 6.000%, 11/01/2027 | 1,011,167 | ||||||||
| 690,000 | Santander Holdings USA, Inc., 3.450%, 6/02/2025 | 657,494 | ||||||||
| 375,000 | Santander Holdings USA, Inc., (fixed rate to 9/09/2025, variable rate thereafter), 5.807%, 9/09/2026 | 372,171 | ||||||||
| 1,030,000 | Santander U.K. Group Holdings PLC, (fixed rate to 11/21/2025, variable rate thereafter), 6.833%, 11/21/2026 | 1,043,309 | ||||||||
| 470,000 | Societe Generale S.A., 4.677%, 6/15/2027, 144A | 458,006 | ||||||||
| 390,000 | Standard Chartered PLC, (fixed rate to 1/12/2027, variable rate thereafter), 2.608%, 1/12/2028, 144A | 338,438 | ||||||||
| 425,000 | Standard Chartered PLC, (fixed rate to 11/16/2024, variable rate thereafter), 7.776%, 11/16/2025, 144A | 437,706 | ||||||||
| 375,000 | Standard Chartered PLC, (fixed rate to 6/29/2031, variable rate thereafter), 2.678%, 6/29/2032, 144A | 282,540 | ||||||||
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
| Banking – continued |
| |||||||||
| $ | 255,000 | State Street Corp., (fixed rate to 11/04/2027, variable rate thereafter), 5.820%, 11/04/2028 | $ | 263,332 | ||||||
| 1,015,000 | Sumitomo Mitsui Financial Group, Inc., 1.902%, 9/17/2028 | 836,376 | ||||||||
| 840,000 | Sumitomo Mitsui Trust Bank Ltd., 0.850%, 3/25/2024, 144A | 794,476 | ||||||||
| 200,000 | Sumitomo Mitsui Trust Bank Ltd., 2.550%, 3/10/2025, 144A | 188,489 | ||||||||
| 945,000 | Swedbank AB, 5.337%, 9/20/2027, 144A | 937,194 | ||||||||
| 560,000 | Synchrony Bank, 5.400%, 8/22/2025 | 552,440 | ||||||||
| 851,000 | Synchrony Financial, 4.875%, 6/13/2025 | 829,180 | ||||||||
| 410,000 | Truist Financial Corp., (fixed rate to 7/28/2032, variable rate thereafter), MTN, 4.916%, 7/28/2033 | 384,577 | ||||||||
| 260,000 | Truist Financial Corp., MTN, (fixed rate to 6/07/2028, variable rate thereafter), 1.887%, 6/07/2029 | 217,628 | ||||||||
| 975,000 | UBS Group AG, (fixed rate to 8/05/2026, variable rate thereafter), 4.703%, 8/05/2027, 144A | 944,161 | ||||||||
| 585,000 | UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026, 144A | 518,032 | ||||||||
| 1,470,000 | Wells Fargo & Co., (fixed rate to 4/25/2025, variable rate thereafter), MTN, 3.908%, 4/25/2026 | 1,428,704 | ||||||||
| 1,055,000 | Wells Fargo & Co., (fixed rate to 8/15/2025, variable rate thereafter), MTN, 4.540%, 8/15/2026 | 1,034,807 | ||||||||
| 1,165,000 | Westpac Banking Corp., 5.457%, 11/18/2027 | 1,189,779 | ||||||||
| 805,000 | Westpac Banking Corp., (fixed rate to 8/10/2032, variable rate thereafter), 5.405%, 8/10/2033 | 751,645 | ||||||||
|
| |||||||||
| 64,403,861 | ||||||||||
|
| |||||||||
| Brokerage – 1.2% |
| |||||||||
| 595,000 | Ares Finance Co. IV LLC, 3.650%, 2/01/2052, 144A | 361,918 | ||||||||
| 600,000 | Blackstone Holdings Finance Co. LLC, 5.900%, 11/03/2027, 144A | 604,492 | ||||||||
| 565,000 | Blue Owl Finance LLC, 4.375%, 2/15/2032, 144A | 451,539 | ||||||||
| 195,000 | KKR Group Finance Co. XII LLC, 4.850%, 5/17/2032, 144A | 182,059 | ||||||||
| 1,010,000 | National Securities Clearing Corp., 5.100%, 11/21/2027, 144A | 1,015,843 | ||||||||
| 1,205,000 | Nomura Holdings, Inc., 2.329%, 1/22/2027 | 1,054,884 | ||||||||
|
| |||||||||
| 3,670,735 | ||||||||||
|
| |||||||||
| Building Materials – 0.2% |
| |||||||||
| 440,000 | Ferguson Finance PLC, 4.650%, 4/20/2032, 144A | 401,544 | ||||||||
| 340,000 | Fortune Brands Innovations, Inc., 4.000%, 3/25/2032 | 294,794 | ||||||||
|
| |||||||||
| 696,338 | ||||||||||
|
| |||||||||
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
| Chemicals – 0.8% |
| |||||||||
| $ | 260,000 | Cabot Corp., 4.000%, 7/01/2029 | $ | 232,575 | ||||||
| 310,000 | Cabot Corp., 5.000%, 6/30/2032 | 286,626 | ||||||||
| 175,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 | 170,037 | ||||||||
| 455,000 | Ecolab, Inc., 5.250%, 1/15/2028 | 463,580 | ||||||||
| 960,000 | Nutrien Ltd., 1.900%, 5/13/2023 | 949,030 | ||||||||
| 330,000 | Nutrien Ltd., 5.900%, 11/07/2024 | 334,147 | ||||||||
|
| |||||||||
| 2,435,995 | ||||||||||
|
| |||||||||
| Collateralized Mortgage Obligations – 1.1% |
| |||||||||
| 245,248 | Government National Mortgage Association, Series 2010-H02, Class FA, 1-month LIBOR + 0.680%, 4.735%, 2/20/2060(b) | 243,552 | ||||||||
| 150,619 | Government National Mortgage Association, Series 2010-H03, Class FA, 1-month LIBOR + 0.550%, 4.605%, 3/20/2060(b) | 149,717 | ||||||||
| 100,621 | Government National Mortgage Association, Series 2014-H14, Class FA, 1-month LIBOR + 0.500%, 3.643%, 7/20/2064(b) | 99,620 | ||||||||
| 86,011 | Government National Mortgage Association, Series 2014-H15, Class FA, 1-month LIBOR + 0.500%, 4.342%, 7/20/2064(b) | 85,077 | ||||||||
| 210 | Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065(c) | 189 | ||||||||
| 206,667 | Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065 | 199,268 | ||||||||
| 308,765 | Government National Mortgage Association, Series 2016-H06, Class FC, 1-month LIBOR + 0.920%, 3.554%, 2/20/2066(b) | 304,336 | ||||||||
| 818,043 | Government National Mortgage Association, Series 2018-H17, Class JA, 3.750%, 9/20/2068(a) | 779,984 | ||||||||
| 205,417 | Government National Mortgage Association, Series 2019-H01, Class FL, 1-month LIBOR + 0.450%, 4.292%, 12/20/2068(b) | 203,053 | ||||||||
| 599,067 | Government National Mortgage Association, Series 2019-H01, Class FT, 1-month LIBOR + 0.400%, 4.242%, 10/20/2068(b) | 595,509 | ||||||||
| 625,133 | Government National Mortgage Association, Series 2019-H10, Class FM, 1-month LIBOR + 0.400%, 4.242%, 5/20/2069(b) | 614,982 | ||||||||
|
| |||||||||
| 3,275,287 | ||||||||||
|
| |||||||||
| Construction Machinery – 1.1% |
| |||||||||
| 545,000 | Caterpillar Financial Services Corp., MTN, 3.600%, 8/12/2027 | 520,046 | ||||||||
| 930,000 | Caterpillar Financial Services Corp., MTN, 4.900%, 1/17/2025 | 932,455 | ||||||||
| 300,000 | CNH Industrial Capital LLC, 1.950%, 7/02/2023 | 294,883 | ||||||||
| 945,000 | CNH Industrial Capital LLC, 3.950%, 5/23/2025 | 916,675 | ||||||||
| 395,000 | CNH Industrial Capital LLC, 5.450%, 10/14/2025 | 395,866 | ||||||||
| 245,000 | Komatsu Finance America, Inc., 5.499%, 10/06/2027, 144A | 249,291 | ||||||||
|
| |||||||||
| 3,309,216 | ||||||||||
|
| |||||||||
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
| Consumer Cyclical Services – 0.2% |
| |||||||||
| $ | 505,000 | eBay, Inc., 5.950%, 11/22/2027 | $ | 518,560 | ||||||
| 165,000 | Expedia Group, Inc., 6.250%, 5/01/2025, 144A | 166,399 | ||||||||
|
| |||||||||
| 684,959 | ||||||||||
|
| |||||||||
| Consumer Products – 0.2% |
| |||||||||
| 385,000 | Brunswick Corp., 4.400%, 9/15/2032 | 324,995 | ||||||||
| 495,000 | JAB Holdings BV, 4.500%, 4/08/2052, 144A | 335,769 | ||||||||
|
| |||||||||
| 660,764 | ||||||||||
|
| |||||||||
| Diversified Manufacturing – 0.3% |
| |||||||||
| 360,000 | Honeywell International, Inc., 5.000%, 2/15/2033 | 366,674 | ||||||||
| 225,000 | Kennametal, Inc., 4.625%, 6/15/2028 | 211,073 | ||||||||
| 275,000 | WW Grainger, Inc., 1.850%, 2/15/2025 | 258,161 | ||||||||
|
| |||||||||
| 835,908 | ||||||||||
|
| |||||||||
| Electric – 4.6% |
| |||||||||
| 435,000 | AES Corp. (The), 3.300%, 7/15/2025, 144A | 410,162 | ||||||||
| 360,000 | Alliant Energy Finance LLC, 4.250%, 6/15/2028, 144A | 332,851 | ||||||||
| 550,000 | American Electric Power Co., Inc., 2.031%, 3/15/2024 | 530,302 | ||||||||
| 120,000 | Consolidated Edison Co. of New York, Inc., Series B, 2.900%, 12/01/2026 | 109,642 | ||||||||
| 225,000 | Dominion Energy, Inc., 3.071%, 8/15/2024 | 216,805 | ||||||||
| 1,025,000 | Dominion Energy, Inc., 5.375%, 11/15/2032 | 1,015,965 | ||||||||
| 980,000 | DTE Energy Co., 4.220%, 11/01/2024 | 963,290 | ||||||||
| 1,135,000 | Duke Energy Carolinas LLC, 3.050%, 3/15/2023 | 1,131,105 | ||||||||
| 1,110,000 | Edison International, 4.700%, 8/15/2025 | 1,086,084 | ||||||||
| 310,000 | Edison International, 6.950%, 11/15/2029 | 323,727 | ||||||||
| 820,000 | Enel Finance International NV, 5.000%, 6/15/2032, 144A | 738,514 | ||||||||
| 605,000 | Entergy Corp., 0.900%, 9/15/2025 | 538,760 | ||||||||
| 188,000 | National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043 | 174,355 | ||||||||
| 900,000 | NextEra Energy Capital Holdings, Inc., 0.650%, 3/01/2023 | 893,837 | ||||||||
| 905,000 | NextEra Energy Capital Holdings, Inc., 4.255%, 9/01/2024 | 892,717 | ||||||||
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
| Electric – continued |
| |||||||||
| $ | 825,000 | Oncor Electric Delivery Co. LLC, 2.750%, 5/15/2030 | $ | 718,471 | ||||||
| 525,000 | Pacific Gas & Electric Co., 4.950%, 6/08/2025 | 516,896 | ||||||||
| 235,000 | Public Service Enterprise Group, Inc., 2.875%, 6/15/2024 | 226,947 | ||||||||
| 365,000 | Public Service Enterprise Group, Inc., 5.850%, 11/15/2027 | 375,602 | ||||||||
| 275,000 | Puget Energy, Inc., 4.224%, 3/15/2032 | 244,048 | ||||||||
| 730,000 | Vistra Operations Co. LLC, 5.125%, 5/13/2025, 144A | 714,509 | ||||||||
| 1,540,000 | WEC Energy Group, Inc., 0.550%, 9/15/2023 | 1,493,098 | ||||||||
|
| |||||||||
| 13,647,687 | ||||||||||
|
| |||||||||
| Finance Companies – 3.2% |
| |||||||||
| 510,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.150%, 2/15/2024 | 492,995 | ||||||||
| 360,000 | Air Lease Corp., 1.875%, 8/15/2026 | 312,673 | ||||||||
| 370,000 | Air Lease Corp., 5.850%, 12/15/2027 | 369,579 | ||||||||
| 555,000 | Aircastle Ltd., 2.850%, 1/26/2028, 144A | 453,910 | ||||||||
| 500,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 400,915 | ||||||||
| 50,000 | Ares Capital Corp., 4.250%, 3/01/2025 | 47,391 | ||||||||
| 305,000 | Aviation Capital Group LLC, 3.875%, 5/01/2023, 144A | 302,519 | ||||||||
| 225,000 | Aviation Capital Group LLC, 4.375%, 1/30/2024, 144A | 219,350 | ||||||||
| 545,000 | Bain Capital Specialty Finance, Inc., 2.550%, 10/13/2026 | 449,003 | ||||||||
| 200,000 | Barings BDC, Inc., 3.300%, 11/23/2026 | 169,516 | ||||||||
| 1,115,000 | Blackstone Private Credit Fund, 2.625%, 12/15/2026 | 922,913 | ||||||||
| 615,000 | Blackstone Secured Lending Fund, 2.850%, 9/30/2028 | 477,502 | ||||||||
| 650,000 | FS KKR Capital Corp., 3.125%, 10/12/2028 | 524,010 | ||||||||
| 685,000 | Golub Capital BDC, Inc., 2.500%, 8/24/2026 | 581,562 | ||||||||
| 695,000 | Hercules Capital, Inc., 3.375%, 1/20/2027 | 595,851 | ||||||||
| 785,000 | Main Street Capital Corp., 3.000%, 7/14/2026 | 676,516 | ||||||||
| 450,000 | Morgan Stanley Direct Lending Fund, 4.500%, 2/11/2027 | 415,566 | ||||||||
| 260,000 | Owl Rock Capital Corp., 3.750%, 7/22/2025 | 240,217 | ||||||||
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
| Finance Companies – continued |
| |||||||||
| $ | 90,000 | Owl Rock Capital Corp., 4.250%, 1/15/2026 | $ | 82,622 | ||||||
| 425,000 | Owl Rock Core Income Corp., 5.500%, 3/21/2025 | 411,996 | ||||||||
| 140,000 | OWL Rock Core Income Corp., 7.750%, 9/16/2027, 144A | 139,547 | ||||||||
| 955,000 | Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A | 864,733 | ||||||||
| 520,000 | USAA Capital Corp., 3.375%, 5/01/2025, 144A | 501,585 | ||||||||
|
| |||||||||
| 9,652,471 | ||||||||||
|
| |||||||||
| Financial Other – 0.2% |
| |||||||||
| 470,000 | LeasePlan Corp. NV, 2.875%, 10/24/2024, 144A | 440,973 | ||||||||
| 185,000 | ORIX Corp., 3.250%, 12/04/2024 | 178,167 | ||||||||
|
| |||||||||
| 619,140 | ||||||||||
|
| |||||||||
| Food & Beverage – 0.9% |
| |||||||||
| 725,000 | General Mills, Inc., 5.241%, 11/18/2025 | 726,805 | ||||||||
| 965,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.750%, 4/01/2033, 144A | 920,398 | ||||||||
| 915,000 | Pernod Ricard International Finance LLC, 1.250%, 4/01/2028, 144A | 755,059 | ||||||||
| 340,000 | Viterra Finance BV, 2.000%, 4/21/2026, 144A | 294,847 | ||||||||
|
| |||||||||
| 2,697,109 | ||||||||||
|
| |||||||||
| Government Owned - No Guarantee – 0.4% |
| |||||||||
| 800,000 | Antares Holdings LP, 3.750%, 7/15/2027, 144A | 646,717 | ||||||||
| 350,000 | BOC Aviation USA Corp., 1.625%, 4/29/2024, 144A | 332,212 | ||||||||
| 325,000 | DAE Funding LLC, 1.550%, 8/01/2024, 144A | 302,026 | ||||||||
|
| |||||||||
| 1,280,955 | ||||||||||
|
| |||||||||
| Health Insurance – 0.3% |
| |||||||||
| 855,000 | UnitedHealth Group, Inc., 5.150%, 10/15/2025 | 864,752 | ||||||||
|
| |||||||||
| Healthcare – 0.5% |
| |||||||||
| 227,000 | Cigna Corp., 3.750%, 7/15/2023 | 225,502 | ||||||||
| 92,000 | CVS Health Corp., 4.300%, 3/25/2028 | 88,987 | ||||||||
| 755,000 | GE HealthCare Technologies, Inc., 5.550%, 11/15/2024, 144A | 757,718 | ||||||||
| 380,000 | Illumina, Inc., 5.750%, 12/13/2027 | 384,733 | ||||||||
|
| |||||||||
| 1,456,940 | ||||||||||
|
| |||||||||
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
| Hybrid ARMs – 0.0% |
| |||||||||
| $ | 32,874 | FHLMC, 1-year CMT + 2.500%, 3.880%, 5/01/2036(b) | $ | 33,484 | ||||||
| 16,077 | FHLMC, 1-year CMT + 2.225%, 3.987%, 1/01/2035(b) | 16,325 | ||||||||
|
| |||||||||
| 49,809 | ||||||||||
|
| |||||||||
| Independent Energy – 0.3% |
| |||||||||
| 530,000 | Pioneer Natural Resources Co., 0.550%, 5/15/2023 | 521,272 | ||||||||
| 345,000 | Var Energi ASA, 8.000%, 11/15/2032, 144A | 356,288 | ||||||||
|
| |||||||||
| 877,560 | ||||||||||
|
| |||||||||
| Life Insurance – 6.1% |
| |||||||||
| 635,000 | Athene Global Funding, 2.500%, 3/24/2028, 144A | 529,126 | ||||||||
| 580,000 | Athene Holding Ltd., 6.650%, 2/01/2033 | 573,548 | ||||||||
| 410,000 | Brighthouse Financial Global Funding, 1.200%, 12/15/2023, 144A | 392,868 | ||||||||
| 780,000 | Brighthouse Financial Global Funding, 1.750%, 1/13/2025, 144A | 718,304 | ||||||||
| 985,000 | CNO Global Funding, 2.650%, 1/06/2029, 144A | 833,310 | ||||||||
| 535,000 | Corebridge Global Funding, 0.900%, 9/22/2025, 144A | 477,618 | ||||||||
| 355,000 | Equitable Financial Life Global Funding, 1.800%, 3/08/2028, 144A | 295,294 | ||||||||
| 1,155,000 | Equitable Financial Life Global Funding, 5.500%, 12/02/2025, 144A | 1,152,378 | ||||||||
| 615,000 | F&G Global Funding, 2.000%, 9/20/2028, 144A | 506,944 | ||||||||
| 1,170,000 | F&G Global Funding, 5.150%, 7/07/2025, 144A | 1,145,594 | ||||||||
| 230,000 | GA Global Funding Trust, 1.250%, 12/08/2023, 144A | 220,678 | ||||||||
| 995,000 | GA Global Funding Trust, 2.250%, 1/06/2027, 144A | 875,826 | ||||||||
| 665,000 | Great-West Lifeco U.S. Finance LP, 0.904%, 8/12/2025, 144A | 591,412 | ||||||||
| 1,370,000 | Guardian Life Global Funding, 1.100%, 6/23/2025, 144A | 1,240,854 | ||||||||
| 65,000 | Guardian Life Global Funding, 5.550%, 10/28/2027, 144A | 66,306 | ||||||||
| 955,000 | Jackson National Life Global Funding, 1.750%, 1/12/2025, 144A | 886,322 | ||||||||
| 155,000 | Jackson National Life Global Funding, 3.875%, 6/11/2025, 144A | 148,806 | ||||||||
| 340,000 | Lincoln National Corp., 3.400%, 3/01/2032 | 275,119 | ||||||||
| 380,000 | MassMutual Global Funding II, 4.150%, 8/26/2025, 144A | 371,640 | ||||||||
| 930,000 | MassMutual Global Funding II, 5.050%, 12/07/2027, 144A | 934,515 | ||||||||
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
| Life Insurance – continued |
| |||||||||
| $ | 795,000 | Metropolitan Life Global Funding I, 0.900%, 6/08/2023, 144A | $ | 781,803 | ||||||
| 700,000 | Metropolitan Life Global Funding I, 0.950%, 7/02/2025, 144A | 635,005 | ||||||||
| 1,070,000 | New York Life Global Funding, 2.875%, 4/10/2024, 144A | 1,041,262 | ||||||||
| 745,000 | Protective Life Global Funding, 1.646%, 1/13/2025, 144A | 687,996 | ||||||||
| 765,000 | Protective Life Global Funding, 4.714%, 7/06/2027, 144A | 742,388 | ||||||||
| 655,000 | Reliance Standard Life Global Funding II, 2.750%, 5/07/2025, 144A | 614,809 | ||||||||
| 175,000 | Reliance Standard Life Global Funding II, 3.850%, 9/19/2023, 144A | 172,722 | ||||||||
| 770,000 | RGA Global Funding, 2.700%, 1/18/2029, 144A | 652,151 | ||||||||
| 755,000 | Security Benefit Global Funding, 1.250%, 5/17/2024, 144A | 708,321 | ||||||||
|
| |||||||||
| 18,272,919 | ||||||||||
|
| |||||||||
| Lodging – 0.1% |
| |||||||||
| 350,000 | Marriott International, Inc., Series Z, 4.150%, 12/01/2023 | 346,262 | ||||||||
|
| |||||||||
| Media Entertainment – 0.2% | ||||||||||
| 550,000 | Prosus NV, 4.193%, 1/19/2032, 144A | 455,327 | ||||||||
|
| |||||||||
| Metals & Mining – 0.5% | ||||||||||
| 200,000 | Anglo American Capital PLC, 3.875%, 3/16/2029, 144A | 179,557 | ||||||||
| 860,000 | ArcelorMittal S.A., 6.550%, 11/29/2027 | 864,046 | ||||||||
| 155,000 | Glencore Funding LLC, 4.125%, 3/12/2024, 144A | 152,515 | ||||||||
| 395,000 | Nucor Corp., 3.950%, 5/23/2025 | 386,457 | ||||||||
|
| |||||||||
| 1,582,575 | ||||||||||
|
| |||||||||
| Midstream – 0.3% |
| |||||||||
| 25,000 | Energy Transfer LP, 4.250%, 3/15/2023 | 24,939 | ||||||||
| 230,000 | Energy Transfer LP, 5.750%, 2/15/2033 | 225,023 | ||||||||
| 255,000 | MPLX LP, 4.950%, 3/14/2052 | 208,295 | ||||||||
| 370,000 | Targa Resources Corp., 5.200%, 7/01/2027 | 362,649 | ||||||||
|
| |||||||||
| 820,906 | ||||||||||
|
| |||||||||
| Mortgage Related – 0.7% |
| |||||||||
| 735 | FHLMC, 3.000%, 10/01/2026 | 713 | ||||||||
Principal | Description | Value (†) | ||||||||
| Bonds and Notes – continued | ||||||||||
| Mortgage Related – continued |
| |||||||||
| $ | 27 | FHLMC, 6.500%, 1/01/2024 | $ | 28 | ||||||
| 14 | FHLMC, 8.000%, 7/01/2025 | 14 | ||||||||
| 4,874 | GNMA, 3.890%, 10/20/2062(a) | 4,595 | ||||||||
| 5,888 | GNMA, 3.992%, 5/20/2062(a) | 5,652 | ||||||||
| 13,249 | GNMA, 4.015%, 4/20/2063(a) | 12,727 | ||||||||
| 44,231 | GNMA, 4.255%, 11/20/2066(a) | 43,146 | ||||||||
| 19,535 | GNMA, 4.304%, 6/20/2066(a) | 18,966 | ||||||||
| 40,285 | GNMA, 4.388%, 9/20/2066(a) | 39,259 | ||||||||
| 53,403 | GNMA, 4.428%, 10/20/2066(a) | 52,147 | ||||||||
| 142,185 | GNMA, 4.438%, 10/20/2066(a) | 139,042 | ||||||||
| 36,094 | GNMA, 4.470%, 8/20/2066(a) | 35,348 | ||||||||
| 118,888 | GNMA, 4.491%, 9/20/2066(a) | 116,548 | ||||||||
| 62,637 | GNMA, 4.504%, 11/20/2066(a) | 61,293 | ||||||||
| 4,416 | GNMA, 4.539%, 11/20/2064(a) | 4,341 | ||||||||
| 50,926 | GNMA, 4.586%, 10/20/2066(a) | 49,991 | ||||||||
| 277,231 | GNMA, 4.600%, 7/20/2067(a) | 271,886 | ||||||||
| 713,484 | GNMA, 4.644%, 4/20/2067(a) | 701,024 | ||||||||
| 450,019 | GNMA, 4.673%, 1/20/2067(a) | 442,615 | ||||||||
| 93,530 | GNMA, 4.700%, with various maturities from 2061 to 2064(a)(d) | 92,540 | ||||||||
| 67 | GNMA, 6.500%, 12/15/2023 | 69 | ||||||||
|
| |||||||||
| 2,091,944 | ||||||||||
|
| |||||||||
| Natural Gas – 0.1% |
| |||||||||
| 290,000 | Sempra Energy, 3.700%, 4/01/2029 | 264,330 | ||||||||
|
| |||||||||
| Non-Agency Commercial Mortgage-Backed Securities – 5.7% |
| |||||||||
| 230,000 | BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062 | 199,811 | ||||||||
| 270,000 | BANK, Series 2020-BN25, Class A5, 2.649%, 1/15/2063 | 229,462 | ||||||||
| 870,000 | BANK, Series 2021-BN37, Class A5, 2.618%, 11/15/2064(a) | 716,247 | ||||||||
Principal | Description | Value (†) | ||||||||
| Bonds and Notes – continued | ||||||||||
| Non-Agency Commercial Mortgage-Backed Securities – continued |
| |||||||||
| $ | 660,000 | Barclays Commercial Mortgage Securities Trust, Series 2020-BID, Class A, 1-month LIBOR + 2.140%, 6.458%, 10/15/2037, 144A(b) | $ | 636,964 | ||||||
| 865,000 | BBCMS Mortgage Trust, Series 2021-C12, Class A5, 2.689%, 11/15/2054 | 716,018 | ||||||||
| 285,000 | Benchmark Mortgage Trust, Series 2020-B16, Class A5, 2.732%, 2/15/2053 | 244,851 | ||||||||
| 755,000 | Benchmark Mortgage Trust, Series 2021-B31, Class A5, 2.669%, 12/15/2054 | 624,360 | ||||||||
| 520,000 | BPR Trust, Series 2021-NRD, Class A, 1-month SOFR + 1.525%, 5.851%, 12/15/2038, 144A(b) | 483,861 | ||||||||
| 360,000 | BPR Trust, Series 2022-OANA, Class A, 1-month SOFR + 1.898%, 6.234%, 4/15/2037, 144A(b) | 351,359 | ||||||||
| 491,600 | CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.865%, 1/10/2048 | 467,813 | ||||||||
| 361,996 | CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A4, 3.283%, 5/10/2058 | 339,350 | ||||||||
| 992,138 | Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4, 3.314%, 4/10/2049 | 925,885 | ||||||||
| 540,000 | Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072 | 467,493 | ||||||||
| 509,791 | Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A | 437,088 | ||||||||
| 219,082 | Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A5, 3.612%, 6/10/2046(a) | 217,692 | ||||||||
| 21,808 | Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047 | 21,586 | ||||||||
| 39,735 | Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047 | 39,339 | ||||||||
| 280,000 | Commercial Mortgage Pass Through Certificates, Series 2014-UBS3, Class A4, 3.819%, 6/10/2047 | 271,828 | ||||||||
| 280,000 | Commercial Mortgage Pass Through Certificates, Series 2015-DC1, Class A5, 3.350%, 2/10/2048 | 266,538 | ||||||||
| 520,299 | Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class A5, 3.765%, 2/10/2049 | 493,677 | ||||||||
| 795,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A | 714,227 | ||||||||
| 47,311 | CSAIL Commercial Mortgage Trust, Series 2015-C4, Class ASB, 3.617%, 11/15/2048 | 45,931 | ||||||||
| 470,000 | CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A4, 2.968%, 12/15/2052 | 403,800 | ||||||||
| 605,000 | GS Mortgage Securities Corp. II, Series 2012-BWTR, Class A, 2.954%, 11/05/2034, 144A | 528,883 | ||||||||
| 440,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(a) | 399,124 | ||||||||
| 330,000 | GS Mortgage Securities Trust, Series 2014-GC18, Class A4, 4.074%, 1/10/2047 | 322,891 | ||||||||
| 245,000 | GS Mortgage Securities Trust, Series 2020-GC45, Class A5, 2.911%, 2/13/2053 | 201,250 | ||||||||
| 180,000 | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10, 4.155%, 8/05/2034, 144A | 156,619 | ||||||||
| 355,000 | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034, 144A | 315,789 | ||||||||
Principal | Description | Value (†) | ||||||||
| Bonds and Notes – continued | ||||||||||
| Non-Agency Commercial Mortgage-Backed Securities – continued | ||||||||||
| $ | 25,673 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047 | $ | 25,334 | ||||||
| 575,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-COR5, Class A4, 3.386%, 6/13/2052 | 514,291 | ||||||||
| 470,000 | MedTrust, Series 2021-MDLN, Class A, 1-month LIBOR + 0.950%, 5.268%, 11/15/2038, 144A(b) | 452,319 | ||||||||
| 240,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A4, 4.070%, 7/15/2046(a) | 238,101 | ||||||||
| 129,604 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.306%, 4/15/2048 | 122,817 | ||||||||
| 550,000 | Morgan Stanley Capital I Trust, Series 2020-L4, Class A3, 2.698%, 2/15/2053 | 463,285 | ||||||||
| 845,000 | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.910%, 10/20/2061, 144A | 713,999 | ||||||||
| 980,000 | SPGN Mortgage Trust, Series 2022-TFLM. Class A, 1-month SOFR + 1.550%, 5.886%, 2/15/2039, 144A(b) | 927,534 | ||||||||
| 195,617 | UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A | 190,349 | ||||||||
| 380,845 | UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A4, 3.244%, 4/10/2046 | 378,037 | ||||||||
| 201,109 | Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4, 3.426%, 3/15/2059 | 188,587 | ||||||||
| 490,000 | Wells Fargo Commercial Mortgage Trust, Series 2020-C58, Class A4, 2.092%, 7/15/2053 | 390,251 | ||||||||
| 825,000 | Wells Fargo Commercial Mortgage Trust, Series 2022-C62, Class A4, 4.000%, 4/15/2055(a) | 747,989 | ||||||||
| 325,000 | WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A5, 4.101%, 3/15/2047 | 317,751 | ||||||||
| 86,490 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ASB, 3.638%, 5/15/2047 | 85,277 | ||||||||
|
| |||||||||
| 16,995,657 | ||||||||||
|
| |||||||||
| Packaging – 0.1% |
| |||||||||
| 335,000 | Amcor Flexibles North America, Inc., 4.000%, 5/17/2025 | 326,102 | ||||||||
|
| |||||||||
| Pharmaceuticals – 0.1% |
| |||||||||
| 235,000 | Bayer U.S. Finance II LLC, 3.375%, 7/15/2024, 144A | 227,542 | ||||||||
|
| |||||||||
| Property & Casualty Insurance – 0.2% |
| |||||||||
| 135,000 | Assurant, Inc., 4.200%, 9/27/2023 | 133,496 | ||||||||
| 250,000 | Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032, 144A | 234,653 | ||||||||
| 240,000 | Trustage Financial Group, Inc., 4.625%, 4/15/2032, 144A | 206,904 | ||||||||
|
| |||||||||
| 575,053 | ||||||||||
|
| |||||||||
| Railroads – 0.1% |
| |||||||||
| 215,000 | Union Pacific Corp., 3.646%, 2/15/2024 | 211,680 | ||||||||
|
| |||||||||
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
| REITs - Apartments – 0.1% |
| |||||||||
| $ | 225,000 | Invitation Homes Operating Partnership LP, 2.000%, 8/15/2031 | $ | 166,274 | ||||||
|
| |||||||||
| REITs - Diversified – 0.2% |
| |||||||||
| 715,000 | Digital Realty Trust LP, 5.550%, 1/15/2028 | 719,727 | ||||||||
|
| |||||||||
| REITs - Health Care – 0.1% |
| |||||||||
| 235,000 | Omega Healthcare Investors, Inc., 4.500%, 1/15/2025 | 228,340 | ||||||||
|
| |||||||||
| REITs - Office Property – 0.5% |
| |||||||||
| 180,000 | Boston Properties LP, 6.750%, 12/01/2027 | 185,599 | ||||||||
| 765,000 | Hudson Pacific Properties LP, 5.950%, 2/15/2028 | 714,233 | ||||||||
| 190,000 | Office Properties Income Trust, 2.400%, 2/01/2027 | 138,816 | ||||||||
| 420,000 | Office Properties Income Trust, 3.450%, 10/15/2031 | 280,510 | ||||||||
| 205,000 | Office Properties Income Trust, 4.500%, 2/01/2025 | 185,761 | ||||||||
|
| |||||||||
| 1,504,919 | ||||||||||
|
| |||||||||
| REITs - Storage – 0.1% |
| |||||||||
| 215,000 | Extra Space Storage LP, 3.900%, 4/01/2029 | 192,585 | ||||||||
|
| |||||||||
| Restaurants – 0.1% |
| |||||||||
| 420,000 | McDonald’s Corp., MTN, 3.350%, 4/01/2023 | 418,418 | ||||||||
|
| |||||||||
| Retailers – 1.0% |
| |||||||||
| 1,025,000 | Amazon.com, Inc., 4.650%, 12/01/2029 | 1,017,333 | ||||||||
| 345,000 | AutoNation, Inc., 3.500%, 11/15/2024 | 331,110 | ||||||||
| 290,000 | AutoNation, Inc., 4.500%, 10/01/2025 | 282,035 | ||||||||
| 190,000 | Tapestry, Inc., 3.050%, 3/15/2032 | 147,878 | ||||||||
| 1,245,000 | Walgreens Boots Alliance, Inc., 0.950%, 11/17/2023 | 1,198,169 | ||||||||
|
| |||||||||
| 2,976,525 | ||||||||||
|
| |||||||||
| Sovereigns – 0.2% |
| |||||||||
| 585,000 | Mexico Government International Bond, 4.875%, 5/19/2033 | 536,996 | ||||||||
|
| |||||||||
| Technology – 2.3% |
| |||||||||
| 325,000 | Avnet, Inc., 5.500%, 6/01/2032 | 300,105 | ||||||||
| 440,000 | Broadcom, Inc., 4.000%, 4/15/2029, 144A | 399,715 | ||||||||
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
| Technology – continued |
| |||||||||
| $ | 870,000 | CDW LLC/CDW Finance Corp., 3.276%, 12/01/2028 | $ | 746,573 | ||||||
| 630,000 | Fidelity National Information Services, Inc., 4.700%, 7/15/2027 | 614,626 | ||||||||
| 165,000 | Flex Ltd., 4.875%, 6/15/2029 | 155,259 | ||||||||
| 355,000 | FLEX Ltd., 6.000%, 1/15/2028 | 354,229 | ||||||||
| 525,000 | Global Payments, Inc., 1.500%, 11/15/2024 | 487,351 | ||||||||
| 315,000 | Infor, Inc., 1.450%, 7/15/2023, 144A | 307,617 | ||||||||
| 175,000 | Marvell Technology, Inc., 4.200%, 6/22/2023 | 173,986 | ||||||||
| 285,000 | Microchip Technology, Inc., 0.972%, 2/15/2024 | 270,644 | ||||||||
| 460,000 | Microchip Technology, Inc., 2.670%, 9/01/2023 | 451,423 | ||||||||
| 770,000 | Micron Technology, Inc., 6.750%, 11/01/2029 | 782,148 | ||||||||
| 325,000 | Open Text Corp., 6.900%, 12/01/2027, 144A | 325,000 | ||||||||
| 200,000 | Qorvo, Inc., 1.750%, 12/15/2024, 144A | 184,190 | ||||||||
| 1,020,000 | QUALCOMM, Inc., 5.400%, 5/20/2033 | 1,061,942 | ||||||||
| 170,000 | Western Digital Corp., 2.850%, 2/01/2029 | 131,524 | ||||||||
| 165,000 | Western Union Co. (The), 4.250%, 6/09/2023 | 164,190 | ||||||||
|
| |||||||||
| 6,910,522 | ||||||||||
|
| |||||||||
| Tobacco – 0.5% |
| |||||||||
| 585,000 | Altria Group, Inc., 2.450%, 2/04/2032 | 441,321 | ||||||||
| 715,000 | BAT Capital Corp., 4.700%, 4/02/2027 | 685,393 | ||||||||
| 400,000 | Philip Morris International, Inc., 5.625%, 11/17/2029 | 405,791 | ||||||||
|
| |||||||||
| 1,532,505 | ||||||||||
|
| |||||||||
| Transportation Services – 0.6% |
| |||||||||
| 450,000 | Element Fleet Management Corp., 3.850%, 6/15/2025, 144A | 426,005 | ||||||||
| 175,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 4.000%, 7/15/2025, 144A | 167,433 | ||||||||
| 695,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 4.125%, 8/01/2023, 144A | 691,113 | ||||||||
| 255,000 | Ryder System, Inc., MTN, 3.750%, 6/09/2023 | 253,508 | ||||||||
| 370,000 | Ryder System, Inc., MTN, 4.625%, 6/01/2025 | 363,153 | ||||||||
|
| |||||||||
| 1,901,212 | ||||||||||
|
| |||||||||
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
| Treasuries – 28.5% |
| |||||||||
| $ | 9,885,000 | U.S. Treasury Note, 1.125%, 10/31/2026 | $ | 8,841,283 | ||||||
| 6,825,000 | U.S. Treasury Note, 1.875%, 2/28/2027 | 6,250,740 | ||||||||
| 9,405,000 | U.S. Treasury Note, 2.500%, 5/31/2024 | 9,124,687 | ||||||||
| 4,865,000 | U.S. Treasury Note, 2.625%, 5/31/2027 | 4,585,833 | ||||||||
| 3,240,000 | U.S. Treasury Note, 2.750%, 4/30/2027 | 3,070,406 | ||||||||
| 8,045,000 | U.S. Treasury Note, 2.750%, 7/31/2027 | 7,611,638 | ||||||||
| 8,020,000 | U.S. Treasury Note, 2.750%, 8/15/2032 | 7,303,213 | ||||||||
| 1,485,000 | U.S. Treasury Note, 3.250%, 8/31/2024 | 1,454,024 | ||||||||
| 9,900,000 | U.S. Treasury Note, 3.250%, 6/30/2027 | 9,572,449 | ||||||||
| 17,710,000 | U.S. Treasury Note, 3.875%, 11/30/2027 | 17,613,148 | ||||||||
| 2,895,000 | U.S. Treasury Note, 4.125%, 9/30/2027 | 2,905,856 | ||||||||
| 3,575,000 | U.S. Treasury Note, 4.125%, 11/15/2032 | 3,648,176 | ||||||||
| 2,935,000 | U.S. Treasury Note, 4.500%, 11/30/2024 | 2,935,115 | ||||||||
|
| |||||||||
| 84,916,568 | ||||||||||
|
| |||||||||
| Wireless – 0.1% |
| |||||||||
| 200,000 | SK Telecom Co. Ltd., 3.750%, 4/16/2023, 144A | 199,208 | ||||||||
|
| |||||||||
| Total Bonds and Notes (Identified Cost $310,427,792) | 294,778,305 | |||||||||
|
| |||||||||
Short-Term Investments – 1.5% | ||||||||||
| 4,647,895 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $4,648,825 on 1/03/2023 collateralized by $5,418,700 U.S. Treasury Note, 1.250% due 3/31/2028 valued at $4,740,940 including accrued interest(e) (Identified Cost $4,647,895) | 4,647,895 | ||||||||
|
| |||||||||
| Total Investments – 100.3% (Identified Cost $315,075,687) | 299,426,200 | |||||||||
| Other assets less liabilities – (0.3)% | (941,286 | ) | ||||||||
|
| |||||||||
| Net Assets – 100.0% | $ | 298,484,914 | ||||||||
|
| |||||||||
| (†) | Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Fund’s Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight. |
Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value per share.
Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair 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 fair valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to fair value debt and unlisted equities where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment.
The Fund may also fair value investments 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 a Fund’s investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund’s net asset value (“NAV”) is calculated. Fair valuation by the Fund’s valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
| (a) | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of December 31, 2022 is disclosed. |
| (b) | Variable rate security. Rate as of December 31, 2022 is disclosed. |
| (c) | Level 3 security. Value has been determined using significant unobservable inputs. |
| (d) | 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. |
| (e) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of December 31, 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 December 31, 2022, the value of Rule 144A holdings amounted to $85,510,283 or 28.6% 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 December 31, 2022, open long futures contracts were as follows:
Financial Futures | Expiration | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||
| 5 Year U.S. Treasury Note | 3/31/2023 | 374 | $ | 40,428,953 | $ | 40,365,703 | $ | (63,250 | ) | |||||||||
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At December 31, 2022, open short futures contracts were as follows:
Financial Futures | Expiration | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||
| Ultra Long U.S. Treasury Bond | 3/22/2023 | 12 | $ | 1,625,353 | $ | 1,611,750 | $ | 13,603 | ||||||||||
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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 Fund’s pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Fund has knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.
Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2022, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Bonds and Notes | ||||||||||||||||
Collateralized Mortgage Obligations | $ | — | $ | 3,275,098 | $ | 189 | $ | 3,275,287 | ||||||||
All Other Bonds and Notes* | — | 291,503,018 | — | 291,503,018 | ||||||||||||
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| Total Bonds and Notes | — | 294,778,116 | 189 | 294,778,305 | ||||||||||||
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| Short-Term Investments | — | 4,647,895 | — | 4,647,895 | ||||||||||||
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| Total Investments | — | 299,426,011 | 189 | 299,426,200 | ||||||||||||
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| Futures Contracts (unrealized appreciation) | 13,603 | — | — | 13,603 | ||||||||||||
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| Total | $ | 13,603 | $ | 299,426,011 | $ | 189 | $ | 299,439,803 | ||||||||
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| Liability Valuation Inputs | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Futures Contracts (unrealized depreciation) | $ | (63,250 | ) | $ | — | $ | — | $ | (63,250 | ) | ||||||
| * | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
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, 2022 and/or December 31, 2022:
Asset Valuation Inputs
Investments in Securities | Balance as of September 30, 2022 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of December 31, 2022 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2022 | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Collateralized Mortgage Obligations | $ | 201 | $ | — | $ | — | $ | 3 | $ | — | $ | (15 | ) | $ | — | $ | — | $ | 189 | $ | 1 | |||||||||||||||||||
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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 December 31, 2022, the Fund used futures contracts to manage duration.
The following is a summary of derivative instruments for the Fund, as of December 31, 2022:
| Unrealized | ||||
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Assets | futures contracts | |||
Exchange-traded asset derivatives | ||||
Interest rate contracts | $ | 13,603 | ||
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Liabilities | futures contracts | |||
Exchange-traded liability derivatives | ||||
Interest rate contracts | $ | (63,250 | ) | |
The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, as of December 31, 2022:
Maximum Amount of Loss - Gross | Maximum Amount of Loss - Net | |
| $515,000 | $515,000 |
Industry Summary at December 31, 2022 (Unaudited)
Treasuries | 28.5 | % | ||
Banking | 21.6 | |||
ABS Car Loan | 8.3 | |||
Life Insurance | 6.1 | |||
Non-Agency Commercial Mortgage-Backed Securities | 5.7 | |||
Electric | 4.6 | |||
Finance Companies | 3.2 | |||
Technology | 2.3 | |||
Automotive | 2.3 | |||
Other Investments, less than 2% each | 16.2 | |||
Short-Term Investments | 1.5 | |||
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Total Investments | 100.3 | |||
Other assets less liabilities (including futures contracts) | (0.3 | ) | ||
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Net Assets | 100.0 | % | ||
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