Natixis ETF Trust NPORTP Monthly portfolio investment report

PORTFOLIO OF INVESTMENTS – as of March 31, 2023 (Unaudited)

Natixis Loomis Sayles Short Duration Income ETF


Principal Amount		Description	Value (†)

	Bonds and Notes – 98.8% of Net Assets
		ABS Car Loan – 18.3%
$	30,000	Ally Auto Receivables Trust, Series 2022-3,Class A3, 5.070%, 4/15/2027	$	30,106
	4,469	American Credit Acceptance Receivables Trust, Series 2020-4, Class C, 1.310%, 12/14/2026, 144A		4,393
	76,111	American Credit Acceptance Receivables Trust, Series 2021-3, Class C, 0.980%, 11/15/2027, 144A		74,556
	16,012	American Credit Acceptance Receivables Trust, Series 2022-1, Class A, 0.990%, 12/15/2025, 144A		15,971
	20,000	American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029, 144A		20,700
	20,000	AmeriCredit Automobile Receivables Trust, Series 2021-2, Class B, 0.690%, 1/19/2027		18,855
	55,000	AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C, 1.410%, 8/18/2027		49,950
	85,000	AmeriCredit Automobile Receivables Trust, Series 2022-1, Class B, 2.770%, 4/19/2027		80,756
	40,000	AmeriCredit Automobile Receivables Trust, Series 2022-2, Class A3, 4.380%, 4/18/2028		39,438
	105,000	AmeriCredit Automobile Receivables Trust, Series 2023-1, Class B, 5.570%, 3/20/2028		105,955
	124,610	Avid Automobile Receivables Trust, Series 2023-1, Class A, 6.630%, 7/15/2026, 144A		124,809
	100,000	Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A		97,273
	105,000	Avis Budget Rental Car Funding AESOP LLC, Series 2022-5A, Class A, 6.120%, 4/20/2027, 144A		107,463
	20,000	BMW Vehicle Lease Trust, Series 2023-1, Class A3, 5.160%, 11/25/2025		20,051
	73,722	Canadian Pacer Auto Receivables Trust, Series 2021-1A, Class A3, 0.500%, 10/20/2025, 144A		71,086
	86,171	Capital One Prime Auto Receivables Trust, Series 2022-2, Class A2A, 3.740%, 9/15/2025		85,060
	105,000	Capital One Prime Auto Receivables Trust, Series 2023-1, Class A3, 4.870%, 2/15/2028		105,574
	822	CarMax Auto Owner Trust, Series 2019-3, Class A3, 2.180%, 8/15/2024		821
	12,378	CarMax Auto Owner Trust, Series 2021-1, Class A3, 0.340%, 12/15/2025		11,966
	133,264	CarMax Auto Owner Trust, Series 2021-3, Class A3, 0.550%, 6/15/2026		127,572
	75,000	CarMax Auto Owner Trust, Series 2023-1, Class A3, 4.750%, 10/15/2027		74,999
	8,861	Carvana Auto Receivables Trust, Series 2020-P1, Class A3, 0.440%, 6/09/2025		8,784
	6,841	Carvana Auto Receivables Trust, Series 2021-N2, Class B, 0.750%, 3/10/2028		6,353
	27,124	Carvana Auto Receivables Trust, Series 2021-N4, Class C, 1.720%, 9/11/2028		26,093
	85,000	Carvana Auto Receivables Trust, Series 2021-P3, Class A3, 0.700%, 11/10/2026		80,449


Principal Amount		Description	Value (†)

	Bonds and Notes – continued
		ABS Car Loan – continued
$	255,000	Carvana Auto Receivables Trust, Series 2023-P1, Class A3, 5.980%, 12/10/2027, 144A	$	256,947
	12,924	CIG Auto Receivables Trust, Series 2021-1A, Class A, 0.690%, 4/14/2025, 144A		12,828
��	26,404	Drive Auto Receivables Trust, Series 2021-2, Class B, 0.580%, 12/15/2025		26,228
	50,000	Drive Auto Receivables Trust, Series 2021-3, Class B, 1.110%, 5/15/2026		48,897
	9,031	DT Auto Owner Trust, Series 2020-2A, Class C, 3.280%, 3/16/2026, 144A		8,966
	31,918	DT Auto Owner Trust, Series 2020-3A, Class C, 1.470%, 6/15/2026, 144A		31,168
	20,505	DT Auto Owner Trust, Series 2021-2A, Class B, 0.810%, 1/15/2027, 144A		20,270
	11,787	DT Auto Owner Trust, Series 2021-3A, Class A, 0.330%, 4/15/2025, 144A		11,742
	50,000	DT Auto Owner Trust, Series 2021-4A, Class C, 1.500%, 9/15/2027, 144A		46,803
	50,000	DT Auto Owner Trust, Series 2022-3A, Class B, 6.740%, 7/17/2028, 144A		50,710
	160,602	DT Auto Owner Trust, Series 2023-1A, Class A, 5.480%, 4/15/2027, 144A		160,321
	40,000	DT Auto Owner Trust, Series 2023-1A, Class B, 5.190%, 10/16/2028, 144A		39,702
	54,050	Enterprise Fleet Financing LLC, Series 2021-2, Class A2, 0.480%, 5/20/2027, 144A		51,932
	3,218	Exeter Automobile Receivables Trust, Series 2020-2A, Class C, 3.280%, 5/15/2025, 144A		3,212
	8,345	Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.320%, 7/15/2025		8,294
	3,085	Exeter Automobile Receivables Trust, Series 2021-2A, Class B, 0.570%, 9/15/2025		3,079
	79,127	Exeter Automobile Receivables Trust, Series 2021-4A, Class B, 1.050%, 5/15/2026		77,930
	70,000	Exeter Automobile Receivables Trust, Series 2022-3A, Class B, 4.860%, 12/15/2026		69,251
	50,000	Exeter Automobile Receivables Trust, Series 2022-4A, Class A3, 4.330%, 2/17/2026		49,658
	80,000	Exeter Automobile Receivables Trust, Series 2022-5A, Class B, 5.970%, 3/15/2027		80,170
	25,000	Exeter Automobile Receivables Trust, Series 2022-6A, Class B, 6.030%, 8/16/2027		25,142
	90,000	Exeter Automobile Receivables Trust, Series 2023-1A, Class B, 5.720%, 4/15/2027		90,100
	1,940	First Investors Auto Owner Trust, Series 2021-1A, Class A, 0.450%, 3/16/2026, 144A		1,926
	90,000	First Investors Auto Owner Trust, Series 2022-1A, Class C, 3.130%, 5/15/2028, 144A		84,905
	5,278	Flagship Credit Auto Trust, Series 2020-2, Class C, 3.800%, 4/15/2026, 144A		5,253
	15,000	Flagship Credit Auto Trust, Series 2020-4, Class C, 1.280%, 2/16/2027, 144A		14,334
	498	Flagship Credit Auto Trust, Series 2021-1, Class A, 0.310%, 6/16/2025, 144A		498


Principal Amount		Description	Value (†)

	Bonds and Notes – continued
		ABS Car Loan – continued
$	30,000	Flagship Credit Auto Trust, Series 2021-2, Class B, 0.930%, 6/15/2027, 144A	$	28,771
	65,000	Flagship Credit Auto Trust, Series 2021-2, Class C, 1.270%, 6/15/2027, 144A		60,670
	80,000	Flagship Credit Auto Trust, Series 2022-3, Class A3, 4.550%, 4/15/2027, 144A		79,100
	110,000	Flagship Credit Auto Trust, Series 2022-4, Class A3, 6.320%, 6/15/2027, 144A		111,811
	55,000	Flagship Credit Auto Trust, Series 2023-1, Class A3, 5.010%, 8/16/2027, 144A		55,073
	75,000	Ford Credit Auto Lease Trust, Series 2023-A, Class A3, 4.940%, 3/15/2026		74,924
	34,285	Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025		33,347
	50,000	Ford Credit Auto Owner Trust, Series 2023-A, Class A3, 4.650%, 2/15/2028		50,059
	85,582	Foursight Capital Automobile Receivables Trust, Series 2021-2, Class A3, 0.810%, 5/15/2026, 144A		83,819
	106,921	Foursight Capital Automobile Receivables Trust, Series 2022-2, Class A2, 4.490%, 3/16/2026, 144A		106,082
	105,000	GLS Auto Receivables Issuer Trust, Series 2021-4A, Class B, 1.530%, 4/15/2026, 144A		101,124
	120,000	GLS Auto Receivables Issuer Trust, Series 2023-1A, Class B, 6.190%, 6/15/2027, 144A		121,617
	15,962	GM Financial Automobile Leasing Trust, Series 2021-1, Class A3, 0.260%, 2/20/2024		15,918
	35,041	GM Financial Automobile Leasing Trust, Series 2021-2, Class A3, 0.340%, 5/20/2024		34,695
	55,910	GM Financial Automobile Leasing Trust, Series 2022-2, Class A2, 2.930%, 10/21/2024		55,295
	80,000	GM Financial Automobile Leasing Trust, Series 2023-1, Class A3, 5.160%, 4/20/2026		80,196
	11,223	GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025		10,922
	13,564	GM Financial Consumer Automobile Receivables Trust, Series 2021-4, Class A2, 0.280%, 11/18/2024		13,470
	37,308	GM Financial Consumer Automobile Receivables Trust, Series 2022-2, Class A2, 2.520%, 5/16/2025		36,895
	45,000	GM Financial Consumer Automobile Receivables Trust, Series 2023-1, Class A3, 4.660%, 2/16/2028		45,152
	18,043	Harley-Davidson Motorcycle Trust, Series 2021-A, Class A3, 0.370%, 4/15/2026		17,548
	11,029	Harley-Davidson Motorcycle Trust, Series 2022-A, Class A2A, 2.450%, 5/15/2025		10,943
	160,000	Harley-Davidson Motorcycle Trust, Series 2023-A, Class A3, 5.050%, 12/15/2027		160,747
	25,828	Honda Auto Receivables Owner Trust, Series 2020-2, Class A3, 0.820%, 7/15/2024		25,570
	25,093	Honda Auto Receivables Owner Trust, Series 2020-3, Class A3, 0.370%, 10/18/2024		24,613
	16,479	Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025		16,018
	54,756	Mercedes-Benz Auto Lease Trust, Series 2021-B, Class A3, 0.400%, 11/15/2024		53,524


Principal Amount		Description	Value (†)

	Bonds and Notes – continued
		ABS Car Loan – continued
$	25,000	Mercedes-Benz Auto Receivables Trust, Series 2023-1, Class A2, 5.090%, 1/15/2026	$	24,953
	145,000	NextGear Floorplan Master Owner Trust, Series 2021-1A, Class A, 0.850%, 7/15/2026, 144A		136,597
	135,000	NextGear Floorplan Master Owner Trust, Series 2023-1A, Class A2, 5.740%, 3/15/2028, 144A		134,241
	70,000	Nissan Auto Lease Trust, Series 2023-A, Class A3, 4.910%, 1/15/2026		69,926
	130,000	OneMain Direct Auto Receivables Trust, Series 2022-1A, Class A2, 30 day USD SOFR Average + 1.600%, 6.158%, 3/14/2029, 144A(a)		129,656
	130,000	OneMain Direct Auto Receivables Trust, Series 2023-1A, Class A, 5.410%, 11/14/2029, 144A		129,872
	25,000	PenFed Auto Receivables Owner Trust, Series 2022-A, Class A4, 4.180%, 12/15/2028, 144A		24,468
	33,518	Prestige Auto Receivables Trust, Series 2020-1A, Class C, 1.310%, 11/16/2026, 144A		33,318
	45,000	Prestige Auto Receivables Trust, Series 2021-1A, Class C, 1.530%, 2/15/2028, 144A		41,653
	25,000	Santander Consumer Auto Receivables Trust, Series 2020-AA, Class C, 3.710%, 2/17/2026, 144A		24,853
	13,510	Santander Drive Auto Receivables Trust, Series 2020-3, Class C, 1.120%, 1/15/2026		13,448
	15,016	Santander Drive Auto Receivables Trust, Series 2020-4, Class C, 1.010%, 1/15/2026		14,894
	33,161	Santander Drive Auto Receivables Trust, Series 2021-3, Class B, 0.600%, 12/15/2025		33,005
	80,000	Santander Drive Auto Receivables Trust, Series 2022-3, Class B, 4.130%, 8/16/2027		78,401
	135,000	Santander Drive Auto Receivables Trust, Series 2022-4, Class B, 4.420%, 11/15/2027		132,630
	25,000	Santander Drive Auto Receivables Trust, Series 2022-7, Class A3, 5.750%, 4/15/2027		25,234
	85,000	Santander Drive Auto Receivables Trust, Series 2023-1, Class A2, 5.360%, 5/15/2026		84,817
	25,000	Santander Drive Auto Receivables Trust, Series 2023-1, Class C, 5.090%, 5/15/2030		24,710
	144,057	Santander Retail Auto Lease Trust, Series 2021-B, Class A3, 0.510%, 8/20/2024, 144A		140,862
	18,536	Santander Retail Auto Lease Trust, Series 2022-A, Class A2, 0.970%, 3/20/2025, 144A		18,210
	95,000	Toyota Auto Receivables Owner Trust, Series 2021-C, Class A3, 0.430%, 1/15/2026		90,995
	121,103	Toyota Lease Owner Trust, Series 2021-B, Class A3, 0.420%, 10/21/2024, 144A		118,883
	53,711	United Auto Credit Securitization Trust, Series 2022-1, Class B, 2.100%, 3/10/2025, 144A		53,285
	55,000	United Auto Credit Securitization Trust, Series 2022-2, Class C, 5.810%, 5/10/2027, 144A		54,708
	210,000	Volkswagen Auto Loan Enhanced Trust, Series 2021-1, Class A3, 1.020%, 6/22/2026		200,802
	140,000	Westlake Automobile Receivables Trust, Seies 2023-2A, Class A3, 5.800%, 2/16/2027, 144A		140,885
	10,475	Westlake Automobile Receivables Trust, Series 2020-2A, Class C, 2.010%, 7/15/2025, 144A		10,421


Principal Amount		Description	Value (†)

	Bonds and Notes – continued
		ABS Car Loan – continued
$	15,000	Westlake Automobile Receivables Trust, Series 2020-3A, Class C, 1.240%, 11/17/2025, 144A	$	14,738
	9,903	Westlake Automobile Receivables Trust, Series 2021-2A, Class A2A, 0.320%, 4/15/2025, 144A		9,837
	45,000	Westlake Automobile Receivables Trust, Series 2021-2A, Class B, 0.620%, 7/15/2026, 144A		43,854
	115,000	Westlake Automobile Receivables Trust, Series 2021-3A, Class C, 1.580%, 1/15/2027, 144A		108,712
	30,000	Westlake Automobile Receivables Trust, Series 2023-1A, Class C, 5.740%, 8/15/2028, 144A		30,113
	57,071	World Omni Auto Receivables Trust, Series 2021-B, Class A3, 0.420%, 6/15/2026		54,415
	1,497	World Omni Auto Receivables Trust, Series 2021-C, Class A2, 0.220%, 9/16/2024		1,494
	105,000	World Omni Auto Receivables Trust, Series 2022-D, Class A2A, 5.510%, 3/16/2026		105,177
	140,000	World Omni Auto Receivables Trust, Series 2023-A, Class A3, 4.830%, 5/15/2028		139,627
	30,000	World Omni Automobile Lease Securitization Trust, Series 2022-A, Class A3, 3.210%, 2/18/2025		29,435
	4,218	World Omni Select Auto Trust, Series 2020-A, Class A3, 0.550%, 7/15/2025		4,200
	40,000	World Omni Select Auto Trust, Series 2021-A, Class B, 0.850%, 8/16/2027		37,018
				6,741,549
		ABS Credit Card – 0.8%
	170,000	Capital One Multi-Asset Execution Trust, Series 2021-A1, Class A1, 0.550%, 7/15/2026		160,968
	125,000	Mercury Financial Credit Card Master Trust, Series 2022-1A, Class A, 2.500%, 9/21/2026, 144A		117,471
				278,439
		ABS Other – 2.4%
	93,932	Daimler Trucks Retail Trust, Series 2022-1, Class A2, 5.070%, 9/16/2024		93,341
	85,000	Enterprise Fleet Financing LLC, Series 2022-4, Class A2, 5.760%, 10/22/2029, 144A		85,626
	100,000	FREED ABS Trust, Series 2022-4FP, Class B, 7.580%, 12/18/2029, 144A		99,704
	180,000	HPEFS Equipment Trust, Series 2023-1A, Class A3, 5.410%, 2/22/2028, 144A		178,548
	33,070	Kubota Credit Owner Trust, Series 2021-2A, Class A2, 0.260%, 6/17/2024, 144A		32,871
	32,935	OneMain Financial Issuance Trust, Series 2020-1A, Class A, 3.840%, 5/14/2032, 144A		32,710
	220,000	OneMain Financial Issuance Trust, Series 2022-S1, Class A, 4.130%, 5/14/2035, 144A		212,499
	110,000	SCF Equipment Leasing LLC, Series 2022-1A, Class A3, 2.920%, 7/20/2029, 144A		105,003
	60,000	Verizon Master Trust, Series 2022-5, Class A1A, 3.720%, 7/20/2027(b)		59,192
				899,494


Principal Amount		Description	Value (†)

	Bonds and Notes – continued
		ABS Student Loan – 0.3%
$	125,236	Navient Private Education Refi Loan Trust, Series 2021-EA, Class A, 0.970%, 12/16/2069, 144A		$106,178
		Aerospace & Defense – 0.2%
	20,000	Boeing Co., 4.875%, 5/01/2025		19,962
	20,000	Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025		19,543
	2,000	Raytheon Technologies Corp., 3.650%, 8/16/2023		1,983
	45,000	Raytheon Technologies Corp., 5.000%, 2/27/2026		45,683
				87,171
		Agency Commercial Mortgage-Backed Securities – 0.1%
	16,952	Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF81, Class AL, 1 mo. USD LIBOR + 0.360%, 5.029%, 6/25/2027(a)		16,881
	12,329	Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KF81, Class AS, 30 day USD SOFR Average + 0.400%, 4.926%, 6/25/2027(a)		12,277
	111	Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ28, Class A1, 1.766%, 2/25/2025		111
				29,269
		Airlines – 0.2%
	55,000	Southwest Airlines Co., 5.250%, 5/04/2025		54,955
	15,000	United Airlines, Inc., 4.375%, 4/15/2026, 144A		14,351
				69,306
		Automotive – 2.0%
	55,000	American Honda Finance Corp., 4.750%, 1/12/2026		55,437
	40,000	American Honda Finance Corp., MTN, 0.650%, 9/08/2023		39,206
	55,000	BMW U.S. Capital LLC, 3.450%, 4/12/2023, 144A		54,976
	145,000	General Motors Financial Co., Inc., 6.050%, 10/10/2025		147,368
	25,000	Harley-Davidson Financial Services, Inc., 3.350%, 6/08/2025, 144A		23,873
	125,000	Harley-Davidson Financial Services, Inc., 6.500%, 3/10/2028, 144A		126,364
	75,000	Hyundai Capital America, 0.875%, 6/14/2024, 144A		70,999
	95,000	Hyundai Capital America, 5.800%, 4/01/2030, 144A		95,821
	130,000	PACCAR Financial Corp., MTN, 4.450%, 3/30/2026		130,161
				744,205


Principal Amount		Description	Value (†)

	Bonds and Notes – continued
		Banking – 10.2%
$	80,000	Ally Financial, Inc., 7.100%, 11/15/2027	$	81,259
	105,000	American Express Co., 4.900%, 2/13/2026		105,976
	110,000	Bank of America Corp., (fixed rate to 4/02/2025, variable rate thereafter), MTN, 3.384%, 4/02/2026		105,464
	35,000	Bank of Montreal, SOFR Index + 0.350%, 5.149%, 12/08/2023(a)		34,849
	35,000	Bank of New York Mellon Corp., MTN, 1.600%, 4/24/2025		32,532
	145,000	Bank of Nova Scotia, 0.700%, 4/15/2024		138,316
	75,000	Bank of Nova Scotia, 4.850%, 2/01/2030		74,076
	200,000	Barclays PLC, (fixed rate to 11/02/2027, variable rate thereafter), 7.385%, 11/02/2028		211,989
	15,000	Canadian Imperial Bank of Commerce, 0.950%, 6/23/2023		14,849
	190,000	Canadian Imperial Bank of Commerce, 3.945%, 8/04/2025		184,674
	160,000	Capital One Financial Corp., (fixed rate to 12/06/2023, variable rate thereafter), 1.343%, 12/06/2024		154,509
	120,000	Capital One Financial Corp., (fixed rate to 2/01/2028, variable rate thereafter), 5.468%, 2/01/2029		116,949
	15,000	Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025		14,250
	95,000	Citizens Financial Group, Inc., (fixed rate to 5/21/2032, variable rate thereafter), 5.641%, 5/21/2037		86,860
	75,000	Comerica, Inc., 3.700%, 7/31/2023		71,911
	150,000	Deutsche Bank AG, 5.371%, 9/09/2027		147,001
	200,000	DNB Bank ASA, (fixed rate to 10/09/2025, variable rate thereafter), 5.896%, 10/09/2026, 144A		201,518
	205,000	HSBC Holdings PLC, (fixed rate to 11/22/2026, variable rate thereafter), 2.251%, 11/22/2027		181,790
	200,000	HSBC USA, Inc., 5.625%, 3/17/2025		200,376
	265,000	JPMorgan Chase & Co., (fixed rate to 12/15/2024, variable rate thereafter), 5.546%, 12/15/2025		266,813
	200,000	Lloyds Banking Group PLC, (fixed rate to 3/18/2025, variable rate thereafter), 3.511%, 3/18/2026		190,294
	120,000	Macquarie Group Ltd., (fixed rate to 10/14/2024, variable rate thereafter), 1.201%, 10/14/2025, 144A		111,818
	235,000	Mitsubishi UFJ Financial Group, Inc., (fixed rate to 1/19/2027, variable rate thereafter), 2.341%, 1/19/2028		211,022
	120,000	Morgan Stanley, MTN, SOFR + 0.455%, 5.108%, 1/25/2024(a)		119,630
	55,000	Royal Bank of Canada, 6.000%, 11/01/2027		57,372
	20,000	Royal Bank of Canada, GMTN, 0.750%, 10/07/2024		18,750


Principal Amount		Description	Value (†)

	Bonds and Notes – continued
		Banking – continued
$	60,000	Royal Bank of Canada, GMTN, SOFR Index + 0.300%, 4.907%, 1/19/2024(a)	$	59,599
	55,000	Santander Holdings USA, Inc., 3.450%, 6/02/2025		51,487
	65,000	Santander Holdings USA, Inc., (fixed rate to 3/09/2028, variable rate thereafter), 6.499%, 3/09/2029		64,940
	125,000	Synchrony Financial, 4.875%, 6/13/2025		115,711
	190,000	Wells Fargo & Co., (fixed rate to 4/25/2025, variable rate thereafter), MTN, 3.908%, 4/25/2026		184,417
	60,000	Wells Fargo & Co., (fixed rate to 8/15/2025, variable rate thereafter), MTN, 4.540%, 8/15/2026		58,910
	75,000	Westpac Banking Corp., (fixed rate to 8/10/2032, variable rate thereafter), 5.405%, 8/10/2033		71,675
				3,741,586
		Brokerage – 0.1%
	50,000	Ameriprise Financial, Inc., 5.150%, 5/15/2033		49,853
		Building Materials – 0.2%
	70,000	Stanley Black & Decker, Inc., 6.000%, 3/06/2028		72,145
		Chemicals – 0.7%
	130,000	Celanese U.S. Holdings LLC, 6.165%, 7/15/2027		130,742
	35,000	Eastman Chemical Co., 5.750%, 3/08/2033		35,599
	75,000	Nutrien Ltd., 5.900%, 11/07/2024		76,068
				242,409
		Collateralized Mortgage Obligations – 0.7%
	930	Government National Mortgage Association, Series 2011-H23, Class HA, 3.000%, 12/20/2061(c)		861
	388	Government National Mortgage Association, Series 2012-H28, Class FA, 1 mo. USD LIBOR + 0.580%, 4.981%, 9/20/2062(a)(c)		373
	521	Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(c)		474
	3,321	Government National Mortgage Association, Series 2013-H11, Class JA, 3.500%, 4/20/2063(c)		3,201
	7,916	Government National Mortgage Association, Series 2016-H13, Class FT, 1 mo. USD LIBOR + 0.580%, 5.146%, 5/20/2066(a)(c)		7,852
	1,878	Government National Mortgage Association, Series 2018-H02, Class FJ, 1 mo. USD LIBOR + 0.200%, 4.766%, 10/20/2064(a)(c)		1,864
	20,991	Government National Mortgage Association, Series 2019-H01, Class FJ, 1 mo. USD LIBOR + 0.300%, 4.866%, 9/20/2068(a)(c)		20,763
	20,804	Government National Mortgage Association, Series 2019-H01, Class FT, 1 mo. USD LIBOR + 0.400%, 4.966%, 10/20/2068(a)		20,710
	31,443	Government National Mortgage Association, Series 2019-H05, Class FT, 1 yr. CMT + 0.430%, 5.120%, 4/20/2069(a)		31,427
	59,336	Government National Mortgage Association, Series 2019-H13, Class FT, 1 yr. CMT + 0.450%, 5.140%, 8/20/2069(a)		59,256


Principal Amount		Description	Value (†)

	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	104,489	Government National Mortgage Association, Series 2020-HO1, Class FT, 1 yr. CMT + 0.500%, 5.190%, 1/20/2070(a)		$104,003
				250,784
		Construction Machinery – 0.8%
	35,000	Caterpillar Financial Services Corp., 4.800%, 1/06/2026		35,575
	150,000	Caterpillar Financial Services Corp., MTN, 5.400%, 3/10/2025		152,782
	80,000	CNH Industrial Capital LLC, 1.950%, 7/02/2023		79,225
	35,000	CNH Industrial Capital LLC, 5.450%, 10/14/2025		35,390
				302,972
		Consumer Cyclical Services – 0.1%
	31,000	Expedia Group, Inc., 6.250%, 5/01/2025, 144A		31,376
		Consumer Products – 0.7%
	160,000	Kenvue, Inc., 5.050%, 3/22/2028, 144A		165,359
	90,000	Whirlpool Corp., 5.500%, 3/01/2033		90,291
				255,650
		Diversified Manufacturing – 0.0%
	15,000	Amphenol Corp., 4.750%, 3/30/2026		15,059
		Electric – 5.9%
	45,000	AES Corp., 3.300%, 7/15/2025, 144A		42,651
	25,000	Alliant Energy Finance LLC, 3.750%, 6/15/2023, 144A		24,916
	60,000	American Electric Power Co., Inc., 2.031%, 3/15/2024		58,042
	65,000	American Electric Power Co., Inc., Series A, 3 mo. USD LIBOR + 0.480%, 5.294%, 11/01/2023(a)		64,709
	25,000	Black Hills Corp., 5.950%, 3/15/2028		25,896
	40,000	CenterPoint Energy Houston Electric LLC, 4.950%, 4/01/2033		40,849
	60,000	Consolidated Edison Co. of New York, Inc., 5.200%, 3/01/2033		61,879
	85,000	Consolidated Edison, Inc., Series A, 0.650%, 12/01/2023		82,453
	125,000	Constellation Energy Generation LLC, 5.600%, 3/01/2028		128,638
	30,000	Dominion Energy, Inc., 3.071%, 8/15/2024		29,095
	65,000	Dominion Energy, Inc., Series D, 3 mo. USD LIBOR + 0.530%, 5.396%, 9/15/2023(a)		64,759


Principal Amount		Description	Value (†)

	Bonds and Notes – continued
		Electric – continued
$	50,000	DTE Electric Co., 5.200%, 4/01/2033	$	51,606
	90,000	DTE Energy Co., 4.220%, 11/01/2024		88,987
	125,000	Edison International, 4.700%, 8/15/2025		123,264
	200,000	Entergy Louisiana LLC, 0.950%, 10/01/2024		188,399
	45,000	Eversource Energy, Series N, 3.800%, 12/01/2023		44,433
	25,000	Louisville Gas & Electric Co., Series LOU, 5.450%, 4/15/2033		25,980
	180,000	NextEra Energy Capital Holdings, Inc., 4.900%, 2/28/2028		181,190
	45,000	NextEra Energy Capital Holdings, Inc., 6.051%, 3/01/2025		45,779
	55,000	NRG Energy, Inc., 7.000%, 3/15/2033, 144A		56,976
	110,000	Pacific Gas & Electric Co., 3.250%, 2/16/2024		107,725
	25,000	Pennsylvania Electric Co., 5.150%, 3/30/2026, 144A		25,109
	40,000	Southern California Edison Co., 5.300%, 3/01/2028		41,003
	85,000	Southern Co., Series 21-A, 0.600%, 2/26/2024		81,310
	85,000	Vistra Operations Co. LLC, 5.125%, 5/13/2025, 144A		82,953
	110,000	WEC Energy Group, Inc., 0.800%, 3/15/2024		105,324
	180,000	WEC Energy Group, Inc., 4.750%, 1/09/2026		180,045
	30,000	Wisconsin Power & Light Co., 4.950%, 4/01/2033		30,186
	90,000	Xcel Energy, Inc., 0.500%, 10/15/2023		87,802
				2,171,958
		Environmental – 0.2%
	60,000	Waste Management, Inc., 4.625%, 2/15/2030		60,032
		Finance Companies – 2.6%
	80,000	Air Lease Corp., 0.800%, 8/18/2024		74,604
	40,000	Air Lease Corp., MTN, 0.700%, 2/15/2024		38,248
	40,000	Aircastle Ltd., 2.850%, 1/26/2028, 144A		34,417
	30,000	Ares Capital Corp., 2.875%, 6/15/2028		24,669
	70,000	Aviation Capital Group LLC, 3.875%, 5/01/2023, 144A		69,709


Principal Amount		Description	Value (†)

	Bonds and Notes – continued
		Finance Companies – continued
$	35,000	Avolon Holdings Funding Ltd., 5.500%, 1/15/2026, 144A	$	34,266
	60,000	Bain Capital Specialty Finance, Inc., 2.550%, 10/13/2026		50,635
	20,000	Barings BDC, Inc., 3.300%, 11/23/2026		17,701
	125,000	Blackstone Private Credit Fund, 2.625%, 12/15/2026		104,966
	70,000	Blackstone Secured Lending Fund, 2.850%, 9/30/2028		57,437
	45,000	FS KKR Capital Corp., 3.250%, 7/15/2027		38,126
	15,000	FS KKR Capital Corp., 4.250%, 2/14/2025, 144A		14,083
	80,000	Golub Capital BDC, Inc., 2.500%, 8/24/2026		68,576
	70,000	Hercules Capital, Inc., 3.375%, 1/20/2027		60,055
	90,000	Main Street Capital Corp., 3.000%, 7/14/2026		78,456
	40,000	Morgan Stanley Direct Lending Fund, 4.500%, 2/11/2027		37,528
	30,000	Owl Rock Capital Corp., 3.750%, 7/22/2025		27,357
	25,000	Owl Rock Core Income Corp., 5.500%, 3/21/2025		24,344
	10,000	Owl Rock Core Income Corp., 7.750%, 9/16/2027, 144A		9,851
	110,000	Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A		98,832
				963,860
		Food & Beverage – 0.8%
	25,000	Archer-Daniels-Midland Co., 4.500%, 8/15/2033		25,027
	30,000	Brown-Forman Corp., 4.750%, 4/15/2033		30,344
	175,000	JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.125%, 2/01/2028, 144A		169,003
	60,000	Keurig Dr Pepper, Inc., 0.750%, 3/15/2024		57,460
				281,834
		Gaming – 0.2%
	65,000	GLP Capital LP/GLP Financing II, Inc., 5.250%, 6/01/2025		63,457
		Government Owned—No Guarantee – 0.5%
	200,000	NBN Co. Ltd., 0.875%, 10/08/2024, 144A		187,598
		Health Insurance – 0.6%
	125,000	Humana, Inc., 0.650%, 8/03/2023		123,231


Principal Amount		Description	Value (†)

	Bonds and Notes – continued
		Health Insurance – continued
$	95,000	UnitedHealth Group, Inc., 5.150%, 10/15/2025		$96,792
				220,023
		Healthcare – 0.7%
	55,000	Cigna Group, 3.750%, 7/15/2023		54,733
	165,000	GE HealthCare Technologies, Inc., 5.550%, 11/15/2024, 144A		165,978
	45,000	Medtronic Global Holdings SCA, 4.250%, 3/30/2028		44,928
				265,639
		Home Construction – 0.0%
	20,000	Forestar Group, Inc., 3.850%, 5/15/2026, 144A		17,993
		Independent Energy – 0.6%
	55,000	EQT Corp., 6.125%, 2/01/2025		55,327
	50,000	Pioneer Natural Resources Co., 0.550%, 5/15/2023		49,721
	110,000	Pioneer Natural Resources Co., 5.100%, 3/29/2026		110,458
				215,506
		Life Insurance – 5.8%
	50,000	Athene Global Funding, 2.500%, 3/24/2028, 144A		42,093
	20,000	Brighthouse Financial Global Funding, 1.200%, 12/15/2023, 144A		19,341
	120,000	Brighthouse Financial Global Funding, 1.750%, 1/13/2025, 144A		112,216
	25,000	Corebridge Global Funding, 0.650%, 6/17/2024, 144A		23,705
	95,000	Equitable Financial Life Global Funding, 0.500%, 4/06/2023, 144A		94,972
	140,000	Equitable Financial Life Global Funding, 5.500%, 12/02/2025, 144A		140,766
	42,000	Equitable Holdings, Inc., 3.900%, 4/20/2023		41,941
	30,000	F&G Annuities & Life, Inc., 7.400%, 1/13/2028, 144A		30,207
	120,000	F&G Global Funding, 5.150%, 7/07/2025, 144A		118,299
	100,000	Five Corners Funding Trust III, 5.791%, 2/15/2033, 144A		102,603
	40,000	Guardian Life Global Funding, 1.100%, 6/23/2025, 144A		36,727
	45,000	Guardian Life Global Funding, 3.400%, 4/25/2023, 144A		44,951
	35,000	Guardian Life Global Funding, 5.550%, 10/28/2027, 144A		36,327


Principal Amount		Description	Value (†)

	Bonds and Notes – continued
		Life Insurance – continued
$	20,000	Jackson National Life Global Funding, 3.875%, 6/11/2025, 144A	$	18,963
	180,000	Jackson National Life Global Funding, 5.500%, 1/09/2026, 144A		181,990
	150,000	Met Tower Global Funding, 0.700%, 4/05/2024, 144A		142,379
	115,000	New York Life Global Funding, 4.700%, 4/02/2026, 144A		115,090
	100,000	New York Life Global Funding, 4.850%, 1/09/2028, 144A		101,450
	145,000	Northwestern Mutual Global Funding, 0.600%, 3/25/2024, 144A		138,677
	175,000	Principal Life Global Funding II, 0.500%, 1/08/2024, 144A		168,585
	150,000	Protective Life Global Funding, 0.502%, 4/12/2023, 144A		149,837
	130,000	Reliance Standard Life Global Funding II, 5.243%, 2/02/2026, 144A		129,039
	90,000	RGA Global Funding, 2.700%, 1/18/2029, 144A		78,581
	70,000	Security Benefit Global Funding, 1.250%, 5/17/2024, 144A		66,382
				2,135,121
		Lodging – 0.3%
	65,000	Hyatt Hotels Corp., 1.300%, 10/01/2023		63,630
	30,000	Hyatt Hotels Corp., 5.625%, 4/23/2025		29,842
	15,000	Marriott International, Inc., 4.900%, 4/15/2029		14,869
				108,341
		Media Entertainment – 0.5%
	125,000	Take-Two Interactive Software, Inc., 3.300%, 3/28/2024		122,261
	70,000	Warnermedia Holdings, Inc., 3.755%, 3/15/2027, 144A		65,921
				188,182
		Metals & Mining – 0.7%
	125,000	BHP Billiton Finance USA Ltd., 4.875%, 2/27/2026		125,843
	65,000	Glencore Funding LLC, 4.125%, 3/12/2024, 144A		64,296
	35,000	Northern Star Resources Ltd., 6.125%, 4/11/2033, 144A		34,718
	45,000	Nucor Corp., 3.950%, 5/23/2025		44,275
				269,132
		Midstream – 1.4%
	125,000	Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 7.375%, 2/01/2031, 144A		125,000


Principal Amount		Description	Value (†)

	Bonds and Notes – continued
		Midstream – continued
$	60,000	Enbridge, Inc., 5.700%, 3/08/2033	$	62,409
	55,000	Gray Oak Pipeline LLC, 2.600%, 10/15/2025, 144A		50,972
	60,000	TransCanada PipeLines Ltd., 1.000%, 10/12/2024		56,264
	125,000	TransCanada PipeLines Ltd., SOFR Index + 1.520%, 6.322%, 3/09/2026(a)		125,026
	5,000	Western Midstream Operating LP, 6.150%, 4/01/2033		5,068
	75,000	Williams Cos., Inc., 5.400%, 3/02/2026		76,407
				501,146
		Natural Gas – 0.7%
	180,000	CenterPoint Energy Resources Corp., 5.250%, 3/01/2028		184,541
	30,000	NiSource, Inc., 5.250%, 3/30/2028		30,517
	40,000	Sempra Energy, 3.700%, 4/01/2029		37,138
	20,000	Southwest Gas Corp., 5.450%, 3/23/2028		20,189
				272,385
		Non-Agency Commercial Mortgage-Backed Securities – 1.2%
	64,455	Benchmark Mortgage Trust, Series 2019-B10, Class A1, 2.793%, 3/15/2062		63,208
	95,000	BPR Trust, Series 2022-SSP, Class A, 1 mo. USD SOFR + 3.000%, 7.827%, 5/15/2039, 144A(a)		94,328
	100,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A		90,827
	100,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.168%, 8/15/2046(b)		98,967
	116,379	MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A		92,644
				439,974
		Office REITs – 0.3%
	85,000	Hudson Pacific Properties LP, 5.950%, 2/15/2028		64,374
	30,000	Office Properties Income Trust, 3.450%, 10/15/2031		16,645
	55,000	Office Properties Income Trust, 4.500%, 2/01/2025		47,481
				128,500
		Other REITs – 0.4%
	20,000	Extra Space Storage LP, 5.700%, 4/01/2028		20,136
	95,000	Starwood Property Trust, Inc., 3.750%, 12/31/2024, 144A		87,527


Principal Amount		Description	Value (†)

	Bonds and Notes – continued
		Other REITs – continued
$	45,000	Starwood Property Trust, Inc., 5.500%, 11/01/2023, 144A		$45,084
				152,747
		Packaging – 0.5%
	40,000	Amcor Flexibles North America, Inc., 4.000%, 5/17/2025		39,169
	165,000	Sonoco Products Co., 1.800%, 2/01/2025		155,297
				194,466
		Pharmaceuticals – 1.0%
	180,000	Amgen, Inc., 5.250%, 3/02/2030		184,101
	95,000	AstraZeneca PLC, 3.500%, 8/17/2023		94,385
	80,000	Bayer U.S. Finance II LLC, 3.375%, 7/15/2024, 144A		78,294
				356,780
		Property & Casualty Insurance – 0.2%
	25,000	Aon Corp./Aon Global Holdings PLC, 5.350%, 2/28/2033		25,895
	7,000	Assurant, Inc., 4.200%, 9/27/2023		6,955
	35,000	Trustage Financial Group, Inc., 4.625%, 4/15/2032, 144A		31,324
				64,174
		Railroads – 0.6%
	100,000	Canadian Pacific Railway Co., 1.350%, 12/02/2024		94,218
	110,000	Union Pacific Corp., 4.750%, 2/21/2026		111,305
				205,523
		Refining – 0.2%
	65,000	Phillips 66, 4.950%, 12/01/2027		65,289
		Retail REITs – 0.1%
	40,000	Federal Realty Investment Trust, 3.950%, 1/15/2024		39,498
		Retailers – 1.0%
	65,000	Advance Auto Parts, Inc., 5.900%, 3/09/2026		66,329
	85,000	Lowe’s Cos., Inc., 4.400%, 9/08/2025		84,583
	70,000	Lowe’s Cos., Inc., 5.150%, 7/01/2033		70,667


Principal Amount		Description	Value (†)

	Bonds and Notes – continued
		Retailers – continued
$	135,000	Walgreens Boots Alliance, Inc., 0.950%, 11/17/2023		$131,360
				352,939
		Technology – 4.5%
	125,000	Avnet, Inc., 6.250%, 3/15/2028		127,235
	60,000	Broadcom, Inc., 4.000%, 4/15/2029, 144A		56,125
	80,000	Dell International LLC/EMC Corp., 5.850%, 7/15/2025		81,312
	120,000	Fidelity National Information Services, Inc., 4.500%, 7/15/2025		118,612
	45,000	Flex Ltd., 6.000%, 1/15/2028		46,108
	60,000	Global Payments, Inc., 1.500%, 11/15/2024		56,521
	115,000	Hewlett Packard Enterprise Co., 5.900%, 10/01/2024		116,450
	80,000	Infor, Inc., 1.450%, 7/15/2023, 144A		78,895
	180,000	International Business Machines Corp., 4.500%, 2/06/2028		180,012
	90,000	Marvell Technology, Inc., 4.200%, 6/22/2023		89,616
	75,000	Microchip Technology, Inc., 2.670%, 9/01/2023		73,948
	85,000	Micron Technology, Inc., 6.750%, 11/01/2029		90,297
	35,000	NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027		32,421
	25,000	Qorvo, Inc., 1.750%, 12/15/2024, 144A		23,208
	65,000	Seagate HDD Cayman, 4.875%, 3/01/2024		64,187
	80,000	Skyworks Solutions, Inc., 0.900%, 6/01/2023		79,328
	70,000	Texas Instruments, Inc., 4.900%, 3/14/2033		72,818
	40,000	Trimble, Inc., 6.100%, 3/15/2033		40,380
	175,000	VMware, Inc., 0.600%, 8/15/2023		171,705
	55,000	Western Union Co., 4.250%, 6/09/2023		54,709
				1,653,887
		Tobacco – 0.9%
	225,000	BAT International Finance PLC, 4.448%, 3/16/2028		213,864
	100,000	Philip Morris International, Inc., 5.125%, 2/15/2030		101,283
				315,147


Principal Amount		Description	Value (†)

	Bonds and Notes – continued
		Transportation Services – 1.3%
$	50,000	Element Fleet Management Corp., 3.850%, 6/15/2025, 144A	$	47,733
	30,000	Penske Truck Leasing Co. LP/PTL Finance Corp., 4.125%, 8/01/2023, 144A		29,831
	95,000	Penske Truck Leasing Co. LP/PTL Finance Corp., 5.550%, 5/01/2028, 144A		94,838
	125,000	Ryder System, Inc., MTN, 5.650%, 3/01/2028		126,648
	100,000	Triton Container International Ltd., 0.800%, 8/01/2023, 144A		97,661
	80,000	United Parcel Service, Inc., 4.875%, 3/03/2033		82,100
				478,811
		Treasuries – 27.0%
	2,240,000	U.S. Treasury Notes, 2.500%, 5/31/2024		2,189,775
	935,000	U.S. Treasury Notes, 3.000%, 6/30/2024		918,236
	310,000	U.S. Treasury Notes, 3.250%, 8/31/2024		305,302
	575,000	U.S. Treasury Notes, 4.000%, 2/29/2028		585,377
	3,110,000	U.S. Treasury Notes, 4.125%, 1/31/2025		3,109,150
	1,390,000	U.S. Treasury Notes, 4.250%, 9/30/2024		1,388,425
	1,445,000	U.S. Treasury Notes, 4.375%, 10/31/2024		1,446,693
				9,942,958
		Wirelines – 0.3%
	85,000	Bell Telephone Co. of Canada/Bell Canada, Series US-3, 0.750%, 3/17/2024		81,214
	50,000	Verizon Communications, Inc., 3.000%, 3/22/2027		47,502
				128,716
		Total Bonds and Notes (Identified Cost $37,019,792)		36,359,061
	Short-Term Investments – 0.4%
	138,964	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2023 at 2.100% to be repurchased at $138,988 on 4/03/2023 collateralized by $145,400 U.S. Treasury Note, 2.875% due 6/15/2025 valued at $141,748 including accrued interest(d) (Identified Cost $138,964)		138,964
		Total Investments – 99.2% (Identified Cost $37,158,756)		36,498,025
		Other assets less liabilities – 0.8%		277,460
		Net Assets – 100.0%	$	36,775,485

(†)

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 March 31, 2023 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 March 31, 2023 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 March 31, 2023, 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 March 31, 2023, the value of Rule 144A holdings amounted to $9,748,807 or 26.5% of net assets.

ABS	Asset-Backed Securities

CMT	Constant Maturity Treasury

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 March 31, 2023, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
2 Year U.S. Treasury Note		6/30/2023		44	$	8,991,526	$	9,083,937	$	92,411

At March 31, 2023, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		6/30/2023		12	$	1,285,113	$	1,314,094	$	(28,981	)
10 Year U.S. Treasury Note		6/21/2023		25		2,798,880		2,873,046		(74,166	)
Ultra 10 Year U.S. Treasury Note		6/21/2023		3		351,304		363,422		(12,118	)

Total									$	(115,265	)

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 March 31, 2023, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Collateralized Mortgage Obligations	$	—	$	215,396	$	35,388	$	250,784
All Other Bonds and Notes*		—		36,108,277		—		36,108,277

Total Bonds and Notes		—		36,323,673		35,388		36,359,061

Short-Term Investments		—		138,964		—		138,964

Total Investments		—		36,462,637		35,388		36,498,025

Futures Contracts (unrealized appreciation)		92,411		—		—		92,411

Total	$	92,411	$	36,462,637	$	35,388	$	36,590,436

Liability Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(115,265	)	$	—	$	—	$	(115,265	)

*	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, 2022 and/or March 31, 2023:

Asset Valuation Inputs


Investments in Securities	Balance as of December 31, 2022		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of March 31, 2023		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2023
Bonds and Notes
Collateralized Mortgage Obligations	$	42,945	$	—	$	—	$	176	$	34	$	(7,767	)	$	—	$	—	$	35,388	$	86

Derivatives

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

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. As of March 31, 2023, the Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for the Fund, as of March 31, 2023:


Assets	Unrealized appreciation on futures contracts
Exchange-traded asset derivatives
Interest rate contracts	$	92,411
Liabilities	Unrealized depreciation on futures contracts
Exchange-traded liability derivatives
Interest rate contracts	$	(115,265	)

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

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund.

Industry Summary at March 31, 2023 (Unaudited)


Treasuries	27.0	%
ABS Car Loan	18.3
Banking	10.2
Electric	5.9
Life Insurance	5.8
Technology	4.5
Finance Companies	2.6
ABS Other	2.4
Automotive	2.0
Other Investments, less than 2% each	20.1
Short-Term Investments	0.4

Total Investments	99.2
Other assets less liabilities (including futures contracts)	0.8

Net Assets	100.0	%

Natixis ETF Trust (LSST) NPORT-PMonthly portfolio investment report