NPORT-P false 0000917469 XXXXXXXX S000006641 C000018127 C000125494 C000018128 LOOMIS SAYLES FUNDS I 811-08282 0000917469 549300826G7KS737WZ11 888 BOYLSTON STREET Suite 800 BOSTON 02199-8197 617-449-2139 Loomis Sayles Global Bond Fund S000006641 549300SSY8500EZNEU95 2022-09-30 2022-09-30 N 515566614.29 1839422.39 513727191.90 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 12989424.62000000 AUD CAD CNY EUR GBP JPY KRW NOK NZD USD ZAR N Fund's Securities Portfolio N/A FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 6685000.00000000 PA 5081775.63000000 0.989197323039 Long DBT NUSS FR N 2 2032-05-25 None 0.00000000 N N N N N N CF Industries Inc 5FVKT86LAD2F40NPC183 12527GAD5 355000.00000000 PA USD 286034.76000000 0.055678337551 Long DBT CORP US N 2 2043-06-01 Fixed 4.95000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC N/A 40139.33000000 0.007813355148 N/A DFE XX N 2 UBS AG BFM8T61CT2L1QCEMIK50 45615000.00000000 ZAR 2579095.95000000 EUR 2022-12-21 40139.33000000 N N N FERGUSON FINANCE PLC 2138003A7ZEU931DZL61 314890AB0 585000.00000000 PA USD 480889.87000000 0.093608023398 Long DBT CORP GB N 2 2030-06-02 Fixed 3.25000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBQ3 1484000.00000000 PA USD 1014976.06000000 0.197571021352 Long DBT CORP US N 2 2036-11-15 Fixed 3.18700000 N N N N N N EDP FINANCE BV 5299007L43AQDFOW5739 000000000 230000.00000000 PA 199232.23000000 0.038781717834 Long DBT CORP NL N 2 2026-09-16 Fixed 0.37500000 N N N N N N NORWEGIAN GOVERNMENT 549300L0BT3FJTN9MX24 000000000 33565000.00000000 PA 2980637.35000000 0.580198478296 Long DBT NUSS NO N 2 2025-03-13 Fixed 1.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SN9 1755000.00000000 PA USD 982251.56000000 0.191201006193 Long DBT UST US N 2 2050-05-15 Fixed 1.25000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023BY0 120000.00000000 PA USD 82197.46000000 0.016000215930 Long DBT CORP US N 2 2038-03-01 Fixed 3.55000000 N N N N N N ELECTRICITE DE FRANCE SA 549300X3UK4GG3FNMO06 000000000 300000.00000000 PA 165866.82000000 0.032286945798 Long DBT CORP FR N 2 2049-12-09 Fixed 2.00000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 111806.60000000 0.021763808060 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 69001000.00000000 ZAR 3897965.18000000 USD 2022-12-21 111806.60000000 N N N SUZANO AUSTRIA GMBH 254900287ZNSGVP1R341 86964WAH5 200000.00000000 PA USD 173342.00000000 0.033742033268 Long DBT CORP AT N 2 2030-01-15 Fixed 5.00000000 N N N N N N AUTOSTRADE PER L'ITALIA 815600149448CEB9B230 000000000 770000.00000000 PA 555163.45000000 0.108065809782 Long DBT CORP IT N 2 2029-09-26 Fixed 1.87500000 N N N N N N MANITOBA (PROVINCE OF) 5493003QILFOB3JRKE30 56344ZPH6 1260000.00000000 PA 923981.76000000 0.179858449108 Long DBT NUSS CA N 2 2025-09-05 Fixed 4.40000000 N N N N N N BRASS PLC 2138001JRCRN7WGSM347 10554MAA8 373021.66000000 PA USD 373001.14000000 0.072606851628 Long ABS-MBS CORP GB N 2 2066-11-16 Floating 3.62200000 N N N N N N OWL ROCK CAPITAL CORP 2549000BD79OOCPF2L94 69121KAG9 740000.00000000 PA USD 563545.11000000 0.109697348881 Long DBT CORP US N 2 2028-06-11 Fixed 2.87500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CFF3 1165000.00000000 PA USD 1065246.88000000 0.207356530235 Long DBT UST US N 2 2032-08-15 Fixed 2.75000000 N N N N N N UniCredit SpA 549300TRUWO2CD2G5692 904678AQ2 605000.00000000 PA USD 513455.07000000 0.099947029881 Long DBT CORP IT N 2 2034-04-02 Fixed 7.29600000 N N N N N N Lanark Master Issuer plc 213800KIOPB5OYXIVY33 000000000 123500.00000000 PA 137728.31000000 0.026809620392 Long ABS-MBS CORP GB N 2 2069-12-22 Floating 2.55800000 N N N N N N FRAPORT AG 5299001ERX0K10IZUL40 000000000 4375000.00000000 PA 3602327.28000000 0.701214056175 Long DBT CORP DE N 2 2028-03-31 Fixed 1.87500000 N N N N N N AUSTRALIAN GOVERNMENT 213800J6B7JSBDETCB42 000000000 3840000.00000000 PA 2172230.56000000 0.422837372490 Long DBT NUSS AU N 2 2026-09-21 Fixed 0.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -132.00000000 NC USD 921682.35000000 0.179410855514 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT Ultra 10-Year U.S. Treasury Notes Futures UXYZ2 Comdty 2022-12-20 -16561619.85000000 USD 921682.35000000 N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCA1 1215000.00000000 PA USD 805794.57000000 0.156852621917 Long DBT CORP US N 2 2051-03-25 Fixed 3.95000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC -45614.23000000 -0.00887907642 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 3962000.00000000 GBP 4383354.74000000 USD 2022-12-21 -45614.23000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D6B3 4651910.57000000 PA USD 3776199.48000000 0.735059295972 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HBB3 1450000.00000000 PA USD 1301339.33000000 0.253313305294 Long DBT CORP XX N 2 2033-01-15 Fixed 5.00000000 N N N N N N AKER BP ASA 549300NFTY73920OYK69 00973RAF0 320000.00000000 PA USD 272015.23000000 0.052949354110 Long DBT CORP NO N 2 2030-01-15 Fixed 3.75000000 N N N N N N OSLO KOMMUNE 5967007LIEEXZXGVU850 000000000 2000000.00000000 PA 177881.25000000 0.034625624807 Long DBT NUSS NO N 2 2024-09-04 Fixed 2.35000000 N N N N N N Ally Financial Inc 549300JBN1OSM8YNAI90 02005NBA7 310000.00000000 PA USD 303004.12000000 0.058981522640 Long DBT CORP US N 2 2025-03-30 Fixed 4.62500000 N N N N N N LEGAL & GENERAL GROUP 213800JH9QQWHLO99821 000000000 490000.00000000 PA 405639.00000000 0.078960001805 Long DBT CORP GB N 2 2049-11-26 Fixed 3.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SW9 8510000.00000000 PA USD 6027805.84000000 1.173347631786 Long DBT UST US N 2 2041-02-15 Fixed 1.87500000 N N N N N N NORDIC INVESTMENT BANK 213800HYL1S7VAXG6Z48 000000000 18000000.00000000 PA 1613652.41000000 0.314106871398 Long DBT NUSS XX N 2 2023-01-16 Fixed 0.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNEY4 3120928.01000000 PA USD 2534172.45000000 0.493291476479 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N EQT Corp 4NT01YGM4X7ZX86ISY52 26884LAF6 190000.00000000 PA USD 172899.48000000 0.033655894164 Long DBT CORP US N 2 2027-10-01 Fixed 3.90000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 1.00000000 NC -252370.70000000 -0.04912543154 N/A DFE JP N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 27237352.77000000 USD 3871136000.00000000 JPY 2022-12-21 -252370.70000000 N N N LOGICOR FINANCING SARL 254900IS16Q1A2TQFN22 000000000 2180000.00000000 PA 1605881.52000000 0.312594222248 Long DBT CORP LU N 2 2030-01-17 Fixed 1.62500000 N N N N N N Aflac Inc 549300N0B7DOGLXWPP39 001055AS1 290000000.00000000 PA 1996116.91000000 0.388555821352 Long DBT CORP US N 2 2027-01-25 Fixed 0.93200000 N N N N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 000000000 84570000.00000000 PA 11752973.46000000 2.287784965505 Long DBT NUSS CN N 2 2025-04-09 Fixed 1.99000000 N N N N N N Legacy Mortgage Asset Trust 2020-GSL N/A 52474PAA0 1602947.77000000 PA USD 1592513.70000000 0.309992097967 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.88200000 N N N N N N IRISH TSY 1% 2026 549300KXBEJAOJ9OVF93 000000000 3205000.00000000 PA 3022014.38000000 0.588252758983 Long DBT NUSS IE N 2 2026-05-15 Fixed 1.00000000 N N N N N N OVINTIV INC N/A 292505AD6 472000.00000000 PA USD 459809.80000000 0.089504664586 Long DBT CORP US N 2 2034-08-15 Fixed 6.50000000 N N N N N N LEGAL & GENERAL GROUP 213800JH9QQWHLO99821 000000000 1720000.00000000 PA 1470904.05000000 0.286320068937 Long DBT CORP GB N 2 2050-11-01 Fixed 4.50000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 25160PAG2 1805000.00000000 PA USD 1170043.96000000 0.227755894266 Long DBT CORP DE N 2 2033-01-07 Fixed 3.74200000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RBL2 865000.00000000 PA USD 690056.92000000 0.134323612002 Long DBT CORP US N 2 2047-04-15 Fixed 5.30000000 N N N N N N Vericrest Opportunity Loan Transferee N/A 91835EAA7 1187994.42000000 PA USD 1082637.61000000 0.210741737457 Long ABS-MBS CORP US N 2 2051-04-25 Variable 2.24000000 N N N N N N ANHEUSER-BUSCH INBEV FIN 5493000EYEKDT0FBSQ91 035242AM8 305000.00000000 PA USD 274878.93000000 0.053506790050 Long DBT CORP US N 2 2036-02-01 Fixed 4.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XH4D6 3019585.99000000 PA USD 2948373.80000000 0.573918189748 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 5.00000000 N N N N N N BLACKSTONE PP EUR HOLD 213800Y3B5GQFBGVHP79 000000000 1960000.00000000 PA 1399704.73000000 0.272460705228 Long DBT CORP LU N 2 2030-04-20 Fixed 1.62500000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401AU2 715000.00000000 PA USD 501957.00000000 0.097708863364 Long DBT CORP CH N 2 2032-05-14 Fixed 3.09100000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 69.00000000 NC USD -262114.78000000 -0.05102217366 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year U.S. Treasury Notes FVZ2 COMDTY 2022-12-30 7680153.88000000 USD -262114.78000000 N N N AMERICA MOVIL SAB DE CV 5493000FNR3UCEAONM59 02364WBJ3 405000.00000000 PA USD 340127.00000000 0.066207708169 Long DBT CORP MX N 2 2030-05-07 Fixed 2.87500000 N N N N N N Aflac Inc 549300N0B7DOGLXWPP39 000000000 390000000.00000000 PA 2769153.60000000 0.539031930499 Long DBT CORP US N 2 2047-10-23 Fixed 2.10800000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCS8 8560000.00000000 PA USD 6917884.35000000 1.346606615159 Long DBT UST US N 2 2031-08-15 Fixed 1.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDWG7 6091986.26000000 PA USD 4950521.35000000 0.963647910419 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -129051.85000000 -0.02512069675 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 2710316.05000000 USD 4030000.00000000 AUD 2022-12-21 -129051.85000000 N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CF0 195000.00000000 PA USD 117463.99000000 0.022865052084 Long DBT CORP US N 2 2059-03-01 Fixed 3.82500000 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBJ8 145000.00000000 PA USD 145608.26000000 0.028343498708 Long DBT CORP US N 2 2025-05-01 Fixed 5.80000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264AAX3 840000.00000000 PA USD 683998.47000000 0.133144299306 Long DBT CORP US N 2 2040-04-15 Fixed 4.37500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SU3 985000.00000000 PA USD 652100.78000000 0.126935227545 Long DBT UST US N 2 2051-02-15 Fixed 1.87500000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CR4 175000.00000000 PA USD 108718.89000000 0.021162767265 Long DBT CORP US N 2 2059-08-01 Fixed 3.95000000 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 3275000.00000000 PA 1953337.36000000 0.380228531952 Long DBT NUSS FR N 2 2044-06-25 Fixed 0.50000000 N N N N N N CK HUTCHISON INTL 19 LTD 254900FPY8WXG61CMU70 12564CAB2 3350000.00000000 PA USD 3079286.20000000 0.599401053429 Long DBT CORP KY N 2 2029-04-11 Fixed 3.62500000 N N N N N N FRAPORT AG 5299001ERX0K10IZUL40 000000000 211000.00000000 PA 187432.49000000 0.036484829488 Long DBT CORP DE N 2 2027-07-09 Fixed 2.12500000 N N N N N N BONOS Y OBLIG DEL ESTADO 9598007A56S18711AH60 000000000 2460000.00000000 PA 2238378.29000000 0.435713414686 Long DBT NUSS ES N 2 2030-07-30 Fixed 1.95000000 N N N N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 1.00000000 NC -87796.86000000 -0.01709017186 N/A DFE CH N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 3416329.80000000 USD 3258000.00000000 CHF 2022-12-21 -87796.86000000 N N N BLACKSTONE PP EUR HOLD 213800Y3B5GQFBGVHP79 000000000 550000.00000000 PA 412352.85000000 0.080266891942 Long DBT CORP LU N 2 2029-03-12 Fixed 1.75000000 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 18722000000.00000000 PA 1289116.20000000 0.250934001611 Long DBT NUSS ID N 2 2029-05-15 Fixed 8.25000000 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AL9 1885000.00000000 PA USD 1372026.15000000 0.267072907884 Long DBT CORP US N 2 2031-08-15 Fixed 2.20000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -134.00000000 NC USD 1364091.06000000 0.265528296245 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT U.S. Long Bond Futures USZ2 COMDTY 2022-12-20 -18302528.56000000 USD 1364091.06000000 N N N Banco Santander SA 5493006QMFDDMYWIAM13 05964HAB1 400000.00000000 PA USD 367539.82000000 0.071543773776 Long DBT CORP ES N 2 2027-04-11 Fixed 4.25000000 N N N N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 2345000.00000000 PA 1916122.70000000 0.372984480909 Long DBT NUSS DE N 2 2048-08-15 Fixed 1.25000000 N N N N N N NORDIC INVESTMENT BANK 213800HYL1S7VAXG6Z48 000000000 44510000.00000000 PA 3896898.84000000 0.758554131734 Long DBT NUSS XX N 2 2025-03-13 Fixed 1.50000000 N N N N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 7675000.00000000 PA 7018986.36000000 1.366286712221 Long DBT NUSS DE N 2 2026-08-15 None 0.00000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAN9 2775000.00000000 PA USD 2313423.12000000 0.450321329389 Long DBT CORP US N 2 2031-05-15 Fixed 3.62500000 N N N N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 6065000.00000000 PA 5383484.29000000 1.047926676820 Long DBT NUSS DE N 2 2028-08-15 Fixed 0.25000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023BZ7 40000.00000000 PA USD 24876.09000000 0.004842276288 Long DBT CORP US N 2 2048-03-01 Fixed 3.62500000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAR1 1450000.00000000 PA USD 1101801.55000000 0.214472110367 Long DBT NUSS MX N 2 2034-02-12 Fixed 3.50000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAT8 2566000.00000000 PA USD 2305807.60000000 0.448838923918 Long DBT CORP US N 2 2029-12-15 Fixed 4.62500000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 99632000.00000000 PA 4668918.92000000 0.908832351803 Long DBT NUSS MX N 2 2029-05-31 Fixed 8.50000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023BX2 65000.00000000 PA USD 56271.71000000 0.010953617189 Long DBT CORP US N 2 2028-03-01 Fixed 3.25000000 N N N N N N ELECTRICITE DE FRANCE SA 549300X3UK4GG3FNMO06 000000000 300000.00000000 PA 266346.74000000 0.051845949406 Long DBT CORP FR N 2 2050-09-22 Fixed 5.12500000 N N N N N N AVIVA PLC YF0Y5B0IB8SM0ZFG9G81 000000000 1030000.00000000 PA 762927.01000000 0.148508200856 Long DBT CORP GB N 2 2055-06-03 Fixed 4.00000000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AS0 1725000.00000000 PA USD 1548145.01000000 0.301355473179 Long DBT CORP US N 2 2028-01-15 Fixed 4.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QQBZ7 7547579.79000000 PA USD 7210514.69000000 1.403568820901 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4.50000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -38046.31000000 -0.00740593657 N/A DFE SG N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 2000767.34000000 USD 2816000.00000000 SGD 2022-12-21 -38046.31000000 N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AS8 200000.00000000 PA USD 148707.93000000 0.028946867587 Long DBT CORP IT N 2 2035-06-30 Fixed 5.45900000 N N N N N N HEIMSTADEN BOSTAD TRESRY 549300ORG6UYMJBCV938 000000000 805000.00000000 PA 518232.81000000 0.100877044892 Long DBT CORP NL N 2 2031-10-13 Fixed 1.62500000 N N N N N N Taubman Centers Commercial Mortgage Trust N/A 87666YAA5 1585000.00000000 PA USD 1526879.64000000 0.297216044638 Long ABS-MBS CORP US N 2 2037-05-15 Floating 5.03100000 N N N N N N INTER-AMERICAN DEVEL BK VKU1UKDS9E7LYLMACP54 458182CZ3 2665000.00000000 PA 1960179.03000000 0.381560302998 Long DBT NUSS XX N 2 2026-01-26 Fixed 4.40000000 N N N N N N Banco Santander SA 5493006QMFDDMYWIAM13 05971KAA7 2600000.00000000 PA USD 2516254.00000000 0.489803545475 Long DBT CORP ES N 2 2025-11-19 Fixed 5.17900000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 693577AA6 1760723.81000000 PA USD 1633642.34000000 0.317998028089 Long ABS-MBS CORP US N 2 2026-01-25 Variable 2.11500000 N N N N N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 23311VAK3 415000.00000000 PA USD 328064.93000000 0.063859755756 Long DBT CORP US N 2 2032-02-15 Fixed 3.25000000 N N N N N N Ovintiv Inc N/A 012873AK1 87000.00000000 PA USD 90630.72000000 0.017641799271 Long DBT CORP US N 2 2031-11-01 Fixed 7.37500000 N N N N N N KFW 549300GDPG70E3MBBU98 000000000 32680000.00000000 PA 2945789.04000000 0.573415051110 Long DBT CORP DE N 2 2023-08-28 Fixed 1.25000000 N N N N N N Ally Financial Inc 549300JBN1OSM8YNAI90 02005NBH2 275000.00000000 PA USD 268670.37000000 0.052298257564 Long DBT CORP US N 2 2024-05-21 Fixed 3.87500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBL4 3600000.00000000 PA USD 2915015.62000000 0.567424825074 Long DBT UST US N 2 2031-02-15 Fixed 1.12500000 N N N N N N BANCO DO BRASIL (CAYMAN) QE0Q0253K88YAGNPE356 05959LAF0 1020000.00000000 PA USD 985830.00000000 0.191897570450 Long DBT CORP BR N 2 2025-01-15 Fixed 4.62500000 N N N N N N EDP Finance BV 5299007L43AQDFOW5739 26835PAF7 405000.00000000 PA USD 390848.18000000 0.076080882258 Long DBT CORP NL N 2 2024-07-15 Fixed 3.62500000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 65.00000000 NC USD -352246.12000000 -0.06856676569 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 10 Year U.S. Treasury Notes TYZ2 COMDTY 2022-12-20 7636308.62000000 USD -352246.12000000 N N N Barclays PLC 213800LBQA1Y9L22JB70 000000000 635000.00000000 PA 612461.63000000 0.119219235356 Long DBT CORP GB N 2 2028-02-07 Fixed 2.00000000 N N N N N N BONOS Y OBLIG DEL ESTADO 9598007A56S18711AH60 000000000 2835000.00000000 PA 3015987.71000000 0.587079632449 Long DBT NUSS ES N 2 2037-01-31 Fixed 4.20000000 N N N N N N ENEL FINANCE INTL NV 0YQH6LCEF474UTUV4B96 29268BAF8 1600000.00000000 PA USD 1381567.79000000 0.268930243869 Long DBT CORP NL N 2 2039-10-07 Fixed 6.00000000 N N N N N N LOGICOR FINANCING SARL 254900IS16Q1A2TQFN22 000000000 1510000.00000000 PA 984238.66000000 0.191587806820 Long DBT CORP LU N 2 2031-01-14 Fixed 0.87500000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AV3 1100000.00000000 PA USD 805524.50000000 0.156800051214 Long DBT CORP US N 2 2032-04-01 Fixed 2.87500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CER8 5315000.00000000 PA USD 5161363.28000000 1.004689524202 Long DBT UST US N 2 2024-05-31 Fixed 2.50000000 N N N N N N ROCKETMTGE CO-ISSUER INC N/A 000000000 10000.00000000 PA USD 7248.54000000 0.001410970669 Long DBT CORP US N 2 2031-03-01 Fixed 3.87500000 N N N N N N ICE Futures Europe - Financial Products Division N/A 000000000 23.00000000 NC -348002.58000000 -0.06774073583 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division N/A Long ICF Long Gilt Futures G Z2 COMDTY 2022-12-28 2528876.68000000 GBP -348002.58000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC 157050.11000000 0.030570721674 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 3813000.00000000 GBP 4419457.65000000 USD 2022-12-21 157050.11000000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABN4 625000.00000000 PA USD 407186.68000000 0.079261266761 Long DBT CORP US N 2 2051-02-15 Fixed 3.30000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 42.00000000 NC -259532.01000000 -0.05051942238 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex 10 Year Euro BUND Futures RXZ2 COMDTY 2022-12-08 6081395.04000000 EUR -259532.01000000 N N N ARES CAPITAL CORP WEQ82666OJYSI5GUAB47 04010LBB8 1325000.00000000 PA USD 1042857.28000000 0.202998263756 Long DBT CORP US N 2 2028-06-15 Fixed 2.87500000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967JS1 2930000.00000000 PA 2045856.30000000 0.398237884281 Long DBT CORP US N 2 2025-06-09 Fixed 4.09000000 N N N N N N BANK OF IRELAND GROUP 635400C8EK6DRI12LJ39 06279JAB5 400000.00000000 PA USD 330594.81000000 0.064352211682 Long DBT CORP IE N 2 2027-09-30 Fixed 2.02900000 N N N N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 000000000 74870000.00000000 PA 1796850.05000000 0.349767362586 Long DBT NUSS TH N 2 2029-12-17 Fixed 1.60000000 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 38485000000.00000000 PA 2388812.16000000 0.464996246580 Long DBT NUSS ID N 2 2031-02-15 Fixed 6.50000000 N N N N N N PulteGroup Inc N/A 745867AX9 593000.00000000 PA USD 575086.31000000 0.111943910905 Long DBT CORP US N 2 2027-01-15 Fixed 5.00000000 N N N N N N AASET 2021-2 Trust N/A 00258BAA2 1910542.42000000 PA USD 1510104.77000000 0.293950718165 Long ABS-O CORP US N 2 2047-01-15 Fixed 2.79800000 N N N N N N DP WORLD PLC 549300M3U2DNF4QVSS04 000000000 800000.00000000 PA USD 698353.60000000 0.135938609248 Long DBT CORP AE N 2 2048-09-25 Fixed 5.62500000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DC6 757000.00000000 PA USD 628346.96000000 0.122311407670 Long DBT CORP US N 2 2031-02-01 Fixed 3.62500000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACT0 350000.00000000 PA USD 231065.71000000 0.044978290743 Long DBT CORP US N 2 2052-10-15 Fixed 3.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBTH3 10008460.69000000 PA USD 8142449.75000000 1.584975426331 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N PROLOGIS YEN FINANCE 5493000T2SX5D8WRJG02 74346GAB8 530000000.00000000 PA 3636247.50000000 0.707816825220 Long DBT CORP US N 2 2028-09-25 Fixed 0.97200000 N N N N N N CNH Capital Canada Receivables Trust 984500F690CEB062EF31 12614ADF4 504356.95000000 PA 349440.66000000 0.068020666515 Long ABS-O CORP CA N 2 2026-11-16 Fixed 1.00100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XB2F6 1600627.02000000 PA USD 1512470.89000000 0.294411297250 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 4.00000000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 05377RDC5 595000.00000000 PA USD 584581.07000000 0.113792121424 Long ABS-O CORP US N 2 2025-03-20 Fixed 4.00000000 N N N N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 000000000 20670000.00000000 PA 3149669.44000000 0.613101562397 Long DBT NUSS CN N 2 2051-04-12 Fixed 3.72000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 202.00000000 NC USD -677387.21000000 -0.13185737891 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 2 Year U.S. Treasury Notes Futures TUZ2 COMDTY 2022-12-30 42166293.66000000 USD -677387.21000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GYQS1 63469.99000000 PA USD 60890.64000000 0.011852718906 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 4.50000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DG7 165000.00000000 PA USD 146427.19000000 0.028502908218 Long DBT CORP US N 2 2026-02-04 Fixed 2.19600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EDC1 5229657.47000000 PA USD 4398470.35000000 0.856187957217 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 2.50000000 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 000000000 42910000.00000000 PA 6164448.98000000 1.199946017496 Long DBT NUSS CN N 2 2026-03-03 Fixed 3.30000000 N N N N N N Electricite de France SA 549300X3UK4GG3FNMO06 268317AT1 300000.00000000 PA USD 233207.96000000 0.045395292224 Long DBT CORP FR N 2 2048-09-21 Fixed 5.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 50.00000000 NC USD -619742.15000000 -0.12063643111 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT Ultra Long Term U.S. Treasury Bond Futures WNZ2 COMDTY 2022-12-20 7469742.15000000 USD -619742.15000000 N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 000000000 49010000.00000000 PA 7107742.40000000 1.383563594076 Long DBT NUSS CN N 2 2027-12-03 Fixed 3.28000000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HBQ9 2605000.00000000 PA USD 1761527.05000000 0.342891534217 Long DBT CORP IT N 2 2032-06-01 Fixed 4.19800000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 30838.67000000 0.006002927329 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 21947060000.00000000 IDR 1468462.96000000 USD 2022-12-21 30838.67000000 N N N SUZANO AUSTRIA GMBH 254900287ZNSGVP1R341 86964WAJ1 1710000.00000000 PA USD 1339699.50000000 0.260780336552 Long DBT CORP AT N 2 2031-01-15 Fixed 3.75000000 N N N N N N OSLO KOMMUNE 5967007LIEEXZXGVU850 000000000 2000000.00000000 PA 179324.98000000 0.034906655288 Long DBT NUSS NO N 2 2024-03-14 Fixed 2.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X7CA5 4640732.58000000 PA USD 4386572.51000000 0.853871973133 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4.00000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAX9 1345000.00000000 PA USD 1013836.31000000 0.197349162354 Long DBT CORP US N 2 2031-03-01 Fixed 2.50000000 N N N N N N Ford Auto Securitization Trust 549300UXPSVB9J11GQ87 345213HC9 393403.81000000 PA 282677.74000000 0.055024873990 Long ABS-O CORP CA N 2 2024-09-15 Fixed 2.55200000 N N N N N N AKER BP ASA 549300NFTY73920OYK69 00973RAJ2 2755000.00000000 PA USD 2337898.40000000 0.455085585669 Long DBT CORP NO N 2 2031-01-15 Fixed 4.00000000 N N N N N N MUTUELLE ASSURANCE 969500QISBFB1NW4SX83 000000000 1600000.00000000 PA 1042387.56000000 0.202906830013 Long DBT CORP FR N 2 2052-06-21 Fixed 2.12500000 N N N N N N CHINA DEVELOPMENT BANK 300300C1020111000029 000000000 41870000.00000000 PA 5902851.89000000 1.149024615218 Long DBT NUSS CN N 2 2031-09-13 Fixed 3.12000000 N N N N N N OSLO KOMMUNE 5967007LIEEXZXGVU850 000000000 1000000.00000000 PA 91512.15000000 0.017813374772 Long DBT NUSS NO N 2 2023-11-08 Fixed 3.65000000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 22836000.00000000 PA 4103005.10000000 0.798673919678 Long DBT NUSS BR N 2 2027-01-01 Fixed 10.00000000 N N N N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 16400000.00000000 PA 15883355.22000000 3.091787912034 Long DBT NUSS DE N 2 2024-08-15 Fixed 1.00000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 000000000 195000.00000000 PA 152257.15000000 0.029637744001 Long DBT CORP CH N 2 2028-01-14 Fixed 0.65000000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AP4 1845000.00000000 PA USD 1291500.00000000 0.251398022211 Long DBT CORP CO N 2 2031-11-02 Fixed 4.62500000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -289890.65000000 -0.05642890907 N/A DFE CA N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 6283267.88000000 USD 8276000.00000000 CAD 2022-12-21 -289890.65000000 N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 2660000.00000000 PA 1461697.05000000 0.284527872584 Long DBT NUSS DE N 2 2050-08-15 None 0.00000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 28363.93000000 0.005521204726 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 8252000.00000000 CNY 1185785.52000000 USD 2022-12-21 28363.93000000 N N N UNITED KINGDOM GILT ECTRVYYCEF89VWYS6K36 000000000 3090000.00000000 PA 3603774.05000000 0.701495678410 Long DBT NUSS GB N 2 2030-12-07 Fixed 4.75000000 N N N N N N NEW S WALES TREASURY CRP TC7LRO17HPNPLTAV0H77 000000000 4845000.00000000 PA 3096084.74000000 0.602670987406 Long DBT NUSS AU N 2 2026-05-20 Fixed 4.00000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKA9 2325000.00000000 PA USD 1570669.12000000 0.305739922816 Long DBT CORP US N 2 2051-06-01 Fixed 3.65000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWCU5 6721801.09000000 PA USD 5658383.32000000 1.101437379452 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.50000000 N N N N N N Fixed Income Clearing Corp 549300H47WTHXPU08X20 000000000 5918845.98000000 PA USD 5918845.98000000 1.152137958302 Long RA CORP US N 2 Repurchase N 1.10000000 2022-10-03 6910800.00000000 USD 6037233.44000000 USD UST N N N UNITED KINGDOM GILT ECTRVYYCEF89VWYS6K36 000000000 1095000.00000000 PA 1211007.28000000 0.235729643883 Long DBT NUSS GB N 2 2023-01-31 Fixed 0.12500000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69360HAA9 991612.52000000 PA USD 903726.89000000 0.175915720298 Long ABS-MBS CORP US N 2 2026-10-25 Variable 2.48700000 N N N N N N CF Industries Inc 5FVKT86LAD2F40NPC183 12527GAE3 500000.00000000 PA USD 424893.11000000 0.082707926833 Long DBT CORP US N 2 2044-03-15 Fixed 5.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X9FB0 340756.34000000 PA USD 331196.88000000 0.064469408125 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.50000000 N N N N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 1975000.00000000 PA 1936814.50000000 0.377012260697 Long DBT NUSS DE N 2 2023-05-15 Fixed 1.50000000 N N N N N N Lanark Master Issuer plc 213800KIOPB5OYXIVY33 513770BE6 1070000.00000000 PA USD 1066777.16000000 0.207654408180 Long ABS-MBS CORP GB N 2 2069-12-22 Variable 2.27700000 N N N N N N AES CORP/THE 2NUNNB7D43COUIRE5295 00130HCC7 750000.00000000 PA USD 642225.00000000 0.125012849256 Long DBT CORP US N 2 2030-07-15 Fixed 3.95000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC N/A 17370.29000000 0.003381228456 N/A DFE SE N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 2722812.91000000 GBP 33804000.00000000 SEK 2022-12-21 17370.29000000 N N N Credit Suisse International E58DKGMJYYYJLN8C3868 000000000 1.00000000 NC N/A -37447.70000000 -0.00728941364 N/A DFE PL N 2 Credit Suisse International E58DKGMJYYYJLN8C3868 1148918.84000000 EUR 5502000.00000000 PLN 2022-12-21 -37447.70000000 N N N NATL GRID ELECT TRANS 5XJXCCYG4SDKFJ5WLB02 000000000 630000.00000000 PA 483429.84000000 0.094102443402 Long DBT CORP GB N 2 2035-02-06 Fixed 2.75000000 N N N N N N ROCKETMTGE CO-ISSUER INC N/A 74841CAB7 1690000.00000000 PA USD 1225003.18000000 0.238454027607 Long DBT CORP US N 2 2031-03-01 Fixed 3.87500000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1.00000000 NC -5492.38000000 -0.00106912386 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 240000.00000000 GBP 262794.48000000 USD 2022-12-21 -5492.38000000 N N N United States Treasury 254900HROIFWPRGM1V77 91282CFB2 2280000.00000000 PA USD 2146940.61000000 0.417914535934 Long DBT UST US N 2 2027-07-31 Fixed 2.75000000 N N N N N N SANTANDER HOLDINGS USA 549300SMVCQN2P0O6I58 80282KAZ9 305000.00000000 PA USD 272924.35000000 0.053126319630 Long DBT CORP US N 2 2026-10-05 Fixed 3.24400000 N N N N N N Queensland Treasury Corp 98INKCEEHOU5YJS0HQ88 000000000 8485000.00000000 PA 5104493.24000000 0.993619438582 Long DBT NUSS AU N 2 2027-08-20 Fixed 2.75000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AT7 1605000.00000000 PA USD 1322567.43000000 0.257445479011 Long DBT CORP US N 2 2050-06-01 Fixed 4.50000000 N N N N N N JAPAN (5 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 565000000.00000000 PA 3913970.84000000 0.761877296298 Long DBT NUSS JP N 2 2024-03-20 Fixed 0.10000000 N N N N N N UNITED AIR 2016-1 B PTT N/A 90933HAA3 786666.66000000 PA USD 689446.78000000 0.134204844686 Long DBT CORP US N 2 2026-01-07 Fixed 3.65000000 N N N N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 555000.00000000 PA 744700.05000000 0.144960216578 Long DBT NUSS DE N 2 2040-07-04 Fixed 4.75000000 N N N N N N Republic of South Africa 378900AAFB4F17004C49 000000000 180540000.00000000 PA 7709357.24000000 1.500671438373 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7.00000000 N N N N N N JAPAN (2 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 731750000.00000000 PA 5061224.49000000 0.985196923542 Long DBT NUSS JP N 2 2024-05-01 Fixed 0.00500000 N N N N N N CF Industries Inc 5FVKT86LAD2F40NPC183 12527GAF0 380000.00000000 PA USD 341592.59000000 0.066492993827 Long DBT CORP US N 2 2034-03-15 Fixed 5.15000000 N N N N N N ISRAEL FIXED BOND 213800T8ZHTFZIBYPE21 000000000 3425000.00000000 PA 816045.57000000 0.158848038972 Long DBT NUSS IL N 2 2030-03-31 Fixed 1.00000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 000000000 715000.00000000 PA 417589.50000000 0.081286236466 Long DBT CORP CH N 2 2033-01-18 Fixed 0.62500000 N N N N N N Vericrest Opportunity Loan Transferee N/A 92873HAA1 2992440.81000000 PA USD 2712338.48000000 0.527972535377 Long ABS-O CORP US N 2 2051-08-25 Variable 1.86800000 N N N N N N NEW ZEALAND GOVERNMENT 549300237GPHG2AI7C34 000000000 1045000.00000000 PA 589279.01000000 0.114706602899 Long DBT NUSS NZ N 2 2023-04-15 Fixed 5.50000000 N N N N N N Vericrest Opportunity Loan Transferee N/A 92873CAA2 2682285.03000000 PA USD 2489854.15000000 0.484664660399 Long ABS-O CORP US N 2 2051-02-27 Variable 1.89300000 N N N N N N UNITED AIR 2016-2 B PTT N/A 90933JAA9 1004843.75000000 PA USD 874616.00000000 0.170249115443 Long DBT CORP US N 2 2025-10-07 Fixed 3.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CZH0 228128.96000000 PA USD 214974.21000000 0.041845986233 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.00000000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 000000000 2625000.00000000 PA 2179637.26000000 0.424279129928 Long DBT CORP IT N 2 2030-06-10 Fixed 5.14800000 N N N N N N AUTOSTRADE PER L'ITALIA 815600149448CEB9B230 000000000 1295000.00000000 PA 976977.74000000 0.190174426311 Long DBT CORP IT N 2 2028-12-04 Fixed 2.00000000 N N N N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 000000000 19798100000.00000000 PA 3670013.28000000 0.714389531616 Long DBT NUSS CO N 2 2026-08-26 Fixed 7.50000000 N N N N N N ENGIE ENERGIA CHILE SA 5493000FIKCC3ZDWTO77 000000000 680000.00000000 PA USD 512095.61000000 0.099682403048 Long DBT CORP CL N 2 2030-01-28 Fixed 3.40000000 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 000000000 7770000.00000000 PA 1667199.22000000 0.324530070879 Long DBT NUSS MY N 2 2026-07-15 Fixed 3.90600000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AT8 1510000.00000000 PA USD 1364826.49000000 0.265671451992 Long DBT CORP US N 2 2031-01-15 Fixed 5.75000000 N N N N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119CC1 5060000.00000000 PA USD 3743009.92000000 0.728598754166 Long DBT CORP US N 2 2031-07-15 Fixed 2.37500000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BR4 2320000.00000000 PA USD 2135373.61000000 0.415662951790 Long DBT CORP US N 2 2029-03-30 Fixed 5.05000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAL3 580000.00000000 PA USD 541161.16000000 0.105340182208 Long DBT CORP US N 2 2029-01-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140GQCA2 256228.48000000 PA USD 231791.97000000 0.045119661496 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.50000000 N N N N N N AUTOSTRADE PER L'ITALIA 815600149448CEB9B230 000000000 2485000.00000000 PA 1817679.07000000 0.353821853049 Long DBT CORP IT N 2 2030-01-15 Fixed 2.00000000 N N N N N N DP WORLD PLC 549300M3U2DNF4QVSS04 000000000 1180000.00000000 PA USD 890666.36000000 0.173373411811 Long DBT CORP AE N 2 2049-09-30 Fixed 4.70000000 N N N N N N DEUTSCHE BANK NY 7LTWFZYICNSX8D621K86 251526CF4 815000.00000000 PA USD 548859.66000000 0.106838740221 Long DBT CORP DE N 2 2032-01-14 Fixed 3.72900000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 699241.98000000 0.136111537606 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 20236000.00000000 EUR 20652679.48000000 USD 2022-12-21 699241.98000000 N N N VIRGIN MONEY UK PLC 213800ZK9VGCYYR6O495 000000000 600000.00000000 PA 517815.67000000 0.100795846154 Long DBT CORP GB N 2 2031-08-19 Fixed 2.62500000 N N N N N N Navigator Aircraft ABS LLC N/A 63943BAA1 2344479.22000000 PA USD 1992289.91000000 0.387810873438 Long ABS-O CORP US N 2 2046-11-15 Variable 2.77100000 N N N N N N BELGIUM KINGDOM 549300SZ25JZFHRHWD76 000000000 2485000.00000000 PA 1809958.78000000 0.352319053485 Long DBT NUSS BE N 2 2050-06-22 Fixed 1.70000000 N N N N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 5560000.00000000 PA 5100729.86000000 0.992886874672 Long DBT NUSS DE N 2 2027-08-15 Fixed 0.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FMYR1 370167.51000000 PA USD 355830.82000000 0.069264548501 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4.50000000 N N N N N N JAPAN (30 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 468600000.00000000 PA 3622527.63000000 0.705146172349 Long DBT NUSS JP N 2 2043-12-20 Fixed 1.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138YTRF3 716345.33000000 PA USD 660687.83000000 0.128606747008 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 3.50000000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 000000000 3500000.00000000 PA 3263475.69000000 0.635254614016 Long DBT CORP DE N 2 2031-05-19 Fixed 5.62500000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAY7 215000.00000000 PA USD 175057.30000000 0.034075926437 Long DBT CORP US N 2 2028-07-15 Fixed 2.45000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGL2 350000.00000000 PA USD 233365.89000000 0.045426034221 Long DBT CORP US N 2 2041-09-03 Fixed 2.85000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CQ6 510000.00000000 PA USD 329409.00000000 0.064121386836 Long DBT CORP US N 2 2050-02-01 Fixed 3.75000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 4.00000000 NC -56456.26000000 -0.01098954092 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex 30 Year Euro BUXL Futures UBZ2 COMDTY 2022-12-08 644165.48000000 EUR -56456.26000000 N N N CHARTER COMM OPT LLC/CAP N/A 161175BV5 1185000.00000000 PA USD 718169.49000000 0.139795888036 Long DBT CORP US N 2 2051-04-01 Fixed 3.70000000 N N N N N N DELTA AIR LINES/SKYMILES N/A 830867AB3 2990000.00000000 PA USD 2784753.39000000 0.542068520784 Long DBT CORP XX N 2 2028-10-20 Fixed 4.75000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 3596.18000000 0.000700017452 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 79373000.00000000 MXN 3889721.71000000 USD 2022-12-21 3596.18000000 N N N Legacy Mortgage Asset Trust N/A 52474MAA7 1842971.60000000 PA USD 1841264.82000000 0.358412957116 Long ABS-MBS CORP US N 2 2059-11-25 Variable 3.25000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CP8 10000.00000000 PA USD 7062.53000000 0.001374762736 Long DBT CORP US N 2 2035-02-01 Fixed 3.25000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023BR5 85000.00000000 PA USD 74703.41000000 0.014541455305 Long DBT CORP US N 2 2026-06-15 Fixed 2.25000000 N N N N N N DIGITAL DUTCH FINCO BV 549300ONZ5IS6B6IMJ70 000000000 1690000.00000000 PA 1128244.55000000 0.219619394844 Long DBT NL N 2 2032-01-15 Fixed 1.00000000 N N N N N N EDP FINANCE BV 5299007L43AQDFOW5739 26835PAH3 1085000.00000000 PA USD 882473.90000000 0.171778701597 Long DBT CORP NL N 2 2028-01-24 Fixed 1.71000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJFS2 241984.05000000 PA USD 214986.76000000 0.041848429164 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC N/A 746445.07000000 0.145299894918 N/A DFE XX N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 115025000.00000000 NOK 11490664.62000000 EUR 2022-12-21 746445.07000000 N N N ORBIA ADVANCE CORP SAB 549300MVHZ20SBIOEQ79 59284BAE8 1025000.00000000 PA USD 797142.50000000 0.155168445931 Long DBT CORP MX N 2 2044-09-17 Fixed 5.87500000 N N N N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 1680000.00000000 PA 885119.09000000 0.172293603289 Long DBT NUSS DE N 2 2052-08-15 None 0.00000000 N N N N N N WESTERN POWER 549300RHOCSNK1FZ4116 000000000 885000.00000000 PA 576814.83000000 0.112280377424 Long DBT CORP GB N 2 2035-10-07 Fixed 1.62500000 N N N N N N KOREA TREASURY BOND 549300O0QCVSQGPGDT58 000000000 9400000000.00000000 PA 5413196.34000000 1.053710300982 Long DBT NUSS KR N 2 2030-06-10 Fixed 1.37500000 N N N N N N Lennar Corp 529900G61XVRLX5TJX09 526057BV5 55000.00000000 PA USD 54156.65000000 0.010541908400 Long DBT CORP US N 2 2025-05-30 Fixed 4.75000000 N N N N N N Diamond Resorts Owner Trust N/A 252724AA7 140709.93000000 PA USD 137017.70000000 0.026671296003 Long ABS-O CORP US N 2 2031-01-21 Fixed 3.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGQ36 9335339.68000000 PA USD 8163795.81000000 1.589130561652 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.00000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CB9 235000.00000000 PA USD 152105.51000000 0.029608226389 Long DBT CORP US N 2 2048-11-01 Fixed 3.85000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAR0 85000.00000000 PA USD 68946.18000000 0.013420776841 Long DBT CORP US N 2 2031-03-24 Fixed 3.12500000 N N N N N N Corning Inc 549300X2937PB0CJ7I56 219350BC8 600000000.00000000 PA 4126621.99000000 0.803271085327 Long DBT CORP US N 2 2024-08-09 Fixed 0.69800000 N N N N N N Bank of America N.A. B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 217748.73000000 0.042386062765 N/A DFE US N 2 Bank of America N.A. B4TYDEB6GKMZO031MB27 21971000.00000000 BRL 4237415.62000000 USD 2022-12-02 217748.73000000 N N N ROCKETMTGE CO-ISSUER INC N/A 74841CAA9 1410000.00000000 PA USD 1085206.50000000 0.211241786907 Long DBT CORP US N 2 2029-03-01 Fixed 3.62500000 N N N N N N BUNDESREPUB. DEUTSCHLAND 529900AQBND3S6YJLY83 000000000 1710000.00000000 PA 1640468.17000000 0.319326715787 Long DBT NUSS DE N 2 2025-08-15 Fixed 1.00000000 N N N N N N FED REPUBLIC OF BRAZIL 254900ZFY40OYEADAP90 105756BZ2 3525000.00000000 PA USD 3271130.21000000 0.636744611065 Long DBT NUSS BR N 2 2028-01-13 Fixed 4.62500000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AW0 440000.00000000 PA USD 416282.14000000 0.081031751202 Long DBT CORP GB N 2 2030-04-01 Fixed 5.62500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810RB6 8075000.00000000 PA USD 6655251.00000000 1.295483498816 Long DBT UST US N 2 2043-05-15 Fixed 2.87500000 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 000000000 300000.00000000 PA 233844.27000000 0.045519153684 Long DBT CORP IT N 2 2032-01-15 Fixed 2.73100000 N N N N N N IRISH TSY 0% 2031 549300KXBEJAOJ9OVF93 000000000 1310000.00000000 PA 1016282.36000000 0.197825300280 Long DBT NUSS IE N 2 2031-10-18 None 0.00000000 N N N N N N CANADIAN GOVERNMENT 4BFD7AQU0A75QLAHK410 135087L44 11030000.00000000 PA 6444087.96000000 1.254379379095 Long DBT NUSS CA N 2 2030-12-01 Fixed 0.50000000 N N N N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 000000000 33010000.00000000 PA 4806067.54000000 0.935529132149 Long DBT NUSS CN N 2 2030-11-19 Fixed 3.27000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCK5 20380000.00000000 PA USD 19787706.25000000 3.851792656101 Long DBT UST US N 2 2023-06-30 Fixed 0.12500000 N N N N N N ONTARIO (PROVINCE OF) C7PVKCRGLG18EBQGZV36 68333ZAL1 5245000.00000000 PA 2381067.11000000 0.463488627338 Long DBT NUSS CA N 2 2051-12-02 Fixed 1.90000000 N N N N N N JAPAN (30 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 480200000.00000000 PA 2717229.27000000 0.528924556231 Long DBT NUSS JP N 2 2046-06-20 Fixed 0.30000000 N N N N N N Citigroup Mortgage Loan Trust Inc N/A 17328DAA8 1250203.59000000 PA USD 1206672.50000000 0.234885853625 Long ABS-O CORP US N 2 2070-11-25 Variable 3.22800000 N N N N N N NATL GRID ELECT TRANS 5XJXCCYG4SDKFJ5WLB02 000000000 175000.00000000 PA 144638.94000000 0.028154814905 Long DBT CORP GB N 2 2028-07-07 Fixed 1.12500000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBP9 1050000.00000000 PA USD 771560.57000000 0.150188773762 Long DBT CORP GB N 2 2035-09-23 Fixed 3.56400000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BT0 210000.00000000 PA USD 151491.84000000 0.029488771937 Long DBT CORP US N 2 2050-03-01 Fixed 4.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QPAK3 4187291.11000000 PA USD 3776282.36000000 0.735075429048 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N UNITED KINGDOM GILT ECTRVYYCEF89VWYS6K36 000000000 3005000.00000000 PA 2912878.73000000 0.567008866948 Long DBT NUSS GB N 2 2026-01-30 Fixed 0.12500000 N N N N N N JAPAN (30 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 389700000.00000000 PA 3327326.62000000 0.647683570669 Long DBT NUSS JP N 2 2037-03-20 Fixed 2.40000000 N N N N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 000000000 2780000.00000000 PA 1840751.96000000 0.358313125920 Long DBT NUSS SG N 2 2026-06-01 Fixed 2.12500000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CK9 390000.00000000 PA USD 254729.56000000 0.049584597431 Long DBT CORP US N 2 2049-05-01 Fixed 3.90000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 2020000.00000000 PA USD 1791771.63000000 0.348778818456 Long DBT CORP US N 2 2030-04-15 Fixed 3.87500000 N N N N N N NEW ZEALAND GOVERNMENT 549300237GPHG2AI7C34 000000000 9580000.00000000 PA 5416241.16000000 1.054302992988 Long DBT NUSS NZ N 2 2027-04-15 Fixed 4.50000000 N N N N N N JAPAN (30 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 724400000.00000000 PA 4103248.26000000 0.798721252193 Long DBT NUSS JP N 2 2049-03-20 Fixed 0.50000000 N N N N N N UNITED KINGDOM GILT ECTRVYYCEF89VWYS6K36 000000000 0.00000000 PA 0.00000000 0.000000 Long DBT NUSS GB N 2 2050-10-22 Fixed 0.62500000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC N/A -54843.00000000 -0.01067551043 N/A DFE SE N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 2409118.68000000 EUR 25627000.00000000 SEK 2022-12-21 -54843.00000000 N N N NORWEGIAN GOVERNMENT 549300L0BT3FJTN9MX24 000000000 4100000.00000000 PA 374394.75000000 0.072878125959 Long DBT NUSS NO N 2 2023-05-24 Fixed 2.00000000 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 000000000 2355000.00000000 PA USD 1735499.23000000 0.337825066954 Long DBT CORP IT N 2 2035-06-30 Fixed 5.45900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F7G78 118796.95000000 PA USD 113831.80000000 0.022158025075 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 4.50000000 N N N N N N Lennar Corp 529900G61XVRLX5TJX09 526057CV4 420000.00000000 PA USD 399289.60000000 0.077724053991 Long DBT CORP US N 2 2027-06-15 Fixed 5.00000000 N N N N N N HEIMSTADEN BOSTAD TRESRY 549300ORG6UYMJBCV938 000000000 2410000.00000000 PA 1612232.93000000 0.313830561321 Long DBT CORP NL N 2 2029-09-06 Fixed 0.75000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 13830000.00000000 PA 11176704.99000000 2.175610940246 Long DBT NUSS IT N 2 2030-04-01 Fixed 1.35000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CEJ6 11390505.20000000 PA USD 10502105.14000000 2.044296137247 Long DBT UST US N 2 2027-04-15 Fixed 0.12500000 N N N N N N CHANNEL LINK 213800BYHTDDUJYTT475 000000000 1055000.00000000 PA 945094.95000000 0.183968254922 Long DBT CORP GB N 2 2050-06-30 Fixed 2.70600000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 217909.02000000 0.042417264150 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 22072575000.00000000 COP 4937262.48000000 USD 2022-12-21 217909.02000000 N N N BLACKSTONE PP EUR HOLD 213800Y3B5GQFBGVHP79 000000000 450000.00000000 PA 334519.13000000 0.065116103502 Long DBT CORP LU N 2 2028-05-04 Fixed 1.00000000 N N N N N N SWEDISH GOVERNMENT ERE94C0BSULG2RM19605 000000000 9900000.00000000 PA 884337.49000000 0.172141460281 Long DBT NUSS SE N 2 2023-11-13 Fixed 1.50000000 N N N N N N BPR Trust N/A 05592DAA2 1385000.00000000 PA USD 1364240.79000000 0.265557442064 Long ABS-MBS CORP US N 2 2037-04-15 Floating 4.74300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SS8 7839000.00000000 PA USD 4866916.68000000 0.947373772838 Long DBT UST US N 2 2050-11-15 Fixed 1.62500000 N N N N N N 2022-11-29 LOOMIS SAYLES FUNDS I John Sgroi John Sgroi Assistant Treasurer