Metropolitan West Funds

Contracts

Unrealized

Appreciation

FUTURES CONTRACTS: LONG POSITIONS

S&P 500 E Mini Index,Expiration March 2017

Net unrealized appreciation

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.


Issues	Maturity Date			Principal Amount		Value
BONDS – 72.45%
ASSET-BACKED SECURITIES — 8.10%**
Access Group, Inc., Series 2005-2, Class A3
1.10%		11/22/24	²	$	14,695	$	14,591
Access Group, Inc., Series 2015-1, Class A
1.46%		07/25/56	^2,3		30,051		29,735
Bank of America Credit Card Trust, Series 2007-A1, Class A1
5.17%		06/15/19			20,000		20,029
Bayview Commercial Asset Trust, Series 2004-3, Class A1
1.13%		01/25/35	^2,3		23,648		21,834
Brazos Higher Education Authority, Inc., Series 2010-1, Class A2
2.12%		02/25/35	²		15,000		14,828
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3
1.88%		10/27/36	²		15,000		14,427
Chase Issuance Trust, Series 2015-A3, Class A3
0.95%		04/15/19	²		40,000		40,013
College Loan Corp. Trust, Series 2007-1, Class A3
0.98%		04/25/29	²		17,004		16,673
Collegiate Funding Services Education Loan Trust, Series 2004-A, Class A3
1.21%		09/28/26	²		1,687		1,682
Educational Funding of the South, Inc., Series 2011-1, Class A2
1.53%		04/25/35	²		6,626		6,541
Educational Funding of the South, Inc., Series 2012-1, Class A
1.81%		03/25/36	²		8,231		8,129
GCO Education Loan Funding Trust, Series 2007-1A, Class A5L
1.00%		05/25/23	^2,3		1,618		1,612
Nelnet Student Loan Trust, Series 2014-3A, Class A
1.34%		06/25/41	^2,3		27,918		27,182
Nissan Auto Receivables Owner Trust, Series 2016-B, Class A2B
1.00%		04/15/19	²		40,000		40,056
North Carolina State Education Authority, Series 2011-1, Class A3
1.78%		10/25/41	²		15,000		14,719
Northstar Education Finance, Inc., Series 2007-1, Class A2
1.64%		01/29/46	²		10,000		9,310
Scholar Funding Trust, Series 2011-A, Class A
1.79%		10/28/43	^2,3		5,927		5,729
SLM Student Loan Trust, Series 2003-11, Class A5
1.01%		12/15/22	^2,3		9,607		9,580


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2004-10, Class A5B
1.28%		04/25/23	^2,3	$	300	$	300
SLM Student Loan Trust, Series 2004-5A, Class A5
1.48%		10/25/23	^2,3		6,135		6,140
SLM Student Loan Trust, Series 2005-10, Class A4
0.99%		10/25/19	²		2,123		2,120
SLM Student Loan Trust, Series 2011-2, Class A1
1.36%		11/25/27	²		18,785		18,734
SLM Student Loan Trust, Series 2012-1, Class A2
1.21%		11/25/20	²		2,314		2,313
SLM Student Loan Trust, Series 2013-3, Class A2
1.06%		05/26/20	²		7,420		7,409
SLM Student Loan Trust, Series 2013-4, Class A
1.31%		06/25/27	²		11,989		11,670
SLM Student Loan Trust, Series 2013-6, Class A2
1.26%		02/25/21	²		6,051		6,055


Total Asset-Backed Securities
(Cost $351,532)							351,411


CORPORATES — 22.87%*
Automotive — 0.36%
Ford Motor Credit Co. LLC
6.63%		08/15/17			15,000		15,459

Banking — 3.77%
Bank of America N.A. (BKNT)
6.10%		06/15/17			55,000		56,149
Discover Bank
2.00%		02/21/18			25,000		25,003
HBOS PLC (GMTN) (United Kingdom)
6.75%		05/21/18	^3,4		5,000		5,272
JPMorgan Chase & Co.
6.00%		01/15/18			15,000		15,649
Santander UK PLC (United Kingdom)
1.65%		09/29/17	⁴		15,000		15,013
Wachovia Corp. (MTN)
5.75%		02/01/18			30,000		31,257
Wells Fargo & Co. (GMTN)
1.50%		01/16/18			15,000		14,984


							163,327

Communications — 0.96%
AT&T, Inc.
5.50%		02/01/18			40,000		41,571


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary — 0.69%
Anheuser-Busch InBev Finance, Inc.
1.25%		01/17/18		$	20,000	$	19,987
Pernod Ricard SA (France)
2.95%		01/15/17	^3,4		10,000		10,005


							29,992

Electric — 2.04%
Exelon Corp.
1.55%		06/09/17			15,000		15,000
Jersey Central Power & Light Co.
5.65%		06/01/17			25,000		25,363
Oncor Electric Delivery Co. LLC
6.80%		09/01/18			15,000		16,212
W3A Funding Corp.
8.09%		01/02/17			32,144		32,144


							88,719

Energy — 0.23%
Energy Transfer Partners LP
6.13%		02/15/17			10,000		10,052

Environmental Control — 0.48%
Republic Services, Inc.
3.80%		05/15/18			10,000		10,268
Waste Management, Inc.
6.10%		03/15/18			10,000		10,523


							20,791

Finance — 5.39%
American Express Co.
7.00%		03/19/18			15,000		15,955
Bear Stearns Cos. LLC (The)
6.40%		10/02/17			20,000		20,721
7.25%		02/01/18			15,000		15,876
Citigroup, Inc.
1.80%		02/05/18			10,000		9,997
6.00%		08/15/17			15,000		15,414
General Electric Corp. (MTN)
1.26%		05/05/26	²		30,000		29,071
1.39%		08/15/36	²		75,000		64,482
General Motors Financial Co., Inc.
4.75%		08/15/17			10,000		10,186
Goldman Sachs Group, Inc. (The)
2.38%		01/22/18			10,000		10,059
6.15%		04/01/18			15,000		15,783
Morgan Stanley (MTN)
5.95%		12/28/17			25,000		26,027


							233,571


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food — 0.37%
Kraft Heinz Foods Co.
6.13%		08/23/18		$	15,000	$	15,967

Health Care — 2.76%
Actavis Funding SCS (Luxembourg)
2.35%		03/12/18	⁴		10,000		10,061
Actavis, Inc.
1.88%		10/01/17			10,000		10,026
Aetna, Inc.
1.50%		11/15/17			10,000		9,994
Anthem, Inc.
1.88%		01/15/18			15,000		15,017
Baxalta, Inc.
2.00%		06/22/18			10,000		10,007
Express Scripts Holding Co.
1.25%		06/02/17			10,000		9,989
Providence Health & Services Obligated Group
1.95%		10/01/17	²		25,000		25,044
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)
1.40%		07/20/18	⁴		10,000		9,912
UnitedHealth Group, Inc.
6.00%		02/15/18			15,000		15,730
Valeant Pharmaceuticals International, Inc. (Canada)
5.88%		05/15/23	^3,4		5,000		3,800


							119,580

Industrials — 0.23%
United Technologies Corp. (STEP)
1.78%		05/04/18			10,000		10,005

Real Estate Investment Trust (REIT) — 4.71%

Boston Properties LP
5.63%		11/15/20			15,000		16,504
Camden Property Trust
5.70%		05/15/17			20,000		20,295
DDR Corp.
7.50%		04/01/17			15,000		15,208
Duke Realty LP
6.50%		01/15/18			10,000		10,465
Highwoods Realty LP
5.85%		03/15/17			25,000		25,213
Kimco Realty Corp. (MTN)
4.30%		02/01/18			15,000		15,305
National Retail Properties, Inc.
6.88%		10/15/17			15,000		15,600
Post Apartment Homes LP
4.75%		10/15/17			15,000		15,232


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Prologis LP
4.00%		01/15/18		$	15,000	$	15,307
Realty Income Corp.
2.00%		01/31/18			10,000		10,010
Ventas Realty LP/Ventas Capital Corp.
2.00%		02/15/18			15,000		15,035
WEA Finance LLC/Westfield UK & Europe Finance PLC
2.70%		09/17/19	³		15,000		15,187
Welltower, Inc.
2.25%		03/15/18			15,000		15,069


							204,430

Retail — 0.35%
Walgreens Boots Alliance, Inc.
1.75%		05/30/18			15,000		15,013

Transportation — 0.53%
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			22,752		22,965

Total Corporates
(Cost $982,518)							991,442

MORTGAGE-BACKED — 29.28%**
Commercial Mortgage-Backed — 11.84%
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2007-3, Class A5
5.38%		06/10/49			10,000		10,104
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW16, Class A4
5.71%		06/11/40	²		31,417		31,677
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4
5.71%		12/10/49	²		80,000		80,700
Commercial Mortgage Trust, Series 2006-GG7, Class AM
5.76%		07/10/38	²		21,534		21,518
Commercial Mortgage Trust, Series 2010-C1, Class A2
3.83%		07/10/46	³		10,131		10,319
DBUBS Mortgage Trust, Series 2011-LC1A, Class A2
4.53%		11/10/46	³		45,537		46,993
GS Mortgage Securities Trust, Series 2010-C2, Class A1
3.85%		12/10/43	³		23,989		24,835
GS Mortgage Securities Trust, Series2013-GC13, Class A2
2.81%		07/10/46			40,000		40,592


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Irvine Core Office Trust, Series 2013-IRV, Class A1
2.07%		05/15/48	³	$	6,757	$	6,715
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2004-LN2, Class A2
5.12%		07/15/41			8,256		8,240
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-CB18, Class A4
5.44%		06/12/47			16,140		16,160
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class A2
3.62%		11/15/43	³		50,320		51,079
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A3
4.39%		02/15/46	³		36,786		37,891
LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class XCL
0.49%		09/15/39	^2,3,5		1,737,186		404
LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3
5.43%		02/15/40			4,926		4,936
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C17, Class A3
3.53%		08/15/47			35,000		36,286
Morgan Stanley Capital I Trust, Series 2007-T25, Class AM
5.54%		11/12/49	²		14,101		14,101
Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5
5.34%		12/15/43			13,132		13,117
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4
5.51%		04/15/47			27,031		27,085
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3
5.71%		06/15/49	²		14,634		14,724
WF-RBS Commercial Mortgage Trust, Series 2013-C18, Class A3
3.65%		12/15/46			15,000		15,692


							513,168

Non-Agency Mortgage-Backed — 7.21%
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE6, Class M2
1.52%		07/25/35	²		5,187		5,207
Banc of America Mortgage Securities, Inc., Series 2003-A, Class 2A2
3.29%		02/25/33	²		3,494		3,446


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
BCAP LLC Trust, Series 2011-RR3, Class 1A5
3.20%		05/27/37	^2,3	$	19,410	$	19,363
Centex Home Equity Loan Trust, Series 2002-C, Class AF4 (STEP)
4.98%		06/25/31			13,304		13,343
Countrywide Alternative Loan Trust, Series 2005-27, Class 3A2
1.67%		08/25/35	²		33,764		21,624
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1
1.36%		05/25/35	²		29,289		24,773
Credit Suisse First Boston Mortgage Securities Corp., Series 1997-2, Class A
7.50%		06/25/20	³		1,039		1,059
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB1, Class AF (STEP)
3.95%		01/25/33			17,282		17,457
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB5, Class M1
1.60%		11/25/33	²		20,499		19,704
DSLA Mortgage Loan Trust, Series 2004-AR3, Class 2A2A
1.11%		07/19/44	²		6,795		6,598
Harborview Mortgage Loan Trust, Series 2005-4, Class 2A
3.45%		07/19/35	²		12,485		11,622
IndyMac Index Mortgage Loan Trust, Series 2004-AR5, Class 2A1A
1.62%		08/25/34	²		11,306		9,654
IndyMac Index Mortgage Loan Trust, Series 2007-FLX1, Class A2
0.94%		02/25/37	²		18,356		18,153
JPMorgan Mortgage Acquisition Corp., Series 2005-OPT1, Class M1
1.21%		06/25/35	²		9,106		9,110
Morgan Stanley Capital I Trust, Series 2005-HE6, Class A2C
1.08%		11/25/35	²		1,979		1,984
Residential Asset Mortgage Products Trust, Series 2003-RZ3, Class A6 (STEP)
3.90%		03/25/33			3,210		3,225
Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A2
8.50%		11/25/31			4,097		1,332
Terwin Mortgage Trust, Series 2004-13AL, Class 2PX (IO)
0.34%		08/25/34	^3,5		4,389,673		61,212


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2002-AR6, Class A
1.97%		06/25/42	²	$	6,638	$	6,417
Wells Fargo Mortgage-Backed Securities Trust, Series 2003-I, Class A1
2.88%		09/25/33	²		46,240		47,854
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-I, Class AI
3.13%		07/25/34	²		9,188		9,370


							312,507

U.S. Agency Mortgage-Backed — 10.23%
Fannie Mae Multifamily REMIC Trust, Series 2015-M12, Class FA
0.87%		04/25/20	²		4,176		4,167
Fannie Mae Pool 467572
3.80%		04/01/18			18,214		18,569
Fannie Mae Pool 468769
3.42%		09/01/18			36,483		37,352
Fannie Mae Pool 646884
2.67%		05/01/32	²		48,236		49,441
Fannie Mae Pool 802665
2.99%		12/01/34	²		3,256		3,331
Fannie Mae Pool AL0851
6.00%		10/01/40			7,104		8,056
Fannie Mae Pool AL1848
3.02%		04/01/22			37,106		38,318
Fannie Mae REMICS, Series 1997-91, Class SL (IO)
7.50%		11/25/23	²		63,543		9,982
Fannie Mae REMICS, Series 2003-11, Class FA
1.76%		09/25/32	²		13,073		13,396
Fannie Mae REMICS, Series 2008-47, Class PF
1.26%		06/25/38	²		4,596		4,618
Fannie Mae REMICS, Series 2010-109, Class PF
1.16%		10/25/40	²		11,713		11,731
Fannie Mae REMICS, Series G-36, Class ZB
7.00%		11/25/21			751		818
Fannie Mae-Aces, Series 2006-M2, Class A2F
5.26%		05/25/20	²		7,767		7,860
Fannie Mae-Aces, Series 2013-M14, Class FA
1.11%		08/25/18	²		17,711		17,742
Fannie Mae-Aces, Series 2014-M2, Class ASV2
2.78%		06/25/21	²		24,169		24,702


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF02,
Class A3
1.16%	07/25/20	²	$	5,984	$	6,009
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF05,
Class A
0.88%	09/25/21	²		20,912		20,896
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF10,
Class A
0.91%	07/25/22	²		19,440		19,436
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KIR1,
Class A1
2.45%	03/25/26			19,050		19,119
Freddie Mac REMICS, Series 2591,
Class EF
1.20%	03/15/32	²		3,933		3,933
Freddie Mac REMICS, Series 2684,
Class F
1.60%	01/15/33	²		12,751		13,007
Freddie Mac REMICS, Series 3501,
Class JA
4.00%	04/15/37			5,817		5,859
Freddie Mac REMICS, Series 3831,
Class PV
5.00%	05/15/25			43,843		44,816
Freddie Mac Strips, Series 263, Class F5
1.20%	06/15/42	²		36,217		36,207
Freddie Mac, Series KF08, Class A
0.83%	01/25/22	²		15,336		15,309
Freddie Mac-Ginnie Mae, Series 2, Class L
8.00%	11/25/22			272		274
Ginnie Mae, Series 2011-142, Class A
2.34%	10/16/40			8,679		8,684


						443,632

Total Mortgage-Backed
(Cost $1,314,146)						1,269,307


U.S. TREASURY SECURITIES — 12.20%
U.S. Treasury Notes — 12.20%
U.S. Treasury Notes
0.75%	12/31/17			215,000		214,677
0.88%	05/31/18			100,000		99,826
1.00%	11/30/18			215,000		214,315


						528,818

Total U.S. Treasury Securities
(Cost $528,292)						528,818

Value

Total Bonds – 72.45%

(Cost $3,176,488)

3,140,978

Issues

Shares

Value

MUTUAL FUNDS — 3.89%

Mutual Funds — 3.89%

SPDR S&P500 ETF Trust

755

168,765

Total Mutual Funds

(Cost $170,266)

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 20.22%

Money Market Funds — 0.65%

Dreyfus Government Cash Management Fund

0.45%⁶

28,000

U.S. Treasury Bills — 19.57%

U.S. Treasury Bills

0.48%⁷

04/06/17

⁸

180,000

179,757

0.82%⁷

12/07/17

674,000

668,953

848,710

Total Short-Term Investments

(Cost $876,486)

876,710

Total Investments – 96.56%

(Cost $4,223,240)¹

4,186,453

Cash and Other Assets, Less

Liabilities – 3.44%

149,249

Net Assets – 100.00%

$4,335,702

Notes:

¹	Cost for federal income tax purposes is $4,138,075 and net unrealized appreciation/ (depreciation) consists of:


Gross unrealized appreciation	$	110,706
Gross unrealized (depreciation)		(62,328	)

Net unrealized appreciation	$	48,378

²	Floating rate security. The rate disclosed was in effect at December 31, 2016.

³	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁴	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁵	Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $61,616, which is 1.42% of total net assets.

⁶	Represents the current yield as of December 31, 2016.

⁷	Represents annualized yield at date of purchase.

⁸	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $179,755.

*	Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date.

Issues

Maturity
Date

Principal
Amount

Value

BONDS – 89.22%

BANK LOANS — 82.20%*

Automotive — 0.61%

Allison Transmission, Inc., Term Loan B3, 1st Lien

LIBOR plus 2.50%

08/23/19

418,913

424,987

Chrysler Group LLC, Term Loan B, 1st Lien

LIBOR plus 2.75%

05/24/17

864,157

867,665

1,292,652

Commercial Services — 0.59%

Press Ganey Holdings, Inc., Term Loan, 1st Lien

LIBOR plus 3.25%

10/21/23

1,250,000

1,258,987

Communications — 9.02%

Beasley Broadcast Group, Inc., Term Loan B, 1st Lien

LIBOR plus 6.00%

11/01/23

1,000,000

1,002,500

Charter Communications Operating LLC, Term Loan E, 1st Lien

LIBOR plus 2.25%

07/01/20

746,134

750,850

Charter Communications Operating LLC, Term Loan I, 1st Lien

LIBOR plus 2.25%

01/15/24

496,250

499,972

Cincinnati Bell, Term Loan, 1st Lien

LIBOR plus 3.00%

09/10/20

292,407

294,105

CSC Holdings LLC, Term Loan B, 1st Lien

LIBOR plus 3.00%

10/11/24

1,157,895

1,172,368

GTT Escrow Corp., Term Loan, 1st Lien

5.00%

12/13/23

1,500,000

1,525,628

Integra Telecom Holdings, Inc., Term Loan B, 1st Lien

LIBOR plus 4.25%

08/08/20

982,500

986,921

Level 3 Financing, Inc., Term Loan B, 1st Lien

LIBOR plus 2.75%

05/31/22

500,000

506,770

LIBOR plus 3.00%

01/15/20

1,000,000

1,015,000

Mediarena Acquisition BV, Term Loan, 1st Lien

LIBOR plus 5.75%

08/13/21

1,079,422

1,001,742

Merrill Communications LLC, Term Loan, 1st Lien

LIBOR plus 5.25%

05/29/22

493,384

492,151

MGOC, Inc., Term Loan B, 1st Lien

LIBOR plus 3.00%

07/31/20

583,576

584,399

Mission Broadcasting, Inc., Term Loan B, 1st Lien

3.00%

09/26/23

40,909

41,325

Nexstar Broadcasting Group, Inc., Term Loan B, 1st Lien

3.00%

09/26/23

459,091

463,753

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Communications (continued)

Numericable U.S. LLC, Term Loan B, 1st Lien

LIBOR plus 4.25%

01/15/24

746,250

757,380

Sinclair Broadcast Group, Inc., Term Loan B1, 1st Lien

LIBOR plus 2.75%

07/30/21

490,031

491,256

Sinclair Broadcast Group, Inc., Term Loan B2, 1st Lien

LIBOR plus 2.25%

01/31/24

1,500,000

1,501,875

T-Mobile USA, Inc., Term Loan B, 1st Lien

LIBOR plus 2.75%

11/09/22

742,500

752,824

Tribune Media Co., Term Loan B, 1st Lien

LIBOR plus 3.00%

12/27/20

673,572

680,392

Univision Communications, Inc., 2013 Incremental Term Loan

LIBOR plus 3.00%

03/01/20

909,201

915,370

Univision Communications, Inc., Converted Extended Term Loan, 1st Lien

LIBOR plus 3.00%

03/01/20

764,363

769,549

Virgin Media Bristol LLC, Term Loan, 1st Lien

LIBOR plus 2.75%

01/31/25

1,500,000

1,508,910

Windstream Services LLC, Term Loan B6, 1st Lien

LIBOR plus 4.00%

03/30/21

745,631

752,856

Windstream Services LLC, Term Loan, 1st Lien

4.75%

12/02/23

750,000

753,750

19,221,646

Consumer Discretionary — 6.92%

Aurlux, Term Loan B4, 1st Lien

LIBOR plus 3.25%

01/17/22

1,463,787

1,474,312

CityCenter Holdings LLC, Term Loan B, 1st Lien

LIBOR plus 3.25%

10/16/20

602,499

610,533

Constellation Brands Canada, Inc., Term Loan B, 1st Lien

LIBOR plus 3.75%

12/19/23

2,000,000

2,025,630

Hanesbrands, Inc., Term Loan B, 1st Lien

LIBOR plus 2.50%

04/15/22

374,853

378,718

Hilton Worldwide Finance LLC, Term Loan B1, 1st Lien

LIBOR plus 2.50%

10/26/20

46,951

47,440

Hilton Worldwide Finance LLC, Term Loan B2, 1st Lien

LIBOR plus 2.50%

10/25/23

638,357

646,617

Keurig Green Mountain, Term Loan B, 1st Lien

LIBOR plus 4.50%

03/03/23

269,633

274,205

La Quinta Intermediate Holdings LLC, Term Loan B, 1st Lien

LIBOR plus 2.75%

02/24/21

1,406,959

1,409,822

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Consumer Discretionary (continued)

Nielsen Finance LLC, Term Loan, B3, 1st Lien

LIBOR plus 2.50%

10/04/23

1,250,000

1,266,406

Petco, Acquisition Merger Sub LLC, Term Loan B1, 1st Lien

LIBOR plus 4.00%

01/26/23

992,500

999,239

Reynolds Group Holdings, Inc., Term Loan, 1st Lien

LIBOR plus 3.25%

02/05/23

1,496,250

1,518,185

Spectrum Brands Holdings, Inc., Term Loan, 1st Lien

LIBOR plus 2.50%

06/23/22

1,037,559

1,053,215

Station Casinos LLC, Term Loan B, 1st Lien

LIBOR plus 3.00%

06/08/23

1,492,500

1,514,335

Yum! Brands, Inc., Term Loan B, 1st Lien

LIBOR plus 2.75%

06/16/23

1,492,500

1,516,522

14,735,179

Consumer Products — 0.95%

Hoffmaster Group, Inc., Term Loan, 1st Lien

LIBOR plus 4.50%

11/23/23

1,000,000

1,012,500

Serta Simmons Bedding LLC, Term Loan, 1st Lien

LIBOR plus 3.50%

11/08/23

1,000,000

1,012,500

2,025,000

Consumer Staples — 0.94%

Candy Intermediate Holdings, Inc., Term Loan B, 1st Lien

LIBOR plus 4.50%

06/15/23

995,000

1,003,860

Hostess Brands LLC, Term Loan, 1st Lien

LIBOR plus 3.00%

08/03/22

^2,3

990,000

1,002,499

2,006,359

Electric — 4.96%

Chief Power Finance LLC, Term Loan B, 1st Lien

LIBOR plus 4.75%

12/31/20

^2,3

980,000

795,025

EFS Cogen Holdings I LLC, Term Loan B, 1st Lien

LIBOR plus 3.50%

06/28/23

1,431,231

1,445,544

Energy Future Intermediate Holding Co. LLC, Term Loan, 1st Lien (DIP)

LIBOR plus 3.25%

06/30/17

1,000,000

1,007,375

ExGen Texas Power LLC, Term Loan B, 1st Lien

LIBOR plus 4.75%

09/18/21

^2,3

972,148

745,521

GIM Channelview Cogeneration LLC, Term Loan B, 1st Lien

LIBOR plus 3.25%

05/08/20

1,127,911

1,091,254

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Electric (continued)

Lightstone Generation LLC, Term Loan B, 1st Lien

6.50%

12/15/23

456,522

462,988

Lightstone Generation LLC, Term Loan C, 1st Lien

0.00%

12/15/23

43,478

44,094

Moxie Liberty (Panda), Term Loan, 1st Lien

LIBOR plus 6.50%

08/21/20

1,592,368

1,574,454

Panda Power Funds, Term Loan B1, 1st Lien

LIBOR plus 5.75%

12/19/20

^2,3

978,840

973,946

Tex Operations Co. LLC, Term Loan B Exit, 1st Lien

LIBOR plus 4.00%

08/04/23

1,221,429

1,237,942

Tex Operations Co. LLC, Term Loan C Exit, 1st Lien

LIBOR plus 4.00%

08/04/23

278,571

282,338

Viva Alamo LLC, Term Loan B, 1st Lien

LIBOR plus 4.25%

02/20/21

^2,3

956,776

913,721

10,574,202

Energy — 1.52%

EMG Utica LLC, Term Loan B, 1st Lien

LIBOR plus 3.75%

03/27/20

^2,3

710,120

706,570

Harvey Gulf International Marine LLC, Term Loan B, 1st Lien

LIBOR plus 4.50%

06/18/20

^2,3

737,835

581,355

Pike Corp., Term Loan, 1st Lien

LIBOR plus 4.50%

12/22/21

364,516

366,794

Pike Corp., Term Loan, 2nd Lien

LIBOR plus 8.50%

06/22/22

^2,3

500,000

502,917

Power Buyer LLC, Term Loan, 1st Lien

LIBOR plus 3.25%

05/06/20

1,077,397

1,080,763

3,238,399

Entertainment — 1.18%

AMC Entertainment, Inc., Term Loan B, 1st Lien

LIBOR plus 2.75%

12/15/23

1,000,000

1,012,125

AMC Entertainment, Term Loan B, 1st Lien

LIBOR plus 2.75%

12/15/22

483,835

489,624

Regal Cinemas Corp., Term Loan, 1st Lien

LIBOR plus 2.50%

04/01/22

997,500

1,006,762

2,508,511

Finance — 6.85%

Arnhold and S Bleichroeder Holdings, Inc., Term Loan B, 1st Lien

LIBOR plus 4.00%

12/01/22

990,000

1,001,137

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Finance (continued)

Aruba Investments, Inc., Term Loan B, 1st Lien

LIBOR plus 3.50%

02/02/22

410,418

410,330

Assured Partners, Inc., Term Loan, 1st Lien

LIBOR plus 4.25%

10/21/22

495,090

502,888

Black Knight InfoServ LLC, Term Loan B, 1st Lien

LIBOR plus 3.00%

05/07/22

985,000

1,001,006

Camelot Finance LP, Term Loan B, 1st Lien

LIBOR plus 3.75%

09/16/23

997,500

1,011,006

CBAC Borrower LLC, Term Loan B, 1st Lien

LIBOR plus 7.00%

07/02/20

1,987,481

1,994,934

Delos Finance SARL, Term Loan B, 1st Lien

LIBOR plus 2.75%

02/27/21

1,500,000

1,512,855

Fly Funding II SARL, Term Loan, 1st Lien

LIBOR plus 2.75%

08/09/19

906,667

915,307

GTCR Valor Cos., Inc., Term Loan B, 1st Lien

LIBOR plus 6.00%

06/16/23

995,000

988,159

Midas Intermediate Holdco II LLC, Term Loan B, 1st Lien

LIBOR plus 3.50%

08/18/21

1,489,244

1,509,721

Telenet Financing LLC, Term Loan, 1st Lien

LIBOR plus 3.00%

01/31/25

1,750,000

1,766,748

WideOpenWest Finance LLC, Term Loan B, 1st Lien

LIBOR plus 3.50%

08/19/23

1,965,694

1,989,558

14,603,649

Food — 2.17%

B and G Foods, Inc., Term Loan B, 1st Lien

LIBOR plus 3.00%

11/02/22

426,740

433,028

Chobani LLC, Term Loan B, 1st Lien

LIBOR plus 4.25%

10/07/23

1,000,000

1,016,250

Del Monte Foods, Inc., Term Loan, 1st Lien

LIBOR plus 3.25%

11/26/20

486,250

448,262

Dole Food Co., Inc., Term Loan B, 1st Lien

PRIME plus 2.50%

11/01/18

495

499

LIBOR plus 3.50%

11/01/18

734,486

739,994

Hearthside Group Holdings LLC, Term Loan, 1st Lien

LIBOR plus 3.50%

06/02/21

496,183

502,386

Pinnacle Foods LLC, Term Loan H, 1st Lien

LIBOR plus 2.50%

04/29/20

1,465,984

1,481,567

4,621,986

Gaming — 4.22%

Affinity Gaming, Term Loan, 1st Lien

LIBOR plus 4.00%

07/01/23

497,500

502,060

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Gaming (continued)

American Casino & Entertainment Properties LLC, Term Loan

LIBOR plus 3.25%

07/07/22

764,661

772,629

Boyd Gaming Corp., Term Loan B2, 1st Lien

LIBOR plus 3.00%

09/15/23

1,496,250

1,516,554

Caesers Entertainment Resort Properties LLC, Term Loan B, 1st Lien

LIBOR plus 6.00%

10/11/20

1,244,869

1,258,487

Golden Nugget, Inc., Delayed-Draw Term Loan, 1st Lien

LIBOR plus 3.50%

11/21/19

398,262

403,240

Golden Nugget, Inc., Term Loan B, 1st Lien

LIBOR plus 3.50%

11/21/19

929,278

940,894

Las Vegas Sands LLC, Term Loan B, 1st Lien

LIBOR plus 2.25%

12/19/20

970,000

976,441

MotorCity Casino, Term Loan B, 1st Lien

LIBOR plus 3.25%

08/09/21

1,365,128

1,382,192

Pinnacle Entertainment, Inc., Term Loan B, 1st Lien

LIBOR plus 3.00%

04/28/23

275,417

278,515

Tropicana Entertainment, Inc., Term Loan, 1st Lien

LIBOR plus 3.00%

11/27/20

967,500

971,128

9,002,140

Health Care — 10.42%

Acadia Healthcare Co., Inc., Term Loan B, 1st Lien

LIBOR plus 3.00%

02/11/22

980,000

989,800

Acadia Healthcare Co., Inc., Term Loan B2, 1st Lien

LIBOR plus 3.00%

02/16/23

297,000

299,970

Air Medical Group Holdings, Inc., Term Loan B, 1st Lien

LIBOR plus 3.25%

04/16/22

983,766

983,918

American Renal Holdings, Inc., Term Loan B, 1st Lien

LIBOR plus 3.50%

09/22/19

1,494,677

1,501,216

CHS/Community Health Systems, Inc., Term Loan G, 1st Lien

LIBOR plus 2.75%

12/31/19

331,971

322,947

CHS/Community Health Systems, Inc., Term Loan H, 1st Lien

LIBOR plus 3.00%

01/27/21

339,579

329,888

Concordia International Corp., Term Loan B, 1st Lien

LIBOR plus 4.25%

10/21/21

498,741

391,928

DaVita Healthcare Partners, Inc., Term Loan B, 1st Lien

LIBOR plus 2.75%

06/19/21

975,000

986,456

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Health Care (continued)

Endo Luxembourg Finance I Co. SARL, Term Loan B, 1st Lien (Luxembourg)

LIBOR plus 3.00%

09/25/22

^2,4

741,880

746,650

Fisher Scientific International, Inc., Term Loan, 1st Lien

LIBOR plus 3.00%

11/30/23

1,000,000

1,013,210

Genoa, a QoL Healthcare Co., Term Loan, 1st Lien

LIBOR plus 3.75%

10/28/23

1,745,625

1,767,445

Goldcup Merger Sub, Inc., Term Loan B, 1st Lien

LIBOR plus 5.00%

05/03/23

497,500

509,316

Greatbatch Ltd., Term Loan B, 1st Lien

LIBOR plus 4.25%

10/27/22

594,000

597,713

Grifols Worldwide Operations U.S.A., Inc., Term Loan B, 1st Lien

LIBOR plus 3.00%

02/27/21

493,655

497,718

Halyard Health, Inc., Term Loan B, 1st Lien

LIBOR plus 2.75%

10/31/21

591,121

594,694

HCA, Inc., Term Loan B6, 1st Lien

LIBOR plus 3.25%

03/17/23

755,711

766,196

Inventiv Health, Inc., Term Loan B, 1st Lien

LIBOR plus 3.75%

11/09/23

1,500,000

1,515,803

Millennium Health Holdco, Inc., Term Loan, 1st Lien

LIBOR plus 6.50%

12/21/20

1,693,870

869,523

Multiplan Corp., Term Loan B, 1st Lien

LIBOR plus 4.00%

06/07/23

1,391,931

1,418,531

NBTY, Inc. Term Loan B, 1st Lien

LIBOR plus 4.00%

05/05/23

1,492,500

1,507,194

NMSC Holdings, Inc., Term Loan B, 1st Lien

LIBOR plus 5.00%

04/19/23

677,338

684,958

Prospect Medical Holdings, Inc., Term Loan B, 1st Lien

LIBOR plus 6.00%

06/30/22

^2,3

497,500

490,037

Sterigenics-Nordion Holdings LLC, Term Loan B, 1st Lien

LIBOR plus 3.25%

04/27/22

952,607

959,161

Surgery Center Holdings, Inc., Term Loan, 1st Lien

LIBOR plus 3.75%

11/03/20

490,003

494,903

Valeant Pharmaceuticals International, Inc., Delayed-Draw Term Loan A4DD, 1st Lien

LIBOR plus 3.75%

04/01/20

175,763

173,698

Valeant Pharmaceuticals International, Inc., Term Loan BF1, 1st Lien (Canada)

LIBOR plus 4.75%

04/01/22

^2,4

496,506

497,603

Valeant Pharmaceuticals, Inc., Term Loan BE1, 1st Lien

LIBOR plus 4.50%

08/05/20

1,300,000

1,299,005

22,209,481

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials — 13.42%

Abacus Innovations Corp., Term Loan B, 1st Lien

LIBOR plus 2.75%

08/16/23

750,000

758,640

B/E Aerospace, Inc., Term Loan B, 1st Lien

LIBOR plus 3.00%

12/16/21

1,438,182

1,447,890

Berlin Packaging, LLC, Term Loan , 1st Lien

LIBOR plus 3.50%

10/01/21

997,465

1,007,514

BWAY Holding Co., Term Loan B, 1st Lien

LIBOR plus 3.75%

09/09/23

762,963

766,446

Casella Waste Systems, Inc., Term Loan B, 1st Lien

LIBOR plus 3.00%

10/17/23

500,000

505,628

Consolidated Container Co. LLC, Term Loan B, 1st Lien

LIBOR plus 3.75%

07/03/19

^2,3

232,602

234,346

Consolidated Container Co. LLC, Term Loan B, 2nd Lien

LIBOR plus 6.50%

01/03/20

^2,3

1,000,000

987,500

DigitalGlobe, Term Loan B, 1st Lien

LIBOR plus 2.75%

12/22/23

1,400,000

1,412,250

Exopac, Term Loan B, 1st Lien

LIBOR plus 3.50%

05/08/19

498,715

502,246

Filtration Group, Inc., Term Loan B, 1st Lien

LIBOR plus 3.25%

11/21/20

^2,3

1,380,683

1,393,192

Husky Injection Molding Systems Ltd., Term Loan B, 1st Lien

LIBOR plus 3.25%

06/30/21

962,935

970,056

Infiltrator Systems Integrated LLC, Term Loan, 1st Lien

LIBOR plus 3.50%

05/27/22

985,000

993,619

Jason, Inc., Term Loan, 1st Lien

LIBOR plus 4.50%

06/30/21

248,096

223,907

Jazz Acquisition, Inc., Term Loan, 2nd Lien

LIBOR plus 6.75%

06/19/22

^2,3

150,000

127,250

Johnson Controls International plc, Senior Term Loan

LIBOR plus 1.50%

09/10/19

^2,3

1,500,000

1,495,313

Mauser Holding Gmbh, Term Loan, 1st Lien

LIBOR plus 3.50%

07/31/21

1,272,224

1,284,946

Multi Packaging Solutions, Inc.

LIBOR plus 3.25%

09/30/20

378,956

380,022

Multi Packaging Solutions, Inc., Term Loan, 1st Lien

LIBOR plus 3.25%

09/30/20

756,034

759,815

Munters Corp., Term Loan B, 1st Lien

LIBOR plus 5.25%

05/05/21

738,636

740,948

OSG Bulk Ships, Inc., Term Loan B-Exit, 1st Lien

LIBOR plus 4.25%

08/05/19

793,985

775,624

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Industrials (continued)

Penn Engineering & Manufacturing Corp., Term Loan, 1st Lien

LIBOR plus 3.00%

08/29/21

488,750

491,194

PGT, Inc., Term Loan B, 1st Lien

LIBOR plus 5.75%

02/16/22

488,843

489,151

Platform Specialty Products Corp., Term Loan B5, 1st Lien

LIBOR plus 3.50%

06/07/20

59,290

60,056

Plaze, Inc., Term Loan, 1st Lien

LIBOR plus 4.25%

07/31/22

1,235,406

1,241,583

Ply Gem Industries, Inc., Term Loan, 1st Lien

LIBOR plus 3.00%

01/30/21

^2,3

300,203

303,332

PrimeLine Utility Services LLC, Term Loan B, 1st Lien

LIBOR plus 5.50%

11/12/22

1,492,406

1,498,316

ProAmpac LLC, Term Loan, 1st Lien

LIBOR plus 4.00%

10/18/23

1,500,000

1,519,928

SIG Combibloc U.S. Acquisition, Inc., Term Loan B, 1st Lien

LIBOR plus 3.00%

03/13/22

1,203,269

1,214,929

Synagro Infrastructure, Term Loan, 1st Lien

LIBOR plus 5.25%

08/22/20

^2,3

673,372

590,884

TransDigm, Inc., Term Loan F, 1st Lien

LIBOR plus 3.00%

06/09/23

1,492,500

1,509,850

TricorBraun, Inc., Delayed-Draw Term Loan, 1st Lien

LIBOR plus 1.88%

10/31/23

136,364

138,125

TricorBraun, Inc., Term Loan, 1st Lien

LIBOR plus 3.75%

10/30/23

1,363,636

1,381,255

USIC Holdings, Inc., Term Loan, 1st Lien

LIBOR plus 3.75%

12/09/23

1,000,000

1,010,415

Zebra Technologies Corp., Term Loan B, 1st Lien

LIBOR plus 2.50%

10/27/21

^2,3

375,682

380,586

28,596,756

Information Technology — 6.12%

Aclara Technologies LLC, Term Loan B, 1st Lien

LIBOR plus 5.75%

08/29/23

^2,3

1,496,250

1,528,045

Avago Technologies Cayman Finance Ltd., Term Loan B3, 1st Lien

LIBOR plus 3.00%

02/01/23

673,028

683,672

Ciena Corp., Term Loan, 1st Lien

LIBOR plus 3.50%

04/25/21

248,750

250,616

Dell, Inc., Term Loan B, 1st Lien

LIBOR plus 3.25%

09/07/23

1,500,000

1,527,630

Equinix, Inc., Term Loan B, 1st Lien

LIBOR plus 3.25%

01/09/23

496,250

503,073

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Information Technology (continued)

First Data Corp., Term Loan, 1st Lien

LIBOR plus 3.00%

03/24/21

655,794

664,218

LIBOR plus 3.00%

07/10/22

279,886

283,298

Mitel U.S. Holdings, Inc., Term Loan B, 1st Lien

LIBOR plus 4.50%

04/13/22

896,437

907,419

NXP BV, Term Loan F, 1st Lien

LIBOR plus 2.50%

12/07/20

292,527

294,484

Oberthur Technologies Group SAS, Term Loan B1, 1st Lien

3.75%

12/15/23

381,579

385,490

Oberthur Technologies Group SAS, Term Loan B2, 1st Lien

3.75%

12/15/23

618,421

624,760

ON Semiconductor Corp., Term Loan B, 1st Lien

LIBOR plus 3.25%

03/31/23

1,496,250

1,518,020

Sophia LP, Term Loan B, 1st Lien

LIBOR plus 3.75%

09/30/22

1,238,317

1,251,864

SS&C Technologies Holdings SARL, Term Loan B2, 1st Lien

LIBOR plus 3.25%

07/08/22

101,603

103,117

SS&C Technologies, Inc., Term Loan B1, 1st Lien

LIBOR plus 3.25%

07/08/22

995,650

1,010,485

TierPoint LLC, Term Loan B, 1st Lien

LIBOR plus 4.25%

12/02/21

497,462

500,263

LIBOR plus 4.50%

12/02/21

990,000

997,841

13,034,295

Insurance — 0.88%

Alliant Holdings I LLC, Term Loan B, 1st Lien

LIBOR plus 3.50%

08/14/22

640,744

645,351

Hyperion Insurance Group Ltd., Term Loan B, 1st Lien

LIBOR plus 4.50%

04/29/22

1,229,359

1,236,606

1,881,957

Materials — 0.59%

Novelis, Inc., Term Loan B, 1st Lien

LIBOR plus 3.25%

05/28/22

738,750

744,405

Quikrete Holdings, Inc., Term Loan, 1st Lien

LIBOR plus 3.25%

11/15/23

500,000

505,730

1,250,135

Real Estate Investment Trust (REIT) — 1.53%

DTZ U.S. Borrower LLC, Term Loan B, 1st Lien

LIBOR plus 3.25%

11/04/21

1,238,076

1,246,588

Issues

Maturity
Date

Principal
Amount

Value

BANK LOANS (continued)

Real Estate Investment Trust (REIT) (continued)

MGM Growth Properties Operating Partnership, Term Loan B, 1st Lien

LIBOR plus 2.75%

04/25/23

1,988,741

2,014,664

3,261,252

Retail — 0.72%

Dollar Tree, Inc., Term Loan B2, 1st Lien

LIBOR plus 2.50%

07/06/22

284,810

287,926

PetSmart, Inc., Term Loan B, 1st Lien

LIBOR plus 3.00%

03/10/22

1,232,487

1,237,670

1,525,596

Services — 7.03%

Alix Partners LP, Term Loan B, 1st Lien

LIBOR plus 3.00%

07/28/22

987,525

997,489

CHI Overhead Doors, Term Loan, 1st Lien

LIBOR plus 3.50%

07/31/22

1,709,481

1,715,182

ESH Hospitality, Inc., Term Loan B, 1st Lien

LIBOR plus 3.00%

08/30/23

1,496,250

1,517,175

Filtration Group, Inc, Delayed Draw Term Loan, 1st Lien

4.25%

11/21/20

347,507

349,247

Global Payments, Inc., Term Loan B, 1st Lien

LIBOR plus 2.50%

04/22/23

258,867

261,876

Mister Car Wash Holdings, Inc., Delayed Draw Term Loan, 1st Lien

LIBOR plus 0.00%

08/21/21

250,000

251,198

Mister Car Wash Holdings, Inc., Term Loan, 1st Lien

LIBOR plus 4.25%

08/21/21

1,246,804

1,252,776

NEP/NCP Holdco, Term Loan B, 1st Lien

LIBOR plus 3.25%

01/22/20

1,234,225

1,241,939

PODS Enterprises LLC, Term Loan B, 1st Lien

LIBOR plus 3.50%

02/02/22

1,485,529

1,503,170

Prime Security Services Borrower LLC, Term Loan, 1st Lien

LIBOR plus 3.25%

05/02/22

1,142,138

1,161,126

Research Now Group, Inc., Term Loan B, 1st Lien

LIBOR plus 4.50%

03/18/21

^2,3

736,875

729,506

SRS Distribution, Inc., Term Loan, 1st Lien

LIBOR plus 4.25%

08/25/22

495,000

503,353

St. George’s University LLC, Term Loan B, 1st Lien

LIBOR plus 5.25%

07/06/22

493,750

501,361

VGD Merger Sub LLC, Term Loan B, 1st Lien

LIBOR plus 4.00%

08/18/23

1,500,000

1,521,750

Wash Multifamily Laundry Systems LLC,

Term Loan B, 1st Lien

LIBOR plus 3.25%

05/14/22

1,257,306

1,258,877


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Services (continued)
LIBOR plus 3.25%	05/14/22	²	$	220,191	$	220,467


						14,986,492

Transportation — 1.56%
Air Canada, Term Loan B, 1st Lien
LIBOR plus 2.75%	10/06/23	²		1,000,000		1,008,540
American Airlines, Inc., Term Loan B-Exit, 1st Lien
LIBOR plus 2.50%	06/27/20	²		970,219		976,724
Delta Air Lines, Inc., Term Loan B1, 1st Lien
LIBOR plus 2.50%	10/18/18	²		494,859		501,010
Navios Maritime Partners LP, Term Loan B, 1st Lien (Greece)
LIBOR plus 4.25%	06/27/18	^2,3,4		848,471		829,381


						3,315,655

Total Bank Loans
(Cost $174,342,813)						175,150,329

CORPORATES — 7.02%*
Banking — 0.23%
Bank of America N.A. (BKNT)
1.26%	06/15/17	²		500,000		499,760

Communications — 2.15%
Altice U.S. Finance I Corp.
5.50%	05/15/26	⁵		1,000,000		1,020,000
CSC Holdings LLC
6.75%	11/15/21			1,000,000		1,077,500
DISH DBS Corp.
4.25%	04/01/18			1,000,000		1,027,870
Sprint Communications, Inc.
9.00%	11/15/18	⁵		400,000		441,500
Verizon Communications, Inc.
2.71%	09/14/18	²		1,000,000		1,022,825


						4,589,695

Consumer Discretionary — 0.49%
Churchill Downs, Inc.
5.38%	12/15/21			1,000,000		1,042,500

Finance — 1.48%
Citigroup, Inc.
1.48%	08/25/36	²		1,800,000		1,434,199
General Electric Corp. (MTN)
1.39%	08/15/36	²		850,000		730,794
Goldman Sachs Group, Inc. (MTN) (The)
3.85%	07/08/24			980,000		1,000,104


						3,165,097


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care — 0.33%
Actavis Funding SCS (Luxembourg)
2.03%	03/12/18	^2,4	$	700,000	$	704,189


Industrials — 1.70%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)
3.96%	12/15/19	^2,4,5		1,000,000		1,017,500
4.16%	05/15/21	^2,4,5		1,000,000		1,032,500
Sealed Air Corp.
5.25%	04/01/23	⁵		1,500,000		1,563,750


						3,613,750


Real Estate Investment Trust (REIT) — 0.25%
DuPont Fabros Technology LP
5.88%	09/15/21			500,000		525,000


Transportation — 0.39%
American Airlines Pass-Through Trust, Series 2013-2, Class B
5.60%	07/15/20	⁵		788,588		822,103


Total Corporates
(Cost $14,732,701)						14,962,094


Total Bonds – 89.22%
(Cost $189,075,514)						190,112,423

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 16.00%

Foreign Government Obligations — 3.94%

Japan Treasury Discount Bill, Series 636 (Japan)

0.00%⁶

01/10/17

⁴

550,000,000

4,715,735

Japan Treasury Discount Bill, Series 649 (Japan)

0.00%⁶

03/13/17

⁴

380,000,000

3,260,080

Japan Treasury Discount Bill, Series 652 (Japan)

0.00%⁶

03/27/17

⁴

50,000,000

429,032

8,404,847

Money Market Funds — 2.03%

Dreyfus Government Cash Management Fund

0.45%⁷

1,901,000

Morgan Stanley Institutional Liquidity Fund

0.44%⁷

2,418,000

4,319,000

Issues

Maturity

Date

Principal
Amount/

Shares

Value

SHORT-TERM INVESTMENTS (continued)

U.S. Agency Discount Notes — 1.41%

Federal Home Loan Bank

0.48%⁶

02/13/17

3,000,000

2,998,326

U.S. Treasury Bills — 8.62%

U.S. Treasury Bills

0.38%⁶

01/19/17

400,000

399,927

0.43%⁶

04/13/17

9,400,000

9,386,032

0.44%⁶

02/23/17

3,800,000

3,797,492

0.55%⁶

04/20/17

4,800,000

4,792,387

18,375,838

Total Short-Term Investments

(Cost $34,855,062)

34,098,011

Total Investments – 105.22%

(Cost $223,930,576)¹

224,210,434

Liabilities in Excess of Other

Assets – (5.22%)

(11,117,897

)

Net Assets – 100.00%

213,092,537

Currency

Purchased

Currency

Sold

Unrealized
Appreciation/
(Depreciation)

FOREIGN CURRENCY EXCHANGE CONTRACT

Forward currency contract to sell Japanese Yen on 01/10/17 at 116.56 Counterparty: Citigroup Global Markets, Inc.

USD $4,818,599

JPY 550,000,000

$ 99,990

Forward currency contract to sell Japanese Yen on 01/13/17 at 116.54 Counterparty: JPMorgan Securities LLC

USD $3,325,402

JPY 380,000,000

64,733

Forward currency contract to sell Japanese Yen on 03/27/17 at 116.12 Counterparty: Bank of America

USD $ 424,973

JPY 50,000,000

(5,634)

Net unrealized appreciation

$159,089

Notes:

¹	Cost for federal income tax purposes is $223,825,664 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	2,616,782
Gross unrealized (depreciation)		(2,232,012	)

Net unrealized appreciation	$	384,770

²	Floating rate security. The rate disclosed was in effect at December 31, 2016.

³	Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $15,310,926, which is 7.19% of total net assets.

⁴	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁵	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

Issues

Maturity

Date

Principal

Amount

Value

BONDS – 87.61%

BANK LOANS — 8.77%*

Communications — 2.11%

Charter Communications Operating LLC, Term Loan E, 1st Lien

LIBOR plus 2.25%

07/01/20

10,187,217

10,251,600

GTT Escrow Corp., Term Loan,
1st Lien

5.00%

12/13/23

925,000

940,804

Level 3 Financing, Inc., Term Loan B-III, 1st lien

LIBOR plus 3.00%

08/01/19

2,250,000

2,284,313

NEP/NCP Holdco, Term Loan B, 1st Lien

LIBOR plus 8.75%

07/22/20

^2,3

1,451,250

1,465,762

Nexstar Broadcasting, Inc.,

Bridge Term Loan

8.50%

09/26/17

^2,3

3,844,068

18,786,547

Consumer Discretionary — 1.14%

CityCenter Holdings LLC, Term Loan B, 1st Lien

LIBOR plus 3.25%

10/16/20

2,984,377

3,024,174

Hilton Worldwide Finance LLC, Term Loan B1, 1st Lien

LIBOR plus 2.50%

10/26/20

2,710,115

2,738,341

Reynolds Group Holdings, Inc., Term Loan, 1st Lien

LIBOR plus 3.25%

02/05/23

2,294,250

2,327,884

Yum! Brands, Inc., Term Loan B, 1st Lien

LIBOR plus 2.75%

06/16/23

1,990,000

2,022,029

10,112,428

Electric — 0.31%

Tex Operations Co. LLC, Term Loan B Exit, 1st Lien

LIBOR plus 4.00%

08/04/23

2,190,429

2,220,043

Tex Operations Co. LLC, Term Loan C Exit, 1st Lien

LIBOR plus 4.00%

08/04/23

499,571

506,326

2,726,369

Energy — 1.02%

Drillships Financing Holding, Term Loan B1, 1st Lien

LIBOR plus 5.00%

03/31/21

1,814,616

1,184,944

Harvey Gulf International Marine LLC, Term Loan B, 1st Lien

LIBOR plus 4.50%

06/18/20

^2,3

3,724,152

2,934,334

Pacific Drilling SA, Term Loan B,
1st Lien

LIBOR plus 3.50%

06/03/18

967,418

350,689

Power Buyer LLC, Term Loan, 1st Lien

LIBOR plus 3.25%

05/06/20

452,265

453,678

Issues

Maturity

Date

Principal

Amount

Value

BANK LOANS (continued)

Energy (continued)

Power Buyer LLC, Term Loan, 2nd Lien

LIBOR plus 7.25%

11/06/20

^2,3

4,150,000

4,139,625

9,063,270

Finance — 0.31%

Delos Finance SARL, Term Loan B, 1st Lien

LIBOR plus 2.75%

02/27/21

2,750,000

2,773,567

Health Care — 0.92%

CHS/Community Health Systems, Inc., Term Loan G, 1st Lien

LIBOR plus 2.75%

12/31/19

5,657,074

5,503,287

Concordia International Corp., Term Loan B, 1st Lien

LIBOR plus 4.25%

10/21/21

997,481

783,856

NBTY, Inc. Term Loan B, 1st Lien

LIBOR plus 4.00%

05/05/23

1,860,650

1,878,968

8,166,111

Industrials — 1.20%

Synagro Infrastructure, Term Loan,
1st Lien

LIBOR plus 5.25%

08/22/20

^2,3

4,713,605

4,136,188

TransDigm, Inc., Term Loan E, 1st Lien

LIBOR plus 3.00%

05/14/22

2,497,910

2,523,313

TransDigm, Inc., Term Loan F, 1st Lien

LIBOR plus 3.00%

06/09/23

3,989,975

4,036,358

10,695,859

Information Technology — 0.25%

First Data Corp., Term Loan, 1st Lien

LIBOR plus 3.00%

03/24/21

2,213,589

2,242,023

Retail — 0.79%

Family Tree Escrow LLC, Term Loan B2, 1st Lien

FIXED plus 4.25%

07/06/22

6,900,000

7,017,852

Services — 0.72%

Mister Car Wash Holdings, Inc., Delayed Draw Term Loan, 1st Lien

LIBOR plus 0.00%

08/21/21

309,167

310,648

Mister Car Wash Holdings, Inc.,

Term Loan, 1st Lien

LIBOR plus 4.25%

08/21/21

1,541,881

1,549,266

NEP/NCP Holdco, Term Loan B, 1st Lien

LIBOR plus 3.25%

01/22/20

3,507,015

3,528,934


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Services (continued)
VGD Merger Sub LLC, Term Loan B, 1st Lien
LIBOR plus 4.00%		08/18/23	²	$	1,000,000	$	1,014,500


							6,403,348

Total Bank Loans
(Cost $79,885,297)							77,987,374


CORPORATES — 74.80%*
Automotive — 1.24%
Goodyear Tire & Rubber Co. (The)
7.00%		05/15/22			6,614,000		6,994,305
Tenneco, Inc.
5.00%		07/15/26			4,105,000		4,038,294


							11,032,599

Banking — 0.96%
Ally Financial, Inc.
3.25%		11/05/18			3,845,000		3,868,839
4.75%		09/10/18			4,530,000		4,671,563


							8,540,402

Commercial Services — 1.27%
IHS Markit Ltd. (Bangladesh)
5.00%		11/01/22	^4,5		5,251,000		5,474,167
Ritchie Bros Auctioneers, Inc. (Canada)
5.38%		01/15/25	^4,5		5,106,000		5,220,885
Service Corp. International/U.S.
4.50%		11/15/20			600,000		611,250


							11,306,302

Communications — 20.80%
Altice Financing SA (Luxembourg)
7.50%		05/15/26	^4,5		2,000,000		2,085,000
Altice U.S. Finance I Corp.
5.38%		07/15/23	⁵		1,100,000		1,145,375
5.50%		05/15/26	⁵		1,250,000		1,275,000
Cable One, Inc.
5.75%		06/15/22	⁵		4,206,000		4,342,695
CCO Holdings LLC/CCO Holdings Capital Corp.
5.50%		05/01/26	⁵		2,360,000		2,413,100
5.75%		02/15/26	⁵		750,000		778,163
6.63%		01/31/22			3,801,000		3,943,537
Cequel Communications Holdings I LLC/Cequel Capital Corp.
5.13%		12/15/21	⁵		575,000		587,937
5.13%		12/15/21	^3,5		500,000		508,750
6.38%		09/15/20	⁵		1,675,000		1,733,625


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Clear Channel Worldwide Holdings, Inc.,
Series B
6.50%		11/15/22		$	1,108,000	$	1,141,240
CSC Holdings LLC
5.50%		04/15/27	⁵		4,000,000		4,070,000
6.75%		11/15/21			35,000		37,713
8.63%		02/15/19			3,076,000		3,406,670
DISH DBS Corp.
4.63%		07/15/17			2,823,000		2,868,874
5.13%		05/01/20			247,000		256,263
7.88%		09/01/19			7,525,000		8,390,375
Frontier Communications Corp.
8.50%		04/15/20			1,855,000		1,957,118
8.88%		09/15/20			2,303,000		2,461,331
10.50%		09/15/22			1,015,000		1,070,876
GTT Escrow Corp.
7.88%		12/31/24	⁵		3,348,000		3,528,122
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	⁴		6,195,000		4,205,166
7.25%		04/01/19	⁴		2,800,000		2,366,000
Lamar Media Corp.
5.75%		02/01/26			1,700,000		1,799,875
Level 3 Financing, Inc.
5.25%		03/15/26	⁵		4,785,000		4,743,131
LIN Television Corp.
5.88%		11/15/22			9,767,000		9,962,340
Midcontinent Communications &
Midcontinent Finance Corp.
6.88%		08/15/23	⁵		2,500,000		2,671,875
Neptune Finco Corp.
10.88%		10/15/25	⁵		2,530,000		3,010,700
Numericable-SFR SA (France)
7.38%		05/01/26	^4,5		4,080,000		4,197,300
Qwest Corp.
6.50%		06/01/17			12,080,000		12,330,056
6.75%		12/01/21			505,000		551,713
Sinclair Television Group, Inc.
5.38%		04/01/21			5,350,000		5,557,313
Sirius XM Radio, Inc.
4.25%		05/15/20	⁵		760,000		772,350
5.75%		08/01/21	⁵		11,744,000		12,254,277
Softbank Group Corp. (Japan)
4.50%		04/15/20	^4,5		4,455,000		4,583,081
Sprint Communications, Inc.
9.00%		11/15/18	⁵		11,522,000		12,717,407
9.25%		04/15/22			7,849,000		8,830,125
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	⁵		9,572,000		9,614,117


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
TEGNA, Inc.
5.13%		10/15/19		$	1,310,000	$	1,349,300
T-Mobile USA, Inc.
6.13%		01/15/22			100,000		105,750
6.54%		04/28/20			2,850,000		2,939,063
6.63%		11/15/20			12,300,000		12,622,875
6.63%		04/28/21			11,020,000		11,529,675
Univision Communications, Inc.
5.13%		02/15/25	⁵		2,533,000		2,428,514
Virgin Media Secured Finance PLC (United Kingdom)
5.50%		08/15/26	^4,5		1,904,000		1,906,380
Windstream Services LLC
6.38%		08/01/23			995,000		893,013
Ziggo Secured Finance BV (Netherlands)
5.50%		01/15/27	^4,5		3,050,000		2,980,765


							184,923,925

Consumer Discretionary — 8.65%
Churchill Downs, Inc.
5.38%		12/15/21			9,313,000		9,708,803
Constellation Brands, Inc.
6.00%		05/01/22			1,418,000		1,606,367
Cott Beverages, Inc.
6.75%		01/01/20			7,890,000		8,215,463
DS Services of America, Inc.
10.00%		09/01/21	⁵		5,979,000		6,584,374
GLP Capital LP/GLP Financing II, Inc.
5.38%		04/15/26			2,585,000		2,702,359
Hilton Worldwide Finance LLC/Hilton
Worldwide Finance Corp.
5.63%		10/15/21	²		4,795,000		4,953,551
Isle of Capri Casinos, Inc.
5.88%		03/15/21			2,850,000		2,967,563
KFC Holding Co/Pizza Hut Holdings
LLC/Taco Bell of America LLC
5.00%		06/01/24	⁵		3,740,000		3,828,825
MGM Resorts International
8.63%		02/01/19			2,240,000		2,528,400
NCL Corp. Ltd. (Bangladesh)
4.75%		12/15/21	^4,5		6,500,000		6,512,220
Nielsen Co., Luxembourg SARL (The)
(Luxembourg)
5.50%		10/01/21	^4,5		5,020,000		5,239,625
Nielsen Finance LLC/Nielsen Finance Co.
5.00%		04/15/22	⁵		785,000		802,663
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
4.38%		07/15/21	^2,5		12,500,000		12,812,500
5.75%		10/15/20			5,706,000		5,905,710


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
RSI Home Products, Inc.
6.50%		03/15/23	⁵	$	2,285,000	$	2,399,250
Spectrum Brands, Inc.
6.63%		11/15/22			155,000		165,463


							76,933,136

Consumer Products — 1.50%
Central Garden & Pet Co.
6.13%		11/15/23			4,025,000		4,256,437
Scotts Miracle-Gro Co.(The)
5.25%		12/15/26	⁵		9,055,000		9,077,637


							13,334,074

Electric — 2.29%
FPL Energy National Wind Portfolio LLC
6.13%		03/25/19	⁵		200,437		201,439
GenOn Americas Generation LLC
8.50%		10/01/21	³		4,700,000		3,971,500
Homer City Generation LP (PIK)
8.14%		10/01/19	^3,6,7		8,063,387		3,507,573
8.73%		10/01/26	^3,6,8		20,640,512		8,978,623
Indiantown Cogeneration LP, Series A-10
9.77%		12/15/20	³		396,487		428,206
Mirant Mid Atlantic Pass-Through Trust, Series C
10.06%		12/30/28	³		2,372,407		2,004,684
Red Oak Power LLC, Series A
8.54%		11/30/19			1,263,620		1,269,938


							20,361,963

Energy — 5.10%
Chesapeake Energy Corp.
5.75%		03/15/23			1,000,000		945,000
6.63%		08/15/20			500,000		507,500
Concho Resources, Inc.
5.50%		04/01/23			1,806,000		1,880,588
Diamondback Energy, Inc.
5.38%		05/31/25	⁵		4,723,000		4,770,230
Endeavor Energy Resources LP/EER Finance, Inc.
7.00%		08/15/21	⁵		960,000		1,003,200
Energy Transfer Partners LP
3.90%		11/01/66	²		1,800,000		1,416,375
EP Energy LLC/EP Energy Finance, Inc.
9.38%		05/01/20			1,766,000		1,636,905
Gulfport Energy Corp.
6.00%		10/15/24	⁵		1,750,000		1,789,375
6.38%		05/15/25	⁵		5,164,000		5,242,493
MEG Energy Corp. (Canada)
6.50%		03/15/21	^4,5		430,000		399,900


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
7.00%		03/31/24	^4,5	$	1,250,000	$	1,137,500
Newfield Exploration Co.
5.38%		01/01/26			2,540,000		2,603,500
NGPL Pipe Co. LLC
7.12%		12/15/17	⁵		7,052,000		7,386,970
Parsley Energy LLC/Parsley Finance Corp.
6.25%		06/01/24	⁵		2,310,000		2,442,363
PDC Energy, Inc.
6.13%		09/15/24	⁵		1,860,000		1,911,150
QEP Resources, Inc.
5.25%		05/01/23			813,000		819,097
Range Resources Corp.
4.88%		05/15/25			1,604,000		1,561,895
Rockies Express Pipeline LLC
5.63%		04/15/20	⁵		865,000		914,737
6.00%		01/15/19	⁵		1,025,000		1,083,937
Seventy Seven Energy, Inc.
6.50%		01/01/49	^3,†		1,291,000		—
Sunoco LP/Sunoco Finance Corp.
5.50%		08/01/20			3,145,000		3,207,900
Walter Energy, Inc.⁹
11.00%		04/01/20	^5,6		15,537,550		20,976
Whiting Petroleum Corp.
5.00%		03/15/19			550,000		550,000
WPX Energy, Inc.
5.25%		09/15/24			2,130,000		2,078,081


							45,309,672

Finance — 3.22%
CIT Group, Inc.
4.25%		08/15/17			1,000,000		1,016,250
5.25%		03/15/18			2,900,000		3,008,750
5.50%		02/15/19	⁵		1,850,000		1,956,375
6.63%		04/01/18	⁵		7,846,000		8,287,337
Citigroup, Inc.
1.48%		08/25/36	²		7,460,000		5,943,956
International Lease Finance Corp.
6.25%		05/15/19			4,000,000		4,310,000
7.13%		09/01/18	⁵		2,892,000		3,117,937
Midas Intermediate Holdco II LLC/ Midas Intermediate Holdco II Finance, Inc.
7.88%		10/01/22	⁵		936,000		971,100


							28,611,705

Food — 0.99%
B&G Foods, Inc.
4.63%		06/01/21			455,000		466,375
Kraft Heinz Foods Co.
4.88%		02/15/25	⁵		579,000		625,063


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
Lamb Weston Holdings, Inc.
4.63%		11/01/24	⁵	$	1,000,000	$	1,005,000
4.88%		11/01/26	⁵		6,548,000		6,507,075
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.
5.88%		01/15/24			75,000		79,875
TreeHouse Foods, Inc.
6.00%		02/15/24	⁵		100,000		105,500


							8,788,888

Gaming — 0.44%
Boyd Gaming Corp.
6.88%		05/15/23			1,083,000		1,168,286
Rivers Pittsburgh Borrower LP/Rivers
Pittsburgh Finance Corp.
6.13%		08/15/21	⁵		2,720,000		2,788,000


							3,956,286

Health Care — 12.07%
Acadia Healthcare Co., Inc.
6.50%		03/01/24			1,453,000		1,489,325
Centene Corp.
4.75%		01/15/25			14,210,000		13,908,037
Concordia International Corp. (Canada)
9.00%		04/01/22	^4,5		2,115,000		1,788,497
DaVita HealthCare Partners, Inc.
5.13%		07/15/24			35,000		35,044
5.75%		08/15/22			1,000,000		1,048,750
Endo Ltd./Endo Finance LLC/ Endo Finco, Inc. (Ireland)
6.00%		07/15/23	^4,5		1,278,000		1,126,237
6.50%		02/01/25	^4,5		1,685,000		1,419,613
Fresenius Medical Care U.S. Finance II, Inc.
4.13%		10/15/20	⁵		3,925,000		4,074,641
4.75%		10/15/24	⁵		1,125,000		1,141,875
Fresenius Medical Care U.S. Finance, Inc.
6.88%		07/15/17			1,468,000		1,510,205
Grifols Worldwide Operations Ltd. (Ireland)
5.25%		04/01/22	⁴		4,975,000		5,174,000
HCA, Inc.
4.75%		05/01/23			500,000		512,969
5.00%		03/15/24			3,680,000		3,795,000
6.50%		02/15/20			11,346,000		12,455,071
HealthSouth Corp.
5.75%		11/01/24			2,355,000		2,396,213
Hill-Rom Holdings, Inc.
5.75%		09/01/23	⁵		1,697,000		1,760,637
Hologic, Inc.
5.25%		07/15/22	⁵		1,000,000		1,056,250


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
inVentiv Group Holdings, Inc./inVentiv Health Inc./inVentiv Health Clinical Inc.
7.50%		10/01/24	⁵	$	5,835,000	$	6,166,866
Molina Healthcare, Inc.
5.38%		11/15/22			4,553,000		4,621,295
MPH Acquisition Holdings LLC
7.13%		06/01/24	⁵		5,810,000		6,115,025
NBTY, Inc.
7.63%		05/15/21	⁵		1,782,000		1,855,507
Quintiles Transnational Corp.
4.88%		05/15/23	⁵		250,000		254,287
Teleflex, Inc.
4.88%		06/01/26			844,000		838,725
Tenet Healthcare Corp.
6.00%		10/01/20			3,514,000		3,689,700
6.75%		06/15/23			2,500,000		2,215,625
7.50%		01/01/22	⁵		3,275,000		3,416,234
Valeant Pharmaceuticals International, Inc. (Canada)
5.63%		12/01/21	^4,5		1,500,000		1,167,187
5.88%		05/15/23	^4,5		10,978,000		8,343,280
6.13%		04/15/25	^4,5		9,945,000		7,508,475
WellCare Health Plans, Inc.
5.75%		11/15/20			6,280,000		6,456,625


							107,341,195

Home Builders — 0.23%
Shea Homes LP/Shea Homes Funding Corp.
6.13%		04/01/25	⁵		2,080,000		2,022,800

Industrials — 6.36%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)
3.96%		12/15/19	^2,4,5		3,100,000		3,154,250
4.16%		05/15/21	^2,4,5		10,050,000		10,376,625
Ball Corp.
4.00%		11/15/23			3,400,000		3,353,250
4.38%		12/15/20			1,000,000		1,050,000
Berry Plastics Corp.
5.13%		07/15/23			787,000		804,707
Clean Harbors, Inc.
5.13%		06/01/21			8,818,000		9,045,504
Coveris Holdings SA (Luxembourg)
7.88%		11/01/19	^4,5		2,400,000		2,394,000
Graphic Packaging International, Inc.
4.13%		08/15/24			5,890,000		5,639,675
KLX, Inc.
5.88%		12/01/22	⁵		1,449,000		1,496,093
Orbital ATK, Inc.
5.50%		10/01/23			4,481,000		4,637,835


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
SBA Communications Corp.
4.88%		09/01/24	⁵	$	5,570,000	$	5,521,263
Sealed Air Corp.
4.88%		12/01/22	⁵		833,000		857,990
5.25%		04/01/23	⁵		5,165,000		5,384,513
5.50%		09/15/25	⁵		258,000		271,223
Standard Industries, Inc.
5.13%		02/15/21	⁵		395,000		411,047
TransDigm, Inc.
5.50%		10/15/20			2,090,000		2,143,556


							56,541,531

Information Technology — 2.29%
First Data Corp.
5.00%		01/15/24	⁵		3,625,000		3,657,879
IMS Health, Inc.
5.00%		10/15/26	⁵		2,499,000		2,519,304
MSCI, Inc.
4.75%		08/01/26	⁵		6,897,000		6,888,379
NXP BV/NXP Funding LLC (Netherlands)
3.88%		09/01/22	^4,5		2,500,000		2,540,435
4.13%		06/01/21	^4,5		4,475,000		4,631,625
Open Text Corp. (Canada)
5.88%		06/01/26	^4,5		117,000		123,727


							20,361,349

Materials — 1.85%
Axalta Coating Systems LLC
4.88%		08/15/24	⁵		4,486,000		4,508,430
HudBay Minerals, Inc. (Canada)
7.63%		01/15/25	^4,5		1,200,000		1,257,000
Kissner Holdings LP/Kissner Milling Co. Ltd./BSC Holding, Inc./Kissner USA (Canada)
8.38%		12/01/22	^4,5		1,420,000		1,437,750
Momentive Performance Materials, Inc.⁹
8.88%		10/15/20	^3,†		4,625,000		—
Valvoline, Inc.
5.50%		07/15/24	⁵		8,870,000		9,202,625


							16,405,805

Real Estate Investment Trust (REIT) — 2.03%
DuPont Fabros Technology LP
5.88%		09/15/21			4,675,000		4,908,750
VEREIT Operating Partnership LP
3.00%		02/06/19			10,300,000		10,261,375
4.13%		06/01/21			2,833,000		2,889,660


							18,059,785


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Retail — 0.12%
Dollar Tree, Inc.
5.25%		03/01/20		$	475,000	$	491,625
5.75%		03/01/23			510,000		541,875


							1,033,500

Services — 0.94%
Aramark Services, Inc.
4.75%		06/01/26	⁵		1,020,000		1,017,450
5.13%		01/15/24	⁵		2,730,000		2,822,137
5.13%		01/15/24			256,000		264,320
5.75%		03/15/20			2,876,000		2,944,305
United Rentals North America, Inc.
4.63%		07/15/23			1,295,000		1,330,613


							8,378,825

Transportation — 2.45%
American Airlines Pass-Through Trust, Series 2013-1, Class B
5.63%		01/15/21	⁵		4,779,256		4,967,439
Continental Airlines Pass-Through Trust, Series 2007, Class 1B
6.90%		04/19/22			2,458,772		2,576,424
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1
6.72%		01/02/23			8,472,198		9,637,125
U.S. Airways Pass-Through Trust, Series 2011-1, Class A
6.25%		04/22/23			1,612,314		1,801,761
U.S. Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24			2,476,103		2,763,950


							21,746,699

Total Corporates
(Cost $682,956,918)							664,990,441

MORTGAGE-BACKED — 0.82%**
Non-Agency Mortgage-Backed — 0.82%
Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A1
1.66%		10/25/47	²		308,154		286,885
Soundview Home Loan Trust, Series 2006-EQ1, Class A4
1.01%		10/25/36	²		9,100,000		7,026,520


							7,313,405

Total Mortgage-Backed
(Cost $6,881,986)
U.S. TREASURY SECURITIES — 3.22%
U.S. Treasury Notes — 3.22%
U.S. Treasury Notes
1.25%		10/31/21			20,000,000		19,396,004

Issues

Maturity

Date

Principal

Amount

Value

U.S. TREASURY SECURITIES (continued)

U.S. Treasury Notes (continued)

2.00%

11/15/26

9,525,000

9,165,765

Total U.S. Treasury Securities

(Cost $28,982,561)

28,561,769

Total Bonds – 87.61%

(Cost $798,706,762)

778,852,989


Issues	Shares		Value
COMMON STOCK — 0.27%
Energy — 0.19%
Arch Coal, Inc.		6,701		523,013
Mach Gen LLC, Escrow
Holding^3,9		347,486		897,730
Sabine Oil & Gas
Holdings, Inc.^3,5		3,520		172,480
Seventy Seven Energy, Inc.		2,051		92,306
Walter Energy, Inc.^3,5,9,†		8,905,000		—

				1,685,529

Secured Assets — 0.08%
Entegra TC LLC^3,10		28,545		770,715


Total Common Stock
(Cost $8,096,623)				2,456,244


Issues	Shares		Value
WARRANT — 0.04%
Energy — 0.04%
Sabine Oil & Gas
Holdings, Inc. Warrant
Tranche 1^3,5		11,165		83,737
Sabine Oil & Gas
Holdings, Inc. Warrant
Tranche 2^3,5		1,988		12,922
Seventy Seven Energy, Inc.³		11,138		231,114


				327,773

Total Warrant (Cost $2,645,628)


Issues	Maturity Date		Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 10.81%
Money Market Funds — 1.71%
Dreyfus Government Cash Management Fund
0.45%¹¹				9,162,000	$	9,162,000
Morgan Stanley Institutional Liquidity Fund
0.44%¹¹				6,044,000		6,044,000


						15,206,000

U.S. Treasury Bills — 9.10%
U.S. Treasury Bills
0.40%¹²		02/02/17	$	3,000,000		2,998,959
0.43%¹²		04/13/17		30,150,000		30,105,197
0.44%¹²		02/23/17		29,000,000		28,980,860
0.48%¹²		04/06/17		18,850,000		18,824,590


						80,909,606

Total Short-Term Investments
(Cost $96,123,605)						96,115,606


Total Investments – 98.73%
(Cost $905,572,618)¹						877,752,612


Cash and Other Assets, Less
Liabilities – 1.27%						11,268,223


Net Assets – 100.00%					$	889,020,835


Expiration Date	Premiums Paid		Notional Amount (000’s)^a		(Depreciation)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Alcoa, Inc., 5.72%, due 02/23/19 Counterparty: Goldman Sachs, Inc. Credit contract
03/20/19		$144,524		9,750		$(192,954)		$(48,430)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Teck Resources Limited., 3.15%, due 01/15/17. Counterparty: Morgan Stanley Credit contract
03/20/19		79,959		5,000		(83,552)		(3,593)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Alcoa, Inc., 5.72%, due 02/23/19 Counterparty: Morgan Stanley Credit contract
03/20/19		90,542		5,000		(115,378)		(24,836)


		$315,025		$19,750		$(391,884)		$(76,859)

^a	The maximum potential payment the Fund could receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

Notes:

¹	Cost for federal income tax purposes is $912,970,098 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	16,943,001
Gross unrealized (depreciation)		52,160,487

Net unrealized (depreciation)	$	(35,217,486	)

²	Floating rate security. The rate disclosed was in effect at December 31, 2016.

³	Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $38,088,011, which is 4.28% of total net assets.

⁴	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁵	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁶	Security is currently in default with regard to scheduled interest or principal payments.

⁷	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.14% cash or 8.64% payment-in-kind interest.

⁸	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.73% cash or 9.23% payment-in-kind interest.

⁹	Non-income producing security.

¹⁰	All or a portion of this security is owned by Metropolitan West HY Sub I LLC, a consolidated subsidiary.

¹¹	Represents the current yield as of December 31, 2016.

¹²	Represents annualized yield at date of purchase.

†

Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements.

*	Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date.

Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.

(LIBOR): London

InterBank Offer Rate

(PIK): Payment

in kind


Issues	Maturity Date			Principal Amount		Value
BONDS – 95.66%
ASSET-BACKED SECURITIES — 6.65%**
Academic Loan Funding Trust, Series 2012-1A, Class A2
1.86%		12/27/44	^2,3	$	950,000	$	915,984
Bayview Commercial Asset Trust, Series 2004-3, Class A1
1.13%		01/25/35	^2,3		709,430		655,005
Brazos Higher Education Authority, Inc., Series 2005-3, Class A16
1.20%		06/25/26	²		350,000		340,993
Brazos Higher Education Authority, Inc., Series 2010-1, Class A2
2.12%		02/25/35	²		650,000		642,548
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3
1.88%		10/27/36	²		930,000		894,472
CIT Education Loan Trust, Series 2007-1, Class A
1.09%		03/25/42	^2,3		370,346		346,071
Dryden 37 Senior Loan Fund, Series 2015-37A, Class A (Cayman Islands)
2.38%		04/15/27	^2,3,4		1,315,000		1,318,274
Educational Funding of the South, Inc., Series 2011-1, Class A2
1.53%		04/25/35	²		516,848		510,169
GCO Education Loan Funding Trust, Series 2006-2AR, Class A1RN
1.41%		08/27/46	^2,3		893,280		802,646
GE Business Loan Trust, Series 2005-1A, Class A3
0.95%		06/15/33	^2,3		281,879		259,648
Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados)
3.09%		07/17/29	^3,4		1,270,208		1,195,161
Higher Education Funding, Series 2014-1, Class A
1.98%		05/25/34	^2,3		1,190,952		1,149,564
J.G. Wentworth XXX LLC, Series 2013-3A, Class A
4.08%		01/17/73	³		553,069		556,862
J.G. Wentworth XXXII LLC, Series 2014-2A, Class A
3.61%		01/17/73	³		1,024,057		974,602
Magnetite XI CLO Ltd., Series 2014-11A, Class A1 (Cayman Islands)
2.33%		01/18/27	^2,3,4		2,400,000		2,400,053
Magnetite XII CLO Ltd., Series 2015-12A, Class AR (Cayman Islands)
2.26%		04/15/27	^2,3,4		2,390,000		2,390,162
Navient Student Loan Trust, Series 2014-1, Class A3
1.27%		06/25/31	²		2,765,000		2,684,220


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Navient Student Loan Trust, Series 2014-2, Class A
1.40%		03/25/83	²	$	2,337,112	$	2,266,856
Navient Student Loan Trust, Series 2014-3, Class A
1.38%		03/25/83	²		2,355,846		2,284,368
Navient Student Loan Trust, Series 2014-4, Class A
1.38%		03/25/83	²		2,204,865		2,138,456
Navient Student Loan Trust, Series 2014-8, Class A3
1.36%		05/27/31	²		4,710,000		4,593,163
Navient Student Loan Trust, Series 2016-2, Class A3
2.26%		06/25/65	^2,3		1,640,000		1,689,085
Nelnet Student Loan Trust, Series 2007-2A, Class A3L
1.35%		03/25/26	^2,3		2,484,847		2,409,358
Nelnet Student Loan Trust, Series 2011-1A, Class A
1.61%		02/25/43	^2,3		1,652,931		1,653,854
Nelnet Student Loan Trust, Series 2014-4A, Class A2
1.71%		11/25/43	^2,3		1,370,000		1,273,736
Nelnet Student Loan Trust, Series 2015-2A, Class A2
1.36%		09/25/42	^2,3		4,792,297		4,712,740
SLC Student Loan Trust I, Series 2002-2, Class B2
2.14%		07/01/42	^2,3		650,000		506,440
SLC Student Loan Trust, Series 2004-1, Class B
1.19%		08/15/31	²		220,685		191,042
SLC Student Loan Trust, Series 2005-3, Class B
1.21%		06/15/40	²		879,174		742,124
SLC Student Loan Trust, Series 2008-1, Class A4A
2.56%		12/15/32	²		539,992		548,791
SLM Student Loan Trust, Series 2004-2, Class B
1.35%		07/25/39	²		257,924		223,672
SLM Student Loan Trust, Series 2004-8, Class B
1.34%		01/25/40	²		256,009		228,489
SLM Student Loan Trust, Series 2004-8A, Class A5
1.38%		04/25/24	^2,3		1,401,231		1,404,243
SLM Student Loan Trust, Series 2005-4, Class A3
1.00%		01/25/27	²		2,376,926		2,353,197
SLM Student Loan Trust, Series 2005-4, Class B
1.06%		07/25/40	²		299,566		258,547


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2006-2, Class A6
1.05%		01/25/41	²	$	925,000	$	869,752
SLM Student Loan Trust, Series 2006-8, Class A6
1.04%		01/25/41	²		925,000		831,098
SLM Student Loan Trust, Series 2007-6, Class A4
1.26%		10/25/24	²		4,358,646		4,290,406
SLM Student Loan Trust, Series 2007-6, Class B
1.73%		04/27/43	²		123,910		109,342
SLM Student Loan Trust, Series 2008-2, Class B
2.08%		01/25/29	²		160,000		139,922
SLM Student Loan Trust, Series 2008-3, Class B
2.08%		04/25/29	²		160,000		142,408
SLM Student Loan Trust, Series 2008-4, Class B
2.73%		04/25/29	²		160,000		148,475
SLM Student Loan Trust, Series 2008-5, Class B
2.73%		07/25/29	²		2,210,000		2,065,762
SLM Student Loan Trust, Series 2008-6, Class A3
1.63%		01/25/19	²		2,536,779		2,539,035
SLM Student Loan Trust, Series 2008-6, Class B
2.73%		07/25/29	²		160,000		149,158
SLM Student Loan Trust, Series 2008-7, Class B
2.73%		07/25/29	²		160,000		149,219
SLM Student Loan Trust, Series 2008-8, Class B
3.13%		10/25/29	²		160,000		153,853
SLM Student Loan Trust, Series 2008-9, Class A
2.38%		04/25/23	²		3,490,411		3,498,235
SLM Student Loan Trust, Series 2008-9, Class B
3.13%		10/25/29	²		2,160,000		2,115,456
SLM Student Loan Trust, Series 2009-3, Class A
1.51%		01/25/45	^2,3		4,790,908		4,600,398
SLM Student Loan Trust, Series 2011-2, Class A1
1.36%		11/25/27	²		842,178		839,900
SLM Student Loan Trust, Series 2011-2, Class A2
1.96%		10/25/34	²		500,000		502,422
SLM Student Loan Trust, Series 2012-3, Class A
1.41%		12/26/25	²		1,841,542		1,794,781


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2012-6, Class A2
1.04%		09/25/19	²	$	476,833	$	476,718
SLM Student Loan Trust, Series 2012-7, Class A3
1.41%		05/26/26	²		800,000		766,290
SLM Student Loan Trust, Series 2013-4, Class A
1.31%		06/25/27	²		488,549		475,535
Spirit Master Funding LLC, Series 2014-1A, Class A1
5.05%		07/20/40	³		375,743		382,612
Structured Receivables Finance 2 LLC, Series 2000, Class A
4.71%		04/15/48	³		93,434		94,322
Structured Receivables Finance LLC, Series 2010-A, Class B
7.61%		01/16/46	^3,†		648,540		742,880
Toyota Auto Receivables Owner Trust, Series 2014-A, Class A3
0.67%		12/15/17			81,486		81,452
Voya CLO Ltd., Series 2014-4A, Class A1 (Cayman Islands)
2.38%		10/14/26	^2,3,4		2,150,000		2,152,139


Total Asset-Backed Securities
(Cost $79,171,507)							77,626,165

BANK LOANS — 0.60%*
Consumer Discretionary — 0.04%
Reynolds Group Holdings, Inc., Term Loan, 1st Lien
LIBOR plus 3.25%		02/05/23	²		448,875		455,456

Electric — 0.03%
Tex Operations Co. LLC, Term Loan B Exit, 1st Lien
LIBOR plus 4.00%		08/04/23	²		223,929		226,956
Tex Operations Co. LLC, Term Loan C Exit, 1st Lien
LIBOR plus 4.00%		08/04/23	²		51,071		51,762


							278,718

Finance — 0.24%
Delos Finance SARL, Term Loan B, 1st Lien
LIBOR plus 2.75%		02/27/21	²		2,795,136		2,819,090

Industrials — 0.27%
Johnson Controls International plc, Senior Term Loan
LIBOR plus 1.50%		09/10/19	^2,5		3,200,000		3,190,000


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Services — 0.02%
AABS Ltd., Term Loan, Series 2013-1, Class A (STEP) (Bermuda)
4.88%		01/15/38	^2,4,†	$	165,072	$	165,894


Total Bank Loans
(Cost $6,868,062)							6,909,158


CORPORATES — 31.78%*
Automotive — 0.13%
General Motors Co.
4.88%		10/02/23			955,000		1,002,536
General Motors Financial Co., Inc.
3.20%		07/06/21			500,000		494,610


							1,497,146

Banking — 5.29%
Bank of America Corp.
4.10%		07/24/23			1,000,000		1,046,100
5.75%		12/01/17			2,880,000		2,983,908
6.00%		09/01/17			1,440,000		1,480,932
Bank of America Corp. (GMTN)
3.30%		01/11/23			1,500,000		1,507,050
6.40%		08/28/17			1,000,000		1,031,164
Bank of America Corp. (MTN)
1.87%		04/01/19	²		1,000,000		1,005,150
4.13%		01/22/24			1,500,000		1,561,256
5.65%		05/01/18			500,000		524,561
6.88%		04/25/18			1,000,000		1,062,548
8.63%		05/02/17	²		510,000		495,363
8.95%		05/18/17	²		410,000		396,675
9.52%		06/06/17	²		319,000		308,633
Bank of America N.A. (BKNT)
1.26%		06/15/17	²		1,350,000		1,349,352
5.30%		03/15/17			2,431,000		2,449,950
6.10%		06/15/17			1,340,000		1,367,988
Bank of New York Mellon Corp. (MTN) (The)
2.50%		04/15/21			1,649,000		1,649,548
Capital One Bank USA N.A. (BKNT)
2.15%		11/21/18			2,500,000		2,506,752
Discover Bank
2.00%		02/21/18			2,410,000		2,410,291
Discover Bank (BKNT)
3.10%		06/04/20			1,475,000		1,494,708
HBOS PLC (GMTN) (United Kingdom)
6.75%		05/21/18	^3,4		2,915,000		3,073,529
JPMorgan Chase & Co.
2.55%		10/29/20			5,690,000		5,705,898
JPMorgan Chase Bank N.A. (BKNT)
6.00%		07/05/17			600,000		613,621


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
6.00%		10/01/17		$	2,500,000	$	2,580,243
PNC Bank N.A. (BKNT)
1.70%		12/07/18			3,055,000		3,050,332
Santander UK Group Holdings PLC (United Kingdom)
2.88%		10/16/20	⁴		1,300,000		1,289,797
Santander UK PLC (United Kingdom)
1.38%		03/13/17	⁴		1,555,000		1,555,462
UBS AG/Stamford CT (GMTN) (Switzerland)
1.70%		03/26/18	^2,4		3,000,000		3,010,809
UBS AG/Stamford CT (Switzerland)
1.49%		06/01/17	^2,4		1,500,000		1,502,010
Wachovia Corp. (MTN)
5.75%		02/01/18			2,500,000		2,604,736
Wells Fargo & Co.
2.10%		07/26/21			2,000,000		1,946,966
2.50%		03/04/21			4,080,000		4,028,919
3.00%		04/22/26			1,000,000		950,899
Wells Fargo Bank N.A. (BKNT) (MTN)
1.65%		01/22/18			3,135,000		3,135,983


							61,681,133

Commercial Services — 0.05%
IHS Markit Ltd. (Bangladesh)
5.00%		11/01/22	^3,4		600,000		625,500

Communications — 2.22%
AT&T, Inc.
3.40%		05/15/25			2,500,000		2,406,877
3.80%		03/15/22			1,500,000		1,536,751
3.90%		03/11/24			1,250,000		1,265,840
4.13%		02/17/26			2,350,000		2,383,925
5.50%		02/01/18			1,000,000		1,039,264
CBS Corp.
2.90%		01/15/27			2,000,000		1,859,174
CCO Holdings LLC/CCO Holdings Capital Corp.
5.75%		02/15/26	³		900,000		933,795
Charter Communications Operating
LLC/Charter Communications Operating
Capital
4.46%		07/23/22			2,795,000		2,911,308
4.91%		07/23/25			1,000,000		1,053,600
Comcast Corp.
2.75%		03/01/23			3,155,000		3,137,108
CSC Holdings LLC
5.50%		04/15/27	³		250,000		254,375
Level 3 Financing, Inc.
5.25%		03/15/26	³		400,000		396,500
Sprint Communications, Inc.
9.00%		11/15/18	³		1,250,000		1,379,688


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	³	$	1,800,000	$	1,807,920
T-Mobile USA, Inc.
6.73%		04/28/22			150,000		157,313
Verizon Commnications, Inc.
5.15%		09/15/23			3,050,000		3,371,537


							25,894,975

Consumer Discretionary — 0.21%
Anheuser-Busch InBev Finance, Inc.
3.65%		02/01/26			2,450,000		2,492,346

Electric — 3.48%
AEP Texas Central Co.
3.85%		10/01/25	³		1,800,000		1,861,405
Black Hills Corp.
2.50%		01/11/19			2,510,000		2,521,240
Duke Energy Corp.
2.65%		09/01/26			2,250,000		2,105,566
Duquesne Light Holdings, Inc.
5.90%		12/01/21	³		625,000		699,978
6.40%		09/15/20	³		2,363,000		2,638,400
Entergy Corp.
4.00%		07/15/22			1,500,000		1,572,344
Entergy Mississippi, Inc.
3.10%		07/01/23			2,250,000		2,211,437
Exelon Corp.
1.55%		06/09/17			3,030,000		3,029,924
FirstEnergy Corp., Series A
2.75%		03/15/18			1,140,000		1,150,031
Homer City Generation LP (PIK)
8.73%		10/01/26	^5,6,7		457,400		198,969
IPALCO Enterprises, Inc.
5.00%		05/01/18			1,615,000		1,670,863
Jersey Central Power & Light Co.
4.80%		06/15/18			2,025,000		2,093,704
Kansas City Power & Light Co.
3.65%		08/15/25			1,000,000		1,004,642
KCP&L Greater Missouri Operations Co.
8.27%		11/15/21			2,275,000		2,660,436
Metropolitan Edison Co.
7.70%		01/15/19			500,000		550,614
Mirant Mid Atlantic Pass-Through Trust, Series C
10.06%		12/30/28	⁵		682,006		576,295
NextEra Energy Capital Holdings, Inc., Series F
2.06%		09/01/17			3,600,000		3,615,583


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Oncor Electric Delivery Co. LLC
4.10%		06/01/22		$	1,500,000	$	1,603,970
6.80%		09/01/18			900,000		972,749
Public Service Co. of New Mexico
3.85%		08/01/25			1,800,000		1,805,177
7.95%		05/15/18			475,000		515,829
Southwestern Electric Power Co.
3.55%		02/15/22			1,500,000		1,556,696
6.45%		01/15/19			1,109,000		1,206,943
Texas-New Mexico Power Co.
9.50%		04/01/19	³		1,800,000		2,064,185
Tucson Electric Power Co.
3.85%		03/15/23			700,000		697,812


							40,584,792

Energy — 2.76%
Boardwalk Pipelines LP
5.20%		06/01/18			1,000,000		1,033,907
BP Capital Markets PLC (United Kingdom)
3.06%		03/17/22	⁴		1,700,000		1,717,889
Brooklyn Union Gas Co. (The)
3.41%		03/10/26	³		4,000,000		4,025,174
Columbia Pipeline Group, Inc.
2.45%		06/01/18			3,135,000		3,151,405
Enbridge Energy Partners LP
5.88%		10/15/25			1,250,000		1,406,553
Energy Transfer Partners LP
3.90%		11/01/66	²		1,300,000		1,022,938
Florida Gas Transmission Co. LLC
3.88%		07/15/22	³		1,000,000		1,018,085
7.90%		05/15/19	³		1,500,000		1,679,358
Noble Energy, Inc.
3.90%		11/15/24			600,000		607,774
Petroleos Mexicanos (Mexico)
2.00%		12/20/22	⁴		1,800,000		1,797,093
Regency Energy Partners LP/Regency Energy Finance Corp.
5.00%		10/01/22			300,000		317,063
Ruby Pipeline LLC
6.00%		04/01/22	³		1,250,000		1,322,313
Shell International Finance BV (Netherlands)
3.25%		05/11/25	⁴		2,450,000		2,446,109
Spectra Energy Partners LP
2.95%		09/25/18			1,275,000		1,295,830
TC PipeLines LP
4.65%		06/15/21			2,575,000		2,698,847
Texas Eastern Transmission LP
2.80%		10/15/22	³		3,080,000		3,002,302


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Williams Partners LP
3.35%		08/15/22		$	750,000	$	737,658
3.60%		03/15/22			2,967,000		2,986,107


							32,266,405

Finance — 5.59%
Bear Stearns Cos. LLC (The)
6.40%		10/02/17			4,500,000		4,662,270
7.25%		02/01/18			2,140,000		2,264,985
CIT Group, Inc.
4.25%		08/15/17			1,049,000		1,066,046
Citigroup, Inc.
1.39%		08/14/17	²		750,000		750,434
1.48%		08/25/36	²		205,000		163,339
1.80%		02/05/18			4,000,000		3,998,832
2.61%		05/15/18	²		583,000		592,357
6.00%		08/15/17			1,250,000		1,284,493
6.13%		11/21/17			563,000		585,496
Durrah MSN 35603 (Cayman Islands)
1.68%		01/22/25	⁴		4,536,193		4,398,647
Ford Motor Credit Co. LLC
1.95%		01/09/18	²		4,000,000		4,012,364
General Electric Corp. (GMTN)
3.10%		01/09/23			230,000		233,291
5.63%		05/01/18			730,000		770,228
General Electric Corp. (MTN)
1.26%		05/05/26	²		1,610,000		1,560,140
General Motors Financial Co., Inc.
3.00%		09/25/17			2,000,000		2,017,454
Goldman Sachs Group, Inc. (GMTN) (The)
7.50%		02/15/19			550,000		610,021
Goldman Sachs Group, Inc. (MTN) (The)
1.76%		12/15/17	²		1,000,000		1,003,319
3.85%		07/08/24			2,775,000		2,831,928
Goldman Sachs Group, Inc. (The)
1.59%		05/22/17	²		1,000,000		1,001,750
2.75%		09/15/20			1,635,000		1,643,466
5.95%		01/18/18			350,000		364,702
6.15%		04/01/18			1,100,000		1,157,455
International Lease Finance Corp.
7.13%		09/01/18	³		1,850,000		1,994,531
Morgan Stanley
1.74%		01/05/18	²		3,000,000		3,012,027
Morgan Stanley (GMTN)
5.45%		01/09/17			2,250,000		2,251,074
6.63%		04/01/18			1,000,000		1,057,845
Morgan Stanley (MTN)
5.55%		04/27/17			1,000,000		1,013,314
5.95%		12/28/17			1,000,000		1,041,079


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
6.25%		08/28/17		$	800,000	$	824,500
Protective Life Global Funding
1.72%		04/15/19	³		1,800,000		1,786,194
2.70%		11/25/20	³		3,115,000		3,123,270
Safina Ltd. (Cayman Islands)
2.00%		12/30/23	⁴		8,391,423		8,312,963
Sandalwood 2013 LLC
2.90%		07/10/25			2,527,386		2,581,093
SL Green Realty Corp.
5.00%		08/15/18			1,200,000		1,241,090


							65,211,997

Food — 0.76%
Kraft Heinz Foods Co.
3.00%		06/01/26			1,000,000		940,733
3.95%		07/15/25			1,950,000		1,978,887
6.13%		08/23/18			2,000,000		2,128,881
Mondelez International Holdings Netherlands
BV (Netherlands)
1.63%		10/28/19	^3,4		3,850,000		3,777,801


							8,826,302

Health Care — 4.68%
Abbott Laboratories
3.75%		11/30/26			3,070,000		3,055,683
AbbVie, Inc.
3.60%		05/14/25			4,380,000		4,346,108
Actavis Funding SCS (Luxembourg)
3.45%		03/15/22	⁴		4,000,000		4,064,700
3.80%		03/15/25	⁴		1,250,000		1,253,661
Aetna, Inc.
1.50%		11/15/17			1,000,000		999,412
1.70%		06/07/18			3,185,000		3,192,011
Amgen, Inc.
3.63%		05/15/22			3,000,000		3,103,824
Anthem, Inc.
2.30%		07/15/18			1,545,000		1,555,682
AstraZeneca PLC (United Kingdom)
3.38%		11/16/25	⁴		2,200,000		2,188,014
Baxalta, Inc.
2.00%		06/22/18			1,405,000		1,406,017
2.88%		06/23/20			1,400,000		1,400,797
Biogen, Inc.
3.63%		09/15/22			1,825,000		1,873,418
Catholic Health Initiatives
2.60%		08/01/18			1,000,000		1,009,398
2.95%		11/01/22			500,000		485,810
Celgene Corp.
2.13%		08/15/18			2,950,000		2,960,041


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Express Scripts Holding Co.
3.40%		03/01/27		$	1,440,000	$	1,352,000
Gilead Sciences, Inc.
2.95%		03/01/27			3,240,000		3,104,902
Grifols Worldwide Operations Ltd. (Ireland)
5.25%		04/01/22	⁴		200,000		208,000
HCA, Inc.
5.00%		03/15/24			900,000		928,125
6.50%		02/15/20			955,000		1,048,351
Mylan NV (Netherlands)
3.00%		12/15/18	^3,4		3,000,000		3,034,299
Providence Health & Services
Obligated Group
1.95%		10/01/17	²		1,975,000		1,978,489
RWJ Barnabas Health, Inc.
2.95%		07/01/26			4,385,000		4,145,414
Shire Acquisitions Investments Ireland DAC (Ireland)
1.90%		09/23/19	⁴		1,500,000		1,481,957
Teva Pharmaceutical Finance Netherlands III
BV (Netherlands)
1.40%		07/20/18	⁴		3,000,000		2,973,728
Valeant Pharmaceuticals International, Inc. (Canada)
5.88%		05/15/23	^3,4		1,765,000		1,341,400
6.13%		04/15/25	^3,4		150,000		113,250


							54,604,491

Industrials — 0.82%
Amcor Finance USA, Inc.
3.63%		04/28/26	³		2,500,000		2,458,820
Clean Harbors, Inc.
5.13%		06/01/21			600,000		615,480
L-3 Communications Corp.
3.85%		12/15/26			1,875,000		1,863,518
Northrop Grumman Corp.
3.20%		02/01/27			1,545,000		1,531,891
SBA Communications Corp.
4.88%		09/01/24	³		700,000		693,875
Siemens Financieringsmaatschappij NV (Netherlands)
2.00%		09/15/23	^3,4		2,000,000		1,893,537
Sydney Airport Finance Co. Pty Ltd. (Australia)
3.38%		04/30/25	^3,4		525,000		510,411


							9,567,532

Information Technology — 0.21%
Oracle Corp.
2.40%		09/15/23			2,565,000		2,489,824


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance — 1.88%
Berkshire Hathaway, Inc.
3.13%		03/15/26		$	3,800,000	$	3,781,393
Jackson National Life Global Funding
1.88%		10/15/18	³		2,000,000		2,005,231
Metropolitan Life Global Funding I
1.55%		09/13/19	³		3,000,000		2,952,819
3.88%		04/11/22	³		1,000,000		1,057,460
Nationwide Mutual Insurance Co.
3.25%		12/15/24	^2,3		1,552,000		1,524,840
New York Life Global Funding
1.13%		03/01/17	³		1,200,000		1,200,332
1.55%		11/02/18	³		2,000,000		1,994,549
2.00%		04/13/21	³		2,000,000		1,959,228
Pricoa Global Funding I
2.55%		11/24/20	³		2,495,000		2,497,963
Principal Life Global Funding II
2.63%		11/19/20	³		3,000,000		2,997,504


							21,971,319

Real Estate Investment Trust (REIT) — 1.99%
Alexandria Real Estate Equities, Inc.
3.90%		06/15/23			150,000		152,123
4.60%		04/01/22			2,000,000		2,102,276
American Campus Communities Operating Partnership LP
3.35%		10/01/20			3,000,000		3,041,845
Boston Properties LP
3.70%		11/15/18			2,000,000		2,059,942
HCP, Inc.
4.00%		12/01/22			2,250,000		2,302,735
4.25%		11/15/23			1,895,000		1,937,207
Piedmont Operating Partnership LP
3.40%		06/01/23			1,900,000		1,798,061
SL Green Realty Corp.
7.75%		03/15/20			650,000		733,548
Ventas Realty LP
3.25%		10/15/26			1,810,000		1,712,672
Ventas Realty LP/Ventas Capital Corp.
2.70%		04/01/20			1,025,000		1,031,939
WEA Finance LLC/Westfield UK & Europe
Finance PLC
1.75%		09/15/17	³		2,000,000		2,001,536
2.70%		09/17/19	³		2,245,000		2,272,937
Welltower, Inc.
3.75%		03/15/23			1,000,000		1,021,459
4.70%		09/15/17			1,000,000		1,021,653


							23,189,933


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Retail — 0.56%
CVS Health Corp.
4.00%		12/05/23	$	2,600,000	$	2,732,330
Walgreens Boots Alliance, Inc.
3.10%		06/01/23		3,840,000		3,820,124


						6,552,454

Transportation — 1.15%
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%		01/15/23		1,574,255		1,680,517
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18		12,741		12,861
Continental Airlines Pass-Through Trust, Series 1999-1, Class A
6.55%		08/02/20		494,893		515,901
Continental Airlines Pass-Through Trust, Series 1999-2, Class A1
7.26%		03/15/20		199,684		212,044
Continental Airlines Pass-Through Trust, Series 2007, Class 1A
5.98%		04/19/22		2,544,756		2,815,137
Continental Airlines Pass-Through Trust, Series 2009, Class A2
7.25%		11/10/19		2,550,816		2,853,726
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1
6.72%		01/02/23		926,212		1,053,566
Northwest Airlines Pass-Through Trust, Series 2001-1, Class A1
7.04%		04/01/22		1,322,906		1,532,983
U.S. Airways Pass-Through Trust, Series 2011-1, Class A
7.13%		10/22/23		974,427		1,126,073
U.S. Airways Pass-Through Trust, Series 2011-1, Class G
7.08%		03/20/21		399,209		423,910
U.S. Airways Pass-Through Trust, Series 2012, Class A
4.63%		06/03/25		382,287		406,657
U.S. Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24		619,026		690,987
UAL Pass-Through Trust, Series 2009-2A, Class 2
9.75%		01/15/17		93,542		94,244


						13,418,606

Total Corporates
(Cost $371,455,915)						370,874,755


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED — 20.24%**
Commercial Mortgage-Backed — 1.38%
225 Liberty Street Trust, Series 2016-225L, Class A
3.60%		02/10/36	³	$	1,225,000	$	1,259,594
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2012-PARK, Class A
2.96%		12/10/30	³		3,417,000		3,442,251
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)
2.13%		09/10/45	^2,3,5		8,773,806		555,887
Commercial Mortgage Trust, Series 2013-300P, Class A1
4.35%		08/10/30	³		1,160,000		1,255,567
Commercial Mortgage Trust, Series 2014-277P, Class A
3.61%		08/10/49	^2,3		1,265,000		1,309,749
Commercial Mortgage Trust, Series 2016-787S, Class A
3.55%		02/01/36	^2,3		1,225,000		1,254,017
DBRR Trust, Series 2011-LC2, Class A4A
4.54%		04/12/21	^2,3		1,391,997		1,470,387
DBRR Trust, Series 2012-EZ1, Class C
2.06%		09/25/45	³		604,351		604,393
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, Class A2
4.31%		08/05/32	³		1,090,000		1,145,247
Morgan Stanley Capital I Trust, Series 2014-CPT, Class A
3.35%		07/13/29	³		950,000		982,919
RBS Commercial Funding Trust, Series 2013-GSP, Class A
3.83%		01/13/32	^2,3		1,170,000		1,228,718
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1
3.35%		11/15/43	³		1,511,821		1,549,677


							16,058,406

Non-Agency Mortgage-Backed — 7.25%
ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC1, Class A1
0.98%		12/25/35	²		5,685,743		5,682,841
Ameriquest Mortgage Securities, Inc., Series 2004-R8, Class M1
1.72%		09/25/34	²		1,927,417		1,922,894
Ameriquest Mortgage Securities, Inc., Series 2005-R3, Class M1
1.20%		05/25/35	²		1,425,133		1,423,642
Ameriquest Mortgage Securities, Inc., Series 2005-R4, Class M1
1.19%		07/25/35	²		1,910,000		1,893,839
Ameriquest Mortgage Securities, Inc., Series 2005-R5, Class M1
1.19%		07/25/35	²		304,310		305,171


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE9, Class M1
1.73%		12/25/34	²	$	649,439	$	603,325
Banc of America Funding Trust, Series 2003-2, Class 1A1
6.50%		06/25/32			3,335		3,544
Banc of America Funding Trust, Series 2015-R2, Class 9A1
0.97%		03/25/37	^2,3		2,338,213		2,266,938
Centex Home Equity Loan Trust, Series 2005-C, Class M1
1.19%		06/25/35	²		4,423,926		4,472,444
Centex Home Equity Loan Trust, Series 2005-D, Class M1
1.19%		10/25/35	²		684,994		686,707
Chevy Chase Mortgage Funding Corp., Series 2005-2A, Class A1
0.77%		05/25/36	^2,3		138,797		125,316
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
2.77%		02/25/34	²		15,119		14,813
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
0.94%		03/25/37	²		185,558		185,328
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		09/01/33			218,687		233,058
Conseco Finance, Series 2002-C, Class BF2
8.00%		06/15/32	^2,3		193,798		210,280
Conseco Financial Corp., Series 1996-7, Class M1
7.70%		10/15/27	²		450,526		490,923
Conseco Financial Corp., Series 1997-3, Class A7
7.64%		03/15/28	²		74,813		77,542
Conseco Financial Corp., Series 1998-4, Class A5
6.18%		04/01/30			261,716		269,018
Conseco Financial Corp., Series 1998-6, Class A8
6.66%		06/01/30			483,549		518,025
CountryPlace Manufactured Housing Contract Trust, Series 2007-1, Class A4
5.85%		07/15/37	^2,3		700,000		713,138
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1
2.81%		08/25/34	²		74,023		71,497
Credit Suisse Mortgage Trust, Series 2014-4R, Class 16A1
0.78%		02/27/36	^2,3		1,236,993		1,214,505


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB3, Class AF1 (STEP)
3.38%		12/25/32		$	1,171,571	$	1,155,383
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB2, Class AF4 (STEP)
3.50%		12/25/36			639,437		479,473
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1
0.64%		04/25/37	²		177,927		127,015
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A3
0.83%		04/25/37	²		2,114,234		1,546,834
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
2.76%		09/25/34	²		384,061		374,990
GSAA Home Equity Trust, Series 2005-9, Class 1A1
1.04%		08/25/35	²		1,070,622		1,032,823
Home Loan Trust, Series 2001-HI3, Class AI7 (STEP)
7.56%		07/25/26			66,698		67,475
HSBC Home Equity Loan Trust,
Series 2007-3, Class APT
1.76%		11/20/36	²		555,151		555,675
HSI Asset Securitization Corp. Trust, Series 2006-OPT1, Class 1A
0.98%		12/25/35	²		3,659,459		3,663,419
IndyMac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A
1.56%		11/25/34	²		30,504		25,880
IndyMac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1
2.87%		06/25/37	²		1,236,751		938,502
IndyMac Manufactured Housing Contract, Series 1997-1, Class A3
6.61%		02/25/28			234,530		237,932
IndyMac Manufactured Housing Contract, Series 1997-1, Class A4
6.75%		02/25/28			62,434		63,537
IndyMac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%		09/25/28			144,816		151,557
JPMorgan Mortgage Trust, Series 2007-A3, Class 3A2
4.34%		05/25/37	²		380,080		357,649
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4
5.27%		04/15/40			113,392		116,877


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A5
5.87%		04/15/40		$	65,154	$	66,765
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6
0.00%		04/15/40	²		205,331		214,181
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
3.36%		01/25/34	²		169,132		164,602
MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1
3.25%		01/25/34	²		647		653
MASTR Asset Securitization Trust, Series 2002-8, Class 1A1
5.50%		12/25/17			427		428
MASTR Asset-Backed Securities Trust, Series 2005-WF1, Class M1
1.17%		06/25/35	²		827,022		829,926
MASTR Asset-Backed Securities Trust, Series 2006-AB1, Class A2
0.99%		02/25/36	²		320,294		320,427
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
3.05%		10/25/32	²		1,610		1,614
MASTR Seasoned Securities Trust, Series 2005-1, Class 4A1
2.89%		10/25/32	²		16,723		16,738
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
0.94%		06/25/37	²		607,883		425,084
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D
1.01%		06/25/37	²		1,123,351		818,286
Mid-State Trust XI, Series 2011, Class A1
4.86%		07/15/38			896,128		957,773
Mid-State Trust, Series 2004-1, Class A
6.01%		08/15/37			452,395		493,848
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			620,935		710,508
Mid-State Trust, Series 2004-1, Class M1
6.50%		08/15/37			443,525		473,263
Mid-State Trust, Series 2005-1, Class M2
7.08%		01/15/40			699,962		773,635
Morgan Stanley Capital I Trust, Series 2004-NC7, Class M2
1.69%		07/25/34	²		1,006,516		992,674
Morgan Stanley Capital I Trust, Series 2005-HE3, Class M3
1.55%		07/25/35	²		1,517,751		1,498,047


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Morgan Stanley Capital I Trust, Series 2006-NC1, Class A4
1.06%		12/25/35	²	$	4,331,045	$	4,275,418
New Century Home Equity Loan Trust, Series 2005-D, Class A1
0.98%		02/25/36	²		6,462,199		6,324,346
New York Mortgage Trust, Series 2005-3, Class A1
1.24%		02/25/36	²		2,684,300		2,520,032
Park Place Securities, Inc., Series 2005-WCW1, Class M1
1.21%		09/25/35	²		2,182,237		2,174,127
Park Place Securities, Inc., Series 2005-WHG4, Class A2D
1.13%		09/25/35	²		1,208,595		1,204,572
Park Place Securities, Inc., Series 2005-WHQ2, Class M1
1.39%		05/25/35	²		1,117,053		1,118,972
RBSSP Resecuritization Trust, Series 2009-6, Class 11A4
1.00%		08/26/36	^2,3		974,592		949,889
Residential Asset Mortgage Product Trust, Series 2003-SL1, Class A41
8.00%		04/25/31			28,820		31,327
Residential Asset Mortgage Products Trust, Series 2002-RS4, Class AI5 (STEP)
6.16%		08/25/32			2,220		2,151
Residential Asset Mortgage Products Trust, Series 2003-RS1, Class AI5 (STEP)
6.19%		03/25/33			15,836		16,089
Residential Asset Mortgage Products Trust, Series 2006-NC1, Class A3
1.06%		01/25/36	²		5,534,395		5,438,485
Residential Asset Securities Trust, Series 2004-IP2, Class 2A1
3.15%		12/25/34	²		40,846		40,832
Residential Asset Securities Trust, Series 2005-KS11, Class AI4
1.07%		12/25/35	²		664,387		663,903
Soundview Home Loan Trust, Series 2005-OPT4, Class 2A3
1.02%		12/25/35	²		1,178,591		1,169,087
Soundview Home Loan Trust, Series 2006-WF2, Class A2C
0.90%		12/25/36	²		72,624		72,593
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-15, Class A
3.05%		10/25/34	²		1,977,292		1,950,764
Structured Asset Mortgage Investments II Trust, Series 2005-AR1, Class A1
1.22%		04/19/35	²		1,366,057		1,309,895


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A2
1.77%		02/25/36	²	$	835,773	$	778,123
Structured Asset Mortgage Investments II Trust, Series 2006-AR3, Class 22A1
2.50%		05/25/36	²		2,959,626		1,826,135
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-WF2, Class A3
1.36%		05/25/35	²		1,689,005		1,693,189
UCFC Home Equity Loan, Series 1998-D, Class BF1
8.97%		04/15/30	^2,5		3,657		296
UCFC Home Equity Loan, Series 1998-D, Class MF1
6.91%		04/15/30			37,636		38,172
WaMu Mortgage Pass-Through Certificates, Series 2002-AR18, Class A
2.98%		01/25/33	²		8,278		7,921
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A3
1.54%		10/25/45	²		1,731,243		1,624,971
Wells Fargo Home Equity Trust, Series 2005-1, Class M2
1.40%		04/25/35	²		4,412,420		4,386,117
Wells Fargo Home Equity Trust, Series 2006-1, Class A4
0.99%		05/25/36	²		1,966,650		1,965,919


							84,621,586

U.S. Agency Mortgage-Backed — 11.61%
Fannie Mae Pool (TBA)
2.50%		01/25/28			22,310,000		22,364,031
3.00%		01/25/27			1,815,000		1,863,069
4.00%		01/25/44			2,875,000		3,022,737
Fannie Mae Pool 253974
7.00%		08/01/31			4,066		4,446
Fannie Mae Pool 254232
6.50%		03/01/22			6,475		7,329
Fannie Mae Pool 467144
4.25%		01/01/21			3,236,067		3,481,603
Fannie Mae Pool 468159
4.26%		07/01/21			1,093,930		1,178,461
Fannie Mae Pool 468272
3.83%		07/01/21			2,894,198		3,086,933
Fannie Mae Pool 468552
3.89%		07/01/21			1,821,662		1,943,822
Fannie Mae Pool 527247
7.00%		09/01/26			42		46
Fannie Mae Pool 545191
7.00%		09/01/31			1,911		2,040


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 545646
7.00%		09/01/26		$	36	$	39
Fannie Mae Pool 549740
6.50%		10/01/27			10,788		12,213
Fannie Mae Pool 555284
7.50%		10/01/17			177		179
Fannie Mae Pool 606108
7.00%		03/01/31			709		727
Fannie Mae Pool 630599
7.00%		05/01/32			7,490		8,583
Fannie Mae Pool 655928
7.00%		08/01/32			4,021		4,768
Fannie Mae Pool 735207
7.00%		04/01/34			2,091		2,416
Fannie Mae Pool 735646
4.50%		07/01/20			2,097		2,171
Fannie Mae Pool 735686
6.50%		12/01/22			19,380		21,932
Fannie Mae Pool 735861
6.50%		09/01/33			117,621		134,532
Fannie Mae Pool 764388
2.46%		03/01/34	²		33,778		35,738
Fannie Mae Pool 776708
5.00%		05/01/34			179,621		199,371
Fannie Mae Pool 817611
2.81%		11/01/35	²		16,036		17,096
Fannie Mae Pool 844773
2.83%		12/01/35	²		1,095		1,147
Fannie Mae Pool 889125
5.00%		12/01/21			104,177		108,268
Fannie Mae Pool 889184
5.50%		09/01/36			171,074		191,925
Fannie Mae Pool 890221
5.50%		12/01/33			258,594		288,833
Fannie Mae Pool 918445
5.51%		05/01/37	²		1,952		2,035
Fannie Mae Pool 939419
2.34%		05/01/37	²		58,242		61,630
Fannie Mae Pool AL0151
4.38%		04/01/21			5,093,970		5,493,790
Fannie Mae Pool AL0209
4.50%		05/01/41			574,959		626,815
Fannie Mae Pool AL2293
4.38%		06/01/21			5,511,918		5,964,072
Fannie Mae Pool AL6829
2.97%		05/01/27			3,990,743		3,977,662
Fannie Mae Pool AL9549
4.00%		09/01/46			4,615,000		4,858,087


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AM4125
3.74%		08/01/23		$	2,430,000	$	2,576,668
Fannie Mae Pool AM4846
4.14%		12/01/29			692,162		743,741
Fannie Mae Pool AM7009
2.95%		11/01/24			2,573,942		2,600,010
Fannie Mae Pool AM7150
3.05%		11/01/24			1,787,484		1,817,449
Fannie Mae Pool AM7357
3.38%		12/01/29			2,375,000		2,415,624
Fannie Mae Pool AN0556
3.46%		12/01/30			2,480,804		2,540,401
Fannie Mae Pool AN0854
3.28%		02/01/28			2,465,000		2,482,644
Fannie Mae Pool AN2840
2.49%		09/01/28			2,545,000		2,376,105
Fannie Mae Pool AN2913
2.61%		11/01/28			2,545,000		2,421,764
Fannie Mae Pool BC1158
3.50%		02/01/46			1,461,270		1,499,239
Fannie Mae Pool FN0001
3.76%		12/01/20			2,758,128		2,912,081
Fannie Mae Pool FN0007
3.46%		11/01/20			1,390,000		1,458,600
Fannie Mae Pool MA1561
3.00%		09/01/33			2,443,585		2,497,134
Fannie Mae Pool MA1582
3.50%		09/01/43			2,009,924		2,058,645
Fannie Mae Pool MA1608
3.50%		10/01/33			2,347,507		2,450,669
Fannie Mae Pool MA2740
2.50%		09/01/26			6,070,509		6,187,176
Fannie Mae REMICS, Series 1989-25,
Class G
6.00%		06/25/19			487		504
Fannie Mae REMICS, Series 1992-116,
Class B
6.50%		06/25/22			35		36
Fannie Mae REMICS, Series 1993-80,
Class S
9.95%		05/25/23	²		5,462		6,127
Fannie Mae REMICS, Series 2001-52,
Class YZ
6.50%		10/25/31			149,181		172,125
Fannie Mae REMICS, Series 2007-64,
Class FA
1.23%		07/25/37	²		122,537		123,689


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2008-50,
Class SA (IO)
5.29%		11/25/36	²	$	1,915,146	$	307,467
Fannie Mae Trust, Series 2003-W6,
Class 5T (IO)
0.55%		09/25/42	²		17,174,348		251,615
Freddie Mac Gold Pool A25162
5.50%		05/01/34			222,354		249,652
Freddie Mac Gold Pool A33262
5.50%		02/01/35			64,963		74,582
Freddie Mac Gold Pool A68781
5.50%		10/01/37			12,679		14,611
Freddie Mac Gold Pool C03813
3.50%		04/01/42			1,397,241		1,444,344
Freddie Mac Gold Pool C90504
6.50%		12/01/21			782		864
Freddie Mac Gold Pool E01279
5.50%		01/01/18			287		292
Freddie Mac Gold Pool E90474
6.00%		07/01/17			282		284
Freddie Mac Gold Pool G01548
7.50%		07/01/32			412,806		490,717
Freddie Mac Gold Pool G01644
5.50%		02/01/34			137,996		155,345
Freddie Mac Gold Pool G02366
6.50%		10/01/36			101,664		117,605
Freddie Mac Gold Pool G07849
3.50%		05/01/44			2,149,722		2,213,853
Freddie Mac Gold Pool G08699
4.00%		03/01/46			1,352,262		1,421,792
Freddie Mac Gold Pool G08706
3.50%		05/01/46			1,264,902		1,296,702
Freddie Mac Gold Pool G08721
3.00%		08/01/46			811,003		806,739
Freddie Mac Gold Pool G08726
3.00%		09/01/46			2,202,614		2,191,030
Freddie Mac Gold Pool G08732
3.00%		11/01/46			1,580,509		1,572,213
Freddie Mac Gold Pool G11707
6.00%		03/01/20			745		770
Freddie Mac Gold Pool G12393
5.50%		10/01/21			112,620		119,119
Freddie Mac Gold Pool G12909
6.00%		11/01/22			176,447		190,923
Freddie Mac Gold Pool G13032
6.00%		09/01/22			98,118		105,082
Freddie Mac Gold Pool G60238
3.50%		10/01/45			6,198,428		6,384,138


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G60344
4.00%		12/01/45		$	1,049,197	$	1,111,033
Freddie Mac Gold Pool J06246
5.50%		10/01/21			37,819		39,960
Freddie Mac Gold Pool Q05261
3.50%		12/01/41			889,859		921,248
Freddie Mac Gold Pool Q20178
3.50%		07/01/43			1,279,464		1,320,688
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KF02,
Class A3
1.16%		07/25/20	²		757,910		761,158
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS03, Class A4
3.16%		05/25/25	²		6,070,000		6,152,852
Freddie Mac REMICS, Series 1602,
Class SN
10.09%		10/15/23	²		14,590		17,208
Freddie Mac REMICS, Series 2174,
Class PN
6.00%		07/15/29			51,935		57,610
Freddie Mac REMICS, Series 3460,
Class SA (IO)
5.50%		06/15/38	²		1,939,170		329,146
Freddie Mac REMICS, Series 4030,
Class HS (IO)
5.91%		04/15/42	²		1,738,083		316,214
Ginnie Mae I Pool 782810
4.50%		11/15/39			1,290,822		1,423,938
Ginnie Mae II Pool 80968
2.13%		07/20/34	²		34,924		35,978
Ginnie Mae II Pool MA3597
3.50%		04/20/46			2,917,563		3,037,036
Ginnie Mae, Series 2004-8, Class SE
12.79%		11/26/23	²		43,767		51,846
Ginnie Mae, Series 2011-152, Class A
1.62%		07/16/33			670,352		669,035
NCUA Guaranteed Notes, Series 2010-R2, Class 1A
1.02%		11/06/17	²		545,010		545,092
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
1.18%		03/09/21	²		434,221		433,367
NCUA Guaranteed Notes, Series 2011-R2, Class 1A
1.05%		02/06/20	²		588,648		588,844


							135,530,969


Total Mortgage-Backed
(Cost $233,917,047)							236,210,961


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS — 0.65%*
Alabama — 0.26%
Alabama Economic Settlement Authority, Taxable Revenue Bond, Series B
3.16%		09/15/25		$	2,990,000	$	3,018,853

Massachusetts — 0.23%
Commonwealth of Massachusetts, Build
America Bonds, Series D
4.50%		08/01/31			2,450,000		2,719,598

New York — 0.16%
City of New York, Build America Bonds
5.05%		10/01/24			1,000,000		1,128,980
New York State Urban Development Corp.,
Personal Income Tax, Series SE
3.20%		03/15/22			700,000		724,535


							1,853,515


Total Municipal Bonds
(Cost $7,663,677)							7,591,966


U.S. TREASURY SECURITIES — 35.74%
U.S. Treasury Bonds — 1.50%
U.S. Treasury Bonds - Treasury Inflation
Indexed Bonds
0.38%		07/15/25	⁸		17,556,237		17,466,631

U.S. Treasury Notes — 34.24%
U.S. Treasury Notes
0.75%		10/31/18			16,370,000		16,254,575
1.00%		12/31/17			19,920,000		19,936,544
1.00%		11/30/18			30,225,000		30,128,660
1.25%		10/31/21			56,820,000		55,104,049
1.50%		12/31/18			72,830,000		73,265,305
1.50%		01/31/19			11,900,000		11,966,473
1.50%		01/31/22			32,570,000		31,835,951
1.75%		11/30/21			49,115,000		48,760,014
1.88%		05/31/22			6,375,000		6,324,695
2.00%		12/31/21			73,790,000		74,068,188
2.00%		11/15/26			33,240,000		31,986,353

Total U.S. Treasury Securities
(Cost $419,702,553)							417,097,438


Total Bonds – 95.66%
(Cost $1,118,778,761)							1,116,310,443

Issues

Maturity
Date

Principal
Amount/

Shares

Value

SHORT-TERM INVESTMENTS — 9.78%

Commercial Paper — 0.14%

Kraft Heinz Foods Co.

1.60%⁹

06/30/17

1,680,000

1,680,202

Foreign Government Obligations — 5.00%

Japan Treasury Discount Bill, Series 636

(Japan)

0.00%⁹

01/10/17

⁴

1,700,000,000

14,575,909

Japan Treasury Discount Bill, Series 639

(Japan)

0.00%⁹

01/23/17

⁴

1,810,000,000

15,520,531

Japan Treasury Discount Bill, Series 647

(Japan)

0.00%⁹

02/27/17

⁴

1,900,000,000

16,297,222

Japan Treasury Discount Bill, Series 649

(Japan)

0.00%⁹

03/13/17

⁴

1,400,000,000

12,010,820

58,404,482

Money Market Funds — 4.58%

Dreyfus Government Cash Management

Fund

0.45%¹⁰

46,440,000

Fidelity Investments Money Market Funds -

Government Portfolio

0.39%^10,11

Morgan Stanley Institutional Liquidity Fund

0.44%¹⁰

6,979,000

53,419,010

U.S. Treasury Bills — 0.06%

U.S. Treasury Bills

0.48%⁹

04/06/17

¹²

673,000

672,093

Total Short-Term Investments

(Cost $119,628,359)

114,175,787

Total Investments – 105.44%

(Cost $1,238,407,120)¹

1,230,486,230

Liabilities in Excess of Other

Assets – (5.44)%

(63,470,197

)

Net Assets – 100.00%

1,167,016,033


Currency Purchased	Currency Sold		Unrealized Appreciation
FOREIGN CURRENCY EXCHANGE CONTRACT
Forward currency contract to sell Japanese Yen on 01/10/17 at 116.56 Counterparty: Bank of America
USD $16,821,773		JPY 1,700,000,000	$	2,237,104
Forward currency contract to sell Japanese Yen on 01/23/17 at 116.47 Counterparty: Bank of America
USD $17,521,442		JPY 1,810,000,000		1,981,360
Forward currency contract to sell Japanese Yen on 02/27/17 at 116.29 Counterparty: JPMorgan Securities LLC
USD $17,469,096		JPY 1,900,000,000		1,130,950
Forward currency contract to sell Japanese Yen on 03/13/17 at 116.20 Counterparty: Bank of America
USD $12,285,773		JPY 1,400,000,000		238,055


Net unrealized appreciation				$5,587,469


Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
271	U.S. Treasury Two Year Note,
	Expiration March 2017		$(19,609	)
546	U.S. Treasury Five Year Note,
	Expiration March 2017		(227,118	)


	Net unrealized (depreciation)		$(246,727	)

Notes:

¹	Cost for federal income tax purposes is $1,240,476,463 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	7,923,764
Gross unrealized (depreciation)		(17,913,997	)

Net unrealized (depreciation)	$	(9,990,233	)

²	Floating rate security. The rate disclosed was in effect at December 31, 2016.

³	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁴	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁵	Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $4,521,447, which is 0.39% of total net assets.

⁶	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.73% cash or 9.23% payment-in-kind interest.

⁷	Security is currently in default with regard to scheduled interest or principal payments.

⁸	Inflation protected security. Principal amount reflects original security face amount.

⁹	Represents annualized yield at date of purchase.

¹⁰	Represents the current yield as of December 31, 2016.

¹¹	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $10.

¹²	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $662,098.

^†

Fair valued security. The aggregate value of fair valued securities is $908,774, which is 0.08% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements.


Issues	Maturity Date			Principal Amount		Value
BONDS – 91.23%
ASSET-BACKED SECURITIES — 7.77%**
Access Group, Inc., Series 2015-1, Class A
1.46%	07/25/56	^2,3	$	3,132,781	$	3,099,894
BA Credit Card Trust,
Series 2014-A3, Class A
0.99%	01/15/20	²		6,525,000		6,532,294
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1
1.06%	04/25/35	^2,3		366,060		336,710
Bayview Commercial Asset Trust,
Series 2007-1, Class A1
0.98%	03/25/37	^2,3		330,033		287,361
Bayview Commercial Asset Trust,
Series 2007-3, Class A1
1.00%	07/25/37	^2,3		2,911,085		2,533,948
Brazos Higher Education Authority, Inc.,
Series 2010-1, Class A2
2.12%	02/25/35	²		3,070,000		3,034,805
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A2
1.72%	02/25/30	²		188,328		188,416
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A3
1.88%	10/27/36	²		5,075,000		4,881,125
Citibank Credit Card Issuance Trust,
Series 2008-A2, Class A2
1.91%	01/23/20	²		7,560,000		7,644,642
Dryden 37 Senior Loan Fund,
Series 2015-37A, Class A (Cayman Islands)
2.38%	04/15/27	^2,3,4		9,280,000		9,303,107
Education Loan Asset-Backed Trust,
Series 2013-1, Class A2
1.56%	04/26/32	^2,3		8,375,000		8,015,613
GCO Education Loan Funding Trust,
Series 2006-2AR, Class A1RN
1.41%	08/27/46	^2,3		8,047,359		7,230,857
GCO Education Loan Funding Trust,
Series 2007-1A, Class A5L
1.00%	05/25/23	^2,3		176,328		175,674
GE Business Loan Trust, Series 2005-1A,
Class A3
0.95%	06/15/33	^2,3		843,381		776,867
Goal Capital Funding Trust, Series 2006-1,
Class B
1.38%	08/25/42	²		3,311,495		2,914,658
Honda Auto Receivables Owner Trust,
Series 2016-4, Class A2
1.04%	04/18/19			8,050,000		8,029,757
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%	01/17/73	³		4,684,573		4,716,702
Limerock CLO II Ltd., Series 2014-2A,
Class A (Cayman Islands)
2.38%	04/18/26	^2,3,4		6,895,000		6,901,840


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Magnetite XII CLO Ltd., Series 2015-12A,
Class AR (Cayman Islands)
2.26%	04/15/27	^2,3,4	$	8,000,000	$	8,000,542
National Collegiate Student Loan Trust,
Series 2007-2, Class A2
0.89%	06/26/28	²		1,837,431		1,813,816
Navient Student Loan Trust, Series 2014-8,
Class A2
1.20%	04/25/23	²		17,500,185		17,505,728
Nelnet Student Loan Trust, Series 2013-1A,
Class A
1.36%	06/25/41	^2,3		4,084,295		4,044,560
Nelnet Student Loan Trust, Series 2014-5A,
Class A
1.31%	07/25/41	^2,3		13,049,904		12,886,598
Northstar Education Finance, Inc.,
Series 2007-1, Class A1
0.99%	04/28/30	²		5,605,000		5,438,329
SLC Student Loan Trust I, Series 2002-2,
Class B2
2.14%	07/01/42	^2,3		4,100,000		3,194,466
SLC Student Loan Trust, Series 2004-1,
Class B
1.19%	08/15/31	²		1,594,818		1,380,595
SLC Student Loan Trust, Series 2006-1,
Class A4
1.04%	12/15/21	²		6,766		6,758
SLC Student Loan Trust, Series 2007-1,
Class A4
0.97%	05/15/29	²		7,034,448		6,855,879
SLM Student Loan Trust, Series 2003-11,
Class A5
1.01%	12/15/22	^2,3		2,184,422		2,178,322
SLM Student Loan Trust, Series 2003-12,
Class A5
1.24%	09/15/22	^2,3		2,412,780		2,407,774
SLM Student Loan Trust, Series 2004-1,
Class A3
1.09%	04/25/23	²		60,063		59,992
SLM Student Loan Trust, Series 2004-10,
Class A6B
1.43%	04/27/26	^2,3		17,630,000		17,555,465
SLM Student Loan Trust, Series 2004-2,
Class B
1.35%	07/25/39	²		1,917,407		1,662,781
SLM Student Loan Trust, Series 2004-5A,
Class A5
1.48%	10/25/23	^2,3		2,959,027		2,961,553
SLM Student Loan Trust, Series 2004-8,
Class B
1.34%	01/25/40	²		706,807		630,829
SLM Student Loan Trust, Series 2005-10,
Class A4
0.99%	10/25/19	²		1,477,272		1,475,651


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2005-4,
Class B
1.06%	07/25/40	²	$	2,396,524	$	2,068,375
SLM Student Loan Trust, Series 2005-5,
Class A3
0.98%	04/25/25	²		266,955		265,844
SLM Student Loan Trust, Series 2006-2,
Class A6
1.05%	01/25/41	²		6,000,000		5,641,632
SLM Student Loan Trust, Series 2006-4,
Class A5
0.98%	10/27/25	²		1,514,033		1,512,431
SLM Student Loan Trust, Series 2006-8,
Class A6
1.04%	01/25/41	²		6,000,000		5,390,905
SLM Student Loan Trust, Series 2007-6,
Class B
1.73%	04/27/43	²		848,009		748,307
SLM Student Loan Trust, Series 2008-2,
Class B
2.08%	01/25/29	²		1,095,000		957,592
SLM Student Loan Trust, Series 2008-3,
Class B
2.08%	04/25/29	²		1,095,000		974,604
SLM Student Loan Trust, Series 2008-4,
Class B
2.73%	04/25/29	²		1,095,000		1,016,128
SLM Student Loan Trust, Series 2008-5,
Class B
2.73%	07/25/29	²		1,095,000		1,023,534
SLM Student Loan Trust, Series 2008-6,
Class B
2.73%	07/25/29	²		1,095,000		1,020,798
SLM Student Loan Trust, Series 2008-7,
Class B
2.73%	07/25/29	²		1,095,000		1,021,216
SLM Student Loan Trust, Series 2008-8,
Class B
3.13%	10/25/29	²		1,095,000		1,052,932
SLM Student Loan Trust, Series 2008-9,
Class B
3.13%	10/25/29	²		1,095,000		1,072,419
SLM Student Loan Trust, Series 2011-1,
Class A1
1.28%	03/25/26	²		318,881		318,525
SLM Student Loan Trust, Series 2012-1,
Class A2
1.21%	11/25/20	²		481,218		481,204
SLM Student Loan Trust, Series 2012-5,
Class A2
1.06%	06/25/19	²		642,284		638,840
SLM Student Loan Trust, Series 2012-6,
Class A2
1.04%	09/25/19	²		162,179		162,140

Issues

Maturity
Date

Principal
Amount

Value

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Series 2012-7,

Class A2

1.04%

09/25/19

6,051,381

6,042,330

SLM Student Loan Trust, Series 2012-7,

Class A3

1.41%

05/26/26

4,410,000

4,224,172

SLM Student Loan Trust, Series 2013-1,

Class A2

1.01%

09/25/19

410,137

409,594

SLM Student Loan Trust, Series 2013-3,

Class A2

1.06%

05/26/20

3,233,145

3,228,681

SLM Student Loan Trust, Series 2013-4,

Class A

1.31%

06/25/27

5,185,216

5,047,086

SLM Student Loan Trust, Series 2013-5,

Class A2

1.16%

10/26/20

2,923,812

2,915,505

SLM Student Loan Trust, Series 2013-6,

Class A2

1.26%

02/25/21

3,561,758

3,564,288

SLM Student Loan Trust, Series 2014-1,

Class A3

1.36%

02/26/29

6,865,000

6,603,785

SLM Student Loan Trust, Series 2014-2,

Class A2

1.11%

10/25/21

2,873,801

2,862,890

Spirit Master Funding LLC,

Series 2014-1A, Class A1

5.05%

07/20/40

2,317,653

2,360,020

Toyota Auto Receivables Owner Trust,

Series 2016-D, Class A2A

1.06%

05/15/19

5,775,000

5,763,640

Total Asset-Backed Securities

(Cost $235,929,995)

235,053,325

BANK LOANS — 0.59%*

Communications — 0.07%

Level 3 Financing, Inc., Term Loan B,

1st Lien

LIBOR plus 2.75%

05/31/22

2,000,000

2,027,080

Electric — 0.07%

Chief Power Finance LLC, Term Loan B,

1st Lien

LIBOR plus 4.75%

12/31/20

^2,5

2,450,000

1,987,563

Finance — 0.16%

Delos Finance SARL, Term Loan B, 1st Lien

LIBOR plus 2.75%

02/27/21

4,896,507

4,938,470

Industrials — 0.26%

Johnson Controls International plc,

Senior Term Loan

LIBOR plus 1.50%

09/10/19

^2,5

8,040,000

8,014,875


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Services — 0.03%
AABS Ltd., Term Loan, Series 2013-1, Class A (STEP) (Bermuda)
4.88%	01/15/38	^2,4,†	$	935,406	$	940,066


Total Bank Loans (Cost $18,277,777)						17,908,054


CORPORATES — 21.57%*
Banking — 5.07%
Bank of America Corp.
5.75%	12/01/17			14,370,000		14,888,455
6.00%	09/01/17			1,000,000		1,028,425
Bank of America Corp. (MTN)
5.65%	05/01/18			300,000		314,737
6.88%	04/25/18			9,885,000		10,503,287
8.63%	05/02/17	²		30,000		29,139
8.95%	05/18/17	²		30,000		29,025
9.52%	06/06/17	²		5,184,000		5,015,520
Bank of America N.A. (BKNT)
1.26%	06/15/17	²		2,500,000		2,498,800
5.30%	03/15/17			3,850,000		3,880,011
6.10%	06/15/17			7,100,000		7,248,296
Capital One Bank USA N.A. (BKNT)
2.15%	11/21/18			4,295,000		4,306,600
Capital One N.A.
2.35%	08/17/18			550,000		553,441
Discover Bank (BKNT)
3.10%	06/04/20			4,000,000		4,053,446
HBOS PLC (GMTN) (United Kingdom)
6.75%	05/21/18	^3,4		6,220,000		6,558,268
JPMorgan Chase Bank N.A. (BKNT)
6.00%	10/01/17			26,265,000		27,108,028
PNC Bank N.A. (BKNT)
1.70%	12/07/18			7,680,000		7,668,265
Royal Bank of Scotland PLC
(United Kingdom)
6.40%	10/21/19	⁴		3,000,000		3,268,530
Santander UK Group Holdings PLC
(United Kingdom)
2.88%	08/05/21	⁴		13,000,000		12,878,008
UBS AG/Stamford CT (GMTN) (Switzerland)
1.70%	03/26/18	^2,4		8,000,000		8,028,824
UBS AG/Stamford CT (Switzerland)
1.49%	06/01/17	^2,4		5,000,000		5,006,700
Wachovia Corp. (MTN)
5.75%	02/01/18			12,000,000		12,502,733
Wells Fargo Bank N.A. (BKNT) (MTN)
1.65%	01/22/18			8,420,000		8,422,640


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Wells Fargo Bank N.A. (MTN)
2.15%	12/06/19		$	7,715,000	$	7,715,240


						153,506,418

Communications — 1.28%
AT&T, Inc.
2.38%	11/27/18			5,000,000		5,032,585
3.00%	06/30/22			4,464,000		4,385,764
3.40%	05/15/25			2,655,000		2,556,104
3.60%	02/17/23			3,700,000		3,720,822
5.50%	02/01/18			5,031,000		5,228,537
Charter Communications Operating LLC/Charter Communications Operating Capital
4.46%	07/23/22			3,415,000		3,557,108
DISH DBS Corp.
4.25%	04/01/18			800,000		822,296
Verizon Communications, Inc.
1.35%	06/09/17	²		4,585,000		4,590,612
1.76%	06/17/19	²		5,750,000		5,804,361
2.71%	09/14/18	²		2,950,000		3,017,334


						38,715,523


Consumer Discretionary — 0.36%
Anheuser-Busch InBev Finance, Inc.
1.90%	02/01/19			10,945,000		10,970,020

Electric — 1.83%
Entergy Gulf States Louisiana LLC
6.00%	05/01/18			5,000,000		5,274,075
Exelon Corp.
1.55%	06/09/17			4,986,000		4,985,875
FirstEnergy Corp., Series A
2.75%	03/15/18			6,000,000		6,052,797
FPL Energy National Wind Portfolio LLC
6.13%	03/25/19	³		4,449		4,471
Homer City Generation LP (PIK)
8.14%	10/01/19	^5,6,7		6,078,660		2,644,217
IPALCO Enterprises, Inc.
5.00%	05/01/18			3,426,000		3,544,507
Jersey Central Power & Light Co.
4.80%	06/15/18			1,500,000		1,550,892
7.35%	02/01/19			505,000		553,401
NextEra Energy Capital Holdings, Inc., Series F
2.06%	09/01/17			6,285,000		6,312,205
Oncor Electric Delivery Co. LLC
6.80%	09/01/18			14,109,000		15,249,459
Public Service Co. of New Mexico
7.95%	05/15/18			4,352,000		4,726,080


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Southern Co. (The)
1.30%	08/15/17		$	2,410,000	$	2,409,140
W3A Funding Corp.
8.09%	01/02/17			2,055,748		2,055,748


						55,362,867

Energy — 0.50%
Boardwalk Pipelines LP
5.50%	02/01/17			3,300,000		3,308,483
Columbia Pipeline Group, Inc.
2.45%	06/01/18			1,936,000		1,946,131
Energy Transfer Partners LP
2.50%	06/15/18			1,156,000		1,160,646
3.90%	11/01/66	²		2,809,000		2,210,332
Florida Gas Transmission Co. LLC
7.90%	05/15/19	³		3,320,000		3,716,979
Panhandle Eastern Pipeline Co. LP
8.13%	06/01/19			1,000,000		1,103,402
Rockies Express Pipeline LLC
6.00%	01/15/19	³		1,500,000		1,586,250


						15,032,223

Finance — 4.59%
American Express Co.
7.00%	03/19/18			14,570,000		15,497,169
Bear Stearns Cos. LLC (The)
6.40%	10/02/17			10,000,000		10,360,600
Citigroup, Inc.
2.50%	09/26/18			10,000,000		10,097,050
6.13%	11/21/17			3,000,000		3,119,871
Ford Motor Credit Co. LLC
1.47%	09/08/17	²		1,440,000		1,440,549
1.95%	01/09/18	²		8,000,000		8,024,728
General Electric Corp. (MTN)
1.26%	05/05/26	²		5,180,000		5,019,582
General Motors Financial Co., Inc.
3.00%	09/25/17			11,000,000		11,095,997
Goldman Sachs Group, Inc. (GMTN) (The)
7.50%	02/15/19			1,195,000		1,325,409
Goldman Sachs Group, Inc. (The)
1.59%	05/22/17	²		3,000,000		3,005,250
1.90%	10/23/19	²		5,000,000		5,039,657
2.38%	01/22/18			1,000,000		1,005,889
2.88%	02/25/21			5,000,000		5,025,685
5.95%	01/18/18			9,625,000		10,029,308
6.15%	04/01/18			3,500,000		3,682,812
International Lease Finance Corp.
7.13%	09/01/18	³		3,816,000		4,114,125


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Morgan Stanley
1.74%	01/05/18	²	$	6,000,000	$	6,024,054
Morgan Stanley (GMTN)
5.50%	01/26/20			2,805,000		3,035,737
5.50%	07/24/20			4,550,000		4,987,246
6.63%	04/01/18			8,000,000		8,462,760
Morgan Stanley (MTN)
5.63%	09/23/19			2,000,000		2,168,915
Protective Life Global Funding
1.72%	04/15/19	³		8,245,000		8,181,761
SL Green Realty Corp.
5.00%	08/15/18			8,000,000		8,273,932


						139,018,086

Food — 0.64%
Kraft Heinz Foods Co.
2.25%	06/05/17			4,485,000		4,496,733
6.13%	08/23/18			5,000,000		5,322,203
Mondelez International Holdings Netherlands BV (Netherlands)
1.63%	10/28/19	^3,4		9,670,000		9,488,658


						19,307,594

Health Care — 3.55%
Abbott Laboratories
2.90%	11/30/21			7,820,000		7,808,340
AbbVie, Inc.
1.80%	05/14/18			2,230,000		2,232,420
2.30%	05/14/21			8,530,000		8,366,173
Actavis Funding SCS (Luxembourg)
2.35%	03/12/18	⁴		5,875,000		5,910,685
3.00%	03/12/20	⁴		4,825,000		4,889,932
3.45%	03/15/22	⁴		4,000,000		4,064,700
Aetna, Inc.
1.50%	11/15/17			9,195,000		9,189,593
1.75%	05/15/17			3,000,000		3,002,925
Amgen, Inc.
2.13%	05/15/17			5,451,000		5,469,277
3.63%	05/15/22			3,400,000		3,517,667
Baxalta, Inc.
2.00%	06/22/18			3,425,000		3,427,478
Catholic Health Initiatives
2.60%	08/01/18			13,000,000		13,122,167
Celgene Corp.
2.88%	08/15/20			5,000,000		5,061,595
Express Scripts Holding Co.
1.25%	06/02/17			3,820,000		3,815,720
HCA, Inc.
3.75%	03/15/19			1,000,000		1,030,000


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Providence Health & Services
Obligated Group
1.95%		10/01/17	²	$	11,940,000	$	11,961,094
Shire Acquisitions Investments Ireland DAC (Ireland)
1.90%		09/23/19	⁴		7,865,000		7,770,392
Tenet Healthcare Corp.
4.46%		06/15/20	²		1,600,000		1,620,000
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)
1.40%		07/20/18	⁴		5,355,000		5,308,104


							107,568,262

Industrials — 0.32%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)
3.96%		12/15/19	^2,3,4		1,750,000		1,780,625
Metropolitan Life Global Funding I
1.35%		09/14/18	³		8,000,000		7,943,839


							9,724,464

Information Technology — 0.11%
Apple, Inc.
1.70%		02/22/19			3,255,000		3,260,963

Insurance — 0.59%
Metropolitan Life Global Funding I
1.88%		06/22/18	³		7,500,000		7,522,451
Nationwide Mutual Insurance Co.
3.25%		12/15/24	^2,3		3,550,000		3,487,875
New York Life Global Funding
1.13%		03/01/17	³		7,000,000		7,001,935


							18,012,261

Real Estate Investment Trust (REIT) — 1.71%
Alexandria Real Estate Equities, Inc.
2.75%		01/15/20			8,800,000		8,786,026
Boston Properties LP
5.63%		11/15/20			2,260,000		2,486,606
DDR Corp.
7.50%		04/01/17			1,835,000		1,860,398
Essex Portfolio LP
5.50%		03/15/17			6,820,000		6,874,806
Highwoods Realty LP
5.85%		03/15/17			830,000		837,059
Ventas Realty LP/Ventas Capital Corp.
2.00%		02/15/18			4,935,000		4,946,410
WEA Finance LLC/Westfield UK & Europe Finance PLC
1.75%		09/15/17	³		16,500,000		16,512,668


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Welltower, Inc.
2.25%		03/15/18		$	3,000,000	$	3,013,740
4.70%		09/15/17			6,291,000		6,427,219


							51,744,932

Retail — 0.56%
Walgreens Boots Alliance, Inc.
1.75%		05/30/18			17,060,000		17,075,252

Transportation — 0.46%
American Airlines Pass-Through Trust, Series 2011-1, Class A
5.25%		01/31/21			1,185,925		1,276,292
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%		01/15/23			6,173,156		6,589,844
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			29,122		29,395
Continental Airlines Pass-Through Trust, Series 1999-1, Class A
6.55%		08/02/20			2,881,377		3,003,691
Continental Airlines Pass-Through Trust, Series 2000-2, Class A1
7.71%		10/02/22			1,474,646		1,591,696
UAL Pass-Through Trust, Series 2009-2A, Class 2
9.75%		01/15/17			1,340,929		1,350,986


							13,841,904

Total Corporates (Cost $653,921,279)							653,140,769

MORTGAGE-BACKED — 33.70%**
Commercial Mortgage-Backed — 2.46%
Banc of America Re-REMIC Trust, Series 2010-UB5, Class A4A
5.74%		02/17/51	^2,3		141,220		142,175
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4
5.71%		12/10/49	²		17,000,000		17,148,815
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)
2.13%		09/10/45	^2,3,5		24,267,975		1,537,561
Commercial Mortgage Trust, Series 2012-CR4, Class A2
1.80%		10/15/45			8,580,000		8,604,263
GE Business Loan Trust, Series 2006-2A,
Class A
0.51%		11/15/34	^2,3		3,164,671		2,991,390


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2006-LDP9,
Class A3S
5.24%		05/15/47	³	$	1,302,976	$	1,299,808
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2006-LDP9,
Class A3SF
0.86%		05/15/47	²		7,048,712		7,027,330
Morgan Stanley Capital I Trust,
Series 2007-IQ14, Class A4
5.69%		04/15/49	²		4,449,790		4,467,900
Morgan Stanley Capital I Trust,
Series 2007-T25, Class AM
5.54%		11/12/49	²		4,498,174		4,498,285
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4
5.51%		04/15/47			9,045,092		9,063,179
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3
5.71%		06/15/49	²		17,561,042		17,669,137


							74,449,843

Non-Agency Mortgage-Backed — 15.55%
Accredited Mortgage Loan Trust, Series 2007-1, Class A4
0.98%		02/25/37	²		12,000,000		10,192,510
ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC1, Class A1
0.98%		12/25/35	²		7,477,552		7,473,735
ACE Securities Corp., Series 2005-HE6,
Class A1
1.02%		10/25/35	²		257,612		257,642
Aegis Asset-Backed Securities Trust, Series 2005-5, Class 2A
1.01%		12/25/35	²		9,295,665		9,161,111
Ameriquest Mortgage Securities, Inc.,
Series 2005-R5, Class M1
1.19%		07/25/35	²		141,713		142,114
Ameriquest Mortgage Securities, Inc.,
Series 2006-R2, Class A1
0.93%		04/25/36	²		11,189,131		11,263,453
Amresco Residential Securities Mortgage
Loan Trust, Series 1998-1, Class A5 (STEP)
7.32%		10/25/27			17,675		18,558
Argent Securities, Inc., Series 2005-W2,
Class A1
1.02%		10/25/35	²		10,821,420		10,780,740
Banc of America Alternative Loan Trust,
Series 2003-8, Class 1CB1
5.50%		10/25/33			12,780,941		13,211,310
Banc of America Funding Trust,
Series 2015-R2, Class 9A1
0.97%		03/25/37	^2,3		10,128,981		9,820,225


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Funding Trust,
Series 2015-R3, Class 8A1
0.91%		06/28/36	^2,3	$	6,990,700	$	6,747,237
Banc of America Funding Trust,
Series 2015-R4, Class 3A1
0.90%		07/25/36	^2,3		10,092,974		9,693,304
BCAP LLC Trust, Series 2007-AA1,
Class 1A2
0.92%		02/25/47	²		1,906,689		1,887,495
BCAP LLC Trust, Series 2008-IND2,
Class A1
2.41%		04/25/38	²		12,357,184		12,207,597
BCAP LLC Trust, Series 2012-R11,
Class 11A1
3.00%		09/26/36	^2,3		2,736,732		2,730,313
BCAP LLC Trust, Series 2012-RR11,
Class 1A1
0.76%		01/26/37	^2,3		5,066,888		5,043,866
BCAP LLC Trust, Series 2013-RR2,
Class 5A1
3.03%		03/26/36	^2,3		2,437,827		2,445,066
BCAP LLC Trust, Series 2013-RR5,
Class 2A1
2.52%		03/26/37	^2,3		9,363,122		9,360,848
Bear Stearns ARM Trust, Series 2004-3, Class 4A
3.23%		07/25/34	²		4,257,199		4,243,819
Bear Stearns ARM Trust, Series 2005-2, Class A1
2.92%		03/25/35	²		3,749,884		3,777,317
Bear Stearns Asset-Backed Securities Trust,
Series 2004-BO1, Class M3
1.81%		10/25/34	²		7,255,299		7,274,491
Bear Stearns Asset-Backed Securities Trust,
Series 2005-SD1, Class 1A3
1.16%		08/25/43	²		328,659		326,675
Chase Funding Trust,
Series 2002-2, Class 2M1
1.66%		02/25/32	²		245,179		238,547
Chase Funding Trust,
Series 2007-A1, Class 8A1
3.23%		02/25/37	²		13,984,132		14,163,632
Chase Funding Trust,
Series 2007-A2, Class 2A3
3.18%		07/25/37	²		2,788,554		2,820,581
Chevy Chase Mortgage Funding Corp.,
Series 2005-2A, Class A1
0.77%		05/25/36	^2,3		1,375,378		1,241,787
CIM Trust, Series 2015-3AG, Class A1
2.37%		10/25/57	^2,3		10,689,723		10,741,244
CIM Trust, Series 2015-4AG, Class A1
2.62%		10/25/57	^2,3		13,646,209		13,640,659


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
2.77%		02/25/34	²	$	193,275	$	189,363
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH2, Class A3
0.94%		03/25/37	²		139,390		139,217
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH4, Class A2C
2.06%		07/25/37	²		90,000		81,383
Conseco Finance Securitizations Corp.,
Series 2001-4, Class A4
7.36%		09/01/33			2,428,929		2,588,545
Conseco Financial Corp., Series 1997-2,
Class A7
7.62%		06/15/28	²		275,420		275,644
Conseco Financial Corp., Series 1997-3,
Class A7
7.64%		03/15/28	²		394,759		409,160
Conseco Financial Corp., Series 1997-7,
Class A9
0.08%		07/15/29	²		985,247		1,000,751
Conseco Financial Corp., Series 1998-2,
Class A5
6.24%		12/01/28	²		8,542		8,915
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-14,
Class 4A1
2.81%		08/25/34	²		16,081		15,532
Credit Suisse First Boston Mortgage
Securities Corp., Series 2004-AR1,
Class 5A1
3.02%		02/25/34	²		3,355,422		3,346,954
Credit Suisse Mortgage Trust,
Series 2013-7R, Class 5A1
0.84%		07/26/36	^2,3		2,763,386		2,568,341
Credit Suisse Mortgage Trust,
Series 2014-9R, Class 8A1
0.75%		10/27/36	^2,3		2,464,721		2,404,568
Credit-Based Asset Servicing and
Securitization LLC, Series 2005-CB7,
Class AF3 (STEP)
3.98%		11/25/35			1,106,662		1,132,177
Credit-Based Asset Servicing and
Securitization LLC, Series 2006-CB1,
Class AF2 (STEP)
3.40%		01/25/36			2,437,013		1,789,016
Credit-Based Asset Servicing and
Securitization LLC, Series 2007-CB5,
Class A1
0.64%		04/25/37	²		3,567,897		2,546,971
DSLA Mortgage Loan Trust,
Series 2005-AR2, Class 2A1A
0.95%		03/19/45	²		1,620,288		1,431,868


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Encore Credit Receivables Trust,
Series 2005-2, Class M2
1.45%		11/25/35	²	$	7,152,380	$	7,239,234
FBR Securitization Trust, Series 2005-02,
Class M1
1.30%		09/25/35	²		9,467,843		9,419,858
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
2.76%		09/25/34	²		14,172		13,837
First Horizon Mortgage Pass-Through Trust, Series 2004-AR7, Class 2A2
2.82%		02/25/35	²		1,677,723		1,670,755
GE Business Loan Trust, Series 2007-1A,
Class A
0.87%		04/16/35	^2,3		1,996,397		1,861,806
GMACM Home Equity Loan Trust,
Series 2000-HE2, Class A1
1.20%		06/25/30	²		282,038		277,407
GSAA Home Equity Trust, Series 2005-9,
Class 1A1
1.04%		08/25/35	²		3,079,898		2,971,159
GSR Mortgage Loan Trust,
Series 2005-AR7, Class 2A1
3.36%		11/25/35	²		1,129,508		1,117,127
GSR Mortgage Loan Trust,
Series 2006-OA1, Class 2A1
0.95%		08/25/46	²		1,922,203		1,899,235
Home Equity Asset Trust, Series 2006-4,
Class 2A3
0.93%		08/25/36	²		2,981,275		2,980,863
HSBC Home Equity Loan Trust,
Series 2007-1, Class AS
0.76%		03/20/36	²		2,352,808		2,354,131
Impac CMB Trust, Series 2005-5,
Class A1
1.40%		08/25/35	²		2,651,551		2,344,963
IndyMac Index Mortgage Loan Trust,
Series 2004-AR12, Class A1
1.54%		12/25/34	²		366,297		303,262
IndyMac Index Mortgage Loan Trust,
Series 2004-AR8, Class 2A2A
1.56%		11/25/34	²		1,206,262		1,023,427
IndyMac Manufactured Housing Contract,
Series 1998-1, Class A4
6.49%		09/25/28			659,708		690,417
JPMorgan Mortgage Acquisition Corp.,
Series 2005-FRE1, Class A2F3 (STEP)
3.30%		10/25/35			2,313,764		2,299,786
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AV4
1.04%		03/25/47	²		50,000		29,151


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust, Series 2007-A1, Class 1A1
3.22%		07/25/35	²	$	2,305,420	$	2,356,915
JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2
3.18%		07/25/35	²		530,158		538,180
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A3
4.35%		04/15/40			1,391,350		1,420,882
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4
5.27%		04/15/40			1,153,558		1,189,010
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class AIOC (IO)
0.55%		04/15/40	^2,5		158,624,268		3,035,283
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
3.36%		01/25/34	²		19,634		19,108
MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1
3.25%		01/25/34	²		50,934		51,451
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A1
3.04%		11/21/34	²		1,994,193		2,040,865
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3A3
2.63%		04/25/34	²		271,780		261,898
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1
1.63%		06/25/34	²		32,322		29,603
MASTR Alternative Loan Trust,
Series 2003-1, Class 1A1
6.25%		12/25/32			4,009,223		4,160,891
MASTR Alternative Loan Trust,
Series 2003-5, Class 4A1
5.50%		07/25/33			6,527,427		7,122,001
MASTR Alternative Loan Trust,
Series 2003-9, Class 4A1
5.25%		11/25/33			7,428,296		7,709,123
MASTR Alternative Loan Trust,
Series 2004-7, Class 1A1
5.50%		07/25/34			6,847,599		7,086,562
MASTR Asset-Backed Securities Trust, Series 2006-AB1, Class A2
0.99%		02/25/36	²		1,945,784		1,946,592
MASTR Seasoned Securities Trust,
Series 2004-1, Class 4A1
3.05%		10/25/32	²		318,847		319,771
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2004-FF5, Class A3C
1.76%		08/25/34	²		1,319,309		1,254,258


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1
1.39%		05/25/36	²	$	664,991	$	664,713
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
0.94%		06/25/37	²		14,271,954		9,980,179
Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A1
2.86%		08/25/34	²		2,249,541		2,281,422
Merrill Lynch Mortgage Investors Trust, Series 2006-F1, Class 1A2
6.00%		04/25/36			2,690,146		2,386,284
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			1,404,495		1,607,100
Mid-State Trust, Series 2006-1, Class A
5.79%		10/15/40	³		6,127,606		6,586,065
Morgan Stanley Capital I Trust,
Series 2004-NC7, Class M2
1.69%		07/25/34	²		6,542,352		6,452,383
Morgan Stanley Capital I Trust,
Series 2005-NC2, Class M2
1.39%		03/25/35	²		2,839,661		2,841,338
Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 1A
1.66%		07/25/34	²		653,982		641,920
Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 3A
1.83%		03/26/37	^2,3		4,591,873		4,561,581
MortgageIT Trust, Series 2005-3, Class A1
1.06%		08/25/35	²		604,112		573,166
MortgageIT Trust, Series 2005-4, Class A1
1.04%		10/25/35	²		9,756,316		9,029,411
New Century Home Equity Loan Trust, Series 2005-3, Class M2
1.25%		07/25/35	²		14,207,982		14,049,725
New Century Home Equity Loan Trust, Series 2005-D, Class A1
0.98%		02/25/36	²		16,348,286		15,999,542
Nomura Resecuritization Trust,
Series 2013-1R, Class 3A1
0.74%		10/26/36	^2,3		1,020,525		1,017,923
Nomura Resecuritization Trust,
Series 2014-1R, Class 1A1
0.74%		10/25/36	^2,3		3,491,341		3,418,222
Nomura Resecuritization Trust,
Series 2014-1R, Class 3A1
0.30%		07/26/36	^2,3		2,496,912		2,488,009
Nomura Resecuritization Trust,
Series 2014-1R, Class 4A1
1.05%		01/25/37	^2,3		2,678,084		2,647,152


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Nomura Resecuritization Trust,
Series 2016-2R, Class 1A1
3.06%		01/26/36	^2,3	$	6,524,943	$	6,603,730
Option One Mortgage Loan Trust,
Series 2005-1, Class A4
1.56%		02/25/35	²		1,988,579		1,981,922
Park Place Securities, Inc.,
Series 2004-WCW2, Class M2
1.73%		10/25/34	²		12,328,427		12,471,143
Park Place Securities, Inc.,
Series 2004-WHQ2, Class M2
1.70%		02/25/35	²		1,478,629		1,485,199
Park Place Securities, Inc.,
Series 2005-WCW1, Class M1
1.21%		09/25/35	²		9,081,390		9,047,639
Park Place Securities, Inc.,
Series 2005-WCW2, Class M1
1.26%		07/25/35	²		15,094,874		15,053,960
Park Place Securities, Inc.,
Series 2005-WCW3, Class A1B
1.06%		08/25/35	²		401,051		401,974
Park Place Securities, Inc.,
Series 2005-WHG4, Class A2D
1.13%		09/25/35	²		5,133,345		5,116,258
Residential Accredit Loans Trust,
Series 2005-QA3, Class NB1
3.43%		03/25/35	²		7,077,713		4,973,686
Residential Asset Mortgage Products Trust, Series 2004-SL4, Class A3
6.50%		07/25/32			559,205		567,061
Residential Asset Mortgage Products Trust, Series 2005-SL1, Class A5
6.50%		05/25/32			1,469,584		1,413,435
Residential Asset Securities Trust,
Series 2005-KS11, Class AI4
1.07%		12/25/35	²		2,821,362		2,819,305
Soundview Home Loan Trust,
Series 2006-WF2, Class A2C
0.90%		12/25/36	²		518,775		518,553
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 6A
3.44%		11/25/34	²		7,039,859		7,008,135
Structured Asset Investment Loan Trust, Series 2005-8, Class A4
1.12%		10/25/35	²		6,822,220		6,788,559
Structured Asset Securities Corp.,
Series 2003-26A, Class 3A5
2.97%		09/25/33	²		1,400,732		1,376,593
Terwin Mortgage Trust, Series 2004-7HE, Class A1
1.31%		07/25/34	^2,3		115,413		111,507


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2002-AR18, Class A
2.98%		01/25/33	²	$	150,149	$	143,675
WaMu Mortgage Pass-Through Certificates, Series 2004-AR14, Class A1
2.83%		01/25/35	²		1,223,792		1,226,155
WaMu Mortgage Pass-Through Certificates, Series 2004-CB2, Class 2A
5.50%		07/25/34			7,500,286		8,146,198
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1
1.05%		10/25/45	²		4,021,735		3,876,674
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A21
1.09%		01/25/45	²		632,138		612,231
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-Q, Class 1A1
3.00%		09/25/34	²		2,191,863		2,300,433
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 2A14
3.01%		06/25/35	²		7,174,601		7,450,750
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR9, Class 1A1
3.05%		05/25/35	²		188,700		193,025
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Class 2A5
3.00%		03/25/36	²		1,870,294		1,827,959


							470,614,986

U.S. Agency Mortgage-Backed — 15.69%
Fannie Mae Multifamily REMIC Trust,
Series 2015-M12, Class FA
0.87%		04/25/20	²		20,877,579		20,835,666
Fannie Mae Pool 467572
3.80%		04/01/18			24,588,960		25,068,286
Fannie Mae Pool 555284
7.50%		10/01/17			372		376
Fannie Mae Pool 567002
8.00%		05/01/23			36,833		40,706
Fannie Mae Pool 735861
6.50%		09/01/33			20,290		23,207
Fannie Mae Pool 770900
2.69%		04/01/34	²		373,463		385,167
Fannie Mae Pool 995182
5.50%		06/01/20			1,217,764		1,252,104
Fannie Mae Pool AD0538
6.00%		05/01/24			801,334		873,032
Fannie Mae Pool AE0083
6.00%		01/01/40			1,821,676		2,091,062
Fannie Mae Pool AL0851
6.00%		10/01/40			2,269,469		2,573,683


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool FN0002
3.19%		12/01/17		$	2,827,797	$	2,848,292
Fannie Mae REMICS, Series 1997-76,
Class FS
1.19%		09/17/27	²		23,000		22,602
Fannie Mae REMICS, Series 2001-60,
Class OF
1.71%		10/25/31	²		1,226,756		1,249,941
Fannie Mae REMICS, Series 2003-130,
Class HF
1.21%		12/25/33	²		1,788,097		1,796,749
Fannie Mae REMICS, Series 2003-134,
Class FC
1.36%		12/25/32	²		7,798,186		7,850,036
Fannie Mae REMICS, Series 2005-57,
Class EG
1.06%		03/25/35	²		4,417,101		4,424,399
Fannie Mae REMICS, Series 2005-59,
Class NF
1.01%		05/25/35	²		4,258,612		4,230,704
Fannie Mae REMICS, Series 2007-61,
Class A
1.04%		03/25/37	²		2,562,741		2,573,271
Fannie Mae REMICS, Series 2007-64,
Class FA
1.23%		07/25/37	²		759,456		766,598
Fannie Mae REMICS, Series 2009-111,
Class DA
5.00%		12/25/39			1,420,419		1,510,237
Fannie Mae REMICS, Series 2009-33,
Class FB
1.58%		03/25/37	²		3,716,805		3,774,754
Fannie Mae REMICS, Series 2009-85,
Class LF
1.96%		10/25/49	²		4,462,949		4,545,309
Fannie Mae REMICS, Series 2009-96,
Class FA
1.66%		11/25/49	²		3,832,799		3,913,829
Fannie Mae REMICS, Series 2010-109,
Class PF
1.16%		10/25/40	²		2,255,693		2,259,306
Fannie Mae REMICS, Series 2010-26,
Class S (IO)
5.47%		11/25/36	²		13,059,288		2,130,907
Fannie Mae REMICS, Series 2010-39,
Class FE
1.53%		06/25/37	²		7,158,137		7,252,785
Fannie Mae REMICS, Series 2010-43,
Class DP
5.00%		05/25/40			1,905,790		2,067,000


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2010-6,
Class BF
1.52%		02/25/40	²	$	2,799,931	$	2,840,090
Fannie Mae REMICS, Series 2010-95,
Class S (IO)
5.84%		09/25/40	²		9,137,846		1,840,944
Fannie Mae REMICS, Series 2011-118,
Class FB
1.21%		11/25/41	²		12,893,437		12,924,348
Fannie Mae REMICS, Series 2011-71,
Class FB
1.26%		05/25/37	²		5,551,111		5,599,347
Fannie Mae REMICS, Series 2012-33,
Class F
1.28%		04/25/42	²		9,812,147		9,843,188
Fannie Mae REMICS, Series 2013-54,
Class HF
0.96%		10/25/41	²		10,853,836		10,787,030
Fannie Mae REMICS, Series 2013-75,
Class FC
1.01%		07/25/42	²		8,822,894		8,739,728
Fannie Mae REMICS, Series G92-10,
Class Z
7.75%		01/25/22			962		1,037
Fannie Mae-Aces, Series 2012-M8,
Class ASQ2
1.52%		12/25/19			4,522,417		4,521,133
Fannie Mae-Aces, Series 2013-M11,
Class A
1.50%		01/25/18			1,133,995		1,135,854
Fannie Mae-Aces, Series 2013-M4,
Class ASQ2
1.45%		02/25/18			12,373,787		12,377,454
Fannie Mae-Aces, Series 2014-M6,
Class FA
0.91%		12/25/17	²		2,299,412		2,300,615
Fannie Mae-Aces, Series 2015-M10,
Class FA
0.78%		03/25/19	²		15,769,658		15,785,229
Freddie Mac Gold Pool A45796
7.00%		01/01/33			8,443		9,523
Freddie Mac Gold Pool C46104
6.50%		09/01/29			11,535		13,038
Freddie Mac Gold Pool G13032
6.00%		09/01/22			1,225,664		1,312,665
Freddie Mac Gold Pool G13475
6.00%		01/01/24			153,369		164,441
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K006,
Class A1
3.40%		07/25/19			4,069,958		4,166,132


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K007,
Class A2
4.22%		03/25/20		$	14,430,000	$	15,390,011
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K033,
Class A1
2.87%		02/25/23			13,786,858		14,161,988
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KF09,
Class A
0.91%		05/25/22	²		11,790,608		11,799,326
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KS02,
Class A
1.00%		08/25/23	²		14,262,510		14,284,835
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KS03,
Class A4
4.19%		08/25/19			17,405,000		18,418,044
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KSCT,
Class A1
3.19%		12/25/19			4,623,240		4,731,092
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KIR1,
Class A1
2.45%		03/25/26			23,783,498		23,870,578
Freddie Mac REMICS, Series 2174,
Class PN
6.00%		07/15/29			720,721		799,470
Freddie Mac REMICS, Series 2454,
Class FQ
1.70%		06/15/31	²		11,199		11,543
Freddie Mac REMICS, Series 2733,
Class FB
1.30%		10/15/33	²		5,263,068		5,302,904
Freddie Mac REMICS, Series 3071,
Class TF
1.00%		04/15/35	²		5,608,820		5,603,658
Freddie Mac REMICS, Series 3084,
Class FN
1.20%		12/15/34	²		5,009,441		5,045,627
Freddie Mac REMICS, Series 3294,
Class CB
5.50%		03/15/37			462,144		512,760
Freddie Mac REMICS, Series 3300,
Class FA
1.00%		08/15/35	²		1,416,104		1,412,642
Freddie Mac REMICS, Series 3325,
Class NF
1.00%		08/15/35	²		3,651,915		3,642,988


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 3346,
Class FA
0.93%		02/15/19	²	$	2,632,869	$	2,634,578
Freddie Mac REMICS, Series 3524,
Class FC
1.64%		06/15/38	²		1,563,041		1,598,971
Freddie Mac REMICS, Series 3531,
Class FM
1.60%		05/15/39	²		2,144,623		2,173,670
Freddie Mac REMICS, Series 3672,
Class A
6.00%		05/15/40			301,679		319,201
Freddie Mac REMICS, Series 3792,
Class DF
1.10%		11/15/40	²		2,817,061		2,821,342
Freddie Mac REMICS, Series 3824,
Class FA
0.85%		03/15/26	²		2,301,812		2,300,626
Freddie Mac REMICS, Series 3828,
Class TF
1.10%		04/15/29	²		846,882		849,223
Freddie Mac REMICS, Series 4060,
Class FJ
1.05%		02/15/41	²		10,116,936		10,065,531
Freddie Mac REMICS, Series 4109,
Class KF
1.10%		05/15/32	²		7,815,441		7,815,522
Freddie Mac REMICS, Series 4235,
Class FA
1.05%		01/15/34	²		7,591,186		7,595,692
Freddie Mac Strips, Series 240, Class F30
1.00%		07/15/36	²		4,168,879		4,149,038
Freddie Mac Strips, Series 263, Class F5
1.20%		06/15/42	²		5,094,186		5,092,803
Freddie Mac Strips, Series 319, Class F2
1.20%		11/15/43	²		23,386,096		23,252,330
Ginnie Mae I Pool 422972
6.50%		07/15/29			23,148		26,454
Ginnie Mae II Pool 1849
8.50%		08/20/24			449		468
Ginnie Mae II Pool 2020
8.50%		06/20/25			1,349		1,505
Ginnie Mae II Pool 2286
8.50%		09/20/26			1,490		1,684
Ginnie Mae II Pool 2487
8.50%		09/20/27			12,651		14,292
Ginnie Mae II Pool 80059
2.13%		04/20/27	²		24,513		25,308
Ginnie Mae II Pool 80589
2.00%		03/20/32	²		40,507		40,783


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 80610
2.13%		06/20/32	²	$	15,718	$	16,292
Ginnie Mae II Pool 80968
2.13%		07/20/34	²		489,494		504,262
Ginnie Mae II Pool 81201
2.50%		01/20/35	²		13,443		14,088
Ginnie Mae II Pool 8599
3.00%		02/20/25	²		20,161		20,887
Ginnie Mae, Series 2003-11, Class FK
1.01%		02/16/33	²		1,753,491		1,760,072
Ginnie Mae, Series 2004-5, Class PF
1.29%		02/20/33	²		1,309,848		1,312,304
Ginnie Mae, Series 2006-3, Class C
5.24%		04/16/39	²		3,522,410		3,563,138
Ginnie Mae, Series 2007-12, Class C
5.28%		04/16/41	²		2,279,192		2,311,156
Ginnie Mae, Series 2009-106, Class XI (IO)
6.06%		05/20/37	²		7,891,556		1,451,871
Ginnie Mae, Series 2012-13, Class KF
1.04%		07/20/38	²		2,338,892		2,337,492
Ginnie Mae, Series 2013-53, Class AD
1.50%		12/20/26			4,838,964		4,737,875
NCUA Guaranteed Notes, Series 2010-R1,
Class A1
1.10%		10/07/20	²		7,776,075		7,786,759
NCUA Guaranteed Notes, Series 2010-R2,
Class 1A
1.02%		11/06/17	²		7,951,673		7,952,863
NCUA Guaranteed Notes, Series 2010-R3,
Class 1A
0.76%		12/08/20	²		10,504,198		10,536,000
NCUA Guaranteed Notes, Series 2010-R3,
Class 2A
1.21%		12/08/20	²		4,838,148		4,862,487
NCUA Guaranteed Notes, Series 2011-C1,
Class 2A
1.18%		03/09/21	²		13,616,136		13,589,341
NCUA Guaranteed Notes, Series 2011-R1,
Class 1A
1.10%		01/08/20	²		5,752,056		5,764,683
NCUA Guaranteed Notes, Series 2011-R2,
Class 1A
1.05%		02/06/20	²		5,802,391		5,804,318
NCUA Guaranteed Notes, Series 2011-R3,
Class 1A
0.60%		03/11/20	²		3,049,582		3,052,115


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
NCUA Guaranteed Notes, Series 2011-R4, Class 1A
0.58%		03/06/20	²	$	1,268,587	$	1,269,003


							475,135,297


Total Mortgage-Backed (Cost $1,012,633,542)							1,020,200,126


MUNICIPAL BONDS — 0.35%*
California — 0.35%
State of California, Taxable, Various Purpose
6.20%		03/01/19			600,000		655,884
University of California, Floating Rate Notes, Series Y, Class 1
1.27%		07/01/41	²		10,000,000		10,000,200


							10,656,084


Total Municipal Bonds (Cost $10,648,737)							10,656,084


U.S. TREASURY SECURITIES — 27.25%
U.S. Treasury Notes — 27.25%
U.S. Treasury Notes
0.75%		02/28/18			177,265,000		176,825,303
0.75%		10/31/18			123,525,000		122,654,025
0.75%		08/15/19			224,590,000		221,168,596
1.50%		12/31/18			137,725,000		138,548,182
1.50%		01/31/19			98,075,000		98,622,847
1.75%		11/30/21			63,130,000		62,673,719
2.00%		12/31/21			4,395,000		4,411,569


Total U.S. Treasury Securities (Cost $828,727,329)							824,904,241


Total Bonds – 91.23% (Cost $2,760,138,659)							2,761,862,599


Issues	Notional Amount (000’s)		Value
PURCHASED SWAPTIONS — 0.00%
Option to enter into a 30-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 6.00% annually; Option Expiration Date of 12/24/23. Counterparty: Goldman Sachs Group, Inc.
		30,000	$	128,298


Total Purchased Swaptions
(Cost $939,000)

Issues

Maturity
Date

Principal
Amount/
Share

Value

SHORT-TERM INVESTMENTS — 8.22%

Commercial Paper — 0.17%

Kraft Heinz Foods Co.

1.60%⁸

06/30/17

5,274,000

5,274,636

Foreign Government Obligations — 4.85%

Japan Treasury Discount Bill,

Series 636 (Japan)

0.00%⁸

01/10/17

⁴

4,000,000,000

34,296,258

Japan Treasury Discount Bill, Series 639

(Japan)

0.00%⁸

01/23/17

⁴

4,830,000,000

41,416,665

Japan Treasury Discount Bill,

Series 647 (Japan)

0.00%⁸

02/27/17

⁴

4,800,000,000

41,171,930

Japan Treasury Discount Bill,

Series 649 (Japan)

0.00%⁸

03/13/17

⁴

3,500,000,000

30,027,050

146,911,903

Money Market Funds — 1.49%

Dreyfus Government Cash

Management Fund

0.45%⁹

4,618,000

Fidelity Investments Money Market

Funds - Government Portfolio

0.39%^9,10

127

Morgan Stanley Institutional

Liquidity Fund

0.44%⁹

40,461,000

45,079,127

U.S. Treasury Bills — 1.71%

U.S. Treasury Bills

0.38%⁸

01/19/17

50,000,000

49,990,887

0.48%⁸

04/06/17

¹¹

1,670,000

1,667,749

51,658,636

Total Short-Term Investments

(Cost $262,533,530)

248,924,302


	Value
Total Investments – 99.45%
(Cost $3,023,611,189)¹	$	3,010,915,199

Cash and Other Assets, Less

Liabilities – 0.55%		16,561,261


Net Assets – 100.00%	$	3,027,476,460


Currency Purchased	Currency Sold		Unrealized Appreciation/ (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
Forward currency contract to sell Japanese Yen on 01/10/17 at 116.56
Counterparty: Bank of America
USD $39,580,643		JPY 4,000,000,000		$ 5,263,774
Forward currency contract to sell Japanese Yen on 01/23/17 at 116.47
Counterparty: Bank of America
USD $46,713,818		JPY 4,830,000,000		5,244,980
Forward currency contract to sell Japanese Yen on 02/27/17 at 116.29
Counterparty: JPMorgan Securities LLC
USD $44,132,453		JPY 4,800,000,000		2,857,137
Forward currency contract to sell Japanese Yen on 03/13/17 at 116.20
Counterparty: Bank of America
USD $30,714,444		JPY 3,500,000,000		595,139


Net unrealized (depreciation)				$13,961,030


Contracts	Unrealized Depreciation
FUTURES CONTRACTS: LONG POSITIONS
2,532 U.S. Treasury Two Year Note,
Expiration March 2017		$(182,994)


Net unrealized depreciation		$(182,994)


Issues	Notional Amount (000’s)			Premiums (Received)		Value
WRITTEN SWAPTIONS
Option to enter into a 30-year Interest Rate Swap for the counterparty to pay the Fund a fixed rate of 7.50% in exchange for receiving from the Fund a floating rate based on 3 month USD LIBOR; Option Expiration Date of 12/24/23. Counterparty: Goldman Sachs Group, Inc.
	$	(30,000	)		$(540,000)		$(64,281)

Total Written Swaptions					$(540,000)		$(64,281)

Notes:

¹	Cost for federal income tax purposes is $3,012,170,074 and net unrealized appreciation/(depreciation) consists of:

²	Floating rate security. The rate disclosed was in effect at December 31, 2016.

³	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁴	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁵	Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $17,219,499, which is 0.57% of total net assets.

⁶	Security is currently in default with regard to scheduled interest or principal payments.

⁷	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.14% cash or 8.64% payment-in-kind interest.

⁸	Represents annualized yield at date of purchase.

⁹	Represents the current yield as of December 31, 2016.

¹⁰	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $127.

¹¹	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $1,667,729.

†

Fair valued security. The aggregate value of fair valued securities is $940,066, which is 0.03% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements.

*	Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date.


Issues	Maturity Date		Principal Amount		Value
BONDS – 88.61%
ASSET-BACKED SECURITIES — 11.61%**
Bayview Commercial Asset Trust, Series 2004-3, Class A1
1.13%		01/25/35^2,3	$	271,948	$	251,085
Bayview Commercial Asset Trust, Series 2006-4A, Class A1
0.99%		12/25/36^2,3		839,544		730,168
Bayview Commercial Asset Trust, Series 2007-3, Class A1
1.00%		07/25/37^2,3		379,236		330,105
CIT Education Loan Trust, Series 2007-1, Class A
1.09%		03/25/42^2,3		1,201,123		1,122,393
Crystal River, Series 2005-1A, Class A (Cayman Islands)
1.29%		03/02/46^2,3,4,5,†		470,845		48,261
Dryden 37 Senior Loan Fund, Series 2015-37A, Class A (Cayman Islands)
2.38%		04/15/27^2,3,5		420,000		421,046
Education Loan Asset-Backed Trust, Series 2013-1, Class A2
1.56%		04/26/32^2,3		645,000		617,322
GE Business Loan Trust, Series 2005-1A, Class A3
0.95%		06/15/33^2,3		338,255		311,578
GE Business Loan Trust, Series 2005-2A, Class A
0.94%		11/15/33^2,3		310,249		296,713
Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados)
3.09%		07/17/29^3,5		231,292		217,626
Higher Education Funding, Series 2014-1, Class A
1.98%		05/25/34^2,3		454,562		438,765
LEAF Receivables Funding 9 LLC, Series 2013-1, Class E2
6.00%		09/15/21³		520,000		521,456
Limerock CLO II Ltd., Series 2014-2A, Class A (Cayman Islands)
2.38%		04/18/26^2,3,5		200,000		200,198
Magnetite XII CLO Ltd., Series 2015-12A, Class AR (Cayman Islands)
2.26%		04/15/27^2,3,5		420,000		420,028
National Collegiate Student Loan Trust, Series 2007-2, Class A2
0.89%		06/26/28²		192,401		189,928
Navient Student Loan Trust, Series 2016-2, Class A3
2.26%		06/25/65^2,3		400,000		411,972
Nelnet Student Loan Trust, Series 2014-4A, Class A2
1.71%		11/25/43^2,3		500,000		464,867
Panthera Aviation, Series 2013-1
10.00%		01/25/22^2,3,4,†		338,214		213,075


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Scholar Funding Trust, Series 2012-B, Class A2
1.86%	03/28/46^2,3	$	1,000,000	$	977,003
SLC Student Loan Trust, Series 2004-1, Class B
1.19%	08/15/31²		252,562		218,637
SLC Student Loan Trust, Series 2005-2, Class B
1.24%	03/15/40²		379,659		319,752
SLC Student Loan Trust, Series 2005-3, Class B
1.21%	06/15/40²		204,943		172,995
SLC Student Loan Trust, Series 2006-2, Class B
1.19%	12/15/39²		466,850		391,900
SLM Student Loan Trust, Series 2004-2, Class B
1.35%	07/25/39²		466,843		404,847
SLM Student Loan Trust, Series 2005-4, Class B
1.06%	07/25/40²		283,799		244,939
SLM Student Loan Trust, Series 2005-9, Class B
1.18%	01/25/41²		343,412		294,422
SLM Student Loan Trust, Series 2006-2, Class A6
1.05%	01/25/41²		1,200,000		1,128,326
SLM Student Loan Trust, Series 2007-6, Class B
1.73%	04/27/43²		263,309		232,351
SLM Student Loan Trust, Series 2007-7, Class B
1.63%	10/25/28²		215,000		175,724
SLM Student Loan Trust, Series 2007-8, Class B
1.88%	04/27/43²		312,317		274,912
SLM Student Loan Trust, Series 2008-2, Class B
2.08%	01/25/29²		340,000		297,334
SLM Student Loan Trust, Series 2008-3, Class B
2.08%	04/25/29²		340,000		302,617
SLM Student Loan Trust, Series 2008-4, Class B
2.73%	04/25/29²		340,000		315,510
SLM Student Loan Trust, Series 2008-5, Class B
2.73%	07/25/29²		235,000		219,662
SLM Student Loan Trust, Series 2008-6, Class B
2.73%	07/25/29²		340,000		316,960
SLM Student Loan Trust, Series 2008-7, Class B
2.73%	07/25/29²		340,000		317,090


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-8, Class B
3.13%	10/25/29²	$	340,000	$	326,938
Structured Receivables Finance 2 LLC, Series 2000, Class A
4.71%	04/15/48³		103,815		104,802
Structured Receivables Finance LLC, Series 2010-A, Class B
7.61%	01/16/46^3,†		389,124		445,728
Structured Receivables Finance LLC, Series 2010-B, Class B
7.97%	08/15/36³		391,069		463,117

Total Asset-Backed Securities
(Cost $15,800,967)					15,152,152


BANK LOANS — 0.17%*
Services — 0.17%
AABS Ltd., Term Loan, Series 2013-1, Class A (STEP) (Bermuda)
4.88%	01/15/38^2,5,†		220,095		221,192

Total Bank Loans
(Cost $221,970)

CORPORATES — 23.31%*
Banking — 2.09%
Bank of America Corp. (MTN)
5.00%	05/13/21		1,090,000		1,188,220
JPMorgan Chase & Co.
3.90%	07/15/25		250,000		257,941
Royal Bank of Scotland PLC (United Kingdom)
6.40%	10/21/19⁵		250,000		272,378
Santander UK Group Holdings PLC (United Kingdom)
2.88%	10/16/20⁵		400,000		396,861
Wells Fargo & Co.
3.00%	04/22/26		645,000		613,330


					2,728,730

Commercial Services — 0.05%
IHS Markit Ltd. (Bangladesh)
5.00%	11/01/22^3,5		60,000		62,550

Communications — 1.54%
Altice U.S. Finance I Corp.
5.38%	07/15/23³		200,000		208,250
AT&T, Inc.
4.13%	02/17/26		200,000		202,887
4.60%	02/15/21		100,000		105,861
4.80%	06/15/44		350,000		331,136


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Communications (continued)
CCO Holdings LLC/CCO Holdings Capital Corp.
5.50%		05/01/26³	$	130,000	$	132,925
Charter Communications Operating LLC/Charter Communications Operating Capital
6.48%		10/23/45		200,000		231,160
CSC Holdings LLC
5.50%		04/15/27³		200,000		203,500
Level 3 Financing, Inc.
5.25%		03/15/26³		70,000		69,388
T-Mobile USA, Inc.
6.73%		04/28/22		200,000		209,750
Verizon Communications, Inc.
4.86%		08/21/46		150,000		152,575
5.15%		09/15/23		150,000		165,813


						2,013,245

Consumer Discretionary — 0.17%
GLP Capital LP/GLP Financing II, Inc.
5.38%		04/15/26		70,000		73,178
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
5.75%		10/15/20		140,000		144,900


						218,078

Electric — 1.55%
Pennsylvania Electric Co.
5.20%		04/01/20		400,000		428,793
Puget Energy, Inc.
6.00%		09/01/21		250,000		280,272
Southern Co. Gas Capital Corp.
3.25%		06/15/26		500,000		490,548
Southwestern Electric Power Co., Series K
2.75%		10/01/26		500,000		472,974
Virginia Electric & Power Co., Series C
4.00%		11/15/46		355,000		356,488


						2,029,075

Energy — 1.20%
Boardwalk Pipelines LP
5.75%		09/15/19		250,000		270,105
Energy Transfer Partners LP
3.90%		11/01/66²		131,000		103,081
EQT Midstream Partners LP
4.13%		12/01/26		350,000		341,855
HollyFrontier Corp.
5.88%		04/01/26		285,000		292,291
Texas Eastern Transmission LP
2.80%		10/15/22³		300,000		292,432


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Williams Partners LP
5.25%		03/15/20	$	250,000	$	267,302


						1,567,066

Finance — 6.89%
American Express Co.
7.00%		03/19/18		500,000		531,818
Bear Stearns Cos. LLC (The)
6.40%		10/02/17		500,000		518,030
7.25%		02/01/18		500,000		529,202
Citigroup, Inc.
1.48%		08/25/36²		2,250,000		1,792,748
Ford Motor Credit Co. LLC
2.15%		01/09/18		300,000		300,659
3.16%		08/04/20		275,000		276,455
General Electric Corp. (MTN)
1.39%		08/15/36²		2,500,000		2,149,395
General Motors Financial Co., Inc.
3.00%		09/25/17		1,000,000		1,008,727
Goldman Sachs Group, Inc. (The)
5.95%		01/18/18		750,000		781,505
International Lease Finance Corp.
7.13%		09/01/18³		500,000		539,063
Morgan Stanley (GMTN)
7.30%		05/13/19		500,000		557,445


						8,985,047

Food — 0.14%
Kraft Heinz Foods Co.
3.00%		06/01/26		200,000		188,147

Health Care — 2.74%
Abbott Laboratories
3.75%		11/30/26		355,000		353,344
AbbVie, Inc.
3.20%		05/14/26		180,000		170,728
Actavis Funding SCS (Luxembourg)
3.80%		03/15/25⁵		320,000		320,937
4.75%		03/15/45⁵		150,000		147,826
Amgen, Inc.
4.40%		05/01/45		200,000		192,470
Anthem, Inc.
1.88%		01/15/18		400,000		400,461
AstraZeneca PLC (United Kingdom)
3.38%		11/16/25⁵		100,000		99,455
Celgene Corp.
5.00%		08/15/45		320,000		335,880
Centene Corp.
4.75%		01/15/25		140,000		137,025


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
DaVita HealthCare Partners, Inc.
5.13%	07/15/24	$	29,000	$	29,036
Gilead Sciences, Inc.
4.15%	03/01/47		355,000		338,029
HCA, Inc.
5.88%	03/15/22		275,000		297,000
Shire Acquisitions Investments Ireland DAC (Ireland)
1.90%	09/23/19⁵		400,000		395,188
Tenet Healthcare Corp.
4.46%	06/15/20²		150,000		151,875
Valeant Pharmaceuticals International, Inc. (Canada)
6.13%	04/15/25^3,5		265,000		200,075


					3,569,329

Industrials — 0.57%
SBA Communications Corp.
4.88%	09/01/24³		100,000		99,125
Sealed Air Corp.
5.25%	04/01/23³		140,000		145,950
United Technologies Corp. (STEP)
1.78%	05/04/18		500,000		500,273


					745,348

Information Technology — 0.41%

Apple, Inc.
4.65%	02/23/46		300,000		324,773
First Data Corp.
5.00%	01/15/24³		140,000		141,270
MSCI, Inc.
4.75%	08/01/26³		65,000		64,919


					530,962

Insurance — 1.02%
Farmers Exchange Capital II
6.15%	11/01/53^2,3		900,000		933,979
Nationwide Mutual Insurance Co.
3.25%	12/15/24^2,3		400,000		393,000


					1,326,979

Materials — 0.06%
Valvoline, Inc.
5.50%	07/15/24³		70,000		72,625

Real Estate Investment Trust (REIT) — 3.13%
Education Realty Operating Partnership LP
4.60%	12/01/24		300,000		297,119
HCP, Inc.
3.88%	08/15/24		325,000		323,475


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Highwoods Realty LP
7.50%	04/15/18	$	500,000	$	533,190
Kimco Realty Corp. (MTN)
4.30%	02/01/18		350,000		357,107
National Retail Properties, Inc.
6.88%	10/15/17		500,000		520,001
Prologis LP
4.00%	01/15/18		400,000		408,192
Realty Income Corp.
2.00%	01/31/18		500,000		500,500
Ventas Realty LP/Ventas Capital Corp.
2.00%	02/15/18		600,000		601,387
VEREIT Operating Partnership LP
3.00%	02/06/19		140,000		139,475
Welltower, Inc.
3.75%	03/15/23		400,000		408,584


					4,089,030

Services — 0.05%
Aramark Services, Inc.
4.75%	06/01/26³		70,000		69,825

Transportation — 1.70%
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%	01/15/23		399,557		426,527
Continental Airlines Pass-Through Trust, Series 2007, Class 1B
6.90%	04/19/22		1,308,120		1,370,713
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1
6.72%	01/02/23		369,780		420,625


					2,217,865

Total Corporates
(Cost $29,787,161)					30,413,901

MORTGAGE-BACKED — 53.24%**
Commercial Mortgage-Backed — 12.02%
Aventura Mall Trust, Series 2013-AVM, Class A
3.74%	12/05/32^2,3		360,000		378,654
BAMLL-DB Trust, Series 2012-OSI, Class D
6.79%	04/13/29³		1,000,000		1,005,955
Banc of America Commercial Mortgage Trust, Series 2007-3, Class A4
5.55%	06/10/49²		298,186		299,637
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2014-520M, Class A
4.18%	08/15/46^2,3		110,000		118,231


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PWR15, Class A4
5.33%	02/11/44	$	349,695	$	349,627
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4
5.71%	12/10/49²		950,000		958,316
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)
2.13%	09/10/45^2,3,4		5,903,652		374,041
Commercial Mortgage Trust, Series 2006-GG7, Class AM
5.76%	07/10/38²		415,602		415,293
Commercial Mortgage Trust, Series 2007-GG9, Class AM
5.48%	03/10/39		256,824		257,312
Commercial Mortgage Trust, Series 2013-CR12, Class XA
1.36%	10/10/46^2,4		2,262,910		139,958
Credit Suisse Mortgage Trust, Series 2010-RR1, Class 2A
5.70%	09/15/40^2,3		734,589		740,668
GS Mortgage Securities Trust, Series 2010-C2, Class A1
3.85%	12/10/43³		725,850		751,440
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class XA
1.35%	11/15/45^2,4		4,986,706		244,915
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class ASB
3.43%	08/15/47		680,000		706,215
JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class XA
1.07%	11/15/47^2,4		3,313,926		166,190
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3
5.42%	01/15/49		488,076		488,314
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class A2
3.62%	11/15/43³		1,107,040		1,123,746
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, Class A1
3.30%	08/05/32³		157,872		160,898
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, Class A2
4.31%	08/05/32³		110,000		115,575


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A3
4.39%	02/15/46³	$	735,728	$	757,827
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class XA
0.55%	01/15/46^2,4		12,172,304		140,743
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class XA
1.43%	04/15/46^2,4		1,983,937		119,335
LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3
5.43%	02/15/40		394,096		394,914
LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A3
5.87%	09/15/45²		708,663		726,283
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A4
2.86%	11/15/45		1,040,000		1,057,912
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C17, Class A3
3.53%	08/15/47		675,000		699,801
Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A1A
5.67%	04/15/49²		772,372		777,929
Morgan Stanley Capital I Trust, Series 2007-T25, Class AM
5.54%	11/12/49²		282,017		282,024
OBP Depositor LLC Trust, Series 2010-OBP, Class A
4.65%	07/15/45³		100,000		106,417
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3
5.71%	06/15/49²		840,979		846,155
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class XA
1.77%	11/15/44^2,3,4		3,894,929		263,758
WF-RBS Commercial Mortgage Trust, Series 2013-C18, Class A3
3.65%	12/15/46		675,000		706,142


					15,674,225

Non-Agency Mortgage-Backed — 33.09%
ACE Securities Corp., Series 2006-HE3, Class A2C
0.91%	06/25/36²		1,688,541		1,117,976
Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A21
0.99%	09/25/35²		387,569		382,447
Ameriquest Mortgage Securities, Inc., Series 2005-R2, Class M2
1.48%	04/25/35²		596,638		592,714


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Alternative Loan Trust, Series 2005-2, Class 4A1
5.50%	03/25/20	$	170,844	$	172,364
Banc of America Funding Trust, Series 2006-3, Class 5A3
5.50%	03/25/36		603,443		565,317
BCAP LLC Trust, Series 2007-AA1, Class 1A2
0.92%	02/25/47²		228,803		226,499
BCAP LLC Trust, Series 2009-RR4, Class 1A1
9.50%	06/26/37³		138,501		142,043
BCAP LLC Trust, Series 2011-RR3, Class 1A5
3.20%	05/27/37^2,3		720,955		719,213
BCAP LLC Trust, Series 2011-RR3, Class 5A3
3.25%	11/27/37^2,3		1,369,219		1,366,334
Bear Stearns ALT-A Trust, Series 2005-1, Class A1
1.32%	01/25/35²		479,317		468,819
Bear Stearns ARM Trust, Series 2005-2, Class A1
2.92%	03/25/35²		231,713		233,408
Centex Home Equity Loan Trust, Series 2006-A, Class AV4
1.01%	06/25/36²		1,835,863		1,828,704
Chase Funding Trust, Series 2007-A1, Class 8A1
3.23%	02/25/37²		210,589		213,293
Citigroup Mortgage Loan Trust, Inc., Series 2005-OPT3, Class M2
1.43%	05/25/35²		499,740		504,547
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
0.94%	03/25/37²		211,197		210,936
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%	09/01/33		300,695		320,455
Conseco Finance, Series 2002-C, Class BF1
8.00%	06/15/32²		1,136,541		1,183,707
Conseco Finance, Series 2002-C, Class BF2
8.00%	06/15/32^2,3		685,123		743,390
Conseco Financial Corp., Series 1996-7, Class M1
7.70%	10/15/27²		493,879		538,163
Conseco Financial Corp., Series 1997-3, Class A7
7.64%	03/15/28²		92,323		95,691


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Conseco Financial Corp., Series 1998-3, Class A6
6.76%		03/01/30²	$	388,148	$	414,666
Conseco Financial Corp., Series 1998-4, Class A6
6.53%		04/01/30²		497,783		533,062
Conseco Financial Corp., Series 1998-4, Class A7
6.87%		04/01/30²		246,487		265,992
Conseco Financial Corp., Series 1999-5, Class A5
7.86%		03/01/30²		92,887		78,818
Credit Suisse Mortgage Trust, Series 2010-RR2, Class 1B
5.51%		04/15/47^2,3		325,000		325,588
Credit Suisse Mortgage Trust, Series 2014-4R, Class 16A1
0.78%		02/27/36^2,3		485,961		477,127
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2B (STEP)
4.40%		02/25/37		1,358,192		994,827
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP)
4.40%		02/25/37		448,485		328,457
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB3, Class A3 (STEP)
3.95%		03/25/37		1,224,498		685,837
GMAC Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1
3.41%		04/19/36²		625,766		584,940
Green Tree Home Improvement Loan Trust, Series 1995-D, Class B2
7.45%		09/15/25		897		899
GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A
0.94%		01/25/47²		291,926		287,876
GSAMP Trust, Series 2005-HE5, Class M1
1.18%		11/25/35²		664,836		661,083
GSR Mortgage Loan Trust, Series 2007-AR2, Class 5A1A
3.03%		05/25/47²		799,667		706,138
Harborview Mortgage Loan Trust, Series 2006-8, Class 2A1A
0.93%		07/21/36²		303,073		245,672
HSBC Home Equity Loan Trust, Series 2007-3, Class A4
2.06%		11/20/36²		574,663		576,812
HSBC Home Equity Loan Trust, Series 2007-3, Class APT
1.76%		11/20/36²		257,625		257,868


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
HSI Asset Loan Obligation Trust, Series 2007-2, Class 2A12
6.00%	09/25/37	$	504,975	$	464,777
Impac CMB Trust, Series 2004-4, Class 1A2
1.20%	09/25/34²		636,419		600,256
IndyMac Index Mortgage Loan Trust, Series 2005-AR25, Class 2A1
3.09%	12/25/35²		566,543		499,971
IndyMac Index Mortgage Loan Trust, Series 2007-FLX2, Class A1C
0.95%	04/25/37²		2,642,440		1,954,481
IndyMac Manufactured Housing Contract, Series 1997-1, Class A3
6.61%	02/25/28		312,491		317,025
IndyMac Manufactured Housing Contract, Series 1997-1, Class A4
6.75%	02/25/28		131,549		133,873
IndyMac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%	09/25/28		112,652		117,896
IndyMac Manufactured Housing Contract, Series 1998-1, Class A5
6.96%	09/25/28²		271,530		290,987
IndyMac Manufactured Housing Contract, Series 1998-2, Class A2
6.17%	08/25/29		15,374		15,380
IndyMac Manufactured Housing Contract, Series 1998-2, Class A4
6.64%	08/25/29²		152,207		151,703
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF6 (STEP)
4.48%	03/25/47		1,077,080		796,619
JPMorgan Mortgage Trust, Series 2006-S2, Class 2A2
5.88%	06/25/21		454,931		443,920
JPMorgan Mortgage Trust, Series 2007-S1, Class 1A2
5.50%	03/25/22		252,025		256,747
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6
0.00%	04/15/40²		260,495		271,723
Lehman XS Trust, Series 2006-13, Class 1A2
0.93%	09/25/36²		612,457		558,488
Lehman XS Trust, Series 2006-9, Class A1B
0.92%	05/25/46²		595,793		522,776
MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A4
1.04%	05/25/37²		1,810,500		1,241,633


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch Alternative Note Asset, Series 2007-A3, Class A2D
1.09%		04/25/37^2,4	$	1,696,107	$	214,445
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2B
0.87%		12/25/37²		786,503		510,996
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2D
0.80%		01/25/38²		2,645,810		1,787,706
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B
0.68%		03/25/37²		958,634		563,498
Merrill Lynch Mortgage Investors, Inc., Series 2004-HE2, Class A2C
1.92%		08/25/35²		709,726		707,113
Mid-State Trust VI, Series 2006, Class A3
7.54%		07/01/35		281,823		297,158
Mid-State Trust VI, Series 2006, Class A4
7.79%		07/01/35		22,963		24,233
Mid-State Trust XI, Series 2011, Class B
8.22%		07/15/38		12,036		12,965
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37		824,365		943,283
Mid-State Trust, Series 2004-1, Class M1
6.50%		08/15/37		570,136		608,364
Mid-State Trust, Series 2005-1, Class A
5.75%		01/15/40		231,265		249,454
Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4
2.59%		09/25/34²		556,867		554,945
Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2
5.96%		06/25/36²		2,687,385		1,329,562
Oakwood Mortgage Investors, Inc., Series 1998-A, Class M
6.83%		05/15/28²		408,159		418,748
Oakwood Mortgage Investors, Inc., Series 1998-D, Class A
6.40%		01/15/29		146,721		147,815
Oakwood Mortgage Investors, Inc., Series 1999-A, Class A2
5.89%		04/15/29		30,245		30,941
Oakwood Mortgage Investors, Inc., Series 1999-B, Class A4
6.99%		12/15/26		554,791		584,739
Oakwood Mortgage Investors, Inc., Series 2001-D, Class A3
5.90%		09/15/22²		1,056,101		888,024
Oakwood Mortgage Investors, Inc., Series 2002-A, Class A3
6.03%		05/15/24²		520,814		547,159


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Park Place Securities, Inc., Series 2005-WCH1, Class M2
1.54%	01/25/36²	$	133,973	$	133,861
Residential Accredit Loans Trust, Series 2005-QA3, Class NB1
3.43%	03/25/35²		907,708		637,869
Residential Asset Securities Trust, Series 2005-KS12, Class A3
1.08%	01/25/36²		193,053		192,649
SG Mortgage Securities Trust, Series 2007-NC1, Class A2
1.00%	12/25/36^2,3		1,787,041		1,100,428
Specialty Underwriting & Residential Finance, Series 2006-AB3, Class A2B
0.91%	09/25/37²		675,501		405,727
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A
2.99%	09/25/34²		699,401		690,140
Structured Asset Investment Loan Trust, Series 2005-4, Class M2
1.42%	05/25/35²		556,962		559,780
Terwin Mortgage Trust, Series 2004-7HE, Class A1
1.31%	07/25/34^2,3		98,925		95,577
UCFC Home Equity Loan, Series 1998-D, Class BF1
8.97%	04/15/30^2,4		585		47
WaMu Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A
1.05%	07/25/45²		132,016		126,384
Wells Fargo Home Equity Trust, Series 2007-1, Class A3
1.08%	03/25/37²		1,500,000		1,124,562


					43,178,109

U.S. Agency Mortgage-Backed — 8.13%
Fannie Mae Pool 466411
3.31%	11/01/20		340,000		353,970
Fannie Mae Pool 468043
4.31%	06/01/21		261,779		282,336
Fannie Mae Pool 468542
4.50%	08/01/21		325,000		355,317
Fannie Mae Pool AL1848
3.02%	04/01/22		686,457		708,884
Fannie Mae Pool AL2293
4.38%	06/01/21		644,539		697,412
Fannie Mae Pool FN0003
4.28%	01/01/21		364,465		390,459
Fannie Mae REMICS, Series 1993-80, Class S
9.95%	05/25/23²		3,168		3,553


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2000-45, Class SA (IO)
7.21%		12/18/30²	$	521,974	$	78,086
Fannie Mae REMICS, Series 2001-42, Class SB
8.50%		09/25/31²		803		991
Fannie Mae REMICS, Series 2003-124, Class TS
9.80%		01/25/34²		9,042		10,966
Fannie Mae REMICS, Series 2003-64, Class KS
8.85%		07/25/18²		56,496		58,181
Fannie Mae REMICS, Series 2005-92, Class US (IO)
5.34%		10/25/25²		2,023,773		236,228
Fannie Mae REMICS, Series 2006-125, Class SM (IO)
6.44%		01/25/37²		1,716,830		347,144
Fannie Mae REMICS, Series 2008-50, Class SA (IO)
5.29%		11/25/36²		1,969,865		316,252
Fannie Mae REMICS, Series 2010-43, Class KS (IO)
5.66%		05/25/40²		1,748,486		313,149
Fannie Mae, Series 2010-M3, Class A3
4.33%		03/25/20²		794,046		841,237
Fannie Mae-Aces, Series 2011-M5, Class X
1.15%		07/25/21²		5,531,525		233,769
Fannie Mae-Aces, Series 2013-M12, Class X1 (IO)
0.00%		10/25/17²		39,602,512		3,218
Fannie Mae-Aces, Series 2016-M13, Class FA
1.23%		11/25/23²		705,000		705,411
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K702, Class X1 (IO)
1.45%		02/25/18²		10,786,918		134,185
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K712, Class X1
1.34%		11/25/19²		6,581,360		197,342
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K714, Class X1
0.70%		10/25/20²		11,344,706		246,064
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP01, Class X (IO)
3.08%		01/25/19²		6,064,532		241,615


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS07, Class X
0.65%	09/25/25²	$	6,000,000	$	279,985
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class A1
3.19%	12/25/19		363,729		372,214
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class AX
1.22%	01/25/20²		3,559,141		101,096
Freddie Mac REMICS, Series 1602, Class SN
10.09%	10/15/23²		14,590		17,208
Freddie Mac REMICS, Series 1673, Class SD
14.52%	02/15/24²		158,307		194,545
Freddie Mac REMICS, Series 1760, Class ZD
1.76%	02/15/24²		340,242		333,887
Freddie Mac REMICS, Series 2642, Class BW (IO)
5.00%	06/15/23		7,002		380
Freddie Mac REMICS, Series 2990, Class ND
15.10%	12/15/34²		115,064		132,053
Freddie Mac REMICS, Series 3242, Class SA (IO)
5.65%	11/15/36²		5,650,799		906,762
Freddie Mac REMICS, Series 3247, Class SI (IO)
0.15%	08/15/36²		22,164,727		141,309
Freddie Mac REMICS, Series 3260, Class AS (IO)
5.68%	01/15/37²		3,502,181		538,564
Freddie Mac REMICS, Series 3289, Class SD (IO)
5.42%	03/15/37²		1,277,762		158,347
Ginnie Mae, Series 2001-31, Class SJ
25.41%	02/20/31²		24,087		39,110
Ginnie Mae, Series 2004-8, Class SE
12.79%	11/26/23²		92,396		109,452
Ginnie Mae, Series 2009-114, Class IO
0.01%	10/16/49²		11,517,678		113,313
Ginnie Mae, Series 2011-77, Class IO
0.62%	04/16/42²		5,773,897		228,317

Issues

Maturity
Date

Principal
Amount

Value

MORTGAGE-BACKED (continued)

U.S. Agency Mortgage-Backed (continued)

Ginnie Mae, Series 2014-125, Class IO

0.99%

11/16/54²

2,573,197

186,189

10,608,500

Total Mortgage-Backed

(Cost $68,379,524)

69,460,834

MUNICIPAL BONDS — 0.28%*

California — 0.28%

California Health Facilities Financing Authority, Saint Joseph Health, Series A

3.00%

10/01/41

450,000

369,207

Total Municipal Bonds

(Cost $361,276)

Total Bonds – 88.61%

(Cost $114,550,898)

115,617,286

Issues

Shares

Value

COMMON STOCK — 0.56%

Energy — 0.02%

Mach Gen LLC, Escrow Holding^4,6

11,293

29,175

Real Estate Investment Trust (REIT) — 0.54%

AGNC Investment Corp.

38,899

705,239

Total Common Stock

(Cost $930,689)

734,414

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 10.03%

Foreign Government Obligations — 7.23%

Japan Treasury Discount Bill, Series 639 (Japan)

0.00%⁷

01/23/17⁵

100,000,000

857,488

Japan Treasury Discount Bill, Series 647 (Japan)

0.00%⁷

02/27/17⁵

200,000,000

1,715,497

Japan Treasury Discount Bill, Series 649 (Japan)

0.00%⁷

03/13/17⁵

600,000,000

5,147,494

Japan Treasury Discount Bill, Series 652 (Japan)

0.00%⁷

03/27/17⁵

200,000,000

1,716,128

9,436,607


Issues	Maturity Date		Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds — 0.08%
Morgan Stanley Institutional Liquidity Fund
0.44%⁸				101,000	$	101,000

U.S. Treasury Bills — 2.72%
U.S. Treasury Bills
0.44%⁷		02/23/17	$	3,500,000		3,497,690
0.48%⁷		04/06/17⁹		45,000		44,939


						3,542,629


Total Short-Term Investments
(Cost $13,371,541)						13,080,236


Total Investments – 99.20%
(Cost $128,853,128)¹						129,431,936


Cash and Other Assets, Less
Liabilities – 0.80%						1,041,923


Net Assets – 100.00%					$	130,473,859


Currency Purchased	Currency Sold		Unrealized Appreciation/ (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
Forward currency contract to sell Japanese Yen on 01/10/17at 116.56 Counterparty: Bank of America
USD $ 120,503		JPY —		$120,503
Forward currency contract to sell Japanese Yen on 01/23/17 at 116.47 Counterparty: Bank of America
USD $ 964,948		JPY 100,000,000		106,380
Forward currency contract to sell Japanese Yen on 02/27/17 at 116.29 Counterparty: JPMorgan Securities LLC
USD $1,838,852		JPY 200,000,000		119,047
Forward currency contract to sell Japanese Yen on 03/13/17 at 116.20 Counterparty: Bank of America
USD $5,265,333		JPY 600,000,000		102,024
Forward currency contract to sell Japanese Yen on 03/27/17 at 116.12 Counterparty: Bank of America
USD $1,699,892		JPY 200,000,000		(22,535	)
Net unrealized appreciation				$425,419


Contracts		Unrealized Appreciation
FUTURES CONTRACTS: SHORT POSITIONS
13	U.S. Treasury Ten Year Note
	Expiration March 2017		$15,192
2	U.S. Treasury Ultra Bond
	Expiration March 2017		5,152
	Net unrealized appreciation		$20,344

Notes:

¹	Cost for federal income tax purposes is $ 127,826,278 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	6,186,756
Gross unrealized (depreciation)		(4,581,098	)

Net unrealized appreciation	$	1,605,658

²	Floating rate security. The rate disclosed was in effect at December 31, 2016.

³	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁴	Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $1,953,943, which is 1.50% of total net assets.

⁵	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁶	Non-income producing security.

⁷	Represents annualized yield at date of purchase.

⁸	Represents the current yield as of December 31, 2016.

⁹	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $44,939.

^†	Fair valued security. The aggregate value of fair valued securities is $928,256, which is 0.71% of total net assets, which have not been valued utilizing an independent quote

and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements.

*	Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date.

(CLO): Collateralized Loan Obligation

(GMTN): Global medium-term note

(IO): Interest only

(JPY): Japanese Yen

(MTN): Medium-term note

(STEP): Step coupon bond

(USD): U.S. dollar


Issues	Maturity Date			Principal Amount		Value
BONDS – 101.54%
ASSET-BACKED SECURITIES — 6.01%**
A Voce CLO Ltd. (Cayman Islands)
2.34%	07/15/26	^2,3,4	$	12,000	$	11,980
Academic Loan Funding Trust, Series 2012-1A, Class A2
1.86%	12/27/44	^3,4		13,850,000		13,354,081
Access Group, Inc., Series 2001, Class 2A1
1.29%	05/25/29	³		1,939,808		1,866,388
American Money Management Corp., Series 2013-13A, Class A1L (Cayman Islands)
2.33%	01/26/26	^2,3,4		500,000		500,049
American Money Management Corp., Series 2015-16A, Class A1 (Cayman Islands)
2.38%	04/14/27	^2,3,4		80,380,000		80,562,221
ARES XXVI CLO Ltd., Series 2013-1A, Class A (Cayman Islands)
1.98%	04/15/25	^2,3,4		500,000		499,571
Avery Point CLO Ltd., Series 2014-1A, Class A (Cayman Islands)
2.40%	04/25/26	^2,3,4		500,000		500,048
Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda)
0.84%	11/14/33	^2,3,4		228,041		214,074
Babson CLO Ltd., Series 2013-IA, Class A (Cayman Islands)
1.98%	04/20/25	^2,3,4		1,000,000		999,445
Babson CLO Ltd., Series 2014-3A, Class A (Cayman Islands)
2.33%	01/15/26	^2,3,4		26,250,000		26,256,160
Babson CLO Ltd., Series 2015-IA, Class A (Cayman Islands)
2.31%	04/20/27	^2,3,4		74,000,000		74,133,422
Ballyrock CLO LLC, Series 2014-1, Class A1 (Cayman Islands)
2.36%	10/20/26	^2,3,4		50,675,000		50,748,276
Bayview Commercial Asset Trust, Series 2004-3, Class A1
1.13%	01/25/35	^3,4		2,655,712		2,451,974
Bayview Commercial Asset Trust, Series 2005-1A, Class A1
1.06%	04/25/35	^3,4		5,466,002		5,027,750
Bayview Commercial Asset Trust, Series 2006-4A, Class A1
0.99%	12/25/36	^3,4		182,768		158,957
Bayview Commercial Asset Trust, Series 2007-1, Class A1
0.98%	03/25/37	^3,4		6,255,039		5,446,293
Bayview Commercial Asset Trust, Series 2007-3, Class A1
1.00%	07/25/37	^3,4		1,597,560		1,390,593
Betony CLO Ltd. (Cayman Islands)
2.26%	04/15/27	^2,3,4		30,000,000		30,030,990


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
BlueMountain CLO Ltd., Series 2014-1A, Class A (Cayman Islands)
2.41%	04/30/26	^2,3,4	$	500,000	$	500,163
Brazos Higher Education Authority, Inc., Series 2005-1, Class 1A4
1.15%	03/26/29	³		10,000,000		9,720,700
Brazos Higher Education Authority, Inc., Series 2010-1, Class A2
2.12%	02/25/35	³		13,390,000		13,236,497
Brazos Higher Education Authority, Inc., Series 2011-1, Class A3
1.97%	11/25/33	³		16,050,000		15,978,409
Brazos Higher Education Authority, Inc., Series 2011-2, Class A2
1.73%	07/25/29	³		2,167,066		2,169,770
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3
1.88%	10/27/36	³		24,361,000		23,430,364
Brazos Higher Education Authority, Inc., Series 2012-1, Class A1
1.46%	12/26/35	³		72,357		71,005
Cent CLO 21 Ltd., Series 2104-21A, Class A1B (Cayman Islands)
2.28%	07/27/26	^2,3,4		500,000		499,264
Chase Issuance Trust, Series 2012-A10, Class A10
0.96%	12/16/19	³		64,515,000		64,596,392
CIFC Funding Ltd., Series 2012-2A, Class A1R (Cayman Islands)
2.29%	12/05/24	^2,3,4		500,000		500,110
CIT Education Loan Trust, Series 2007-1, Class A
1.09%	03/25/42	^3,4		27,451,662		25,652,291
CIT Education Loan Trust, Series 2007-1, Class B
1.30%	06/25/42	^3,4		19,232,033		16,240,446
Citibank Credit Card Issuance Trust, Series 2008-A2, Class A2
1.91%	01/23/20	³		13,595,000		13,747,209
Clear Creek CLO Ltd., Series 2015-1A, Class A (Cayman Islands)
2.33%	04/20/27	^2,3,4		26,550,000		26,513,202
College Loan Corp. Trust, Series 2005-2, Class B
1.37%	01/15/37	³		4,202,023		3,549,854
Dryden 33 Senior Loan Fund (Cayman Islands)
2.32%	10/15/28	^2,3,4		4,000,000		4,009,481
Dryden 37 Senior Loan Fund, Series 2015-37A, Class A (Cayman Islands)
2.38%	04/15/27	^2,3,4		43,810,000		43,919,087
Dryden XXV Senior Loan Fund (Cayman Islands)
2.05%	01/15/25	^2,3,4		18,000,000		18,001,195


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Eaton Vance CLO Ltd., Series 2014-1A, Class A (Cayman Islands)
2.33%	07/15/26	^2,3,4	$	41,055,000	$	41,142,693
Education Loan Asset-Backed Trust, Series 2013-1, Class A1
1.56%	06/25/26	^3,4		9,622,254		9,533,730
Education Loan Asset-Backed Trust, Series 2013-1, Class A2
1.56%	04/26/32	^3,4		12,740,000		12,193,303
Educational Funding of the South, Inc., Series 2011-1, Class A2
1.53%	04/25/35	³		39,758		39,244
Educational Funding of the South, Inc., Series 2012-1, Class A
1.81%	03/25/36	³		22,631,485		22,351,301
EFS Volunteer No. 2 LLC, Series 2012-1, Class A2
2.11%	03/25/36	^3,4		16,085,000		15,930,447
Flagship CLO VIII Ltd., Series 2014-8A, Class A (Cayman Islands)
2.44%	01/16/26	^2,3,4		35,130,000		35,150,973
GCO Education Loan Funding Trust, Series 2006-1, Class A11L
1.16%	05/25/36	³		25,000,000		22,026,534
GE Business Loan Trust, Series 2005-1A, Class A3
0.95%	06/15/33	^3,4		4,042,142		3,723,352
GE Business Loan Trust, Series 2005-2A, Class A
0.94%	11/15/33	^3,4		8,693,370		8,314,081
Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados)
3.09%	07/17/29	^2,4		67,525,792		63,536,179
Goal Capital Funding Trust, Series 2005-2, Class A3
1.10%	05/28/30	³		15,928,449		15,742,247
Goal Capital Funding Trust, Series 2005-2, Class B
1.46%	11/25/44	³		12,241,356		10,604,378
Goal Capital Funding Trust, Series 2006-1, Class B
1.38%	08/25/42	³		3,463,399		3,048,358
Goal Structured Solutions Trust, Series 2015-1, Class A
1.41%	09/25/41	^3,4		129,613,414		122,104,150
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A (Cayman Islands)
2.03%	04/25/25	^2,3,4		6,560,000		6,558,133
Honda Auto Receivables Owner Trust, Series 2014-1, Class A3
0.67%	11/21/17			3,230,246		3,229,414
Honda Auto Receivables Owner Trust, Series 2015-4, Class A2
0.82%	07/23/18			69,925,852		69,877,194


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
J.G. Wentworth XXX LLC, Series 2013-3A, Class A
4.08%	01/17/73	⁴	$	941,042	$	947,496
J.G. Wentworth XXXII LLC, Series 2014-2A, Class A
3.61%	01/17/73	⁴		55,526,173		52,844,608
Limerock CLO II Ltd., Series 2014-2A, Class A (Cayman Islands)
2.38%	04/18/26	^2,3,4		12,500		12,512
Limerock CLO III Ltd., Series 2014-3A, Class A1 (Cayman Islands)
2.41%	10/20/26	^2,3,4		90,000,000		90,003,087
Magnetite IX CLO Ltd., Series 2014-9A, Class A1 (Cayman Islands)
2.30%	07/25/26	^2,3,4		12,000		12,004
Magnetite XI CLO Ltd., Series 2014-11A, Class A1 (Cayman Islands)
2.33%	01/18/27	^2,3,4		35,305,000		35,305,775
Magnetite XII CLO Ltd., Series 2015-12A, Class AR (Cayman Islands)
2.26%	04/15/27	^2,3,4		22,470,000		22,471,523
Navient Student Loan Trust, Series 2014-1, Class A2
1.07%	03/27/23	³		2,477,137		2,476,639
Navient Student Loan Trust, Series 2014-1, Class A3
1.27%	06/25/31	³		1,175,000		1,140,672
Navient Student Loan Trust, Series 2014-2, Class A
1.40%	03/25/83	³		89,956,986		87,252,794
Navient Student Loan Trust, Series 2014-3, Class A
1.38%	03/25/83	³		93,225,895		90,397,366
Navient Student Loan Trust, Series 2014-4, Class A
1.38%	03/25/83	³		144,295,756		139,949,669
Navient Student Loan Trust, Series 2014-5, Class A
1.38%	03/25/83	³		118,018,953		113,287,945
Navient Student Loan Trust, Series 2014-6, Class A
1.37%	03/25/83	³		117,626,388		113,334,378
Navient Student Loan Trust, Series 2014-7, Class A
1.37%	03/25/83	³		120,378,427		115,963,638
Navient Student Loan Trust, Series 2015-1, Class A2
1.36%	04/25/40	³		199,400,000		191,243,074
Navient Student Loan Trust, Series 2015-2, Class A1
1.04%	11/25/24	³		11,764,707		11,761,333
Navient Student Loan Trust, Series 2015-2, Class A3
1.33%	11/26/40	³		98,255,000		97,094,441


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Navient Student Loan Trust, Series 2016-1A, Class A
1.46%	02/25/70	^3,4	$	44,577,930	$	43,462,341
Nelnet Education Loan Funding, Inc., Series 2004-1A, Class B1
1.60%	02/25/36	^3,4		10,125,000		9,400,231
Nelnet Student Loan Trust, Series 2006-1, Class A6
1.37%	08/23/36	^3,4		12,500,000		11,614,247
Nelnet Student Loan Trust, Series 2007-2A, Class A3L
1.35%	03/25/26	^3,4		54,913,816		53,245,568
Nelnet Student Loan Trust, Series 2008-3, Class A4
2.57%	11/25/24	³		2,450,255		2,468,391
Nelnet Student Loan Trust, Series 2014-2A, Class A1
1.04%	06/25/21	^3,4		1,077,638		1,076,208
Nelnet Student Loan Trust, Series 2014-3A, Class A
1.34%	06/25/41	^3,4		35,811,408		34,868,343
Nelnet Student Loan Trust, Series 2014-5A, Class A
1.31%	07/25/41	^3,4		108,822,552		107,460,758
Nelnet Student Loan Trust, Series 2015-1A, Class A
1.35%	04/25/41	^3,4		198,249,455		192,872,712
Nelnet Student Loan Trust, Series 2015-2A, Class A2
1.36%	09/25/42	^3,4		266,310,872		261,889,872
Nelnet Student Loan Trust, Series 2015-3A, Class A2
1.36%	02/26/46	^3,4		9,265,000		9,043,642
Nelnet Student Loan Trust, Series 2015-3A, Class A3
1.66%	06/25/49	^3,4		13,095,000		12,233,262
Nissan Auto Receivables Owner Trust, Series 2015-C, Class A2A
0.87%	11/15/18			20,404,357		20,389,073
Nissan Auto Receivables Owner Trust, Series 2016-B, Class A2A
1.05%	04/15/19			98,355,000		98,240,018
North Carolina State Education Authority, Series 2011-1, Class A3
1.78%	10/25/41	³		24,545,000		24,085,702
North Carolina State Education Authority, Series 2011-2, Class A2
1.68%	07/25/25	³		7,230		7,203
Northstar Education Finance, Inc., Series 2007-1, Class A1
0.99%	04/28/30	³		10,000		9,703
Northstar Education Finance, Inc., Series 2007-1, Class A2
1.64%	01/29/46	³		42,780,000		39,829,664


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Northwoods Capital Corp., Series 2014-11A, Class A (Cayman Islands)
2.48%	04/15/25	^2,3,4	$	500,000	$	500,232
Octagon Investment Partners XI Ltd., Series 2007-1X, Class A1B(Cayman Islands)
1.19%	08/25/21	^2,3		34,982		34,942
Octagon Investment Partners XIX Ltd., Series 2014-1A, Class A (Cayman Islands)
2.40%	04/15/26	^2,3,4		500,000		500,595
Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A3
1.80%	10/01/37	³		16,955,000		16,746,209
Panthera Aviation, Series 2013-1
10.00%	01/25/22	^3,4,5,†		13,004,312		8,192,716
Panthera Aviation, Series 2013-2
10.00%	03/20/24	^3,4,5,†		15,944,679		9,726,254
PHEAA Student Loan Trust, Series 2015-1A, Class A
1.36%	10/25/41	^3,4		227,162,302		219,396,123
Scholar Funding Trust, Series 2012-B, Class A2
1.86%	03/28/46	^3,4		38,825,000		37,932,157
SLC Student Loan Trust I, Series 2002-2, Class B2
2.14%	07/01/42	^3,4		24,150,000		18,816,183
SLC Student Loan Trust, Series 2005-3, Class B
1.21%	06/15/40	³		475,229		401,148
SLC Student Loan Trust, Series 2006-1, Class A6
1.12%	12/15/38	³		9,495,000		8,576,347
SLC Student Loan Trust, Series 2006-1, Class B
1.17%	03/15/39	³		127,177		106,573
SLC Student Loan Trust, Series 2006-2, Class A6
1.12%	09/15/39	³		16,000,000		14,105,762
SLC Student Loan Trust, Series 2008-1, Class A4A
2.56%	12/15/32	³		23,586,860		23,971,202
SLM Student Loan Trust, Series 2003-11, Class A5
1.01%	12/15/22	^3,4		20,345,745		20,288,932
SLM Student Loan Trust, Series 2003-11, Class A6
1.71%	12/15/25	^3,4		16,265,000		15,923,233
SLM Student Loan Trust, Series 2003-4, Class A5E
1.71%	03/15/33	^3,4		7,873,565		7,536,115
SLM Student Loan Trust, Series 2004-1, Class A4
1.14%	10/27/25	³		2,810,000		2,767,547


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2004-10, Class A5A
1.28%	04/25/23	^3,4	$	113,865	$	113,850
SLM Student Loan Trust, Series 2004-10, Class A5B
1.28%	04/25/23	^3,4		59,280		59,282
SLM Student Loan Trust, Series 2004-5A, Class A5
1.48%	10/25/23	^3,4		4,901,718		4,905,904
SLM Student Loan Trust, Series 2004-8, Class B
1.34%	01/25/40	³		1,594,489		1,423,090
SLM Student Loan Trust, Series 2004-8A, Class A5
1.38%	04/25/24	^3,4		75,029,288		75,190,541
SLM Student Loan Trust, Series 2005-4, Class B
1.06%	07/25/40	³		11,351,327		9,797,024
SLM Student Loan Trust, Series 2005-5, Class A5
1.63%	10/25/40	³		60,000		55,680
SLM Student Loan Trust, Series 2005-6, Class B
1.17%	01/25/44	³		12,612,029		11,181,505
SLM Student Loan Trust, Series 2005-8, Class A4
1.63%	01/25/28	³		4,856,045		4,860,690
SLM Student Loan Trust, Series 2006-10, Class B
1.10%	03/25/44	³		15,377,213		13,044,239
SLM Student Loan Trust, Series 2006-2, Class A6
1.05%	01/25/41	³		42,655,000		40,107,302
SLM Student Loan Trust, Series 2006-5, Class A5
0.99%	01/25/27	³		97,860,570		97,181,633
SLM Student Loan Trust, Series 2006-7, Class A5
0.98%	01/27/25	³		21,454,110		21,301,543
SLM Student Loan Trust, Series 2006-8, Class A6
1.04%	01/25/41	³		32,855,000		29,519,698
SLM Student Loan Trust, Series 2006-9, Class A5
0.98%	01/26/26	³		3,754,491		3,689,117
SLM Student Loan Trust, Series 2007-1, Class A5
0.97%	01/26/26	³		20,609,165		20,420,169
SLM Student Loan Trust, Series 2007-1, Class B
1.10%	01/27/42	³		6,298,493		5,350,677
SLM Student Loan Trust, Series 2007-3, Class A4
0.94%	01/25/22	³		3,160,000		2,977,270


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2007-6, Class A4
1.26%	10/25/24	³	$	40,379,680	$	39,747,486
SLM Student Loan Trust, Series 2007-6, Class B
1.73%	04/27/43	³		5,876,434		5,185,528
SLM Student Loan Trust, Series 2008-2, Class B
2.08%	01/25/29	³		38,874,000		33,995,826
SLM Student Loan Trust, Series 2008-3, Class A3
1.88%	10/25/21	³		31,729		31,265
SLM Student Loan Trust, Series 2008-3, Class B
2.08%	04/25/29	³		1,750,000		1,557,587
SLM Student Loan Trust, Series 2008-4, Class A4
2.53%	07/25/22	³		3,981,343		4,007,649
SLM Student Loan Trust, Series 2008-4, Class B
2.73%	04/25/29	³		4,384,000		4,068,222
SLM Student Loan Trust, Series 2008-5, Class A4
2.58%	07/25/23	³		28,122,844		28,303,696
SLM Student Loan Trust, Series 2008-5, Class B
2.73%	07/25/29	³		32,444,000		30,326,507
SLM Student Loan Trust, Series 2008-6, Class B
2.73%	07/25/29	³		31,644,000		29,499,651
SLM Student Loan Trust, Series 2008-7, Class B
2.73%	07/25/29	³		17,346,000		16,177,181
SLM Student Loan Trust, Series 2008-8, Class A4
2.38%	04/25/23	³		6,445,000		6,453,666
SLM Student Loan Trust, Series 2008-8, Class B
3.13%	10/25/29	³		545,000		524,062
SLM Student Loan Trust, Series 2008-9, Class A
2.38%	04/25/23	³		193,117,795		193,550,649
SLM Student Loan Trust, Series 2008-9, Class B
3.13%	10/25/29	³		31,675,000		31,021,795
SLM Student Loan Trust, Series 2009-3, Class A
1.51%	01/25/45	^3,4		251,257,443		241,266,203
SLM Student Loan Trust, Series 2012-1, Class A2
1.21%	11/25/20	³		6,026,788		6,026,619
SLM Student Loan Trust, Series 2012-2, Class A
1.46%	01/25/29	³		19,887,531		19,458,573


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2012-3, Class A
1.41%	12/26/25	³	$	44,373,637	$	43,246,875
SLM Student Loan Trust, Series 2012-6, Class A2
1.04%	09/25/19	³		4,406,549		4,405,488
SLM Student Loan Trust, Series 2012-7, Class A2
1.04%	09/25/19	³		2,828,363		2,824,133
SLM Student Loan Trust, Series 2013-3, Class A2
1.06%	05/26/20	³		5,256,875		5,249,617
SLM Student Loan Trust, Series 2013-6, Class A3
1.41%	06/26/28	³		30,335,000		30,118,253
SLM Student Loan Trust, Series 2014-2, Class A2
1.11%	10/25/21	³		18,271,586		18,202,214
South Carolina Student Loan Corp., Floating Rate Notes, Series 2006-1, Class A2
1.05%	12/01/22	³		7,076,000		7,045,529
Spirit Master Funding LLC, Series 2014-1A, Class A1
5.05%	07/20/40	⁴		10,742,839		10,939,222
Spirit Master Funding LLC, Series 2014-2A, Class A
5.76%	03/20/42	⁴		7,889,371		8,234,531
Vermont Student Assistance Corp., Series 2012-1, Class A
1.29%	07/28/34	³		6,352,860		6,193,592
Voya CLO Ltd., Series 2015-1A, Class A1 (Cayman Islands)
2.36%	04/18/27	^2,3,4		15,610,000		15,611,451
Wachovia Student Loan Trust, Series 2006-1, Class A6
1.05%	04/25/40	^3,4		20,000		17,337

Total Asset-Backed Securities
(Cost $4,817,390,540)						4,719,281,205


BANK LOANS — 0.22%*
Communications — 0.02%
Nexstar Broadcasting, Inc., Bridge Term Loan
8.50%	09/26/17	^3,5		12,384,068		12,384,068


Consumer Discretionary — 0.04%
Reynolds Group Holdings, Inc., Term Loan, 1st Lien
LIBOR plus 3.25%	02/05/23	³		27,132,000		27,529,755


Electric — 0.02%
Tex Operations Co. LLC, Term Loan B Exit, 1st Lien
LIBOR plus 4.00%	08/04/23	³		13,692,214		13,877,333


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Electric (continued)
Tex Operations Co. LLC, Term Loan C Exit, 1st Lien
LIBOR plus 4.00%	08/04/23	³	$	3,122,786	$	3,165,006


						17,042,339

Energy — 0.00%
Drillships Financing Holding, Term Loan B1, 1st Lien
LIBOR plus 5.00%	03/31/21	³		2,426,757		1,584,673

Finance — 0.06%
Delos Finance SARL, Term Loan B, 1st Lien
LIBOR plus 2.75%	02/27/21	³		49,009,581		49,429,593

Health Care — 0.01%
CHS/Community Health Systems, Inc., Term Loan G, 1st Lien
LIBOR plus 2.75%	12/31/19	³		5,658,333		5,504,512

Industrials — 0.06%
Johnson Controls International plc,
Senior Term Loan
LIBOR plus 1.50%	09/10/19	^3,5		9,535,000		9,505,203
TransDigm, Inc., Term Loan E, 1st Lien
LIBOR plus 3.00%	05/14/22	³		4,358,902		4,403,232
TransDigm, Inc., Term Loan F, 1st Lien
LIBOR plus 3.00%	06/09/23	³		33,721,722		34,113,737


						48,022,172

Services — 0.01%
AABS Ltd., Term Loan, Series 2013-1, Class A (STEP) (Bermuda)
4.88%	01/15/38	^2,3,†		11,211,112		11,266,970

Total Bank Loans
(Cost $171,649,580)						172,764,082


CORPORATES — 24.11%*
Automotive — 0.21%
Ford Motor Credit Co. LLC
1.68%	09/08/17			12,002,000		11,993,666
6.63%	08/15/17			69,122,000		71,235,405
General Motors Co.
4.88%	10/02/23			25,149,000		26,400,817
5.00%	04/01/35			4,825,000		4,718,855
5.20%	04/01/45			4,775,000		4,619,373
6.60%	04/01/36			15,025,000		17,112,631
General Motors Financial Co., Inc.
2.40%	05/09/19			18,960,000		18,920,487
3.20%	07/06/21			8,595,000		8,502,346


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Automotive (continued)
Tenneco, Inc.
5.00%	07/15/26		$	2,093,000	$	2,058,989


						165,562,569

Banking — 4.76%
Bank of America Corp.
2.00%	01/11/18			50,000		50,128
3.88%	03/22/17			1,250,000		1,257,200
4.10%	07/24/23			3,233,000		3,382,041
5.70%	01/24/22			6,265,000		7,044,892
5.75%	12/01/17			197,750,000		204,884,622
6.00%	09/01/17			41,415,000		42,592,221
Bank of America Corp. (GMTN)
3.30%	01/11/23			35,875,000		36,043,613
3.50%	04/19/26			10,674,000		10,553,574
6.40%	08/28/17			29,704,000		30,629,700
Bank of America Corp. (MTN)
1.58%	12/01/26	³		14,400,000		12,798,778
1.70%	08/25/17			2,500,000		2,504,191
3.88%	08/01/25			81,405,000		82,925,401
4.00%	04/01/24			27,435,000		28,339,120
4.13%	01/22/24			86,667,000		90,206,220
5.00%	05/13/21			63,235,000		68,933,106
5.00%	01/21/44			3,270,000		3,566,741
5.65%	05/01/18			114,723,000		120,358,429
6.88%	04/25/18			88,209,000		93,726,297
8.63%	05/02/17	³		5,800,000		5,633,540
8.95%	05/18/17	³		5,990,000		5,795,325
9.52%	06/06/17	³		12,113,000		11,719,327
Bank of America N.A. (BKNT)
1.26%	06/15/17	³		51,120,000		51,095,462
5.30%	03/15/17			201,033,000		202,600,052
6.10%	06/15/17			97,869,000		99,913,170
Bank of New York Mellon Corp. (MTN) (The)
1.35%	03/06/18			750,000		748,572
Bank One Corp.
8.00%	04/29/27			2,500,000		3,271,933
Bank One Corp. (STEP)
8.53%	03/01/19			1,810,000		2,035,552
Capital One Bank USA N.A. (BKNT)
2.15%	11/21/18			11,602,000		11,633,336
Capital One Financial Corp.
2.45%	04/24/19			300,000		302,534
3.20%	02/05/25			700,000		681,871
Credit Suisse/New York (GMTN) (Switzerland)
1.58%	01/29/18	^2,3		15,200,000		15,235,348
Discover Bank
2.00%	02/21/18			14,255,000		14,256,720
2.60%	11/13/18			50,370,000		50,808,703


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
3.45%	07/27/26		$	2,465,000	$	2,391,231
4.20%	08/08/23			10,900,000		11,372,286
7.00%	04/15/20			9,000,000		9,976,464
Discover Bank (BKNT)
3.10%	06/04/20			60,207,000		61,011,456
3.20%	08/09/21			6,970,000		7,027,105
8.70%	11/18/19			3,676,000		4,190,640
HBOS PLC (GMTN) (United Kingdom)
6.75%	05/21/18	^2,4		115,294,000		121,564,149
JPMorgan Chase & Co.
1.80%	01/25/18			8,600,000		8,602,377
1.84%	01/23/20	³		15,000,000		15,172,005
2.55%	10/29/20			92,420,000		92,678,221
2.70%	05/18/23			39,800,000		38,867,466
2.75%	06/23/20			33,300,000		33,617,382
2.95%	10/01/26			4,570,000		4,372,517
3.20%	01/25/23			9,750,000		9,861,764
3.63%	05/13/24			4,750,000		4,836,298
3.90%	07/15/25			61,269,000		63,215,087
4.25%	10/15/20			10,525,000		11,138,944
4.25%	10/01/27			12,780,000		13,158,786
4.50%	01/24/22			3,100,000		3,341,476
4.95%	03/25/20			20,000,000		21,558,820
5.60%	07/15/41			4,942,000		5,968,772
6.00%	01/15/18			121,683,000		126,949,805
6.30%	04/23/19			170,000		185,615
JPMorgan Chase Bank N.A. (BKNT)
6.00%	07/05/17			1,678,000		1,716,094
6.00%	10/01/17			294,453,000		303,904,058
Lloyds Banking Group PLC (United Kingdom)
4.58%	12/10/25	²		2,100,000		2,119,182
Macquarie Bank Ltd. (Australia)
1.52%	10/27/17	^2,3,4		89,760,000		89,870,315
1.60%	10/27/17	^2,4		20,000,000		20,001,120
Royal Bank of Scotland PLC (United Kingdom)
6.00%	12/19/23	²		5,200,000		5,408,915
6.40%	10/21/19	²		28,875,000		31,459,601
Santander UK Group Holdings PLC (United Kingdom)
2.88%	10/16/20	²		79,390,000		78,766,908
UBS AG/Stamford CT (BKNT) (GMTN) (Switzerland)
1.80%	03/26/18	²		62,275,000		62,297,357
UBS AG/Stamford CT (GMTN) (Switzerland)
1.70%	03/26/18	^2,3		80,250,000		80,539,141
UBS AG/Stamford CT (Switzerland)
1.38%	06/01/17	²		40,540,000		40,555,486
1.49%	06/01/17	^2,3		33,900,000		33,945,426


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Wachovia Corp. (MTN)
5.75%	02/01/18		$	20,371,000	$	21,224,432
Wells Fargo & Co.
2.10%	07/26/21			104,610,000		101,836,057
2.15%	01/15/19			15,135,000		15,250,568
2.50%	03/04/21			173,620,000		171,446,286
3.00%	04/22/26			115,105,000		109,453,172
3.00%	10/23/26			95,246,000		90,826,014
5.63%	12/11/17			95,344,000		98,887,507
Wells Fargo & Co. (GMTN)
1.50%	01/16/18			24,445,000		24,419,431
2.60%	07/22/20			26,446,000		26,589,533
4.90%	11/17/45			690,000		710,369
Wells Fargo & Co. (MTN)
2.55%	12/07/20			14,221,000		14,198,534
3.30%	09/09/24			5,895,000		5,854,613
Wells Fargo Bank N.A. (BKNT) (MTN)
1.65%	01/22/18			96,560,000		96,590,272
Wells Fargo Bank N.A. (MTN)
2.15%	12/06/19			222,065,000		222,071,906

						3,736,528,682

Commercial Services — 0.03%
IHS Markit Ltd. (Bangladesh)
5.00%	11/01/22	^2,4		20,698,000		21,577,665

Communications — 2.06%
21st Century Fox America, Inc.
4.75%	09/15/44			5,800,000		5,752,730
4.95%	10/15/45			8,155,000		8,404,845
5.40%	10/01/43			6,105,000		6,597,814
6.15%	03/01/37			6,730,000		7,857,173
6.15%	02/15/41			7,700,000		9,138,014
Altice Financing SA (Luxembourg)
7.50%	05/15/26	^2,4		4,970,000		5,181,225
Altice U.S. Finance I Corp.
5.38%	07/15/23	⁴		52,123,000		54,273,074
5.50%	05/15/26	⁴		30,294,000		30,899,880
AT&T, Inc.
2.45%	06/30/20			34,000,000		33,791,138
3.40%	05/15/25			97,670,000		94,031,890
3.60%	02/17/23			14,000,000		14,078,785
3.80%	03/15/22			9,029,000		9,250,220
4.13%	02/17/26			112,996,000		114,627,210
4.35%	06/15/45			22,036,000		19,721,737
4.45%	04/01/24			22,195,000		23,171,558
4.50%	05/15/35			40,000,000		38,766,960
4.55%	03/09/49			10,485,000		9,531,760
4.60%	02/15/21			14,804,000		15,671,722
4.75%	05/15/46			42,590,000		40,506,029


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
4.80%	06/15/44		$	40,630,000	$	38,440,218
5.00%	03/01/21			2,000,000		2,153,048
5.50%	02/01/18			18,549,000		19,277,308
CBS Corp.
2.90%	01/15/27			12,745,000		11,847,586
4.00%	01/15/26			4,822,000		4,907,455
CCO Holdings LLC/CCO Holdings Capital Corp.
5.50%	05/01/26	⁴		4,728,000		4,834,380
5.75%	02/15/26	⁴		5,385,000		5,587,207
5.88%	04/01/24	⁴		363,000		388,410
Cequel Communications Holdings I LLC/Cequel Capital Corp.
6.38%	09/15/20	⁴		6,739,000		6,974,865
Charter Communications Operating LLC/Charter Communications Operating Capital
4.46%	07/23/22			2,630,000		2,739,442
4.91%	07/23/25			1,460,000		1,538,256
6.38%	10/23/35			43,738,000		49,900,070
6.48%	10/23/45			102,505,000		118,475,279
Comcast Corp.
2.75%	03/01/23			34,775,000		34,577,787
3.60%	03/01/24			600,000		620,800
4.40%	08/15/35			17,230,000		18,058,935
4.60%	08/15/45			7,800,000		8,152,345
Cox Communications, Inc.
3.35%	09/15/26	⁴		15,000,000		14,372,263
CSC Holdings LLC
5.50%	04/15/27	⁴		57,524,000		58,530,670
6.75%	11/15/21			4,216,000		4,542,740
8.63%	02/15/19			8,975,000		9,939,813
DISH DBS Corp.
5.88%	07/15/22			1,846,000		1,949,837
6.75%	06/01/21			11,275,000		12,261,563
Intelsat Jackson Holdings SA (Luxembourg)
5.50%	08/01/23	²		16,584,000		11,257,219
7.25%	04/01/19	²		4,500,000		3,802,500
Level 3 Financing, Inc.
5.25%	03/15/26	⁴		30,446,000		30,179,597
5.63%	02/01/23			866,000		889,815
LIN Television Corp.
5.88%	11/15/22			13,722,000		13,996,440
Neptune Finco Corp.
10.88%	10/15/25	⁴		3,500,000		4,165,000
Nexstar Broadcasting, Inc.
6.13%	02/15/22	⁴		65,000		67,600
Nexstar Escrow Corp.
5.63%	08/01/24	⁴		13,225,000		13,158,875
Numericable-SFR SA (France)
7.38%	05/01/26	^2,4		5,130,000		5,277,487


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Sirius XM Radio, Inc.
4.25%	05/15/20	⁴	$	2,639,000	$	2,681,884
5.75%	08/01/21	⁴		8,000,000		8,347,600
Softbank Group Corp. (Japan)
4.50%	04/15/20	^2,4		1,000,000		1,028,750
Sprint Communications, Inc.
9.00%	11/15/18	⁴		75,007,000		82,788,976
TCI Communications, Inc.
7.13%	02/15/28			3,235,000		4,300,873
Time Warner Cable LLC
4.50%	09/15/42			5,000,000		4,537,423
5.50%	09/01/41			5,000,000		5,100,095
6.55%	05/01/37			5,170,000		5,881,656
Time Warner Entertainment Co. LP
8.38%	03/15/23			1,400,000		1,759,030
Time Warner, Inc.
3.80%	02/15/27			23,740,000		23,665,290
T-Mobile USA, Inc.
6.25%	04/01/21			6,800,000		7,097,500
6.63%	04/28/21			11,942,000		12,494,318
6.73%	04/28/22			78,814,000		82,656,183
Verizon Communications, Inc.
3.85%	11/01/42			15,905,000		13,780,665
4.40%	11/01/34			27,795,000		27,517,245
4.52%	09/15/48			28,562,000		27,501,293
4.60%	04/01/21			1,200,000		1,288,091
4.67%	03/15/55			2,681,000		2,528,572
4.86%	08/21/46			113,635,000		115,585,374
5.05%	03/15/34			8,260,000		8,764,942
5.15%	09/15/23			50,041,000		55,316,422
5.85%	09/15/35			14,080,000		16,129,661
6.25%	04/01/37			2,680,000		3,178,150
Viacom, Inc.
3.45%	10/04/26			36,345,000		33,693,923
Virgin Media Secured Finance PLC (United Kingdom)
5.25%	01/15/26	^2,4		4,089,000		4,053,221
5.50%	08/15/26	^2,4		7,294,000		7,303,118


						1,613,098,829

Consumer Discretionary — 0.50%
Anheuser-Busch InBev Finance, Inc.
3.65%	02/01/26			198,098,000		201,521,926
3.70%	02/01/24			1,250,000		1,294,346
4.70%	02/01/36			59,735,000		63,036,553
Churchill Downs, Inc.
5.38%	12/15/21			13,344,000		13,911,120
DS Services of America, Inc.
10.00%	09/01/21	⁴		32,324,000		35,596,805


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
GLP Capital LP/GLP Financing II, Inc.
5.38%	04/15/26		$	20,628,000	$	21,564,511
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.
5.63%	10/15/21	³		16,907,000		17,466,047
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
4.38%	07/15/21	^3,4		3,800,000		3,895,000
5.75%	10/15/20			25,142,000		26,021,970
Spectrum Brands, Inc.
5.75%	07/15/25			4,301,000		4,473,040


						388,781,318

Consumer Products — 0.01%
Newell Brands, Inc.
3.85%	04/01/23			5,750,000		5,965,403
Scotts Miracle-Gro Co.(The)
5.25%	12/15/26	⁴		3,535,000		3,543,838


						9,509,241

Electric — 1.73%
AEP Transmission Co. LLC
3.10%	12/01/26	⁴		16,140,000		15,929,680
Alabama Power Capital Trust V
4.10%	10/01/42	³		290,000		272,759
American Transmission Systems, Inc.
5.00%	09/01/44	⁴		10,915,000		11,485,646
Appalachian Power Co.
4.45%	06/01/45			17,930,000		18,410,650
Berkshire Hathaway Energy Co.
4.50%	02/01/45			6,225,000		6,483,742
Cleco Corporate Holdings LLC
3.74%	05/01/26	⁴		4,690,000		4,612,895
Commonwealth Edison Co.
3.65%	06/15/46			22,845,000		21,525,473
Dominion Resources, Inc.
1.88%	12/15/18	⁴		27,940,000		27,882,701
Dominion Resources, Inc. (STEP)
4.10%	04/01/21			2,310,000		2,408,624
Duke Energy Carolinas LLC
3.75%	06/01/45			35,725,000		34,094,815
3.88%	03/15/46			3,000,000		2,942,226
4.00%	09/30/42			17,550,000		17,463,171
4.25%	12/15/41			28,843,000		29,573,680
Duke Energy Corp.
1.63%	08/15/17			400,000		400,545
2.65%	09/01/26			13,665,000		12,787,803
Duke Energy Indiana LLC
3.75%	05/15/46			3,225,000		3,041,239
Duke Energy Indiana LLC, Series UUU
4.20%	03/15/42			7,700,000		7,643,459


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Duke Energy Indiana LLC, Series WWW
4.90%	07/15/43		$	7,000,000	$	7,774,263
Duke Energy Progress LLC
3.70%	10/15/46			30,715,000		29,216,200
4.10%	05/15/42			8,915,000		8,885,037
4.15%	12/01/44			10,900,000		10,970,289
4.20%	08/15/45			16,475,000		16,602,933
Duquesne Light Holdings, Inc.
5.90%	12/01/21	⁴		2,000,000		2,239,928
6.25%	08/15/35			42,000		44,889
6.40%	09/15/20	⁴		33,464,000		37,364,125
Dynegy, Inc.
7.38%	11/01/22			1,000,000		960,000
Entergy Corp.
4.00%	07/15/22			13,822,000		14,488,621
5.13%	09/15/20			10,210,000		11,014,630
Entergy Gulf States Louisiana LLC
6.00%	05/01/18			25,905,000		27,324,983
Entergy Texas, Inc.
7.13%	02/01/19			35,000		38,484
Eversource Energy, Series H
3.15%	01/15/25			9,500,000		9,395,994
Exelon Corp.
1.55%	06/09/17			8,735,000		8,734,781
4.45%	04/15/46			16,360,000		16,122,962
FirstEnergy Transmission LLC
4.35%	01/15/25	⁴		25,530,000		26,378,158
5.45%	07/15/44	⁴		63,750,000		67,596,873
Florida Power & Light Co.
3.80%	12/15/42			5,300,000		5,221,769
FPL Energy National Wind Portfolio LLC
6.13%	03/25/19	⁴		14,617		14,690
GenOn Americas Generation LLC
8.50%	10/01/21	⁵		21,301,000		17,999,345
9.13%	05/01/31			10,514,000		8,621,480
Homer City Generation LP (PIK)
8.14%	10/01/19	^5,6,7		13,274,266		5,774,306
8.73%	10/01/26	^5,6,8		54,115,382		23,540,191
Indiana Michigan Power Co., Series K
4.55%	03/15/46			12,600,000		13,129,528
Indianapolis Power & Light Co.
4.70%	09/01/45	⁴		100,000		105,933
IPALCO Enterprises, Inc.
5.00%	05/01/18			7,500,000		7,759,428
ITC Holdings Corp.
3.65%	06/15/24			5,650,000		5,657,496
Jersey Central Power & Light Co.
4.30%	01/15/26	⁴		5,450,000		5,652,418
4.70%	04/01/24	⁴		31,002,000		33,037,436


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
4.80%	06/15/18		$	6,075,000	$	6,281,113
6.40%	05/15/36			8,900,000		10,138,613
Kansas City Power & Light Co.
3.15%	03/15/23			17,740,000		17,631,999
3.65%	08/15/25			15,195,000		15,265,535
6.38%	03/01/18			4,320,000		4,539,940
KCP&L Greater Missouri Operations Co.
8.27%	11/15/21			75,000		87,707
Metropolitan Edison Co.
3.50%	03/15/23	⁴		11,725,000		11,786,298
4.00%	04/15/25	⁴		32,119,000		32,590,655
7.70%	01/15/19			14,000		15,417
MidAmerican Energy Co.
3.50%	10/15/24			13,474,000		13,941,157
4.25%	05/01/46			33,420,000		34,506,685
4.40%	10/15/44			8,875,000		9,450,020
4.80%	09/15/43			15,005,000		16,618,990
Mirant Mid Atlantic Pass-Through Trust, Series C
10.06%	12/30/28	⁵		8,836,850		7,467,139
Nevada Power Co.
5.45%	05/15/41			600,000		705,959
NextEra Energy Capital Holdings, Inc.
1.59%	06/01/17			12,940,000		12,953,859
1.65%	09/01/18			12,248,000		12,214,018
2.30%	04/01/19			7,190,000		7,246,240
NextEra Energy Capital Holdings, Inc.,
Series F
2.06%	09/01/17			24,226,000		24,330,862
Niagara Mohawk Power Corp.
3.51%	10/01/24	⁴		6,000,000		6,122,907
Oncor Electric Delivery Co. LLC
4.10%	06/01/22			16,683,000		17,839,357
5.25%	09/30/40			9,938,000		11,659,002
5.30%	06/01/42			24,358,000		28,675,236
7.00%	09/01/22			25,475,000		31,135,137
PacifiCorp
3.35%	07/01/25			7,200,000		7,314,566
Pennsylvania Electric Co.
4.15%	04/15/25	⁴		25,325,000		25,632,386
5.20%	04/01/20			25,200,000		27,013,984
6.05%	09/01/17			2,760,000		2,836,761
Potomac Electric Power Co.
3.60%	03/15/24			7,123,000		7,380,439
4.15%	03/15/43			42,877,000		43,781,233
Public Service Co. of New Hampshire
6.00%	05/01/18			5,000,000		5,279,315
Public Service Co. of New Mexico
3.85%	08/01/25			10,000,000		10,028,761
5.35%	10/01/21			5,320,000		5,665,682


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
7.95%	05/15/18		$	41,187,000	$	44,727,270
Public Service Electric & Gas Co. (MTN)
3.65%	09/01/42			7,215,000		6,924,603
4.15%	11/01/45			24,175,000		25,040,707
Public Service Electric & Gas Co., Series K
4.05%	05/01/45			15,770,000		15,830,446
Puget Energy, Inc.
6.00%	09/01/21			3,494,000		3,917,078
Southern Co. Gas Capital Corp.
2.45%	10/01/23			11,015,000		10,572,302
Southwestern Electric Power Co.
6.20%	03/15/40			5,710,000		6,877,587
6.45%	01/15/19			28,760,000		31,299,985
Southwestern Electric Power Co., Series J
3.90%	04/01/45			33,886,000		31,702,810
Southwestern Electric Power Co., Series K
2.75%	10/01/26			26,350,000		24,925,703
Tucson Electric Power Co.
3.85%	03/15/23			85,000		84,734
Virginia Electric & Power Co.
5.40%	04/30/18			18,865,000		19,771,323
Virginia Electric & Power Co., Series A
3.15%	01/15/26			3,285,000		3,267,985
Virginia Electric & Power Co., Series B
2.95%	11/15/26			18,625,000		18,143,469
Virginia Electric & Power Co., Series C
4.00%	11/15/46			11,555,000		11,603,421


						1,361,452,673

Energy — 1.36%
Anadarko Petroleum Corp.
4.50%	07/15/44			27,421,000		25,862,198
Boardwalk Pipelines LP
4.95%	12/15/24			81,820,000		84,163,611
5.20%	06/01/18			10,819,000		11,185,834
5.75%	09/15/19			1,090,000		1,177,658
5.95%	06/01/26			23,235,000		25,354,951
BP Capital Markets PLC (United Kingdom)
1.85%	05/05/17	²		500,000		501,053
3.06%	03/17/22	²		11,653,000		11,775,625
3.25%	05/06/22	²		10,000,000		10,218,810
3.51%	03/17/25	²		9,267,000		9,365,281
3.54%	11/04/24	²		20,883,000		21,194,752
Brooklyn Union Gas Co. (The)
3.41%	03/10/26	⁴		23,400,000		23,547,268
4.50%	03/10/46	⁴		24,650,000		25,498,145
Devon Energy Corp.
3.25%	05/15/22			8,100,000		8,097,935
4.75%	05/15/42			11,800,000		11,261,165


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
5.60%	07/15/41		$	3,590,000	$	3,710,003
El Paso LLC (GMTN)
7.80%	08/01/31			3,000,000		3,717,528
Enbridge Energy Partners LP
5.50%	09/15/40			4,700,000		4,713,279
5.88%	10/15/25			23,730,000		26,701,993
7.38%	10/15/45			44,430,000		55,282,650
Energy Transfer Partners LP
3.60%	02/01/23			41,070,000		40,447,173
3.90%	11/01/66	³		62,819,000		49,430,701
4.75%	01/15/26			4,250,000		4,401,695
4.90%	03/15/35			6,490,000		6,128,793
5.15%	03/15/45			44,825,000		43,069,205
5.50%	06/01/27			10,700,000		10,486,000
6.50%	02/01/42			2,000,000		2,177,492
Exxon Mobil Corp.
2.73%	03/01/23			19,007,000		19,052,750
Florida Gas Transmission Co. LLC
7.90%	05/15/19	⁴		19,050,000		21,327,847
Gulfport Energy Corp.
6.38%	05/15/25	⁴		26,095,000		26,491,644
HollyFrontier Corp.
5.88%	04/01/26			20,000,000		20,511,620
KeySpan Gas East Corp.
2.74%	08/15/26	⁴		30,307,000		28,972,654
Kinder Morgan, Inc.
6.95%	06/01/28			7,000,000		7,231,798
NGPL Pipe Co. LLC
7.12%	12/15/17	⁴		17,310,000		18,132,225
Noble Energy, Inc.
5.05%	11/15/44			27,413,000		27,637,595
Panhandle Eastern Pipeline Co. LP
8.13%	06/01/19			2,407,000		2,655,889
Pioneer Natural Resources Co.
3.95%	07/15/22			6,810,000		7,073,976
4.45%	01/15/26			1,749,000		1,862,932
Regency Energy Partners LP/Regency Energy Finance Corp.
4.50%	11/01/23			5,000,000		5,080,800
5.00%	10/01/22			1,722,000		1,819,939
Rockies Express Pipeline LLC
6.00%	01/15/19	⁴		15,106,000		15,974,595
6.85%	07/15/18	⁴		23,896,000		25,225,215
Ruby Pipeline LLC
6.00%	04/01/22	⁴		41,730,000		44,144,081
Shell International Finance BV (Netherlands)
3.25%	05/11/25	²		10,035,000		10,019,064
4.38%	05/11/45	²		21,509,000		21,885,489
4.55%	08/12/43	²		4,075,000		4,236,370


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Spectra Energy Partners LP
4.50%	03/15/45		$	18,866,000	$	18,008,710
TC PipeLines LP
4.38%	03/13/25			36,050,000		36,394,350
4.65%	06/15/21			6,108,000		6,401,770
Tennessee Gas Pipeline Co. LLC
7.63%	04/01/37			40,000		48,493
8.38%	06/15/32			5,224,000		6,523,106
Texas Eastern Transmission LP
2.80%	10/15/22	⁴		35,272,000		34,382,211
Trans-Canada Pipelines Ltd. (Canada)
6.35%	05/15/67	^2,3		85,000		71,188
Williams Cos., Inc. (The)
7.88%	09/01/21			4,538,000		5,207,355
Williams Partners LP
3.35%	08/15/22			10,070,000		9,904,295
3.60%	03/15/22			52,779,000		53,118,897
5.25%	03/15/20			5,910,000		6,319,013
6.30%	04/15/40			54,995,000		58,788,731
Williams Partners LP/ACMP Finance Corp.
4.88%	05/15/23			2,175,000		2,223,525


						1,066,198,925

Entertainment — 0.00%
Carmike Cinemas, Inc.
6.00%	06/15/23	⁴		1,330,000		1,396,500

Finance — 4.27%
Alta Wind Holdings LLC
7.00%	06/30/35	^4,5		11,257,370		12,304,361
American Express Bank FSB (BKNT)
6.00%	09/13/17			8,100,000		8,347,856
American Express Co.
7.00%	03/19/18			47,923,000		50,972,604
Bear Stearns Cos. LLC (The)
4.65%	07/02/18			4,330,000		4,510,670
6.40%	10/02/17			255,549,000		264,764,097
7.25%	02/01/18			148,896,000		157,592,122
CIT Group, Inc.
4.25%	08/15/17			9,633,000		9,789,536
6.63%	04/01/18	⁴		6,632,000		7,005,050
Citigroup Capital III
7.63%	12/01/36			7,438,000		8,707,562
Citigroup, Inc.
1.35%	03/10/17			31,282,000		31,290,603
1.39%	08/14/17	³		5,355,000		5,358,101
1.48%	08/25/36	³		84,199,000		67,087,827
1.49%	03/10/17	³		4,345,000		4,348,120
1.55%	08/14/17			36,333,000		36,363,847
1.63%	11/24/17	³		46,230,000		46,332,816


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
1.70%	04/27/18		$	63,841,000	$	63,720,851
1.75%	05/01/18			46,794,000		46,676,133
1.80%	02/05/18			111,945,000		111,912,312
1.85%	11/24/17			44,000,000		44,092,840
2.15%	07/30/18			19,250,000		19,325,614
2.50%	09/26/18			8,500,000		8,582,493
4.50%	01/14/22			265,000		283,205
5.50%	09/13/25			10,000,000		11,009,280
6.00%	08/15/17			10,750,000		11,046,635
6.13%	11/21/17			31,236,000		32,484,100
6.13%	05/15/18			38,522,000		40,652,401
Countrywide Capital III, Series B
8.05%	06/15/27			3,000,000		3,603,780
Discover Financial Services
3.85%	11/21/22			10,899,000		11,079,509
5.20%	04/27/22			4,515,000		4,869,897
Ford Motor Credit Co. LLC
1.46%	03/27/17			19,898,000		19,902,318
1.72%	12/06/17			12,428,000		12,418,865
1.95%	01/09/18	³		45,075,000		45,214,327
2.15%	01/09/18			12,840,000		12,868,209
2.24%	06/15/18			10,000,000		10,017,525
2.55%	10/05/18			4,370,000		4,397,286
3.00%	06/12/17			27,062,000		27,224,128
3.34%	03/18/21			12,900,000		13,020,080
5.00%	05/15/18			1,948,000		2,022,844
GE Capital International Funding Co. (Ireland)
4.42%	11/15/35	²		117,224,000		123,077,463
General Electric Corp. (GMTN)
3.10%	01/09/23			18,369,000		18,631,805
5.63%	05/01/18			295,000		311,256
6.15%	08/07/37			4,121,000		5,329,269
General Electric Corp. (MTN)
1.26%	05/05/26	³		49,485,000		47,952,509
1.39%	08/15/36	³		13,220,000		11,366,001
4.38%	09/16/20			15,815,000		17,010,685
5.88%	01/14/38			13,571,000		17,115,353
General Electric Corp., Series A (MTN)
6.75%	03/15/32			3,984,000		5,311,437
General Motors Financial Co., Inc.
3.00%	09/25/17			52,050,000		52,504,240
3.10%	01/15/19			44,080,000		44,639,816
4.38%	09/25/21			10,000,000		10,402,000
4.75%	08/15/17			47,107,000		47,983,379
Goldman Sachs Group, Inc. (GMTN) (The)
5.38%	03/15/20			60,000		65,147
7.50%	02/15/19			21,655,000		24,018,189


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Goldman Sachs Group, Inc. (MTN) (The)
1.76%		12/15/17	³	$	19,550,000	$	19,614,886
3.85%		07/08/24			123,639,000		126,175,392
Goldman Sachs Group, Inc. (The)
1.59%		05/22/17	³		19,100,000		19,133,425
2.38%		01/22/18			140,077,000		140,901,913
2.88%		02/25/21			13,750,000		13,820,634
3.75%		02/25/26			2,824,000		2,835,536
4.75%		10/21/45			4,641,000		4,935,567
5.15%		05/22/45			2,700,000		2,853,945
5.25%		07/27/21			13,000,000		14,274,416
5.95%		01/18/18			272,525,000		283,972,685
6.15%		04/01/18			105,549,000		111,062,035
Goldman Sachs Group, Inc., Series D (MTN) (The)
6.00%		06/15/20			9,510,000		10,562,828
International Lease Finance Corp.
7.13%		09/01/18	⁴		114,768,000		123,734,250
KKR Group Finance Co. III LLC
5.13%		06/01/44	⁴		18,980,000		17,958,591
Morgan Stanley
1.74%		01/05/18	³		81,335,000		81,661,072
4.75%		03/22/17			15,372,000		15,488,612
Morgan Stanley (GMTN)
3.70%		10/23/24			2,080,000		2,110,744
3.88%		01/27/26			2,245,000		2,276,895
4.00%		07/23/25			17,700,000		18,129,667
5.45%		01/09/17			24,765,000		24,776,825
5.50%		07/24/20			51,988,000		56,983,943
6.63%		04/01/18			151,575,000		160,342,856
7.30%		05/13/19			100,122,000		111,624,916
Morgan Stanley (MTN)
5.55%		04/27/17			2,390,000		2,421,820
5.63%		09/23/19			23,511,000		25,496,686
5.95%		12/28/17			91,000,000		94,738,189
6.25%		08/28/17			43,000,000		44,316,897
Morgan Stanley, Series F
3.88%		04/29/24			6,367,000		6,540,176
Pipeline Funding Co. LLC
7.50%		01/15/30	⁴		28,618,920		34,432,782
Protective Life Global Funding
2.70%		11/25/20	⁴		32,195,000		32,280,478
Raymond James Financial, Inc.
4.95%		07/15/46			7,090,000		6,725,936
8.60%		08/15/19			8,453,000		9,703,283
SL Green Realty Corp.
5.00%		08/15/18			32,299,000		33,404,966


							3,352,211,199


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food — 0.35%
Kraft Heinz Foods Co.
2.25%		06/05/17		$	5,775,000	$	5,790,107
3.00%		06/01/26			36,576,000		34,408,250
3.95%		07/15/25			15,614,000		15,845,306
4.38%		06/01/46			96,228,000		90,638,260
5.20%		07/15/45			26,987,000		28,295,775
6.13%		08/23/18			4,550,000		4,843,204
Lamb Weston Holdings, Inc.
4.63%		11/01/24	⁴		7,978,000		8,017,890
4.88%		11/01/26	⁴		7,532,000		7,484,925
Mondelez International Holdings Netherlands BV (Netherlands)
1.63%		10/28/19	^2,4		69,630,000		68,324,229
TreeHouse Foods, Inc.
6.00%		02/15/24	⁴		8,956,000		9,448,580


							273,096,526

Health Care — 3.91%
Abbott Laboratories
2.35%		11/22/19			35,000,000		35,065,555
2.90%		11/30/21			16,530,000		16,505,354
3.75%		11/30/26			138,308,000		137,663,001
AbbVie, Inc.
1.80%		05/14/18			114,283,000		114,406,997
2.30%		05/14/21			4,580,000		4,492,037
3.20%		05/14/26			27,640,000		26,216,257
3.60%		05/14/25			54,125,000		53,706,181
4.45%		05/14/46			22,558,000		21,628,342
4.50%		05/14/35			51,764,000		51,016,787
4.70%		05/14/45			29,942,000		29,481,089
Actavis Funding SCS (Luxembourg)
1.30%		06/15/17	²		36,724,000		36,713,075
1.85%		03/01/17	²		10,492,000		10,492,430
3.45%		03/15/22	²		14,725,000		14,963,177
3.80%		03/15/25	²		211,403,000		212,022,199
3.85%		06/15/24	²		32,949,000		33,294,701
4.55%		03/15/35	²		94,769,000		94,089,411
4.75%		03/15/45	²		22,936,000		22,603,566
Actavis, Inc.
1.88%		10/01/17			16,775,000		16,818,937
Aetna, Inc.
1.50%		11/15/17			17,284,000		17,273,837
1.70%		06/07/18			50,400,000		50,510,948
1.90%		06/07/19			55,000,000		54,904,935
2.80%		06/15/23			52,720,000		51,990,197
3.20%		06/15/26			55,700,000		55,162,414
4.25%		06/15/36			36,295,000		36,508,923
4.38%		06/15/46			36,195,000		36,000,050
Amgen, Inc.
1.25%		05/22/17			13,137,000		13,139,575


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
2.13%		05/15/17		$	47,535,000	$	47,694,385
3.63%		05/15/22			5,312,000		5,495,838
4.40%		05/01/45			32,883,000		31,644,922
4.56%		06/15/48	⁴		25,097,000		23,931,582
4.66%		06/15/51	⁴		25,279,000		24,410,146
5.85%		06/01/17			46,916,000		47,781,084
Anthem, Inc.
1.88%		01/15/18			29,325,000		29,358,771
Ascension Health
3.95%		11/15/46			25,690,000		24,816,761
AstraZeneca PLC (United Kingdom)
3.38%		11/16/25	²		41,823,000		41,595,148
Baxalta, Inc.
2.88%		06/23/20			28,810,000		28,826,393
4.00%		06/23/25			3,047,000		3,056,424
Baylor Scott & White Holdings
4.19%		11/15/45			30,300,000		29,757,536
Biogen, Inc.
5.20%		09/15/45			12,440,000		13,366,170
Catholic Health Initiatives
2.95%		11/01/22			24,505,000		23,809,560
Celgene Corp.
2.88%		08/15/20			4,350,000		4,403,588
4.63%		05/15/44			12,750,000		12,531,643
5.00%		08/15/45			159,876,000		167,809,847
Centene Corp.
4.75%		05/15/22			6,051,000		6,141,765
4.75%		01/15/25			69,199,000		67,728,521
DaVita HealthCare Partners, Inc.
5.00%		05/01/25			28,461,000		28,204,851
5.13%		07/15/24			3,894,000		3,898,867
5.75%		08/15/22			14,150,000		14,839,813
Express Scripts Holding Co.
3.40%		03/01/27			43,512,000		40,852,938
4.80%		07/15/46			18,265,000		17,214,968
Forest Laboratories LLC
5.00%		12/15/21	⁴		11,870,000		12,827,019
Fresenius Medical Care U.S. Finance II, Inc.
4.13%		10/15/20	⁴		3,888,000		4,036,230
4.75%		10/15/24	⁴		7,690,000		7,805,350
5.75%		02/15/21	⁴		1,622,000		1,759,870
Gilead Sciences, Inc.
2.95%		03/01/27			49,845,000		47,766,613
3.25%		09/01/22			19,133,000		19,612,668
3.70%		04/01/24			16,915,000		17,377,964
4.00%		09/01/36			25,000,000		24,019,750
4.15%		03/01/47			53,980,000		51,399,432
4.50%		02/01/45			4,620,000		4,624,930
4.75%		03/01/46			3,489,000		3,618,540


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Grifols Worldwide Operations Ltd. (Ireland)
5.25%		04/01/22	²	$	12,714,000	$	13,222,560
HCA, Inc.
4.25%		10/15/19			9,790,000		10,206,075
4.75%		05/01/23			7,305,000		7,494,473
5.00%		03/15/24			38,500,000		39,703,125
5.25%		04/15/25			21,598,000		22,596,907
5.25%		06/15/26			1,537,000		1,594,637
5.88%		03/15/22			6,237,000		6,735,960
6.50%		02/15/20			16,528,000		18,143,612
Humana, Inc.
7.20%		06/15/18			10,166,000		10,929,465
Memorial Sloan-Kettering Cancer Center, Series 2015
4.20%		07/01/55			1,233,000		1,201,259
Merck & Co., Inc.
3.70%		02/10/45			215,000		204,932
MPH Acquisition Holdings LLC
7.13%		06/01/24	⁴		4,000,000		4,210,000
Mylan NV (Netherlands)
2.50%		06/07/19	^2,4		43,540,000		43,430,998
New York and Presbyterian Hospital (The)
4.02%		08/01/45			23,230,000		22,635,347
Northwell Healthcare, Inc.
3.98%		11/01/46			34,525,000		31,864,055
4.80%		11/01/42			40,000		39,821
6.15%		11/01/43			25,265,000		31,248,510
NYU Hospitals Center, Series 13, Class A
5.75%		07/01/43			6,040,000		7,047,834
Quintiles Transnational Corp.
4.88%		05/15/23	⁴		11,438,000		11,634,162
RWJ Barnabas Health, Inc.
3.95%		07/01/46			12,945,000		11,979,530
Shire Acquisitions Investments Ireland DAC (Ireland)
1.90%		09/23/19	²		283,425,000		280,015,681
Stryker Corp.
4.63%		03/15/46			25,000,000		25,531,900
Tenet Healthcare Corp.
4.38%		10/01/21			380,000		378,100
4.46%		06/15/20	³		28,938,000		29,299,725
4.50%		04/01/21			3,303,000		3,311,258
6.00%		10/01/20			13,724,000		14,410,200
6.75%		06/15/23			11,291,000		10,006,649
7.50%		01/01/22	⁴		5,328,000		5,557,770
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)
1.40%		07/20/18	²		9,620,000		9,535,753
2.80%		07/21/23	²		48,390,000		45,474,503
3.15%		10/01/26	²		50,000,000		46,187,875
Trinity Health Corp.
4.13%		12/01/45			17,833,000		17,252,548


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
UnitedHealth Group, Inc.
4.63%		07/15/35		$	15,765,000	$	17,206,536
Valeant Pharmaceuticals International, Inc.
6.75%		08/15/21	⁴		9,000,000		7,515,000
7.25%		07/15/22	⁴		2,550,000		2,097,375
Valeant Pharmaceuticals International, Inc. (Canada)
5.50%		03/01/23	^2,4		4,912,000		3,708,560
5.63%		12/01/21	^2,4		14,083,000		10,958,334
5.88%		05/15/23	^2,4		50,437,000		38,332,120
6.13%		04/15/25	^2,4		32,581,000		24,598,655
WellCare Health Plans, Inc.
5.75%		11/15/20			2,117,000		2,176,541


							3,070,368,207

Industrials — 0.42%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)
3.96%		12/15/19	^2,3,4		24,120,000		24,542,100
4.16%		05/15/21	^2,3,4		7,451,000		7,693,157
Ball Corp.
4.00%		11/15/23			405,000		399,431
5.25%		07/01/25			3,073,000		3,222,809
Clean Harbors, Inc.
5.13%		06/01/21			25,253,000		25,904,527
General Electric Co.
4.50%		03/11/44			3,833,000		4,130,411
Graphic Packaging International, Inc.
4.13%		08/15/24			5,487,000		5,253,803
Metropolitan Life Global Funding I
1.35%		09/14/18	⁴		14,400,000		14,298,911
SBA Communications Corp.
4.88%		09/01/24	⁴		54,101,000		53,627,616
Sealed Air Corp.
5.25%		04/01/23	⁴		22,311,000		23,259,218
5.50%		09/15/25	⁴		4,157,000		4,370,046
Siemens Financieringsmaatschappij NV (Netherlands)
2.00%		09/15/23	^2,4		33,250,000		31,480,051
2.35%		10/15/26	^2,4		133,010,000		123,189,074
Standard Industries, Inc.
5.13%		02/15/21	⁴		1,000,000		1,040,625
United Technologies Corp.
3.75%		11/01/46			11,775,000		11,140,581


							333,552,360

Information Technology — 0.65%
Apple, Inc.
3.25%		02/23/26			7,679,000		7,721,266
3.85%		08/04/46			17,355,000		16,706,687
4.38%		05/13/45			17,230,000		17,731,600


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Information Technology (continued)
4.65%		02/23/46		$	43,620,000	$	47,222,052
First Data Corp.
5.00%		01/15/24	⁴		83,053,000		83,806,291
IMS Health, Inc.
5.00%		10/15/26	⁴		7,324,000		7,383,507
Microsoft Corp.
2.40%		08/08/26			28,315,000		26,649,342
3.75%		02/12/45			86,215,000		81,053,308
4.45%		11/03/45			57,631,000		61,191,213
MSCI, Inc.
4.75%		08/01/26	⁴		26,317,000		26,284,104
NXP BV/NXP Funding LLC (Netherlands)
3.88%		09/01/22	^2,4		8,800,000		8,942,331
4.13%		06/01/21	^2,4		14,690,000		15,204,150
Oracle Corp.
2.40%		09/15/23			50,955,000		49,461,590
4.00%		07/15/46			60,215,000		57,615,880
4.13%		05/15/45			4,800,000		4,663,450


							511,636,771

Insurance — 1.22%
Berkshire Hathaway Finance Corp.
4.30%		05/15/43			7,200,000		7,440,161
4.40%		05/15/42			57,751,000		60,786,046
Berkshire Hathaway, Inc.
2.75%		03/15/23			65,000,000		64,810,980
3.13%		03/15/26			62,239,000		61,934,247
4.50%		02/11/43			39,529,000		42,440,528
Farmers Exchange Capital
7.05%		07/15/28	⁴		10,634,000		12,362,323
7.20%		07/15/48	⁴		18,265,000		20,514,901
Farmers Exchange Capital II
6.15%		11/01/53	^3,4		69,710,000		72,341,866
Farmers Exchange Capital III
5.45%		10/15/54	^3,4		69,560,000		67,473,200
Guardian Life Global Funding
2.00%		04/26/21	⁴		5,475,000		5,334,772
Jackson National Life Global Funding
1.88%		10/15/18	⁴		55,605,000		55,750,435
MassMutual Global Funding II
2.00%		04/15/21	⁴		8,250,000		8,040,108
Metropolitan Life Global Funding I
1.50%		01/10/18	⁴		14,800,000		14,795,728
1.55%		09/13/19	⁴		17,000,000		16,732,643
1.75%		12/19/18	⁴		46,175,000		46,188,622
1.88%		06/22/18	⁴		23,650,000		23,720,794
1.95%		09/15/21	⁴		90,555,000		88,037,299
2.50%		12/03/20	⁴		57,015,000		57,066,713
3.88%		04/11/22	⁴		13,935,000		14,735,705


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
Nationwide Mutual Insurance Co.
3.25%		12/15/24	^3,4	$	18,949,000	$	18,617,393
New York Life Global Funding
1.55%		11/02/18	⁴		32,050,000		31,962,648
2.00%		04/13/21	⁴		24,750,000		24,245,445
2.35%		07/14/26	⁴		14,175,000		13,221,285
Pricoa Global Funding I
1.60%		05/29/18	⁴		24,825,000		24,816,522
2.20%		06/03/21	⁴		32,450,000		31,895,559
2.55%		11/24/20	⁴		17,155,000		17,175,372
Principal Life Global Funding II
3.00%		04/18/26	⁴		27,620,000		26,903,855
Teachers Insurance & Annuity
Association of America
4.38%		09/15/54	^3,4		19,650,000		19,463,531
4.90%		09/15/44	⁴		7,628,000		8,270,956


							957,079,637

Materials — 0.03%
Axalta Coating Systems LLC
4.88%		08/15/24	⁴		9,944,000		9,993,720
Valvoline, Inc.
5.50%		07/15/24	⁴		10,605,000		11,002,688


							20,996,408

Real Estate Investment Trust (REIT) — 1.53%
Alexandria Real Estate Equities, Inc.
2.75%		01/15/20			5,205,000		5,196,734
3.90%		06/15/23			57,677,000		58,493,130
3.95%		01/15/27			17,500,000		17,333,251
4.30%		01/15/26			6,775,000		6,975,594
4.60%		04/01/22			43,748,000		45,985,176
AvalonBay Communities, Inc. (GMTN)
3.95%		01/15/21			7,245,000		7,582,081
Boston Properties LP
3.13%		09/01/23			5,000,000		4,910,150
3.65%		02/01/26			5,000,000		4,955,487
3.70%		11/15/18			26,115,000		26,897,693
5.63%		11/15/20			8,659,000		9,527,221
Camden Property Trust
4.63%		06/15/21			600,000		641,227
Duke Realty LP
6.50%		01/15/18			15,590,000		16,314,826
Education Realty Operating Partnership LP
4.60%		12/01/24			6,615,000		6,551,470
5.75%		06/15/17			45,000		45,887
Essex Portfolio LP
5.50%		03/15/17			100,000		100,804


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
First Industrial LP (MTN)
7.50%		12/01/17		$	80,000	$	83,833
HCP, Inc.
3.15%		08/01/22			12,660,000		12,479,899
3.40%		02/01/25			26,725,000		25,615,645
3.75%		02/01/19			7,907,000		8,113,851
3.88%		08/15/24			24,650,000		24,534,305
4.00%		12/01/22			54,420,000		55,695,491
4.20%		03/01/24			24,904,000		25,386,458
4.25%		11/15/23			85,445,000		87,348,116
5.63%		05/01/17			11,950,000		12,109,316
Healthcare Realty Trust, Inc.
5.75%		01/15/21			30,455,000		33,473,578
Highwoods Realty LP
5.85%		03/15/17			23,850,000		24,052,844
7.50%		04/15/18			15,585,000		16,619,532
Hospitality Properties Trust
6.70%		01/15/18			5,926,000		6,076,627
Kimco Realty Corp.
6.88%		10/01/19			9,175,000		10,281,559
Post Apartment Homes LP
4.75%		10/15/17			21,885,000		22,223,079
Realty Income Corp.
6.75%		08/15/19			15,645,000		17,489,131
SL Green Realty Corp.
4.50%		12/01/22			8,570,000		8,666,104
7.75%		03/15/20			26,913,000		30,372,262
Ventas Realty LP
3.13%		06/15/23			1,235,000		1,214,109
3.25%		10/15/26			8,095,000		7,659,712
3.50%		02/01/25			27,105,000		26,732,089
3.75%		05/01/24			10,000,000		10,104,105
4.13%		01/15/26			25,010,000		25,614,767
4.38%		02/01/45			7,600,000		7,163,372
Ventas Realty LP/Ventas Capital Corp.
2.00%		02/15/18			3,660,000		3,668,462
2.70%		04/01/20			31,673,000		31,887,426
3.25%		08/15/22			3,000,000		3,013,600
4.25%		03/01/22			10,000,000		10,571,890
VEREIT Operating Partnership LP
3.00%		02/06/19			23,423,000		23,335,164
4.13%		06/01/21			19,825,000		20,221,500
4.88%		06/01/26			18,429,000		18,774,544
WEA Finance LLC/Westfield UK & Europe Finance PLC
1.75%		09/15/17	⁴		57,205,000		57,248,919
2.70%		09/17/19	⁴		109,946,000		111,314,185
3.25%		10/05/20	⁴		68,280,000		69,529,797
Welltower, Inc.
2.25%		03/15/18			11,443,000		11,495,409



Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
3.75%		03/15/23		$	11,170,000	$	11,409,697
4.00%		06/01/25			32,209,000		32,974,382
4.13%		04/01/19			17,505,000		18,140,677
4.25%		04/01/26			13,320,000		13,849,623
4.50%		01/15/24			4,698,000		4,962,474
4.70%		09/15/17			28,088,000		28,696,189
4.95%		01/15/21			3,732,000		4,017,541
6.50%		03/15/41			13,430,000		16,060,930


							1,201,792,924

Retail — 0.43%
CVS Health Corp.
3.88%		07/20/25			32,800,000		33,909,770
4.00%		12/05/23			4,693,000		4,931,856
4.88%		07/20/35			78,060,000		84,242,040
5.13%		07/20/45			26,405,000		29,530,982
Walgreens Boots Alliance, Inc.
1.75%		05/30/18			13,925,000		13,937,449
3.10%		06/01/23			40,495,000		40,285,398
3.45%		06/01/26			49,700,000		48,882,684
3.80%		11/18/24			12,810,000		13,030,896
4.80%		11/18/44			20,035,000		20,586,143
Wal-Mart Stores, Inc.
4.00%		04/11/43			4,600,000		4,632,154
4.30%		04/22/44			6,143,000		6,498,274
4.75%		10/02/43			32,175,000		36,010,904


							336,478,550

Services — 0.12%
Aramark Services, Inc.
4.75%		06/01/26	⁴		31,943,000		31,863,143
5.13%		01/15/24	⁴		967,000		999,636
University of Southern California
3.03%		10/01/39			70,000,000		62,208,055


							95,070,834

Transportation — 0.52%
America West Airlines Pass-Through Trust, Series 1999-1, Class G
7.93%		01/02/19			4,348,226		4,614,555
America West Airlines Pass-Through Trust, Series 2001-1, Class G
7.10%		04/02/21			7,186,523		7,801,690
American Airlines Pass-Through Trust, Series 2011-1, Class A
5.25%		01/31/21			2,920,340		3,142,870
American Airlines Pass-Through Trust, Series 2013-1, Class A
4.00%		07/15/25			20,241,630		20,924,784


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%		01/15/23	$	112,361,022	$	119,945,391
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18		530,024		534,993
Continental Airlines Pass-Through Trust, Series 1999-1, Class A
6.55%		08/02/20		2,698,541		2,813,094
Continental Airlines Pass-Through Trust, Series 1999-2 AMBC, Class C2
6.24%		03/15/20		63,280		65,887
Continental Airlines Pass-Through Trust, Series 1999-2, Class A1
7.26%		03/15/20		5,297,523		5,625,439
Continental Airlines Pass-Through Trust, Series 2000-1, Class A-1
8.05%		11/01/20		12,471		13,618
Continental Airlines Pass-Through Trust, Series 2000-2, Class A1
7.71%		10/02/22		3,765,067		4,063,919
Continental Airlines Pass-Through Trust, Series 2007, Class 1A
5.98%		04/19/22		33,690,667		37,270,301
Continental Airlines Pass-Through Trust, Series 2007, Class 1B
6.90%		04/19/22		1,234,075		1,293,126
Continental Airlines Pass-Through Trust, Series 2009, Class A2
7.25%		11/10/19		31,784,463		35,558,867
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1
6.72%		01/02/23		41,698,906		47,432,506
Northwest Airlines Pass-Through Trust, Series 2001-1, Class A1
7.04%		04/01/22		3,562,518		4,128,246
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A
4.10%		04/01/28		19,923,872		20,425,953
U.S. Airways Pass-Through Trust, Series 2011-1, Class A
6.25%		04/22/23		21,066,492		23,541,805
7.13%		10/22/23		4,071,714		4,705,374
U.S. Airways Pass-Through Trust, Series 2011-1, Class G
7.08%		03/20/21		1,397,232		1,483,686
U.S. Airways Pass-Through Trust, Series 2012, Class A
4.63%		06/03/25		11,469		12,200
U.S. Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24		48,281,681		53,894,426


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
UAL Pass-Through Trust, Series 2009-2A, Class 2
9.75%		01/15/17		$	6,728,031	$	6,778,491


							406,071,221

Total Corporates
(Cost $18,924,889,151)							18,922,461,039

MORTGAGE-BACKED — 37.46%**
Commercial Mortgage-Backed — 2.26%
1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2
3.90%		08/10/35	⁴		36,885,000		38,731,898
225 Liberty Street Trust, Series 2016-225L,
Class A
3.60%		02/10/36	⁴		63,710,000		65,509,151
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2012-PARK, Class A
2.96%		12/10/30	⁴		10,335,000		10,411,375
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2014-520M, Class A
4.18%		08/15/46	^3,4		8,188,103		8,800,785
Banc of America Re-REMIC Trust, Series 2009-UB2, Class A4AA
5.72%		02/24/51	^3,4		9,694,180		9,720,321
Banc of America Re-REMIC Trust, Series 2009-UB2, Class A4AB
5.78%		12/24/49	^3,4		8,908,209		8,985,471
Banc of America Re-REMIC Trust, Series 2010-UB5, Class A4B
5.74%		02/17/51	^3,4		25,000,000		25,405,122
Bayview Commercial Asset Trust, Series 2004-1, Class A
1.12%		04/25/34	^3,4		48,347		46,068
Bayview Commercial Asset Trust, Series 2004-2, Class A
1.19%		08/25/34	^3,4		461,285		440,439
BBCMS Trust, Series 2015-SRCH, Class A2
4.20%		08/10/35	⁴		48,985,000		52,562,046
Capmark Mortgage Securities, Inc., Series
1998-C2, Class X (IO)
1.09%		05/15/35	^3,5		6,301,751		75,944
CFCRE Commercial Mortgage Trust,
Series 2011-C2, Class A2
3.06%		12/15/47			1,317,337		1,316,442
CGRBS Commercial Mortgage Trust,
Series 2013-VN05, Class A
3.37%		03/13/35	⁴		13,300,000		13,659,433
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class A
3.25%		05/10/35	⁴		5,000		5,100


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Commercial Mortgage Pass-Through Certificates, Series 2012-CR3, Class A2
1.77%		10/15/45		$	47,823,063	$	47,892,615
Commercial Mortgage Trust, Series 2007-GG9, Class AM
5.48%		03/10/39			47,961,842		48,052,970
Commercial Mortgage Trust, Series 2013-300P, Class A1
4.35%		08/10/30	⁴		14,635,000		15,840,704
Commercial Mortgage Trust, Series 2013-CR12, Class A4
4.05%		10/10/46			440,000		470,851
Commercial Mortgage Trust, Series 2013-CR6, Class A2
2.12%		03/10/46			24,355,000		24,523,960
Commercial Mortgage Trust, Series 2013-LC6, Class A2
1.91%		01/10/46			13,815,000		13,861,976
Commercial Mortgage Trust, Series 2013-SFS, Class A2
2.99%		04/12/35	^3,4		7,205,000		7,151,071
Commercial Mortgage Trust, Series 2014-277P, Class A
3.61%		08/10/49	^3,4		15,960,000		16,524,585
Commercial Mortgage Trust, Series 2015-3BP, Class A
3.18%		02/10/35	⁴		16,440,000		16,479,328
Commercial Mortgage Trust, Series 2016-787S, Class A
3.55%		02/01/36	^3,4		74,550,000		76,315,914
Commercial Mortgage Trust, Series 2016-CR28, Class A4
3.76%		02/10/49			6,685,000		6,962,542
Credit Suisse Mortgage Trust, Series 2007-C1, Class A1A
5.36%		02/15/40			8,608,104		8,597,772
Credit Suisse Mortgage Trust, Series 2007-C2, Class A1A
5.53%		01/15/49	³		49,726,416		49,817,858
Credit Suisse Mortgage Trust, Series 2007-C3, Class A1A1
5.69%		06/15/39	³		22,371		22,490
Credit Suisse Mortgage Trust, Series 2007-C5, Class A1A
5.57%		09/15/40	³		39,190,073		39,669,087
DBUBS Mortgage Trust, Series 2011-LC1A, Class A2
4.53%		11/10/46	⁴		13,227,013		13,649,947
GRACE Mortgage Trust, Series 2014-GRCE, Class A
3.37%		06/10/28	⁴		70,000,000		72,678,823


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
GS Mortgage Securities Trust, Series 2010-C2, Class A1
3.85%		12/10/43	⁴	$	5,733,460	$	5,935,597
GS Mortgage Securities Trust, Series 2011-GC5, Class A4
3.71%		08/10/44	³		87,335,000		92,288,991
GS Mortgage Securities Trust, Series 2012-ALOHA, Class A
3.55%		04/10/34	⁴		19,805,000		20,725,663
GS Mortgage Securities Trust, Series 2012-GCJ7, Class A2
2.32%		05/10/45			7,531,442		7,543,909
GS Mortgage Securities Trust, Series 2012-GCJ9, Class A2
1.76%		11/10/45			15,000,000		15,039,879
GS Mortgage Securities Trust, Series 2013-GC16, Class A2
3.03%		11/10/46			23,000,000		23,424,471
GS Mortgage Securities Trust, Series 2014-3R, Class 2A
0.94%		09/26/36	^3,4		16,627,666		16,122,707
GS Mortgage Securities Trust, Series 2015-1R, Class 2A
3.17%		01/25/36	^3,4		16,966,525		16,990,390
GS Mortgage Securities Trust., Series 2009-1R, Class 2A1
3.09%		11/25/35	^3,4		16,488		16,476
Irvine Core Office Trust, Series 2013-IRV, Class A1
2.07%		05/15/48	⁴		9,265,879		9,208,569
JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class A2
2.42%		07/15/45			17,602,973		17,687,122
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3S
5.24%		05/15/47	⁴		1,721,118		1,716,934
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C4,
Class A4
4.39%		07/15/46	⁴		23,275,000		25,023,637
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-HSBC, Class A
3.09%		07/05/32	⁴		25,660,000		26,107,639
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A2
1.68%		12/15/47			17,981,150		18,005,281
LB Commercial Mortgage Trust, Series 2007-C3, Class A1A
5.87%		07/15/44	³		25,964,930		26,310,983


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
LB-UBS Commercial Mortgage Trust, Series 2007-C1, Class A1A
5.39%		02/15/40		$	5,324,446	$	5,325,700
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class A4
5.86%		07/15/40	³		24,681,406		24,857,219
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 2A3
5.47%		03/25/37	^3,4		5,224,338		5,212,746
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class A2
1.97%		08/15/45			32,653,113		32,721,129
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A2
1.87%		11/15/45			55,280,761		55,396,544
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A3
2.51%		11/15/45			30,429,000		30,744,731
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class A2
1.86%		02/15/46			13,891,540		13,938,286
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A2
1.97%		05/15/46			13,217,008		13,288,203
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C17, Class A3
3.53%		08/15/47			52,455,000		54,382,291
Morgan Stanley Capital I Trust, Series 2012-C4, Class A2
2.11%		03/15/45			5,104,916		5,103,659
RBS Commercial Funding Trust, Series 2013-GSP, Class A
3.83%		01/13/32	^3,4		79,160,000		83,132,755
SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A1
3.87%		01/05/35	^3,4		20,040,000		19,839,702
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A2
2.11%		05/10/63			108,257,871		108,389,837
UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class A2
1.85%		08/10/49			24,250,000		24,320,965
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A2
1.71%		12/10/45			17,992,000		18,026,080
VNDO Mortgage Trust, Series 2012-6AVE, Class A
3.00%		11/15/30	⁴		13,730,000		13,878,730
Wachovia Mortgage Loan Trust LLC, Series 2006-AMN1, Class A3
1.00%		08/25/36	³		26,115,566		16,804,455


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A2
4.39%		11/15/43	⁴	$	900,000	$	959,367
WF-RBS Commercial Mortgage Trust, Series 2010-C8, Class A3
3.00%		08/15/45			52,205,000		53,477,586
WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A3FL
1.66%		03/15/44	^3,4		86,075,318		86,408,395
WF-RBS Commercial Mortgage Trust, Series 2011-C4, Class A3
4.39%		06/15/44	⁴		1,832,751		1,901,238
WF-RBS Commercial Mortgage Trust, Series 2011-C4, Class A4
4.90%		06/15/44	^3,4		49,993,000		54,889,064
WF-RBS Commercial Mortgage Trust, Series 2012-C7, Class A2
3.43%		06/15/45			33,148,000		34,666,984


							1,773,996,002

Non-Agency Mortgage-Backed — 7.15%
Aames Mortgage Investment Trust, Series 2002-1, Class A3 (STEP)
5.72%		06/25/32			58,215		55,674
Accredited Mortgage Loan Trust, Series 2006-2, Class A3
0.91%		09/25/36	³		9,098,887		9,064,049
Accredited Mortgage Loan Trust, Series 2007-1, Class A4
0.98%		02/25/37	³		46,525,000		39,517,209
ACE Securities Corp., Series 2004-IN1, Class A1
1.40%		05/25/34	³		4,653		4,306
ACE Securities Corp., Series 2006-ASP1, Class A1
1.24%		12/25/35	³		882,806		883,081
ACE Securities Corp., Series 2006-HE3, Class A2C
0.91%		06/25/36	³		4,055,650		2,685,230
Adjustable Rate Mortgage Trust, Series 2005-10, Class 6A1
1.30%		01/25/36	³		501,399		425,279
Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A21
0.99%		09/25/35	³		2,721,737		2,685,768
Adjustable Rate Mortgage Trust, Series 2006-3, Class 4A32
0.96%		08/25/36	³		27,208,158		26,215,841
Aegis Asset-Backed Securities Trust, Series 2005-5, Class 1A3
1.03%		12/25/35	³		2,208,127		2,208,088


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
American Home Mortgage Investment Trust, Series 2004-3, Class 2A
2.76%		10/25/34	³	$	8,588,083	$	8,233,556
Ameriquest Mortgage Securities, Inc., Series 2004-R10, Class A1
1.42%		11/25/34	³		55,673,985		54,761,978
Ameriquest Mortgage Securities, Inc., Series 2005-R11, Class M1
1.21%		01/25/36	³		19,225,000		18,627,235
Ameriquest Mortgage Securities, Inc., Series 2006-R1, Class M1
1.15%		03/25/36	³		20,041,967		19,699,574
Amresco Residential Securities Mortgage Loan Trust, Series 1998-1, Class A5 (STEP)
7.32%		10/25/27			78,557		82,480
Argent Securities, Inc., Series 2004-W6, Class AV2
1.66%		05/25/34	³		16,705,662		16,263,209
Argent Securities, Inc., Series 2005-W2, Class A1
1.02%		10/25/35	³		42,412,093		42,252,656
Argent Securities, Inc., Series 2005-W3, Class A1
1.02%		11/25/35	³		58,646,815		57,590,213
Asset-Backed Funding Certificates, Series 2005-HE1, Class M1
1.39%		03/25/35	³		17,261,720		16,978,844
Asset-Backed Funding Certificates, Series 2006-OPT3, Class A3B
0.92%		11/25/36	³		27,417,350		16,360,764
Asset-Backed Funding Certificates, Series 2007-WMC1, Class A2B
1.76%		06/25/37	³		29,777,882		22,870,223
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE6, Class M2
1.52%		07/25/35	³		10,374		10,413
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE5, Class A1
0.88%		07/25/36	³		30,752,221		30,354,102
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE6, Class A5
0.99%		11/25/36	³		18,411,000		14,290,939
Banc of America Funding Trust, Series 2003-2, Class 1A1
6.50%		06/25/32			30,291		32,194
Banc of America Funding Trust, Series 2006-D, Class 3A1
3.24%		05/20/36	³		9,710,762		8,578,821
Banc of America Funding Trust, Series 2006-E, Class 2A1
3.27%		06/20/36	³		144,527		119,871


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Funding Trust, Series 2006-G, Class 2A1
0.96%		07/20/36	³	$	14,786,081	$	14,513,801
Banc of America Funding Trust, Series 2006-H, Class 3A1
3.16%		09/20/46	³		2,403,884		1,934,318
Banc of America Funding Trust, Series 2014-R8, Class A1
2.40%		06/26/36	^3,4		14,994,486		14,492,583
Banc of America Funding Trust, Series 2015-R2, Class 1A1
0.90%		08/25/36	^3,4		52,251,804		49,549,868
Banc of America Funding Trust, Series 2015-R2, Class 3A1
1.02%		04/25/37	^3,4		31,982,492		31,196,806
Banc of America Funding Trust, Series 2015-R2, Class 7A1
1.04%		09/25/36	^3,4		29,505,053		28,639,138
Banc of America Funding Trust, Series 2015-R2, Class 9A1
0.97%		03/25/37	^3,4		14,840,120		14,387,756
Banc of America Funding Trust, Series 2015-R5, Class 1A1
0.71%		10/26/36	^3,4		118,887,533		113,759,973
Banc of America Funding Trust, Series 2016-R1, Class A1
2.50%		03/25/40	^3,4		70,589,736		69,636,358
Banc of America Mortgage Securities, Inc., Series 2003-1, Class 3A1
3.30%		10/25/33	³		1,408,282		1,425,568
Banc of America Mortgage Securities, Inc., Series 2004-F, Class 1A1
3.17%		07/25/34	³		75,025		76,366
Banc of America Mortgage Securities, Inc., Series 2005-C, Class 2A2
3.18%		04/25/35	³		726,181		676,534
Banc of America Mortgage Securities, Inc., Series 2006-2, Class A2
6.00%		07/25/46	³		284,283		266,196
Banc of America Mortgage Securities, Inc., Series 2007-1, Class 1A24
6.00%		03/25/37			1,413,875		1,289,382
Banc of America Mortgage Securities, Inc., Series 2007-3, Class 1A1
6.00%		09/25/37			777,653		708,788
BCAP LLC Trust, Series 2007-AA2, Class 2A5
6.00%		04/25/37			426,311		375,619
BCAP LLC Trust, Series 2007-AA5, Class A1
1.41%		09/25/47	³		48,333,791		41,546,610


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
BCAP LLC Trust, Series 2009-RR10, Class 7A1
2.89%		10/26/35	^3,4	$	5,264,247	$	5,300,065
BCAP LLC Trust, Series 2011-RR3, Class 1A5
3.20%		05/27/37	^3,4		8,494,785		8,474,265
BCAP LLC Trust, Series 2011-RR3, Class 5A3
3.25%		11/27/37	^3,4		8,667,630		8,649,365
BCAP LLC Trust, Series 2011-RR5, Class 1A3
2.91%		03/26/37	^3,4		526,705		525,187
BCAP LLC Trust, Series 2015-RR2, Class 26A1
3.00%		03/28/36	^3,4		15,572,795		15,798,658
Bear Stearns ALT-A Trust, Series 2005-4, Class 22A2
3.26%		05/25/35	³		31,909		29,219
Bear Stearns ALT-A Trust, Series 2006-4, Class 32A1
3.26%		07/25/36	³		2,919,982		2,309,247
Bear Stearns ARM Trust, Series 2004-1, Class 13A2
3.29%		04/25/34	³		13,198		12,844
Bear Stearns ARM Trust, Series 2004-10, Class 14A1
3.48%		01/25/35	³		5,658,755		5,543,982
Bear Stearns ARM Trust, Series 2006-4, Class 2A1
3.15%		10/25/36	³		1,141,380		996,001
Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE9, Class 3A
0.90%		11/25/36	³		14,834,798		13,692,396
Bear Stearns Asset-Backed Securities Trust, Series 2003-AC7, Class A1 (STEP)
5.50%		01/25/34			991,582		1,011,427
Bear Stearns Asset-Backed Securities Trust, Series 2003-AC7, Class A2 (STEP)
5.75%		01/25/34			893,978		920,536
Bear Stearns Asset-Backed Securities Trust, Series 2005-AC5, Class 2A3
1.01%		08/25/20	³		2,213,282		1,403,031
Bear Stearns Asset-Backed Securities Trust, Series 2005-SD1, Class 1A3
1.16%		08/25/43	³		6,558		6,519
Bear Stearns Asset-Backed Securities Trust, Series 2006-AC2, Class 21A3
6.00%		03/25/36			1,488,558		1,410,681
Bear Stearns Mortgage Funding Trust, Series 2006-AR3, Class 1A1
0.94%		10/25/36	³		3,078,007		2,651,550


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bombardier Capital Mortgage Securitization Corp., Series 2001-A, Class A
6.81%		12/15/30	³	$	6,933,930	$	7,070,812
Carrington Mortgage Loan Trust, Series 2006-NC1, Class A4
1.07%		01/25/36	³		36,750,000		33,759,476
Centex Home Equity Loan Trust, Series 2006-A, Class AV4
1.01%		06/25/36	³		23,504,166		23,412,514
Chase Funding Trust, Series 2003-5, Class 2A2
1.36%		07/25/33	³		3,059		2,859
Chase Funding Trust, Series 2004-2, Class 2A2
1.26%		02/26/35	³		5,668		4,902
Chase Funding Trust, Series 2006-A1, Class 1A2
3.21%		09/25/36	³		1,481,815		1,313,591
Chase Funding Trust, Series 2006-S3, Class 2A1
5.50%		11/25/21			2,452,652		1,980,115
Chase Funding Trust, Series 2007-A2, Class 2A3
3.18%		07/25/37	³		4,231,977		4,280,582
Chaseflex Trust, Series 2005-2, Class 4A2
5.50%		05/25/20			3,569,137		3,408,918
Chaseflex Trust, Series 2006-2, Class A2B
0.96%		09/25/36	³		8,405,765		6,646,882
CIM Trust, Series 2015-1EC, Class A16
2.28%		04/25/55	^3,4		160,156,817		164,472,675
CIM Trust, Series 2015-3AG, Class A1
2.37%		10/25/57	^3,4		206,990,891		207,988,525
CIM Trust, Series 2015-4AG, Class A1
2.62%		10/25/57	^3,4		73,151,707		73,121,957
CIM Trust, Series 2016-4, Class A1
2.53%		10/25/57	^3,4		396,445,184		402,105,985
Citicorp Mortgage Securities, Inc., Series 2005-1, Class 1A12
5.00%		02/25/35			391,632		395,259
Citicorp Residential Mortgage Securities, Inc., Series 2006-2, Class A5 (STEP)
5.75%		09/25/36			525,000		536,782
Citicorp Residential Mortgage Securities, Inc., Series 2007-1, Class A5 (STEP)
5.75%		03/25/37			650,000		675,371
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
2.77%		02/25/34	³		217,970		213,558
Citigroup Mortgage Loan Trust, Inc., Series 2004-RR2, Class A2
3.00%		05/25/34	^3,4		4,314,743		4,359,083


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc., Series 2005-5, Class 3A2A
3.06%		10/25/35	³	$	1,047,832	$	790,892
Citigroup Mortgage Loan Trust, Inc., Series 2005-9, Class 1A1
1.02%		11/25/35	³		280,541		190,200
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR3, Class 1A2A
3.21%		06/25/36	³		8,173,892		7,564,611
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A2A
0.91%		08/25/36	³		11,581,754		11,349,278
Citigroup Mortgage Loan Trust, Inc., Series 2007-6, Class 1A4A
2.82%		03/25/37	³		849,710		625,064
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH1, Class A4
0.96%		01/25/37	³		165,003		164,671
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
0.94%		03/25/37	³		3,430,435		3,426,183
Citigroup Mortgage Loan Trust, Inc., Series 2010-7, Class 2A1
2.98%		02/25/35	^3,4		190,279		192,408
Citigroup Mortgage Loan Trust, Inc., Series 2010-9, Class 2A1
2.99%		11/25/35	^3,4		77,833		77,510
Citigroup Mortgage Loan Trust, Inc., Series 2012-3, Class 4A1
2.80%		11/25/36	^3,4		2,434,130		2,431,999
Citigroup Mortgage Loan Trust, Inc., Series 2014-6, Class 3A2
3.26%		11/25/35	^3,4		13,465,014		13,443,934
Citigroup Mortgage Loan Trust, Inc., Series 2015-2, Class 1A1
0.78%		06/25/47	^3,4		40,498,637		35,433,189
Citigroup Mortgage Loan Trust, Inc., Series 2015-2, Class 4A1
1.24%		03/25/47	^3,4		27,956,551		26,889,262
Citigroup Mortgage Loan Trust, Inc., Series 2015-3, Class 1A1
0.86%		03/25/36	^3,4		13,971,850		13,615,003
Collateralized Mortgage Obligation Trust, Series 57, Class D
9.90%		02/01/19			488		517
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		09/01/33			3,280,851		3,496,451
Conseco Finance, Series 2002-C, Class BF2
8.00%		06/15/32	^3,4		332,225		360,480


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Conseco Financial Corp., Series 1996-7, Class M1
7.70%	10/15/27³	$	8,078,443	$	8,802,803
Conseco Financial Corp., Series 1998-2, Class A5
6.24%	12/01/28³		56,509		58,976
Conseco Financial Corp., Series 1998-3, Class A6
6.76%	03/01/30³		3,640,539		3,889,263
Conseco Financial Corp., Series 1998-6, Class A8
6.66%	06/01/30		4,851,031		5,196,902
CountryPlace Manufactured Housing Contract Trust, Series 2007-1, Class A4
5.85%	07/15/37^3,4		9,150,000		9,321,729
Countrywide Alternative Loan Trust, Series 2004-J6, Class 2A1
6.50%	11/25/31		12,888		13,606
Countrywide Alternative Loan Trust, Series 2005-84, Class 1A1
3.00%	02/25/36³		110,255		77,396
Countrywide Alternative Loan Trust, Series 2006-24CB, Class A19
1.26%	06/25/36³		1,473,872		953,001
Countrywide Alternative Loan Trust, Series 2006-HY13, Class 4A1
3.10%	02/25/37³		3,609,640		3,137,300
Countrywide Alternative Loan Trust, Series 2006-OC5, Class 2A2A
0.93%	06/25/36³		1,121,073		1,012,976
Countrywide Alternative Loan Trust, Series 2007-J1, Class 2A1
0.96%	03/25/37³		838,314		319,885
Countrywide Asset-Backed Certificates, Series 2005-11, Class AF4
4.72%	02/25/36³		7,000,000		7,075,131
Countrywide Asset-Backed Certificates, Series 2005-13, Class AF4
4.79%	04/25/36³		261,007		228,475
Countrywide Asset-Backed Certificates, Series 2005-16, Class 4AV4
0.93%	05/25/36³		3,830,202		3,816,283
Countrywide Asset-Backed Certificates, Series 2005-AB2, Class 1A1
1.22%	11/25/35³		27,531,344		26,500,348
Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A2
1.56%	10/25/47³		15,568,325		14,407,069
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2001-HYB1, Class 1A1
2.55%	06/19/31³		38,163		40,125


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2003-J8, Class 1A4
5.25%	09/25/23	$	157,475	$	158,986
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1
2.81%	08/25/34³		1,299,954		1,255,582
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-25, Class 1A1
1.42%	02/25/35³		176,259		161,446
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-29, Class 3A1
2.42%	02/25/35³		4,521,902		3,438,726
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB3, Class 1A
2.88%	06/20/34³		70,090		69,594
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB4, Class 2A1
3.05%	09/20/34³		1,975,270		1,903,533
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB7, Class 3A
3.12%	11/20/34³		346,984		338,811
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-11, Class 1A2
3.31%	04/25/35³		1,398,247		1,336,140
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-31, Class 2A3
2.81%	01/25/36³		379,588		360,461
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-4, Class 4A1
1.34%	02/25/35³		86,187		72,644
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1
1.36%	05/25/35³		5,970,297		5,049,760
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HY5, Class 1A1
3.32%	09/25/47³		2,005,688		1,826,406
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HYB1, Class 1A1
2.84%	03/25/37³		1,896,390		1,466,626


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A4
3.04%	08/25/33	³	$	36,467	$	35,934
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-1, Class 2A1
6.50%	02/25/34			53,327		57,882
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR5, Class 6A1
3.10%	06/25/34	³		303,704		305,378
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-6, Class 8A1
4.50%	07/25/20			20,568		20,322
Credit Suisse First Boston Mortgage Securities Corp., Series 2006-2, Class 2A1
1.46%	03/25/36	³		5,078,665		2,794,947
Credit Suisse Mortgage Trust, Series 2007-2, Class 3A4
5.50%	03/25/37			3,310,600		3,003,393
Credit Suisse Mortgage Trust, Series 2009-14R, Class 2A1
5.00%	06/26/37	⁴		10,701,418		10,956,059
Credit Suisse Mortgage Trust, Series 2010-17R, Class 1A1
2.97%	06/26/36	^3,4		978,077		987,743
Credit Suisse Mortgage Trust, Series 2011-12R, Class 1A1
1.53%	10/27/37	^3,4		2,486,169		2,478,666
Credit Suisse Mortgage Trust, Series 2011-16R, Class 5A1
2.72%	09/27/35	^3,4		3,044,169		2,969,426
Credit Suisse Mortgage Trust, Series 2014-10R, Class 3A1
2.51%	04/25/36	^3,4		5,925,579		6,064,194
Credit Suisse Mortgage Trust, Series 2014-11R, Class 10A1
0.80%	05/27/37	^3,4		14,260,842		13,715,583
Credit Suisse Mortgage Trust, Series 2014-12R, Class 1A1
2.36%	08/27/36	^3,4		21,595,782		21,815,646
Credit Suisse Mortgage Trust, Series 2014-7R, Class 7A1
0.74%	08/27/36	^3,4		12,903,885		12,654,671
Credit Suisse Mortgage Trust, Series 2014-CIM1, Class A1
2.28%	01/25/58	^3,4		59,502,807		59,798,274
Credit Suisse Mortgage Trust, Series 2015-1R, Class 5A1
3.06%	09/27/35	^3,4		14,027,331		14,288,904


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse Mortgage Trust, Series 2015-2R, Class 4A1
0.78%	06/27/47	^3,4	$	49,412,264	$	46,668,737
Credit Suisse Mortgage Trust, Series 2015-6R, Class 2A1
0.78%	11/27/46	^3,4		17,049,464		15,828,161
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB1, Class AF (STEP)
3.95%	01/25/33			20,182		20,386
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB4, Class M1
1.79%	03/25/33	³		4,766,823		4,589,345
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB5, Class M1
1.60%	11/25/33	³		107,618		103,445
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2 (STEP)
3.40%	01/25/36			9,608,190		7,053,390
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A1
0.90%	10/25/36	³		23,432,679		18,104,643
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A2B
0.87%	10/25/36	³		4,517,285		4,455,897
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB9, Class A3
0.91%	11/25/36	³		36,942,771		22,241,715
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF4 (STEP)
3.87%	01/25/37			8,449,150		4,157,000
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF5 (STEP)
3.87%	01/25/37			15,877,965		6,829,384
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP)
4.40%	02/25/37			46,489,212		34,047,276
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2D (STEP)
4.40%	02/25/37			34,037,025		24,920,572
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2E (STEP)
4.40%	02/25/37			6,189,580		4,532,759


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A2
0.75%	04/25/37	³	$	37,106,248	$	27,480,119
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB7, Class A1
0.90%	10/25/36	³		72,760,416		51,536,683
CSAB Mortgage-Backed Trust, Series 2006-4, Class A6B (STEP)
5.78%	12/25/36			5,268,016		1,202,307
Deutsche ALT-A Securities Mortgage Loan Trust, Series 2006-AR3, Class A1
0.95%	08/25/36	³		6,571,942		5,358,806
Deutsche ALT-A Securities Mortgage Loan Trust, Series 2006-AR4, Class A1
0.89%	12/25/36	³		2,802,103		1,745,727
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 4A5
5.25%	06/25/35			288,699		291,690
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-6, Class 1A7
5.50%	12/25/35			675,819		551,202
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AR6, Class AR6
0.95%	02/25/37	³		1,306,327		1,051,277
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR1, Class 2A1
3.51%	02/25/36	³		1,678,588		1,337,044
DSLA Mortgage Loan Trust, Series 2004-AR4, Class 2A1A
1.10%	01/19/45	³		3,575,806		3,086,505
DSLA Mortgage Loan Trust, Series 2005-AR1, Class 2A1A
0.99%	03/19/45	³		645,409		593,431
DSLA Mortgage Loan Trust, Series 2005-AR3, Class 2A1A
0.98%	07/19/45	³		328,741		298,772
DSLA Mortgage Loan Trust, Series 2006-AR2, Class 2A1A
0.94%	10/19/36	³		25,103,945		21,389,068
DSLA Mortgage Loan Trust, Series 2007-AR1, Class 2A1A
0.88%	04/19/48	³		14,474,643		12,603,134
Equity One ABS, Inc., Series 1998-1, Class A2 (STEP)
7.48%	11/25/29			83,747		81,642
Equity One Mortgage Pass-Through Trust, Series 2002-4, Class M1
5.22%	02/25/33	³		11,938		11,516
Equity One Mortgage Pass-Through Trust, Series 2002-5, Class M1 (STEP)
5.80%	11/25/32			72,155		73,291


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA2, Class 1A1
2.73%	08/25/34	³	$	15,285,384	$	15,647,293
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
2.76%	09/25/34	³		90,228		88,097
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1
2.84%	10/25/34	³		3,407,070		3,347,900
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA10, Class 1A1
3.04%	12/25/35	³		31,721,552		26,238,818
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA12, Class 2A1
2.81%	02/25/36	³		37,725,344		32,716,546
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA4, Class 2A1
3.01%	06/25/35	³		34,157,219		31,270,355
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA7, Class 2A1
2.82%	09/25/35	³		33,018,348		30,343,362
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA8, Class 2A1
2.76%	10/25/35	³		42,916,929		37,877,013
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1
2.88%	11/25/35	³		36,527,303		33,295,717
First Horizon Alternative Mortgage Securities Trust, Series 2006-AA1, Class 1A1
2.81%	03/25/36	³		37,246,150		31,741,991
First Horizon Alternative Mortgage Securities Trust, Series 2006-FA8, Class 1A7
6.00%	02/25/37			17,453		13,579
First Horizon Mortgage Pass-Through Trust, Series 2004-AR1, Class 2A1
2.78%	02/25/34	³		1,056,444		1,052,337
First Horizon Mortgage Pass-Through Trust, Series 2004-AR5, Class 2A1
3.03%	10/25/34	³		1,457,929		1,420,721
First Horizon Mortgage Pass-Through Trust, Series 2004-AR6, Class 2A1
3.02%	12/25/34	³		626,166		626,296
First Horizon Mortgage Pass-Through Trust, Series 2006-AR4, Class 1A2
2.90%	01/25/37	³		237,247		208,469
First Horizon Mortgage Pass-Through Trust, Series 2007-AR3, Class 1A1
2.83%	11/25/37	³		579,224		504,439
FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2
1.14%	08/19/34	³		21,051		20,574


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Fremont Home Loan Trust, Series 2005-C, Class M1
1.24%	07/25/35	³	$	4,672,183	$	4,686,672
GE Business Loan Trust, Series 2007-1A, Class A
0.87%	04/16/35	^3,4		15,485,582		14,441,592
GMAC Mortgage Corp. Loan Trust, Series 2003-AR2, Class 3A5
3.69%	12/19/33	³		5,934,831		5,933,898
GMAC Mortgage Corp. Loan Trust, Series 2004-AR1, Class 22A
3.53%	06/25/34	³		8,277		8,122
GMAC Mortgage Corp. Loan Trust, Series 2005-AR6, Class 3A1
3.41%	11/19/35	³		1,338,178		1,249,953
GMAC Mortgage Corp. Loan Trust, Series 2006-AR2, Class 1A1
2.85%	05/19/36	³		1,936,836		1,317,366
GMACM Home Equity Loan Trust, Series 2000-HE2, Class A1
1.20%	06/25/30	³		42,629		41,929
GreenPoint Mortgage Funding Trust, Series 2005-AR3, Class 1A1
1.00%	08/25/45	³		2,340,974		1,932,467
GreenPoint Mortgage Funding Trust, Series 2005-HY1, Class 1A1A
1.03%	07/25/35	³		16,252,322		15,853,027
GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A
0.94%	01/25/47	³		5,156,441		5,084,918
GreenPoint Mortgage Funding Trust, Series 2007-AR1, Class 3A2
0.92%	02/25/37	³		5,170,151		4,695,248
GSAA Home Equity Trust, Series 2005-11, Class 1A1
1.04%	10/25/35	³		15,589,262		14,493,204
GSAA Home Equity Trust, Series 2005-9, Class 2A3
1.13%	08/25/35	³		3,970,311		3,893,561
GSAMP Trust, Series 2005-AHL2, Class A2D
1.11%	12/25/35	³		25,693,000		19,719,632
GSAMP Trust, Series 2005-HE5, Class M1
1.18%	11/25/35	³		8,795,500		8,745,849
GSR Mortgage Loan Trust, Series 2004-9, Class 3A1
3.15%	08/25/34	³		6,639		6,894
GSR Mortgage Loan Trust, Series 2004-9, Class 5A7
3.09%	08/25/34	³		640,106		629,421
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3
3.21%	10/25/35	³		6,371,334		5,472,327


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5
3.08%	09/25/35	³	$	390,528	$	416,918
GSR Mortgage Loan Trust, Series 2006-OA1, Class 2A1
0.95%	08/25/46	³		2,193,817		2,167,604
GSR Mortgage Loan Trust, Series 2007-AR2, Class 2A1
3.12%	05/25/47	³		4,253,838		3,810,490
Harborview Mortgage Loan Trust, Series 2004-1, Class 2A
2.97%	04/19/34	³		11,956		12,114
Harborview Mortgage Loan Trust, Series 2004-11, Class 3A2A
1.42%	01/19/35	³		621,661		501,813
Harborview Mortgage Loan Trust, Series 2004-5, Class 2A6
2.78%	06/19/34	³		7,787		7,753
Harborview Mortgage Loan Trust, Series 2005-4, Class 2A
3.45%	07/19/35	³		422,030		392,858
Harborview Mortgage Loan Trust, Series 2006-8, Class 2A1A
0.93%	07/21/36	³		239,842		194,416
Harborview Mortgage Loan Trust, Series 2007-7, Class 2A1A
1.76%	11/25/47	³		1,070,435		1,003,813
Home Equity Mortgage Loan Trust, Series 2005-C, Class AI1
1.02%	10/25/35	³		7,075,120		7,048,033
Homestar Mortgage Acceptance Corp., Series 2004-5, Class A4
1.33%	10/25/34	³		1,826,531		1,824,613
HSBC Home Equity Loan Trust, Series 2007-1, Class AM
0.80%	03/20/36	³		480,586		481,028
HSBC Home Equity Loan Trust, Series 2007-3, Class A4
2.06%	11/20/36	³		7,249,597		7,276,704
HSBC Home Equity Loan Trust, Series 2007-3, Class APT
1.76%	11/20/36	³		16,482,128		16,497,687
HSI Asset Securitization Corp. Trust, Series 2006-OPT1, Class 2A3
0.95%	12/25/35	³		3,146,721		3,138,659
Impac CMB Trust, Series 2005-1, Class 1A1
1.28%	04/25/35	³		7,111,068		6,605,098
Impac CMB Trust, Series 2005-4, Class 1A1B
1.01%	05/25/35	³		9,952,551		9,019,922


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Impac Secured Assets Trust, Series 2004-3, Class 1
1.56%	11/25/34	³	$	594,175	$	585,924
Impac Secured Assets Trust, Series 2007-2, Class 1A1A
0.87%	05/25/37	³		22,649,415		16,555,568
Impac Secured Assets Trust, Series 2007-2, Class 1A1B
1.01%	05/25/37	³		32,418,002		23,145,262
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A
2.94%	08/25/34	³		1,843,112		1,675,816
IndyMac Index Mortgage Loan Trust, Series 2004-AR5, Class 2A1B
1.56%	08/25/34	³		24,093		20,338
IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A2
1.62%	09/25/34	³		91,433		83,767
IndyMac Index Mortgage Loan Trust, Series 2005-AR1, Class 4A1
2.98%	03/25/35	³		1,318,876		1,314,971
IndyMac Index Mortgage Loan Trust, Series 2005-AR13, Class 4A1
2.97%	08/25/35	³		141,960		126,635
IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A1
3.01%	09/25/35	³		664,300		572,363
IndyMac Index Mortgage Loan Trust, Series 2005-AR17, Class 3A1
2.99%	09/25/35	³		7,498,288		6,559,429
IndyMac Index Mortgage Loan Trust, Series 2005-AR19, Class A1
3.03%	10/25/35	³		44,179,130		37,894,464
IndyMac Index Mortgage Loan Trust, Series 2005-AR31, Class 3A1
2.98%	01/25/36	³		2,609,605		2,314,092
IndyMac Index Mortgage Loan Trust, Series 2005-AR6, Class 2A1
1.00%	04/25/35	³		977,001		854,525
IndyMac Index Mortgage Loan Trust, Series 2006-AR19, Class 1A2
3.31%	08/25/36	³		23,594,373		16,687,876
IndyMac Index Mortgage Loan Trust, Series 2006-AR21, Class A1
0.88%	08/25/36	³		283,243		226,972
IndyMac Index Mortgage Loan Trust, Series 2006-AR27, Class 2A
0.96%	10/25/36	³		39,044,620		33,388,800
IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 1A1
3.26%	05/25/36	³		6,091,989		4,576,373


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 2A1
3.21%	05/25/36	³	$	41,839,815	$	33,557,509
IndyMac Index Mortgage Loan Trust, Series 2007-AR1, Class 1A2
3.16%	03/25/37	³		1,490,624		1,363,200
IndyMac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1
2.87%	06/25/37	³		6,089,036		4,620,632
IndyMac Index Mortgage Loan Trust, Series 2007-AR7, Class 1A1
3.33%	11/25/37	³		5,312,536		4,976,451
IndyMac Manufactured Housing Contract, Series 1997-1, Class A3
6.61%	02/25/28			193,521		196,329
JPMorgan Alternative Loan Trust, Series 2006-A2, Class 1A3
0.93%	05/25/36	³		491,763		529,144
JPMorgan Alternative Loan Trust, Series 2006-A2, Class 2A1
3.13%	05/25/36	³		1,245,613		964,023
JPMorgan Alternative Loan Trust, Series 2006-A2, Class 5A1
3.12%	05/25/36	³		12,386,834		8,615,686
JPMorgan Mortgage Acquisition Corp., Series 2005-OPT2, Class A4
1.08%	12/25/35	³		7,633,786		7,638,787
JPMorgan Mortgage Acquisition Corp., Series 2005-WMC1, Class M2
1.42%	09/25/35	³		16,790,235		16,327,548
JPMorgan Mortgage Acquisition Trust, Series 2006-NC2, Class A4
0.73%	07/25/36	³		21,898,485		21,507,308
JPMorgan Mortgage Acquisition Trust, Series 2006-WF1, Class A3A (STEP)
5.83%	07/25/36			29,662,383		16,654,251
JPMorgan Mortgage Acquisition Trust, Series 2006-WF1, Class A6 (STEP)
6.00%	07/25/36			6,071,313		3,362,932
JPMorgan Mortgage Acquisition Trust, Series 2007-CH1, Class AV5
1.00%	11/25/36	³		15,227,220		15,174,116
JPMorgan Mortgage Acquisition Trust, Series 2007-CH3, Class A4
0.97%	03/25/37	³		3,566,818		3,425,918
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF1
0.86%	03/25/47	³		182,379		114,516
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF2 (STEP)
4.48%	03/25/47			11,930,839		8,824,678


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF3 (STEP)
4.48%	03/25/47		$	9,584,837	$	7,089,302
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF4 (STEP)
4.48%	03/25/47			4,564,208		3,375,706
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AV4
1.04%	03/25/47	³		240,000		139,927
JPMorgan Mortgage Trust, Series 2003-A2, Class 2A3
2.65%	11/25/33	³		261,095		255,063
JPMorgan Mortgage Trust, Series 2004-A4, Class 1A3
3.29%	09/25/34	³		1,248,869		1,278,800
JPMorgan Mortgage Trust, Series 2005-A5, Class TA1
3.10%	08/25/35	³		217,140		215,551
JPMorgan Mortgage Trust, Series 2005-S2, Class 4A3
5.50%	09/25/20			4,680,825		4,579,518
JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3
3.14%	11/25/33	³		13,313		13,482
JPMorgan Mortgage Trust, Series 2006-A3, Class 2A1
2.98%	05/25/36	³		2,270,099		1,898,846
JPMorgan Mortgage Trust, Series 2006-A3, Class 3A3
3.10%	05/25/36	³		1,474,554		1,325,239
JPMorgan Mortgage Trust, Series 2006-A4, Class 1A1
3.26%	06/25/36	³		1,087,209		944,931
JPMorgan Mortgage Trust, Series 2006-A4, Class 1A4
3.26%	06/25/36	³		3,504,814		3,170,554
JPMorgan Mortgage Trust, Series 2006-A5, Class 2A4
3.13%	08/25/36	³		799,721		754,119
JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2
3.18%	07/25/35	³		4,083,427		4,145,217
JPMorgan Mortgage Trust, Series 2007-A3, Class 2A3
2.98%	05/25/37	³		5,301,355		4,661,299
JPMorgan Mortgage Trust, Series 2007-A3, Class 3A2
4.34%	05/25/37	³		817,173		768,945
JPMorgan Mortgage Trust, Series 2007-A4, Class 1A1
3.01%	06/25/37	³		7,299,599		6,452,246


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust, Series 2007-A4, Class 2A3
3.13%	06/25/37	³	$	1,155,160	$	1,069,553
JPMorgan Resecuritization Trust, Series 2015-1, Class 3A1
0.77%	12/27/46	^3,4		25,970,807		24,702,803
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4
5.27%	04/15/40			12,259		12,635
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6
0.00%	04/15/40	³		3,550,851		3,703,897
Lehman XS Trust, Series 2005-5N, Class 3A1A
1.06%	11/25/35	³		18,384,328		16,370,440
Lehman XS Trust, Series 2006-12N, Class A31A
0.96%	08/25/46	³		29,400,236		22,815,327
Lehman XS Trust, Series 2006-13, Class 1A2
0.93%	09/25/36	³		22,169,098		20,215,573
Lehman XS Trust, Series 2006-14N, Class 3A2
0.88%	08/25/36	³		136,299		111,084
Lehman XS Trust, Series 2006-9, Class A1B
0.92%	05/25/46	³		26,930,960		23,630,436
Long Beach Mortgage Loan Trust, Series 2004-4, Class M1
1.66%	10/25/34	³		69,304		63,835
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
3.36%	01/25/34	³		104,081		101,294
MASTR Adjustable Rate Mortgages Trust, Series 2003-7, Class 3A1
2.50%	11/25/33	³		1,882,239		1,967,447
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A1
3.04%	11/21/34	³		10,413,179		10,656,889
MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 9A1
3.24%	10/25/34	³		1,042,648		1,000,186
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1
1.63%	06/25/34	³		262		240
MASTR Adjustable Rate Mortgages Trust, Series 2004-8, Class 2A1
3.88%	09/25/34	³		5,665,579		5,678,575
MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 5A1
3.25%	05/25/36	³		14,031,804		11,651,285


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Alternative Loan Trust, Series 2004-6, Class 3A1
4.75%	07/25/19		$	1,276,347	$	1,296,899
MASTR Asset Securitization Trust, Series 2002-8, Class 1A1
5.50%	12/25/17			6,863		6,881
MASTR Asset Securitization Trust, Series 2003-8, Class 3A12
5.25%	09/25/33			1,232,894		1,327,261
MASTR Asset Securitization Trust, Series 2004-3, Class 3A2
4.50%	03/25/19			575,877		586,199
MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A3
0.91%	11/25/36	³		17,861,449		8,507,187
MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A4
0.97%	11/25/36	³		4,961,514		2,384,994
MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A3
0.97%	05/25/37	³		51,903,000		40,757,293
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
3.05%	10/25/32	³		27,960		28,041
Mellon Residential Funding Corp., Series 2001-TBC1, Class A1
1.40%	11/15/31	³		2,521,973		2,362,845
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-5, Class 1A
0.91%	04/25/36	³		41,847,951		41,035,010
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2C
0.92%	10/25/36	³		5,461,615		3,946,490
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2B
0.87%	12/25/37	³		13,725,453		8,917,515
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2C
0.92%	12/25/37	³		37,746,231		24,732,897
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2D
0.97%	12/25/37	³		27,357,239		18,077,026
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FFS, Class IIA4
0.99%	07/25/36	³		31,440,000		25,172,078
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A2B
0.93%	04/25/37	³		17,542,694		10,228,240
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A2C
1.01%	04/25/37	³		73,485,668		43,430,118


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C
1.00%	05/25/37	³	$	44,904,993	$	27,114,443
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2D
1.08%	05/25/37	³		22,176,035		13,559,523
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
0.94%	06/25/37	³		19,474,943		13,618,556
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D
1.01%	06/25/37	³		26,010,826		18,947,136
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A2
0.88%	07/25/37	³		40,218,144		25,688,419
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A3
0.92%	07/25/37	³		29,480,899		18,566,246
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2C
0.72%	01/25/38	³		104,848,707		68,640,842
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B
0.68%	03/25/37	³		36,974,495		21,734,118
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2C
0.73%	03/25/37	³		19,114,019		11,323,915
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2D
0.80%	03/25/37	³		35,589,797		21,315,349
Merrill Lynch Mortgage Backed Securities Trust, Series 2007-2, Class 1A1
3.18%	08/25/36	³		9,194,296		8,494,112
Merrill Lynch Mortgage Investors Trust, Series 2003-A6, Class 2A
3.26%	10/25/33	³		796,141		808,996
Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A1
2.86%	08/25/34	³		3,269,145		3,315,477
Merrill Lynch Mortgage Investors Trust, Series 2005-A10, Class A
0.97%	02/25/36	³		19,944		19,079
Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC2, Class A2B (STEP)
4.07%	03/25/37			35,237,199		11,283,275
Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC2, Class A2D (STEP)
4.07%	03/25/37			27,578,943		8,831,121
Mid-State Trust VI, Series 2006, Class A1
7.34%	07/01/35			83,503		88,631
Mid-State Trust VI, Series 2006, Class A2
7.40%	07/01/35			5,219		5,505


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Mid-State Trust XI, Series 2011, Class A1
4.86%	07/15/38		$	323,647	$	345,911
Mid-State Trust, Series 2004-1, Class A
6.01%	08/15/37			446,481		487,392
Mid-State Trust, Series 2005-1, Class A
5.75%	01/15/40			20,984,643		22,635,081
Mid-State Trust, Series 2006-1, Class A
5.79%	10/15/40	⁴		14,334,616		15,407,112
Morgan Stanley Capital I Trust, Series 2006-NC1, Class A4
1.06%	12/25/35	³		14,436,815		14,251,394
Morgan Stanley Mortgage Loan Trust, Series 2004-11AR, Class 1A1
1.08%	01/25/35	³		290,856		270,275
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 2A2
5.50%	04/25/34			290,043		293,860
Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4
2.59%	09/25/34	³		1,879,427		1,872,939
Morgan Stanley Mortgage Loan Trust, Series 2005-2AR, Class A
1.02%	04/25/35	³		7,281,128		6,920,714
Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2
5.96%	06/25/36	³		908,883		449,662
Morgan Stanley Mortgage Loan Trust, Series 2007-6XS, Class 1A2S (STEP)
5.50%	02/25/47			466,348		463,111
Morgan Stanley Mortgage Loan Trust, Series 2007-7AX, Class 2A1
0.88%	04/25/37	³		6,762,309		3,241,088
Morgan Stanley Resecuritization Trust, Series 2013-R9, Class 3A
2.76%	06/26/46	^3,4		10,148,647		10,140,395
Morgan Stanley Resecuritization Trust, Series 2014-R2, Class 1A
1.36%	12/26/46	^3,4		25,509,725		24,739,676
Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 4A
1.52%	07/26/46	^3,4		11,795,153		11,601,468
Morgan Stanley Resecuritization Trust, Series 2014-R4, Class 2A
3.13%	11/26/35	^3,4		6,049,887		6,132,634
Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 3A
1.29%	06/26/47	^3,4		46,769,004		45,226,937
Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 4A
1.50%	06/26/47	^3,4		20,275,162		19,803,987


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Morgan Stanley Resecuritization Trust, Series 2015-R4, Class 2A
0.98%	08/26/47	^3,4	$	25,456,106	$	25,051,565
MortgageIT Trust, Series 2005-1, Class 1A1
1.40%	02/25/35	³		13,973,312		13,418,949
MortgageIT Trust, Series 2005-4, Class A1
1.04%	10/25/35	³		16,821,977		15,568,637
MortgageIT Trust, Series 2005-5, Class A1
1.02%	12/25/35	³		2,353,679		2,167,438
Nationstar Home Equity Loan Trust, Series 2006-B, Class AV4
1.04%	09/25/36	³		24,307,890		23,708,193
Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV4
1.01%	06/25/37	³		8,265,000		6,216,268
New Century Home Equity Loan Trust, Series 2003-6, Class M1
1.84%	01/25/34	³		35,536		33,732
New Century Home Equity Loan Trust, Series 2005-2, Class M1
1.40%	06/25/35	³		13,127		13,184
New Century Home Equity Loan Trust, Series 2005-4, Class M1
1.24%	09/25/35	³		19,070,126		18,949,730
New Century Home Equity Loan Trust, Series 2005-B, Class A1
1.01%	10/25/35	³		26,559,112		26,646,899
Newcastle Mortgage Securities Trust, Series 2006-1, Class A4
1.04%	03/25/36	³		29,937,515		30,001,603
Nomura Home Equity Loan, Inc., Series 2006-HE2, Class A4
1.03%	03/25/36	³		24,732,000		21,912,144
Nomura Home Equity Loan, Inc., Series 2006-WF1, Class A4
1.00%	03/25/36	³		17,542,369		17,556,695
Nomura Resecuritization Trust, Series 2014-6R, Class 2A1
0.17%	03/26/37	^3,4		18,123,067		17,327,053
Nomura Resecuritization Trust, Series 2011-4RA, Class 1A1
2.68%	12/26/36	^3,4		15,314,991		15,359,667
Nomura Resecuritization Trust, Series 2011-4RA, Class 2A1
2.58%	06/26/37	^3,4		7,184,882		7,246,159
Nomura Resecuritization Trust, Series 2013-1R, Class 2A1
0.78%	11/26/36	^3,4		9,959,820		9,637,251
Nomura Resecuritization Trust, Series 2013-1R, Class 3A1
0.74%	10/26/36	^3,4		1,067,759		1,065,037


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Nomura Resecuritization Trust, Series 2014-4R, Class 1A1
3.02%	01/25/36	^3,4	$	15,461,942	$	15,587,994
Nomura Resecuritization Trust, Series 2014-4R, Class 3A1
0.73%	09/25/36	^3,4		8,374,126		8,108,357
Nomura Resecuritization Trust, Series 2014-7R, Class 4A1
0.72%	01/26/37	^3,4		32,766,653		31,841,624
Nomura Resecuritization Trust, Series 2015-4R, Class 1A1
0.68%	03/26/47	^3,4		18,157,901		17,803,728
Oakwood Mortgage Investors, Inc., Series 2000-A, Class A5
8.16%	09/15/29	³		23,692,319		16,236,664
Option One Mortgage Loan Trust, Series 2005-4, Class A3
1.02%	11/25/35	³		5,405		5,411
Option One Mortgage Loan Trust, Series 2005-5, Class A3
0.97%	12/25/35	³		17,281		17,233
Ownit Mortgage Loan Asset-Backed Certificates, Series 2006-4, Class A2D
1.00%	05/25/37	³		28,636,426		21,244,800
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A
1.02%	09/25/35	³		12,183,806		12,204,652
Popular ABS Mortgage Pass-Through Trust, Series 2005-6, Class A5 (STEP)
4.19%	01/25/36			22,910,000		19,827,377
Popular ABS Mortgage Pass-Through Trust, Series 2006-D, Class A3
1.02%	11/25/46	³		85,000		76,525
Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3
1.07%	06/25/47	³		23,015,500		16,809,978
Provident Funding Mortgage Loan Trust, Series 2003-1, Class A
2.91%	08/25/33	³		873,028		873,700
Residential Accredit Loans Trust, Series 2003-QS3, Class A4
5.50%	02/25/18			31,132		31,448
Residential Accredit Loans Trust, Series 2005-QA10, Class A31
4.02%	09/25/35	³		769,017		665,779
Residential Accredit Loans Trust, Series 2005-QA12, Class CB1
4.11%	12/25/35	³		6,178,482		4,228,680
Residential Accredit Loans Trust, Series 2005-QA4, Class A41
3.44%	04/25/35	³		4,578,595		4,422,734


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust, Series 2005-QA7, Class A1
3.68%	07/25/35	³	$	5,830,123	$	4,531,738
Residential Accredit Loans Trust, Series 2005-QO5, Class A1
1.57%	01/25/46	³		10,503,920		7,867,819
Residential Accredit Loans Trust, Series 2006-QA1, Class A11
3.66%	01/25/36	³		264,672		202,582
Residential Accredit Loans Trust, Series 2006-QA1, Class A21
4.14%	01/25/36	³		24,782,779		20,242,529
Residential Accredit Loans Trust, Series 2006-QA7, Class 2A1
0.94%	08/25/36	³		42,879,140		36,314,060
Residential Accredit Loans Trust, Series 2006-QS10, Class AV (IO)
0.57%	08/25/36	^3,5		43,363,716		1,037,832
Residential Accredit Loans Trust, Series 2006-QS12, Class 2A9
1.14%	09/25/36	³		387,496		250,709
Residential Accredit Loans Trust, Series 2006-QS2, Class 1AV (IO)
0.49%	02/25/36	^3,5		148,362,540		2,874,984
Residential Accredit Loans Trust, Series 2006-QS7, Class AV (IO)
0.66%	06/25/36	^3,5		77,541,769		1,902,735
Residential Accredit Loans Trust, Series 2006-QS8, Class AV (IO)
0.78%	08/25/36	^3,5		181,088,029		5,704,210
Residential Accredit Loans Trust, Series 2007-QS10, Class AV (IO)
0.45%	09/25/37	^3,5		116,424,725		2,020,213
Residential Accredit Loans Trust, Series 2007-QS4, Class 3AV (IO)
0.38%	03/25/37	^3,5		73,420,329		983,781
Residential Accredit Loans Trust, Series 2007-QS5, Class AV (IO)
0.25%	03/25/37	^3,5		91,599,545		1,106,101
Residential Accredit Loans Trust, Series 2007-QS6, Class AV (IO)
0.33%	04/25/37	^3,5		195,272,520		2,823,680
Residential Accredit Loans Trust, Series 2007-QS7, Class 2AV (IO)
0.36%	06/25/37	^3,5		57,718,234		871,505
Residential Accredit Loans Trust, Series 2007-QS8, Class AV (IO)
0.39%	06/25/37	^3,5		156,467,088		2,247,493
Residential Asset Mortgage Products Trust, Series 2004-SL3, Class A2
6.50%	12/25/31			42,269		42,951


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Mortgage Products Trust, Series 2003-RS10, Class AI6 (STEP)
5.77%	11/25/33		$	383,401	$	391,633
Residential Asset Mortgage Products Trust, Series 2003-RS11, Class AI6A (STEP)
5.85%	12/25/33			229,907		243,657
Residential Asset Mortgage Products Trust, Series 2003-RS9, Class AI6A (STEP)
5.80%	10/25/33			98,638		104,543
Residential Asset Mortgage Products Trust, Series 2004-RS12, Class AI6
4.55%	12/25/34			1,866		1,882
Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A8
6.50%	11/25/31			54,354		55,210
Residential Asset Mortgage Products Trust, Series 2004-SL3, Class A4
8.50%	12/25/31			37,193		29,649
Residential Asset Mortgage Products Trust, Series 2005-RS8, Class A3
1.13%	09/25/35	³		32,746,556		33,107,209
Residential Asset Securities Trust, Series 2004-IP2, Class 1A1
3.14%	12/25/34	³		384,875		401,885
Residential Asset Securities Trust, Series 2004-IP2, Class 2A1
3.15%	12/25/34	³		38,529		38,515
Residential Asset Securities Trust, Series 2004-IP2, Class 3A1
3.11%	12/25/34	³		828,490		821,185
Residential Asset Securities Trust, Series 2006-A7CB, Class 1A3
6.25%	07/25/36			3,572,166		3,408,714
Residential Funding Mortgage Securities Trust, Series 2004-S6, Class 1A6
5.50%	06/25/34			521,713		530,684
Residential Funding Mortgage Securities Trust, Series 2005-SA5, Class 1A
3.37%	11/25/35	³		9,086,475		7,464,195
Residential Funding Mortgage Securities Trust, Series 2006-SA3, Class 3A1
4.02%	09/25/36	³		1,557,731		1,326,312
Residential Funding Mortgage Securities Trust, Series 2006-SA3, Class 4A1
4.59%	09/25/36	³		553,346		453,161
Residential Funding Mortgage Securities Trust, Series 2006-SA4, Class 2A1
4.34%	11/25/36	³		168,562		148,006
Residential Funding Mortgage Securities Trust, Series 2007-SA2, Class 2A2
3.55%	04/25/37	³		3,469,401		2,985,948


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Saxon Asset Securities Trust, Series 2001-2, Class AF6 (STEP)⁹
5.51%	06/25/16	⁶	$	10,293	$	10,308
Saxon Asset Securities Trust, Series 2005-2, Class M1
1.39%	10/25/35	³		6,647,855		6,620,766
Saxon Asset Securities Trust, Series 2007-1, Class A2C
0.91%	01/25/47	³		11,936,955		10,412,378
Saxon Asset Securities Trust, Series 2007-3, Class 2A3
1.16%	09/25/47	³		32,174,000		25,841,446
Securitized Asset Backed Receivables LLC Trust, Series 2007-BR1, Class A2A
0.87%	02/25/37	³		7,494,026		4,042,490
Securitized Asset Backed Receivables LLC Trust, Series 2007-BR1, Class A2B
1.03%	02/25/37	³		37,097,771		22,049,384
Securitized Asset Backed Receivables LLC Trust, Series 2007-BR2, Class A2
0.99%	02/25/37	³		61,250,725		41,287,447
Securitized Asset Backed Receivables LLC Trust, Series 2007-BR5, Class A2A
0.89%	05/25/37	³		23,327,022		18,100,678
Securitized Asset Backed Receivables LLC Trust, Series 2007-BR5, Class A2C
1.11%	05/25/37	³		17,593,039		14,071,475
Securitized Asset Backed Receivables LLC Trust, Series 2007-NC1, Class A2B
0.91%	12/25/36	³		41,966,677		23,472,596
Securitized Asset Backed Receivables LLC Trust, Series 2007-NC2, Class A2B
0.90%	01/25/37	³		23,422,910		15,228,877
Sequoia Mortgage Trust, Series 2003-2, Class A1
1.40%	06/20/33	³		1,862		1,767
Sequoia Mortgage Trust, Series 2003-8, Class A1
1.38%	01/20/34	³		3,167		3,042
Sequoia Mortgage Trust, Series 2004-3, Class A
1.76%	05/20/34	³		832,177		798,024
SG Mortgage Securities Trust, Series 2007-NC1, Class A2
1.00%	12/25/36	^3,4		19,251,172		11,854,531
Soundview Home Loan Trust, Series 2006-1, Class A3
0.95%	02/25/36	³		1,054,972		1,055,683
Soundview Home Loan Trust, Series 2006-EQ1, Class A4
1.01%	10/25/36	³		14,062,000		10,857,904


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Soundview Home Loan Trust,
Series 2006-WF2, Class A2C
0.90%		12/25/36	³	$	3,086,541	$	3,085,220
STRU TCW-1070 Coll
2.99%		02/28/29			37,610,000		36,697,664
STRU TCW-1071 Coll
3.22%		01/28/27			23,130,000		23,388,405
STRU TCW-1072 Coll
3.22%		01/25/27			29,420,000		29,748,677
STRU TCW-1073 Coll
3.22%		01/25/27			49,395,000		49,946,835
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-1, Class 3A3
3.08%		02/25/34	³		28,301		28,352
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-12, Class 2A
2.99%		09/25/34	³		15,865,066		15,655,007
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-14, Class 1A
3.03%		10/25/34	³		351,865		351,125
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-14, Class 2A
3.08%		10/25/34	³		17,087,528		17,422,556
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-15, Class A
3.05%		10/25/34	³		4,413,750		4,354,534
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-16, Class 3A1
3.27%		11/25/34	³		12,989,973		13,314,734
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-17, Class A1
1.70%		11/25/34	³		76,694		68,943
Structured Adjustable Rate Mortgage Loan
Trust, Series 2004-20, Class 1A2
3.05%		01/25/35	³		1,190,813		1,140,870
Structured Adjustable Rate Mortgage Loan
Trust, Series 2005-12, Class 3A1
3.17%		06/25/35	³		3,897,679		3,612,364
Structured Adjustable Rate Mortgage Loan
Trust, Series 2006-12, Class 1A1
0.92%		01/25/37	³		57,738,892		47,929,256
Structured Adjustable Rate Mortgage Loan
Trust, Series 2007-9, Class 2A1
3.27%		10/25/47	³		1,380,846		1,129,287
Structured Asset Investment Loan Trust,
Series 2005-HE3, Class A5
1.48%		09/25/35	³		9,285,365		9,318,484
Structured Asset Investment Loan Trust,
Series 2006-1, Class A3
0.96%		01/25/36	³		9,557,997		9,496,632


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Mortgage Investments II
Trust, Series 2006-AR3, Class 24A1
2.76%		05/25/36	³	$	647,993	$	359,804
Structured Asset Securities Corp. Mortgage
Loan Trust, Series 2004-23XS, Class 2A1
1.06%		01/25/35	³		3,116,074		2,846,443
Structured Asset Securities Corp. Mortgage
Loan Trust, Series 2006-WF2, Class A4
1.07%		07/25/36	³		32,461,148		31,582,694
Structured Asset Securities Corp. Mortgage
Loan Trust, Series 2006-WF3, Class A1
0.90%		09/25/36	³		15,211,926		15,132,893
Structured Asset Securities Corp. Mortgage
Loan Trust, Series 2006-WF3, Class A3
0.91%		09/25/36	³		834,702		834,151
Structured Asset Securities Corp.,
Series 1997-2, Class 2A4
7.25%		03/28/30			2,040		2,062
Structured Asset Securities Corp.,
Series 2001-15A, Class 4A1
2.68%		10/25/31	³		9,761		9,745
Structured Asset Securities Corp.,
Series 2003-26A, Class 3A5
2.97%		09/25/33	³		331,819		326,101
Structured Asset Securities Corp.,
Series 2003-34A, Class 5A4
3.15%		11/25/33	³		2,531,832		2,554,425
Structured Asset Securities Corp.,
Series 2004-2AC, Class A1
3.06%		02/25/34	³		119,125		119,376
Structured Asset Securities Corp.,
Series 2005-17, Class 4A4
5.50%		10/25/35			4,803,054		4,974,499
Structured Asset Securities Corp.,
Series 2005-5, Class 2A4
5.50%		04/25/35			4,470,285		4,350,857
Structured Asset Securities Corp.,
Series 2006-WF1, Class A5
1.06%		02/25/36	³		920,646		922,580
Suntrust Adjustable Rate Mortgage Loan
Trust, Series 2007-3, Class 1A1
3.15%		06/25/37	³		9,347,045		8,341,168
Thornburg Mortgage Securities Trust,
Series 2004-4, Class 2A
2.83%		12/25/44	³		208,064		202,601
Wachovia Mortgage Loan Trust LLC,
Series 2006-ALT1, Class A3
0.99%		01/25/37	³		25,332,469		17,511,647
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A2
0.87%		01/25/37	³		5,094,614		3,089,279


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A3
0.91%		01/25/37	³	$	47,029,014	$	28,682,532
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A4
0.99%		01/25/37	³		15,786,846		9,738,147
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR1, Class 1A1
2.74%		11/25/30	³		430,578		430,710
WaMu Mortgage Pass-Through Certificates,
Series 2003-AR6, Class A1
2.90%		06/25/33	³		7,984,916		7,959,506
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR3, Class A2
2.80%		06/25/34	³		74,637		75,051
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR6, Class A
1.18%		05/25/44	³		2,819,693		2,680,972
WaMu Mortgage Pass-Through Certificates,
Series 2005-3, Class 2A3
1.31%		05/25/35	³		5,245,409		3,666,379
WaMu Mortgage Pass-Through Certificates,
Series 2005-4, Class CB13
1.26%		06/25/35	³		8,959,154		7,098,588
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR1, Class A1A
1.40%		01/25/45	³		1,251,148		1,181,530
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR11, Class A1A
1.08%		08/25/45	³		64,311,530		62,445,718
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR12, Class 1A6
2.75%		10/25/35	³		2,541,416		2,449,047
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1
1.05%		10/25/45	³		9,994,852		9,634,345
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR14, Class 2A1
2.96%		12/25/35	³		8,270,682		7,597,177
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR15, Class A1A1
1.02%		11/25/45	³		45,093,754		42,402,374
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR17, Class A1A1
1.03%		12/25/45	³		21,256,071		20,113,192
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR19, Class A1A2
1.05%		12/25/45	³		28,509,891		26,455,930
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 1A1A
1.09%		01/25/45	³		21,509,826		20,724,234


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A1A
1.07%		01/25/45	³	$	2,097,690	$	1,958,311
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A23
1.14%		01/25/45	³		7,448,884		7,005,526
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR6, Class 2A1A
0.99%		04/25/45	³		282,544		267,411
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR1, Class 2A1A
1.64%		01/25/46	³		53,339,997		52,062,882
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR10, Class 1A4
2.84%		09/25/36	³		24,186,248		22,715,968
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR16, Class 3A1
2.65%		12/25/36	³		1,141,261		1,051,209
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class A1A
1.57%		02/25/46	³		1,376,858		1,270,555
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR4, Class 1A1A
1.48%		05/25/46	³		9,465,232		8,720,651
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR7, Class 2A
1.55%		07/25/46	³		19,837,214		16,970,655
WaMu Mortgage Pass-Through Certificates,
Series 2007-1, Class 2A1
6.00%		01/25/22			430,023		412,701
WaMu Mortgage Pass-Through Certificates,
Series 2007-HY7, Class 4A2
4.34%		07/25/37	³		460,401		423,692
WaMu Mortgage Pass-Through Certificates,
Series 2007-OA1, Class A1A
1.27%		02/25/47	³		22,397,747		18,238,420
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%		11/25/37			367,640		354,477
Wells Fargo Mortgage-Backed Securities
Trust, Series 2003-M, Class A1
3.00%		12/25/33	³		1,473,506		1,476,827
Wells Fargo Mortgage-Backed Securities
Trust, Series 2004-L, Class A8
3.06%		07/25/34	³		362,411		369,221
Wells Fargo Mortgage-Backed Securities
Trust, Series 2004-S, Class A1
3.04%		09/25/34	³		3,480,974		3,548,947
Wells Fargo Mortgage-Backed Securities
Trust, Series 2005-AR10, Class 2A14
3.01%		06/25/35	³		1,527,293		1,586,079


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-10, Class A4
6.00%		08/25/36		$	3,364,196	$	3,392,920
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-2, Class 2A3
5.50%		03/25/36			371,212		358,793
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR1, Class 1A1
3.00%		03/25/36	³		5,645,808		5,329,390
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR10, Class 5A1
3.08%		07/25/36	³		336,085		331,260
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR10, Class 5A2
3.08%		07/25/36	³		113,980		112,344
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR10, Class 5A3
3.08%		07/25/36	³		243,765		240,265
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR10, Class 5A6
3.08%		07/25/36	³		1,424,927		1,404,467
Wells Fargo Mortgage-Backed Securities
Trust, Series 2006-AR8, Class 1A3
3.08%		04/25/36	³		12,179		12,053


							5,613,969,291

U.S. Agency Mortgage-Backed — 28.05%
Fannie Mae Pool (TBA)
2.50%		01/25/28			594,070,000		595,508,748
3.00%		01/25/27			239,130,000		245,463,203
3.00%		01/25/43			793,920,000		789,020,021
3.50%		01/25/44			770,205,000		789,460,148
4.00%		01/25/44			597,895,000		628,618,869
Fannie Mae Pool 190375
5.50%		11/01/36			1,495,077		1,670,779
Fannie Mae Pool 190396
4.50%		06/01/39			20,275		21,834
Fannie Mae Pool 254232
6.50%		03/01/22			25,763		29,162
Fannie Mae Pool 313182
7.50%		10/01/26			3,181		3,492
Fannie Mae Pool 394854
6.50%		05/01/27			1,602		1,814
Fannie Mae Pool 464367
4.54%		01/01/20			4,956,978		5,285,652
Fannie Mae Pool 466766
3.88%		12/01/20			17,904,916		18,963,392
Fannie Mae Pool 467243
4.55%		01/01/21			2,537,506		2,754,897


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 467572
3.80%		04/01/18		$	5,468,767	$	5,575,372
Fannie Mae Pool 468128
4.33%		07/01/21			1,959,473		2,116,637
Fannie Mae Pool 468551
3.98%		07/01/21			10,252,500		10,974,888
Fannie Mae Pool 468587
3.84%		08/01/21			708,541		753,189
Fannie Mae Pool 468764
4.16%		07/01/21			28,200,000		30,263,952
Fannie Mae Pool 545191
7.00%		09/01/31			6,451		6,888
Fannie Mae Pool 545756
7.00%		06/01/32			1,352		1,579
Fannie Mae Pool 545831
6.50%		08/01/17			1,724		1,736
Fannie Mae Pool 555284
7.50%		10/01/17			1,814		1,834
Fannie Mae Pool 606108
7.00%		03/01/31			4,575		4,694
Fannie Mae Pool 613142
7.00%		11/01/31			10,584		12,374
Fannie Mae Pool 625666
7.00%		01/01/32			10,390		11,638
Fannie Mae Pool 633698
7.50%		02/01/31			61,829		71,906
Fannie Mae Pool 646884
2.67%		05/01/32	³		5,262		5,394
Fannie Mae Pool 655928
7.00%		08/01/32			193,511		229,470
Fannie Mae Pool 725257
5.50%		02/01/34			1,683,765		1,883,979
Fannie Mae Pool 734830
4.50%		08/01/33			24,369		26,333
Fannie Mae Pool 734922
4.50%		09/01/33			3,025,464		3,282,973
Fannie Mae Pool 735207
7.00%		04/01/34			34,501		39,857
Fannie Mae Pool 735224
5.50%		02/01/35			6,630,384		7,440,361
Fannie Mae Pool 735646
4.50%		07/01/20			1,146,806		1,187,272
Fannie Mae Pool 735651
4.50%		06/01/35			7,137,106		7,725,073
Fannie Mae Pool 735686
6.50%		12/01/22			32,651		36,951
Fannie Mae Pool 740297
5.50%		10/01/33			3,023		3,393


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 745147
4.50%		12/01/35		$	48,499	$	52,296
Fannie Mae Pool 745592
5.00%		01/01/21			5,309		5,474
Fannie Mae Pool 753168
4.50%		12/01/33			12,867		13,848
Fannie Mae Pool 815422
4.50%		02/01/35			81,196		87,833
Fannie Mae Pool 817611
2.81%		11/01/35	³		448,557		478,216
Fannie Mae Pool 839109
3.41%		11/01/35	³		8,164		8,557
Fannie Mae Pool 841031
3.34%		11/01/35	³		2,905		3,050
Fannie Mae Pool 844773
2.83%		12/01/35	³		6,729		7,043
Fannie Mae Pool 888412
7.00%		04/01/37			691,131		772,465
Fannie Mae Pool 889125
5.00%		12/01/21			3,670,419		3,814,541
Fannie Mae Pool 889184
5.50%		09/01/36			6,080,686		6,821,819
Fannie Mae Pool 918445
5.51%		05/01/37	³		25,686		26,777
Fannie Mae Pool 933033
6.50%		10/01/37			715,004		787,537
Fannie Mae Pool AB1613
4.00%		10/01/40			50,441,576		53,477,831
Fannie Mae Pool AB1803
4.00%		11/01/40			58,012,469		61,737,833
Fannie Mae Pool AB2127
3.50%		01/01/26			32,948,540		34,401,115
Fannie Mae Pool AB3679
3.50%		10/01/41			18,326,610		18,876,262
Fannie Mae Pool AB3864
3.50%		11/01/41			16,034,022		16,526,717
Fannie Mae Pool AB4045
3.50%		12/01/41			17,223,443		17,856,539
Fannie Mae Pool AB4262
3.50%		01/01/32			13,256,263		13,851,241
Fannie Mae Pool AB9703
3.50%		06/01/43			43,690,353		45,079,009
Fannie Mae Pool AC8279
4.50%		08/01/39			30,266		32,722
Fannie Mae Pool AD0849
4.25%		02/01/20			27,177,918		28,834,654
Fannie Mae Pool AD0850
4.31%		02/01/20			43,733,235		46,426,597


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AD0895
4.50%		07/01/19	$	42,038,537	$	44,366,159
Fannie Mae Pool AE0482
5.50%		01/01/38		14,701,709		16,420,885
Fannie Mae Pool AE0600
3.93%		11/01/20		32,100,341		34,075,219
Fannie Mae Pool AE0605
4.65%		07/01/20		21,487,860		22,967,421
Fannie Mae Pool AE0918
3.67%		10/01/20		5,263,604		5,546,733
Fannie Mae Pool AH3780
4.00%		02/01/41		22,849,934		24,313,547
Fannie Mae Pool AJ1404
4.00%		09/01/41		34,836,397		36,894,687
Fannie Mae Pool AL0209
4.50%		05/01/41		34,516,079		37,629,122
Fannie Mae Pool AL0290
4.45%		04/01/21		31,396,102		34,001,722
Fannie Mae Pool AL0600
4.30%		07/01/21		4,512,829		4,838,967
Fannie Mae Pool AL0834
4.07%		10/01/21		30,333,849		32,566,075
Fannie Mae Pool AL0851
6.00%		10/01/40		27,418,330		31,093,662
Fannie Mae Pool AL1445
4.36%		11/01/21		74,796,551		80,428,084
Fannie Mae Pool AL2669
4.46%		09/01/21		23,777,345		25,537,866
Fannie Mae Pool AL4597
4.00%		01/01/44		86,231,183		91,764,836
Fannie Mae Pool AL6162
3.30%		02/01/23		21,292,049		21,887,437
Fannie Mae Pool AL6466
2.90%		11/01/26		100,006,997		100,644,489
Fannie Mae Pool AL6829
2.97%		05/01/27		2,819,981		2,810,738
Fannie Mae Pool AL7091
3.00%		06/01/45		37,198,355		37,024,994
Fannie Mae Pool AL8037
4.50%		07/01/34		416,310		449,283
Fannie Mae Pool AL8356
4.50%		07/01/34		1,207,202		1,299,801
Fannie Mae Pool AL9105
4.50%		09/01/46		204,705,660		220,409,556
Fannie Mae Pool AL9106
4.50%		02/01/46		143,122,345		154,164,005
Fannie Mae Pool AL9107
4.50%		03/01/46		151,161,554		162,776,194


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL9108
4.50%		12/01/34	$	27,177,004	$	29,249,669
Fannie Mae Pool AL9152
4.50%		09/15/46		12,995,247		13,997,809
Fannie Mae Pool AL9472
4.00%		10/01/43		16,807,895		17,763,464
Fannie Mae Pool AL9549
4.00%		09/01/46		728,930,000		767,325,170
Fannie Mae Pool AM0414
2.87%		09/01/27		39,760,000		39,063,883
Fannie Mae Pool AM4108
3.85%		08/01/25		4,757		5,046
Fannie Mae Pool AM4109
3.85%		08/01/25		4,757		5,046
Fannie Mae Pool AM4236
3.94%		08/01/25		9,548		10,169
Fannie Mae Pool AM4687
3.70%		12/01/25		5,340,821		5,590,585
Fannie Mae Pool AM4869
4.07%		12/01/25		1,895,550		2,035,221
Fannie Mae Pool AM5327
3.71%		03/01/26		2,928,020		3,037,647
Fannie Mae Pool AM6057
3.44%		08/01/26		6,750,000		6,956,812
Fannie Mae Pool AM6155
3.23%		07/01/26		2,980,573		3,042,052
Fannie Mae Pool AM6667
3.39%		09/01/26		3,461,000		3,553,233
Fannie Mae Pool AM7016
3.47%		10/01/29		5,065,000		5,197,112
Fannie Mae Pool AM8036
2.66%		03/01/27		1,965,000		1,901,639
Fannie Mae Pool AM8709
2.82%		04/01/27		6,500,000		6,424,394
Fannie Mae Pool AM8765
2.83%		06/01/27		4,000,000		3,899,011
Fannie Mae Pool AM8958
2.97%		06/01/30		5,500,000		5,366,087
Fannie Mae Pool AM8969
3.27%		07/01/30		12,691,000		12,783,946
Fannie Mae Pool AM9004
2.80%		06/01/25		100,000,000		99,537,621
Fannie Mae Pool AM9282
3.76%		12/01/30		10,000,000		10,434,661
Fannie Mae Pool AM9440
3.05%		07/01/27		47,705,000		47,676,869
Fannie Mae Pool AM9601
3.39%		08/01/27		3,848,900		3,949,924


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AM9602
3.57%		08/01/27	$	1,796,808	$	1,870,758
Fannie Mae Pool AM9623
3.34%		07/01/30		1,420,000		1,440,811
Fannie Mae Pool AM9749
3.48%		11/01/30		5,603,030		5,749,502
Fannie Mae Pool AM9954
3.22%		11/01/27		3,290,907		3,334,423
Fannie Mae Pool AN0153
3.36%		11/01/30		10,936,647		11,121,368
Fannie Mae Pool AN0154
3.36%		11/01/30		15,506,068		15,767,966
Fannie Mae Pool AN0543
3.53%		01/01/31		7,125,000		7,347,139
Fannie Mae Pool AN0648
3.28%		01/01/28		14,397,657		14,658,494
Fannie Mae Pool AN0768
3.19%		01/01/26		13,119,675		13,364,990
Fannie Mae Pool AN0854
3.28%		02/01/28		8,815,000		8,878,095
Fannie Mae Pool AN0959
2.92%		05/01/31		35,459,000		34,381,401
Fannie Mae Pool AN0962
3.43%		02/01/31		15,423,000		15,737,757
Fannie Mae Pool AN1210
2.85%		05/01/31		5,977,500		5,768,939
Fannie Mae Pool AN1427
2.96%		04/01/28		4,260,255		4,226,000
Fannie Mae Pool AN1468
2.97%		05/01/31		26,320,000		25,557,101
Fannie Mae Pool AN1482
3.03%		05/01/31		5,576,300		5,494,195
Fannie Mae Pool AN1682
3.13%		05/01/31		22,305,551		21,774,329
Fannie Mae Pool AN1686
2.32%		07/01/26		31,566,321		30,208,527
Fannie Mae Pool AN1688
2.32%		07/01/26		26,801,593		25,648,749
Fannie Mae Pool AN1835
2.54%		07/01/28		16,550,000		15,527,133
Fannie Mae Pool AN1954
2.26%		07/01/26		29,073,000		27,625,395
Fannie Mae Pool AN2063
2.58%		07/01/26		284,677,800		273,942,421
Fannie Mae Pool AN2118
2.32%		08/01/26		14,911,891		14,265,604
Fannie Mae Pool AN2228
2.52%		08/01/26		15,985,000		15,422,009


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AN2248
2.48%		08/01/26	$	51,160,000	$	48,867,538
Fannie Mae Pool AN2270
2.51%		08/01/26		2,708,900		2,624,355
Fannie Mae Pool AN2271
2.33%		08/01/26		2,152,000		2,029,574
Fannie Mae Pool AN2309
2.21%		07/01/26		46,690,677		44,383,873
Fannie Mae Pool AN2338
2.36%		09/01/26		42,565,234		40,733,311
Fannie Mae Pool AN2367
2.46%		08/01/26		12,502,000		12,036,180
Fannie Mae Pool AN2371
2.18%		09/01/26		37,267,231		35,182,616
Fannie Mae Pool AN2840
2.49%		09/01/28		21,955,000		20,497,992
Fannie Mae Pool AN3097
2.54%		11/01/28		35,120,000		33,260,684
Fannie Mae Pool AN3574
2.34%		11/01/26		28,210,000		26,563,137
Fannie Mae Pool AN3754
2.70%		12/01/28		89,530,000		85,534,070
Fannie Mae Pool AU3739
3.50%		08/01/43		59,340,961		61,310,532
Fannie Mae Pool BC1158
3.50%		02/01/46		397,404,042		407,730,097
Fannie Mae Pool FN0000
3.59%		09/01/20		9,391,095		9,861,624
Fannie Mae Pool FN0001
3.76%		12/01/20		47,238,280		49,875,021
Fannie Mae Pool FN0003
4.28%		01/01/21		6,981,202		7,479,103
Fannie Mae Pool FN0005
3.38%		11/01/20		38,531,899		40,224,566
Fannie Mae Pool FN0007
3.46%		11/01/20		100,000		104,935
Fannie Mae Pool FN0010
3.84%		09/01/20		326,295		345,191
Fannie Mae Pool MA0232
4.50%		11/01/29		834,607		898,052
Fannie Mae Pool MA1177
3.50%		09/01/42		103,453,469		105,954,447
Fannie Mae Pool MA1404
3.50%		04/01/43		7,695		7,939
Fannie Mae Pool MA1527
3.00%		07/01/33		95,409,353		97,559,794
Fannie Mae Pool MA1561
3.00%		09/01/33		58,976,049		60,268,456


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool MA1582
3.50%		09/01/43		$	29,150,952	$	29,857,571
Fannie Mae Pool MA1584
3.50%		09/01/33			100,587,240		105,007,577
Fannie Mae Pool MA1608
3.50%		10/01/33			68,757,973		71,779,563
Fannie Mae Pool MA2676
2.50%		07/01/26			71,610,085		72,986,338
Fannie Mae Pool MA2710
2.50%		08/01/26			125,894,651		128,104,698
Fannie Mae Pool MA2776
2.50%		10/01/26			16,632,404		16,952,057
Fannie Mae Pool MA2801
2.50%		11/01/26			15,189,870		15,481,800
Fannie Mae Pool MA2803
2.50%		11/01/31			6,058,133		6,074,976
Fannie Mae Pool MA2829
2.50%		12/01/26			11,383,807		11,602,589
Fannie Mae Pool MA2830
2.50%		12/01/31			338,142,763		339,083,067
Fannie Mae REMICS, Series 1988-28,
Class H
9.05%		12/25/18			121		123
Fannie Mae REMICS, Series 1989-27,
Class Y
6.90%		06/25/19			143		148
Fannie Mae REMICS, Series 1991-65,
Class Z
6.50%		06/25/21			2,899		3,074
Fannie Mae REMICS, Series 1992-123,
Class Z
7.50%		07/25/22			1,058		1,160
Fannie Mae REMICS, Series 1993-132,
Class D (PO)
0.00%		10/25/22	¹⁰		52,926		49,752
Fannie Mae REMICS, Series 1993-29,
Class PK
7.00%		03/25/23			7,163		7,700
Fannie Mae REMICS, Series 1994-55,
Class H
7.00%		03/25/24			20,238		22,035
Fannie Mae REMICS, Series 1997-34,
Class SA
3.31%		10/25/23	³		5,279		6,609
Fannie Mae REMICS, Series 1998-37,
Class VZ
6.00%		06/17/28			13,952		15,197
Fannie Mae REMICS, Series 1999-11,
Class Z
5.50%		03/25/29			44,700		48,987


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2001-52,
Class YZ
6.50%		10/25/31		$	179,341	$	206,922
Fannie Mae REMICS, Series 2005-104,
Class NI (IO)
5.94%		03/25/35	³		20,743,084		1,831,581
Fannie Mae REMICS, Series 2005-117,
Class LC
5.50%		11/25/35			12,572,716		13,385,075
Fannie Mae REMICS, Series 2005-122,
Class SG (IO)
5.84%		11/25/35	³		143,085		20,166
Fannie Mae REMICS, Series 2005-92,
Class US (IO)
5.34%		10/25/25	³		9,634,603		1,124,614
Fannie Mae REMICS, Series 2006-4,
Class WE
4.50%		02/25/36			126,743		136,627
Fannie Mae REMICS, Series 2006-49,
Class SE
25.98%		04/25/36	³		3,972,024		6,391,027
Fannie Mae REMICS, Series 2007-17,
Class SI (IO)
5.64%		03/25/37	³		3,637,143		453,399
Fannie Mae REMICS, Series 2007-34,
Class SB (IO)
5.35%		04/25/37	³		6,777,388		1,104,037
Fannie Mae REMICS, Series 2007-64,
Class FA
1.23%		07/25/37	³		10,075		10,170
Fannie Mae REMICS, Series 2008-24,
Class NA
6.75%		06/25/37			1,721,914		1,839,818
Fannie Mae REMICS, Series 2010-116,
Class SE (IO)
5.84%		10/25/40	³		8,035,299		1,430,551
Fannie Mae REMICS, Series 2010-135,
Class EA
3.00%		01/25/40			23,719		24,182
Fannie Mae REMICS, Series 2010-17,
Class SB (IO)
5.59%		03/25/40	³		13,705,798		2,576,072
Fannie Mae REMICS, Series 2010-43,
Class KS (IO)
5.66%		05/25/40	³		24,644,655		4,413,794
Fannie Mae REMICS, Series 2011-101,
Class HE
4.00%		10/25/41			10,100,000		10,861,959
Fannie Mae REMICS, Series 2011-111,
Class DB
4.00%		11/25/41			24,977,334		25,974,754


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2011-2,
Class PD
4.00%		12/25/39		$	78,087	$	80,574
Fannie Mae REMICS, Series 2013-101,
Class BO (PO)
0.00%		10/25/43	¹⁰		30,059,350		22,838,939
Fannie Mae REMICS, Series 2013-101,
Class CO (PO)
0.00%		10/25/43	¹⁰		18,509,971		14,118,994
Fannie Mae REMICS, Series G92-12,
Class B
7.70%		02/25/22			145		150
Fannie Mae REMICS, Series G92-36,
Class Z
7.00%		07/25/22			97		103
Fannie Mae REMICS, Series G93-21,
Class Z
7.20%		05/25/23			4,205		4,637
Fannie Mae Trust, Series 2003-W2,
Class 2A9
5.90%		07/25/42			39,137		43,654
Fannie Mae, Series 2015-M4, Class FA
0.74%		09/25/18	³		111,233,919		111,288,568
Fannie Mae-Aces, Series 2011-M5,
Class X
1.15%		07/25/21	³		155,869,633		6,587,253
Fannie Mae-Aces, Series 2013-M4,
Class ASQ2
1.45%		02/25/18			13,289,785		13,293,724
Fannie Mae-Aces, Series 2014-M12,
Class FA
0.83%		10/25/21	³		51,913,947		51,735,623
Fannie Mae-Aces, Series 2014-M6,
Class FA
0.91%		12/25/17	³		10,927,957		10,933,673
Fannie Mae-Aces, Series 2014-M8,
Class A1
2.35%		06/25/24			6,711,307		6,780,763
Fannie Mae-Aces, Series 2014-M8,
Class FA
0.78%		05/25/18	³		88,783,938		88,655,645
Fannie Mae-Aces, Series 2015-M10,
Class A2
3.09%		04/25/27	³		122,515,000		123,033,483
Fannie Mae-Aces, Series 2015-M10,
Class FA
0.78%		03/25/19	³		56,770,769		56,826,824
Fannie Mae-Aces, Series 2015-M2,
Class A3
3.05%		12/25/24	³		28,680		29,088


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae-Aces, Series 2015-M8,
Class FA
0.70%		11/25/18	³	$	77,971,718	$	77,942,307
Fannie Mae-Aces, Series 2016-M13,
Class FA
1.23%		11/25/23	³		79,745,000		79,791,499
Freddie Mac Gold Pool A24156
6.50%		10/01/31			365,908		417,290
Freddie Mac Gold Pool A25162
5.50%		05/01/34			3,393,586		3,810,205
Freddie Mac Gold Pool A39012
5.50%		06/01/35			68,404		78,748
Freddie Mac Gold Pool A54856
5.00%		01/01/34			6,132,825		6,750,983
Freddie Mac Gold Pool A61164
5.00%		04/01/36			19,396		21,290
Freddie Mac Gold Pool A97038
4.00%		02/01/41			19,036,940		20,159,333
Freddie Mac Gold Pool C01492
5.00%		02/01/33			1,095,708		1,200,590
Freddie Mac Gold Pool C04546
3.00%		02/01/43			27,507,375		27,504,761
Freddie Mac Gold Pool C04573
3.00%		03/01/43			34,239,938		34,107,530
Freddie Mac Gold Pool C46104
6.50%		09/01/29			24,968		28,222
Freddie Mac Gold Pool C55789
7.50%		10/01/27			12,477		13,669
Freddie Mac Gold Pool C90573
6.50%		08/01/22			74,185		81,641
Freddie Mac Gold Pool E02402
6.00%		10/01/22			22,965		24,959
Freddie Mac Gold Pool G00992
7.00%		11/01/28			1,392		1,572
Freddie Mac Gold Pool G01515
5.00%		02/01/33			1,175,140		1,286,876
Freddie Mac Gold Pool G02579
5.00%		12/01/34			1,426,045		1,569,407
Freddie Mac Gold Pool G02884
6.00%		04/01/37			4,519,534		5,140,788
Freddie Mac Gold Pool G02955
5.50%		03/01/37			5,614,177		6,326,185
Freddie Mac Gold Pool G03357
5.50%		08/01/37			2,231,288		2,571,385
Freddie Mac Gold Pool G03676
5.50%		12/01/37			4,058,865		4,657,575
Freddie Mac Gold Pool G03783
5.50%		01/01/38			2,815,170		3,241,624


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G03985
6.00%		03/01/38	$	35,714	$	40,869
Freddie Mac Gold Pool G04438
5.50%		05/01/38		7,997,366		8,982,224
Freddie Mac Gold Pool G04703
5.50%		08/01/38		7,709,403		8,550,862
Freddie Mac Gold Pool G04706
5.50%		09/01/38		275,737		310,689
Freddie Mac Gold Pool G05866
4.50%		02/01/40		26,776,706		29,192,596
Freddie Mac Gold Pool G06361
4.00%		03/01/41		34,694		36,924
Freddie Mac Gold Pool G06498
4.00%		04/01/41		36,184,566		38,372,660
Freddie Mac Gold Pool G06499
4.00%		03/01/41		16,895,773		17,902,742
Freddie Mac Gold Pool G06620
4.50%		07/01/41		35,724,166		38,551,398
Freddie Mac Gold Pool G07408
3.50%		06/01/43		33,008,219		34,224,106
Freddie Mac Gold Pool G07786
4.00%		08/01/44		319,925,666		339,252,264
Freddie Mac Gold Pool G07848
3.50%		04/01/44		158,635,341		163,488,355
Freddie Mac Gold Pool G07849
3.50%		05/01/44		22,935,525		23,619,737
Freddie Mac Gold Pool G07924
3.50%		01/01/45		33,884,213		34,852,570
Freddie Mac Gold Pool G07925
4.00%		02/01/45		20,891,514		22,154,253
Freddie Mac Gold Pool G08660
4.00%		08/01/45		3,214,518		3,379,136
Freddie Mac Gold Pool G08676
3.50%		11/01/45		122,774,955		125,848,307
Freddie Mac Gold Pool G08677
4.00%		11/01/45		246,609,265		259,255,644
Freddie Mac Gold Pool G08681
3.50%		12/01/45		81,083,983		83,115,726
Freddie Mac Gold Pool G08682
4.00%		12/01/45		158,732,259		166,882,100
Freddie Mac Gold Pool G08688
4.00%		01/01/46		42,736,131		44,930,806
Freddie Mac Gold Pool G08694
4.00%		02/01/46		90,384,319		95,024,248
Freddie Mac Gold Pool G08698
3.50%		03/01/46		403,824,222		413,948,753
Freddie Mac Gold Pool G08699
4.00%		03/01/46		22,953,667		24,133,892


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G08702
3.50%		04/01/46	$	568,055,393	$	582,330,324
Freddie Mac Gold Pool G08703
4.00%		04/01/46		70,797,239		74,460,577
Freddie Mac Gold Pool G08706
3.50%		05/01/46		14,003		14,355
Freddie Mac Gold Pool G08710
3.00%		06/01/46		362,678,641		360,715,502
Freddie Mac Gold Pool G08711
3.50%		06/01/46		411,208,152		421,569,660
Freddie Mac Gold Pool G08712
4.00%		06/01/46		83,100,337		87,382,763
Freddie Mac Gold Pool G08715
3.00%		08/01/46		514,505,771		511,801,416
Freddie Mac Gold Pool G08716
3.50%		08/01/46		124,491,304		127,631,293
Freddie Mac Gold Pool G08717
4.00%		08/01/46		188,351,961		198,049,831
Freddie Mac Gold Pool G08721
3.00%		08/01/46		34,514,318		34,332,875
Freddie Mac Gold Pool G08722
3.50%		09/01/46		156,452,741		160,401,880
Freddie Mac Gold Pool G08723
4.00%		09/01/46		133,655,751		140,594,356
Freddie Mac Gold Pool G08726
3.00%		09/01/46		560,280,607		557,334,147
Freddie Mac Gold Pool G08727
3.50%		10/01/46		127,187,262		130,436,667
Freddie Mac Gold Pool G08732
3.00%		11/01/46		329,183,316		327,455,479
Freddie Mac Gold Pool G08737
3.00%		12/01/46		190,669,513		189,647,525
Freddie Mac Gold Pool G08741
3.00%		01/01/47		186,035,000		185,037,181
Freddie Mac Gold Pool G08747
3.00%		01/01/47		200,000,000		198,920,000
Freddie Mac Gold Pool G11707
6.00%		03/01/20		251,140		259,560
Freddie Mac Gold Pool G12393
5.50%		10/01/21		3,731,335		3,946,663
Freddie Mac Gold Pool G12399
6.00%		09/01/21		2,067		2,211
Freddie Mac Gold Pool G12824
6.00%		08/01/22		2,035,958		2,199,137
Freddie Mac Gold Pool G12909
6.00%		11/01/22		5,360,885		5,800,680
Freddie Mac Gold Pool G13032
6.00%		09/01/22		957,127		1,025,067


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G13058
4.50%		10/01/20		$	1,670,550	$	1,714,742
Freddie Mac Gold Pool G18596
3.00%		04/01/31			101,928,063		104,798,775
Freddie Mac Gold Pool G18622
2.50%		12/01/31			408,091,084		409,319,001
Freddie Mac Gold Pool G60023
3.50%		04/01/45			28,562,966		29,433,445
Freddie Mac Gold Pool G60080
3.50%		06/01/45			433,881,446		447,016,512
Freddie Mac Gold Pool G60138
3.50%		08/01/45			399,281,901		411,464,383
Freddie Mac Gold Pool G60238
3.50%		10/01/45			459,190,083		472,947,831
Freddie Mac Gold Pool G60440
3.50%		03/01/46			335,781,485		345,242,037
Freddie Mac Gold Pool H00790
5.50%		05/01/37			39,609		43,537
Freddie Mac Gold Pool H03161
6.50%		08/01/37			1,172		1,216
Freddie Mac Gold Pool H05069
5.50%		05/01/37			2,029,593		2,222,246
Freddie Mac Gold Pool H09082
6.50%		09/01/37			3,008		3,317
Freddie Mac Gold Pool Q05804
4.00%		01/01/42			57,845,144		61,524,849
Freddie Mac Gold Pool U99097
3.50%		07/01/43			98,314,265		101,046,936
Freddie Mac Gold Pool V80356
3.50%		08/01/43			60,370,460		62,518,797
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K040,
Class A2
3.24%		09/25/24			2,840,000		2,944,244
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K053,
Class A2
3.00%		12/25/25			205,000,000		206,940,181
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K151,
Class A3
3.51%		04/25/30			3,705,000		3,821,883
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K152,
Class A2
3.08%		01/25/31			120,000,000		119,576,364
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KF02,
Class A3
1.16%		07/25/20	³		1,268,503		1,273,938


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS03, Class A4
3.16%	05/25/25	³	$	46,605,000	$	47,241,130
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS07, Class A2
2.74%	09/25/25			65,000,000		63,965,177
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class A1
3.19%	12/25/19			46,192,819		47,270,415
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class A2
4.28%	01/25/20			70,890,000		75,352,837
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSW1, Class A
1.11%	02/25/26	³		15,000,000		15,024,902
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KX01, Class A
2.36%	02/25/23			70,482,751		70,501,513
Freddie Mac REMICS, Series 1004, Class H
7.95%	10/15/20			152		160
Freddie Mac REMICS, Series 1073, Class G
7.00%	05/15/21			347		372
Freddie Mac REMICS, Series 1107, Class ZC
6.50%	07/15/21			3,557		3,764
Freddie Mac REMICS, Series 165, Class K
6.50%	09/15/21			65		68
Freddie Mac REMICS, Series 1980, Class Z
7.00%	07/15/27			126,515		141,687
Freddie Mac REMICS, Series 1983, Class Z
6.50%	12/15/23			61,960		66,731
Freddie Mac REMICS, Series 2098, Class TZ
6.00%	01/15/28			560,107		609,432
Freddie Mac REMICS, Series 2174, Class PN
6.00%	07/15/29			29,632		32,869
Freddie Mac REMICS, Series 2313, Class LA
6.50%	05/15/31			19,521		22,405


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 2433, Class SA
19.10%	02/15/32	³	$	17,106	$	22,246
Freddie Mac REMICS, Series 2481, Class AW
6.50%	08/15/32			65,555		71,823
Freddie Mac REMICS, Series 2642, Class BW (IO)
5.00%	06/15/23			21,493		1,167
Freddie Mac REMICS, Series 2649, Class PC
5.50%	07/15/33			13,760		14,273
Freddie Mac REMICS, Series 3019, Class SW (IO)
6.50%	08/15/35	³		2,637,331		562,873
Freddie Mac REMICS, Series 3063, Class YG
5.50%	11/15/35			6,871,386		7,651,455
Freddie Mac REMICS, Series 3300, Class SA (IO)
6.50%	08/15/35	³		1,166,023		230,443
Freddie Mac REMICS, Series 3707, Class EI (IO)
5.00%	12/15/38			25,318,859		3,219,550
Freddie Mac REMICS, Series 3730, Class JG
3.00%	09/15/39			27,598		28,092
Freddie Mac REMICS, Series 3752, Class XL
4.50%	11/15/40			66,277,000		71,524,985
Freddie Mac REMICS, Series 3891, Class HS (IO)
5.25%	07/15/41	³		12,213,819		1,292,490
Freddie Mac REMICS, Series 3904, Class JB
4.50%	08/15/41			18,155,000		19,639,367
Freddie Mac REMICS, Series 3925, Class LB
4.50%	09/15/41			9,215,000		10,215,176
Freddie Mac REMICS, Series 3928, Class JD
4.00%	09/15/41			32,095,702		33,766,378
Freddie Mac REMICS, Series 4102, Class TC
2.50%	09/15/41			27,147,505		27,176,900
Freddie Mac REMICS, Series 4161, Class BA
2.50%	12/15/41			40,398,395		40,598,703
Freddie Mac Strips, Series 309, Class PO (PO)
0.00%	08/15/43	¹⁰		47,223,704		38,271,875


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Strips, Series 319, Class F2
1.20%	11/15/43	³	$	9,239,106	$	9,186,259
Ginnie Mae I Pool 782817
4.50%	11/15/39			29,931,733		32,504,535
Ginnie Mae II Pool (TBA)
3.00%	01/20/43			406,365,000		411,484,236
3.50%	12/20/43			373,070,000		387,788,775
Ginnie Mae II Pool 2631
7.00%	08/20/28			3,066		3,557
Ginnie Mae II Pool 80968
2.13%	07/20/34	³		23,748		24,465
Ginnie Mae II Pool 81267
2.00%	03/20/35	³		47,377		49,272
Ginnie Mae II Pool 81432
2.13%	08/20/35	³		43,173		44,981
Ginnie Mae II Pool 81497
2.00%	10/20/35	³		39,113		40,632
Ginnie Mae II Pool 8631
2.13%	05/20/25	³		7,467		7,691
Ginnie Mae II Pool 8644
2.50%	06/20/25	³		12,638		13,090
Ginnie Mae II Pool MA3521
3.50%	03/20/46			128,750,769		134,022,979
Ginnie Mae II Pool MA3597
3.50%	04/20/46			321,124,408		334,274,308
Ginnie Mae II Pool MA3663
3.50%	05/20/46			306,085,861		318,620,025
Ginnie Mae II Pool MA3736
3.50%	06/20/46			215,347,289		224,165,786
Ginnie Mae II Pool MA3937
3.50%	09/20/46			70,807,937		73,724,017
Ginnie Mae II Pool MA4003
3.00%	10/20/46			33,744,953		34,218,950
Ginnie Mae II Pool MA4069
3.50%	11/20/46			217,727,548		226,685,149
Ginnie Mae II Pool MA4126
3.00%	11/20/46			548,550,000		556,252,575
Ginnie Mae II Pool MA4127
3.50%	12/20/46			220,000,000		229,051,134
Ginnie Mae, Series 2000-22, Class SG (IO)
10.09%	05/16/30	³		65,514		5,281
Ginnie Mae, Series 2003-86, Class ZK
5.00%	10/20/33			13,071,049		14,306,728
Ginnie Mae, Series 2004-93, Class PC
5.00%	04/16/34			66,231		68,431
Ginnie Mae, Series 2007-35, Class PY (IO)
6.04%	06/16/37	³		22,753,054		4,399,868


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae, Series 2009-106, Class SD (IO)
5.51%	03/20/36	³	$	20,015,566	$	2,862,670
Ginnie Mae, Series 2009-106, Class XI (IO)
6.06%	05/20/37	³		50,151,194		9,226,706
Ginnie Mae, Series 2009-124, Class SC (IO)
5.74%	12/20/39	³		8,419,306		1,523,605
Ginnie Mae, Series 2009-17, Class P
4.00%	08/16/38			23,465		24,196
Ginnie Mae, Series 2009-66, Class XS (IO)
6.09%	07/16/39	³		99,991		13,978
Ginnie Mae, Series 2009-8, Class PS (IO)
5.59%	08/16/38	³		166,110		19,506
Ginnie Mae, Series 2010-4, Class SL (IO)
5.69%	01/16/40	³		104,984		17,558
Ginnie Mae, Series 2010-4, Class SM (IO)
5.09%	01/16/40	³		19,088,086		2,852,014
Ginnie Mae, Series 2010-6, Class BS (IO)
5.79%	09/16/39	³		6,614,604		646,517
Ginnie Mae, Series 2011-146, Class EI (IO)
5.00%	11/16/41			231,001		50,217
Ginnie Mae, Series 2013-113, Class LY
3.00%	05/20/43			51,184,000		49,814,194
NCUA Guaranteed Notes, Series 2010-R1, Class A1
1.10%	10/07/20	³		19,497,086		19,523,875
NCUA Guaranteed Notes, Series 2010-R3, Class 1A
0.76%	12/08/20	³		10,344,852		10,376,172
NCUA Guaranteed Notes, Series 2010-R3, Class 2A
1.21%	12/08/20	³		27,905,744		28,046,130
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
1.18%	03/09/21	³		2,631,207		2,626,029


						22,009,795,971

Total Mortgage-Backed
(Cost $29,327,965,663)						29,397,761,264

MUNICIPAL BONDS — 0.85%*
California — 0.17%
Bay Area Toll Authority, Build America Bonds
6.26%	04/01/49			2,275,000		3,098,982
California Health Facilities Financing Authority, Saint Joseph Health, Series A
4.00%	10/01/36			3,500,000		3,522,330
Los Angeles Department of Water & Power, Build America Bonds, Series SY
6.01%	07/01/39			350,000		434,140


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
California (continued)
San Diego County Water Authority, Build America Bonds
6.14%	05/01/49		$	7,900,000	$	10,302,627
State of California, Build America Bonds
6.65%	03/01/22			4,245,000		5,027,141
7.95%	03/01/36			7,350,000		8,589,651
State of California, Build America Bonds, Various Purpose
7.50%	04/01/34			3,885,000		5,495,333
State of California, Taxable, Various Purpose
6.20%	03/01/19			10,680,000		11,674,735
University of California, Taxable Revenue Bonds, Series AP
3.93%	05/15/45			57,230,000		56,729,238
University of California, Floating Rate Notes, Series Y, Class 1
1.27%	07/01/41	³		12,485,000		12,485,250
University of California, Floating Rate Notes, Series Y, Class 2
1.27%	07/01/41	³		15,000,000		15,000,300


						132,359,727

Illinois — 0.01%
State of Illinois, Build America Bonds
6.63%	02/01/35			4,120,000		4,214,224
State of Illinois, Taxable Pension Bonds
5.10%	06/01/33			591,000		522,929


						4,737,153

Massachusetts — 0.08%
Commonwealth of Massachusetts, Series E
3.00%	04/01/41			24,000,000		20,850,720
Commonwealth of Massachusetts, Series G
3.00%	09/01/46			46,140,000		38,794,973


						59,645,693

New Jersey — 0.01%
New Jersey State Turnpike Authority, Build America Bonds, Series A
7.10%	01/01/41			8,895,000		12,454,334

NewYork — 0.54%
City of New York, Build America Bonds
4.77%	10/01/23			4,420,000		4,922,200
5.05%	10/01/24			13,820,000		15,602,504
5.21%	10/01/31			6,420,000		7,359,567
5.52%	10/01/37			6,075,000		7,355,245
5.82%	10/01/31			220,000		245,546
5.99%	12/01/36			14,055,000		17,540,499
City of New York, Build America Bonds, Series F1
6.27%	12/01/37			9,655,000		12,549,279


Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
NewYork (continued)
6.65%	12/01/31	$	46,470,000	$	53,302,949
Fiscal Year 2005 Securitization Corp., Special Obligation, Series B
4.93%	04/01/20		35,000		36,913
New York City Municipal Water Finance Authority, Build America Bonds, Series SE
6.49%	06/15/42		3,555,000		4,044,168
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Build America Bonds
5.51%	08/01/37		25,000,000		30,175,750
5.57%	11/01/38		41,825,000		50,730,379
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Qualified School Construction Bonds, Series G-3
5.27%	05/01/27		8,050,000		9,352,812
New York City Water & Sewer System, Water Utility Improvements, Series AA
3.00%	06/15/46		6,810,000		5,717,404
New York City Water and Sewer Authority, Build America, Taxable Bonds
5.44%	06/15/43		49,625,000		61,048,179
5.88%	06/15/44		29,220,000		37,827,920
New York City Water and Sewer Authority, Build America, Taxable Bonds, Series SE
6.01%	06/15/42		3,945,000		5,181,087
New York State Dormitory Authority, Taxable, Build American Bonds
5.43%	03/15/39		28,100,000		33,797,556
New York State Dormitory Authority, Build American Bonds
5.29%	03/15/33		44,990,000		52,484,884
New York State Urban Development Corp., Personal Income Tax, Series SE
3.20%	03/15/22		15,870,000		16,426,243


					425,701,084

Wisconsin — 0.04%
Wisconsin Health & Educational Facilities Authority, Ascension Health Credit Group
4.00%	11/15/34		5,335,000		5,401,367
4.00%	11/15/35		17,580,000		17,702,357
4.00%	11/15/39		8,000,000		7,975,920


					31,079,644

Total Municipal Bonds
(Cost $666,205,104)					665,977,635


Issues	Maturity Date			Principal Amount		Value
U.S. AGENCY SECURITIES — 0.44%
U.S. Agency Securities — 0.44%
Federal Home Loan Bank (STEP)
1.25%	06/28/30		$	344,995,000	$	345,550,787

Total U.S. Agency Securities
(Cost $344,431,412)						345,550,787

U.S. TREASURY SECURITIES — 32.45%
U.S. Treasury Bonds — 6.43%
U.S. Treasury Bonds
3.00%	11/15/44			150,325,000		148,551,185
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
0.25%	01/15/25	¹¹		190,535,964		187,506,061
0.38%	07/15/25	¹¹		958,380,950		953,489,469
0.63%	02/15/43	¹¹		39,900,620		36,557,397
0.75%	02/15/45	¹¹		791,541,759		745,396,901
1.38%	02/15/44	¹¹		148,031,506		161,863,192
U.S. Treasury Bonds (WI)
2.88%	11/15/46			2,915,685,000		2,815,516,642


						5,048,880,847

U.S. Treasury Notes — 26.02%
U.S. Treasury Inflation Indexed Notes
0.13%	04/15/21			104,133,820		104,797,882
U.S. Treasury Notes
0.75%	10/31/17			2,131,241,000		2,129,492,636
0.75%	10/31/18			2,200,710,000		2,185,192,794
0.80%	01/31/18	³		440,000,000		441,253,494
1.00%	12/31/17			156,875,000		157,005,289
1.00%	11/30/18			720,815,000		718,517,460
1.13%	09/30/21			844,669,000		814,802,991
1.25%	12/15/18			970,520,000		971,733,150
1.25%	12/31/18			211,770,000		212,005,700
1.25%	10/31/21			2,759,598,000		2,676,258,747
1.50%	12/31/18			704,275,000		708,484,452
1.50%	01/31/19			1,108,460,000		1,114,651,858
1.50%	01/31/22			602,890,000		589,302,324
1.75%	11/30/21			3,730,488,000		3,703,525,376
1.88%	05/31/22			95,560,000		94,805,936
2.00%	12/31/21			1,048,155,000		1,052,106,544
2.00%	11/15/26			2,850,565,000		2,743,055,941


						20,416,992,574

Total U.S. Treasury Securities
(Cost $25,590,340,175)						25,465,873,421


Total Bonds – 101.54%
(Cost $79,842,871,625)						79,689,669,433

Issues

Shares

Value

COMMON STOCK — 0.00%

Energy — 0.00%

Arch Coal, Inc.

6,677

$521,140

Total Common Stock

(Cost $459,111)

Issues

Contracts

Value

PUT OPTIONS PURCHASED — 0.02%

Put Options Purchased — 0.02%

IMM Eurodollar 1 Year MIDCV Future Options, Put, Strilke $98.13, Expires 03/10/17

15,000

1,500,000

IMM Eurodollar 1 Year MIDCV Future Options, Put, Strilke $98.38, Expires 06/16/17

10,000

6,562,500

IMM Eurodollar 3 Year MIDCV Future Options, Put, Strilke $97.63, Expires 03/10/17

15,000

6,656,250

Total Put Options Purchased

(Cost $13,754,863)

14,718,750

Issues

Maturity
Date

Principal
Amount/ Shares

Value

SHORT-TERM INVESTMENTS — 7.76%

Commercial Paper — 0.15%

Anheuser-Busch InBev SA (Netherlands)

1.25%¹²

07/10/17

^2,4

50,000,000

49,654,850

Kraft Heinz Foods Co.

1.60%¹²

06/30/17

66,836,000

66,844,054

116,498,904

Foreign Government Obligations — 4.73%

Japan Treasury Discount Bill, Series 636 (Japan)

0.00%¹²

01/10/17

33,890,000,000

290,575,042

Japan Treasury Discount Bill, Series 639 (Japan)

0.00%¹²

01/23/17

115,920,000,000

993,999,962

Japan Treasury Discount Bill, Series 647 (Japan)

0.00%¹²

02/27/17

86,800,000,000

744,525,726

Japan Treasury Discount Bill, Series 649 (Japan)

0.00%¹²

03/13/17

87,630,000,000

751,791,545

Japan Treasury Discount Bill, Series 652 (Japan)

0.00%¹²

03/27/17

109,020,000,000

935,461,423

3,716,353,698

Money Market Funds — 2.79%

Dreyfus Government Cash Management Fund

0.45%¹³

2,133,974,000


Issues	Maturity Date			Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds (continued)
Fidelity Investments Money Market Funds - Government Portfolio
0.39%^13,14				20	$	20
Morgan Stanley Institutional Liquidity Fund
0.44%¹³				59,518,000		59,518,000


						2,193,492,020

U.S. Treasury Bills — 0.09%
U.S. Treasury Bills
0.32%¹²	01/26/17		$	2,450,000		2,449,356
0.38%¹²	01/19/17			4,000,000		3,999,271
0.48%¹²	04/06/17	¹⁵		61,809,000		61,725,681


						68,174,308


Total Short-Term Investments
(Cost $6,313,434,544)						6,094,518,930


Total Investments – 109.32%
(Cost $86,170,520,143)¹						85,799,428,253

Liabilities in Excess of Other Assets – (9.32)%						(7,316,316,454	)

Net Assets – 100.00%					$	78,483,111,799


Currency Purchased		Currency Sold		Unrealized Appreciation/ (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
Forward currency contract to sell Japanese Yen on 01/10/17 at 116.56 Counterparty: Bank of America
	USD $ 335,346,999		JPY 33,890,000,000	$	44,597,325
Forward currency contract to sell Japanese Yen on 01/23/17 at 116.47 Counterparty: Bank of America
	USD $1,122,146,715		JPY 115,920,000,000		126,894,597
Forward currency contract to sell Japanese Yen on 02/27/17 at 116.29 Counterparty: JPMorgan Securities LLC
	USD $ 798,061,850		JPY 86,800,000,000		51,666,564
Forward currency contract to sell Japanese Yen on 03/13/17 at 116.20 Counterparty: Bank of America
	USD $ 769,001,930		JPY 87,630,000,000		14,900,573
Forward currency contract to sell Japanese Yen on 03/27/17 at 116.12 Counterparty: Bank of America
	USD $ 926,611,391		JPY 109,020,000,000		(12,283,816	)

Net unrealized appreciation				$	225,775,243


Contracts			Unrealized Appreciation/ (Depreciation)
	FUTURES CONTRACTS: LONG POSITIONS
	10,000	Euro Dollar Ninety Day,
		Expiration December 2017	$	(3,519,438	)
	10,385	U.S. Treasury Two Year Note,
		Expiration March 2017		(1,125,370	)
	45,594	U.S. Treasury Five Year Note,
		Expiration March 2017		(18,843,219	)
	1,000	U.S. Treasury Ten Year Note,
		Expiration March 2017		1,285,390

		Net unrealized depreciation	$	(22,202,637	)


Contracts		Unrealized Appreciation
FUTURES CONTRACTS: SHORT POSITIONS
5,000	Euro Dollar Ninety Day,
	Expiration June 2017		$608,925
5,000	Euro Dollar Ninety Day,
	Expiration June 2018		2,295,813
	Net unrealized appreciation		$2,904,738


Issues	Contracts		Premiums (Received)			Value
PUT OPTIONS WRITTEN
IMM Eurodollar 1 Year
MIDCV Future Options, Put,
Strilke $98.13, Expires
06/16/17	(20,000)	$	(7,183,525	)	$	(7,125,000	)
IMM Eurodollar 1 Year
MIDCV Future Options, Put,
Strilke $98.38, Expires
03/10/17	(15,000)		(2,584,500	)		(4,593,750	)
IMM Eurodollar 3 Year
MIDCV Future Options, Put,
Strilke $97.38, Expires
03/10/17	(15,000)		(3,522,000	)		(3,281,250	)

Total Put Options Written		$	(13,290,025	)	$	(15,000,000	)

Notes:

¹	Cost for federal income tax purposes is $84,144,196,655 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	2,730,878,328
Gross unrealized (depreciation)		(1,075,646,730	)

Net unrealized appreciation	$	1,655,231,598

²	U.S. dollar-denominated security issued by foreign-domiciled entity.

³	Floating rate security. The rate disclosed was in effect at December 31, 2016.

⁴	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁵	Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $128,542,061, which is 0.16% of total net assets.

⁶	Security is currently in default with regard to scheduled interest or principal payments.

⁷	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.14% cash or 8.64% payment-in-kind interest.

⁸	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.73% cash or 9.23% payment-in-kind interest.

⁹	Non-income producing security.

¹⁰	Zero coupon bond. The rate shown is the effective yield as of December 31, 2016.

¹¹	^Inflation protected security. Principal amount reflects original security face amount.

¹²	Represents annualized yield at date of purchase.

¹³	Represents the current yield as of December 31, 2016.

¹⁴	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $20.

¹⁵	Securities, or a portion thereof, pledged as collateral for futures, call options written and put options written. The total market value of collateral pledged is $50,930,640.

^†

Fair valued security. The aggregate value of fair valued securities is $29,185,940, which is 0.04% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements.

^*	Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date.

(BKNT): Banker’s Note, Inc.

(CLO): Collateralized Loan Obligation

(GMTN): Global medium-term note

(IO): Interest only

(JPY): Japanese Yen

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term Note

(PIK): Payment in kind

(PO): Principal only

(STEP): Step coupon bond

(TBA): To be announced

(USD): U.S. dollar

(WI): When issued


Issues	Maturity Date			Principal Amount		Value
BONDS – 90.88%
ASSET-BACKED SECURITIES — 2.35%**
Navient Student Loan Trust, Series 2014-8,
Class A2
1.20%		04/25/23	²	$	717,704	$	717,932
Navient Student Loan Trust, Series 2016-2,
Class A1
1.51%		06/25/65	^2,3		273,431		274,385
Nelnet Student Loan Trust, Series 2012-5A,
Class A
1.36%		10/27/36	^2,3		163,530		160,023
SLM Student Loan Trust, Series 2003-12,
Class A5
1.24%		09/15/22	^2,3		110,724		110,494
SLM Student Loan Trust, Series 2004-10,
Class A6A
1.43%		04/27/26	^2,3		770,000		766,745
SLM Student Loan Trust, Series 2004-3,
Class A5
1.05%		07/25/23	²		491,363		489,649
SLM Student Loan Trust, Series 2006-4,
Class A5
0.98%		10/27/25	²		176,218		176,031
SLM Student Loan Trust, Series 2012-6,
Class A2
1.04%		09/25/19	²		64,687		64,671
SLM Student Loan Trust, Series 2013-4,
Class A
1.31%		06/25/27	²		227,790		221,722
SLM Student Loan Trust, Series 2014-1,
Class A2
1.14%		07/26/21	²		425,276		425,293

Total Asset-Backed Securities
(Cost $3,419,871)							3,406,945


CORPORATES — 21.61%*
Banking — 3.46%
American Express Centurion Bank,
Series BKN1 (MTN)
6.00%		09/13/17			500,000		515,510
Bank of America Corp. (MTN)
6.88%		04/25/18			450,000		478,147
Bank of America N.A. (BKNT)
1.26%		06/15/17	²		750,000		749,640
5.30%		03/15/17			250,000		251,949
National City Bank (BKNT)
1.32%		06/07/17	²		700,000		700,241
Santander UK PLC (United Kingdom)
1.38%		03/13/17	⁴		400,000		400,119
UBS AG/Stamford CT (Switzerland)
1.49%		06/01/17	^2,4		550,000		550,737


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Wachovia Corp. (MTN)
5.75%		02/01/18		$	1,300,000	$	1,354,463


							5,000,806

Communications — 0.75%
AT&T, Inc.
5.50%		02/01/18			825,000		857,393
Qwest Corp.
6.50%		06/01/17			140,000		142,898
T-Mobile USA, Inc.
6.63%		11/15/20			80,000		82,100


							1,082,391

Consumer Discretionary — 0.75%
Anheuser-Busch InBev Finance, Inc.
1.90%		02/01/19			580,000		581,326
Pernod Ricard SA (France)
2.95%		01/15/17	^3,4		500,000		500,273


							1,081,599

Electric — 1.18%
Entergy Gulf States Louisiana LLC
6.00%		05/01/18			200,000		210,963
Exelon Corp.
1.55%		06/09/17			700,000		699,982
Southern Co. (The)
1.30%		08/15/17			800,000		799,714


							1,710,659

Finance — 4.51%
American Express Co.
7.00%		03/19/18			500,000		531,818
Bear Stearns Cos. LLC (The)
7.25%		02/01/18			1,400,000		1,481,766
Citigroup, Inc.
1.55%		08/14/17			700,000		700,594
6.13%		11/21/17			365,000		379,584
Ford Motor Credit Co. LLC
1.72%		12/06/17			400,000		399,706
General Motors Financial Co., Inc.
3.00%		09/25/17			650,000		655,673
Goldman Sachs Group, Inc. (The)
5.95%		01/18/18			275,000		286,552
6.15%		04/01/18			650,000		683,951
Morgan Stanley
1.74%		01/05/18	²		400,000		401,604
Morgan Stanley (GMTN)
5.45%		01/09/17			250,000		250,119


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Protective Life Global Funding
1.50%		06/08/18	^2,3	$	750,000	$	750,655


							6,522,022

Health Care — 2.56%
Actavis Funding SCS (Luxembourg)
2.35%		03/12/18	⁴		600,000		603,644
Aetna, Inc.
1.75%		05/15/17			650,000		650,634
Anthem, Inc.
1.88%		01/15/18			700,000		700,806
Bayer U.S. Finance LLC
1.50%		10/06/17	³		350,000		349,579
Express Scripts Holding Co.
1.25%		06/02/17			500,000		499,440
Fresenius Medical Care U.S. Finance, Inc.
6.88%		07/15/17			140,000		144,025
UnitedHealth Group, Inc.
1.33%		01/17/17	²		750,000		750,094


							3,698,222

Industrials — 0.74%
Metropolitan Life Global Funding I
1.35%		09/14/18	³		575,000		570,963
United Technologies Corp. (STEP)
1.78%		05/04/18			500,000		500,273


							1,071,236

Information Technology — 0.30%
Apple, Inc.
1.70%		02/22/19			435,000		435,797

Insurance — 0.34%
New York Life Global Funding
1.55%		11/02/18	³		500,000		498,637

Real Estate Investment Trust (REIT) — 6.81%
Camden Property Trust
5.70%		05/15/17			700,000		710,322
DDR Corp. (MTN)
7.50%		07/15/18			400,000		431,082
Duke Realty LP
6.50%		01/15/18			800,000		837,194
Essex Portfolio LP
5.50%		03/15/17			650,000		655,223
Highwoods Realty LP
5.85%		03/15/17			750,000		756,379
Kimco Realty Corp. (MTN)
4.30%		02/01/18			750,000		765,229
National Retail Properties, Inc.
6.88%		10/15/17			650,000		676,002


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Post Apartment Homes LP
4.75%		10/15/17		$	750,000	$	761,586
Prologis LP
4.00%		01/15/18			600,000		612,289
Realty Income Corp.
2.00%		01/31/18			650,000		650,649
Ventas Realty LP/Ventas Capital Corp.
2.00%		02/15/18			865,000		867,000
WEA Finance LLC/Westfield UK & Europe Finance PLC
1.75%		09/15/17	³		1,250,000		1,250,960
Welltower, Inc.
2.25%		03/15/18			750,000		753,435
4.70%		09/15/17			130,000		132,815


							9,860,165

Transportation — 0.21%
Continental Airlines Pass-Through Trust,
Series 2000-1, Class A-1
8.05%		11/01/20			283,442		309,491

Total Corporates
(Cost $31,286,713)							31,271,025

MORTGAGE-BACKED — 45.55%**
Commercial Mortgage-Backed — 6.20%
DBRR Trust, Series 2013-EZ3, Class A
1.64%		12/18/49	^2,3		49,384		49,361
DBUBS Mortgage Trust, Series 2011-LC2A,
Class A1
3.53%		07/10/44	³		564,894		581,572
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2006-LDP9,
Class A3S
5.24%		05/15/47	³		84,568		84,363
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2007-CB19,
Class A4
5.71%		02/12/49	²		171,372		172,606
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2007-LD11,
Class A4
5.75%		06/15/49	²		654,336		658,327
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2011-C3,
Class A3
4.39%		02/15/46	³		1,011,626		1,042,012
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2011-C4,
Class A3
4.11%		07/15/46	³		922,722		949,809


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
LB-UBS Commercial Mortgage Trust,
Series 2007-C6, Class A4
5.86%		07/15/40	²	$	466,033	$	469,352
Merrill Lynch Mortgage Trust,
Series 2007-C1, Class A1A
5.83%		06/12/50	²		549,222		554,566
ML-CFC Commercial Mortgage Trust,
Series 2007-6, Class A4
5.49%		03/12/51	²		514,403		515,635
Wachovia Bank Commercial Mortgage Trust,
Series 2007-C31, Class A4
5.51%		04/15/47			1,115,009		1,117,239
Wachovia Bank Commercial Mortgage Trust,
Series 2007-C32, Class A3
5.71%		06/15/49	²		1,356,103		1,364,450
Wachovia Bank Commercial Mortgage Trust,
Series 2007-C34, Class A1A
5.61%		05/15/46	²		752,516		760,348
Wachovia Bank Commercial Mortgage Trust,
Series 2007-C34, Class A3
5.68%		05/15/46			654,809		660,734


							8,980,374

Non-Agency Mortgage-Backed — 4.31%
Aames Mortgage Investment Trust,
Series 2002-1, Class A3 (STEP)
5.72%		06/25/32			29,108		27,837
Adjustable Rate Mortgage Trust,
Series 2005-1, Class 1A1
3.34%		05/25/35	²		378,068		355,468
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%		06/25/32			7,225		7,679
Banc of America Mortgage Securities, Inc.,
Series 2003-A, Class 2A2
3.29%		02/25/33	²		2,096		2,068
BCAP LLC Trust, Series 2007-AA1,
Class 1A2
0.92%		02/25/47	²		123,935		122,687
Centex Home Equity Loan Trust,
Series 2005-D, Class M1
1.19%		10/25/35	²		85,624		85,838
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
2.77%		02/25/34	²		90,716		88,880
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH2, Class A3
0.94%		03/25/37	²		211,197		210,935
Countrywide Alternative Loan Trust,
Series 2004-J6, Class 2A1
6.50%		11/25/31			105,505		111,380


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse First Boston Mortgage
Securities Corp., Series 2002-AR31,
Class 4A2
3.33%		11/25/32	²	$	132,882	$	126,984
DSLA Mortgage Loan Trust,
Series 2004-AR3, Class 2A2A
1.11%		07/19/44	²		241,224		234,242
Fremont Home Loan Trust, Series 2005-C,
Class M1
1.24%		07/25/35	²		181,092		181,654
GE Mortgage Services LLC,
Series 1998-HE1, Class A7
6.47%		06/25/28			20		20
GMAC Mortgage Corp. Loan Trust,
Series 2003-GH1, Class A5 (STEP)
5.24%		07/25/34			12,575		13,118
HSBC Home Equity Loan Trust,
Series 2007-3, Class APT
1.76%		11/20/36	²		261,643		261,890
IndyMac Index Mortgage Loan Trust,
Series 2004-AR12, Class A1
1.54%		12/25/34	²		569,616		471,593
IndyMac Index Mortgage Loan Trust,
Series 2004-AR6, Class 6A1
3.41%		10/25/34	²		323,511		311,571
IndyMac Manufactured Housing Contract,
Series 1998-2, Class A4
6.64%		08/25/29	²		20,383		20,316
JPMorgan Mortgage Acquisition Corp.,
Series 2005-FLD1, Class M3
1.54%		07/25/35	²		496,177		494,145
JPMorgan Mortgage Trust, Series 2005-A2,
Class 9A1
2.92%		04/25/35	²		265,921		266,069
MASTR Adjustable Rate Mortgages Trust,
Series 2004-1, Class 2A1
3.25%		01/25/34	²		12,933		13,064
MASTR Adjustable Rate Mortgages Trust,
Series 2004-12, Class 5A1
10.30%		10/25/34	²		435,147		429,525
MASTR Adjustable Rate Mortgages Trust,
Series 2004-5, Class 3A1
1.63%		06/25/34	²		6,115		5,601
MASTR Adjustable Rate Mortgages Trust,
Series 2007-2, Class A2
0.87%		03/25/47	²		80,888		80,659
MASTR Seasoned Securities Trust,
Series 2004-1, Class 4A1
3.05%		10/25/32	²		61,912		62,091
Merrill Lynch First Franklin Mortgage Loan
Trust, Series 2006-FF10, Class A4
0.91%		07/25/36	²		539,422		528,285


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch Mortgage Investors, Inc.,
Series 2003-A1, Class 2A
3.27%		12/25/32	²	$	187,115	$	185,283
Mid-State Trust VI, Series 2006, Class A4
7.79%		07/01/35			19,832		20,928
Morgan Stanley Capital I Trust,
Series 2006-NC1, Class A4
1.06%		12/25/35	²		541,381		534,427
Residential Asset Mortgage Products Trust,
Series 2003-RZ3, Class A6 (STEP)
3.90%		03/25/33			43,661		43,859
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A2
8.50%		11/25/31			34,570		11,235
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A8
6.50%		11/25/31			69,553		70,648
Residential Asset Securities Trust,
Series 2004-IP2, Class 2A1
3.15%		12/25/34	²		191,194		191,129
Residential Asset Securities Trust,
Series 2005-KS12, Class A3
1.08%		01/25/36	²		122,501		122,245
Soundview Home Loan Trust,
Series 2006-WF2, Class A2C
0.90%		12/25/36	²		58,854		58,829
Structured Asset Securities Corp.,
Series 2001-15A, Class 4A1
2.68%		10/25/31	²		31,375		31,325
Terwin Mortgage Trust, Series 2004-13AL,
Class 2PX (IO)
0.34%		08/25/34	^3,5		3,044,292		42,451
UCFC Home Equity Loan, Series 1998-D,
Class BF1
8.97%		04/15/30	^2,5		1,243		101
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR6, Class A
1.97%		06/25/42	²		54,774		52,951
WaMu Mortgage Pass-Through Certificates,
Series 2003-AR6, Class A1
2.90%		06/25/33	²		141,854		141,402
WaMu Mortgage Pass-Through Certificates,
Series 2005-4, Class CB13
1.26%		06/25/35	²		271,115		214,812


							6,235,224

U.S. Agency Mortgage-Backed — 35.04%
Fannie Mae Multifamily REMIC Trust,
Series 2015-M12, Class FA
0.87%		04/25/20	²		626,327		625,070
Fannie Mae Pool 111643
2.69%		09/01/20	²		4,064		4,084


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 254548
5.50%		12/01/32		$	200,594	$	225,117
Fannie Mae Pool 467572
3.80%		04/01/18			1,092,843		1,114,146
Fannie Mae Pool 468769
3.42%		09/01/18			1,094,486		1,120,555
Fannie Mae Pool 523829
8.00%		11/01/19			36,234		38,040
Fannie Mae Pool 555098
3.11%		11/01/32	²		27,464		29,120
Fannie Mae Pool 555424
5.50%		05/01/33			131,563		147,414
Fannie Mae Pool 567002
8.00%		05/01/23			35,159		38,856
Fannie Mae Pool 646884
2.67%		05/01/32	²		4,385		4,495
Fannie Mae Pool 648860
6.50%		05/01/17			9,596		9,639
Fannie Mae Pool 655133
7.00%		08/01/32			23,932		26,790
Fannie Mae Pool 655151
7.00%		08/01/32			16,189		17,241
Fannie Mae Pool 762525
6.50%		11/01/33			29,340		32,286
Fannie Mae Pool 770900
2.69%		04/01/34	²		250,533		258,384
Fannie Mae Pool 893489
2.87%		09/01/36	²		32,392		33,917
Fannie Mae Pool AD0538
6.00%		05/01/24			109,273		119,050
Fannie Mae Pool AE0443
6.50%		10/01/39			161,195		183,197
Fannie Mae Pool AL0851
6.00%		10/01/40			140,988		159,887
Fannie Mae REMICS, Series 1988-12,
Class A
4.37%		02/25/18	²		1,501		1,516
Fannie Mae REMICS, Series 1993-80,
Class S
9.95%		05/25/23	²		1,748		1,961
Fannie Mae REMICS, Series 2001-42,
Class SB
8.50%		09/25/31	²		2,178		2,690
Fannie Mae REMICS, Series 2001-60,
Class OF
1.71%		10/25/31	²		178,600		181,975
Fannie Mae REMICS, Series 2002-30,
Class FB
1.76%		08/25/31	²		239,099		243,967


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2003-117,
Class XF
1.11%		08/25/33	²	$	136,934	$	135,713
Fannie Mae REMICS, Series 2003-124,
Class TS
9.80%		01/25/34	²		26,414		32,036
Fannie Mae REMICS, Series 2003-134,
Class FC
1.36%		12/25/32	²		749,585		754,569
Fannie Mae REMICS, Series 2003-29,
Class F
1.26%		12/25/32	²		318,277		318,811
Fannie Mae REMICS, Series 2003-64,
Class KS
8.85%		07/25/18	²		33,301		34,294
Fannie Mae REMICS, Series 2004-38,
Class FT
1.19%		10/25/33	²		377,773		378,255
Fannie Mae REMICS, Series 2004-60,
Class FW
1.21%		04/25/34	²		711,838		716,854
Fannie Mae REMICS, Series 2004-79,
Class F
1.06%		08/25/32	²		170,470		170,521
Fannie Mae REMICS, Series 2004-96,
Class MT
7.00%		12/25/34	²		10,049		10,989
Fannie Mae REMICS, Series 2005-114,
Class PF
1.13%		08/25/35	²		1,196,353		1,196,661
Fannie Mae REMICS, Series 2005-57,
Class EG
1.06%		03/25/35	²		463,971		464,738
Fannie Mae REMICS, Series 2006-56,
Class FD
1.01%		07/25/36	²		443,901		443,180
Fannie Mae REMICS, Series 2006-84,
Class WF
1.06%		02/25/36	²		203,986		204,636
Fannie Mae REMICS, Series 2007-68,
Class SC (IO)
5.94%		07/25/37	²		231,600		39,801
Fannie Mae REMICS, Series 2008-47,
Class PF
1.26%		06/25/38	²		92,126		92,560
Fannie Mae REMICS, Series 2009-111,
Class DA
5.00%		12/25/39			88,042		93,610
Fannie Mae REMICS, Series 2009-33,
Class FB
1.58%		03/25/37	²		231,271		234,876


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2010-109,
Class PF
1.16%		10/25/40	²	$	137,105	$	137,325
Fannie Mae REMICS, Series 2010-119,
Class FK
1.26%		04/25/40	²		106,627		106,888
Fannie Mae REMICS, Series 2010-26,
Class S (IO)
5.47%		11/25/36	²		722,903		117,957
Fannie Mae REMICS, Series 2010-35,
Class FL
1.21%		07/25/38	²		459,591		461,291
Fannie Mae REMICS, Series 2011-124,
Class DF
1.21%		08/25/40	²		932,022		934,960
Fannie Mae REMICS, Series 2011-71,
Class FB
1.26%		05/25/37	²		327,494		330,340
Fannie Mae REMICS, Series 2011-8,
Class PF
1.26%		01/25/40	²		240,194		241,984
Fannie Mae REMICS, Series 2012-19,
Class FP
1.26%		12/25/39	²		1,066,105		1,079,104
Fannie Mae REMICS, Series 2012-33,
Class F
1.28%		04/25/42	²		1,010,485		1,013,682
Fannie Mae REMICS, Series 2013-75,
Class FC
1.01%		07/25/42	²		975,409		966,214
Fannie Mae REMICS. Series 2004-92,
Class FD
1.11%		05/25/34	²		955,214		956,797
Fannie Mae-Aces, Series 2013-M4,
Class ASQ2
1.45%		02/25/18			537,719		537,878
Fannie Mae-Aces, Series 2014-M12,
Class FA
0.83%		10/25/21	²		269,486		268,560
Freddie Mac Gold Pool C90237
6.50%		11/01/18			11,197		11,590
Freddie Mac Gold Pool C90474
7.00%		08/01/21			27,153		28,947
Freddie Mac Gold Pool D93410
6.50%		04/01/19			10,875		11,328
Freddie Mac Gold Pool G13107
5.50%		07/01/20			86,987		88,036
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K006,
Class A1
3.40%		07/25/19			533,835		546,450


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series K010,
Class A1
3.32%		07/25/20		$	473,635	$	479,939
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KF05,
Class A
0.88%		09/25/21	²		696,081		695,551
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KS02,
Class A
1.00%		08/25/23	²		719,058		720,183
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KS03,
Class A4
4.19%		08/25/19			855,000		904,765
Freddie Mac Non Gold Pool 775554
2.27%		10/01/18	²		471		472
Freddie Mac Non Gold Pool 865369
2.78%		06/01/22	²		59		59
Freddie Mac REMICS, Series 1526,
Class L
6.50%		06/15/23			4,220		4,626
Freddie Mac REMICS, Series 2368,
Class AF
1.65%		10/15/31	²		83,711		85,076
Freddie Mac REMICS, Series 2642,
Class BW (IO)
5.00%		06/15/23			2,918		158
Freddie Mac REMICS, Series 2733,
Class FB
1.30%		10/15/33	²		1,045,708		1,053,623
Freddie Mac REMICS, Series 2763,
Class FC
1.05%		04/15/32	²		638,843		639,230
Freddie Mac REMICS, Series 2945,
Class LD
4.00%		02/15/35			23,893		24,377
Freddie Mac REMICS, Series 2990,
Class DE
1.08%		11/15/34	²		867,377		871,397
Freddie Mac REMICS, Series 2990,
Class LE
1.02%		10/15/34	²		650,666		654,040
Freddie Mac REMICS, Series 3001,
Class HS
14.99%		02/15/35	²		8,007		8,289
Freddie Mac REMICS, Series 3066,
Class PF
1.00%		04/15/35	²		1,269,634		1,268,542
Freddie Mac REMICS, Series 3085,
Class FW
1.40%		08/15/35	²		869,441		885,434


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 3139,
Class FL
1.00%		01/15/36	²	$	1,295,166	$	1,294,693
Freddie Mac REMICS, Series 3172,
Class FK
1.15%		08/15/33	²		703,389		704,094
Freddie Mac REMICS, Series 3196,
Class FA
1.05%		04/15/32	²		910,164		911,799
Freddie Mac REMICS, Series 3300,
Class FA
1.00%		08/15/35	²		809,158		807,180
Freddie Mac REMICS, Series 3325,
Class NF
1.00%		08/15/35	²		162,548		162,151
Freddie Mac REMICS, Series 3346,
Class FA
0.93%		02/15/19	²		193,967		194,093
Freddie Mac REMICS, Series 3652,
Class PF
1.45%		07/15/32	²		85,376		86,286
Freddie Mac REMICS, Series 3767,
Class JF
1.00%		02/15/39	²		873,112		872,284
Freddie Mac REMICS, Series 3780,
Class LF
1.10%		03/15/29	²		652,732		652,506
Freddie Mac REMICS, Series 3792,
Class DF
1.10%		11/15/40	²		851,729		853,024
Freddie Mac REMICS, Series 3806,
Class DF
1.10%		08/15/25	²		360,398		363,157
Freddie Mac REMICS, Series 3828,
Class TF
1.10%		04/15/29	²		246,176		246,857
Freddie Mac REMICS, Series 3831,
Class PV
5.00%		05/15/25			762,623		779,553
Freddie Mac REMICS, Series 3845,
Class FQ
0.95%		02/15/26	²		609,818		608,313
Freddie Mac REMICS, Series 3895,
Class BF
1.20%		07/15/41	²		453,006		454,101
Freddie Mac REMICS, Series 3940,
Class PF
1.05%		05/15/40	²		1,323,075		1,322,080
Freddie Mac REMICS, Series 3946,
Class FG
1.05%		10/15/39	²		676,438		678,574


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 4109,
Class KF
1.10%		05/15/32	²	$	469,694	$	469,699
Freddie Mac Strips, Series 263, Class F5
1.20%		06/15/42	²		684,834		684,648
Ginnie Mae II Pool 80546
2.00%		10/20/31	²		16,126		16,728
Ginnie Mae II Pool 80610
2.13%		06/20/32	²		186,733		193,546
Ginnie Mae II Pool 80614
2.13%		07/20/32	²		24,350		25,366
Ginnie Mae II Pool 80687
2.13%		04/20/33	²		151,119		156,837
Ginnie Mae II Pool 8339
2.00%		12/20/23	²		26,878		27,605
Ginnie Mae II Pool 8684
2.13%		08/20/25	²		38,262		39,564
Ginnie Mae II Pool MA0331
2.50%		08/20/42	²		335,221		344,015
Ginnie Mae, Series 2001-22, Class FK
1.06%		05/16/31	²		1,088,955		1,094,002
Ginnie Mae, Series 2001-51, Class FA
1.21%		10/16/31	²		1,022,922		1,031,368
Ginnie Mae, Series 2002-16, Class FV
1.11%		02/16/32	²		1,179,491		1,186,338
Ginnie Mae, Series 2002-20, Class FC
1.01%		03/16/32	²		379,293		379,888
Ginnie Mae, Series 2002-72, Class FB
1.14%		10/20/32	²		262,210		263,935
Ginnie Mae, Series 2002-72, Class FC
1.14%		10/20/32	²		250,082		251,727
Ginnie Mae, Series 2003-42, Class FA
1.11%		07/16/31	²		1,172,040		1,178,245
Ginnie Mae, Series 2004-2, Class FW
2.02%		01/16/34	²		488,759		512,218
Ginnie Mae, Series 2009-66, Class UF
1.71%		08/16/39	²		263,925		267,485
Ginnie Mae, Series 2009-92, Class FC
1.51%		10/16/39	²		256,454		258,899
Ginnie Mae, Series 2010-108, Class PF
1.14%		02/20/38	²		311,977		313,220
Ginnie Mae, Series 2010-2, Class FA
1.24%		05/20/37	²		28,281		28,287
Ginnie Mae, Series 2011-70, Class IL (IO)
0.60%		06/16/37	²		3,527,996		70,268
Ginnie Mae, Series 2011-80, Class BF
1.07%		06/20/36	²		90,169		90,196


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae, Series 2012-10, Class FP
1.04%		01/20/41	²	$	328,003	$	327,945
Ginnie Mae, Series 2012-13, Class KF
1.04%		07/20/38	²		714,892		714,464
NCUA Guaranteed Notes, Series 2010-R1,
Class A1
1.10%		10/07/20	²		859,794		860,975
NCUA Guaranteed Notes, Series 2010-R2,
Class 1A
1.02%		11/06/17	²		955,478		955,621
NCUA Guaranteed Notes, Series 2010-R3,
Class 1A
0.76%		12/08/20	²		794,201		796,606
NCUA Guaranteed Notes, Series 2011-C1,
Class 2A
1.18%		03/09/21	²		602,446		601,260
NCUA Guaranteed Notes, Series 2011-R3,
Class 1A
0.60%		03/11/20	²		390,138		390,462
NCUA Guaranteed Notes, Series 2011-R4,
Class 1A
0.58%		03/06/20	²		106,951		106,986


							50,705,741


Total Mortgage-Backed
(Cost $65,978,154)							65,921,339


U.S. TREASURY SECURITIES — 21.37%
U.S. Treasury Notes — 21.37%
U.S. Treasury Notes
0.50%		01/31/17			2,690,000		2,689,590
0.70%		10/31/17	²		2,900,000		2,904,254
0.80%		01/31/18	²		2,900,000		2,908,262
1.25%		12/31/18			5,780,000		5,786,433
1.50%		12/31/18			12,275,000		12,348,368
1.50%		01/31/19			4,265,000		4,288,824


Total U.S. Treasury Securities
(Cost $30,953,236)							30,925,731


Total Bonds – 90.88%
(Cost $131,637,974)							131,525,040


Issues	Maturity Date			Principal Amount/ Share		Value
SHORT-TERM INVESTMENTS — 12.89%
Commercial Paper — 0.33%
Kraft Heinz Foods Co.
1.60%⁶	06/30/17		$	480,000	$	480,058

Foreign Government Obligations — 4.74%
Japan Treasury Discount Bill, Series 636 (Japan)
0.00%⁶	01/10/17	⁴		100,000,000		857,406
Japan Treasury Discount Bill, Series 647 (Japan)
0.00%⁶	02/27/17	⁴		200,000,000		1,715,497
Japan Treasury Discount Bill, Series 649 (Japan)
0.00%⁶	03/13/17	⁴		150,000,000		1,286,874
Japan Treasury Discount Bill, Series 652 (Japan)
0.00%⁶	03/27/17	⁴		350,000,000		3,003,224


						6,863,001

Money Market Funds — 5.47%
Dreyfus Government Cash Management Fund
0.45%⁷				5,609,000		5,609,000
Morgan Stanley Institutional Liquidity Fund
0.44%⁷				2,309,000		2,309,000


						7,918,000

U.S. Treasury Bills — 2.35%
U.S. Treasury Bills
0.43%⁶	04/13/17			700,000		698,960
0.44%⁶	02/23/17			700,000		699,538
0.55%⁶	04/20/17			300,000		299,524
0.57%⁶	04/27/17			1,700,000		1,697,107


						3,395,129

Total Short-Term Investments
(Cost $18,872,726)						18,656,188

Total Investments – 103.77%
(Cost $150,510,700)¹						150,181,228

Liabilities in Excess of Other
Assets – (3.77)%						(5,452,452	)


Net Assets – 100.00%					$	144,728,776


Currency Purchased	Currency Sold		Unrealized Appreciation/ (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
Forward currency contract to sell Japanese Yen on 01/10/17 at 116.56 Counterparty: Bank of America
USD $ 989,516		JPY 100,000,000		$131,594
Forward currency contract to sell Japanese Yen on 02/27/17 at 116.29 Counterparty: JPMorgan Securities LLC
USD $1,838,852		JPY 200,000,000		119,047
Forward currency contract to sell Japanese Yen on 03/13/17 at 116.20 Counterparty: Bank of America
USD $1,316,333		JPY 150,000,000		25,506
Forward currency contract to sell Japanese Yen on 03/27/17 at 116.12 Counterparty: Bank of America
USD $2,974,812		JPY 350,000,000		(39,436	)
Net unrealized appreciation				$236,711

Notes:

¹	Cost for federal income tax purposes is $150,749,679 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	549,235
Gross unrealized (depreciation)		(1,117,686	)

Net unrealized (depreciation)	$	(568,451	)

²	Floating rate security. The rate disclosed was in effect at December 31, 2016.

³	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁴	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁵	Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $42,552, which is 0.03% of total net assets.

⁶	Represents annualized yield at date of purchase.

⁷	Represents the current yield as of December 31, 2016.

*	Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity.

^**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date.

Note: For Fund compliance purposes, the Fund’s industry classifications

refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.

(BKNT): Banker’s Note, Inc.

(GMTN): Global medium-term note

(IO): Interest only

(JPY): Japanese Yen

(MTN): Medium-term note

(STEP): Step coupon bond

(USD): U.S. dollar


Issues	Maturity Date			Principal Amount		Value
BONDS – 90.32%
ASSET-BACKED SECURITIES — 13.66%**
321 Henderson Receivables VI LLC Series 2010-1A, Class B
9.31%		07/15/61	²	$	505,911	$	599,404
Access Group, Inc., Series 2001, Class 2A1
1.29%		05/25/29	³		2,018,805		1,942,395
Access Group, Inc., Series 2015-1, Class A
1.46%		07/25/56	^2,3		6,652,465		6,582,628
American Money Management Corp. CLO, Series 2015-17A, Class A1 (Cayman Islands)
2.50%		11/15/27	^2,3,4		5,200,000		5,228,816
Bank of America Credit Card Trust, Series 2014-A2, Class A
0.97%		09/16/19	³		5,710,000		5,713,226
Bayview Commercial Asset Trust, Series 2004-3, Class A1
1.13%		01/25/35	^2,3		1,035,423		955,989
Bayview Commercial Asset Trust, Series 2005-1A, Class A1
1.06%		04/25/35	^2,3		1,763,826		1,622,406
Bayview Commercial Asset Trust, Series 2006-4A, Class A1
0.99%		12/25/36	^2,3		1,456,200		1,266,486
BlueMountain CLO Ltd., Series 2015-1A, Class A1R (Cayman Islands)
2.07%		04/13/27	^2,3,4		6,250,000		6,251,563
Brazos Higher Education Authority, Inc., Series 2005-3, Class A16
1.20%		06/25/26	³		150,000		146,140
Brazos Higher Education Authority, Inc., Series 2006-2, Class A9
1.01%		12/26/24	³		34,379		33,204
Brazos Higher Education Authority, Inc., Series 2011-1, Class A2
1.72%		02/25/30	³		100,441		100,488
Chase Issuance Trust, Series 2012-A10, Class A10
0.96%		12/16/19	³		6,010,000		6,017,582
Chase Issuance Trust, Series 2015-A1, Class A1
1.02%		02/18/20	³		2,000,000		2,002,946
CIT Education Loan Trust, Series 2007-1, Class A
1.09%		03/25/42	^2,3		3,751,507		3,505,607
CIT Education Loan Trust, Series 2007-1, Class B
1.30%		06/25/42	^2,3		3,356,376		2,834,284
Citibank Credit Card Issuance Trust, Series 2008-A2, Class A2
1.91%		01/23/20	³		5,980,000		6,046,952
Citibank Credit Card Issuance Trust, Series 2013-A4, Class A4
1.18%		07/24/20	³		1,900,000		1,906,266


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Dryden 41 Senior Loan Fund, Series 2015-41A, Class A
2.38%		01/15/28	^2,3	$	6,750,000	$	6,788,009
Edsouth Indenture No. 3 LLC, Series 2012-2, Class A
1.49%		04/25/39	^2,3		254,154		244,260
Education Loan Asset-Backed Trust, Series 2013-1, Class A2
1.56%		04/26/32	^2,3		3,465,000		3,316,310
Educational Funding of the South, Inc., Series 2012-1, Class A
1.81%		03/25/36	³		137,177		135,479
EFS Volunteer No. 2 LLC, Series 2012-1, Class A2
2.11%		03/25/36	^2,3		6,400,000		6,338,506
GCO Education Loan Funding Trust, Series 2006-2AR, Class A1RN
1.41%		08/27/46	^2,3		2,938,422		2,640,284
GCO Education Loan Funding Trust, Series 2007-1A, Class A5L
1.00%		05/25/23	^2,3		25,074		24,981
GE Business Loan Trust, Series 2005-1A, Class A3
0.95%		06/15/33	^2,3		2,992,425		2,756,423
GE Business Loan Trust, Series 2005-2A, Class A
0.94%		11/15/33	^2,3		6,598,389		6,310,504
Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados)
3.09%		07/17/29	^2,4		1,926,167		1,812,363
Goal Capital Funding Trust, Series 2006-1, Class B
1.38%		08/25/42	³		607,614		534,800
Higher Education Funding, Series 2014-1, Class A
1.98%		05/25/34	^2,3		1,686,424		1,627,818
Honda Auto Receivables Owner Trust, Series 2016-4, Class A2
1.04%		04/18/19			6,215,000		6,199,371
Mill Creek II CLO Ltd., Series 2016-1A, Class A (Cayman Islands)
2.63%		04/20/28	^2,3		5,750,000		5,798,605
National Collegiate Student Loan Trust, Series 2004-2, Class A4
1.07%		11/27/28	³		1,041,962		1,034,359
National Collegiate Student Loan Trust, Series 2007-2, Class A2
0.89%		06/26/28	³		2,574,459		2,541,372
Navient Student Loan Trust, Series 2014-1, Class A4
1.51%		02/25/39	³		3,840,000		3,593,054
Navient Student Loan Trust, Series 2014-8, Class A3
1.36%		05/27/31	³		6,120,000		5,968,187


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Navient Student Loan Trust, Series 2015-1, Class A2
1.36%		04/25/40	³	$	9,370,000	$	8,986,698
Navient Student Loan Trust, Series 2015-1, Class B
2.26%		07/25/52	³		5,000,000		4,045,019
Navient Student Loan Trust, Series 2015-2, Class A1
1.04%		11/25/24	³		3,175,919		3,175,008
Navient Student Loan Trust, Series 2016-2, Class A3
2.26%		06/25/65	^2,3		11,200,000		11,535,214
Nelnet Education Loan Funding, Inc., Series 2004-1A, Class B1
1.60%		02/25/36	^2,3		150,000		139,263
Nelnet Education Loan Funding, Inc., Series 2004-1A, Class B2
1.63%		02/25/36	^2,3		825,000		766,023
Nelnet Student Loan Trust, Series 2006-2, Class B
1.08%		01/25/38	³		4,916,873		3,955,256
Nelnet Student Loan Trust, Series 2007-1, Class A3
1.00%		05/27/25	³		2,700,000		2,598,663
Nelnet Student Loan Trust, Series 2012-5A, Class A
1.36%		10/27/36	^2,3		183,267		179,336
Nelnet Student Loan Trust, Series 2014-4A, Class A2
1.71%		11/25/43	^2,3		1,865,000		1,733,955
Nelnet Student Loan Trust, Series 2015-1A, Class A
1.35%		04/25/41	^2,3		7,397,074		7,196,457
Nelnet Student Loan Trust, Series 2015-3A, Class A3
1.66%		06/25/49	^2,3		11,000,000		10,276,127
Nissan Auto Receivables Owner Trust, Series 2015-C, Class A2A
0.87%		11/15/18			3,188,970		3,186,581
Nissan Auto Receivables Owner Trust, Series 2016-C, Class A2A
1.07%		05/15/19			6,055,000		6,045,616
Northstar Education Finance, Inc., Series 2007-1, Class A2
1.64%		01/29/46	³		135,000		125,690
PHEAA Student Loan Trust, Series 2013-3A, Class A
1.51%		11/25/42	^2,3		5,572,566		5,513,009
Scholar Funding Trust, Series 2011-A, Class A
1.79%		10/28/43	^2,3		157,055		151,817
Scholar Funding Trust, Series 2012-B, Class A2
1.86%		03/28/46	^2,3		150,000		146,550


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLC Student Loan Trust I, Series 2002-2, Class B2
2.14%		07/01/42	^2,3	$	200,000	$	155,828
SLC Student Loan Trust, Series 2004-1, Class B
1.19%		08/15/31	³		784,658		679,260
SLC Student Loan Trust, Series 2005-2, Class B
1.24%		03/15/40	³		662,896		558,297
SLC Student Loan Trust, Series 2005-3, Class B
1.21%		06/15/40	³		3,341,455		2,820,571
SLC Student Loan Trust, Series 2006-1, Class A6
1.12%		12/15/38	³		13,120,000		11,850,624
SLC Student Loan Trust, Series 2006-1, Class B
1.17%		03/15/39	³		3,038,871		2,546,536
SLC Student Loan Trust, Series 2006-2, Class A5
1.06%		09/15/26	³		175,532		173,774
SLC Student Loan Trust, Series 2006-2, Class B
1.19%		12/15/39	³		888,408		745,781
SLC Student Loan Trust, Series 2008-1, Class A4A
2.56%		12/15/32	³		5,138,998		5,222,737
SLM Student Loan Trust, Series 2003-11, Class A6
1.71%		12/15/25	^2,3		250,000		244,747
SLM Student Loan Trust, Series 2003-4, Class A5D
1.71%		03/15/33	^2,3		3,355,117		3,211,321
SLM Student Loan Trust, Series 2003-7, Class B
1.53%		09/15/39	³		4,882,037		4,264,343
SLM Student Loan Trust, Series 2004-10, Class A6A
1.43%		04/27/26	^2,3		10,700,000		10,654,763
SLM Student Loan Trust, Series 2004-10, Class B
1.25%		01/25/40	³		5,264,473		4,497,519
SLM Student Loan Trust, Series 2004-2, Class B
1.35%		07/25/39	³		825,357		715,752
SLM Student Loan Trust, Series 2004-5A, Class A5
1.48%		10/25/23	^2,3		703,459		704,060
SLM Student Loan Trust, Series 2004-8A, Class A5
1.38%		04/25/24	^2,3		829,210		830,992
SLM Student Loan Trust, Series 2005-10, Class A4
0.99%		10/25/19	³		302,813		302,480


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2005-4, Class B
1.06%		07/25/40	³	$	851,397	$	734,818
SLM Student Loan Trust, Series 2005-6, Class B
1.17%		01/25/44	³		4,350,055		3,856,648
SLM Student Loan Trust, Series 2005-9, Class B
1.18%		01/25/41	³		1,577,823		1,352,735
SLM Student Loan Trust, Series 2006-10, Class B
1.10%		03/25/44	³		4,428,293		3,756,449
SLM Student Loan Trust, Series 2006-2, Class A6
1.05%		01/25/41	³		1,800,000		1,692,490
SLM Student Loan Trust, Series 2006-4, Class A5
0.98%		10/27/25	³		591,588		590,962
SLM Student Loan Trust, Series 2006-8, Class A6
1.04%		01/25/41	³		1,800,000		1,617,272
SLM Student Loan Trust, Series 2006-9, Class A5
0.98%		01/26/26	³		187,725		184,456
SLM Student Loan Trust, Series 2007-1, Class B
1.10%		01/27/42	³		4,171,921		3,544,118
SLM Student Loan Trust, Series 2007-3, Class A4
0.94%		01/25/22	³		215,000		202,567
SLM Student Loan Trust, Series 2007-6, Class A4
1.26%		10/25/24	³		7,851,093		7,728,174
SLM Student Loan Trust, Series 2007-6, Class B
1.73%		04/27/43	³		549,851		485,204
SLM Student Loan Trust, Series 2007-7, Class B
1.63%		10/25/28	³		2,195,000		1,794,015
SLM Student Loan Trust, Series 2007-8, Class B
1.88%		04/27/43	³		2,758,003		2,427,686
SLM Student Loan Trust, Series 2008-2, Class B
2.08%		01/25/29	³		1,000,000		874,513
SLM Student Loan Trust, Series 2008-3, Class B
2.08%		04/25/29	³		710,000		631,935
SLM Student Loan Trust, Series 2008-4, Class A4
2.53%		07/25/22	³		2,083,977		2,097,746
SLM Student Loan Trust, Series 2008-4, Class B
2.73%		04/25/29	³		710,000		658,859


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-5, Class A4
2.58%		07/25/23	³	$	5,216,989	$	5,250,538
SLM Student Loan Trust, Series 2008-5, Class B
2.73%		07/25/29	³		7,315,000		6,837,578
SLM Student Loan Trust, Series 2008-6, Class B
2.73%		07/25/29	³		710,000		661,887
SLM Student Loan Trust, Series 2008-7, Class B
2.73%		07/25/29	³		820,000		764,746
SLM Student Loan Trust, Series 2008-8, Class A4
2.38%		04/25/23	³		3,210,000		3,214,316
SLM Student Loan Trust, Series 2008-8, Class B
3.13%		10/25/29	³		735,000		706,762
SLM Student Loan Trust, Series 2008-9, Class A
2.38%		04/25/23	³		6,366,886		6,381,157
SLM Student Loan Trust, Series 2008-9, Class B
3.13%		10/25/29	³		7,235,000		7,085,799
SLM Student Loan Trust, Series 2009-3, Class A
1.51%		01/25/45	^2,3		11,692,298		11,227,354
SLM Student Loan Trust, Series 2011-1, Class A2
1.91%		10/25/34	³		2,680,000		2,712,151
SLM Student Loan Trust, Series 2011-2, Class A1
1.36%		11/25/27	³		652,767		651,000
SLM Student Loan Trust, Series 2011-2, Class A2
1.96%		10/25/34	³		4,035,000		4,054,542
SLM Student Loan Trust, Series 2012-1, Class A2
1.21%		11/25/20	³		928,889		928,863
SLM Student Loan Trust, Series 2012-1, Class A3
1.71%		09/25/28	³		1,300,000		1,286,704
SLM Student Loan Trust, Series 2012-2, Class A
1.46%		01/25/29	³		2,029,548		1,985,772
SLM Student Loan Trust, Series 2012-6, Class A2
1.04%		09/25/19	³		597,890		597,746
SLM Student Loan Trust, Series 2012-7, Class A3
1.41%		05/26/26	³		4,400,000		4,214,593
SLM Student Loan Trust, Series 2012-7, Class B
2.56%		09/25/43	³		2,200,000		2,047,066


Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2013-3,
Class A2
1.06%	05/26/20³	$	1,246,514	$	1,244,793
SLM Student Loan Trust, Series 2013-4,
Class A
1.31%	06/25/27³		2,038,120		1,983,826
SLM Student Loan Trust, Series 2013-6,
Class A2
1.26%	02/25/21³		709,931		710,436
SLM Student Loan Trust, Series 2014-1,
Class A2
1.14%	07/26/21³		1,264,781		1,264,833
SLM Student Loan Trust, Series 2014-1,
Class A3
1.36%	02/26/29³		1,670,000		1,606,456
Spirit Master Funding LLC,
Series 2014-1A, Class A1
5.05%	07/20/40²		112,723		114,783
Spirit Master Funding VII LLC,
Series 2013-2A, Class A
5.27%	12/20/43²		1,449,918		1,490,925
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%	01/16/46^2,†		2,128,022		2,437,574
Structured Receivables Finance LLC,
Series 2010-B, Class B
7.97%	08/15/36²		1,407,847		1,667,223
Toyota Auto Receivables Owner Trust,
Series 2016-C, Class A2A
1.00%	01/15/19		6,030,000		6,018,900
Upland CLO Ltd., Series 2016-1A, Class A1A
(Cayman Islands)
2.48%	04/20/28^2,3,4		3,575,000		3,588,321
USAAAuto Owner Trust,
Series 2016-1, Class A2
1.07%	03/15/19		1,830,000		1,828,233

Total Asset-Backed Securities
(Cost $354,681,444)					349,152,258


BANK LOANS — 0.80%*
Communications — 0.04%
Nexstar Broadcasting, Inc.,
Bridge Term Loan
8.50%	09/26/17^3,5		1,051,186		1,051,186

Consumer Discretionary — 0.03%
Reynolds Group Holdings, Inc., Term Loan,
1st Lien
LIBOR plus 3.25%	02/05/23³		822,938		835,002

Electric — 0.16%
Chief Power Finance LLC, Term Loan B,
1st Lien
LIBOR plus 4.75%	12/31/20^3,5		4,410,000		3,577,613


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Electric (continued)
Tex Operations Co. LLC, Term Loan B Exit,
1st Lien
LIBOR plus 4.00%		08/04/23	³	$	419,357	$	425,027
Tex Operations Co. LLC, Term Loan C Exit,
1st Lien
LIBOR plus 4.00%		08/04/23	³		95,643		96,936


							4,099,576

Finance — 0.15%
Delos Finance SARL, Term Loan B, 1st Lien
LIBOR plus 2.75%		02/27/21	³		3,855,629		3,888,671


Industrials — 0.33%
Johnson Controls International plc,
Senior Term Loan
LIBOR plus 1.50%		09/10/19	^3,5		6,225,000		6,205,547
TransDigm, Inc., Term Loan F, 1st Lien
LIBOR plus 3.00%		06/09/23	³		2,194,486		2,219,997


							8,425,544

Services — 0.09%
AABS Ltd., Term Loan, Series 2013-1,
Class A (STEP) (Bermuda)
4.88%		01/15/38	^3,4,†		2,217,462		2,228,510

Total Bank Loans
(Cost $21,289,341)							20,528,489


CORPORATES — 26.43%*
Automotive — 0.18%
Ford Motor Credit Co. LLC
6.63%		08/15/17			2,250,000		2,318,794
General Motors Co.
3.50%		10/02/18			1,710,000		1,744,768
Metalsa SA de CV, Series REGS (Mexico)
4.90%		04/24/23	⁴		500,000		480,163


							4,543,725

Banking — 3.88%
Banco Continental Sa Via Continental Senior
Trustees, Series REGS (Cayman Islands)
5.50%		11/18/20	⁴		950,000		1,035,025
Banco Internacional del Peru SAA Interbank,
Series REGS (Peru)
6.63%		03/19/29	^3,4		250,000		265,000
Banco Nacional de Costa Rica, Series REGS
(Costa Rica)
5.88%		04/25/21	⁴		250,000		253,437
Bank of America Corp.
5.70%		01/24/22			2,500,000		2,811,210
5.75%		12/01/17			5,610,000		5,812,403
6.00%		09/01/17			3,000,000		3,085,275


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Bank of America Corp. (GMTN)
3.50%	04/19/26	$	2,000,000	$	1,977,436
6.40%	08/28/17		3,000,000		3,093,492
Bank of America Corp. (MTN)
1.58%	12/01/26³		1,600,000		1,422,086
5.65%	05/01/18		1,295,000		1,358,613
6.88%	04/25/18		5,042,000		5,357,367
Bank of America N.A. (BKNT)
1.26%	06/15/17³		3,300,000		3,298,416
5.30%	03/15/17		2,575,000		2,595,072
6.10%	06/15/17		6,012,000		6,137,571
Discover Bank
2.60%	11/13/18		4,515,000		4,554,324
Discover Bank (BKNT)
3.10%	06/04/20		5,000,000		5,066,807
Global Bank Corp. (Panama)
4.50%	10/20/21^2,4		540,000		527,988
Grupo Aval Ltd., Series REGS
(Cayman Islands)
4.75%	09/26/22⁴		500,000		494,500
HBOS PLC (GMTN) (United Kingdom)
6.75%	05/21/18^2,4		3,425,000		3,611,265
JPMorgan Chase & Co.
1.80%	01/25/18		5,000,000		5,001,382
3.88%	09/10/24		2,000,000		2,024,239
4.25%	10/15/20		530,000		560,916
4.25%	10/01/27		3,425,000		3,526,514
6.00%	01/15/18		2,000,000		2,086,566
Macquarie Bank Ltd. (Australia)
5.00%	02/22/17^2,4		170,000		170,855
Royal Bank of Scotland PLC
(United Kingdom)
6.40%	10/21/19⁴		2,000,000		2,179,020
Santander UK PLC (United Kingdom)
1.65%	09/29/17⁴		2,500,000		2,502,201
3.05%	08/23/18⁴		425,000		431,813
5.00%	11/07/23^2,4		3,100,000		3,163,387
UBS AG/Stamford CT (GMTN) (Switzerland)
1.70%	03/26/18^3,4		3,000,000		3,010,809
UBS AG/Stamford CT (Switzerland)
1.49%	06/01/17^3,4		3,000,000		3,004,020
Wachovia Bank N.A. (BKNT)
6.00%	11/15/17		5,410,000		5,615,169
Wachovia Corp. (MTN)
5.75%	02/01/18		1,515,000		1,578,470
Wells Fargo & Co.
3.00%	04/22/26		11,985,000		11,396,518


					99,009,166


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Commercial Services — 0.10%
IHS Markit Ltd. (Bangladesh)
5.00%	11/01/22^2,4	$	2,400,000	$	2,502,000

Communications — 2.22%
Altice U.S. Finance I Corp.
5.38%	07/15/23²		1,000,000		1,041,250
5.50%	05/15/26²		550,000		561,000
AT&T, Inc.
3.40%	05/15/25		1,000,000		962,751
4.13%	02/17/26		7,400,000		7,506,826
4.35%	06/15/45		1,500,000		1,342,467
4.60%	02/15/21		2,000,000		2,117,228
Cequel Communications Holdings I
LLC/Cequel Capital Corp.
5.13%	12/15/21²		225,000		230,063
6.38%	09/15/20²		1,150,000		1,190,250
Charter Communications Operating
LLC/Charter Communications Operating
Capital
6.48%	10/23/45		5,640,000		6,518,712
CSC Holdings LLC
5.50%	04/15/27²		1,250,000		1,271,875
6.75%	11/15/21		500,000		538,750
8.63%	02/15/19		700,000		775,250
Intelsat Jackson Holdings SA (Luxembourg)
5.50%	08/01/23⁴		4,415,000		2,996,902
Level 3 Financing, Inc.
5.25%	03/15/26²		2,515,000		2,492,994
LIN Television Corp.
5.88%	11/15/22		2,510,000		2,560,200
Neptune Finco Corp.
10.88%	10/15/25²		300,000		357,000
Nexstar Escrow Corp.
5.63%	08/01/24²		500,000		497,500
Sprint Communications, Inc.
9.00%	11/15/18²		2,302,000		2,540,833
Time Warner, Inc.
3.80%	02/15/27		5,020,000		5,004,202
T-Mobile USA, Inc.
6.63%	04/28/21		2,450,000		2,563,313
6.73%	04/28/22		1,150,000		1,206,063
Verizon Communications, Inc.
4.52%	09/15/48		6,500,000		6,258,609
5.15%	09/15/23		1,000,000		1,105,422
Viacom, Inc.
3.45%	10/04/26		2,000,000		1,854,116


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Virgin Media Secured Finance PLC
(United Kingdom)
5.25%	01/15/26^2,4	$	840,000	$	832,650
5.50%	08/15/26^2,4		2,260,000		2,262,825


					56,589,051

Consumer Discretionary — 0.79%
Anheuser-Busch InBev Finance, Inc.
3.65%	02/01/26		8,608,000		8,756,781
Churchill Downs, Inc.
5.38%	12/15/21		3,465,000		3,612,263
Constellation Brands, Inc.
6.00%	05/01/22		1,195,000		1,353,744
DS Services of America, Inc.
10.00%	09/01/21²		2,000,000		2,202,500
GLP Capital LP/GLP Financing II, Inc.
5.38%	04/15/26		1,250,000		1,306,750
Molson Coors Brewing Co.
3.00%	07/15/26		1,312,000		1,242,784
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
5.75%	10/15/20		1,750,000		1,811,250


					20,286,072

Consumer Products — 0.05%
Scotts Miracle-Gro Co.(The)
5.25%	12/15/26²		1,250,000		1,253,125

Electric — 2.63%
AEP Texas Central Co.
3.85%	10/01/25²		6,455,000		6,675,206
AES Gener SA (Chile)
5.00%	07/14/25^2,4		500,000		497,197
AES Panama SRL, Series REGS (Panama)
6.00%	06/25/22⁴		250,000		260,000
Alabama Power Capital Trust V
4.10%	10/01/42³		1,300,000		1,222,714
Dominion Resources, Inc.
5.75%	10/01/54³		2,875,000		2,954,063
Dominion Resources, Inc. (STEP)
4.10%	04/01/21		3,050,000		3,180,218
Duquesne Light Holdings, Inc.
6.40%	09/15/20²		4,641,000		5,181,894
Entergy Corp.
4.00%	07/15/22		2,000,000		2,096,458
FirstEnergy Transmission LLC
4.35%	01/15/25²		2,131,000		2,201,796
GenOn Americas Generation LLC
8.50%	10/01/21⁵		2,800,000		2,366,000
Homer City Generation LP (PIK)


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Electric (continued)
8.14%	10/01/19^5,6,7	$	1,556,730	$	677,178
8.73%	10/01/26^5,6,8		4,848,440		2,109,071
IPALCO Enterprises, Inc.
5.00%	05/01/18		1,700,000		1,758,804
ITC Holdings Corp.
3.25%	06/30/26		3,000,000		2,921,784
3.65%	06/15/24		1,426,000		1,427,892
Kansas City Power & Light Co.
3.15%	03/15/23		6,250,000		6,211,950
Metropolitan Edison Co.
4.00%	04/15/25²		3,000,000		3,044,054
7.70%	01/15/19		2,230,000		2,455,738
NextEra Energy Capital Holdings, Inc.,
Series F
2.06%	09/01/17		6,000,000		6,025,971
Oncor Electric Delivery Co. LLC
6.80%	09/01/18		1,000,000		1,080,832
Pennsylvania Electric Co.
6.05%	09/01/17		3,175,000		3,263,303
Perusahaan Gas Negara Persero TBK PT
(Indonesia)
5.13%	05/16/24^2,4		750,000		770,625
Public Service Co. of New Mexico
3.85%	08/01/25		3,500,000		3,510,066
5.35%	10/01/21		50,000		53,249
Southern Co. Gas Capital Corp.
3.25%	06/15/26		3,350,000		3,286,670
Southwestern Electric Power Co.
6.45%	01/15/19		1,885,000		2,051,477


					67,284,210

Energy — 1.87%
BP Capital Markets PLC (United Kingdom)
3.06%	03/17/22⁴		2,395,000		2,420,203
Diamondback Energy, Inc.
5.38%	05/31/25²		2,665,000		2,691,650
Ecopetrol SA (Colombia)
5.88%	09/18/23⁴		500,000		532,500
El Paso LLC (GMTN)
7.80%	08/01/31		1,175,000		1,456,032
Enbridge Energy Partners LP
5.88%	10/15/25		2,500,000		2,813,105
Energy Transfer Partners LP
3.90%	11/01/66³		2,548,000		2,004,957
5.15%	03/15/45		6,500,000		6,245,395
Florida Gas Transmission Co. LLC
7.90%	05/15/19²		1,375,000		1,539,411
Gulfport Energy Corp.
6.38%	05/15/25²		2,500,000		2,538,000


Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Kinder Morgan Energy Partners LP
5.80%		03/15/35	$	240,000	$	254,454
NGPL Pipe Co. LLC
7.12%		12/15/17²		4,000,000		4,190,000
Noble Energy, Inc.
3.90%		11/15/24		934,000		946,102
Pertamina Persero PT, Series REGS (EMTN) (Indonesia)
4.30%		05/20/23⁴		1,000,000		994,940
Petroleos Mexicanos (Mexico)
1.70%		12/20/22⁴		90,000		88,655
3.50%		07/23/20⁴		2,000,000		1,962,500
Rockies Express Pipeline LLC
6.00%		01/15/19²		500,000		528,750
6.85%		07/15/18²		700,000		738,937
Ruby Pipeline LLC
6.00%		04/01/22²		1,850,000		1,957,023
TC PipeLines LP
4.38%		03/13/25		3,000,000		3,028,656
4.65%		06/15/21		2,300,000		2,410,621
Texas Eastern Transmission LP
2.80%		10/15/22²		3,000,000		2,924,321
Williams Partners LP
3.60%		03/15/22		2,854,000		2,872,380
Williams Partners LP/ACMP Finance Corp.
4.88%		05/15/23		2,500,000		2,555,776


						47,694,368

Environmental Control — 0.12%
Waste Management, Inc.
6.10%		03/15/18		2,855,000		3,004,284

Finance — 4.13%
American Express Bank FSB (BKNT)
6.00%		09/13/17		1,900,000		1,958,139
Bear Stearns Cos. LLC (The)
6.40%		10/02/17		3,750,000		3,885,225
7.25%		02/01/18		13,600,000		14,394,294
CIT Group, Inc.
6.63%		04/01/18²		1,000,000		1,056,250
Citigroup, Inc.
1.48%		08/25/36³		10,300,000		8,206,803
1.63%		11/24/17³		1,000,000		1,002,224
1.75%		05/01/18		5,000,000		4,987,406
1.80%		02/05/18		3,000,000		2,999,124
6.00%		08/15/17		3,263,000		3,353,039
Corp. Financiera de Desarrollo SA, Series REGS (Peru)
3.25%		07/15/19⁴		1,000,000		1,015,000
Fondo MIVIVIENDA SA, Series REGS (Peru)


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued) Finance (continued)
3.50%		01/31/23	⁴	$	1,000,000	$	986,250
Ford Motor Credit Co. LLC
1.95%		01/09/18	³		400,000		401,236
2.15%		01/09/18			2,500,000		2,505,493
3.00%		06/12/17			1,000,000		1,005,991
5.00%		05/15/18			2,000,000		2,076,842
General Electric Corp. (MTN)
1.39%		08/15/36	³		4,085,000		3,512,111
4.65%		10/17/21			70,000		76,768
General Motors Financial Co., Inc.
2.63%		07/10/17			2,500,000		2,513,843
3.00%		09/25/17			1,000,000		1,008,727
3.10%		01/15/19			2,000,000		2,025,400
Goldman Sachs Group, Inc. (GMTN) (The)
7.50%		02/15/19			2,475,000		2,745,094
Goldman Sachs Group, Inc. (MTN) (The)
3.85%		07/08/24			9,710,000		9,909,196
Goldman Sachs Group, Inc. (The)
2.90%		07/19/18			1,000,000		1,014,033
5.95%		01/18/18			4,075,000		4,246,174
Guanay Finance Ltd. (Cayman Islands)
6.00%		12/15/20	^2,4		205,771		208,858
International Lease Finance Corp.
7.13%		09/01/18	²		5,000,000		5,390,625
Morgan Stanley
1.74%		01/05/18	³		2,000,000		2,008,018
Morgan Stanley (GMTN)
5.45%		01/09/17			2,000,000		2,000,955
5.50%		07/24/20			3,000,000		3,288,294
6.63%		04/01/18			3,000,000		3,173,535
7.30%		05/13/19			2,740,000		3,054,796
Morgan Stanley (MTN)
5.63%		09/23/19			2,000,000		2,168,915
5.95%		12/28/17			5,083,000		5,291,805
Raymond James Financial, Inc.
8.60%		08/15/19			530,000		608,392
SL Green Realty Corp.
5.00%		08/15/18			895,000		925,646
Tanner Servicios Financieros SA,
Series REGS (Chile)
4.38%		03/13/18	⁴		500,000		508,750


							105,513,251

Food — 0.40%
Kraft Heinz Foods Co.
3.00%		06/01/26			3,478,000		3,271,869
5.20%		07/15/45			5,500,000		5,766,731


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
Lamb Weston Holdings, Inc.
4.88%		11/01/26	²	$	1,200,000	$	1,192,500


							10,231,100

Health Care — 4.21%
Abbott Laboratories
3.75%		11/30/26			6,235,000		6,205,923
AbbVie, Inc.
1.80%		05/14/18			1,500,000		1,501,627
3.20%		05/14/26			2,246,000		2,130,308
4.30%		05/14/36			1,000,000		955,981
4.70%		05/14/45			1,150,000		1,132,298
Actavis Funding SCS (Luxembourg)
1.30%		06/15/17	⁴		2,000,000		1,999,405
3.45%		03/15/22	⁴		2,000,000		2,032,350
3.80%		03/15/25	⁴		6,306,000		6,324,470
4.55%		03/15/35	⁴		1,500,000		1,489,243
Aetna, Inc.
1.75%		05/15/17			2,430,000		2,432,369
2.80%		06/15/23			4,000,000		3,944,628
Amgen, Inc.
4.40%		05/01/45			1,880,000		1,809,216
4.66%		06/15/51	²		2,000,000		1,931,259
Anthem, Inc.
1.88%		01/15/18			6,795,000		6,802,825
AstraZeneca PLC (United Kingdom)
3.38%		11/16/25	⁴		2,130,000		2,118,396
Biogen, Inc.
5.20%		09/15/45			3,423,000		3,677,846
Celgene Corp.
5.00%		08/15/45			3,250,000		3,411,281
Centene Corp.
4.75%		01/15/25			3,500,000		3,425,625
DaVita HealthCare Partners, Inc.
5.75%		08/15/22			1,735,000		1,819,581
Express Scripts Holding Co.
3.40%		03/01/27			3,500,000		3,286,111
Gilead Sciences, Inc.
4.15%		03/01/47			6,155,000		5,860,754
Grifols Worldwide Operations Ltd. (Ireland)
5.25%		04/01/22	⁴		1,025,000		1,066,000
Hartford HealthCare Corp.
5.75%		04/01/44			1,525,000		1,711,907
HCA, Inc.
6.50%		02/15/20			4,175,000		4,583,106
Hill-Rom Holdings, Inc.
5.75%		09/01/23	²		488,000		506,300
Humana, Inc.
7.20%		06/15/18			2,000,000		2,150,200


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Molina Healthcare, Inc.
5.38%		11/15/22		$	379,000	$	384,685
MPH Acquisition Holdings LLC
7.13%		06/01/24	²		225,000		236,813
Mylan NV (Netherlands)
3.00%		12/15/18	^2,4		2,482,000		2,510,377
NBTY, Inc.
7.63%		05/15/21	²		563,000		586,224
Northwell Healthcare, Inc.
4.80%		11/01/42			650,000		647,089
6.15%		11/01/43			2,250,000		2,782,867
Providence Health & Services
Obligated Group
1.95%		10/01/17	³		3,200,000		3,205,653
Quintiles Transnational Corp.
4.88%		05/15/23	²		500,000		508,575
Shire Acquisitions Investments Ireland DAC
(Ireland)
1.90%		09/23/19	⁴		9,386,000		9,273,096
Tenet Healthcare Corp.
4.46%		06/15/20	³		1,000,000		1,012,500
4.50%		04/01/21			1,000,000		1,002,500
6.75%		06/15/23			1,100,000		974,875
7.50%		01/01/22	²		750,000		782,344
Teva Pharmaceutical Finance Netherlands III
BV (Netherlands)
1.40%		07/20/18	⁴		2,745,000		2,720,961
Valeant Pharmaceuticals International, Inc.
7.25%		07/15/22	²		90,000		74,025
Valeant Pharmaceuticals International, Inc.
(Canada)
5.88%		05/15/23	^2,4		2,900,000		2,204,000
6.13%		04/15/25	^2,4		4,150,000		3,133,250
WellCare Health Plans, Inc.
5.75%		11/15/20			1,150,000		1,182,344


							107,531,187

Industrials — 0.97%
Amcor Finance USA, Inc.
3.63%		04/28/26	²		2,125,000		2,089,997
Ardagh Packaging Finance PLC/Ardagh
Holdings USA, Inc. (Ireland)
3.96%		12/15/19	^2,3,4		1,450,000		1,475,375
Ball Corp.
5.25%		07/01/25			250,000		262,187
Cemex Finance LLC
6.00%		04/01/24	²		600,000		619,500
Clean Harbors, Inc.
5.13%		06/01/21			2,026,000		2,078,271
Embraer SA (Brazil)


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
5.15%	06/15/22⁴	$	500,000	$	518,750
Graphic Packaging International, Inc.
4.13%	08/15/24		1,250,000		1,196,875
Heathrow Funding Ltd. (United Kingdom)
4.88%	07/15/21^2,4		700,000		748,093
SBA Communications Corp.
4.88%	09/01/24²		1,658,000		1,643,493
Sealed Air Corp.
5.25%	04/01/23²		1,250,000		1,303,125
5.50%	09/15/25²		1,250,000		1,314,063
Siemens Financieringsmaatschappij NV
(Netherlands)
2.00%	09/15/23^2,4		3,670,000		3,474,640
United Technologies Corp. (STEP)
1.78%	05/04/18		8,073,000		8,077,400


					24,801,769

Information Technology — 0.47%
Apple, Inc.
4.65%	02/23/46		1,500,000		1,623,867
First Data Corp.
5.00%	01/15/24²		2,427,000		2,449,013
IMS Health, Inc.
5.00%	10/15/26²		1,600,000		1,613,000
Microsoft Corp.
4.45%	11/03/45		2,500,000		2,654,440
MSCI, Inc.
4.75%	08/01/26²		2,500,000		2,496,875
NXP BV/NXP Funding LLC (Netherlands)
3.88%	09/01/22^2,4		400,000		406,470
4.13%	06/01/21^2,4		800,000		828,000


					12,071,665

Insurance — 0.60%
Farmers Exchange Capital
7.20%	07/15/48²		150,000		168,477
Farmers Exchange Capital II
6.15%	11/01/53^2,3		2,500,000		2,594,386
MetLife, Inc.
6.40%	12/15/36³		4,914,000		5,331,690
Nationwide Mutual Insurance Co.
3.25%	12/15/24^2,3		3,825,000		3,758,063
Teachers Insurance & Annuity
Association of America
4.38%	09/15/54^2,3		3,425,000		3,392,498


					15,245,114

Materials — 0.22%
Axalta Coating Systems LLC
4.88%	08/15/24²		1,200,000		1,206,000


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Materials (continued)
Fresnillo PLC, Series REGS
(United Kingdom)
5.50%	11/13/23⁴	$	500,000	$	525,000
Gerdau Holdings, Inc., Series REGS
7.00%	01/20/20		500,000		539,375
Gold Fields Orogen Holdings BVI Ltd., Series
REGS (Vietnam)
4.88%	10/07/20⁴		250,000		247,000
Vale Overseas Ltd. (Cayman Islands)
4.63%	09/15/20⁴		500,000		513,750
Valvoline, Inc.
5.50%	07/15/24²		2,555,000		2,650,813


					5,681,938

Real Estate Investment Trust (REIT) — 2.40%
Alexandria Real Estate Equities, Inc.
3.90%	06/15/23		1,650,000		1,673,347
4.60%	04/01/22		1,000,000		1,051,138
American Campus Communities
Operating Partnership LP
3.35%	10/01/20		1,735,000		1,759,201
AvalonBay Communities, Inc. (GMTN)
2.95%	09/15/22		250,000		249,410
3.63%	10/01/20		1,500,000		1,556,444
Boston Properties LP
5.63%	11/15/20		1,750,000		1,925,469
5.88%	10/15/19		200,000		218,219
Duke Realty LP
6.50%	01/15/18		4,000,000		4,185,972
Education Realty Operating Partnership LP
4.60%	12/01/24		3,240,000		3,208,883
5.75%	06/15/17		1,805,000		1,840,569
Essex Portfolio LP
5.50%	03/15/17		2,197,000		2,214,655
HCP, Inc.
3.88%	08/15/24		3,100,000		3,085,450
4.25%	11/15/23		945,000		966,048
5.63%	05/01/17		100,000		101,333
Healthcare Realty Trust, Inc.
5.75%	01/15/21		1,250,000		1,373,895
Highwoods Realty LP
5.85%	03/15/17		4,042,000		4,076,377
7.50%	04/15/18		800,000		853,104
Kimco Realty Corp. (MTN)
4.30%	02/01/18		3,525,000		3,596,575
Post Apartment Homes LP
3.38%	12/01/22		100,000		98,746
4.75%	10/15/17		270,000		274,171
Realty Income Corp.
2.00%	01/31/18		6,460,000		6,466,455


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
SL Green Realty Corp.
7.75%	03/15/20	$	2,375,000	$	2,680,271
Ventas Realty LP
3.25%	10/15/26		5,000,000		4,731,137
VEREIT Operating Partnership LP
3.00%	02/06/19		1,200,000		1,195,500
WEA Finance LLC/Westfield UK & Europe
Finance PLC
1.75%	09/15/17²		9,405,000		9,412,221
2.70%	09/17/19²		1,500,000		1,518,666
Welltower, Inc.
4.95%	01/15/21		1,020,000		1,098,042


					61,411,298

Retail — 0.41%
CVS Health Corp.
4.88%	07/20/35		4,385,000		4,732,274
Walgreens Boots Alliance, Inc.
3.10%	06/01/23		2,000,000		1,989,648
3.80%	11/18/24		3,699,000		3,762,786


					10,484,708

Services — 0.05%
Aramark Services, Inc.
4.75%	06/01/26²		895,000		892,763
5.13%	01/15/24²		400,000		413,500


					1,306,263

Transportation — 0.73%
America West Airlines Pass-Through Trust,
Series 2001-1, Class G
7.10%	04/02/21		1,288,618		1,398,924
American Airlines Pass-Through Trust,
Series 2011-1, Class A
5.25%	01/31/21		44,472		47,861
American Airlines Pass-Through Trust,
Series 2013-2, Class A
4.95%	01/15/23		3,955,614		4,222,618
Continental Airlines Pass-Through Trust,
Series 1997, Class 4A
6.90%	01/02/18		24,572		24,802
Continental Airlines Pass-Through Trust,
Series 1999-1, Class A
6.55%	08/02/20		2,441,747		2,545,399
Continental Airlines Pass-Through Trust,
Series 1999-2, Class A1
7.26%	03/15/20		1,757,779		1,866,585
Continental Airlines Pass-Through Trust,
Series 2000-1, Class A-1
8.05%	11/01/20		425,163		464,236


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Continental Airlines Pass-Through Trust,
Series 2000-2, Class A1
7.71%	10/02/22	$	643,831	$	694,935
Continental Airlines Pass-Through Trust,
Series 2001-1, Class A1
6.70%	06/15/21		42,062		44,744
Continental Airlines Pass-Through Trust,
Series 2007, Class 1A
5.98%	04/19/22		2,451,959		2,712,479
Continental Airlines Pass-Through Trust,
Series 2012-1, Class B
6.25%	04/11/20		48,395		50,542
Delta Air Lines Pass-Through Trust,
Series 2002-1, Class G1
6.72%	01/02/23		1,070,602		1,217,810
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
6.25%	04/22/23		1,096,373		1,225,197
U.S. Airways Pass-Through Trust,
Series 2011-1, Class G
7.08%	03/20/21		1,095,829		1,163,634
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		96,723		107,967
UAL Pass-Through Trust,
Series 2009-2A, Class 2
9.75%	01/15/17		935,423		942,439


					18,730,172

Total Corporates

(Cost $676,323,919)					675,174,466


FOREIGN GOVERNMENT OBLIGATIONS — 1.22%
Foreign Government Obligations — 1.22%
Brazilian Government International Bond
(Brazil)
2.63%	01/05/23⁴		4,000,000		3,570,000
Chile Government International Bond (Chile)
2.25%	10/30/22⁴		1,500,000		1,456,875
Colombia Government International Bond
(Colombia)
4.50%	01/28/26⁴		2,500,000		2,584,375
Costa Rica Government International Bond,
Series REGS (Costa Rica)
4.25%	01/26/23⁴		1,200,000		1,105,500
Croatia Government International Bond,
Series REGS (Croatia)
6.63%	07/14/20⁴		1,700,000		1,852,073
Hazine Mustesarligi Varlik Kiralama AS
(Turkey)
4.56%	10/10/18^2,4		1,200,000		1,215,120


Issues	Maturity Date			Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Hungary Government International Bond (Hungary)
5.75%		11/22/23	⁴	$	1,600,000	$	1,777,160
Kazakhstan Government International Bond,
Series REGS (EMTN) (Kazakhstan)
5.13%		07/21/25	⁴		2,000,000		2,142,500
Magyar Export-Import Bank Zrt (Hungary)
4.00%		01/30/20	^2,4		900,000		921,960
Mexico Government International Bond
(GMTN) (Mexico)
3.50%		01/21/21	⁴		2,500,000		2,542,750
Panama Government International Bond
(Panama)
4.00%		09/22/24	⁴		1,000,000		1,021,250
Perusahaan Penerbit SBSN, Indonesia III (Indonesia)
4.35%		09/10/24	^2,4		2,000,000		2,012,500
Republic of Serbia, Series REGS (Serbia)
4.88%		02/25/20	⁴		2,000,000		2,038,518
Russian Foreign Bond - Eurobond,
Series REGS (Russia)
4.88%		09/16/23	⁴		3,600,000		3,804,059
South Africa Government International Bond (South Africa)
4.67%		01/17/24	⁴		1,100,000		1,104,075
Uruguay Government International Bond (Uruguay)
4.38%		10/27/27			1,200,000		1,209,060
Venezuela Government International Bond (Venezuela)
9.25%		09/15/27	⁴		1,400,000		727,160

Total Foreign Government Obligations
(Cost $31,618,317)							31,084,935


MORTGAGE-BACKED — 41.70%**
Commercial Mortgage-Backed — 8.30%
Aventura Mall Trust, Series 2013-AVM,
Class A
3.74%		12/05/32	^2,3		4,570,000		4,806,797
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2006-3, Class A4
5.89%		07/10/44	³		74,440		74,586
Banc of America Merrill Lynch Commercial
Mortgage Trust, Series 2007-5, Class A4
5.49%		02/10/51			14,647,830		14,902,173
Banc of America Merrill Lynch Commercial
Mortgage Trust, Series 2012-PARK, Class A
2.96%		12/10/30	²		3,710,000		3,737,416


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bayview Commercial Asset Trust,
Series 2004-2, Class A
1.19%		08/25/34	^2,3	$	1,694,937	$	1,618,341
Bear Stearns Commercial Mortgage
Securities, Series Trust 2004-PWR5,
Class F
5.48%		07/11/42	^2,3		1,766,909		1,810,688
Citigroup Commercial Mortgage Trust,
Series 2007-C6, Class A4
5.71%		12/10/49	³		12,000,000		12,105,046
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class XA (IO)
2.13%		09/10/45	^2,3,5		70,479,799		4,465,431
Citigroup Commercial Mortgage Trust,
Series 2013-375P, Class A
3.25%		05/10/35	²		2,580,000		2,631,413
Commercial Mortgage Trust,
Series 2012-CR4, Class XA
1.90%		10/15/45	^3,5		55,779,326		3,903,856
Commercial Mortgage Trust,
Series 2012-CR5, Class XA
1.74%		12/10/45	^3,5		49,638,179		3,323,966
Commercial Mortgage Trust,
Series 2012-LC-4, Class A2
2.26%		12/10/44			724,321		724,635
Commercial Mortgage Trust,
Series 2013-300P, Class A1
4.35%		08/10/30	²		2,840,000		3,073,973
Commercial Mortgage Trust,
Series 2013-CR6, Class A1
0.72%		03/10/46			854,180		851,344
Commercial Mortgage Trust,
Series 2013-WWP, Class A2
3.42%		03/10/31	²		3,070,000		3,163,435
Commercial Mortgage Trust,
Series 2014-277P, Class A
3.61%		08/10/49	^2,3		6,275,000		6,496,978
Commercial Mortgage Trust,
Series 2016-787S, Class A
3.55%		02/01/36	^2,3		3,340,000		3,419,117
Credit Suisse Mortgage Trust,
Series 2007-C2, Class A1A
5.53%		01/15/49	³		566,676		567,718
DBRR Trust, Series 2012-EZ1, Class C
2.06%		09/25/45	²		755,439		755,491
DBRR Trust, Series 2013-EZ3, Class A
1.64%		12/18/49	^2,3		175,313		175,232
DBUBS Mortgage Trust, Series 2011-LC2A, Class A1
3.53%		07/10/44	²		4,942,823		5,088,760


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
GE Business Loan Trust, Series 2006-2A,
Class A
0.51%	11/15/34^2,3	$	4,849,747	$	4,584,199
GE Commercial Mortgage Corp.,
Series 2007-C1, Class A4
5.54%	12/10/49		1,660,166		1,661,056
GS Mortgage Securities Trust,
Series 2010-C1, Class A1
3.68%	08/10/43²		2,627,655		2,699,478
GS Mortgage Securities Trust,
Series 2010-C1, Class X
1.43%	08/10/43^2,3,5		44,184,643		1,830,791
GS Mortgage Securities Trust,
Series 2012-GC6, Class XA
1.97%	01/10/45^2,3,5		54,978,791		4,370,654
JPMBB Commercial Mortgage Securities
Trust, Series 2013-C14, Class XA
0.90%	08/15/46^3,5		130,523,600		3,484,889
JPMBB Commercial Mortgage Securities
Trust, Series 2013-C15, Class XA
1.35%	11/15/45^3,5		31,150,291		1,529,903
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2004-LN2,
Class A2
5.12%	07/15/41		825,485		823,915
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2007-C1,
Class ASB
5.86%	02/15/51		23,161		23,184
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2009-RR1,
Class A4B
5.72%	03/18/51^2,3		2,500,000		2,562,325
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2010-C2,
Class A2
3.62%	11/15/43²		5,750,859		5,837,641
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2010-CNTR,
Class A1
3.30%	08/05/32²		1,912,250		1,948,911
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2010-CNTR,
Class A2
4.31%	08/05/32²		7,990,000		8,394,973
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2011-C3,
Class XA
1.03%	02/15/46^2,3,5		32,902,433		890,728
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2012-C6,
Class A2
2.21%	05/15/45		272,059		272,063


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2013-LC11,
Class XA
1.43%	04/15/46^3,5	$	15,978,104	$	961,094
JPMorgan Chase Commercial Mortgage
Securities Trust, Series 2012-CIBX,
Class A3
3.14%	06/15/45		1,394,385		1,419,559
LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3
5.43%	02/15/40		3,136,022		3,142,527
LB-UBS Commercial Mortgage Trust,
Series 2007-C6, Class A4
5.86%	07/15/40³		3,838,106		3,865,446
Lehman Brothers Small Balance Commercial
Mortgage Trust, Series 2005-2A, Class 1A
1.01%	09/25/30^2,3		1,777,410		1,654,832
Lehman Brothers Small Balance Commercial
Mortgage Trust, Series 2006-2A, Class 1A
0.96%	09/25/36^2,3		1,848,054		1,766,584
Merrill Lynch Mortgage Trust,
Series 2007-C1, Class A4
5.83%	06/12/50³		6,892,727		6,951,980
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2012-C6, Class A2
1.87%	11/15/45		2,817,047		2,822,947
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2012-C6, Class A3
2.51%	11/15/45		947,000		956,826
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2012-C6, Class A4
2.86%	11/15/45		1,360,000		1,383,424
Morgan Stanley Bank of America Merrill
Lynch Trust, Series 2013-C12, Class XA
0.93%	10/15/46^3,5		48,631,716		1,645,291
Morgan Stanley Capital I Trust,
Series 2007-IQ14, Class A4
5.69%	04/15/49³		14,242,372		14,300,339
Morgan Stanley Capital I Trust,
Series 2007-T25, Class AM
5.54%	11/12/49³		5,019,906		5,020,030
Morgan Stanley Capital I Trust,
Series 2012-C4, Class XA
2.21%	03/15/45^2,3,5		30,249,596		2,426,429
OBP Depositor LLC Trust, Series 2010-OBP,
Class A
4.65%	07/15/45²		6,551,000		6,971,369
RBS Commercial Funding Trust,
Series 2013-GSP, Class A
3.83%	01/13/32^2,3		3,460,000		3,633,645
SFAVE Commercial Mortgage Securities
Trust, Series 2015-5AVE, Class XA
0.45%	01/05/43^2,3,5		28,685,000		1,608,831


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ
5.47%	08/15/39³	$	1,199,473	$	1,201,190
Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3
5.71%	06/15/49³		12,682,975		12,761,043
WaMu Commercial Mortgage Securities Trust, Series 2007-SL3, Class AJ
5.75%	03/23/45^2,3		1,561,894		1,561,750
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A2
4.39%	11/15/43²		4,555,000		4,855,465
WF-RBS Commercial Mortgage Trust,
Series 2011-C4, Class A3
4.39%	06/15/44²		3,593,629		3,727,918
WF-RBS Commercial Mortgage Trust,
Series 2011-C5, Class XA
1.77%	11/15/44^2,3,5		23,817,490		1,612,878
WF-RBS Commercial Mortgage Trust,
Series 2013-C18, Class A3
3.65%	12/15/46		4,980,000		5,209,758
WF-RBS Commercial Mortgage Trust,
Series 2014-C23, Class XA
0.69%	10/15/57^3,5		54,655,871		1,926,822


					211,999,083

Non-Agency Mortgage-Backed — 23.69%
Aames Mortgage Investment Trust,
Series 2006-1, Class A4
1.32%	04/25/36³		2,082,000		1,937,142
Accredited Mortgage Loan Trust,
Series 2006-1, Class A4
1.04%	04/25/36³		7,000,000		6,381,217
ACE Securities Corp., Series 2006-OP2,
Class A2C
0.91%	08/25/36³		800,482		718,769
ACE Securities Corp., Series 2007-ASP1, Class A2D
1.14%	03/25/37³		3,554,802		2,010,942
Adjustable Rate Mortgage Trust,
Series 2005-4, Class 5A1
2.93%	08/25/35³		3,840,677		3,373,393
Adjustable Rate Mortgage Trust,
Series 2005-5, Class 6A21
0.99%	09/25/35³		468,313		462,124
Adjustable Rate Mortgage Trust,
Series 2007-1, Class 1A1
3.44%	03/25/37³		6,285,126		5,524,083
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE5, Class A5
1.00%	07/25/36³		9,754,000		8,143,934


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Asset-Backed Funding Certificates,
Series 2007-NC1, Class A2
1.06%	05/25/37^2,3	$	6,032,000	$	4,711,104
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2B
1.76%	06/25/37³		5,811,584		4,463,454
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE9, Class M1
1.73%	12/25/34³		2,309,686		2,145,684
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE1, Class A4
1.06%	01/25/36³		5,000,000		4,614,415
Banc of America Alternative Loan Trust,
Series 2003-8, Class 1CB1
5.50%	10/25/33		1,655,627		1,711,377
Banc of America Alternative Loan Trust,
Series 2005-2, Class 4A1
5.50%	03/25/20		85,422		86,182
Banc of America Funding Corp., Series
2015-R3, Class 6A2
0.75%	05/28/36²		16,655,052		12,635,575
Banc of America Funding Trust,
Series 2004-B, Class 5A1
3.42%	11/20/34³		649,589		619,541
Banc of America Funding Trust,
Series 2006-D, Class 3A1
3.24%	05/20/36³		2,332,297		2,060,431
Banc of America Funding Trust,
Series 2006-G, Class 2A1
0.96%	07/20/36³		3,190,315		3,131,567
Banc of America Funding Trust,
Series 2006-G, Class 2A4
1.03%	07/20/36³		3,239,947		3,186,934
Banc of America Mortgage Securities, Inc., Series 2005-K, Class 2A1
3.50%	12/25/35³		3,581,470		3,407,630
BCAP LLC Trust, Series 2007-AA1,
Class 2A1
0.94%	03/25/37³		7,528,070		6,684,282
BCAP LLC Trust, Series 2009-RR4,
Class 1A1
9.50%	06/26/37²		351,317		360,301
BCAP LLC Trust, Series 2012-R11,
Class 11A1
3.00%	09/26/36^2,3		476,570		475,452
BCAP LLC Trust, Series 2013-RR2,
Class 6A1
3.00%	06/26/37^2,3		320,309		318,811
BCAP LLC Trust, Series 2015-RR2,
Class 23A1
0.79%	03/28/37^2,3		3,184,233		3,131,566


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns ALT-A Trust, Series 2005-2,
Class 2A4
3.00%	04/25/35³	$	4,308,499	$	4,163,713
Bear Stearns ARM Trust, Series 2005-2,
Class A1
2.92%	03/25/35³		386,188		389,013
Bear Stearns ARM Trust, Series 2005-9,
Class A1
2.83%	10/25/35³		6,385,585		6,185,761
Bear Stearns Asset-Backed Securities Trust, Series 2005-AC6, Class 1A3
5.50%	09/25/35³		843,301		834,205
Bear Stearns Asset-Backed Securities Trust, Series 2006-AC2, Class 21A3
6.00%	03/25/36		174,639		165,502
Centex Home Equity Loan Trust,
Series 2005-D, Class M1
1.19%	10/25/35³		52,119		52,249
Centex Home Equity Loan Trust,
Series 2006-A, Class AV4
1.01%	06/25/36³		7,215,367		7,187,232
Chase Funding Trust,
Series 2007-A1, Class 8A1
3.23%	02/25/37³		2,259,050		2,288,047
CIM Trust, Series 2015-3AG, Class A1
2.37%	10/25/57^2,3		6,903,779		6,937,053
CIM Trust, Series 2016-4, Class A1
2.53%	10/25/57^2,3		12,092,052		12,264,713
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-CB3, Class AV4
1.02%	03/25/36³		2,900,000		2,460,230
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-9, Class 1A1
1.02%	11/25/35³		115,094		78,031
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-AR3, Class 1A2A
3.21%	06/25/36³		582,933		539,482
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-HE2, Class A2D
1.00%	08/25/36³		2,300,000		2,097,472
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-NC1, Class A2C
0.90%	08/25/36³		1,254,220		1,196,967
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH2, Class A2A
0.91%	08/25/36³		112,782		110,518
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH3, Class M1
1.05%	10/25/36³		12,000,000		11,500,505
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH1, Class A4
0.96%	01/25/37³		4,010,478		4,002,390


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3
0.94%	03/25/37³	$	369,173	$	368,715
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH2, Class A4
1.11%	03/25/37³		10,233,000		9,929,823
Conseco Financial Corp., Series 1998-6,
Class A8
6.66%	06/01/30		47,664		51,062
Countrywide Alternative Loan Trust,
Series 2005-76, Class 1A1
2.05%	01/25/36³		7,799,022		7,180,636
Countrywide Alternative Loan Trust,
Series 2006-HY12, Class A5
2.97%	08/25/36³		7,987,194		7,614,691
Countrywide Asset-Backed Certificates,
Series 2004-15, Class MV4
1.86%	04/25/35³		7,035,000		6,990,945
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2004-HYB7,
Class 3A
3.12%	11/20/34³		18,628		18,190
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2005-3,
Class 1A2
1.05%	04/25/35³		7,635,659		6,806,103
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2005-4,
Class 4A1
1.34%	02/25/35³		36,956		31,149
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2005-9,
Class 1A1
1.36%	05/25/35³		163,799		138,543
Countrywide Home Loan Mortgage
Pass-Through Trust, Series 2007-J2,
Class 2A1
1.41%	07/25/37³		2,227,943		1,142,364
Credit Suisse First Boston Mortgage
Securities Corp., Series 2003-AR26,
Class 3A1
2.87%	11/25/33³		1,491,504		1,482,957
Credit Suisse First Boston Mortgage
Securities Corp., Series 2004-AR5,
Class 9A1
2.59%	06/25/34³		279,390		271,497
Credit Suisse First Boston Mortgage
Securities Corp., Series 2005-11,
Class 1A1
6.50%	12/25/35		1,027,952		784,918
Credit Suisse Mortgage Trust,
Series 2006-8, Class 3A1
6.00%	10/25/21		226,527		216,705


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse Mortgage Trust, Series 2013-3R, Class 5A1
3.15%		10/27/36	^2,3	$	728,695	$	728,717
Credit Suisse Mortgage Trust, Series 2014-CIM1, Class A1
2.28%		01/25/58	^2,3		9,425,245		9,472,047
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF4 (STEP)
3.40%		01/25/36			3,110,739		2,283,582
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB2, Class AF3 (STEP)
3.50%		12/25/36			1,000,000		694,953
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB9, Class A2
0.87%		11/25/36	³		11,452,043		6,655,880
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF2 (STEP)
3.87%		01/25/37			1,215,068		563,990
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2B (STEP)
4.40%		02/25/37			8,104,305		5,936,115
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP)
4.40%		02/25/37			1,939,698		1,420,575
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB3, Class A3 (STEP)
3.95%		03/25/37			4,122,477		2,308,984
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB4, Class A1A
0.67%		04/25/37	³		5,304,328		5,020,197
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1
0.64%		04/25/37	³		2,357,203		1,682,707
DSLA Mortgage Loan Trust, Series 2004-AR4, Class 2A1A
1.10%		01/19/45	³		1,420,027		1,225,715
DSLA Mortgage Loan Trust, Series 2005-AR6, Class 2A1A
1.03%		10/19/45	³		8,354,859		7,168,289
DSLA Mortgage Loan Trust, Series 2006-AR2, Class 2A1A
0.94%		10/19/36	³		8,284,302		7,058,392
DSLA Mortgage Loan Trust, Series 2007-AR1, Class 2A1A
0.88%		04/19/48	³		3,153,827		2,746,050


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
2.76%		09/25/34	³	$	1,410,113	$	1,376,808
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A3
2.76%		09/25/34³			2,168,315		2,117,093
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA10, Class 1A1
3.04%		12/25/35	³		3,291,083		2,722,254
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA12, Class 2A1
2.81%		02/25/36	³		5,055,455		4,384,242
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA2, Class 2A1
2.78%		04/25/35³			5,999,510		5,872,399
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA7, Class 2A1
2.82%		09/25/35	³		7,590,420		6,975,481
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA8, Class 2A1
2.76%		10/25/35	³		8,531,278		7,529,414
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1
2.88%		11/25/35	³		4,582,319		4,176,920
First Horizon Alternative Mortgage Securities Trust, Series 2006-AA1, Class 1A1
2.81%		03/25/36	³		5,046,357		4,300,617
First Horizon Alternative Mortgage Securities Trust, Series 2006-AA7, Class A1
3.02%		01/25/37	³		7,824,184		6,641,017
First Horizon Alternative Mortgage Securities, Series 2005-AA3, Class 3A1
2.97%		05/25/35	³		5,996,560		5,779,968
First Horizon Mortgage Pass-Through Trust, Series 2004-AR5, Class 2A1
3.03%		10/25/34	³		90,450		88,142
First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 1A1
3.07%		09/25/35	³		6,067,710		5,457,069
First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 2A1
2.90%		10/25/35	³		254,247		212,124
First Horizon Mortgage Pass-Through Trust, Series 2005-AR5, Class 2A1
3.00%		11/25/35	³		3,963,611		3,784,245
First Horizon Mortgage Pass-Through Trust, Series 2007-AR2, Class 1A2
2.99%		08/25/37	³		310,675		248,855
GE Business Loan Trust, Series 2007-1A, Class A
0.87%		04/16/35	^2,3		7,827,339		7,299,644


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GMAC Mortgage Corp. Loan Trust, Series 2005-AR5, Class 2A1
3.50%		09/19/35	³	$	2,966,621	$	2,724,281
GMAC Mortgage Corp. Loan Trust, Series 2005-AR5, Class 3A1
3.59%		09/19/35	³		4,720,291		4,564,609
GMAC Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1
3.41%		04/19/36	³		5,251,962		4,909,320
GreenPoint Mortgage Funding Trust, Series 2005-HY1, Class 2A
1.05%		07/25/35	³		5,274,273		5,082,804
GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A
0.94%		01/25/47	³		144,599		142,593
GSAA Home Equity Trust, Series 2006-4, Class 4A2
0.99%		03/25/36	³		107,479		106,862
GSAMP Trust, Series 2005-HE5, Class M2
1.19%		11/25/35	³		10,000,000		9,693,112
GSR Mortgage Loan Trust, Series 2005-4F, Class 4A3
5.50%		05/25/35			6,815		6,837
GSR Mortgage Loan Trust, Series 2005-7F, Class 3A3 (IO)
4.74%		09/25/35	^3,5		54,869		2,579
GSR Mortgage Loan Trust, Series 2005-AR4, Class 5A1
3.19%		07/25/35	³		2,712,304		2,487,907
GSR Mortgage Loan Trust, Series 2006-AR2, Class 2A1
3.09%		04/25/36	³		529,613		487,693
GSR Mortgage Loan Trust, Series 2007-AR2, Class 5A1A
3.03%		05/25/47	³		2,068,104		1,826,218
Impac CMB Trust, Series 2005-2, Class 1A1
1.28%		04/25/35	³		7,624,400		7,012,808
IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A1
3.01%		09/25/35	³		2,354,482		2,028,628
IndyMac Index Mortgage Loan Trust, Series 2005-AR19, Class A1
3.03%		10/25/35	³		4,423,802		3,794,498
IndyMac Index Mortgage Loan Trust, Series 2006-AR27, Class 1A3
1.03%		10/25/36	³		10,664,961		7,277,106
IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 3A1
3.10%		05/25/36	³		930,422		792,301


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust, Series 2006-AR9, Class 3A3
2.99%		06/25/36	³	$	7,707,753	$	7,315,044
IndyMac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%		09/25/28			72,408		75,778
JPMorgan Mortgage Acquisition Trust, Series 2006-CH1, Class M2
1.05%		07/25/36	³		12,135,000		10,585,538
JPMorgan Mortgage Acquisition Trust, Series 2007-CH1, Class MV1
0.99%		11/25/36	³		8,500,000		8,157,550
JPMorgan Mortgage Acquisition Trust, Series 2007-CH5, Class A4
0.92%		05/25/37	³		1,752,376		1,698,681
JPMorgan Mortgage Trust, Series 2005-A6, Class 7A1
3.16%		08/25/35	³		95,835		91,864
JPMorgan Mortgage Trust, Series 2006-A3, Class 2A1
2.98%		05/25/36	³		80,829		67,610
JPMorgan Mortgage Trust, Series 2006-S2, Class 2A2
5.88%		06/25/21			568,663		554,900
JPMorgan Mortgage Trust, Series 2007-S1, Class 1A2
5.50%		03/25/22			346,534		353,026
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A3
4.35%		04/15/40			13,791		14,084
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-2A, Class 1A4
1.01%		06/25/37	^2,3		5,314,374		4,838,392
Lehman XS Trust, Series 2005-4, Class 1A3
1.56%		10/25/35	³		199,599		194,686
Lehman XS Trust, Series 2005-5N, Class 3A1A
1.06% 11/25/35³					8,427,555		7,504,370
Lehman XS Trust, Series 2006-1, Class 1A1
1.01%		02/25/36	³		2,273,812		2,223,733
Luminent Mortgage Trust, Series 2007-2, Class 1A3
0.98%		05/25/37	³		507,765		492,089
MASTR Adjustable Rate Mortgages Trust, Series 2003-7, Class 3A1
2.50%		11/25/33	³		543,528		568,134
MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 8A1
4.66%		10/25/34	³		874,223		874,142


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3A3
2.63%		04/25/34	³	$	168,728	$	162,593
MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 4A1
3.03%		02/25/36	³		170,096		157,375
MASTR Adjustable Rate Mortgages Trust, Series 2007-2, Class A2
0.87%		03/25/47	³		419,113		417,928
MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A4
1.04%		05/25/37	³		3,150,000		2,160,255
Merrill Lynch Alternative Note Asset, Series 2007-A3, Class A2D
1.09%		04/25/37	^3,5		883,581		111,714
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2C
0.92%		10/25/36	³		1,288,481		931,040
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2D
0.97%		12/25/37	³		1,993,693		1,317,386
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4
1.01%		07/25/37	³		1,546,189		985,021
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2D
0.80%		01/25/38	³		6,784,129		4,583,863
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B
0.68%		03/25/37	³		958,634		563,498
Merrill Lynch Mortgage Backed Securities Trust, Series 2007-2, Class 1A1
3.18%		08/25/36	³		3,449,914		3,187,189
Merrill Lynch Mortgage Investors Trust, Series 2003-A6, Class 2A
3.26%		10/25/33	³		381,131		387,285
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			88,705		101,501
Morgan Stanley Capital I Trust, Series 2006-NC2, Class A2D
1.05%		02/25/36	³		4,488,504		4,121,060
Morgan Stanley Home Equity Loan Trust, Series 2006-2, Class A4
1.04%		02/25/36	³		5,344,801		5,161,546
Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4
2.59%		09/25/34	³		974,517		971,153
Morgan Stanley Mortgage Loan Trust,
Series 2005-6AR, Class 1A1
1.04%		11/25/35	³		161,186		158,400


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Morgan Stanley Mortgage Loan Trust, Series 2006-2, Class 1A
5.25%		02/25/21		$	315,198	$	307,699
Morgan Stanley Resecuritization Trust, Series 2013-R3, Class 12A
3.23%		01/26/47	^2,3		362,020		361,463
Morgan Stanley Resecuritization Trust, Series 2014-R9, Class 3A
0.11%		11/26/46	^2,3		5,842,923		5,645,404
MortgageIT Trust, Series 2005-2, Class 2A
2.27%		05/25/35	³		3,565,819		3,490,456
MortgageIT Trust, Series 2005-4, Class A1
1.04%		10/25/35	³		6,333,827		5,861,918
MortgageIT Trust, Series 2005-5, Class A1
1.02%		12/25/35	³		998,108		919,130
New Century Home Equity Loan Trust, Series 2005-2, Class M1
1.40%		06/25/35	³		553,357		555,740
New Century Home Equity Loan Trust, Series 2005-D, Class A2D
1.09%		02/25/36	³		5,642,120		5,587,914
New York Mortgage Trust, Series 2005-3, Class A1
1.24%		02/25/36	³		1,610,580		1,512,019
Nomura Asset Acceptance Corp., Series 2005-AR4, Class 4A1
3.64%		08/25/35	³		7,357,572		7,030,751
Nomura Resecuritization Trust, Series 2016-2R, Class 1A1
0.87%		09/26/36	^2,†		11,581,805		10,872,451
Oakwood Mortgage Investors, Inc.,
Series 2000-A, Class A5
8.16%		09/15/29	³		11,984,278		8,212,987
Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3
1.07%		06/25/47	³		5,152,000		3,762,899
Residential Accredit Loans Trust, Series 2005-QA13, Class 2A1
4.08%		12/25/35	³		4,073,597		3,559,595
Residential Accredit Loans Trust, Series 2005-QA4, Class A41
3.44%		04/25/35	³		373,341		360,632
Residential Accredit Loans Trust, Series 2005-QA7, Class A21
3.50%		07/25/35	³		2,292,509		2,154,251
Residential Accredit Loans Trust, Series 2005-QA8, Class CB21
3.76%		07/25/35	³		1,738,890		1,432,181
Residential Accredit Loans Trust, Series 2005-SP1, Class 4A1
7.00%		09/25/34			209,211		217,151


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust, Series 2006-QS13, Class 2A1
5.75%		09/25/21		$	273,727	$	266,288
Residential Accredit Loans Trust, Series 2006-QS16, Class A6
6.00%		11/25/36			1,089,783		889,492
Residential Accredit Loans Trust, Series 2007-QS1, Class 2AV (IO)
0.17%		01/25/37	^3,5		4,643,300		33,950
Residential Asset Securities Trust, Series 2004-KS9, Class AII4
1.36%		10/25/34	³		20,773		16,665
Residential Asset Securities Trust, Series 2005-KS12, Class A3
1.08%		01/25/36	³		403,656		402,812
Residential Asset Securities Trust, Series 2006-A9CB, Class A9
6.00%		09/25/36			6,824,771		4,534,438
Residential Funding Mortgage Securities Trust, Series 2007-SA2, Class 1A
3.59%		04/25/37	³		373,302		250,829
Securitized Asset Backed Receivables LLC Trust, Series 2007-BR2, Class A2
0.99%		02/25/37	³		1,776,849		1,197,726
Securitized Asset Backed Receivables LLC Trust, Series 2007-BR4, Class A2B
0.96%		05/25/37	³		3,193,045		2,000,238
Securitized Asset Backed Receivables LLC Trust, Series 2007-NC1, Class A2B
0.91%		12/25/36	³		4,107,053		2,297,137
Soundview Home Loan Trust, Series 2007-WMC1, Class 3A3
1.02%		02/25/37	³		1,216,113		484,670
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A
2.99%		09/25/34	³		1,398,801		1,380,281
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 4A2
3.00%		03/25/34	³		2,201,296		2,218,536
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-12, Class 3A1
3.17%		06/25/35	³		2,582,809		2,393,744
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-21, Class 2A
3.10%		11/25/35	³		2,642,303		2,330,944
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-7, Class 1A3
3.07%		04/25/35	³		6,839,114		6,323,440
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-11, Class 1A1
0.92%		12/25/36	³		282,999		244,077


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Mortgage Investments II Trust, Series 2006-AR3, Class 22A1
2.50%		05/25/36	³	$	736,207	$	454,251
Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 1A1
0.97%		05/25/46	³		637,863		496,316
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-2XS, Class 2A2
2.08%		02/25/35	³		295,925		283,891
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-4XS, Class 2A1A
2.37%		03/25/35	³		3,266,848		3,107,384
Structured Asset Securities Corp., Series 2002-11A, Class 2A1
3.37%		06/25/32	³		126,459		123,514
Structured Asset Securities Corp., Series 2003-34A, Class 3A3
3.08%		11/25/33	³		154,784		152,454
Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-04, Class 3A1
3.42%		10/25/37	³		4,079,974		3,641,205
Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-S1, Class 2A1
3.28%		01/25/37	³		1,795,888		1,783,150
Suntrust Adjustable Rate Mortgage Loan
Trust, Series 2007-S1, Class 5A1
3.64%		01/25/37	³		1,066,252		1,045,421
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A2
0.87%		01/25/37	³		4,737,550		2,872,761
WaMu Mortgage Pass-Through Certificates, Series 2004-AR13, Class A1A
1.48%		11/25/34	³		374,220		357,719
WaMu Mortgage Pass-Through Certificates, Series 2004-AR14, Class A1
2.83%		01/25/35	³		1,418,128		1,420,866
WaMu Mortgage Pass-Through Certificates, Series 2004-AR6, Class A
1.18%		05/25/44	³		239,354		227,578
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR1, Class A1A
1.40%		01/25/45	³		382,717		361,421
WaMu Mortgage Pass-Through Certificates, Series 2005-AR11, Class A1A
1.08%		08/25/45	³		951,064		923,472
WaMu Mortgage Pass-Through Certificates, Series 2005-AR12, Class 1A6
2.75%		10/25/35	³		3,470,947		3,344,794
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1
1.05%		10/25/45	³		2,282,155		2,199,840


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2005-AR14, Class 2A1
2.96%		12/25/35	³	$	69,291	$	63,649
WaMu Mortgage Pass-Through Certificates, Series 2005-AR16, Class 1A3
2.85%		12/25/35	³		3,673,385		3,460,308
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A21
1.09%		01/25/45	³		1,765,876		1,710,265
WaMu Mortgage Pass-Through Certificates, Series 2005-AR6, Class 2A1A
0.99%		04/25/45	³		1,968,432		1,863,008
WaMu Mortgage Pass-Through Certificates, Series 2005-AR9, Class A1A
1.40%		07/25/45	³		1,814,147		1,753,773
WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A
1.57%		02/25/46	³		4,639,411		4,281,217
WaMu Mortgage Pass-Through Certificates, Series 2006-AR4, Class 1A1A
1.48%		05/25/46	³		4,457,574		4,106,920
WaMu Mortgage Pass-Through Certificates, Series 2006-AR7, Class 2A
1.55%		07/25/46	³		8,746,912		7,482,947
WaMu Mortgage Pass-Through Certificates, Series 2007-HY3, Class 1A1
2.47%		03/25/37	³		4,242,598		3,754,815
WaMu Mortgage Pass-Through Certificates, Series 2007-OA2, Class 1A
1.27%		03/25/47	³		9,321,806		7,150,657
WaMu Mortgage Pass-Through Certificates, Series 2007-OA5, Class 1A
1.32%		06/25/47	³		2,995,497		2,653,660
Wells Fargo Alternative Loan Trust, Series 2007-PA5, Class 1A1
6.25%		11/25/37			68,856		66,390
Wells Fargo Home Equity Trust, Series 2006-1, Class A4
1.01%		07/25/36	³		4,489,477		4,483,701
Wells Fargo Home Equity Trust, Series 2007-1, Class A3
1.08%		03/25/37	³		4,690,000		3,516,130
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR4, Class 1A1
3.19%		04/25/36	³		347,158		323,955
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class 7A1
3.08%		10/25/35	³		2,179,949		2,112,978
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A2
3.08%		07/25/36	³		391,807		386,181


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR14, Class 2A1
3.07%		10/25/36	³	$	1,886,147	$	1,801,512
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Class 2A1
3.00%		03/25/36	³		3,324,356		3,324,690
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR8, Class 3A2
3.09%		04/25/36	³		3,435,386		3,363,224

							605,304,285

U.S. Agency Mortgage-Backed — 9.71%
Fannie Mae Multifamily REMIC Trust, Series 2015-M12, Class FA
0.87%		04/25/20	³		27,224,363		27,169,709
Fannie Mae Pool 463617
4.91%		10/01/19			3,996,392		4,273,590
Fannie Mae Pool 467626
3.74%		05/01/18			3,917,417		4,006,368
Fannie Mae Pool 468048
4.41%		05/01/21			1,689,289		1,832,428
Fannie Mae Pool 468861
3.84%		08/01/21			3,963,856		4,226,123
Fannie Mae Pool 471474
2.61%		05/01/19			3,190,000		3,247,741
Fannie Mae Pool 958777
4.43%		05/01/19			5,153,471		5,457,403
Fannie Mae Pool AD0791
4.73%		02/01/20			7,259,767		7,723,122
Fannie Mae Pool AE0134
4.40%		02/01/20			890,000		952,357
Fannie Mae Pool AE0918
3.67%		10/01/20			311,586		328,346
Fannie Mae Pool AL0151
4.38%		04/01/21			412,467		444,841
Fannie Mae Pool AL0600
4.30%		07/01/21			131,833		141,361
Fannie Mae Pool AL2293
4.38%		06/01/21			11,646,150		12,601,507
Fannie Mae Pool AL5584
4.42%		12/01/20			4,539,455		4,899,506
Fannie Mae Pool AN0026
3.48%		11/01/35			3,702,700		3,706,715
Fannie Mae Pool AN0564
3.20%		03/01/31			7,500,000		7,490,264
Fannie Mae Pool AN0971
3.11%		02/01/28			7,535,000		7,556,651
Fannie Mae Pool AN0976
3.26%		02/01/28			2,970,000		3,020,302


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AN1151
3.20%		03/01/31		$	3,774,146	$	3,777,747
Fannie Mae Pool AN2799
2.21%		09/01/26			12,655,000		11,773,067
Fannie Mae Pool FN0000
3.59%		09/01/20			401,810		421,942
Fannie Mae REMICS, Series 2003-64, Class KS
8.85%		07/25/18	³		4,134		4,257
Fannie Mae REMICS, Series 2006-11, Class PS
21.79%		03/25/36	³		32,150		47,940
Fannie Mae REMICS, Series 2006-8, Class HJ (IO)
5.84%		03/25/36	³		2,017,600		367,647
Fannie Mae REMICS, Series 2007-52, Class LS (IO)
5.29%		06/25/37	³		82,177		12,837
Fannie Mae REMICS, Series 2007-77, Class SK (IO)
5.11%		08/25/37	³		150,650		23,613
Fannie Mae REMICS, Series 2007-88, Class JI (IO)
5.69%		04/25/37	³		1,828,155		323,248
Fannie Mae REMICS, Series 2008-18, Class SM (IO)
6.24%		03/25/38	³		102,168		18,201
Fannie Mae REMICS, Series 2008-62, Class SN (IO)
5.44%		07/25/38	³		385,334		68,174
Fannie Mae REMICS, Series 2010-116, Class SE (IO)
5.84%		10/25/40	³		114,123		20,318
Fannie Mae-Aces, Series 2003-M2, Class D
4.68%		01/25/33	³		1,616,902		1,718,997
Fannie Mae-Aces, Series 2009-M2, Class X
1.46%		01/25/19	³		59,094,996		1,295,658
Fannie Mae-Aces, Series 2010-M5, Class X
0.88%		07/25/20	³		27,453,881		817,354
Fannie Mae-Aces, Series 2011-M5, Class X
1.15%		07/25/21	³		77,964,904		3,294,898
Fannie Mae-Aces, Series 2012-M17, Class X2
0.45%		11/25/22	³		154,061,534		3,112,813
Fannie Mae-Aces, Series 2012-M2, Class X
0.74%		02/25/22	³		85,901,877		2,597,583


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae-Aces, Series 2012-M9, Class ASQ2
1.51%		12/25/17		$	5,618,247	$	5,640,523
Fannie Mae-Aces, Series 2013-M14, Class FA
1.11%		08/25/18	³		9,018,681		9,034,219
Fannie Mae-Aces, Series 2013-M4, Class ASQ2
1.45%		02/25/18			8,200,213		8,202,643
Fannie Mae-Aces, Series 2014-M9, Class X1
3.91%		04/25/17	³		4,554,661		483
Fannie Mae-Aces, Series 2015-M3, Class FA
0.75%		06/25/18	³		6,993,670		6,984,680
Fannie Mae-Aces, Series 2016-M13, Class FA
1.23%		11/25/23	³		12,575,000		12,582,332
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K004, Class AX1
1.28%		08/25/19	³		85,540,315		2,602,342
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K007, Class A2
4.22%		03/25/20			1,525,000		1,626,456
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K007, Class X1
1.12%		04/25/20	³		58,278,988		1,524,876
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K702, Class X1 (IO)
1.45%		02/25/18	³		58,083,404		722,534
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K703, Class A2
2.70%		05/25/18			7,408,701		7,515,109
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K719, Class X1
0.46%		06/25/22	³		93,803,346		1,620,593
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KC01, Class A1
1.98%		10/25/22			5,283,441		5,263,470
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF02, Class A2
1.08%		07/25/20	³		3,690,026		3,701,964
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ05, Class A1
1.42%		05/25/21			17,729,110		17,529,440


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP01, Class X (IO)
3.08%		01/25/19	³	$	25,990,850	$	1,035,494
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS03, Class A4
4.19%		08/25/19			3,055,000		3,232,814
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS07, Class X
0.65%		09/25/25	³		104,500,000		4,876,404
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class A1
3.19%		12/25/19			4,484,764		4,589,386
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class AX
1.22%		01/25/20	³		32,206,436		914,809
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KC01, Class X1
0.71%		12/25/22	³		98,553,225		2,857,570
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS01, Class X1
1.38%		01/25/23	³		33,357,709		1,901,311
Freddie Mac REMICS, Series 2711, Class FA
1.70%		11/15/33	³		119,027		120,796
Freddie Mac REMICS, Series 2733, Class FB
1.30%		10/15/33	³		537,652		541,721
Freddie Mac REMICS, Series 3001, Class HS
14.99%		02/15/35	³		3,583		3,709
Freddie Mac REMICS, Series 3262, Class KS (IO)
5.71%		01/15/37	³		72,711		10,756
Freddie Mac REMICS, Series 3327, Class LZ
6.00%		06/15/37			548,189		606,573
Freddie Mac REMICS, Series 3339, Class JS
38.26%		07/15/37	³		26,030		51,959
Freddie Mac REMICS, Series 3404, Class AS (IO)
5.19%		01/15/38	³		115,711		17,589
Freddie Mac REMICS, Series 3439, Class SC (IO)
5.20%		04/15/38	³		81,749		12,591


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 3828, Class TF
1.10%		04/15/29	³	$	126,019	$	126,367
Freddie Mac REMICS, Series 4030, Class HS (IO)
5.91%		04/15/42	³		266,811		48,542
Freddie Mac, Series 3885, Class PO (PO)
0.00%		11/15/33	⁹		42,100		35,829
Ginnie Mae, Series 2006-3, Class C
5.24%		04/16/39	³		1,367,929		1,383,745
Ginnie Mae, Series 20088-80, Class D
5.35%		01/16/41			1,189,002		1,203,676
Ginnie Mae, Series 2011-109, Class AB
2.70%		04/16/43			286,129		287,415
Ginnie Mae, Series 2011-146, Class EI (IO)
5.00%		11/16/41			200,042		43,486
Ginnie Mae, Series 2011-152, Class IO
0.83%		08/16/51	³		23,820,243		690,906
Ginnie Mae, Series 2011-69, Class GI (IO)
5.00%		05/16/40			391,047		38,010
Ginnie Mae, Series 2011-70, Class IL (IO)
0.60%		06/16/37	³		1,290,994		25,713
Ginnie Mae, Series 2011-77, Class IO
0.62%		04/16/42	³		42,341,913		1,674,326
Ginnie Mae, Series 2011-81, Class IC (IO)
0.62%		07/20/35	³		2,213,965		43,120
Ginnie Mae, Series 2011-86, Class B
3.00%		02/16/41			2,587,248		2,603,663
Ginnie Mae, Series 2012-112, Class IO
0.31%		02/16/53	³		74,354,995		2,049,365
Ginnie Mae, Series 2012-7, Class PI (IO)
3.50%		01/20/38			139,233		6,142
Ginnie Mae, Series 2013-135, Class CS (IO)
5.49%		09/16/43	³		4,955,064		646,866
Ginnie Mae, Series 2014-125, Class IO
0.99%		11/16/54	³		43,457,000		3,144,429


							248,151,374

Total Mortgage-Backed
(Cost $1,071,456,660)							1,065,454,742

MUNICIPAL BONDS — 0.59%*
California — 0.23%
California Health Facilities Financing Authority, Saint Joseph Health, Series A
3.00%		10/01/41			875,000		717,903
3.00%		10/01/47			3,600,000		2,826,504
4.00%		10/01/47			2,330,000		2,273,451


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
California (continued)
State of California, Build America Bonds
7.95%	03/01/36		$	150,000	$	175,299


						5,993,157

NewYork — 0.21%
City of New York, Build America Bonds, Series F1
6.65%	12/01/31			3,000,000		3,441,120
New York City Municipal Water Finance Authority, Build America Bonds, Series SE
6.49%	06/15/42			1,650,000		1,877,040


						5,318,160

Wisconsin — 0.15%
Wisconsin Health & Educational Facilities Authority, Ascension Health Credit Group
4.00%	11/15/39			2,130,000		2,123,589
4.00%	11/15/46			1,675,000		1,649,071


						3,772,660

Total Municipal Bonds
(Cost $14,598,060)						15,083,977


U.S. AGENCY SECURITIES — 0.13%
U.S. Agency Securities — 0.13%
Federal Farm Credit Bank
0.81%	05/03/18	³		3,250,000		3,250,432

Total U.S. Agency Securities
(Cost $3,249,890)						3,250,432

U.S. TREASURY SECURITIES — 5.79%
U.S. Treasury Notes — 5.79%
U.S. Treasury Notes
0.63%	08/31/17			64,500,000		64,441,633
0.75%	10/31/17			21,730,000		21,712,174
0.80%	01/31/18	³		45,000,000		45,128,198
1.00%	12/31/17			16,550,000		16,563,745

Total U.S. Treasury Securities
(Cost $147,794,801)						147,845,750


Total Bonds – 90.32%
(Cost $2,321,012,432)						2,307,575,049

Issues

Shares

Value

COMMON STOCK — 0.33%

Real Estate Investment Trust (REIT) — 0.33%

AGNC Investment Corp.

0.18%

460,166

$8,342,810

Total Common Stock

(Cost $9,750,173)

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 8.72%

Foreign Government Obligations — 7.00%

Japan Treasury Discount Bill, Series 636 (Japan)

0.00%¹⁰

01/10/17

⁴

1,400,000,000

12,003,690

Japan Treasury Discount Bill, Series 639 (Japan)

0.00%¹⁰

01/23/17

⁴

1,750,000,000

15,006,038

Japan Treasury Discount Bill, Series 647 (Japan)

0.00%¹⁰

02/27/17

⁴

4,200,000,000

36,025,438

Japan Treasury Discount Bill, Series 649 (Japan)

0.00%¹⁰

03/13/17

⁴

9,200,000,000

78,928,246

Japan Treasury Discount Bill, Series 652 (Japan)

0.00%¹⁰

03/27/17

⁴

4,300,000,000

36,896,754

178,860,166

Money Market Funds — 0.85%

Morgan Stanley Institutional Liquidity Fund

0.44%¹¹

21,823,000

U.S. Treasury Bills — 0.87%

U.S. Treasury Bills

0.48%¹⁰

04/06/17

¹²

2,222,000

2,219,005

0.55%¹⁰

04/20/17

20,000,000

19,968,280

22,187,285

Total Short-Term Investments

(Cost $229,899,170)

222,870,451

Total Investments – 99.37%

(Cost $2,560,661,775)¹

2,538,788,310

Cash and Other Assets, Less

Liabilities – 0.63%

16,056,016

Net Assets – 100.00%

2,554,844,326


Currency Purchased		Currency Sold		Unrealized Appreciation/ (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
Forward currency contract to sell Japanese Yen on 01/10/17 at 116.56 Counterparty: Bank of America
	USD $13,853,225		JPY 1,400,000,000	$	1,842,321
Forward currency contract to sell Japanese Yen on 01/23/17 at 116.47 Counterparty: Bank of America
	USD $16,940,621		JPY 1,750,000,000		1,915,679
Forward currency contract to sell Japanese Yen on 02/27/17 at 116.29 Counterparty: JPMorgan Securities LLC
	USD $38,615,896		JPY 4,200,000,000		2,499,995
Forward currency contract to sell Japanese Yen on 03/13/17 at 116.20 Counterparty: Bank of America
	USD $ 80,735,111		JPY 9,200,000,000		1,564,365
Forward currency contract to sell Japanese Yen on 03/27/17 at 116.12 Counterparty: Bank of America
	USD $36,547,688		JPY 4,300,000,000		(484,502	)

Net unrealized appreciation				$	7,337,858


Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
378	U.S. Treasury Five Year Note,
	Expiration March 2017	$	(157,235	)

	Net unrealized (depreciation)	$	(157,235	)


Contracts		Unrealized Appreciation
FUTURES CONTRACTS: SHORT POSITIONS
234	U.S. Treasury Ten Year Note,
	Expiration March 2017	$	141,926
353	U.S. Treasury Ultra Bond,
	Expiration March 2017		818,829

	Net unrealized appreciation	$	960,755

Notes:

¹	Cost for federal income tax purposes is $2,545,909,164 and net unrealized appreciation/(depreciation) consists of:


Gross unrealized appreciation	$	43,143,235
Gross unrealized (depreciation)		(50,264,089	)

Net unrealized (depreciation)	$	(7,120,854	)

²	Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

³	Floating rate security. The rate disclosed was in effect at December 31, 2016.

⁴	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁵	Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $50,116,401, which is 1.96% of total net assets.

⁶	Security is currently in default with regard to scheduled interest or principal payments.

⁷	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.14% cash or 8.64% payment-in-kind interest.

⁸	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.73% cash or 9.23% payment-in-kind interest.

⁹	Zero coupon bond. The rate shown is the effective yield as of December 31, 2016.

¹⁰	Represents annualized yield at date of purchase.

¹¹	Represents the current yield as of December 31, 2016.

¹²	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $2,119,114.

^†

Fair valued security. The aggregate value of fair valued securities is $15,538,535, which is 0.61% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements.

*	Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity.

**	Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date.

(BKNT): Banker’s Note, Inc.

(CLO): Collateralized Loan Obligation

(EMTN): Euro medium-term note

(GMTN): Global medium-term note

(IO): Interest only

(JPY): Japanese Yen

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(PIK): Payment in kind

(PO): Principal only

(STEP): Step coupon bond

(USD): U.S. dollar

The following is a summary of significant accounting policies consistently followed by the Trust:

The Net Asset Value (“NAV”) of each Fund’s shares is determined by dividing the net assets attributable to each class of shares of the Fund by the number of issued and outstanding shares of the Class/Fund on each business day as of 4 p.m. ET.

Fixed-income securities for which market quotations are readily available are valued at prices as provided by independent pricing vendors or broker quotes. The Funds receive pricing information from independent pricing vendors approved by the Board of Trustees (the “Board”). Securities with a demand feature exercisable within one to seven days are valued at par. The Funds also use a benchmark pricing system to the extent vendors’ prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser initially selects a proxy composed of a relevant security (i.e., U.S.Treasury Note) or benchmark (e.g., LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board. S&P 500 Index futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange where it is traded. Equity securities, including depository receipts, are valued at the last reported sale price or the market’s closing price on the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the average of the bid and asked prices. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange or market determined by the Adviser to be the broadest and most representative market, which may be either a securities exchange or the over-the-counter market. Equity options are valued at the average of the bid and asked prices. Securities and other assets that cannot be valued as described above will be valued at their fair value as determined by the Adviser under guidelines established by and under the general supervision and responsibility of the Board.

Investments in registered open-ended investment companies, including those classified as money market funds, are valued based upon the reported NAV of such investments.

Fair value methods used by the Board include, but are not limited to, obtaining market quotations from secondary pricing services, broker-dealers, or widely used quotation systems. General factors considered in determining the fair value of securities include fundamental analytical data, the nature and duration of any restrictions on disposition of the securities, and an evaluation of the forces that influenced the market in which the investments are purchased and sold. These securities are either categorized as Level 2 or 3 depending on the relevant inputs used. In the event that the security or asset cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or asset will be determined in good faith by the Pricing Committee of the Board, generally based upon recommendation provided by the Adviser. When the Funds use these fair valuation methods applied by the Adviser that use significant unobservable inputs to determine its NAV, securities will be priced by a method that the Board or persons acting at their direction believe accurately reflect fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Trust’s policy is intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the Funds cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that the Funds could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Funds may differ from the value that would be realized if the securities were sold.

The books and records of each Fund are maintained in U.S. dollars as follows: (1) the foreign currency market value of investment securities, and other assets and liabilities stated in foreign currencies, are translated using the daily spot rate; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resultant exchange gains and losses are included in net realized or net unrealized gain (loss) in the statements of operations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains and losses included in realized and unrealized gains and losses are reclassified to ordinary income for federal income tax purposes.

The Funds may be subject to withholding taxes on income and capital gains imposed by certain countries in which they invest. The withholding tax on income is netted against the income accrued or received. Any reclaimable taxes are recorded as income. The withholding tax on realized or unrealized gain is recorded as a liability.

Securities transactions are accounted for no later than the first NAV calculation on the first business day following the trade date. However, for financial reporting purposes, portfolio securities transactions are reported on the trade date. Cost is determined and gains and losses are based on the first-in, first-out method for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Discounts, including original issue discount, and premiums on securities are amortized using the interest method.

Distributions to shareholders are recorded on the ex-dividend date. The Funds (except the Alpha Trak 500 Fund) expect to declare dividends daily and pay them monthly to shareholders. The Alpha Trak 500 Fund expects to declare and pay dividends to shareholders quarterly. Distributions of net capital gains, if any, will be made at least annually. The Board may determine to declare and make distributions more or less frequently.

It is each Fund’s policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gain on investments, to its shareholders. Therefore, no federal income tax provision is required.

Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America (“GAAP”). Distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences.

Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (current and prior three tax years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.

As of and during the period ended December 31, 2016, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the year, the Funds did not incur any interest or penalties.

The Trust has defined cash and cash equivalents as cash which can be in interest-bearing accounts. The Funds also maintain cash in bank account deposits that, at times, may exceed federally insured limits. The Funds have not experienced any losses in any such accounts.

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Various inputs are used in determining the fair value of investments, which are as follows:

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Money market funds. Money market funds are open-ended mutual funds that invest in short-term debt securities To the extent that these funds are valued based upon the reported NAV, they are categorized in Level 1 of the fair value hierarchy.

Short-term investments. Short-term investments (commercial paper and repurchase agreements) are valued using market price quotations, and are reflected Level 2 of the fair value hierarchy.

Equity securities. Securities are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded, valuation adjustments are not applied and they are categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable.

Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.

Asset-backed securities and mortgage-backed securities. The fair value of asset-backed securities and mortgage-backed securities is estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy, otherwise they would be categorized as Level 3.

Bank loans. The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources. Bank Loans are generally categorized in Level 2 of the fair value hierarchy, unless key inputs are unobservable which would then be in Level 3.

Municipal bonds. Municipal bonds are fair valued based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance.To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

U.S. and Foreign government and agency securities. U.S. and Foreign government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Some government securities are actively traded and transparent in the market place. As such, they can be level 1. Other government and agencies securities are quoted based in similar securities and yields and therefore, would be in level 2.

Restricted securities. Restricted securities that are deemed to be both Rule 144A securities and illiquid, as well as restricted securities held in non-public entities, are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable. Any other restricted securities are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3.

Foreign currency contracts. The fair value of foreign currency contracts are derived from indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or by pricing service

providers. Depending on the product and the terms of the transaction, the value of financial derivatives can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as indices and exchange rates. Foreign currency contracts are categorized as Level 2 of the fair value hierarchy.

Futures contracts. Futures contracts and options on futures contracts are traded on commodity exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied to futures contracts, they are categorized as Level 1. To the extent that valuation adjustments are observable and timely, the fair values of futures contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Options and Swaptions contracts. Exchange listed options contracts are traded on securities exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied or mean variation to exchange listed options contracts, they are categorized as Level 1. If valuation adjustments are applied and such adjustments are observable and timely, the fair values of exchange listed options contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3. Options and swaptions contracts traded over the counter (“OTC”) are fair valued based on pricing models and incorporate various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-the-money contracts based on a given strike price. To the extent that these inputs are observable and timely, the fair values of OTC options and swaptions contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Interest rate swaps. Interest rate swaps are fair valued using pricing models that are based on real-time intraday snap shots of relevant interest rate curves that are built using the most actively traded securities for a given maturity. The pricing models also incorporate cash and money market rates. In addition, market data pertaining to interest rate swaps are monitored regularly to ensure that interest rates are properly depicting the current market rate. To the extent that these inputs are observable and timely, the fair values of interest rate swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Credit default swaps. Credit default swaps are fair valued using pricing models that take into account, among other factors, information received from market makers and broker-dealers, default probabilities from index specific credit spread curves, recovery rates, and cash flows. To the extent that these inputs are observable and timely, the fair values of credit default swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

Total return swaps. Total return swaps are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of total return swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.

As of December 31, 2016, Level 3 securities consist of certain asset-backed and mortgage-backed securities, bank loans, common stocks, warrants and corporate bonds.

The summary of inputs used to value each Fund’s investments and other financial instruments carried at fair value December 31, 2016 is as follows:

**As of December 31, 2016, Momentive Performance Materials, Inc. and Seventy Seven Energy, Inc. had a $0 market value.

***Other financial instruments include swap contracts. Credit contracts include credit default swaps.

*Other financial instruments include foreign currency exchange contracts and futures. Interest rate contracts include futures.

*Other financial instruments include foreign currency exchange contracts, futures and written swaptions. Interest rate contracts include futures and written swaptions.

*Other financial instruments include foreign currency exchange contracts futures. Interest rate contracts include futures.

*Other financial instruments include foreign currency exchange contracts, futures and written options. Interest rate contracts include futures and written options.

*Other financial instruments include futures and foreign currency exchange contracts. Interest rate contracts include futures.

Certain of the Funds’ investments are categorized as Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment for which such inputs are unobservable. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.

There were no financial assets and/or liabilities transferred from level 1 to level 2 or from level 2 to level 1 for the period ended December 31, 2016.

For the period ended December 31, 2016, a reconciliation of level 3 investments is presented when the Fund had a significant amount of 1evel 3 investments at the beginning and/or end of the period in relation to net assets. The following tables are a reconciliation of level 3 investments for which significant unobservable inputs were used in determining fair value:

* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2016 was $(4,729) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.

** There were no transfers between level 2 and 3 for the period ended December 31, 2016.

* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2016 was $1,165,288 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.

** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2016, the Fund used significant observable inputs in determining the value of certain investments. As of December 31, 2016, the Fund used unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $5,431,561 transferred from level 2 to level 3 in the disclosure hierarchy.

* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2016 was $(185,403) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.

** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2016, the Fund used significant observable inputs in determining the value of certain investments. As of December 31, 2016, the Fund used unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $576,295 transferred from level 2 to level 3 in the disclosure hierarchy.

* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2016 was $(323,294) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.

** There were no transfers between level 2 and 3 for the period ended December 31, 2016.

*** As of March 31, 2016, Boston Generating LLC, Term Loan, 1st Lien had a $0 market value.

* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2016 was $(3,378) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.

** There were no transfers between level 2 and 3 for the period ended December 31, 2016.

* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2016 was $(4,115,359) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.

** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2016, the Fund used significant observable inputs in determining the value of certain investments. As of December 31, 2016, the Fund used unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $3,577,613 transferred from level 2 to level 3 in the disclosure hierarchy.

Significant unobservable valuations inputs for Level 3 investments as of December 31, 2016, are as follows:

Investments classified within Level 3 of the fair value hierarchy may be fair valued by the Adviser with consent by the Adviser’s Pricing Working Group in accordance with procedures approved by the Board of Trustees, and under the general oversight of the Board of Trustees. The Adviser’s Pricing Working Group employs various methods to determine fair valuations including a regular review of key inputs and assumptions and review of any related market activity. The Adviser’s Pricing Working Group reports to the Board of Trustees at their regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Trust’s fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment. The Adviser, as part of the daily process, conducts back-testing of prices based on daily trade activities.

The Adviser’s Pricing Working Group consists of the Adviser’s General Counsel, Chief Compliance Officer, internal regulatory legal counsel, members of the Adviser’s Mutual Fund Administration Department, and a representative from the portfolio management team. The Adviser’s Pricing Working Group reviews and makes recommendations concerning the fair valuation of portfolio securities and the Funds’ pricing procedures in general.

The Funds may invest in mortgage pass-through securities which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates.

The Funds may invest in securities issued by Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). These are fixed-income securities that derive their value from or represent interests in a pool of mortgages or mortgage securities. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may adversely affect the value of a mortgage-backed security and could result in losses to the Funds. The risk of such defaults is generally higher in the case of mortgage pools that include sub-prime mortgages. Sub-prime mortgages refer to loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their mortgages.

Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States and are supported by the right to the issuer to borrow from the Treasury.

On September 7, 2008, the Federal Housing Finance Agency was appointed as conservator of FNMA and FHLMC. In addition, the U.S. Department of the Treasury has agreed to provide capital as needed to ensure FNMA and FHLMC continue to provide liquidity to the housing and mortgage markets.

The Funds may also invest in Collateralized Mortgage Obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by Government National Mortgage Association (“GNMA”), FHLMC, or FNMA. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit. CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments.

The Funds may enter into to be announced (“TBA”) commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Funds’ other assets. Unsettled TBA commitments are valued at the current market value of the underlying securities, according to the procedures described in Note 1 under “Security Valuation”.

The Funds may invest in Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other Collateralized Debt Obligations (“CDOs”), which are debt instruments backed solely by a pool of other debt securities. The risks of an investment in a CBO, CLO or other CDO depend largely on the type of the collateral securities and the class of the CBO, CLO or other CDO in which a Fund invests. Some CBOs, CLOs and other CDOs have credit ratings, but are typically issued in various classes with various priorities. Normally, CBOs, CLOs and other CDOs are privately offered and sold (that is, not registered under the securities laws) and may be characterized by the Funds as illiquid securities, but an active dealer market may exist for CBOs, CLOs and other CDOs that qualify for Rule 144A transactions. In addition to the normal interest rate, default and other risks of fixed income securities, CBOs, CLOs and other CDOs carry additional risks, including the possibility that distributions from collateral securities will not be adequate to make interest or other payments, the quality of the collateral may decline in value or default, the Funds may invest in CBOs, CLOs and other CDOs that are subordinate to other classes, volatility in value, and the complex structure of the security may not be fully understood at the time of investment and produce disputes with the issuer or unexpected investment results.

The Funds may invest in stripped mortgage-backed securities issued by the U.S. government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). During the period ended December 31, 2016, certain interest only securities were held as part of the overall mortgage portfolio holdings. The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Board. The Funds also may invest in stripped mortgage-backed securities that are privately issued. These securities will be considered illiquid for purposes of each Fund’s limit on illiquid securities.

The Funds may purchase participations in commercial loans, or may purchase assignments of such loans. Such indebtedness may be secured or unsecured. Loan participations typically represent direct participation in a loan to a corporate borrower, and generally are offered by banks or other financial institutions or lending syndicates. The Funds may participate in such syndications, or can buy part of a loan, becoming a part lender. When purchasing loan participations, a Fund assumes the credit risk associated with the corporate borrower and may assume the credit risk associated with an interposed bank or other financial intermediary. The participation interests in which a Fund intends to invest may not be rated by any nationally recognized rating service. Participations and assignments also involve special types of risk, including interest rate risk, liquidity risk, and the risk of being a lender. If a Fund purchases a participation, it may only be able to enforce its rights through the lender, and may assume the credit risk of the lender in addition to the borrower.

The Funds may also sell a debt or equity security short that is, without owning it and borrow the same security from a broker or other institution to complete the sale. The Adviser may use short sales when it believes a security is overvalued or as a partial hedge against a position in a related security of the same issuer held by a Fund. The Ultra Short Bond Fund, Low Duration Bond Fund, Intermediate Bond Fund, and Total Return Bond Fund will not make total short sales exceeding 25% of the value of each respective Fund’s assets. The High Yield Bond Fund, Unconstrained Bond Fund, Floating Rate Income Fund and Strategic Income Fund will not make total short sales exceeding 33 1/3% of each respective Fund’s assets. If the value of the security sold short increases, a Fund would lose money because it would need to replace the borrowed security by purchasing it at a higher price. The potential loss is unlimited. (If the short sale was intended as a hedge against another investment, the loss on the short sale may be fully or partially offset by gains in that other investment.) At December 31, 2016, the Funds did not hold any short debt or equity.

A lender may request that the borrowed securities be returned on short notice; if that occurs at a time when other short sellers of the subject security are receiving similar requests, a “short squeeze” can occur. This means that the Funds might be compelled, at the most disadvantageous time, to replace borrowed securities previously sold short, with purchases on the open market at prices significantly greater than those at which the securities were sold short. Short selling also may produce higher than normal portfolio turnover and result in increased transaction costs to the Funds. The Funds also may make short sales “against-the-box”, in which the Funds sell short securities they own. The Funds will incur transaction costs, including interest expenses, in connection with opening, maintaining and closing short sales against-the-box, which result in a “constructive sale”, requiring the Fund to recognize any taxable gain from the transaction.

The Funds may invest in payment-in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statement of Assets and Liabilities.

For the period ended December 31, 2016, the Funds did not received any in-kind payments with respect to PIK securities.

The Funds may invest in repurchase agreements. In a repurchase agreement, the Funds purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. On a daily basis, the counterparty is required to maintain collateral subject to the agreement and in value no less than the agreed repurchase amount. The agreements are conditioned upon the collateral being deposited under the Federal Reserve book entry system or held in a segregated account by the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements. In the event the counterparty defaults and the fair value of the collateral declines, the Funds could experience losses, delays and costs in liquidating the collateral.

Master Repurchase Agreements (“MRAs”) permit each Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from each Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price to be received by each Fund upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, each Fund recognizes a liability with respect to such excess collateral to reflect each Fund’s obligation under bankruptcy law to return the excess to the counterparty. As of December 31, 2016, the Total Return Bond Fund held repurchase agreements.

The Funds may enter into reverse repurchase agreements, whereby a Fund sells securities concurrently with entering into an agreement to repurchase those securities at a later date at a fixed price. During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on those securities. Reverse repurchase agreements are speculative techniques involving leverage and are considered borrowings by the Fund for purposes of the percentage limitations applicable to borrowings.

Reverse repurchase transactions and treasury roll transactions are entered into by a Fund under MRAs. With reverse repurchase transactions and treasury roll transactions, typically the Funds and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed. There were no reverse repurchase agreements for the period ended December 31, 2016.

Each Fund may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although a Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment.

Prior to settlement of these transactions, the value of the subject securities will fluctuate, reflecting interest rate changes. In addition, because a Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they must result in a form of leverage to the extent a Fund does not maintain liquid assets equal to the face amount of the contract. The Funds segregate assets (cash and/or securities) to cover the amounts outstanding related to these transactions.

The Funds engaged in various portfolio investment strategies both to increase the return of the Funds and to economically hedge, or protect, their exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security or if the counterparty does not perform under the contract. The Funds are subject to credit risk, equity price risk and interest rate risk in the normal course of pursuing its investment objectives by investing in various derivative financial instruments, as described below:

Over the reporting period, the Funds engaged in interest rate futures contracts, foreign currency exchange contracts, swap agreements and swaptions as a means of managing interest rate risk and yield curve positioning consistent with the Adviser’s current market perspectives. Additionally, credit default swaps were held for the purposes of (1) hedging valuation risks specific to identified market segments, industries and credits and (2) efficiently gaining income-bearing exposures to selected market segments, industries and credits. The market value of these instruments, realized and changes in unrealized gains and losses, and the types of contracts are included in the Schedule of Portfolio Investments and the Notes to Financial Statements.

Options-The Funds may purchase and write call and put options on securities, securities indices and on foreign currencies. A Fund may purchase put options on securities to seek to protect holdings in an underlying or related security against a substantial decline in market value. A Fund may purchase call options on securities to seek to protect against substantial increases in prices of securities the

Fund intends to purchase pending its ability to invest in such securities in an orderly manner. A Fund may write a call or put option only if the option is covered by the Fund holding a position in the underlying securities or by other means which would permit immediate satisfaction of the Fund’s obligation as writer of the option. The purchase and writing of options involves certain risks. During the option period, the covered call writer has, in return for the premium on the option, given up the opportunity to profit from a price increase in the underlying securities above the sum of the premium and exercise price, but, as long as its obligation as a writer continues, has retained the risk of loss should the price of the underlying securities decline. The writer of an option has no control over the time when it may be required to fulfill its obligation as a writer of the option. Once an option writer has received an exercise notice, it cannot effect a closing purchase transaction in order to terminate its obligation under the option and must deliver the underlying securities at the exercise price. If a put or call option purchased by the Fund is not sold when it has remaining value, and if the market price of the underlying security, in the case of a put, remains equal to or greater than the exercise price or, in the case of a call, remains less than or equal to the exercise price, the Fund will lose its entire investment in the option. There can be no assurance that a liquid market will exist when a Fund seeks to close out an option position. Furthermore, if trading restrictions or suspensions are imposed on the options markets, a Fund may be unable to close out a position.

The Funds may execute transactions in both listed and over-the-counter options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certain over-the-counter options may expose the Funds to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to the over-the-counter option transaction, a Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized loss of the contract (as writer). As of December 31, 2016, the Low Duration Bond Fund held written swaptions.

Futures -The Funds purchased or sold exchange-traded futures contracts, which are contracts that obligate the Funds to make or take delivery of a financial instrument or the cash value of a security index at a specified future date at a specified price. The Funds may use futures contracts to manage exposure to the stock and bond markets or changes in interest rates and currency values, or for gaining exposure to markets. Risks of entering into futures contracts include the possibility that there may be an illiquid market at the time the Adviser to the Fund may be attempting to sell some or all the Fund holdings or that a change in the value of the contract may not correlate with changes in the value of the underlying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin). Subsequent payments (variation margin) are made or received by the Fund, generally on a daily basis. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed or expires.

Futures transactions involve minimal counterparty risk since futures contracts are guaranteed against default by the exchange on which they trade.

Foreign Currency-The Funds may hold foreign currency as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk).

Foreign Currency Exchange Contracts-The Funds entered into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by a Fund, help to manage the overall exposure to the currencies in which some of the investments held by a Fund are denominated. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.

Swaps-The Funds invested in swap agreements. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than a year. In a standard swap transaction, two parties agree to exchange the returns earned on specific assets, such as the return on, or increase in value of, a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a basket of securities representing a particular index. A swap contract may not be assigned without the consent of the counterparty (and in certain circumstances may not be assignable), and may result in losses in the event of a default or bankruptcy of the counterparty.

The Funds entered into credit default swap agreements. The buyer in a credit default contract is obligated to pay the seller a periodic, stream of payments over the term of the contract provided no event of default has occurred. In the event of default, the seller must pay the buyer the par value (full notional value) of the reference obligation in exchange for the reference obligation. The Funds may be either the buyer or seller in such transactions. If the Fund is a buyer and no event of default occurs, the Fund loses its investment and recovers nothing. However, if an event of default occurs, the buyer receives full notional value for a reference obligation that may have little or no value. As a seller of a credit default swap, the Fund receives a fixed rate of income throughout the term of the

contract, provided there is no default event. If an event of default occurs, the seller may pay the notional value of the reference obligation. The value of the reference obligation received by the seller, coupled with the periodic payments previously received may be less than the full notional value it pays to the buyer, resulting in a loss of value to the Fund. Credit default swaps involve greater risks than if the Fund had invested in the reference obligation directly. In addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk.

The aggregate fair value of credit default swaps in a net liability position is reflected as unrealized depreciation. The collateral posted, net of assets received as collateral, for swap contracts is also disclosed in the Notes to Schedules of Investments. The maximum potential amount of future payments (undiscounted) that a portfolio as a seller of protection could be required to make under a credit default swap agreement is an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of December 31, 2016, for which a portfolio is the seller of protection are also disclosed. These potential amounts are partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a portfolio for the same referenced entity or entities.

The Funds entered into interest rate swap agreements. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. The Funds’ maximum risk of loss due to counterparty default is the discounted NAV of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life. The Funds enter into interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed-rate bonds which may decrease when interest rates rise (interest rate risk).

The Funds may write (sell) and purchase put and call swaptions. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. At December 31, 2016, the Low Duration Bond Fund held swaptions.

In addition to the securities listed above, the Alpha Trak 500 Fund invested in the following equity derivative instruments with a notional or contractual value up to its total assets: S&P 500 Index futures contracts, Mini S&P 500 Index futures contracts, options on the S&P 500 Index and S&P futures, and swap agreements involving the S&P 500 Index. When the above listed S&P Index derivatives appear to be overvalued relative to the S&P 500 Index, the Fund may invest up to 100% in the common stocks that comprise the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.

The Funds may enter into total return swap agreements. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR based cash flows. The total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. The total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect the non-balance sheet nature of the product. Total return swaps can be designed with any underlying asset agreed between two parties.

As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability in the statements of assets and liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps is reported as unrealized gains or losses in both the statements of assets and liabilities and the statements of operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used upon payment or receipt of a periodic payment or termination of swap agreements to express the extent of involvement in these transactions, but the amounts subject to credit risk are much smaller. At December 31, 2016, the Funds had outstanding swap agreements as listed in the Funds’ Schedules of Portfolio Investments. Swap transactions present risk of loss in excess of the related amounts in the statements of assets and liabilities.

At December 31, 2016, the following Funds had available for federal income tax purposes unused capital losses as follows:

For additional information regarding the accounting policies of the Metropolitan West Funds, refer to the most recent financial statements in the N-CRS filing at www.sec.gov.

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


ALPHATRAK 500 FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Money Market Funds		$ 28,000		$ —		$ —		$ 28,000
U.S. Treasury Bills		848,710		—		—		848,710
Long-Term Investments:
Asset-Backed Securities		—		351,411		—		351,411
Corporates		—		991,442		—		991,442
Mortgage-Backed		—		1,207,691		61,616		1,269,307
Mutual Funds		168,765		—		—		168,765
U.S. Treasury Securities		528,818		—		—		528,818

Other Financial Instruments *
Assets:

Equity contracts		2,273		—		—		2,273

Total		$1,576,566		$2,550,544		$61,616		$4,188,726


FLOATING RATE INCOME FUND	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Foreign Government Obligations		$ —		$ 8,404,847			$ —		$ 8,404,847
Money Market Funds		4,319,000		—			—		4,319,000
U.S. Agency Discount Notes		—		2,998,326			—		2,998,326
U.S. Treasury Bills		18,375,838		—			—		18,375,838
Long-Term Investments:
Bank Loans		—		159,839,403			15,310,926		175,150,329
Corporates		—		14,962,094			—		14,962,094

Other Financial Instruments *
Assets:
Foreign currency exchange contracts		—		164,723			—		164,723
Liabilities:
Foreign currency exchange contracts		—		(5,634)			—		(5,634)

Total		$22,694,838		$186,363,759			$15,310,926		$224,369,523

*Other financial instruments include foreign currency exchange contracts.
HIGH YIELD BOND FUND	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Money Market Funds		$15,206,000		$ —			$ —		$ 15,206,000
U.S. Treasury Bills		80,909,606		—			—		80,909,606
Long-Term Investments:
Bank Loans		—		61,467,397			16,519,977		77,987,374
Common Stock*		615,319		—			1,840,925		2,456,244
Corporates**		—		645,591,105			19,399,336		664,990,441
Mortgage-Backed		—		7,313,405			—		7,313,405
U.S. Treasury Securities		28,561,769		—			—		28,561,769
Warrant		—		—			327,773		327,773

Other Financial Instruments ***
Liabilities:
Credit contracts		—		(76,859	)		—		(76,859	)


Total	$	125,292,694	$	714,295,048		$	38,088,011	$	877,675,753


INTERMEDIATE BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Commercial Paper	$	—	$	1,680,202	$	—	$	1,680,202
Foreign Government Obligations		—		58,404,482		—		58,404,482
Money Market Funds		53,419,010		—		—		53,419,010
U.S. Treasury Bills		672,093		—		—		672,093
Long-Term Investments:
Asset-Backed Securities		—		77,626,165		—		77,626,165
Bank Loans		—		3,719,158		3,190,000		6,909,158
Corporates		—		370,099,491		775,264		370,874,755
Mortgage-Backed		—		235,654,778		556,183		236,210,961
Municipal Bonds		—		7,591,966		—		7,591,966
U.S. Treasury Securities		399,630,807		17,466,631		—		417,097,438

Other Financial Instruments *
Assets:
Foreign currency exchange contracts		—		5,587,469		—		5,587,469
Liabilities:
Interest rate contracts		(246,727)		—		—		(246,727)


Total	$	453,475,183	$	777,830,342	$	4,521,447	$	1,235,826,972


LOW DURATION BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Commercial Paper	$	—	$	5,274,636	$	—	$	5,274,636
Foreign Government Obligations		—		146,911,903		—		146,911,903
Money Market Funds		45,079,127		—		—		45,079,127
U.S. Treasury Bills		51,658,636		—		—		51,658,636
Long-Term Investments:
Asset-Backed Securities		—		235,053,325		—		235,053,325
Bank Loans		—		7,905,616		10,002,438		17,908,054
Corporates		—		650,496,552		2,644,217		653,140,769
Mortgage-Backed		—		1,015,627,282		4,572,844		1,020,200,126
Municipal Bonds		—		10,656,084		—		10,656,084
Purchased Swaptions		—		128,298		—		128,298
U.S. Treasury Securities		824,904,241		—		—		824,904,241

Other Financial Instruments *
Assets:
Foreign currency exchange contracts		—		13,961,030		—		13,961,030
Liabilities:
Interest rate contracts		(182,994)		(64,281)		—		(247,275)


Total	$	921,459,010	$	2,085,950,445	$	17,219,499	$	3,024,628,954


STRATEGIC INCOME FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Foreign Government Obligations		$ —		$ 9,436,607		$ —		$ 9,436,607
Money Market Funds		101,000		—		—		101,000
U.S. Treasury Bills		3,542,629		—		—		3,542,629
Long-Term Investments:
Asset-Backed Securities		—		14,890,816		261,336		15,152,152
Bank Loans		—		221,192		—		221,192
Common Stock		705,239		—		29,175		734,414
Corporates		—		30,413,901		—		30,413,901
Mortgage-Backed		—		67,797,402		1,663,432		69,460,834
Municipal Bonds		—		369,207		—		369,207

Other Financial Instruments *
Assets:
Foreign currency exchange contracts		—		447,954		—		447,954
Interest rate contracts		20,344		—		—		20,344
Liabilities:
Foreign currency exchange contracts		—		(22,535)		—		(22,535)

Total		$4,369,212		$123,554,544		$1,953,943		$129,877,699


TOTAL RETURN BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Commercial Paper	$	—	$	116,498,904	$	—	$	116,498,904
Foreign Government Obligations		—		3,716,353,698		—		3,716,353,698
Money Market Funds		2,193,492,020		—		—		2,193,492,020
U.S. Treasury Bills		68,174,308		—		—		68,174,308
Long-Term Investments:
Asset-Backed Securities		—		4,701,362,235		17,918,970		4,719,281,205
Bank Loans		—		150,874,811		21,889,271		172,764,082
Common Stock		521,140		—		—		521,140
Corporates		—		18,855,375,697		67,085,342		18,922,461,039
Mortgage-Backed		—		29,376,112,786		21,648,478		29,397,761,264
Municipal Bonds		—		665,977,635		—		665,977,635
Put Options Purchased		14,718,750		—		—		14,718,750
U.S. Agency Securities		—		345,550,787		—		345,550,787
U.S. Treasury Securities		23,276,262,519		2,189,610,902		—		25,465,873,421

Other Financial Instruments *
Assets:
Foreign currency exchange contracts		—		238,059,059		—		238,059,059
Interest rate contracts		4,190,128		—		—		4,190,128
Liabilities:
Foreign currency exchange contracts		—		(12,283,816)		—		(12,283,816)
Interest rate contracts		(38,488,027)		—		—		(38,488,027)


Total	$	25,518,870,838	$	60,343,492,698	$	128,542,061	$	85,990,905,597


ULTRA SHORT BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Commercial Paper		$ —		$ 480,058		$ —		$ 480,058
Foreign Government Obligations		—		6,863,001		—		6,863,001
Money Market Funds		7,918,000		—		—		7,918,000
U.S. Treasury Bills		3,395,129		—		—		3,395,129
Long-Term Investments:
Asset-Backed Securities		—		3,406,945		—		3,406,945
Corporates		—		31,271,025		—		31,271,025
Mortgage-Backed		—		65,878,787		42,552		65,921,339
U.S. Treasury Securities		30,925,731		—		—		30,925,731

Other Financial Instruments *
Assets:
Foreign currency exchange contracts		—		276,147		—		276,147
Liabilities:
Foreign currency exchange contracts		—		(39,436)		—		(39,436)

Total		$42,238,860		$108,136,527		$42,552		$150,417,939


UNCONSTRAINED BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short-Term Investments:
Foreign Government Obligations	$	—	$	178,860,166	$	—	$	178,860,166
Money Market Funds		21,823,000		—		—		21,823,000
U.S. Treasury Bills		22,187,285		—		—		22,187,285
Long-Term Investments:
Asset-Backed Securities		—		349,152,258		—		349,152,258
Bank Loans		—		9,694,143		10,834,346		20,528,489
Common Stock		8,342,810		—		—		8,342,810
Corporates		—		670,022,217		5,152,249		675,174,466
Foreign Government Obligations		—		31,084,935		—		31,084,935
Mortgage-Backed		—		1,031,324,936		34,129,806		1,065,454,742
Municipal Bonds		—		15,083,977		—		15,083,977
U.S. Agency Securities		—		3,250,432		—		3,250,432
U.S. Treasury Securities		147,845,750		—		—		147,845,750

Other Financial Instruments *
Assets:
Foreign currency exchange contracts		—		7,822,360		—		7,822,360
Interest rate contracts		960,755		—		—		960,755
Liabilities:
Foreign currency exchange contracts		—		(484,502)		—		(484,502)
Interest rate contracts		(157,235)		—		—		(157,235)


Total	$	201,002,365	$	2,295,810,922	$	50,116,401	$	2,546,929,688


ALPHATRAK 500 FUND	MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2016		$	70,638
Accrued discounts/premiums			(4,830	)
Realized (loss)			(16,497	)
Change in unrealized appreciation/ (depreciation)^*			—
Purchases			12,305
Sales			—
Transfers into Level 3^**			—
Transfers out of Level 3^**			—

Balance as of December 31, 2016			$ 61,616



FLOATING RATE INCOME FUND	BANK LOANS

Balance as of April 1, 2016	$	5,559,446
Accrued discounts/premiums		7,795
Realized loss		(312,757	)
Change in unrealized appreciation/ (depreciation)^*		1,423,496
Purchases		5,055,791
Sales		(1,854,406	)
Transfers into Level 3^**		5,431,561
Transfers out of Level 3^**		—


Balance as of December 31, 2016	$	15,310,926


HIGH YIELD BOND FUND	BANK LOANS				COMMON STOCK				CORPORATES				WARRANT

Balance as of April 1, 2016		$	27,771,571	***		$	1,253,454			$	22,270,665	****		$	—
Accrued discounts/premiums			13,056				—				160,033				—
Realized (loss)			(1,239,622	)			—				(1,168,645	)			—
Change in unrealized appreciation/ (depreciation)^*			10,042,298				(3,127,471	)			(3,204,346	)			(2,317,854	)
Purchases			(12,355,932	)			3,714,942				3,223,308				2,645,627
Sales			(13,313,344	)			—				(3,886,363	)			—
Transfers into Level 3**			5,601,950				—				2,004,684				—
Transfers out of Level 3**			—				—				—				—


Balance as of December 31, 2016		$	16,519,977			$	1,840,925	****		$	19,399,336	*****		$	327,773

* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2016 was $(1,513,873) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations. Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2016, the Fund used significant observable inputs in determining the value of certain investments. As of December 31, 2016, the Fund used unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $7,606,634 transferred from level 2 to level 3 in the disclosure hierarchy. * As of March 31, 2016, Boston Generating LLC, Term Loan, 1st Lien had a $0 market value. ** As of December 31, 2016, Walter Energy had a $0 market value. *** As of March 31, 2016 Momentive Performance Materials, Inc. had a $0 market value and as of December 31, 2016 Momentive Performance Materials, Inc. and Seventy Seven Energy, Inc. had a $0 market value.

INTERMEDIATE BOND FUND	BANK LOANS				CORPORATES				MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2016		$	—			$	283,594			$	682,507
Accrued discounts/premiums			191				—				(14,196	)
Realized (loss)			—				—				—
Change in unrealized appreciation/ (depreciation)^*			(6,205	)			(73,275	)			(112,128	)
Purchases			3,196,014				—				—
Sales			—				(11,350	)			—
Transfers into Level 3^**			—				576,295				—
Transfers out of Level 3^**			—				—				—


Balance as of December 31, 2016			$3,190,000				$775,264				$556,183


LOW DURATION BOND FUND	BANK LOANS				CORPORATES				MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2016		$	—			$	4,019,898			$	5,862,125
Accrued discounts/premiums			482				—				(62,892	)
Realized (loss)			—				—				—
Change in unrealized
(depreciation)^*			(15,571	)			(809,881	)			(1,226,389	)
Purchases			8,029,964				—				—
Sales			—				(565,800	)			—
Transfers into Level 3^**			1,987,563				—				—
Transfers out of Level 3^**			—				—				—


Balance as of December 31, 2016		$	10,002,438			$	2,644,217			$	4,572,844

* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2016 was $(2,036,270) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations. ** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2016, the Fund used significant observable inputs in determining the value of certain investments. As of December 31, 2016, the Fund used unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $1,987,563 transferred from level 2 to level 3 in the disclosure hierarchy.
STRATEGIC INCOME FUND	ASSET-BACKED SECURITIES				BANK LOANS				COMMON STOCK				MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2016		$	402,078			$	—	***		$	26,821			$	1,005,180
Accrued discounts/premiums			274				—				—				30,500
Realized (loss)			—				(107,166	)			—				—
Change in unrealized appreciation/(depreciation)^*			(141,016	)			107,166				2,354				(202,618	)
Purchases			—				—				—				830,370
Sales			—				—				—				—
Transfers into Level 3**			—				—				—				—
Transfers out of Level 3**			—				—				—				—


Balance as of December 31, 2016		$	261,336			$	—			$	29,175			$	1,663,432


TOTAL RETURN BOND FUND	ASSET-BACKED SECURITIES				BANK LOANS				CORPORATES				MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2016		$	28,370,192			$	52,190,000			$	65,454,924			$	26,027,198
Accrued discounts/premiums			—				571				379,257				(622,521	)
Realized gain			—				—				81,683				—
Change in unrealized (depreciation)^*			(10,451,222	)			(18,463	)			(8,540,591	)			(3,756,199	)
Purchases			—				(30,282,837	)			6,644,825				—
Sales			—				—				(4,401,895	)			—
Transfers into Level 3^**			—				—				7,467,139				—
Transfers out of Level 3^**			—				—				—				—

Balance as of December 31, 2016		$	17,918,970			$	21,889,271			$	67,085,342			$	21,648,478

* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2016 was $(22,748,012) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations. ** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2016, the Fund used significant observable inputs in determining the value of certain investments. As of December 31, 2016, the Fund used unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $7,467,139 transferred from level 2 to level 3 in the disclosure hierarchy.
ULTRA SHORT BOND FUND	MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2016			$49,149
Accrued discounts/premiums			(3,219	)
Realized (loss)			—
Change in unrealized (depreciation)^*			(3,378)
Purchases			—
Sales			—
Transfers into Level 3^**			—
Transfers out of Level 3^**			—
Balance as of December 31, 2016			$42,552


UNCONSTRAINED BOND FUND	BANK LOANS				CORPORATES				MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2016		$	4,430,000			$	4,035,580			$	19,434,734
Accrued discounts/premiums			372				54,188				(492,203	)
Realized gain			—				22,536				—
Change in unrealized (depreciation)^*			(12,058	)			(1,011,845	)			(4,488,872	)
Purchases			2,838,419				2,317,000				19,676,147
Sales			—				(265,210	)			—
Transfers into Level 3^**			3,577,613				—				—
Transfers out of Level 3^**			—				—				—


Balance as of December 31, 2016		$	10,834,346			$	5,152,249			$	34,129,806


FUND	EXPIRING IN 2016		EXPIRING IN 2017		EXPIRING IN 2018		EXPIRING IN 2019		SHORTTERM NON-EXPIRING AMOUNTS*		LONG TERM NON-EXPIRING AMOUNTS*
AlphaTrak 500 Fund		$ —		$63,409,884		$15,892,244		$12,617,196		$ 35,176		$ 55,884
Floating Rate Income Fund		—		—		—		—		202,840		1,210,847
High Yield Bond Fund		—		—		—		—		3,275,608		59,903,820
Low Duration Bond Fund		—		99,373,584		21,029,490		42,081,240		—		55,434,071
Strategic Income Fund		6,589,872		47,852,416		18,413,032		41,345,040		4,429		1,713,081
Ultra Short Bond Fund		1,489,245		17,068,161		14,894,875		10,083,524		284,468		4,796,493
Unconstrained Bond Fund		—		—		—		—		2,222,418		3,156,552