PORTFOLIO OF INVESTMENTS – as of September 30, 2022 (Unaudited)
Natixis Loomis Sayles Short Duration Income ETF
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – 98.5% of Net Assets |
||||||||
| ABS Car Loan – 16.8% |
| |||||||
| $ | 117,449 | American Credit Acceptance Receivables Trust, 0.990%, 12/15/2025, 144A |
$ | 115,631 | ||||
| 8,108 | American Credit Acceptance Receivables Trust, Series 2020-4, Class C, 1.310%, 12/14/2026, 144A |
7,994 | ||||||
| 1,466 | American Credit Acceptance Receivables Trust, Series 2021-3, Class A, 0.330%, 6/13/2025, 144A |
1,465 | ||||||
| 35,000 | American Credit Acceptance Receivables Trust, Series 2021-3, Class B, 0.660%, 2/13/2026, 144A |
34,757 | ||||||
| 80,000 | American Credit Acceptance Receivables Trust, Series 2021-3, Class C, 0.980%, 11/15/2027, 144A |
77,326 | ||||||
| 2,931 | AmeriCredit Automobile Receivables Trust, Series 2019-2, Class B, 2.540%, 7/18/2024 |
2,929 | ||||||
| 8,181 | AmeriCredit Automobile Receivables Trust, Series 2021-2, Class A2, 0.260%, 11/18/2024 |
8,149 | ||||||
| 20,000 | AmeriCredit Automobile Receivables Trust, Series 2021-2, Class B, 0.690%, 1/19/2027 |
18,776 | ||||||
| 55,000 | AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.410%, 8/18/2027 |
50,215 | ||||||
| 85,000 | AmeriCredit Automobile Receivables Trust, Series 2022-1, Class B, 2.770%, 4/19/2027 |
80,693 | ||||||
| 40,000 | AmeriCredit Automobile Receivables Trust, Series 2022-2, Class A3, 4.380%, 4/18/2028 |
39,648 | ||||||
| 100,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A |
96,082 | ||||||
| 24,093 | BMW Vehicle Lease Trust, Series 2021-2, Class A2, 0.190%, 11/27/2023 |
23,994 | ||||||
| 90,000 | Canadian Pacer Auto Receivables Trust, Series 2021-1A, Class A3, 0.500%, 10/20/2025, 144A |
86,883 | ||||||
| 95,000 | Capital One Prime Auto Receivables Trust, Series 2022-2, Class A2A, 3.740%, 9/15/2025 |
94,705 | ||||||
| 3,708 | CarMax Auto Owner Trust, Series 2019-3, Class A3, 2.180%, 8/15/2024 |
3,691 | ||||||
| 17,666 | CarMax Auto Owner Trust, Series 2021-1, Class A3, 0.340%, 12/15/2025 |
17,094 | ||||||
| 54,979 | CarMax Auto Owner Trust, Series 2021-3, Class A2A, 0.290%, 9/16/2024 |
54,643 | ||||||
| 135,000 | CarMax Auto Owner Trust, Series 2021-3, Class A3, 0.550%, 6/15/2026 |
128,507 | ||||||
| 19,731 | Carvana Auto Receivables Trust, Series 2020-P1, Class A3, 0.440%, 6/09/2025 |
19,440 | ||||||
| 8,287 | Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.750%, 3/10/2028 |
7,705 | ||||||
| 30,000 | Carvana Auto Receivables Trust, Series 2021-N4, Class C, 1.720%, 9/11/2028 |
28,680 | ||||||
| 111,665 | Carvana Auto Receivables Trust, Series 2021-P1, Class A3, 0.540%, 12/10/2025 |
109,075 | ||||||
| 11,057 | Carvana Auto Receivables Trust, Series 2021-P2, Class A2, 0.300%, 7/10/2024 |
11,052 | ||||||
| 85,000 | Carvana Auto Receivables Trust, Series 2021-P3, Class A3, 0.700%, 11/10/2026 |
80,033 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| ABS Car Loan – continued |
| |||||||
| $ | 130,000 | Carvana Auto Receivables Trust, Series 2021-P4, Class A3, 1.310%, 1/11/2027 |
$ | 122,387 | ||||
| 30,251 | CIG Auto Receivables Trust, Series 2021-1A, Class A, 0.690%, 4/14/2025, 144A |
29,835 | ||||||
| 14,178 | Drive Auto Receivables Trust, Series 2021-1, Class B, 0.650%, 7/15/2025 |
14,133 | ||||||
| 60,000 | Drive Auto Receivables Trust, Series 2021-2, Class B, 0.580%, 12/15/2025 |
59,106 | ||||||
| 50,000 | Drive Auto Receivables Trust, Series 2021-3, Class B, 1.110%, 5/15/2026 |
48,334 | ||||||
| 15,000 | DT Auto Owner Trust, Series 2020-2A, Class C, 3.280%, 3/16/2026, 144A |
14,833 | ||||||
| 35,000 | DT Auto Owner Trust, Series 2020-3A, Class C, 1.470%, 6/15/2026, 144A |
33,986 | ||||||
| 2,462 | DT Auto Owner Trust, Series 2021-1A, Class A, 0.350%, 1/15/2025, 144A |
2,457 | ||||||
| 25,000 | DT Auto Owner Trust, Series 2021-2A, Class B, 0.810%, 1/15/2027, 144A |
24,414 | ||||||
| 55,338 | DT Auto Owner Trust, Series 2021-3A, Class A, 0.330%, 4/15/2025, 144A |
54,703 | ||||||
| 50,000 | DT Auto Owner Trust, Series 2021-4A, Class C, 1.500%, 9/15/2027, 144A |
46,170 | ||||||
| 71,697 | Enterprise Fleet Financing LLC, Series 2021-2, Class A2, 0.480%, 5/20/2027, 144A |
68,393 | ||||||
| 14,093 | Exeter Automobile Receivables Trust, Series 2020-2A, Class C, 3.280%, 5/15/2025, 144A |
14,043 | ||||||
| 22,967 | Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.320%, 7/15/2025 |
22,676 | ||||||
| 24,692 | Exeter Automobile Receivables Trust, Series 2021-2A, Class B, 0.570%, 9/15/2025 |
24,480 | ||||||
| 80,000 | Exeter Automobile Receivables Trust, Series 2021-4A, Class B, 1.050%, 5/15/2026 |
77,533 | ||||||
| 70,000 | Exeter Automobile Receivables Trust, Series 2022-3A, Class B, 4.860%, 12/15/2026 |
69,476 | ||||||
| 50,000 | Exeter Automobile Receivables Trust, Series 2022-4A, Class A3, 4.330%, 2/17/2026 |
49,840 | ||||||
| 5,462 | First Investors Auto Owner Trust, Series 2021-1A, Class A, 0.450%, 3/16/2026, 144A |
5,388 | ||||||
| 90,000 | First Investors Auto Owner Trust, Series 2022-1A, Class C, 3.130%, 5/15/2028, 144A |
83,045 | ||||||
| 10,000 | Flagship Credit Auto Trust, Series 2020-2, Class C, 3.800%, 4/15/2026, 144A |
9,945 | ||||||
| 15,000 | Flagship Credit Auto Trust, Series 2020-4, Class C, 1.280%, 2/16/2027, 144A |
14,434 | ||||||
| 10,335 | Flagship Credit Auto Trust, Series 2021-1, Class A, 0.310%, 6/16/2025, 144A |
10,251 | ||||||
| 30,000 | Flagship Credit Auto Trust, Series 2021-2, Class B, 0.930%, 6/15/2027, 144A |
28,377 | ||||||
| 65,000 | Flagship Credit Auto Trust, Series 2021-2, Class C, 1.270%, 6/15/2027, 144A |
59,722 | ||||||
| 175,998 | Flagship Credit Auto Trust, Series 2022-1, Class A, 1.790%, 10/15/2026, 144A |
169,784 | ||||||
| 80,000 | Flagship Credit Auto Trust, Series 2022-3, Class A3, 4.550%, 4/15/2027, 144A |
79,209 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| ABS Car Loan – continued |
| |||||||
| $ | 50,650 | Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025 |
$ | 49,112 | ||||
| 105,000 | Foursight Capital Automobile Receivables Trust, Series 2021-2, Class A3, 0.810%, 5/15/2026, 144A |
101,946 | ||||||
| 120,000 | Foursight Capital Automobile Receivables Trust, Series 2022-2, Class A2, 4.490%, 3/16/2026, 144A |
118,996 | ||||||
| 6,153 | GLS Auto Receivables Issuer Trust, Series 2019-4A, Class B, 2.780%, 9/16/2024, 144A |
6,147 | ||||||
| 105,000 | GLS Auto Receivables Issuer Trust, Series 2021-4A, Class B, 1.530%, 4/15/2026, 144A |
99,937 | ||||||
| 5,416 | GM Financial Automobile Leasing Trust, Series 2020-3, Class A3, 0.450%, 8/21/2023 |
5,406 | ||||||
| 125,597 | GM Financial Automobile Leasing Trust, Series 2021-1, Class A3, 0.260%, 2/20/2024 |
124,410 | ||||||
| 79,999 | GM Financial Automobile Leasing Trust, Series 2021-2, Class A3, 0.340%, 5/20/2024 |
78,787 | ||||||
| 85,000 | GM Financial Automobile Leasing Trust, Series 2022-2, Class A2, 2.930%, 10/21/2024 |
84,100 | ||||||
| 60,000 | GM Financial Consumer Automobile Receivables Trust, 2.520%, 5/16/2025 |
59,349 | ||||||
| 3,861 | GM Financial Consumer Automobile Receivables Trust, Series 2019-3, Class A3, 2.180%, 4/16/2024 |
3,857 | ||||||
| 16,715 | GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025 |
16,253 | ||||||
| 55,870 | GM Financial Consumer Automobile Receivables Trust, Series 2021-3, Class A2, 0.210%, 8/16/2024 |
55,457 | ||||||
| 38,261 | GM Financial Consumer Automobile Receivables Trust, Series 2021-4, Class A2, 0.280%, 11/18/2024 |
37,782 | ||||||
| 22,440 | Harley-Davidson Motorcycle Trust, 2.450%, 5/15/2025 |
22,285 | ||||||
| 6,177 | Harley-Davidson Motorcycle Trust, Series 2020-A, Class A3, 1.870%, 10/15/2024 |
6,160 | ||||||
| 27,255 | Harley-Davidson Motorcycle Trust, Series 2021-A, Class A3, 0.370%, 4/15/2026 |
26,630 | ||||||
| 57,566 | Honda Auto Receivables Owner Trust, Series 2020-2, Class A3, 0.820%, 7/15/2024 |
57,300 | ||||||
| 46,162 | Honda Auto Receivables Owner Trust, Series 2020-3, Class A3, 0.370%, 10/18/2024 |
45,126 | ||||||
| 26,150 | Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025 |
25,382 | ||||||
| 24,516 | Honda Auto Receivables Owner Trust, Series 2021-2, Class A2, 0.170%, 11/15/2023 |
24,476 | ||||||
| 48,861 | Hyundai Auto Lease Securitization Trust, Series 2021-B, Class A2, 0.190%, 10/16/2023, 144A |
48,674 | ||||||
| 47,030 | Hyundai Auto Receivables Trust, Series 2021-B, Class A2, 0.240%, 5/15/2024 |
46,737 | ||||||
| 53,377 | Mercedes-Benz Auto Lease Trust, Series 2021-B, Class A2, 0.220%, 1/16/2024 |
53,103 | ||||||
| 60,000 | Mercedes-Benz Auto Lease Trust, Series 2021-B, Class A3, 0.400%, 11/15/2024 |
57,912 | ||||||
| 100,000 | NextGear Floorplan Master Owner Trust, Series 2020-1A, Class A2, 1.550%, 2/15/2025, 144A |
98,971 | ||||||
| 145,000 | NextGear Floorplan Master Owner Trust, Series 2021-1A, Class A, 0.850%, 7/15/2026, 144A |
135,163 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| ABS Car Loan – continued |
| |||||||
| $ | 14,611 | Nissan Auto Lease Trust, Series 2020-B, Class A3, 0.430%, 10/16/2023 |
$ | 14,557 | ||||
| 61,683 | Nissan Auto Lease Trust, Series 2021-A, Class A2, 0.300%, 12/15/2023 |
61,188 | ||||||
| 49,200 | Nissan Auto Receivables Owner Trust, Series 2021-A, Class A2, 0.160%, 2/15/2024 |
48,978 | ||||||
| 130,000 | OneMain Direct Auto Receivables Trust, Series 2022-1A, Class A2, 30-day Average SOFR + 1.600%, 3.885%, 3/14/2029, 144A(a) |
129,249 | ||||||
| 25,000 | PenFed Auto Receivables Owner Trust, Series 2022-A, Class A4, 4.180%, 12/15/2028, 144A |
24,584 | ||||||
| 65,002 | Prestige Auto Receivables Trust, Series 2020-1A, Class C, 1.310%, 11/16/2026, 144A |
64,600 | ||||||
| 45,000 | Prestige Auto Receivables Trust, Series 2021-1A, Class C, 1.530%, 2/15/2028, 144A |
41,921 | ||||||
| 1,452 | Santander Consumer Auto Receivables Trust, Series 2020-AA, Class A, 1.370%, 10/15/2024, 144A |
1,451 | ||||||
| 25,000 | Santander Consumer Auto Receivables Trust, Series 2020-AA, Class C, 3.710%, 2/17/2026, 144A |
24,848 | ||||||
| 46,374 | Santander Drive Auto Receivables Trust, Series 2020-3, Class C, 1.120%, 1/15/2026 |
46,020 | ||||||
| 37,103 | Santander Drive Auto Receivables Trust, Series 2020-4, Class C, 1.010%, 1/15/2026 |
36,673 | ||||||
| 90,000 | Santander Drive Auto Receivables Trust, Series 2021-3, Class B, 0.600%, 12/15/2025 |
88,821 | ||||||
| 80,000 | Santander Drive Auto Receivables Trust, Series 2022-3, Class B, 4.130%, 8/16/2027 |
77,887 | ||||||
| 135,000 | Santander Drive Auto Receivables Trust, Series 2022-4, Class B, 4.420%, 11/15/2027 |
133,507 | ||||||
| 32,152 | Santander Retail Auto Lease Trust, 0.970%, 3/20/2025, 144A |
31,403 | ||||||
| 45,326 | Santander Retail Auto Lease Trust, Series 2021-B, Class A2, 0.310%, 1/22/2024, 144A |
45,055 | ||||||
| 160,000 | Santander Retail Auto Lease Trust, Series 2021-B, Class A3, 0.510%, 8/20/2024, 144A |
154,497 | ||||||
| 95,000 | Toyota Auto Receivables Owner Trust, Series 2021-C, Class A3, 0.430%, 1/15/2026 |
90,122 | ||||||
| 125,000 | Toyota Lease Owner Trust, Series 2021-B, Class A3, 0.420%, 10/21/2024, 144A |
120,336 | ||||||
| 55,000 | United Auto Credit Securitization Trust, Series 2022-1, Class B, 2.100%, 3/10/2025, 144A |
53,645 | ||||||
| 55,000 | United Auto Credit Securitization Trust, Series 2022-2, Class C, 5.810%, 5/10/2027, 144A |
54,340 | ||||||
| 210,000 | Volkswagen Auto Loan Enhanced Trust, Series 2021-1, Class A3, 1.020%, 6/22/2026 |
199,247 | ||||||
| 25,000 | Westlake Automobile Receivables Trust, Series 2020-2A, Class C, 2.010%, 7/15/2025, 144A |
24,774 | ||||||
| 15,000 | Westlake Automobile Receivables Trust, Series 2020-3A, Class C, 1.240%, 11/17/2025, 144A |
14,598 | ||||||
| 29,531 | Westlake Automobile Receivables Trust, Series 2021-2A, Class A2A, 0.320%, 4/15/2025, 144A |
29,197 | ||||||
| 45,000 | Westlake Automobile Receivables Trust, Series 2021-2A, Class B, 0.620%, 7/15/2026, 144A |
43,458 | ||||||
| 115,000 | Westlake Automobile Receivables Trust, Series 2021-3A, Class C, 1.580%, 1/15/2027, 144A |
107,763 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| ABS Car Loan – continued |
| |||||||
| $ | 65,000 | World Omni Auto Receivables Trust, Series 2021-B, Class A3, 0.420%, 6/15/2026 |
$ | 62,429 | ||||
| 36,137 | World Omni Auto Receivables Trust, Series 2021-C, Class A2, 0.220%, 9/16/2024 |
35,916 | ||||||
| 30,000 | World Omni Automobile Lease Securitization Trust, 3.210%, 2/18/2025 |
29,494 | ||||||
| 47,427 | World Omni Automobile Lease Securitization Trust, Series 2021-A, Class A2, 0.210%, 4/15/2024 |
47,175 | ||||||
| 17,127 | World Omni Select Auto Trust, Series 2020-A, Class A3, 0.550%, 7/15/2025 |
16,976 | ||||||
| 40,000 | World Omni Select Auto Trust, Series 2021-A, Class B, 0.850%, 8/16/2027 |
37,413 | ||||||
|
|
|
|||||||
| 5,917,701 | ||||||||
|
|
|
|||||||
| ABS Credit Card – 0.8% |
| |||||||
| 170,000 | Capital One Multi-Asset Execution Trust, Series 2021-A1, Class A1, 0.550%, 7/15/2026 |
158,015 | ||||||
| 125,000 | Mercury Financial Credit Card Master Trust, Series 2022-1A, Class A, 2.500%, 9/21/2026, 144A |
115,667 | ||||||
|
|
|
|||||||
| 273,682 | ||||||||
|
|
|
|||||||
| ABS Other – 2.1% |
| |||||||
| 53,909 | CNH Equipment Trust, Series 2021-B, Class A2, 0.220%, 8/15/2024 |
53,486 | ||||||
| 44,306 | DLLAA LLC, Series 2021-1A, Class A2, 0.360%, 5/17/2024, 144A |
43,927 | ||||||
| 6,118 | GLS Auto Receivables Issuer Trust, Series 2021-2A, Class A, 0.310%, 11/15/2024, 144A |
6,109 | ||||||
| 8,075 | GreatAmerica Leasing Receivables Funding LLC, Series 2021-1, Class A2, 0.270%, 6/15/2023, 144A |
8,055 | ||||||
| 67,753 | HPEFS Equipment Trust, Series 2021-2A, Class AC, 0.300%, 9/20/2028, 144A |
67,326 | ||||||
| 103,830 | Kubota Credit Owner Trust, Series 2021-2A, Class A2, 0.260%, 6/17/2024, 144A |
102,319 | ||||||
| 70,799 | OneMain Financial Issuance Trust, Series 2020-1A, Class A, 3.840%, 5/14/2032, 144A |
70,363 | ||||||
| 220,000 | OneMain Financial Issuance Trust, Series 2022-S1, Class A, 4.130%, 5/14/2035, 144A |
208,963 | ||||||
| 110,000 | SCF Equipment Leasing LLC, Series 2022-1A, Class A3, 2.920%, 7/20/2029, 144A |
103,049 | ||||||
| 60,000 | Verizon Master Trust, Series 2022-5, Class A1A, 3.720%, 7/20/2027(b) |
59,393 | ||||||
|
|
|
|||||||
| 722,990 | ||||||||
|
|
|
|||||||
| ABS Student Loan – 0.3% |
| |||||||
| 135,169 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class A, 0.970%, 12/16/2069, 144A |
113,499 | ||||||
|
|
|
|||||||
| Aerospace & Defense – 0.1% |
| |||||||
| 20,000 | Boeing Co. (The), 4.875%, 5/01/2025 |
19,514 | ||||||
| 20,000 | Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 |
19,166 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Aerospace & Defense – continued |
| |||||||
| $ | 2,000 | Raytheon Technologies Corp., 3.650%, 8/16/2023 |
$ | 1,981 | ||||
|
|
|
|||||||
| 40,661 | ||||||||
|
|
|
|||||||
| Agency Commercial Mortgage-Backed Securities – 0.1% |
| |||||||
| 23,361 | FHLMC Multifamily Structured Pass Through Certificates, Series KF81, Class AL, 1-month LIBOR + 0.360%, 2.913%, 6/25/2027(a) |
23,190 | ||||||
| 16,990 | FHLMC Multifamily Structured Pass Through Certificates, Series KF81, Class AS, 30-day Average SOFR + 0.400%, 2.684%, 6/25/2027(a) |
16,878 | ||||||
| 2,999 | FHLMC Multifamily Structured Pass Through Certificates, Series KJ28, Class A1, 1.766%, 2/25/2025 |
2,954 | ||||||
|
|
|
|||||||
| 43,022 | ||||||||
|
|
|
|||||||
| Airlines – 0.2% |
| |||||||
| 55,000 | Southwest Airlines Co., 5.250%, 5/04/2025 |
54,943 | ||||||
| 15,000 | United Airlines, Inc., 4.375%, 4/15/2026, 144A |
13,388 | ||||||
|
|
|
|||||||
| 68,331 | ||||||||
|
|
|
|||||||
| Automotive – 3.1% |
| |||||||
| 40,000 | American Honda Finance Corp., MTN, 0.650%, 9/08/2023 |
38,512 | ||||||
| 70,000 | American Honda Finance Corp., MTN, 2.250%, 1/12/2029 |
58,823 | ||||||
| 55,000 | BMW U.S. Capital LLC, 3.450%, 4/12/2023, 144A |
54,687 | ||||||
| 80,000 | General Motors Co., 5.400%, 10/15/2029 |
73,764 | ||||||
| 45,000 | General Motors Financial Co., Inc., 5.000%, 4/09/2027 |
42,656 | ||||||
| 25,000 | Harley-Davidson Financial Services, Inc., 3.350%, 6/08/2025, 144A |
23,423 | ||||||
| 75,000 | Hyundai Capital America, 0.875%, 6/14/2024, 144A |
69,279 | ||||||
| 40,000 | Hyundai Capital America, 2.375%, 2/10/2023, 144A |
39,648 | ||||||
| 185,000 | PACCAR Financial Corp., 2.850%, 4/07/2025 |
176,865 | ||||||
| 25,000 | PACCAR Financial Corp., MTN, 1.900%, 2/07/2023 |
24,812 | ||||||
| 200,000 | Stellantis Finance U.S., Inc., 5.625%, 1/12/2028, 144A |
192,631 | ||||||
| 90,000 | Toyota Motor Credit Corp., 3.650%, 8/18/2025 |
87,144 | ||||||
| 30,000 | Toyota Motor Credit Corp., 4.450%, 6/29/2029 |
28,944 | ||||||
| 165,000 | Toyota Motor Credit Corp., MTN, 4.550%, 9/20/2027 |
161,139 | ||||||
|
|
|
|||||||
| 1,072,327 | ||||||||
|
|
|
|||||||
| Banking – 17.0% |
| |||||||
| 135,000 | Ally Financial, Inc., 4.750%, 6/09/2027 |
124,548 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Banking – continued |
| |||||||
| $ | 25,000 | American Express Co., 2.550%, 3/04/2027 |
$ | 22,268 | ||||
| 95,000 | American Express Co., (fixed rate to 8/03/2032, variable rate thereafter), 4.420%, 8/03/2033 |
86,400 | ||||||
| 200,000 | Banco Santander S.A, 5.294%, 8/18/2027 |
188,391 | ||||||
| 200,000 | Banco Santander S.A., 3.892%, 5/24/2024 |
194,678 | ||||||
| 110,000 | Bank of America Corp., (fixed rate to 4/02/2025, variable rate thereafter), MTN, 3.384%, 4/02/2026 |
103,908 | ||||||
| 35,000 | Bank of Montreal, SOFR Index + 0.350%, 3.202%, 12/08/2023(a) |
34,785 | ||||||
| 145,000 | Bank of Montreal, MTN, 1.500%, 1/10/2025 |
133,369 | ||||||
| 175,000 | Bank of Montreal, Series H, MTN, 4.700%, 9/14/2027 |
168,871 | ||||||
| 35,000 | Bank of New York Mellon Corp. (The), MTN, 1.600%, 4/24/2025 |
32,327 | ||||||
| 145,000 | Bank of Nova Scotia (The), 0.700%, 4/15/2024 |
135,801 | ||||||
| 55,000 | Bank of Nova Scotia (The), 1.950%, 2/01/2023 |
54,516 | ||||||
| 95,000 | Bank of Nova Scotia (The), 3.450%, 4/11/2025 |
90,991 | ||||||
| 15,000 | Canadian Imperial Bank of Commerce, 0.950%, 6/23/2023 |
14,588 | ||||||
| 190,000 | Canadian Imperial Bank of Commerce, 3.945%, 8/04/2025 |
183,521 | ||||||
| 85,000 | Capital One Financial Corp., 3.200%, 1/30/2023 |
84,671 | ||||||
| 160,000 | Capital One Financial Corp., (fixed rate to 12/06/2023, variable rate thereafter), 1.343%, 12/06/2024 |
151,972 | ||||||
| 15,000 | Capital One Financial Corp., (fixed rate to 5/10/2027, variable rate thereafter), 4.927%, 5/10/2028 |
14,291 | ||||||
| 15,000 | Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025 |
13,898 | ||||||
| 175,000 | Citigroup, Inc., (fixed rate to 9/29/2025, variable rate thereafter), 5.610%, 9/29/2026 |
174,035 | ||||||
| 95,000 | Citizens Financial Group, Inc., (fixed rate to 5/21/2032, variable rate thereafter), 5.641%, 5/21/2037 |
87,604 | ||||||
| 75,000 | Comerica, Inc., 3.700%, 7/31/2023 |
74,354 | ||||||
| 45,000 | Commonwealth Bank of Australia, 2.552%, 3/14/2027, 144A |
40,651 | ||||||
| 225,000 | Danske Bank A/S, (fixed rate to 3/28/2024, variable rate thereafter), 3.773%, 3/28/2025, 144A |
216,377 | ||||||
| 150,000 | Deutsche Bank AG, 5.371%, 9/09/2027 |
144,771 | ||||||
| 225,000 | DNB Bank ASA, (fixed rate to 3/28/2024, variable rate thereafter), 2.968%, 3/28/2025, 144A |
217,022 | ||||||
| 100,000 | Fifth Third Bancorp, (fixed rate to 7/28/2029, variable rate thereafter), 4.772%, 7/28/2030 |
93,393 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Banking – continued |
| |||||||
| $ | 50,000 | Goldman Sachs Group, Inc. (The), (fixed rate to 10/21/2026, variable rate thereafter), 1.948%, 10/21/2027 |
$ | 42,724 | ||||
| 85,000 | Goldman Sachs Group, Inc. (The), (fixed rate to 11/17/2022, variable rate thereafter), 0.627%, 11/17/2023 |
84,470 | ||||||
| 205,000 | HSBC Holdings PLC, (fixed rate to 11/22/2026, variable rate thereafter), 2.251%, 11/22/2027 |
172,239 | ||||||
| 200,000 | HSBC Holdings PLC, (fixed rate to 8/11/2027, variable rate thereafter), 5.210%, 8/11/2028 |
186,974 | ||||||
| 65,000 | Huntington Bancshares, Inc., (fixed rate to 8/04/2027, variable rate thereafter), 4.443%, 8/04/2028 |
61,374 | ||||||
| 85,000 | JPMorgan Chase & Co., (fixed rate to 4/26/2025, variable rate thereafter), 4.080%, 4/26/2026 |
81,839 | ||||||
| 60,000 | JPMorgan Chase & Co., (fixed rate to 9/14/2032, variable rate thereafter), 5.717%, 9/14/2033 |
56,739 | ||||||
| 85,000 | KeyCorp, MTN, (fixed rate to 5/23/2024, variable rate thereafter), 3.878%, 5/23/2025 |
82,762 | ||||||
| 200,000 | Lloyds Banking Group PLC, (fixed rate to 3/18/2025, variable rate thereafter), 3.511%, 3/18/2026 |
187,232 | ||||||
| 80,000 | Macquarie Bank Ltd., 2.100%, 10/17/2022, 144A |
79,943 | ||||||
| 120,000 | Macquarie Group Ltd., (fixed rate to 10/14/2024, variable rate thereafter), 1.201%, 10/14/2025, 144A |
109,238 | ||||||
| 95,000 | Macquarie Group Ltd., (fixed rate to 11/09/2032, variable rate thereafter), 5.491%, 11/09/2033, 144A |
86,239 | ||||||
| 235,000 | Mitsubishi UFJ Financial Group, Inc., (fixed rate to 1/19/2027, variable rate thereafter), 2.341%, 1/19/2028 |
203,020 | ||||||
| 120,000 | Morgan Stanley, (fixed rate to 1/25/2023, variable rate thereafter), MTN, 0.529%, 1/25/2024 |
118,044 | ||||||
| 20,000 | Royal Bank of Canada, GMTN, 0.750%, 10/07/2024 |
18,361 | ||||||
| 60,000 | Royal Bank of Canada, GMTN, SOFR Index + 0.300%, 2.667%, 1/19/2024(a) |
59,535 | ||||||
| 65,000 | Royal Bank of Canada, GMTN, 4.240%, 8/03/2027 |
62,006 | ||||||
| 55,000 | Santander Holdings USA, Inc., 3.450%, 6/02/2025 |
51,484 | ||||||
| 40,000 | Santander Holdings USA, Inc., (fixed rate to 9/09/2025, variable rate thereafter), 5.807%, 9/09/2026 |
39,095 | ||||||
| 125,000 | Synchrony Financial, 4.875%, 6/13/2025 |
120,588 | ||||||
| 35,000 | Toronto-Dominion Bank, 4.108%, 6/08/2027 |
33,000 | ||||||
| 40,000 | Toronto-Dominion Bank (The), MTN, SOFR + 0.240%, 2.401%, 1/06/2023(a) |
39,959 | ||||||
| 175,000 | Toronto-Dominion Bank (The), MTN, 4.693%, 9/15/2027 |
169,171 | ||||||
| 95,000 | Truist Financial Corp., (fixed rate to 7/28/2032, variable rate thereafter), 4.916%, 7/28/2033 |
85,872 | ||||||
| 200,000 | U.S. Bancorp, (fixed rate to 7/22/2027 variable rate thereafter), 4.548%, 7/22/2028 |
192,731 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Banking – continued |
| |||||||
| $ | 200,000 | UBS Group AG, (fixed rate to 8/05/2026, variable rate thereafter), 4.703%, 8/05/2027, 144A |
$ | 189,326 | ||||
| 190,000 | Wells Fargo & Co., (fixed rate to 4/25/2025, variable rate thereafter), MTN, 3.908%, 4/25/2026 |
181,634 | ||||||
| 125,000 | Wells Fargo & Co., (fixed rate to 8/15/2025, variable rate thereafter), 4.540%, 8/15/2026 |
121,040 | ||||||
| 85,000 | Westpac Banking Corp., 3.735%, 8/26/2025 |
82,378 | ||||||
| 95,000 | Westpac Banking Corp., (fixed rate to 8/10/2032, variable rate thereafter), 5.405%, 8/10/2033 |
85,194 | ||||||
|
|
|
|||||||
| 5,966,212 | ||||||||
|
|
|
|||||||
| Brokerage – 0.6% |
| |||||||
| 235,000 | Nomura Holdings, Inc., 2.329%, 1/22/2027 |
201,994 | ||||||
|
|
|
|||||||
| Building Materials – 0.2% |
| |||||||
| 85,000 | Fortune Brands Home & Security, Inc., 4.000%, 3/25/2032 |
70,534 | ||||||
|
|
|
|||||||
| Chemicals – 0.4% |
| |||||||
| 35,000 | Cabot Corp., 5.000%, 6/30/2032 |
31,418 | ||||||
| 130,000 | Celanese U.S. Holdings LLC, 6.165%, 7/15/2027 |
123,033 | ||||||
|
|
|
|||||||
| 154,451 | ||||||||
|
|
|
|||||||
| Collateralized Mortgage Obligations – 1.0% |
| |||||||
| 938 | Government National Mortgage Association, Series 2011-H23, Class HA, 3.000%, 12/20/2061(c) |
859 | ||||||
| 415 | Government National Mortgage Association, Series 2012-H28, Class FA, 1-month LIBOR + 0.580%, 2.937%, 9/20/2062(a)(c) |
399 | ||||||
| 1,250 | Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(c) |
1,173 | ||||||
| 3,478 | Government National Mortgage Association, Series 2013-H11, Class JA, 3.500%, 4/20/2063(c) |
3,334 | ||||||
| 10,102 | Government National Mortgage Association, Series 2016-H13, Class FT, 1-month LIBOR + 0.580%, 2.937%, 5/20/2066(a)(c) |
10,001 | ||||||
| 3,836 | Government National Mortgage Association, Series 2018-H02, Class FJ, 1-month LIBOR + 0.200%, 2.557%, 10/20/2064(a)(c) |
3,795 | ||||||
| 29,915 | Government National Mortgage Association, Series 2019-H01, Class FJ, 1-month LIBOR + 0.300%, 2.657%, 9/20/2068(a)(c) |
29,565 | ||||||
| 28,186 | Government National Mortgage Association, Series 2019-H01, Class FT, 1-month LIBOR + 0.400%, 2.757%, 10/20/2068(a) |
28,007 | ||||||
| 40,849 | Government National Mortgage Association, Series 2019-H0A, Class FT, 1-year CMT + 0.430%, 3.440%, 4/20/2069(a) |
40,874 | ||||||
| 79,897 | Government National Mortgage Association, Series 2019-H13, Class FT, 1-year CMT + 0.450%, 3.460%, 8/20/2069(a) |
79,860 | ||||||
| 138,924 | Government National Mortgage Association, Series 2020-HO1, Class FT, 1-year CMT + 0.500%, 0.710%, 1/20/2070(a) |
138,398 | ||||||
|
|
|
|||||||
| 336,265 | ||||||||
|
|
|
|||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Construction Machinery – 1.5% |
| |||||||
| $ | 155,000 | Caterpillar Financial Services Corp., 3.600%, 8/12/2027 |
$ | 146,343 | ||||
| 75,000 | Caterpillar Financial Services Corp., MTN, 1.950%, 11/18/2022 |
74,823 | ||||||
| 80,000 | CNH Industrial Capital LLC, 1.950%, 7/02/2023 |
78,302 | ||||||
| 110,000 | CNH Industrial Capital LLC, 3.950%, 5/23/2025 |
106,083 | ||||||
| 135,000 | John Deere Capital Corp., 4.150%, 9/15/2027 |
131,007 | ||||||
|
|
|
|||||||
| 536,558 | ||||||||
|
|
|
|||||||
| Consumer Cyclical Services – 0.1% |
| |||||||
| 31,000 | Expedia Group, Inc., 6.250%, 5/01/2025, 144A |
31,202 | ||||||
|
|
|
|||||||
| Consumer Products – 0.2% |
| |||||||
| 55,000 | Brunswick Corp., 4.400%, 9/15/2032 |
44,358 | ||||||
| 30,000 | Newell Brands, Inc., 4.100%, 4/01/2023 |
29,985 | ||||||
|
|
|
|||||||
| 74,343 | ||||||||
|
|
|
|||||||
| Diversified Manufacturing – 0.1% |
| |||||||
| 35,000 | Amphenol Corp., 2.050%, 3/01/2025 |
32,750 | ||||||
|
|
|
|||||||
| Electric – 6.3% |
| |||||||
| 45,000 | AES Corp. (The), 3.300%, 7/15/2025, 144A |
41,496 | ||||||
| 95,000 | Alabama Power Co., 3.750%, 9/01/2027 |
89,668 | ||||||
| 25,000 | Alliant Energy Finance LLC, 3.750%, 6/15/2023, 144A |
24,682 | ||||||
| 60,000 | American Electric Power Co., Inc., 2.031%, 3/15/2024 |
57,424 | ||||||
| 65,000 | American Electric Power Co., Inc., Series A, 3-month LIBOR + 0.480%, 3.262%, 11/01/2023(a) |
64,634 | ||||||
| 85,000 | Consolidated Edison, Inc., Series A, 0.650%, 12/01/2023 |
80,935 | ||||||
| 30,000 | Dominion Energy, Inc., 3.071%, 8/15/2024 |
28,770 | ||||||
| 65,000 | Dominion Energy, Inc., Series D, 3-month LIBOR + 0.530%, 3.823%, 9/15/2023(a) |
64,697 | ||||||
| 115,000 | DTE Energy Co., 4.220%, 11/01/2024 |
112,749 | ||||||
| 190,000 | Duke Energy Corp., 4.300%, 3/15/2028 |
178,850 | ||||||
| 125,000 | Edison International, 4.700%, 8/15/2025 |
121,102 | ||||||
| 200,000 | Enel Finance International NV, 4.625%, 6/15/2027, 144A |
186,175 | ||||||
| 200,000 | Entergy Louisiana LLC, 0.950%, 10/01/2024 |
185,445 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Electric – continued |
| |||||||
| $ | 45,000 | Eversource Energy, Series N, 3.800%, 12/01/2023 |
$ | 44,438 | ||||
| 40,000 | ITC Holdings Corp., 4.950%, 9/22/2027, 144A |
39,023 | ||||||
| 125,000 | NextEra Energy Capital Holdings, Inc., 3-month LIBOR + 0.270%, 3.254%, 2/22/2023(a) |
124,637 | ||||||
| 105,000 | NextEra Energy Capital Holdings, Inc., 4.255%, 9/01/2024 |
103,491 | ||||||
| 25,000 | Oncor Electric Delivery Co. LLC, 4.550%, 9/15/2032, 144A |
24,047 | ||||||
| 110,000 | Pacific Gas & Electric Co., 3.250%, 2/16/2024 |
106,159 | ||||||
| 15,000 | Pacific Gas & Electric Co., SOFR Index + 1.150%, 3.803%, 11/14/2022(a) |
14,967 | ||||||
| 40,000 | Southern California Edison Co., SOFR + 0.470%, 3.277%, 12/02/2022(a) |
39,968 | ||||||
| 100,000 | Southern California Edison Co., Series D, 4.700%, 6/01/2027 |
97,058 | ||||||
| 85,000 | Southern Co. (The), Series 21-A, 0.600%, 2/26/2024 |
79,954 | ||||||
| 130,000 | Vistra Operations Co. LLC, 5.125%, 5/13/2025, 144A |
125,961 | ||||||
| 110,000 | WEC Energy Group, Inc., 0.800%, 3/15/2024 |
103,521 | ||||||
| 90,000 | Xcel Energy, Inc., 0.500%, 10/15/2023 |
85,747 | ||||||
|
|
|
|||||||
| 2,225,598 | ||||||||
|
|
|
|||||||
| Finance Companies – 3.2% |
| |||||||
| 80,000 | Air Lease Corp., 0.800%, 8/18/2024 |
72,871 | ||||||
| 40,000 | Air Lease Corp., MTN, 0.700%, 2/15/2024 |
37,371 | ||||||
| 40,000 | Aircastle Ltd., 2.850%, 1/26/2028, 144A |
31,052 | ||||||
| 30,000 | Ares Capital Corp., 2.875%, 6/15/2028 |
23,612 | ||||||
| 70,000 | Aviation Capital Group LLC, 3.875%, 5/01/2023, 144A |
68,725 | ||||||
| 35,000 | Avolon Holdings Funding Ltd., 5.500%, 1/15/2026, 144A |
32,917 | ||||||
| 60,000 | Bain Capital Specialty Finance, Inc., 2.550%, 10/13/2026 |
49,134 | ||||||
| 20,000 | Barings BDC, Inc., 3.300%, 11/23/2026, 144A |
16,589 | ||||||
| 20,000 | Blackstone Private Credit Fund, 1.750%, 9/15/2024 |
18,225 | ||||||
| 125,000 | Blackstone Private Credit Fund, 2.625%, 12/15/2026 |
102,614 | ||||||
| 70,000 | Blackstone Secured Lending Fund, 2.850%, 9/30/2028 |
53,095 | ||||||
| 45,000 | FS KKR Capital Corp., 3.250%, 7/15/2027 |
37,064 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Finance Companies – continued |
| |||||||
| $ | 15,000 | FS KKR Capital Corp., 4.250%, 2/14/2025, 144A |
$ | 13,914 | ||||
| 30,000 | GATX Corp., 4.900%, 3/15/2033 |
26,973 | ||||||
| 110,000 | Golub Capital BDC, Inc., 2.500%, 8/24/2026 |
92,207 | ||||||
| 70,000 | Hercules Capital, Inc., 3.375%, 1/20/2027 |
58,048 | ||||||
| 90,000 | Main Street Capital Corp., 3.000%, 7/14/2026 |
75,772 | ||||||
| 75,000 | Morgan Stanley Direct Lending Fund, 4.500%, 2/11/2027 |
66,542 | ||||||
| 50,000 | Oaktree Specialty Lending Corp., 3.500%, 2/25/2025 |
47,498 | ||||||
| 30,000 | Owl Rock Capital Corp., 3.750%, 7/22/2025 |
27,547 | ||||||
| 70,000 | Owl Rock Core Income Corp., 5.500%, 3/21/2025 |
65,856 | ||||||
| 20,000 | OWL Rock Core Income Corp., 7.750%, 9/16/2027, 144A |
19,696 | ||||||
| 110,000 | Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A |
99,014 | ||||||
|
|
|
|||||||
| 1,136,336 | ||||||||
|
|
|
|||||||
| Financial Other – 0.2% |
| |||||||
| 85,000 | ORIX Corp., 5.000%, 9/13/2027 |
82,586 | ||||||
|
|
|
|||||||
| Food & Beverage – 1.1% |
| |||||||
| 175,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.125%, 2/01/2028, 144A |
164,022 | ||||||
| 60,000 | Keurig Dr Pepper, Inc., 0.750%, 3/15/2024 |
56,518 | ||||||
| 175,000 | Nestle Holdings, Inc., 4.125%, 10/01/2027, 144A |
169,801 | ||||||
|
|
|
|||||||
| 390,341 | ||||||||
|
|
|
|||||||
| Gaming – 0.2% |
| |||||||
| 65,000 | GLP Capital LP/GLP Financing II, Inc., 5.250%, 6/01/2025 |
62,828 | ||||||
|
|
|
|||||||
| Government Owned – No Guarantee – 0.5% |
| |||||||
| 200,000 | NBN Co. Ltd., 0.875%, 10/08/2024, 144A |
183,586 | ||||||
|
|
|
|||||||
| Health Insurance – 0.3% |
| |||||||
| 125,000 | Humana, Inc., 0.650%, 8/03/2023 |
120,699 | ||||||
|
|
|
|||||||
| Healthcare – 0.7% |
| |||||||
| 70,000 | Baxter International, Inc., 2.272%, 12/01/2028 |
57,804 | ||||||
| 55,000 | Cigna Corp., 3.750%, 7/15/2023 |
54,595 | ||||||
| 145,000 | Illumina, Inc., 0.550%, 3/23/2023 |
141,991 | ||||||
|
|
|
|||||||
| 254,390 | ||||||||
|
|
|
|||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Home Construction – 0.0% |
| |||||||
| $ | 20,000 | Forestar Group, Inc., 3.850%, 5/15/2026, 144A |
$ | 16,450 | ||||
|
|
|
|||||||
| Independent Energy – 0.3% |
| |||||||
| 55,000 | EQT Corp., 6.125%, 2/01/2025 |
55,070 | ||||||
| 50,000 | Pioneer Natural Resources Co., 0.550%, 5/15/2023 |
48,788 | ||||||
|
|
|
|||||||
| 103,858 | ||||||||
|
|
|
|||||||
| Life Insurance – 5.5% |
| |||||||
| 25,000 | AIG Global Funding, 0.650%, 6/17/2024, 144A |
23,224 | ||||||
| 80,000 | Athene Global Funding, 2.500%, 3/24/2028, 144A |
66,593 | ||||||
| 20,000 | Brighthouse Financial Global Funding, 1.200%, 12/15/2023, 144A |
19,076 | ||||||
| 120,000 | Brighthouse Financial Global Funding, 1.750%, 1/13/2025, 144A |
109,443 | ||||||
| 95,000 | Corebridge Financial, Inc., 3.650%, 4/05/2027, 144A |
86,759 | ||||||
| 95,000 | Equitable Financial Life Global Funding, 0.500%, 4/06/2023, 144A |
93,088 | ||||||
| 42,000 | Equitable Holdings, Inc., 3.900%, 4/20/2023 |
41,779 | ||||||
| 120,000 | F&G Global Funding, 5.150%, 7/07/2025, 144A |
117,564 | ||||||
| 40,000 | Guardian Life Global Funding, 1.100%, 6/23/2025, 144A |
35,928 | ||||||
| 45,000 | Guardian Life Global Funding, 3.400%, 4/25/2023, 144A |
44,652 | ||||||
| 20,000 | Jackson National Life Global Funding, 3.875%, 6/11/2025, 144A |
19,164 | ||||||
| 150,000 | Met Tower Global Funding, 0.700%, 4/05/2024, 144A |
140,651 | ||||||
| 235,000 | Metropolitan Life Global Funding I, 1.875%, 1/11/2027, 144A |
205,151 | ||||||
| 120,000 | New York Life Global Funding, SOFR + 0.220%, 2.793%, 2/02/2023, 144A(a) |
119,850 | ||||||
| 145,000 | Northwestern Mutual Global Funding, 0.600%, 3/25/2024, 144A |
136,117 | ||||||
| 200,000 | Pricoa Global Funding I, 1.200%, 9/01/2026, 144A |
173,704 | ||||||
| 175,000 | Principal Life Global Funding II, 0.500%, 1/08/2024, 144A |
165,444 | ||||||
| 150,000 | Protective Life Global Funding, 0.502%, 4/12/2023, 144A |
147,137 | ||||||
| 45,000 | Reliance Standard Life Global Funding II, 2.150%, 1/21/2023, 144A |
44,622 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Life Insurance – continued |
| |||||||
| $ | 90,000 | RGA Global Funding, 2.700%, 1/18/2029, 144A |
$ | 75,342 | ||||
| 70,000 | Security Benefit Global Funding, 1.250%, 5/17/2024, 144A |
65,268 | ||||||
|
|
|
|||||||
| 1,930,556 | ||||||||
|
|
|
|||||||
| Lodging – 0.4% |
| |||||||
| 65,000 | Hyatt Hotels Corp., 1.300%, 10/01/2023 |
62,522 | ||||||
| 30,000 | Hyatt Hotels Corp., 5.625%, 4/23/2025 |
29,664 | ||||||
| 60,000 | Marriott International, Inc., 5.000%, 10/15/2027 |
57,944 | ||||||
|
|
|
|||||||
| 150,130 | ||||||||
|
|
|
|||||||
| Media Entertainment – 0.5% |
| |||||||
| 125,000 | Take-Two Interactive Software, Inc., 3.300%, 3/28/2024 |
121,834 | ||||||
| 70,000 | Warnermedia Holdings, Inc., 3.428%, 3/15/2024, 144A |
67,705 | ||||||
|
|
|
|||||||
| 189,539 | ||||||||
|
|
|
|||||||
| Metals & Mining – 0.5% |
| |||||||
| 80,000 | FMG Resources August Pty Ltd., 6.125%, 4/15/2032, 144A |
68,740 | ||||||
| 65,000 | Glencore Funding LLC, 4.125%, 3/12/2024, 144A |
63,871 | ||||||
| 45,000 | Nucor Corp., 3.950%, 5/23/2025 |
43,611 | ||||||
|
|
|
|||||||
| 176,222 | ||||||||
|
|
|
|||||||
| Midstream – 1.4% |
| |||||||
| 125,000 | Enbridge, Inc., SOFR + 0.400%, 3.090%, 2/17/2023(a) |
124,724 | ||||||
| 55,000 | Gray Oak Pipeline LLC, 2.600%, 10/15/2025, 144A |
49,304 | ||||||
| 120,000 | Targa Resources Corp., 5.200%, 7/01/2027 |
115,437 | ||||||
| 200,000 | TransCanada PipeLines Ltd., 1.000%, 10/12/2024 |
184,300 | ||||||
|
|
|
|||||||
| 473,765 | ||||||||
|
|
|
|||||||
| Natural Gas – 0.6% |
| |||||||
| 60,000 | Atmos Energy Corp., 0.625%, 3/09/2023 |
59,042 | ||||||
| 75,000 | CenterPoint Energy Resources Corp., 0.700%, 3/02/2023 |
73,620 | ||||||
| 35,000 | ONE Gas, Inc., 0.850%, 3/11/2023 |
34,454 | ||||||
| 40,000 | Sempra Energy, 3.700%, 4/01/2029 |
35,725 | ||||||
|
|
|
|||||||
| 202,841 | ||||||||
|
|
|
|||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Agency Commercial Mortgage-Backed Securities – 1.4% |
| |||||||
| $ | 93,936 | Benchmark Mortgage Trust, Series 2019-B10, Class A1, 2.793%, 3/15/2062 |
$ | 91,912 | ||||
| 95,000 | BPR Trust, Series 2022-SSP, Class A, 1-month SOFR + 3.000%, 5.845%, 5/15/2039, 144A(a) |
94,614 | ||||||
| 100,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A |
90,771 | ||||||
| 119,819 | Morgan Stanley Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A |
114,421 | ||||||
| 100,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.295%, 8/15/2046(b) |
98,737 | ||||||
|
|
|
|||||||
| 490,455 | ||||||||
|
|
|
|||||||
| Packaging – 0.5% |
| |||||||
| 40,000 | Amcor Flexibles North America, Inc., 4.000%, 5/17/2025 |
38,614 | ||||||
| 165,000 | Sonoco Products Co., 1.800%, 2/01/2025 |
152,862 | ||||||
|
|
|
|||||||
| 191,476 | ||||||||
|
|
|
|||||||
| Pharmaceuticals – 1.0% |
| |||||||
| 190,000 | Amgen, Inc., 4.050%, 8/18/2029 |
174,836 | ||||||
| 95,000 | AstraZeneca PLC, 3.500%, 8/17/2023 |
94,219 | ||||||
| 80,000 | Bayer U.S. Finance II LLC, 3.375%, 7/15/2024, 144A |
77,166 | ||||||
|
|
|
|||||||
| 346,221 | ||||||||
|
|
|
|||||||
| Property & Casualty Insurance – 0.6% |
| |||||||
| 30,000 | Allstate Corp. (The), 3-month LIBOR + 0.630%, 4.272%, 3/29/2023(a) |
29,933 | ||||||
| 80,000 | AON Corp., 2.200%, 11/15/2022 |
79,805 | ||||||
| 34,000 | Assurant, Inc., 4.200%, 9/27/2023 |
33,811 | ||||||
| 55,000 | Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032, 144A |
50,712 | ||||||
| 35,000 | Trustage Financial Group, Inc., 4.625%, 4/15/2032, 144A |
30,217 | ||||||
|
|
|
|||||||
| 224,478 | ||||||||
|
|
|
|||||||
| Railroads – 0.3% |
| |||||||
| 100,000 | Canadian Pacific Railway Co., 1.350%, 12/02/2024 |
92,472 | ||||||
|
|
|
|||||||
| REITs – Diversified – 0.3% |
| |||||||
| 95,000 | Digital Realty Trust LP, 5.550%, 1/15/2028 |
94,207 | ||||||
|
|
|
|||||||
| REITs – Mortgage – 0.4% |
| |||||||
| 45,000 | Starwood Property Trust, Inc., 5.500%, 11/01/2023, 144A |
44,212 | ||||||
| 95,000 | Starwood Property Trust, Inc., Series 2022-17, Class IO, 3.750%, 12/31/2024, 144A |
86,094 | ||||||
|
|
|
|||||||
| 130,306 | ||||||||
|
|
|
|||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| REITs – Office Property – 0.5% |
| |||||||
| $ | 95,000 | Hudson Pacific Properties LP, 5.950%, 2/15/2028 |
$ | 90,983 | ||||
| 65,000 | Office Properties Income Trust, 3.450%, 10/15/2031 |
39,273 | ||||||
| 55,000 | Office Properties Income Trust, 4.500%, 2/01/2025 |
48,892 | ||||||
|
|
|
|||||||
| 179,148 | ||||||||
|
|
|
|||||||
| REITs – Shopping Centers – 0.1% |
| |||||||
| 40,000 | Federal Realty Investment Trust, 3.950%, 1/15/2024 |
39,501 | ||||||
|
|
|
|||||||
| REITs – Storage – 0.1% |
| |||||||
| 30,000 | Extra Space Storage LP, 3.900%, 4/01/2029 |
26,710 | ||||||
|
|
|
|||||||
| Retailers – 1.0% |
| |||||||
| 65,000 | 7-Eleven, Inc., 0.625%, 2/10/2023, 144A |
64,067 | ||||||
| 45,000 | Home Depot, Inc. (The), 4.500%, 9/15/2032 |
43,012 | ||||||
| 85,000 | Lowe’s Cos., Inc., 4.400%, 9/08/2025 |
83,703 | ||||||
| 20,000 | Tapestry, Inc., 3.050%, 3/15/2032 |
14,921 | ||||||
| 135,000 | Walgreens Boots Alliance, Inc., 0.950%, 11/17/2023 |
129,235 | ||||||
|
|
|
|||||||
| 334,938 | ||||||||
|
|
|
|||||||
| Technology – 3.9% |
| |||||||
| 55,000 | Avnet, Inc., 5.500%, 6/01/2032 |
49,940 | ||||||
| 60,000 | Broadcom, Inc., 4.000%, 4/15/2029, 144A |
52,886 | ||||||
| 80,000 | Dell International LLC/EMC Corp., 5.850%, 7/15/2025 |
80,614 | ||||||
| 55,000 | Equifax, Inc., 5.100%, 12/15/2027 |
53,212 | ||||||
| 120,000 | Fidelity National Information Services, Inc., 4.500%, 7/15/2025 |
117,427 | ||||||
| 60,000 | Global Payments, Inc., 1.500%, 11/15/2024 |
55,126 | ||||||
| 90,000 | HP, Inc., 4.750%, 1/15/2028 |
84,458 | ||||||
| 80,000 | Infor, Inc., 1.450%, 7/15/2023, 144A |
77,187 | ||||||
| 190,000 | Intel Corp., 3.750%, 8/05/2027 |
180,391 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Technology – continued |
| |||||||
| $ | 30,000 | Jabil, Inc., 4.250%, 5/15/2027 |
$ | 27,964 | ||||
| 90,000 | Marvell Technology, Inc., 4.200%, 6/22/2023 |
89,728 | ||||||
| 75,000 | Microchip Technology, Inc., 2.670%, 9/01/2023 |
73,091 | ||||||
| 35,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027 |
31,176 | ||||||
| 25,000 | Qorvo, Inc., 1.750%, 12/15/2024, 144A |
23,045 | ||||||
| 65,000 | Seagate HDD Cayman, 4.875%, 3/01/2024 |
63,049 | ||||||
| 80,000 | Skyworks Solutions, Inc., 0.900%, 6/01/2023 |
77,614 | ||||||
| 175,000 | VMware, Inc., 0.600%, 8/15/2023 |
168,484 | ||||||
| 20,000 | Western Digital Corp., 2.850%, 2/01/2029 |
15,543 | ||||||
| 55,000 | Western Union Co. (The), 4.250%, 6/09/2023 |
54,764 | ||||||
|
|
|
|||||||
| 1,375,699 | ||||||||
|
|
|
|||||||
| Tobacco – 0.6% |
| |||||||
| 225,000 | BAT International Finance PLC, 4.448%, 3/16/2028 |
200,533 | ||||||
|
|
|
|||||||
| Transportation Services – 0.6% |
| |||||||
| 50,000 | Element Fleet Management Corp., 3.850%, 6/15/2025, 144A |
47,321 | ||||||
| 30,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 4.125%, 8/01/2023, 144A |
29,716 | ||||||
| 50,000 | Ryder System, Inc., MTN, 4.625%, 6/01/2025 |
49,043 | ||||||
| 100,000 | Triton Container International Ltd., 0.800%, 8/01/2023, 144A |
95,903 | ||||||
|
|
|
|||||||
| 221,983 | ||||||||
|
|
|
|||||||
| Treasuries – 20.3% |
| |||||||
| 3,435,000 | U.S. Treasury Note, 2.500%, 5/31/2024 |
3,335,707 | ||||||
| 1,695,000 | U.S. Treasury Note, 3.000%, 6/30/2024 |
1,658,055 | ||||||
| 500,000 | U.S. Treasury Note, 3.000%, 7/31/2024 |
488,867 | ||||||
| 120,000 | U.S. Treasury Note, 3.125%, 8/31/2027 |
115,106 | ||||||
| 1,580,000 | U.S. Treasury Note, 3.250%, 8/31/2024 |
1,551,486 | ||||||
|
|
|
|||||||
| 7,149,221 | ||||||||
|
|
|
|||||||
| Wireless – 0.2% |
| |||||||
| 65,000 | Crown Castle, Inc., 2.900%, 3/15/2027 |
57,696 | ||||||
|
|
|
|||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Wirelines – 0.4% |
| |||||||
| $ | 85,000 | Bell Telephone Co. of Canada/Bell Canada (The), 0.750%, 3/17/2024 |
$ | 80,020 | ||||
| 50,000 | Verizon Communications, Inc., 3.000%, 3/22/2027 |
45,466 | ||||||
|
|
|
|||||||
| 125,486 | ||||||||
|
|
|
|||||||
| Total Bonds and Notes (Identified Cost $36,323,134) |
34,636,777 | |||||||
|
|
|
|||||||
| Short-Term Investments – 0.1% |
||||||||
| 20,414 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2022 at 1.100% to be repurchased at $20,416 on 10/03/2022 collateralized by $21,300 U.S. Treasury Note,
3.500% due 9/15/2025 valued at $20,889 including accrued interest(d) (Identified Cost $20,414) |
20,414 | ||||||
|
|
|
|||||||
| Total Investments – 98.6% (Identified Cost $36,343,548) |
34,657,191 | |||||||
| Other assets less liabilities – 1.4% | 491,175 | |||||||
|
|
|
|||||||
| Net Assets – 100.0% | $ | 35,148,366 | ||||||
|
|
|
|||||||
| (†) | 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. Rate as of September 30, 2022 is disclosed. |
| (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 September 30, 2022 is disclosed. |
| (c) | Level 3 security. Value has been determined using significant unobservable inputs. |
| (d) | 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 September 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 September 30, 2022, the value of Rule 144A holdings amounted to $9,320,890 or 26.5% of net assets. |
| ABS | Asset-Backed Securities |
| CMT | Constant Maturity Treasury |
| FHLMC | Federal Home Loan Mortgage Corp. |
| GMTN | Global Medium Term Note |
| 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 September 30, 2022, open long futures contracts were as follows:
| Financial Futures |
Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| 2 Year U.S. Treasury Note |
12/30/2022 | 45 | $ | 9,393,481 | $ | 9,242,578 | $ | (150,903 | ) | |||||||||||
|
|
|
|||||||||||||||||||
At September 30, 2022, open short futures contracts were as follows:
| Financial Futures |
Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| 5 Year U.S. Treasury Note |
12/30/2022 | 9 | $ | 1,001,676 | $ | 967,570 | $ | 34,106 | ||||||||||||
| 10 Year U.S. Treasury Note |
12/20/2022 | 35 | 4,106,545 | 3,922,188 | 184,357 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total |
|
$ | 218,463 | |||||||||||||||||
|
|
|
|||||||||||||||||||
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 September 30, 2022, at value:
Asset Valuation Inputs
| Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Bonds and Notes |
||||||||||||||||
| Collateralized Mortgage Obligations |
$ | — | $ | 287,139 | $ | 49,126 | $ | 336,265 | ||||||||
| All Other Bonds and Notes* |
— | 34,300,512 | — | 34,300,512 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Bonds and Notes |
— | 34,587,651 | 49,126 | 34,636,777 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
— | 20,414 | — | 20,414 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
— | 34,608,065 | — | 34,657,191 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Futures Contracts (unrealized appreciation) |
218,463 | — | — | 218,463 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 218,463 | $ | 34,608,065 | $ | 49,126 | $ | 34,875,654 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||
| Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Futures Contracts (unrealized depreciation) |
$ | (150,903 | ) | $ | — | $ | — | $ | (150,903 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | 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 December 31, 2021 and/or September 30, 2022:
Asset Valuation Inputs
| Investments in Securities |
Balance as of December 31, 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 September 30, 2022 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2022 |
||||||||||||||||||||||||||||||
| Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
| Collateralized Mortgage Obligations |
$ | 35,310 | $ | — | $ | (162 | ) | $ | (676 | ) | $ | 30 | $ | (29,566 | ) | $ | 44,190 | $ | — | $ | 49,126 | $ | (805 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
A debt security valued at $44,190 was transferred from Level 2 to Level 3 during the period ended September 30, 2022. At December 31, 2021, this security was valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2022, this security was fair valued as determined by the Fund’s valuation designee as an independent pricing service did not provide a reliable price for the security.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include futures contracts.
The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the period ended September 30, 2022, the Fund used futures contracts to manage duration.
The following is a summary of derivative instruments for the Fund, as of September 30, 2022:
| Assets |
Unrealized appreciation on futures contracts |
|||
| Exchange-traded asset derivatives |
||||
| Interest rate contracts |
$ | 218,463 | ||
| Liabilities |
Unrealized depreciation on futures contracts |
|||
| Exchange-traded liability derivatives |
||||
| Interest rate contracts |
$ | (150,903 | ) | |
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 clearinghouse, 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 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 September 30, 2022:
| Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net | |
| $114,951 |
$114,951 |
Industry Summary at September 30, 2022 (Unaudited)
| Treasuries |
20.3 | % | ||
| Banking |
17.0 | |||
| ABS Car Loan |
16.8 | |||
| Electric |
6.3 | |||
| Life Insurance |
5.5 | |||
| Technology |
3.9 | |||
| Finance Companies |
3.2 | |||
| Automotive |
3.1 | |||
| ABS Other |
2.1 | |||
| Other Investments, less than 2% each |
20.3 | |||
| Short-Term Investments |
0.1 | |||
|
|
|
|||
| Total Investments |
98.6 | |||
| Other assets less liabilities (including futures contracts) |
1.4 | |||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|