Metropolitan West Funds

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, 450 Fifth Street, NW, Washington, DC 20549-0609. 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 – 77.77%
ASSET-BACKED SECURITIES — 4.71%**
Access Group, Inc., Series 2015-1, Class A
(LIBOR USD 1-Month plus 0.70%)
2.25%		07/25/56	^1,2	$	24,142	$	24,200
Bayview Commercial Asset Trust, Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.37%)
1.92%		01/25/35	^1,2		20,142		19,906
Brazos Higher Education Authority, Inc., Series 2010-1, Class A2
(LIBOR USD 3-Month plus 1.20%)
2.66%		02/25/35	¹		15,000		15,349
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3
(LIBOR USD 3-Month plus 1.00%)
2.37%		10/27/36	¹		15,000		15,092
Educational Funding of the South, Inc., Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.65%)
2.02%		04/25/35	¹		5,222		5,226
Educational Funding of the South, Inc., Series 2012-1, Class A
(LIBOR USD 1-Month plus 1.05%)
2.60%		03/25/36	¹		6,657		6,697
Navient Student Loan Trust, Series 2017-4A, Class A2
(LIBOR USD 1-Month plus 0.50%)
2.05%		09/27/66	^1,2		100,000		100,259
Nelnet Student Loan Trust, Series 2014-3A, Class A
(LIBOR USD 1-Month plus 0.58%)
2.13%		06/25/41	^1,2		24,172		24,154
North Carolina State Education Authority, Series 2011-1, Class A3
(LIBOR USD 3-Month plus 0.90%)
2.27%		10/25/41	¹		15,000		14,983
Northstar Education Finance, Inc., Series 2007-1, Class A2
(1.00 X LIBOR USD 3-Month plus 0.75%)
2.13%		01/29/46	¹		10,000		9,674
Scholar Funding Trust, Series 2011-A, Class A
(LIBOR USD 3-Month plus 0.90%)
2.28%		10/28/43	^1,2		5,003		4,960
SLM Student Loan Trust I, Series 2003-10A, Class A3
(LIBOR USD 3-Month plus 0.55%)
2.06%		12/15/27	^1,2		110,303		110,616
SLM Student Loan Trust, Series 2003-11, Class A6
(LIBOR USD 3-Month plus 0.55%)
2.14%		12/15/25	^1,2		97,810		98,277


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2005-8, Class A4
(LIBOR USD 3-Month plus 0.55%)
1.92%		01/25/28	¹	$	91,824	$	92,273
SLM Student Loan Trust, Series 2007-6, Class A4
(LIBOR USD 3-Month plus 0.38%)
1.75%		10/25/24	¹		81,644		81,646
SLM Student Loan Trust, Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
2.87%		04/25/23	¹		121,302		124,236
SLM Student Loan Trust, Series 2011-1, Class A1
(LIBOR USD 1-Month plus 0.52%)
2.07%		03/25/26	¹		89,864		90,215
SLM Student Loan Trust, Series 2011-2, Class A1
(LIBOR USD 1-Month plus 0.60%)
2.15%		11/25/27	¹		13,800		13,895
SLM Student Loan Trust, Series 2013-3, Class A2
(LIBOR USD 1-Month plus 0.30%)
1.85%		05/26/20	¹		21,952		21,952
SLM Student Loan Trust, Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
2.10%		06/25/43	¹		9,986		10,037


Total Asset-Backed Securities (Cost $878,581)							883,647

BANK LOANS — 0.49%*
Health Care — 0.11%
Gilead Sciences, Inc., Term Loan
(LIBOR plus 1.00%)
2.34%		09/08/22¹			20,000		20,000

Industrials — 0.17%
Tyco International Holdings SARL, Term Loan, 1st Lien
(LIBOR plus 1.75%)
3.09%		03/06/20^1,3,4			33,131		33,100

Information Technology — 0.21%
Dell International LLC, Term Loan A3, 1st Lien
(LIBOR plus 1.50%)
3.07%		12/31/18¹			39,941		39,974


Total Bank Loans (Cost $93,150)							93,074


Issues	Maturity Date			Principal Amount		Value
CORPORATES — 37.68%*
Automotive — 0.27%
General Motors Co.
3.50%		10/02/18		$	50,000	$	50,529

							50,529

Banking — 6.02%
Bank of America Corp.
3.00%		12/20/23	^2,5		91,000		91,296
Bank of America Corp. (MTN)
5.65%		05/01/18			160,000		161,971
6.88%		04/25/18			225,000		228,399
Discover Bank
2.00%		02/21/18			100,000		100,003
HBOS PLC (GMTN) (United Kingdom)
6.75%		05/21/18	^2,6		115,000		116,867
JPMorgan Chase & Co.
6.00%		01/15/18			80,000		80,112
Santander UK PLC (United Kingdom)
2.50%		03/14/19	⁶		60,000		60,174
Wachovia Corp. (MTN)
5.75%		02/01/18			275,000		275,860
Wells Fargo & Co. (GMTN)
1.50%		01/16/18			15,000		14,998


							1,129,680

Communications — 1.79%
21st Century Fox America, Inc.
7.25%		05/18/18			100,000		101,887
AT&T, Inc.
5.50%		02/01/18			40,000		40,115
Rogers Communications, Inc. (Canada)
6.80%		08/15/18	⁶		35,000		35,967
Time Warner Cable LLC
6.75%		07/01/18			155,000		158,455


							336,424

Consumer Discretionary — 1.94%
Altria Group, Inc.
9.70%		11/10/18			70,000		74,478
Anheuser-Busch North American Holding Corp.
2.20%		08/01/18	²		50,000		50,060
BAT International Finance PLC (United Kingdom)
1.85%		06/15/18	^2,6		115,000		114,915
Beam Suntory, Inc.
1.75%		06/15/18			75,000		74,879
Constellation Brands, Inc.
2.00%		11/07/19			50,000		49,698


							364,030


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Products — 0.21%
Newell Brands, Inc.
2.60%		03/29/19		$	40,000	$	40,069


							40,069

Electric — 2.26%
Consumers Energy Co.
5.65%		09/15/18			100,000		102,391
Jersey Central Power & Light Co.
7.35%		02/01/19			100,000		105,034
Oncor Electric Delivery Co. LLC
6.80%		09/01/18			15,000		15,448
Progress Energy, Inc.
7.05%		03/15/19			70,000		73,993
Vectren Utility Holdings, Inc.
5.75%		08/01/18			75,000		76,546
Wisconsin Public Service Corp.
1.65%		12/04/18			50,000		49,843


							423,255

Energy — 0.75%
ONE Gas, Inc.
2.07%		02/01/19			60,000		60,022
Phillips 66
(LIBOR USD 3-Month plus 0.65%)
2.01%		04/15/19	^1,2		80,000		80,050


							140,072

Finance — 10.15%
Air Lease Corp.
2.63%		09/04/18			75,000		75,241
American Express Co.
1.55%		05/22/18			40,000		39,956
7.00%		03/19/18			15,000		15,164
American Express Credit Corp. (MTN)
1.80%		07/31/18			30,000		29,983
Bear Stearns Cos. LLC (The)
7.25%		02/01/18			340,000		341,364
Citigroup, Inc.
1.70%		04/27/18			25,000		24,977
1.80%		02/05/18			180,000		179,985
2.05%		12/07/18			50,000		49,959
2.50%		09/26/18			45,000		45,056
6.13%		05/15/18			100,000		101,524
Ford Motor Credit Co. LLC
2.24%		06/15/18			25,000		24,983
5.00%		05/15/18			75,000		75,771
General Electric Corp. (MTN)
(LIBOR USD 3-Month plus 0.38%)
1.77%		05/05/26	¹		30,000		28,935


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
(LIBOR USD 3-Month plus 0.48%)
1.90%		08/15/36	¹	$	75,000	$	65,233
General Motors Financial Co., Inc.
2.35%		10/04/19			50,000		49,874
3.25%		05/15/18			20,000		20,083
Goldman Sachs Group, Inc. (GMTN) (The)
7.50%		02/15/19			100,000		105,712
Goldman Sachs Group, Inc. (MTN) (The)
(LIBOR USD 3-Month plus 1.10%)
2.52%		11/15/18	¹		25,000		25,178
Goldman Sachs Group, Inc. (The)
2.38%		01/22/18			10,000		10,003
5.95%		01/18/18			210,000		210,333
6.15%		04/01/18			15,000		15,159
International Lease Finance Corp.
7.13%		09/01/18	²		100,000		103,187
Morgan Stanley (GMTN)
6.63%		04/01/18			115,000		116,267
Morgan Stanley, Series 3NC2
(LIBOR USD 3-Month plus 0.80%)
2.21%		02/14/20	¹		150,000		150,623


							1,904,550

Food — 1.07%
Conagra Brands, Inc.
(LIBOR USD 3-Month plus 0.50%)
2.20%		10/09/20	¹		60,000		60,120
Kraft Heinz Foods Co.
6.13%		08/23/18			15,000		15,379
(LIBOR USD 3-Month plus 0.42%)
1.82%		08/09/19	¹		75,000		75,031
Tyson Foods, Inc.
(LIBOR USD 3-Month plus 0.45%)
1.89%		08/21/20	¹		50,000		50,209


							200,739

Health Care — 3.09%
Actavis Funding SCS (Luxembourg)
2.35%		03/12/18	⁶		90,000		90,076
Anthem, Inc.
1.88%		01/15/18			40,000		39,998
2.25%		08/15/19			75,000		74,889
Baxalta, Inc.
2.00%		06/22/18			10,000		9,998
Bayer U.S. Finance LLC
2.38%		10/08/19	²		35,000		35,071
Fresenius Medical Care U.S. Finance II, Inc.
5.63%		07/31/19	²		75,000		78,487
6.50%		09/15/18	²		35,000		36,095


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Humana, Inc.
2.63%		10/01/19		$	50,000	$	50,233
Roche Holdings, Inc.
2.25%		09/30/19	²		75,000		75,216
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)
1.40%		07/20/18	⁶		30,000		29,749
UnitedHealth Group, Inc.
6.00%		02/15/18			15,000		15,074
Universal Health Services, Inc.
3.75%		08/01/19	²		40,000		40,725
Valeant Pharmaceuticals International, Inc. (Canada)
5.88%		05/15/23	^2,6		5,000		4,655


							580,266

Industrials — 1.27%
BAE Systems Holdings, Inc.
6.38%		06/01/19	²		50,000		52,777
L3 Technologies, Inc.
5.20%		10/15/19			60,000		62,896
United Technologies Corp. (STEP)
1.78%		05/04/18			35,000		34,949
WestRock RKT Co.
4.45%		03/01/19			85,000		86,918


							237,540

Information Technology — 0.72%
Broadcom Corp./Broadcom Cayman Finance Ltd.
2.38%		01/15/20	²		35,000		34,812
QUALCOMM, Inc.
1.85%		05/20/19			100,000		99,642


							134,454

Materials — 0.47%
Dow Chemical Co. (The)
8.55%		05/15/19			50,000		54,146
Monsanto Co.
2.13%		07/15/19			35,000		34,890


							89,036

Real Estate Investment Trust (REIT) — 5.59%
American Tower Corp.
3.40%		02/15/19			75,000		75,812
Boston Properties LP
5.63%		11/15/20			15,000		16,233
5.88%		10/15/19			75,000		79,087
HCP, Inc.
2.63%		02/01/20			100,000		100,334


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
3.75%		02/01/19		$	50,000	$	50,641
Highwoods Realty LP
7.50%		04/15/18			95,000		96,377
Realty Income Corp.
2.00%		01/31/18			110,000		109,985
SL Green Realty Corp.
5.00%		08/15/18			140,000		141,768
Ventas Realty LP/Ventas Capital Corp.
2.00%		02/15/18			55,000		54,998
4.00%		04/30/19			90,000		91,621
WEA Finance LLC/Westfield UK & Europe Finance PLC
2.70%		09/17/19	²		115,000		115,738
Welltower, Inc.
2.25%		03/15/18			115,000		115,073


							1,047,667

Retail — 0.67%
CVS Health Corp.
2.25%		12/05/18			125,000		125,084


							125,084

Services — 0.94%
Moody’s Corp.
(LIBOR USD 3-Month plus 0.35%)
1.84%		09/04/18	¹		50,000		50,088
Republic Services, Inc.
3.80%		05/15/18			125,000		125,828


							175,916

Transportation — 0.47%
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			5,046		5,049
Continental Airlines Pass-Through Trust, Series 2000-2, Class A1
7.71%		04/02/21			30,660		32,984
U.S. Airways Pass-Through Trust, Series 2011-1, Class G
7.08%		03/20/21			48,029		50,625


							88,658

Total Corporates
(Cost $7,067,124)							7,067,969


MORTGAGE-BACKED — 25.77%**

Non-Agency Commercial
Mortgage-Backed — 9.59%
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-T18, Class E
5.26%		02/13/42	^2,5		75,506		75,550


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust, Series 2006-GG7, Class AM
5.77%		07/10/38	⁵	$	20,656	$	20,806
Commercial Mortgage Trust, Series 2012-CR4, Class XA
1.80%		10/15/45	^3,4,5		382,248		24,423
DBUBS Mortgage Trust, Series 2011-LC1A, Class A2
4.53%		11/10/46	²		18,579		18,865
GRACE Mortgage Trust, Series 2014-GRCE, Class A
3.37%		06/10/28	²		40,000		41,060
GS Mortgage Securities Trust, Series 2010-C2, Class A1
3.85%		12/10/43	²		18,184		18,600
GS Mortgage Securities Trust, Series2013-GC13, Class A2
2.81%		07/10/46			7,172		7,181
Irvine Core Office Trust, Series 2013-IRV, Class A1
2.07%		05/15/48	²		5,781		5,704
JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class A2
3.02%		08/15/46			72,720		73,232
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class A2
2.98%		11/15/45			21,359		21,467
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class A2
3.00%		01/15/47			52,283		52,524
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A2
3.09%		07/15/48			120,000		121,162
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class A2
3.62%		11/15/43	²		12,243		12,377
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A3
4.39%		02/15/46	²		15,560		15,641
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class ASB
3.41%		01/15/46			55,000		56,284
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2
3.07%		12/15/46			111,090		111,688
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CIBX, Class A3
3.14%		06/15/45			205,809		206,991


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class XCL (IO)
0.48%		09/15/39	^2,3,4,5	$	1,650,853	$	10,701
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class A3
2.83%		08/15/45			132,774		134,112
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A2
3.09%		08/15/46			125,858		126,484
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class A2
3.00%		10/15/46			120,000		120,591
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A2
1.97%		05/15/46			29,906		29,890
Morgan Stanley Capital I Trust, Series 2011-C3, Class A3
4.05%		07/15/49			83,031		85,132
WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A3
4.00%		03/15/44	²		153,190		154,897
WF-RBS Commercial Mortgage Trust, Series 2013-C13, Class A2
1.96%		05/15/45			188,533		188,393
WF-RBS Commercial Mortgage Trust, Series 2013-C16, Class A2
3.22%		09/15/46			63,779		64,219


							1,797,974

Non-Agency Mortgage-Backed — 7.27%
Ameriquest Mortgage Securities, Inc., Series 2005-R3, Class M2
(LIBOR USD 1-Month plus 0.47%)
2.02%		05/25/35	¹		36,844		36,880
Asset-Backed Funding Certificates, Series 2006-OPT1, Class A2
(LIBOR USD 1-Month plus 0.14%)
1.69%		09/25/36	¹		42,381		42,093
Banc of America Funding Trust, Series 2006-G, Class 2A4
(LIBOR USD 1-Month plus 0.29%)
1.79%		07/20/36	¹		70,072		70,309
BCAP LLC Trust, Series 2011-RR3, Class 1A5
3.62%		05/27/37	^2,5		4,971		4,983
BCAP LLC Trust, Series 2012-RR11, Class 2A3
1.45%		08/26/36	^2,5		84,847		85,006
BCAP LLC Trust, Series 2014-RR1, Class 3A3
(LIBOR USD 1-Month plus 0.16%)
1.49%		03/26/37	^1,2		91,748		90,916


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns ALT-A Trust, Series 2004-11, Class 1A1
(LIBOR USD 1-Month plus 0.68%)
2.23%		11/25/34	¹	$	11,519	$	11,476
Centex Home Equity Loan Trust, Series 2002-C, Class AF4 (STEP)
4.98%		06/25/31			8,735		8,820
Citigroup Mortgage Loan Trust, Inc., Series 2006-HE1, Class M2
(LIBOR USD 1-Month plus 0.34%)
1.89%		01/25/36	¹		28,083		28,164
Countrywide Alternative Loan Trust, Series 2005-27, Class 3A2
(Federal Reserve US 12-Month Cumualtive
Average plus 1.10%)
2.16%		08/25/35	¹		25,499		16,316
Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A1
(LIBOR USD 1-Month plus 0.90%)
2.45%		10/25/47	¹		123,258		116,530
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.60%)
2.15%		05/25/35	¹		24,752		23,150
Credit Suisse First Boston Mortgage Securities Corp., Series 1997-2, Class A
7.50%		06/25/20	²		403		410
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB1, Class AF (STEP)
3.95%		01/25/33			14,246		14,367
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB5, Class M1
(LIBOR USD 1-Month plus 1.02%)
2.35%		11/25/33	¹		18,617		18,240
DSLA Mortgage Loan Trust, Series 2004-AR3, Class 2A2A
(LIBOR USD 1-Month plus 0.37%)
1.87%		07/19/44	¹		5,888		5,881
First Franklin Mortgage Loan Trust, Series 2006-FF4, Class A3
(LIBOR USD 1-Month plus 0.28%)
1.83%		03/25/36	¹		120,000		118,379
GMAC Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1
3.84%		04/19/36	⁵		106,379		101,268
HarborView Mortgage Loan Trust, Series 2005-4, Class 2A
3.84%		07/19/35	⁵		4,814		4,600


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued) Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust, Series 2004-AR5, Class 2A1A
(LIBOR USD 1-Month plus 0.86%)
2.41%		08/25/34	¹	$	9,799	$	9,041
IndyMac Index Mortgage Loan Trust, Series 2007-FLX1, Class A2
(LIBOR USD 1-Month plus 0.18%)
1.51%		02/25/37	¹		2,589		2,588
JPMorgan Mortgage Acquisition Trust, Series 2007-CH5, Class A4
(LIBOR USD 1-Month plus 0.16%)
1.71%		06/25/36	¹		102,974		102,268
Long Beach Mortgage Loan Trust, Series 2004-4, Class 1A1
(LIBOR USD 1-Month plus 0.56%)
2.11%		10/25/34	¹		100,360		101,020
Option One Mortgage Loan Trust, Series 2005-5, Class A3
(LIBOR USD 1-Month plus 0.21%)
1.76%		12/25/35	¹		44,676		44,769
Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A2
8.50%		11/25/31			4,097		1,031
Soundview Home Loan Trust, Series 2006-2, Class M1
(LIBOR USD 1-Month plus 0.33%)
1.88%		03/25/36	¹		85,000		85,103
Structured Asset Investment Loan Trust, Series 2005-6, Class M1
(LIBOR USD 1-Month plus 0.72%)
2.27%		07/25/35	¹		22,400		22,463
Terwin Mortgage Trust, Series 2004-13AL, Class 2PX (IO)
0.34%		08/25/34	^2,3,4		3,453,046		47,272
WaMu Mortgage Pass-Through Certificates, Series 2002-AR6, Class A (Federal Reserve US 12-Month Cumualtive Average plus 1.40%)
2.46%		06/25/42	¹		5,353		5,196
Wells Fargo Alternative Loan Trust, Series 2005-2, Class M1
(LIBOR USD 1-Month plus 0.68%)
2.23%		10/25/35	¹		105,094		105,077
Wells Fargo Mortgage-Backed Securities Trust, Series 2003-I, Class A1
3.38%		09/25/33	⁵		32,555		32,861
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-I, Class AI
3.68%		07/25/34	⁵		7,032		6,935


							1,363,412


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued) U.S. Agency Commercial Mortgage-Backed — 5.88%
Fannie Mae Multifamily REMIC Trust, Series 2015-M12, Class FA
(LIBOR USD 1-Month plus 0.34%)
1.58%		04/25/20	¹	$	2,707	$	2,704
Fannie Mae-Aces, Series 2006-M2, Class A2F
5.26%		05/25/20	⁵		836		834
Fannie Mae-Aces, Series 2012-M2, Class X
0.70%		02/25/22	⁵		124,031		2,807
Fannie Mae-Aces, Series 2013-M13, Class FA
(LIBOR USD 1-Month plus 0.35%)
1.90%		05/25/18	¹		33,528		33,472
Fannie Mae-Aces, Series 2013-M14, Class FA
(LIBOR USD 1-Month plus 0.35%)
1.90%		08/25/18	¹		13,539		13,554
Fannie Mae-Aces, Series 2014-M2, Class ASV2
2.78%		06/25/21	⁵		18,739		18,937
Fannie Mae-Aces, Series 2014-M8, Class FA
(LIBOR USD 1-Month plus 0.25%)
1.49%		05/25/18	¹		6,988		6,983
Fannie Mae-Aces, Series 2016-M9, Class FA
(LIBOR USD 1-Month plus 0.59%)
1.83%		09/25/23	¹		38,609		38,791
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF34, Class A
(LIBOR USD 1-Month plus 0.36%)
1.73%		08/25/24	¹		49,999		50,132
Freddie Mac Multifamily Structured Pass-Through Certificates, Series J15F, Class A1
2.36%		07/25/20			91,418		91,656
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K003, Class A4
5.05%		01/25/19			165,000		168,564
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K005, Class A2
4.32%		11/25/19			145,000		149,938
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF02, Class A1
(LIBOR USD 1-Month plus 0.38%)
1.75%		07/25/20	¹		46,892		46,918


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued) U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF02, Class A3
(LIBOR USD 1-Month plus 0.63%)
2.00%		07/25/20	¹	$	5,984	$	5,997
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF05, Class A
(LIBOR USD 1-Month plus 0.35%)
1.72%		09/25/21	¹		9,748		9,674
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF08, Class A
(LIBOR USD 1-Month plus 0.30%)
1.67%		01/25/22	¹		79,859		79,800
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF09, Class A
(LIBOR USD 1-Month plus 0.38%)
1.75%		05/25/22	¹		67,978		67,408
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF10, Class A
(LIBOR USD 1-Month plus 0.38%)
1.62%		07/25/22	¹		96,393		95,469
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ02, Class A2
2.60%		09/25/20			104,667		105,207
FREMF Multifamily Aggregation Risk Transfer Trust, Series 2017-KT01, Class A
(LIBOR USD 1-Month plus 0.32%)
1.85%		02/25/20	¹		110,000		110,374
Ginnie Mae, Series 2011-142, Class A
2.34%		10/16/40			3,880		3,876


							1,103,095

U.S. Agency Mortgage-Backed — 3.03%
Fannie Mae Pool 468769
3.42%		09/01/18			35,708		35,859
Fannie Mae Pool 802665
(LIBOR USD 6-Month plus 1.74%)
3.24%		12/01/34	¹		3,016		3,077
Fannie Mae Pool AD0149
5.29%		06/01/18			54,081		54,182
Fannie Mae Pool AL0851
6.00%		10/01/40			5,392		6,076
Fannie Mae Pool AM6261
(LIBOR USD 1-Month plus 0.22%)
1.59%		07/01/19	¹		195,000		195,090
Fannie Mae Pool AM7028


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued) U.S. Agency Mortgage-Backed (continued)
(LIBOR USD 1-Month plus 0.24%)
1.61%		10/01/19	¹	$	195,000	$	195,061
Fannie Mae REMICS, Series 1997-91, Class SL (IO)
(-2.00 X LIBOR USD 1-Month plus 16.00%, 7.50% Cap)
7.50%		11/25/23	¹		46,157		6,289
Fannie Mae REMICS, Series 2003-11, Class FA
(LIBOR USD 1-Month plus 1.00%)
2.55%		09/25/32	¹		10,484		10,732
Fannie Mae REMICS, Series 2008-47, Class PF
(LIBOR USD 1-Month plus 0.50%)
2.05%		06/25/38	¹		1,945		1,947
Fannie Mae REMICS, Series 2010-109, Class PF
(LIBOR USD 1-Month plus 0.40%)
1.95%		10/25/40	¹		9,193		9,236
Fannie Mae REMICS, Series G-36, Class ZB
7.00%		11/25/21			414		430
Freddie Mac REMICS, Series 2684, Class F
(LIBOR USD 1-Month plus 0.90%)
2.38%		01/15/33	¹		10,030		10,221
Freddie Mac REMICS, Series 3831, Class PV
5.00%		05/15/25			8,523		8,546
Freddie Mac Strips, Series 263, Class F5
(LIBOR USD 1-Month plus 0.50%)
1.98%		06/15/42	¹		31,275		31,574


							568,320

Total Mortgage-Backed (Cost $4,873,574)							4,832,801


U.S. TREASURY SECURITIES — 9.12%
U.S. Treasury Notes — 9.12%
U.S. Treasury Notes
1.88%		12/15/20			1,715,000		1,710,210


Total U.S. Treasury Securities (Cost $1,709,963)

Total Bonds – 77.77% (Cost $14,622,392)							14,587,701

Issues

Shares

Value

MUTUAL FUNDS — 2.39%

Mutual Funds — 2.39%

SPDR S&P500 ETF Trust⁷

1,678

447,791

Total Mutual Funds

(Cost $442,572)

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 20.56%

Foreign Government Obligations — 0.95%

Japan Treasury Discount Bill, Series 722 (Japan)

0.00%⁸

02/26/18

⁶

20,000,000

177,580

Money Market Funds — 3.45%

Morgan Stanley Institutional Liquidity Funds-Government Portfolio

1.20%⁹

648,000

U.S. Treasury Bills — 16.16%

U.S. Treasury Bills

0.87%⁸

01/18/18

340,000

339,814

1.07%⁸

03/01/18

¹⁰

860,000

858,244

1.28%⁸

04/19/18

1,840,000

1,832,370

3,030,428

Total Short-Term Investments

(Cost $3,859,264)

3,856,008

Total Investments – 100.72%

(Cost $18,924,228)

18,891,500

Liabilities in Excess of Other

Assets – (0.72)%

(135,234

)

Net Assets – 100.00%

18,756,266

¹	Floating rate security. The rate disclosed was in effect at December 31, 2017.

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	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁴	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $115,496, which is 0.62% of total net assets.

⁵

Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

⁶	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁷

SPDR S&P 500 ETF Trust (the “S&P 500 ETF”) is a unit investment trust created under the laws of the State of New York and registered under the Investment Company Act of 1940. The S&P 500 ETF was created to provide investors with the opportunity to purchase a security representing a proportionate undivided interest in a portfolio of securities consisting of substantially all of the component common stocks, in substantially the same weighting, which comprise the Standard & Poor’s 500 Index (the “S&P 500 Index”). Each unit of fractional undivided interest in the S&P 500 ETF is referred to as a “Unit”. The S&P 500 ETF seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500 Index. You can access the financial statements of this ETF by going to the fund’s homepage at (https:// us.spdrs.com/en/etf/spdr-sp-500-etf-SPY).

⁸	Represents annualized yield at date of purchase.

⁹	Represents the current yield as of December 31, 2017.

¹⁰	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $614,719.

^*	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.

(GMTN): Global medium-term note

(IO): Interest only

(JPY): Japanese Yen

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(S&P): Standard and Poor’s

(SPDR): Standard and Poor’s Depositary Receipts

(STEP): Step coupon bond

(USD): U.S. dollar


Issues	Maturity Date			Principal Amount		Value
BONDS – 92.26%
BANK LOANS — 88.01%*
Communications — 13.08%
Altice Financing SA, Term Loan, 1st Lien
(LIBOR plus 2.75%)
4.11%		01/31/26	¹	$	1,000,000	$	981,750
Beasley Mezzanine Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.49%		11/17/23	¹		500,000		505,000
CenturyLink, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.75%)
4.32%		01/31/25	¹		1,000,000		966,250
Charter Communications Operating LLC, Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.57%		04/30/25	¹		2,000,000		2,003,570
CSC Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.74%		07/17/25	¹		1,149,225		1,146,438
Entercom/CBS Radio, Inc., Term Loan B1, 1st Lien
(LIBOR plus 2.75%)
4.17%		11/18/24	¹		750,000		755,077
Frontier Communications Corp., Term Loan B, 1st Lien
(LIBOR plus 3.75%)
5.32%		06/17/24	¹		1,492,500		1,436,531
GoWireless, Inc., Term Loan B, 1st Lien
(LIBOR plus 6.50%)
8.16%		12/20/24	¹		750,000		744,375
GTT Communications, Inc., Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.88%		01/09/24	¹		1,485,000		1,497,377
Intelsat Jackson Holdings SA, Term Loan B4, 1st Lien (Luxembourg)
(LIBOR plus 4.50%)
		01/02/24	^1,2		500,000		507,293
Intelsat Jackson Holdings SA, Term Loan B5, 1st Lien (Luxembourg)
6.63%		01/15/24	^1,2		500,000		506,147
LSF9 Atlantis Holdings LLC, Term Loan, 1st Lien
(LIBOR plus 6.00%)
7.36%		04/21/23	¹		740,625		744,484
MacDonald Dettwiler & Associates Ltd., Term Loan B, 1st Lien
(LIBOR plus 2.75%)
4.10%		10/04/24	¹		1,500,000		1,509,375
Mediarena Acquisition BV, Term Loan, 1st Lien

Issues

Maturity
Date

Principal

Amount

Value

BANK LOANS (continued)

Communications (continued)

(LIBOR plus 5.75%)

7.09%

08/13/21

1,315,822

1,310,230

Merrill Communications LLC, Term Loan, 1st Lien

(LIBOR plus 5.25%)

6.63%

06/01/22

437,496

441,324

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

(LIBOR plus 2.50%)

3.86%

01/17/24

41,950

42,118

New Insight Holdings, Inc., Term Loan, 1st Lien

(LIBOR plus 5.50%)

7.13%

12/06/24

500,000

479,583

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

(LIBOR plus 2.50%)

3.86%

01/17/24

332,302

333,636

Radiate Holdco LLC, Term Loan B, 1st Lien

(LIBOR plus 3.00%)

02/01/24

1,000,000

990,935

Securus Technologies Holdings, Inc., Term Loan, 1st Lien

(LIBOR plus 4.50%)

6.12%

11/01/24

1,250,000

1,265,631

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

(LIBOR plus 2.50%)

12/12/24

500,000

499,767

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

(LIBOR plus 2.25%)

3.82%

01/03/24

1,970,131

1,972,594

Springer Science & Business Media GMBH, Term Loan B13, 1st Lien

(LIBOR plus 3.50%)

4.98%

08/15/22

947,049

951,713

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

(LIBOR plus 3.00%)

4.57%

12/27/20

41,215

41,327

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

(LIBOR plus 3.00%)

4.57%

01/27/24

513,695

515,221

Unitymedia Finance LLC, Term Loan D, 1st Lien

(LIBOR plus 2.25%)

01/20/26

1,500,000

1,498,537

Univision Communications, Inc., Term Loan C5, 1st Lien


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Communications (continued)
(LIBOR plus 2.75%)
4.32%		03/15/24	¹	$	2,583,216	$	2,578,554
UPC Financing Partnership, Term Loan AR, 1st Lien
(LIBOR plus 2.50%)
3.98%		01/15/26	¹		1,500,000		1,501,253
Virgin Media Bristol LLC, Term Loan K, 1st Lien
(LIBOR plus 2.50%)
3.98%		01/15/26	¹		1,000,000		1,001,130
WideOpenWest Finance LLC, Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.75%		08/18/23	¹		1,950,952		1,936,319
Windstream Services LLC, Term Loan B6, 1st Lien
(LIBOR plus 4.00%)
5.50%		03/29/21	¹		1,326,433		1,249,891
Windstream Services LLC, Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.75%		02/17/24	¹		593,974		538,289
Ziggo Secured Finance, Term Loan E, 1st Lien
(LIBOR plus 2.50%)
3.98%		04/15/25	¹		250,000		248,334


							32,700,053

Consumer Discretionary — 9.28%
AI Aqua Zip Bidco Pty Ltd., Term Loan B, 1st Lien
(LIBOR plus 3.50%)
5.07%		12/13/23	¹		1,500,000		1,510,313
Alphabet Holding Co., Inc., Term Loan, 1st Lien
(LIBOR plus 3.50%)
5.07%		09/26/24	¹		498,750		483,787
Arterra Wines Canada, Inc., Term Loan B1, 1st Lien (Canada)
(LIBOR plus 2.75%)
4.38%		12/15/23	^1,2		1,980,000		1,990,524
BC ULC/New Red Finance, Inc., Term Loan B, 1st Lien (Canada)
(LIBOR plus 2.25%)
3.87%		02/16/24	^1,2		1,989,967		1,991,559
Burlington Coat Factory Warehouse Corp., Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.00%		11/08/24	¹		748,125		750,310
CityCenter Holdings LLC, Term Loan B, 1st Lien


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Consumer Discretionary (continued)
(LIBOR plus 2.50%)
4.07%		04/18/24	¹	$	1,741,250	$	1,751,158
Four Seasons Holdings, Inc., Term Loan B, 1st Lien (Canada)
(LIBOR plus 2.50%)
4.07%		11/30/23	^1,2		990,000		997,118
Golden Nugget, Inc., Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.66%		10/04/23	¹		1,492,438		1,505,780
Hilton Worldwide Finance LLC, Term Loan B2, 1st Lien
(LIBOR plus 2.00%)
3.55%		10/25/23	¹		680,169		684,290
KFC Holding Co., Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.49%		06/16/23	¹		1,481,306		1,491,957
La Quinta Intermediate Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 2.75%)
4.11%		04/14/21	¹		1,392,675		1,400,509
Nielsen Finance LLC, Term Loan, B4, 1st Lien
(LIBOR plus 2.00%)
3.43%		10/04/23	¹		1,237,531		1,244,492
Petmate Holdings Co., Term Loan, 1st Lien
(LIBOR plus 4.50%)
6.16%		05/22/24	¹		498,750		499,997
PlayCore, Inc., Term Loan, 1st Lien
(LIBOR plus 3.75%)
5.25%		09/18/24	^1,3		439,375		442,303
Refresco Group NV, Term Loan B, 1st Lien
(LIBOR plus 2.75%)
		09/27/24	¹		2,000,000		2,003,750
Refresco, Term Loan B3, 1st Lien
(LIBOR plus 3.25%)
		12/13/24	¹		2,000,000		1,997,500
Reynolds Group Holdings, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.75%)
4.32%		02/06/23	¹		949,066		954,618
Spin Holdco, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.75%)
5.15%		11/14/22	¹		1,492,500		1,505,559


							23,205,524

Consumer Products — 0.40%
Hoffmaster Group, Inc., Term Loan, 1st Lien
(LIBOR plus 4.50%)
6.19%		11/21/23	¹		990,000		999,900


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Electric — 2.01%
Calpine Construction Finance Co. LP, Term Loan, 1st Lien
(LIBOR plus 2.50%)
4.07%		01/15/25	¹	$	525,292	$	525,620
Calpine Corp., Term Loan B8, 1st Lien
(LIBOR plus 1.75%)
3.32%		12/31/19	¹		248,125		248,358
Chief Power Finance LLC, Term Loan B, 1st Lien
(LIBOR plus 4.75%)
6.32%		12/31/20	^1,4,5		970,000		797,825
GIM Channelview Cogeneration LLC, Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.82%		05/08/20	¹		1,065,332		1,041,362
Moxie Liberty (Panda), Term Loan, 1st Lien
(LIBOR plus 6.50%)
8.19%		08/21/20	¹		1,576,364		1,454,196
Panda Power Funds, Term Loan B1, 1st Lien
(LIBOR plus 5.75%)
7.44%		12/18/20	^1,4,5		969,027		954,492


							5,021,853

Energy — 1.57%
Contura Energy, Inc., Term Loan, 1st Lien
(LIBOR plus 5.00%)
6.63%		03/18/24	¹		483,750		478,610
EMG Utica LLC, Term Loan B, 1st Lien
(LIBOR plus 3.75%)
5.59%		03/27/20	^1,4,5		564,831		568,892
Glass Mountain Pipeline Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 4.50%)
6.16%		12/13/24	¹		500,000		500,000
Harvey Gulf International Marine LLC, Term Loan B, 1st Lien⁶
(PRIME plus 3.50%)
8.00%		06/18/20	^1,4,5,7		734,022		295,444
Power Buyer LLC, Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.94%		05/06/20	¹		1,066,392		1,071,063
Traverse Midstream Partners LLC, Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.85%		09/27/24	¹		1,000,000		1,014,625


							3,928,634


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Entertainment — 0.40%
Regal Cinemas Corp., Term Loan, 1st Lien
(LIBOR plus 2.00%)
3.57%		04/01/22	¹	$	990,031	$	991,828

Finance — 8.27%
Admi Corp., Term Loan B, 1st Lien
(LIBOR plus 3.75%)
5.19%		04/29/22	¹		989,848		1,000,677
Angus Chemical, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.94%		02/02/22	¹		406,252		407,367
ASP AMC Merger Sub, Inc., Term Loan, 1st Lien
(LIBOR plus 3.50%)
5.19%		04/21/24	¹		983,440		983,287
Auris Luxembourg III SARL, Term Loan B, 1st Lien (Luxembourg)
(LIBOR plus 3.00%)
4.69%		01/17/22	^1,2		1,448,927		1,462,742
Black Knight InfoServ LLC, Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.88%		05/27/22	¹		975,000		979,875
Canyon Valor Cos., Inc., Term Loan B, 1st Lien
(LIBOR plus 4.25%)
5.94%		06/16/23	¹		598,500		606,481
CBAC Borrower LLC, Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.69%		06/28/24	¹		1,296,750		1,310,126
Clarivate Analytics, Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.82%		10/03/23	^1,4,5		1,472,022		1,482,804
Deerfield Holdings Corp., Term Loan B, 1st Lien
(LIBOR plus 3.25%)
		12/04/24	¹		500,000		501,687
Delos Finance SARL, Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.69%		10/06/23	¹		2,500,000		2,522,100
Duff & Phelps Corp., Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.94%		10/12/24	¹		1,500,000		1,505,977
First Eagle Holdings, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.00%)
4.69%		12/01/22	¹		1,748,232		1,772,279


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Finance (continued)
Helix Gen Funding LLC, Term Loan B, 1st Lien
(LIBOR plus 3.75%)
5.44%		06/03/24	¹	$	924,776	$	928,868
Midas Intermediate Holdco II LLC, Term Loan B, 1st Lien
(LIBOR plus 2.75%)
4.44%		08/18/21	¹		1,474,351		1,477,116
Telenet Financing LLC, Term Loan AL, 1st Lien
(LIBOR plus 2.50%)
3.92%		03/02/26	¹		1,250,000		1,255,594
UFC Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.81%		08/18/23	¹		1,485,000		1,494,979
WP Deluxe Merger Sub, Inc., Delayed-Draw Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.94%		07/25/24	¹		115,044		115,260
WP Deluxe Merger Sub, Inc., Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.94%		07/19/24	¹		884,956		886,615


							20,693,834

Food — 2.58%
American Seafoods Group LLC, Term Loan B, 1st Lien
(PRIME plus 2.25%)
6.75%		08/21/23	¹		41,250		41,611
(LIBOR plus 3.25%)
4.69%		08/21/23	¹		783,750		790,608
Chobani LLC, Term Loan B, 1st Lien
(LIBOR plus 3.50%)
5.07%		10/09/23	¹		990,019		999,503
Del Monte Foods, Inc., Term Loan, 1st Lien
(PRIME plus 2.25%)
6.75%		02/18/21	¹		1,250		1,007
(LIBOR plus 3.25%)
4.70%		02/18/21	¹		480,000		386,830
Hearthside Group Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 3.00%)
4.57%		06/02/21	¹		989,802		996,810
Hostess Brands LLC, Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.82%		08/03/22	¹		985,056		987,135
Pinnacle Foods Finance LLC, Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.37%		02/02/24	¹		990,000		997,697


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Food (continued)
Utz Quality Foods LLC, Term Loan, 1st Lien
(LIBOR plus 3.50%)
5.01%		11/13/24	¹	$	1,250,000	$	1,261,331


							6,462,532

Gaming — 7.32%
Affinity Gaming, Term Loan B, 1st Lien
(LIBOR plus 3.50%)
5.19%		07/03/23	¹		479,476		482,621
Amaya Holdings BV, Term Loan B, 1st Lien (Canada)
(LIBOR plus 3.50%)
5.19%		08/01/21	^1,2		1,486,031		1,496,478
Caesars Entertainment Operating Co., Inc., Term Loan B-EXIT, 1st Lien
(LIBOR plus 2.50%)
4.07%		10/07/24	¹		500,000		501,173
Caesars Resort Collection LLC, Term Loan, 1st Lien
(LIBOR plus 2.75%)
4.34%		12/22/24	¹		1,500,000		1,508,573
Churchill Downs, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.56%		12/12/24	¹		1,565,000		1,568,913
Cyan Blue Holdco 3 Ltd., Term Loan, 1st Lien
(LIBOR plus 3.50%)
5.19%		08/25/24	¹		995,000		1,002,776
Gateway Casinos & Entertainment Ltd., Term Loan B1, 1st Lien
(LIBOR plus 3.75%)
5.44%		02/22/23	¹		995,000		1,005,258
Golden Entertainment, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.00%)
4.51%		10/20/24	¹		1,500,000		1,504,373
Golden Entertainment, Inc., Term Loan, 2nd Lien
(LIBOR plus 7.00%)
8.51%		10/20/25	¹		500,000		504,687
Greektown Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 2.75%)
4.32%		04/25/24	¹		1,492,500		1,492,813
Las Vegas Sands LLC, Term Loan, 1st Lien
(LIBOR plus 2.00%)
3.57%		03/29/24	¹		1,950,300		1,962,743
Penn National Gaming, Inc., Term Loan B, 1st Lien


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Gaming (continued)
(LIBOR plus 2.50%)
4.07%		01/19/24	¹	$	1,885,000	$	1,895,132
Station Casinos LLC, Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.06%		06/08/23	¹		1,435,003		1,439,279
Tropicana Entertainment, Inc., Term Loan, 1st Lien
(LIBOR plus 3.00%)
4.57%		11/27/20	¹		460,000		463,450
Yonkers Racing Corp., Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.82%		05/31/24	¹		1,468,950		1,476,757


							18,305,026

Health Care — 11.94%
Acadia Healthcare Co., Inc., Term Loan B1, 1st Lien
(LIBOR plus 2.75%)
4.32%		02/11/22	¹		954,600		961,282
Acadia Healthcare Co., Inc., Term Loan B2, 1st Lien
(LIBOR plus 2.75%)
4.14%		02/16/23	¹		289,351		291,376
Air Medical Group Holdings, Inc., Term Loan B1, 1st Lien
(LIBOR plus 4.00%)
5.67%		04/28/22	¹		994,960		996,328
American Renal Holdings, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.82%		06/14/24	¹		1,483,230		1,473,344
BCPE Eagle Buyer LLC, Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.82%		03/13/24	¹		1,390,248		1,362,443
Carestream Dental Equipment, Inc., Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.94%		09/01/24	¹		997,500		997,500
CHS/Community Health Systems, Inc., Term Loan G, 1st Lien
(LIBOR plus 2.75%)
4.23%		12/31/19	¹		241,129		234,115
DaVita, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.75%)
4.32%		06/24/21	¹		965,000		974,047
Endo Luxembourg Finance I Co. SARL, Term Loan B, 1st Lien (Luxembourg)
(LIBOR plus 4.25%)
5.88%		04/29/24	^1,2		1,243,750		1,253,470


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
Genoa Healthcare LLC, Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.82%		10/30/23	¹	$	497,500	$	501,231
Gilead Sciences, Inc., Term Loan
(LIBOR plus 1.00%)
2.34%		09/08/22	¹		750,000		750,000
Greatbatch Ltd. Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.66%		10/27/22	¹		1,200,760		1,211,639
Halyard Health, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.75%)
4.32%		11/01/21	¹		591,121		594,815
HCA, Inc., Term Loan B9, 1st Lien
(LIBOR plus 2.00%)
3.57%		03/17/23	¹		750,043		754,209
Heartland Dental LLC, Term Loan, 1st Lien
(LIBOR plus 4.75%)
6.45%		07/28/23	¹		1,500,000		1,522,507
Lantheus Medical Imaging, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.75%)
5.32%		06/30/22	¹		992,500		1,001,393
Medical Solutions Holdings, Inc., Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.82%		06/14/24	¹		995,000		1,006,194
Millennium Health Holdco, Inc., Term Loan, 1st Lien
(LIBOR plus 6.50%)
8.07%		12/21/20	¹		1,676,256		680,283
MPH Acquisition Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 3.00%)
4.69%		06/07/23	¹		1,320,605		1,324,732
Navicure, Inc., Term Loan, 1st Lien
(LIBOR plus 3.75%)
5.11%		10/23/24	¹		1,500,000		1,500,000
NMSC Holdings, Inc., Term Loan B, 1st Lien
(LIBOR plus 5.00%)
6.69%		04/19/23	¹		677,338		667,178
Pharmerica Corp., Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.90%		09/26/24	¹		1,000,000		1,006,500
Prospect Medical Holdings, Inc., Term Loan B, 1st Lien
(LIBOR plus 6.00%)
7.50%		06/30/22	^1,4,5		987,475		1,001,053
Surgery Center Holdings, Inc., Term Loan, 1st Lien


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
(LIBOR plus 3.25%)
4.82%		09/02/24	¹	$	748,125	$	741,579
Tecomet, Inc., Term Loan B, 1st Lien
(PRIME plus 2.50%)
7.00%		05/01/24	¹		1,247		1,261
(LIBOR plus 3.50%)
4.88%		05/01/24	¹		496,253		501,836
UIC Merger Sub, Inc., Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.82%		08/30/24	¹		997,500		986,902
Valeant Pharmaceuticals International, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.94%		04/01/22	¹		1,270,487		1,290,047
Western Dental Services, Inc., Term Loan B, 1st Lien
(LIBOR plus 4.50%)
6.07%		06/30/23	¹		1,246,867		1,257,391
(LIBOR plus 5.25%)
6.82%		06/30/23	¹		1,492,500		1,505,097
Wink Holdco, Inc., Term Loan, 1st Lien
(LIBOR plus 3.00%)
4.49%		12/01/24	¹		250,000		251,720
Wink Holdco, Inc., Term Loan, 2nd Lien
(LIBOR plus 6.75%)
8.24%		12/01/25	¹		250,000		253,125
WW Medical & Healthcare Holdings Corp., Term Loan, 1st Lien
(LIBOR plus 3.75%)
		10/27/24	¹		1,000,000		1,008,125


							29,862,722

Industrials — 11.64%
Agro Merchants Intermediate Holdings LLC, Term Loan, 1st Lien
(LIBOR plus 3.75%)
5.32%		12/06/24	¹		1,545,000		1,560,450
Berlin Packaging LLC, Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.77%		10/01/21	¹		987,323		995,276
Berry Plastics Corp., Term Loan M, 1st Lien
(LIBOR plus 2.25%)
3.77%		10/03/22	¹		500,000		502,595
Berry Plastics Corp., Term Loan N, 1st Lien
(LIBOR plus 2.25%)
3.68%		01/19/24	¹		496,250		498,865
Casella Waste Systems, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.99%		10/17/23	¹		495,000		497,787


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Industrials (continued)
Clean Harbors, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.57%		06/30/24	¹	$	845,750	$	851,565
Coveris Holdings SA, Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.94%		06/29/22	¹		1,038,942		1,042,027
CPI Holdco LLC, Term Loan, 1st Lien
(LIBOR plus 3.50%)
5.19%		03/21/24	¹		1,985,004		2,004,238
Greenlight Merger Corp., Term Loan B, 1st Lien
(LIBOR plus 4.50%)
6.12%		05/31/24	¹		497,500		502,475
Infiltrator Water Technologies LLC, Term Loan B, 1st Lien
(LIBOR plus 3.00%)
4.69%		05/27/22	¹		1,465,669		1,478,193
Jade Germany GMBH, Term Loan, 1st Lien (Germany)
(LIBOR plus 5.50%)
7.19%		05/31/23	^1,2		995,000		998,731
Jason, Inc., Term Loan, 1st Lien
(LIBOR plus 4.50%)
6.19%		06/30/21	¹		243,987		239,006
Kloeckner Pentaplast of America, Inc., Term Loan B, 1st Lien
(LIBOR plus 4.25%)
5.94%		06/30/22	¹		1,037,400		1,049,232
Macdermid, Inc., Term Loan B6, 1st Lien
(LIBOR plus 3.00%)
4.57%		06/07/23	¹		771,621		776,540
Multi-Color Corp., Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.82%		10/31/24	¹		500,000		504,063
OSG Bulk Ships, Inc., Term Loan B-Exit, 1st Lien
(LIBOR plus 4.25%)
5.65%		08/05/19	¹		793,985		770,165
Penn Engineering & Manufacturing Corp., Term Loan B, 1st Lien
(LIBOR plus 2.75%)
4.32%		06/27/24	¹		746,250		749,981
PGT Innovations, Inc., Term Loan, 1st Lien
(LIBOR plus 4.75%)
6.21%		02/16/22	¹		414,769		420,990
Pike Corp., Term Loan B, 1st Lien
(LIBOR plus 3.50%)
5.07%		09/20/24	¹		498,750		506,645
PKC Holding Corp., Term Loan, 1st Lien


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Industrials (continued)
(LIBOR plus 3.50%)
4.83%		05/08/24	¹	$	497,500	$	498,122
Ply Gem Industries, Inc., Term Loan, 1st Lien
(LIBOR plus 3.00%)
4.69%		02/01/21	^1,4,5		248,692		250,816
PLZ Aeroscience Corp., Term Loan, 1st Lien
(LIBOR plus 3.50%)
5.15%		07/31/22	¹		1,726,271		1,743,801
PrimeLine Utility Services LLC, Term Loan B, 1st Lien
(LIBOR plus 5.50%)
6.88%		11/14/22	¹		1,975,936		1,987,880
ProAmpac PG Borrower LLC, Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.95%		11/20/23	¹		1,488,750		1,503,176
SIG Combibloc U.S. Acquisition, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.00%)
4.57%		03/11/22	¹		1,134,022		1,140,792
Synagro Infrastructure, Term Loan, 1st Lien
(LIBOR plus 5.25%)
6.94%		08/21/20	^1,4,5		923,372		867,587
Transcendia Holdings, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.50%)
5.07%		05/30/24	¹		1,496,250		1,508,100
TransDigm, Inc., Term Loan F, 1st Lien
(LIBOR plus 2.75%)
4.36%		06/09/23	¹		487,566		488,850
TricorBraun, Inc., Delayed-Draw Term Loan, 1st Lien
(LIBOR plus 3.75%)
5.39%		11/30/23	¹		136,023		135,811
TricorBraun, Inc., Term Loan, 1st Lien
(LIBOR plus 3.75%)
5.44%		11/30/23	¹		1,350,000		1,347,894
Tyco International Holdings SARL, Term Loan, 1st Lien
(LIBOR plus 1.75%)
3.09%		03/06/20	^1,4,5		662,625		662,005
Zebra Technologies Corp., Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.37%		10/27/21	¹		278,414		279,982
Zep, Inc., Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.38%		08/12/24	¹		748,125		755,296


							29,118,936


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Information Technology — 8.18%
Aclara Technologies LLC, Term Loan B, 1st Lien
(LIBOR plus 5.75%)
7.23%		08/29/23	^1,4,5	$	1,729,366	$	1,738,012
Ascend Learning LLC, Term Loan B, 1st Lien
(LIBOR plus 3.00%)
4.57%		07/12/24	¹		997,500		1,004,567
Change Healthcare Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 2.75%)
4.32%		03/01/24	¹		992,500		995,418
Ciena Corp., Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.00%		01/28/22	¹		200,261		201,262
Coral-US Co-Borrower LLC, Term Loan B3, 1st Lien
(LIBOR plus 3.50%)
5.07%		01/31/25	¹		500,000		501,173
Dell International LLC, Term Loan A3, 1st Lien
(LIBOR plus 1.50%)
3.07%		12/31/18	¹		399,410		399,741
Dell International LLC, Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.57%		09/07/23	¹		1,363,326		1,364,260
Digicert Holdings, Inc., Term Loan, 1st Lien
(LIBOR plus 4.75%)
6.13%		10/31/24	¹		1,000,000		1,014,060
Explorer Holdings, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.75%)
5.13%		05/02/23	¹		989,975		999,256
First Data Corp., Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.80%		07/08/22	¹		274,858		275,356
3.80%		04/26/24	¹		1,528,184		1,530,507
Leidos Innovations Corp., Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.63%		08/16/23	¹		742,500		749,929
Maxlinear, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.98%		05/12/24	¹		417,647		420,257
Oberthur Technologies Group SAS, Term Loan B1, 1st Lien
(LIBOR plus 3.75%)
5.44%		01/10/24	¹		1,488,750		1,476,341
ON Semiconductor Corp., Term Loan B, 1st Lien


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
(LIBOR plus 2.00%)
3.57%		03/31/23	¹	$	757,415	$	761,793
Peak 10 Holding Corp., Term Loan, 1st Lien
(LIBOR plus 3.50%)
5.19%		08/01/24	¹		249,375		249,648
Project Alpha Intermediate Holdings Inc., Term Loan B, 1st Lien
(LIBOR plus 3.50%)
5.04%		04/26/24	¹		995,000		975,513
Quintiles IMS, Inc., Term Loan B2, 1st Lien
(LIBOR plus 2.00%)
3.69%		01/17/25	¹		997,500		1,003,290
Sophia LP, Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.94%		09/30/22	¹		1,203,351		1,206,113
SS&C European Holdings SARL, Term Loan B2, 1st Lien
(LIBOR plus 2.25%)
3.82%		07/08/22	¹		15,790		15,920
SS&C Technologies, Inc., Term Loan B1, 1st Lien
(LIBOR plus 2.25%)
3.82%		07/08/22	¹		840,774		847,693
TierPoint LLC, Term Loan, 1st Lien
(LIBOR plus 3.75%)
5.32%		05/06/24	¹		1,725,024		1,716,408
Vantiv LLC, Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.48%		08/09/24	¹		780,855		786,005
Vantiv LLC, Term Loan B1, 1st Lien
(LIBOR plus 2.00%)
		08/07/24	¹		219,145		220,470


							20,452,992

Insurance — 0.65%
Alliant Holdings Intermediate LLC, Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.80%		08/12/22	¹		634,250		638,018
Assured Partners, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.50%)
5.07%		10/22/24	¹		491,526		495,315
Hyperion Insurance Group Ltd., Term Loan B, 1st Lien
(LIBOR plus 3.50%)
5.06%		12/20/24	¹		500,000		501,563


							1,634,896


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Materials — 0.95%
Archroma Finance SARL,Term Loan B2, 1st Lien (Switzerland)
(LIBOR plus 4.25%)
5.60%		08/12/24	^1,2	$	748,150	$	752,512
Dubois Chemicals, Inc., Term Loan, 1st Lien
(LIBOR plus 3.75%)
5.32%		03/15/24	^1,8		1,621,667		1,633,829


							2,386,341

Real Estate Investment Trust (REIT) — 1.97%
DTZ U.S. Borrower LLC, Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.71%		11/04/21	¹		452,489		447,317
Lightstone Holdco LLC, Term Loan B, 1st Lien
(LIBOR plus 4.50%)
6.07%		01/30/24	¹		456,486		459,220
Lightstone Holdco LLC, Term Loan C, 1st Lien
(LIBOR plus 4.50%)
6.07%		01/30/24	¹		28,986		29,159
MGM Growth Properties Operating
Partnership LP, Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.82%		04/25/23	¹		1,968,703		1,978,891
VICI Properties 1 LLC, Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.78%		12/13/24	¹		2,000,000		2,003,470


							4,918,057

Services — 5.56%
Aramark Services, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.57%		03/11/25	¹		2,000,000		2,012,820
CIBT Global, Inc. Term Loan, 1st Lien
(LIBOR plus 3.75%)
5.44%		06/03/24	¹		746,873		750,608
ESH Hospitality, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.82%		08/30/23	¹		1,481,316		1,487,256
Global Payments, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.57%		04/21/23	¹		256,281		258,284
International Car Wash Group, Term Loan, 1st Lien
(LIBOR plus 3.50%)
4.88%		10/03/24	¹		1,000,000		1,005,000


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Services (continued)
Mister Car Wash Holdings, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.63%		08/20/21	¹	$	1,481,460	$	1,488,245
PODS LLC, Term Loan B, 1st Lien
(LIBOR plus 3.00%)
4.40%		11/21/24	¹		1,346,625		1,356,725
Prime Security Services Borrower LLC, Term Loan, 1st Lien
(LIBOR plus 2.75%)
4.32%		05/02/22	¹		1,133,586		1,143,272
St. George’s University Scholastic Services LLC, Term Loan B, 1st Lien
(LIBOR plus 4.25%)
5.81%		07/06/22	¹		462,957		469,034
TKC Holdings, Inc., Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.67%		02/01/23	¹		1,985,000		2,002,984
USIC Holdings, Inc., Term Loan, 1st Lien
(LIBOR plus 3.50%)
5.00%		12/08/23	¹		990,000		997,118
WorldStrides, Inc., Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.59%		12/08/24	^1,9		923,913		934,113


							13,905,459

Transportation — 2.21%
Air Canada, Term Loan B, 1st Lien (Canada)
(LIBOR plus 2.25%)
3.74%		10/06/23	^1,2		997,500		1,003,939
American Airlines, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.55%		06/27/20	¹		960,394		962,094
Arctic LNG Carriers Ltd., Term Loan B, 1st Lien
(LIBOR plus 4.50%)
6.07%		05/18/23	¹		497,500		502,167
Commercial Barge Line Co., Term Loan B, 1st Lien
(LIBOR plus 8.75%)
10.32%		11/12/20	¹		192,105		112,242
Delta Air Lines, Inc., Term Loan B1, 1st Lien
(LIBOR plus 2.50%)
3.99%		10/18/18	¹		488,432		491,790
International Seaways, Inc., Term Loan, 1st Lien
(LIBOR plus 5.50%)
6.85%		06/22/22	¹		1,490,625		1,496,215


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Transportation (continued)
Navios Maritime Partners LP, Term Loan B, 1st Lien (Greece)
(LIBOR plus 5.00%)
6.54%		09/14/20	^1,2	$	965,546	$	965,426


							5,533,873

Total Bank Loans
(Cost $220,381,425)							220,122,460


CORPORATES — 4.07%*
Communications — 0.70%
Altice U.S. Finance I Corp.
5.50%		05/15/26	¹⁰		500,000		510,625
CSC Holdings LLC
6.75%		11/15/21			1,000,000		1,075,000
Sprint Communications, Inc.
9.00%		11/15/18	¹⁰		148,000		156,140


							1,741,765

Finance — 1.32%
Citigroup, Inc.
(LIBOR USD 3-Month plus 0.55%)
2.01%		08/25/36	¹		1,800,000		1,538,818
General Electric Corp. (MTN)
(LIBOR USD 3-Month plus 0.48%)
1.90%		08/15/36	¹		850,000		739,308
Goldman Sachs Group, Inc. (MTN) (The)
3.85%		07/08/24			980,000		1,016,724


							3,294,850

Gaming — 0.10%
Golden Nugget, Inc.
6.75%		10/15/24	¹⁰		250,000		255,000


Health Care — 0.74%
Actavis Funding SCS (Luxembourg)
(LIBOR USD 3-Month plus 1.08%)
2.63%		03/12/18	^1,2		700,000		701,042
CHS/Community Health Systems, Inc.
5.13%		08/01/21			250,000		225,938
Surgery Center Holdings, Inc.
6.75%		07/01/25	¹⁰		500,000		475,000
Valeant Pharmaceuticals International, Inc.
(Canada)
6.13%		04/15/25	^2,10		500,000		461,250


							1,863,230

Issues

Maturity
Date

Principal

Amount

Value

CORPORATES (continued)

Industrials — 0.64%

Sealed Air Corp.

5.25%

04/01/23

¹⁰

1,500,000

1,605,000

Retail — 0.28%

Cumberland Farms, Inc.

6.75%

05/01/25

¹⁰

650,000

689,813

Transportation — 0.29%

American Airlines Pass-Through Trust, Series 2013-2, Class B

5.60%

07/15/20

¹⁰

707,445

733,762

Total Corporates

(Cost $9,848,988)

10,183,420

MUNICIPAL BONDS — 0.18%*

California — 0.18%

State of California, Build America Bonds

7.95%

03/01/36

400,000

446,868

Total Municipal Bonds

(Cost $446,635)

Total Bonds – 92.26%

(Cost $230,677,048)

230,752,748

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 12.10%

Foreign Government Obligations — 2.13%

Japan Treasury Discount Bill, Series 722 (Japan)

0.00%¹¹

02/26/18

600,000,000

5,327,393

Money Market Funds — 2.15%

Morgan Stanley Institutional Liquidity Funds-Government Portfolio

1.20%¹²

5,364,000

U.S. Treasury Bills — 7.82%

U.S. Treasury Bills

0.94%¹¹

01/25/18

11,600,000

11,590,921

1.28%¹¹

04/19/18

8,000,000

7,966,827

19,557,748

Total Short-Term Investments

(Cost $30,276,531)

30,249,141



	Value
Total Investments – 104.36%
(Cost $260,953,579)	$	261,001,889


Net unrealized appreciation on unfunded commitments (0.00)%		2,784

Liabilities in Excess of Other
Assets – (4.36)%		(10,895,157	)


Net Assets – 100.00%	$	250,109,516

¹	Floating rate security. The rate disclosed was in effect at December 31, 2017.

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

³	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $59,921, at an interest rate of LIBOR plus 3.75% and a maturity of September 18, 2024. The investment is accruing an unused commitment fee of 0.25% per annum.

⁴	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $8,618,930, which is 3.45% of total net assets.

⁶	Non-income producing security.

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

⁸	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $117,542, at an interest rate of LIBOR plus 1.00% and a maturity of March 15, 2024. The investment is accruing an unused commitment fee of 0.50% per annum.

⁹	Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $76,927, at an interest rate of LIBOR plus 1.00% and a maturity of December 8, 2024. The investment is accruing an unused commitment fee of 0.25% per annum.

¹⁰	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.

¹¹	Represents annualized yield at date of purchase.

¹²	Represents the current yield as of December 31, 2017.

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

(JPY): Japanese Yen

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(USD): U.S. dollar


Issues	Maturity Date			Principal Amount		Value
BONDS – 90.81%
BANK LOANS — 9.02%*
Communications — 0.99%
Colorado Buyer, Inc., Term Loan, 1st Lien
(LIBOR plus 3.00%)
4.38%		05/01/24	¹	$	925,350	$	932,387
Colorado Buyer, Inc., Term Loan, 2nd Lien
(LIBOR plus 7.25%)
8.63%		05/01/25	¹		480,000		486,900
Intelsat Jackson Holdings SA, Term Loan B5, 1st Lien (Luxembourg)
6.63%		01/15/24	^1,2		4,610,000		4,666,680
NEP/NCP Holdco, Term Loan, 2nd Lien
(LIBOR plus 7.00%)
8.43%		01/23/23	¹		522,598		527,171


							6,613,138

Consumer Discretionary — 1.88%
Alphabet Holding Co., Inc., Term Loan, 1st Lien
(LIBOR plus 3.50%)
5.07%		09/26/24	¹		2,769,559		2,686,472
BC ULC/New Red Finance, Inc., Term Loan B, 1st Lien (Canada)
(LIBOR plus 2.25%)
3.87%		02/16/24	^1,2		4,962,422		4,966,392
CityCenter Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.07%		04/18/24	¹		3,457,625		3,477,299
Petco Animal Supplies, Inc., Term Loan B1, 1st Lien
(LIBOR plus 3.00%)
4.38%		01/26/23	¹		1,855,000		1,408,641


							12,538,804

Electric — 0.59%
Dynegy, Inc., Term Loan C, 1st Lien
(LIBOR plus 2.75%)
4.25%		02/07/24	¹		925,000		930,527
Homer City Generation LP, Term Loan B, 1st Lien
(LIBOR plus 11.00%)
12.57%		04/05/23	^1,3,4		1,095,654		955,043
Vistra Energy Co. LLC, Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.02%		08/04/23	¹		1,764,631		1,776,215
Vistra Energy Co. LLC, Term Loan C, 1st Lien
(LIBOR plus 2.50%)
3.83%		08/04/23	¹		312,711		314,764


							3,976,549


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Energy — 0.41%
Drillship Kithira Owners, Inc., Term Loan Exit, 1st Lien (Cayman Islands)
8.00%		09/20/24	^1,2	$	233,360	$	236,133
Harvey Gulf International Marine LLC, Term Loan B, 1st Lien⁵
(PRIME plus 3.50%)
8.00%		06/18/20	^1,3,4,6		3,704,906		1,491,225
Power Buyer LLC, Term Loan, 2nd Lien
(LIBOR plus 7.25%)
8.94%		11/06/20	^1,3,4		1,015,000		1,019,441


							2,746,799

Finance — 0.15%
UFC Holdings LLC, Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.81%		08/18/23	¹		990,000		996,653

Gaming — 0.51%
Churchill Downs, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.56%		12/12/24	¹		3,400,000		3,408,500

Health Care — 0.71%
Air Medical Group Holdings, Inc., Term Loan B1, 1st Lien
(LIBOR plus 4.00%)
5.67%		04/28/22	¹		1,492,440		1,494,492
BCPE Eagle Buyer LLC, Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.82%		03/13/24	¹		461,513		452,282
BCPE Eagle Buyer LLC, Term Loan, 2nd Lien
(LIBOR plus 8.00%)
9.35%		03/13/25	¹		465,000		463,838
Pharmerica Corp., Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.90%		09/26/24	¹		925,000		931,013
Pharmerica Corp., Term Loan B, 2nd Lien
(LIBOR plus 1.40%)
9.15%		09/26/25	¹		925,000		934,250
Wink Holdco, Inc., Term Loan, 2nd Lien
(LIBOR plus 6.75%)
8.24%		12/01/25	¹		500,000		506,250


							4,782,125

Industrials — 0.66%
Agro Merchants Intermediate Holdings LLC, Term Loan, 1st Lien


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Industrials (continued)
(LIBOR plus 3.75%)
5.32%		12/06/24	¹	$	1,760,000	$	1,777,600
Synagro Infrastructure, Term Loan, 1st Lien
(LIBOR plus 5.25%)
6.94%		08/21/20	^1,3,4		2,813,605		2,643,621


							4,421,221

Information Technology — 1.80%
First Data Corp., Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.80%		07/08/22	¹		3,000,000		3,005,445
3.80%		04/26/24	¹		6,689,948		6,700,116
TierPoint LLC, Term Loan, 1st Lien
(LIBOR plus 3.75%)
5.32%		05/06/24	¹		2,337,026		2,325,352


							12,030,913

Retail — 1.04%
Family Tree Escrow LLC, Term Loan B2, 1st Lien
4.25%		07/06/22	¹		6,900,000		6,960,375

Services — 0.28%
Mister Car Wash Holdings, Inc., Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.63%		08/20/21	¹		1,832,073		1,840,464

Total Bank Loans
(Cost $62,548,724)							60,315,541


CORPORATES — 79.00%*
Automotive — 0.16%
Tenneco, Inc.
5.00%		07/15/26			1,056,000		1,085,040

Banking — 1.26%
Ally Financial, Inc.
3.25%		11/05/18			3,845,000		3,857,016
4.75%		09/10/18			4,530,000		4,592,287


							8,449,303

Commercial Services — 0.26%
Brink’s Co. (The)
4.63%		10/15/27	⁷		1,137,000		1,117,103
IHS Markit Ltd. (Bermuda)
4.00%		03/01/26	^2,7		628,000		630,355


							1,747,458

Communications — 22.45%
Altice Financing SA (Luxembourg)
7.50%		05/15/26	^2,7		1,300,000		1,387,750


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Altice U.S. Finance I Corp.
5.38%		07/15/23	⁷	$	1,500,000	$	1,537,500
5.50%		05/15/26	⁷		3,515,000		3,589,694
AMC Networks, Inc.
4.75%		08/01/25			1,818,000		1,808,910
Cable One, Inc.
5.75%		06/15/22	⁷		4,080,000		4,222,800
CCO Holdings LLC/CCO Holdings Capital Corp.
4.00%		03/01/23	⁷		2,747,000		2,726,397
5.00%		02/01/28	⁷		8,979,000		8,788,196
Cequel Communications Holdings I LLC/Cequel Capital Corp.
5.13%		12/15/21	⁷		575,000		579,313
5.13%		12/15/21	^3,4,7		500,000		501,875
CSC Holdings LLC
5.50%		04/15/27	⁷		1,000,000		1,022,500
7.63%		07/15/18			6,540,000		6,695,325
8.63%		02/15/19			3,076,000		3,252,870
DISH DBS Corp.
5.13%		05/01/20			247,000		253,484
7.88%		09/01/19			6,525,000		6,998,063
EW Scripps Co.(The)
5.13%		05/15/25	⁷		1,304,000		1,304,000
Frontier Communications Corp.
6.25%		09/15/21			713,000		508,013
7.13%		01/15/23			3,911,000		2,593,482
8.50%		04/15/20			731,000		608,557
10.50%		09/15/22			1,250,000		948,437
GTT Communications, Inc.
7.88%		12/31/24	⁷		23,000		24,437
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	²		8,737,000		7,164,340
9.75%		07/15/25	^2,7		2,500,000		2,412,500
Lamar Media Corp.
5.75%		02/01/26			1,700,000		1,821,125
Level 3 Financing, Inc.
5.25%		03/15/26			1,823,000		1,793,923
5.38%		01/15/24			5,835,000		5,842,294
5.63%		02/01/23			320,000		323,200
Midcontinent Communications & Midcontinent Finance Corp.
6.88%		08/15/23	⁷		1,855,000		1,976,734
Numericable-SFR SA (France)
7.38%		05/01/26	^2,7		4,080,000		4,202,400
Qualitytech LP/QTS Finance Corp.
4.75%		11/15/25	⁷		300,000		303,750
Qwest Corp.
6.75%		12/01/21			4,210,000		4,546,800


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Sinclair Television Group, Inc.
5.38%		04/01/21		$	5,350,000	$	5,457,000
Sirius XM Radio, Inc.
3.88%		08/01/22	⁷		6,592,000		6,649,021
Softbank Group Corp. (Japan)
4.50%		04/15/20	^2,7		5,615,000		5,748,637
Sprint Communications, Inc.
9.00%		11/15/18	⁷		11,319,000		11,941,545
9.25%		04/15/22			2,000,000		2,395,000
Sprint Corp.
7.63%		02/15/25			1,850,000		1,937,875
7.88%		09/15/23			4,840,000		5,166,700
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	⁷		7,094,063		7,129,533
TEGNA, Inc.
5.13%		10/15/19			2,980,000		3,026,637
T-Mobile USA, Inc.
4.00%		04/15/22			500,000		513,750
6.13%		01/15/22			3,343,000		3,456,662
6.84%		04/28/23			10,030,000		10,531,500
Univision Communications, Inc.
5.13%		02/15/25	⁷		2,533,000		2,476,007
Virgin Media Secured Finance PLC (United Kingdom)
5.50%		08/15/26	^2,7		3,244,000		3,325,100
Windstream Services LLC/ Windstream Finance Corp.
6.38%		08/01/23			995,000		611,925


							150,105,561

Consumer Discretionary — 6.94%
Central Garden & Pet Co.
5.13%		02/01/28			5,750,000		5,742,813
6.13%		11/15/23			2,600,000		2,765,750
First Quality Finance Co., Inc.
4.63%		05/15/21	⁷		5,737,000		5,794,370
GLP Capital LP/GLP Financing II, Inc.
4.38%		11/01/18			8,935,000		9,046,687
High Ridge Brands Co.
8.88%		03/15/25	⁷		400,000		358,000
KFC Holding Co./Pizza Hut Holdings LLC/ Taco Bell of America LLC
4.75%		06/01/27	⁷		170,000		174,250
KFC Holding Co/Pizza Hut Holdings LLC/ Taco Bell of America LLC
5.00%		06/01/24	⁷		80,000		82,700
NCL Corp. Ltd. (Bermuda)
4.75%		12/15/21	^2,7		1,845,000		1,914,187


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Nielsen Co. Luxembourg SARL (The) (Luxembourg)
5.50%		10/01/21	^2,7	$	5,020,000	$	5,183,150
Nielsen Finance LLC/Nielsen Finance Co.
5.00%		04/15/22	⁷		785,000		807,569
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
(LIBOR USD 3-Month plus 3.50%)
4.86%		07/15/21	^1,7		12,500,000		12,718,750
Spectrum Brands, Inc.
6.13%		12/15/24			1,550,000		1,646,875
6.63%		11/15/22			155,000		160,813


							46,395,914

Electric — 0.43%
GenOn Americas Generation LLC⁵
8.50%		10/01/21	^3,4,6		1,200,000		1,158,000
Indiantown Cogeneration LP, Series A-10
9.77%		12/15/20	^3,4		312,717		339,298
NextEra Energy Operating Partners LP
4.50%		09/15/27	⁷		1,400,000		1,405,250


							2,902,548

Energy — 9.07%
Antero Resources Corp.
5.00%		03/01/25			726,000		743,279
Centennial Resource Production LLC
5.38%		01/15/26	⁷		5,175,000		5,284,969
Cheniere Corpus Christi Holdings LLC
5.13%		06/30/27			1,165,000		1,207,989
Cheniere Energy Partners LP
5.25%		10/01/25	⁷		690,000		703,800
Chesapeake Energy Corp.
5.75%		03/15/23			1,000,000		930,000
CrownRock LP/CrownRock Finance, Inc.
5.63%		10/15/25	⁷		1,320,000		1,326,666
Diamondback Energy, Inc.
4.75%		11/01/24			166,000		167,867
5.38%		05/31/25			695,000		719,325
Endeavor Energy Resources LP/EER Finance, Inc.
5.75%		01/30/28	⁷		1,285,000		1,324,514
Energy Transfer Equity LP
4.25%		03/15/23			3,390,000		3,364,575
EP Energy LLC/EP Energy Finance, Inc.
9.38%		05/01/20			955,000		811,750
Extraction Oil & Gas, Inc.
7.38%		05/15/24	⁷		464,000		497,640
Gulfport Energy Corp.
6.38%		05/15/25			300,000		302,625


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Kinder Morgan Energy Partners LP
2.65%		02/01/19		$	4,640,000	$	4,650,644
MEG Energy Corp. (Canada)
7.00%		03/31/24	^2,7		1,250,000		1,060,937
Newfield Exploration Co.
5.38%		01/01/26			1,786,000		1,902,090
5.63%		07/01/24			522,000		562,455
5.75%		01/30/22			100,000		107,250
NGPL Pipe Co. LLC
4.38%		08/15/22	⁷		5,000,000		5,103,125
Parsley Energy LLC/Parsley Finance Corp.
5.25%		08/15/25	⁷		4,298,000		4,330,235
5.38%		01/15/25	⁷		750,000		761,250
5.63%		10/15/27	⁷		700,000		714,875
PDC Energy, Inc.
6.13%		09/15/24			787,000		818,480
QEP Resources, Inc.
5.25%		05/01/23			1,000,000		1,016,860
Range Resources Corp.
4.88%		05/15/25			439,000		425,830
Rockies Express Pipeline LLC
5.63%		04/15/20	⁷		4,553,000		4,792,033
6.00%		01/15/19	⁷		2,765,000		2,854,863
Seven Generations Energy Ltd. (Canada)
5.38%		09/30/25	^2,7		1,220,000		1,233,725
Seventy Seven Energy, Inc.⁵
6.50%		01/01/49	^3,4,6		1,291,000		—
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.
7.50%		06/15/25	⁷		740,000		775,150
Sunoco LP/Sunoco Finance Corp.
5.50%		08/01/20			3,145,000		3,237,384
Transocean Proteus Ltd. (Cayman Islands)
6.25%		12/01/24	^2,7		5,782,500		6,086,081
Whiting Petroleum Corp.
5.00%		03/15/19			550,000		564,369
Williams Cos., Inc. (The)
3.70%		01/15/23			1,695,000		1,695,000
WPX Energy, Inc.
5.25%		09/15/24			400,000		400,140
6.00%		01/15/22			157,000		164,458


							60,642,233

Finance — 1.81%
CIT Group, Inc.
5.50%		02/15/19	⁷		618,000		636,540
International Lease Finance Corp.
6.25%		05/15/19			4,000,000		4,192,997
7.13%		09/01/18	⁷		2,892,000		2,984,183


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Midas Intermediate Holdco II LLC/ Midas Intermediate Holdco II Finance, Inc.
7.88%		10/01/22	⁷	$	3,759,000	$	3,805,987
Trident Merger Sub, Inc.
6.63%		11/01/25	⁷		473,000		473,000


							12,092,707

Food — 1.04%
B&G Foods, Inc.
4.63%		06/01/21			1,360,000		1,383,800
Chobani LLC/Chobani Finance Corp., Inc.
7.50%		04/15/25	⁷		45,000		47,813
Dole Food Co., Inc.
7.25%		06/15/25	⁷		513,000		557,246
FAGE International SA/FAGE USA Dairy Industry, Inc. (Luxembourg)
5.63%		08/15/26	^2,7		360,000		348,300
Kraft Heinz Foods Co.
4.88%		02/15/25	⁷		579,000		614,143
Lamb Weston Holdings, Inc.
4.63%		11/01/24	⁷		720,000		745,200
Pilgrim’s Pride Corp.
5.88%		09/30/27	⁷		880,000		908,600
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.
5.88%		01/15/24			75,000		79,687
Post Holdings, Inc.
5.75%		03/01/27	⁷		1,996,000		2,035,920
TreeHouse Foods, Inc.
6.00%		02/15/24	⁷		192,000		200,640


							6,921,349

Gaming — 1.52%
Boyd Gaming Corp.
6.88%		05/15/23			1,083,000		1,152,041
CCM Merger, Inc.
6.00%		03/15/22	⁷		1,225,000		1,261,750
Eldorado Resorts, Inc.
6.00%		04/01/25			1,400,000		1,477,000
Golden Nugget, Inc.
6.75%		10/15/24	⁷		350,000		357,000
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.
6.13%		08/15/21	⁷		3,143,000		3,127,285
Sugarhouse HSP Gaming Prop Mezz LP/ Sugarhouse HSP Gaming Finance Corp.
5.88%		05/15/25	⁷		2,937,000		2,797,493


							10,172,569


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care — 11.57%
Acadia Healthcare Co., Inc.
6.50%		03/01/24		$	1,453,000	$	1,518,385
Catalent Pharma Solutions, Inc.
4.88%		01/15/26	⁷		3,700,000		3,723,125
Centene Corp.
4.75%		01/15/25			4,979,000		5,078,580
CHS/Community Health Systems, Inc.
5.13%		08/01/21			1,018,000		920,017
6.25%		03/31/23			8,765,000		7,932,325
DaVita, Inc.
5.13%		07/15/24			637,000		644,564
5.75%		08/15/22			165,000		169,847
Encompass Health Corp.
5.75%		11/01/24			2,355,000		2,419,763
Endo Ltd./Endo Finance LLC/ Endo Finco, Inc. (Ireland)
6.00%		02/01/25	^2,7		800,000		622,000
HCA, Inc.
3.75%		03/15/19			3,300,000		3,333,000
4.75%		05/01/23			4,069,000		4,221,587
6.50%		02/15/20			8,734,000		9,301,710
Hill-Rom Holdings, Inc.
5.75%		09/01/23	⁷		946,000		993,300
Hologic, Inc.
4.38%		10/15/25	⁷		387,000		392,805
5.25%		07/15/22	⁷		1,000,000		1,038,750
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc.
7.50%		10/01/24	⁷		1,087,000		1,176,677
Molina Healthcare, Inc.
4.88%		06/15/25	⁷		400,000		401,000
5.38%		11/15/22			3,988,000		4,177,430
MPH Acquisition Holdings LLC
7.13%		06/01/24	⁷		825,000		884,813
Polaris Intermediate Corp. (PIK)
8.50%		12/01/22	^7,8		1,590,000		1,657,575
Surgery Center Holdings, Inc.
6.75%		07/01/25	⁷		1,665,000		1,581,750
Teleflex, Inc.
4.63%		11/15/27			2,455,000		2,479,182
4.88%		06/01/26			229,000		237,587
Tenet Healthcare Corp.
4.50%		04/01/21			2,973,000		2,999,014
4.63%		07/15/24	⁷		2,900,000		2,838,375
4.75%		06/01/20			2,223,000		2,275,796
7.50%		01/01/22	⁷		1,898,000		2,000,017
Valeant Pharmaceuticals International, Inc. (Canada)
5.50%		03/01/23	^2,7		2,500,000		2,300,000


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
5.50%		11/01/25	^2,7	$	200,000	$	204,500
5.88%		05/15/23	^2,7		2,474,000		2,303,170
6.13%		04/15/25	^2,7		6,745,000		6,222,263
WellCare Health Plans, Inc.
5.25%		04/01/25			1,232,000		1,302,840


							77,351,747

Industrials — 7.54%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)
4.25%		09/15/22	^2,7		4,301,000		4,397,773
4.63%		05/15/23	^2,7		3,330,000		3,405,924
Ball Corp.
4.00%		11/15/23			3,400,000		3,485,000
4.38%		12/15/20			1,000,000		1,038,750
Berry Global, Inc.
5.13%		07/15/23			787,000		821,431
Bombardier, Inc. (Canada)
7.50%		12/01/24	^2,7		945,000		957,994
Clean Harbors, Inc.
5.13%		06/01/21			7,783,000		7,880,287
Covanta Holding Corp.
5.88%		07/01/25			607,000		611,553
Coveris Holdings SA (Luxembourg)
7.88%		11/01/19	^2,7		1,050,000		1,047,375
Crown Americas LLC/Crown Americas Capital Corp. V
4.25%		09/30/26			4,513,000		4,456,587
Graphic Packaging International, Inc.
4.88%		11/15/22			2,080,000		2,215,200
Itron, Inc.
5.00%		01/15/26	⁷		4,897,000		4,927,606
KLX, Inc.
5.88%		12/01/22	⁷		971,000		1,017,123
Multi-Color Corp.
4.88%		11/01/25	⁷		2,995,000		3,013,719
OI European Group BV (Netherlands)
4.00%		03/15/23	^2,7		5,100,000		5,119,635
Sealed Air Corp.
5.25%		04/01/23	⁷		1,632,000		1,746,240
Silgan Holdings, Inc.
4.75%		03/15/25	⁷		1,188,000		1,223,640
5.00%		04/01/20			357,000		359,231
Tennant Co.
5.63%		05/01/25	⁷		2,528,000		2,660,720


							50,385,788

Information Technology — 5.18%
CDK Global, Inc.
3.80%		10/15/19			6,553,000		6,700,443


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Information Technology (continued)
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc.
5.75%		03/01/25	⁷	$	4,902,000	$	4,911,191
Dell, Inc.
5.65%		04/15/18			4,165,000		4,206,650
EMC Corp.
1.88%		06/01/18			4,635,000		4,611,825
MSCI, Inc.
4.75%		08/01/26	⁷		75,000		78,844
NXP BV/NXP Funding LLC (Netherlands)
3.88%		09/01/22	^2,7		2,500,000		2,532,776
4.13%		06/01/21	^2,7		4,475,000		4,575,686
Quintiles IMS, Inc.
4.88%		05/15/23	⁷		4,911,000		5,101,301
Zayo Group LLC/Zayo Capital, Inc.
5.75%		01/15/27	⁷		1,903,000		1,945,818


							34,664,534

Materials — 1.71%
Axalta Coating Systems LLC
4.88%		08/15/24	⁷		5,566,000		5,851,257
Kissner Holdings LP/Kissner Milling Co. Ltd./BSC Holding, Inc./Kissner USA (Canada)
8.38%		12/01/22	^2,7		1,420,000		1,443,075
Momentive Performance Materials, Inc.⁵
8.88%		10/15/20	^3,4,6		4,625,000		—
Valvoline, Inc.
4.38%		08/15/25			3,540,000		3,579,825
5.50%		07/15/24			500,000		533,750


							11,407,907

Real Estate Investment Trust (REIT) — 0.83%
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.
5.63%		05/01/24			300,000		321,000
SBA Communications Corp.
4.00%		10/01/22	⁷		5,205,000		5,224,519


							5,545,519

Retail — 1.74%
BC ULC/New Red Finance, Inc. (Canada)
4.25%		05/15/24	^2,7		2,262,000		2,262,000
Cumberland Farms, Inc.
6.75%		05/01/25	⁷		2,658,000		2,820,803
Dollar Tree, Inc.
5.25%		03/01/20			475,000		485,593
5.75%		03/01/23			510,000		536,775
Nathan’s Famous, Inc.
6.63%		11/01/25	⁷		696,000		715,140


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Retail (continued)
Penske Automotive Group, Inc.
3.75%		08/15/20		$	3,725,000	$	3,792,516
Rite Aid Corp.
6.13%		04/01/23	⁷		553,000		501,156
Yum! Brands, Inc.
6.25%		03/15/18			540,000		545,400


							11,659,383

Services — 2.57%
Gartner, Inc.
5.13%		04/01/25	⁷		160,000		167,600
KAR Auction Services, Inc.
5.13%		06/01/25	⁷		914,000		937,993
Matthews International Corp.
5.25%		12/01/25	⁷		5,150,000		5,207,937
Ritchie Bros Auctioneers, Inc. (Canada)
5.38%		01/15/25	^2,7		450,000		465,750
Service Corp. International/U.S.
4.50%		11/15/20			2,980,000		3,013,525
5.38%		01/15/22			3,770,000		3,866,606
Service Corp. International/US
4.63%		12/15/27			2,145,000		2,181,722
United Rentals North America, Inc.
4.63%		07/15/23			1,295,000		1,345,181


							17,186,314

Transportation — 2.92%
American Airlines Pass-Through Trust, Series 2013-1, Class B
5.63%		01/15/21	⁷		4,513,922		4,687,974
Continental Airlines Pass-Through Trust, Series 2007, Class 1B
6.90%		04/19/22			1,650,983		1,744,387
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1
6.72%		01/02/23			8,033,981		8,916,039
U.S. Airways Pass-Through Trust, Series 2010-1, Class A
6.25%		04/22/23			1,450,915		1,613,872
U.S. Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24			2,325,944		2,584,613


							19,546,885


Total Corporates
(Cost $522,652,120)							528,262,759

Issues

Maturity
Date

Principal

Amount

Value

MORTGAGE-BACKED — 0.04%**

Non-Agency Mortgage-Backed — 0.04%

Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A1

(LIBOR USD 1-Month plus 0.90%)

2.45%

10/25/47

277,764

262,603

Total Mortgage-Backed

(Cost $206,696)

U.S. TREASURY SECURITIES — 2.75%

U.S. Treasury Notes — 2.75%

U.S. Treasury Notes

2.00%

11/30/22

15,975,000

15,832,067

2.13%

12/31/22

2,545,000

2,534,760

Total U.S. Treasury Securities

(Cost $18,470,664)

18,366,827

Total Bonds – 90.81%

(Cost $603,878,204)

607,207,730

Issues

Shares

Value

COMMON STOCK — 1.74%

Electric — 1.50%

Homer City Holdings LLC^3,4,7

502,908

10,058,160

Energy — 0.19%

Drillship Kithira Owners, Inc. (Cayman Islands)^2,5

40,752

1,092,154

Sabine Oil & Gas Holdings, Inc.^3,4,5,7

3,520

167,200

1,259,354

Materials — 0.00%

Warrior Met Coal, Inc.

1,296

32,594

Secured Assets — 0.05%

Entegra TC LLC^3,4,9

28,545

313,995

Total Common Stock

(Cost $32,209,759)

11,664,103

Issues

Shares

Value

WARRANT — 0.01%

Energy — 0.01%

Sabine Oil & Gas

Holdings, Inc. Warrant Tranche 1^3,4,5,7

11,165

78,155

Sabine Oil & Gas

Holdings, Inc. Warrant Tranche 2^3,4,5

1,988

11,928

90,083

Total Warrant

(Cost $2,595,507)


Issues	Maturity Date		Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 5.55%
Money Market Funds — 2.42%
Dreyfus Government Cash Management Fund
1.19%¹⁰			$	11,671,000	$	11,671,000
Morgan Stanley Institutional Liquidity Funds-Government Portfolio
1.20%¹⁰				4,505,000		4,505,000


						16,176,000

U.S. Treasury Bills — 3.13%
U.S. Treasury Bills
1.28%¹¹		04/19/18		21,000,000		20,912,922


Total Short-Term Investments
(Cost $37,095,572)						37,088,922


Total Investments – 98.11%
(Cost $675,779,042)						656,050,838


Cash and Other Assets, Less
Liabilities – 1.89%						12,625,733


Net Assets – 100.00%					$	668,676,571

¹	Floating rate security. The rate disclosed was in effect at December 31, 2017.

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

³	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁴	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $18,737,941, which is 2.80% of total net assets.

⁵	Non-income producing security.

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

⁷	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.

⁸	Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.50% cash or 9.25% payment-in-kind interest.

⁹	All or a portion of this security is owned by Metropolitan West HY Sub I LLC, a consolidated subsidiary.

¹⁰	Represents the current yield as of December 31, 2017.

¹¹ Represents annualized yield at date of purchase.

^*	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 – 94.62%
ASSET-BACKED SECURITIES — 6.21%**
Academic Loan Funding Trust, Series 2012-1A, Class A2
(LIBOR USD 1-Month plus 1.10%)
2.43%		12/27/44^1,2		$	950,000	$	949,969
Babson CLO Ltd., Series 2013-IA, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
2.43%		01/20/28	^1,2,3,†		1,315,000		1,321,578
Bayview Commercial Asset Trust, Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.37%)
1.92%		01/25/35	^1,2		604,252		597,185
Brazos Higher Education Authority, Inc., Series 2005-3, Class A16
(LIBOR USD 3-Month plus 0.20%)
1.75%		06/25/26	¹		241,697		238,896
Brazos Higher Education Authority, Inc., Series 2010-1, Class A2
(LIBOR USD 3-Month plus 1.20%)
2.66%		02/25/35	¹		650,000		665,111
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3
(LIBOR USD 3-Month plus 1.00%)
2.37%		10/27/36	¹		930,000		935,731
CIT Education Loan Trust, Series 2007-1, Class A
(LIBOR USD 3-Month plus 0.09%)
1.76%		03/25/42	^1,2		328,776		310,268
Educational Funding of the South, Inc., Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.65%)
2.02%		04/25/35	¹		407,352		407,601
GCO Education Loan Funding Trust, Series 2006-2AR, Class A1RN
(LIBOR USD 1-Month plus 0.65%)
2.20%		08/27/46	^1,2		872,187		847,714
GE Business Loan Trust, Series 2005-1A, Class A3
(LIBOR USD 1-Month plus 0.25%)
1.73%		06/15/33	^1,2		227,908		223,675
Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados)
3.09%		07/17/29	^2,3		1,102,708		1,073,098
Higher Education Funding, Series 2014-1, Class A
(LIBOR USD 3-Month plus 1.05%)
2.51%		05/25/34	^1,2		1,190,952		1,192,351
J.G. Wentworth XXX LLC, Series 2013-3A, Class A
4.08%		01/17/73	²		511,485		534,309


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
J.G. Wentworth XXXII LLC, Series 2014-2A, Class A
3.61%		01/17/73	²	$	946,750	$	964,480
Magnetite XI CLO Ltd., Series 2014-11A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.12%)
2.47%		01/18/27	^1,2,3		2,400,000		2,408,659
Magnetite XII CLO Ltd., Series 2015-12A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.33%)
2.69%		04/15/27	^1,2,3		2,390,000		2,406,238
Navient Student Loan Trust, Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.51%)
2.06%		06/25/31	¹		2,765,000		2,758,781
Navient Student Loan Trust, Series 2014-2, Class A
(LIBOR USD 1-Month plus 0.64%)
2.19%		03/25/83	¹		2,123,730		2,110,628
Navient Student Loan Trust, Series 2014-3, Class A
(LIBOR USD 1-Month plus 0.62%)
2.17%		03/25/83	¹		2,148,216		2,138,057
Navient Student Loan Trust, Series 2014-4, Class A
(LIBOR USD 1-Month plus 0.62%)
2.17%		03/25/83	¹		2,005,681		1,990,810
Navient Student Loan Trust, Series 2014-8, Class A3
(LIBOR USD 1-Month plus 0.60%)
2.15%		05/27/49	¹		4,710,000		4,727,904
Navient Student Loan Trust, Series 2016-2, Class A3
(LIBOR USD 1-Month plus 1.50%)
3.05%		06/25/65	^1,2		1,640,000		1,689,124
Navient Student Loan Trust, Series 2017-3A, Class A3
(LIBOR USD 1-Month plus 1.05%)
2.60%		07/26/66	^1,2		3,000,000		3,084,258
Nelnet Student Loan Trust, Series 2011-1A, Class A
(LIBOR USD 1-Month plus 0.85%)
2.18%		02/25/48	^1,2		1,277,522		1,283,848
Nelnet Student Loan Trust, Series 2014-4A, Class A2
(LIBOR USD 1-Month plus 0.95%)
2.50%		11/25/48	^1,2		1,370,000		1,345,366
Nelnet Student Loan Trust, Series 2015-2A, Class A2
(LIBOR USD 1-Month plus 0.60%)
2.15%		09/25/47	^1,2		3,821,218		3,794,461


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLC Student Loan Trust I, Series 2002-2, Class B2
(28 Day Auction Rate plus 0.00%)
1.61%		07/01/42	^1,2	$	650,000	$	517,017
SLC Student Loan Trust, Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.29%)
1.71%		08/15/31	¹		195,166		182,583
SLC Student Loan Trust, Series 2008-1, Class A4A
(LIBOR USD 3-Month plus 1.60%)
3.19%		12/15/32	¹		462,190		477,013
SLM Student Loan Trust I, Series 2003-10A, Class A3
(LIBOR USD 3-Month plus 0.55%)
2.06%		12/15/27	^1,2		2,235,468		2,241,815
SLM Student Loan Trust, Series 2004-2, Class B
(LIBOR USD 3-Month plus 0.47%)
1.84%		07/25/39	¹		230,939		220,305
SLM Student Loan Trust, Series 2004-3A, Class A6A
(LIBOR USD 3-Month plus 0.55%)
1.92%		10/25/64	^1,2		2,900,000		2,885,360
SLM Student Loan Trust, Series 2006-2, Class A6
(LIBOR USD 3-Month plus 0.17%)
1.54%		01/25/41	¹		925,000		897,667
SLM Student Loan Trust, Series 2006-8, Class A6
(LIBOR USD 3-Month plus 0.16%)
1.53%		01/25/41	¹		925,000		896,297
SLM Student Loan Trust, Series 2007-6, Class A4
(LIBOR USD 3-Month plus 0.38%)
1.75%		10/25/24	¹		3,218,148		3,218,213
SLM Student Loan Trust, Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
2.57%		01/25/83	¹		160,000		156,281
SLM Student Loan Trust, Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
2.57%		04/26/83	¹		160,000		157,937
SLM Student Loan Trust, Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
3.22%		04/25/73	¹		160,000		159,790
SLM Student Loan Trust, Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
3.22%		07/25/73	¹		2,210,000		2,258,449


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-6, Class A3
(LIBOR USD 3-Month plus 0.75%)
2.12%		01/25/19	¹	$	155,309	$	155,329
SLM Student Loan Trust, Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
3.22%		07/26/83	¹		160,000		160,475
SLM Student Loan Trust, Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
3.22%		07/26/83	¹		160,000		165,222
SLM Student Loan Trust, Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
3.62%		10/25/75	¹		160,000		169,156
SLM Student Loan Trust, Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
3.62%		10/25/83	¹		2,160,000		2,246,546
SLM Student Loan Trust, Series 2009-3, Class A
(LIBOR USD 1-Month plus 0.75%)
2.30%		01/25/45	^1,2		4,309,997		4,282,326
SLM Student Loan Trust, Series 2011-2, Class A2
(LIBOR USD 1-Month plus 1.20%)
2.75%		10/25/34	¹		500,000		519,258
SLM Student Loan Trust, Series 2012-3, Class A
(LIBOR USD 1-Month plus 0.65%)
2.20%		12/27/38	¹		1,564,401		1,574,522
SLM Student Loan Trust, Series 2012-7, Class A3
(LIBOR USD 1-Month plus 0.65%)
2.20%		05/26/26	¹		800,000		795,185
SLM Student Loan Trust, Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
2.10%		06/25/43	¹		406,942		409,010
Structured Receivables Finance 2 LLC, Series 2000, Class A
4.71%		04/15/48	²		2,695		2,699
Structured Receivables Finance LLC, Series 2010-A, Class B
7.61%		01/16/46	^2,†		603,590		683,253
Voya CLO Ltd., Series 2014-4A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
2.31%		10/14/26	^1,2,3		2,500,000		2,505,450


Total Asset-Backed Securities
(Cost $67,359,169)							67,937,258

Issues

Maturity
Date

Principal

Amount

Value

BANK LOANS — 0.68%*

Consumer Discretionary — 0.04%

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

(LIBOR plus 2.75%)

4.32%

02/06/23

444,386

446,986

Electric — 0.01%

Vistra Energy Co. LLC, Term Loan B, 1st Lien

(LIBOR plus 2.50%)

4.02%

08/04/23

121,653

122,451

Vistra Energy Co. LLC, Term Loan C, 1st Lien

(LIBOR plus 2.50%)

3.83%

08/04/23

21,558

21,700

144,151

Finance — 0.18%

Delos Finance SARL, Term Loan B, 1st Lien

(LIBOR plus 2.00%)

3.69%

10/06/23

1,980,136

1,997,640

Health Care — 0.12%

Gilead Sciences, Inc., Term Loan

(LIBOR plus 1.00%)

2.34%

09/08/22

1,305,000

Industrials — 0.13%

Tyco International Holdings SARL, Term Loan, 1st Lien

(LIBOR plus 1.75%)

3.09%

03/06/20

^1,4,5

1,413,600

1,412,278

Information Technology — 0.13%

Dell International LLC, Term Loan A3, 1st Lien

(LIBOR plus 1.50%)

3.07%

12/31/18

1,433,881

1,435,071

Real Estate Investment Trust (REIT) — 0.05%

Ventas Realty LP, Term Loan A

(LIBOR plus 0.98%)

2.54%

08/03/20

550,000

547,250

Services — 0.02%

AABS Ltd., Term Loan, Series 2013-1, Class A (STEP) (Bermuda)

4.88%

01/15/38

^3,†

146,286

147,382

Total Bank Loans

(Cost $7,413,902)

7,435,758


Issues	Maturity Date			Principal Amount		Value
CORPORATES — 36.77%*
Automotive — 0.13%
General Motors Co.
4.88%		10/02/23		$	1,330,000	$	1,441,102

Banking — 6.14%
Bank of America Corp.
2.00%		01/11/18			2,000,000		2,000,047
3.00%		12/20/23	^2,6		861,000		863,804
3.71%		04/24/28	⁶		950,000		974,003
6.50%		07/15/18			2,000,000		2,046,221
Bank of America Corp. (GMTN)
2.37%		07/21/21	⁶		2,510,000		2,504,467
3.59%		07/21/28	⁶		685,000		694,810
Bank of America Corp. (MTN)
3.09%		10/01/25	⁶		2,815,000		2,811,093
4.13%		01/22/24			1,500,000		1,596,617
5.65%		05/01/18			1,110,000		1,123,671
6.88%		04/25/18			3,290,000		3,339,705
Bank of America Corp., Series L
2.60%		01/15/19			145,000		145,518
Bank of New York Mellon Corp. (MTN) (The)
2.50%		04/15/21			1,649,000		1,653,610
2.60%		02/07/22			995,000		997,536
Capital One Bank USA N.A. (BKNT)
2.15%		11/21/18			2,500,000		2,501,795
Discover Bank
2.00%		02/21/18			2,410,000		2,410,066
HBOS PLC (GMTN) (United Kingdom)
6.75%		05/21/18	^2,3		2,915,000		2,962,334
JPMorgan Chase & Co.
2.55%		10/29/20			5,690,000		5,711,181
3.22%		03/01/25	⁶		3,070,000		3,083,734
6.00%		01/15/18			3,000,000		3,004,188
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23	^3,6		1,120,000		1,110,502
PNC Bank N.A. (BKNT)
1.70%		12/07/18			3,055,000		3,046,367
Santander UK Group Holdings PLC
(United Kingdom)
2.88%		10/16/20	³		1,300,000		1,306,091
Santander UK PLC (United Kingdom)
2.50%		03/14/19	³		1,000,000		1,002,909
UBS AG/London (Switzerland)
(LIBOR USD 3-Month plus 0.32%)
1.80%		05/28/19	^1,2,3		3,000,000		3,000,864
UBS AG/Stamford CT (GMTN) (Switzerland)
(LIBOR USD 3-Month plus 0.70%)
2.37%		03/26/18	^1,3		3,000,000		3,005,412
Wachovia Corp. (MTN)
5.75%		02/01/18			4,000,000		4,012,512


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Wells Fargo & Co.
3.00%		04/22/26		$	1,000,000	$	983,637
3.00%		10/23/26			2,750,000		2,698,533
Wells Fargo & Co. (MTN)
3.58%		05/22/28	⁶		3,340,000		3,411,621
Wells Fargo Bank N.A. (BKNT) (MTN)
1.65%		01/22/18			3,135,000		3,134,538


							67,137,386

Communications — 2.02%
AT&T, Inc.
3.40%		05/15/25			2,500,000		2,465,304
3.80%		03/15/22			1,500,000		1,550,789
4.13%		02/17/26			2,350,000		2,407,735
5.50%		02/01/18			1,000,000		1,002,884
Charter Communications Operating LLC/Charter Communications Operating Capital
4.46%		07/23/22			2,795,000		2,912,973
4.91%		07/23/25			1,000,000		1,059,659
Intelsat Jackson Holdings SA (Luxembourg)
9.75%		07/15/25	^2,3		350,000		337,750
Level 3 Financing, Inc.
5.38%		01/15/24			153,000		153,191
Rogers Communications, Inc. (Canada)
6.80%		08/15/18	³		1,000,000		1,027,639
Sprint Communications, Inc.
9.00%		11/15/18	²		464,000		489,520
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	²		1,687,500		1,695,937
Time Warner, Inc.
3.55%		06/01/24			1,250,000		1,271,089
T-Mobile USA, Inc.
6.63%		04/01/23			200,000		208,000
Verizon Communications, Inc.
2.95%		03/15/22			1,415,000		1,425,018
3.38%		02/15/25	²		620,000		623,320
3.50%		11/01/24			2,318,000		2,361,679
5.15%		09/15/23			1,000,000		1,113,697


							22,106,184

Consumer Discretionary — 1.21%
Anheuser-Busch InBev Finance, Inc.
3.65%		02/01/26			2,450,000		2,532,156
Anheuser-Busch North American
Holding Corp.
2.20%		08/01/18	²		2,000,000		2,002,392


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
BAT International Finance PLC (United Kingdom)
1.85%		06/15/18	^2,3	$	2,750,000	$	2,747,967
Central Garden & Pet Co.
5.13%		02/01/28			330,000		329,587
Constellation Brands, Inc.
2.00%		11/07/19			2,500,000		2,484,920
First Quality Finance Co., Inc.
4.63%		05/15/21	²		338,000		341,380
GLP Capital LP/GLP Financing II, Inc.
5.38%		04/15/26			348,000		374,100
Reckitt Benckiser Treasury Services PLC (United Kingdom)
2.75%		06/26/24	^2,3		2,500,000		2,447,981


							13,260,483

Consumer Products — 0.10%
BAT Capital Corp.
2.76%		08/15/22	²		1,125,000		1,120,078


Electric — 2.65%
AEP Texas Central Co.
3.85%		10/01/25	²		1,800,000		1,880,152
Black Hills Corp.
2.50%		01/11/19			2,510,000		2,517,473
Duquesne Light Holdings, Inc.
5.90%		12/01/21	²		625,000		691,661
6.40%		09/15/20	²		2,363,000		2,599,422
Entergy Corp.
4.00%		07/15/22			1,500,000		1,568,546
Entergy Mississippi, Inc.
3.10%		07/01/23			2,250,000		2,274,263
Jersey Central Power & Light Co.
4.80%		06/15/18			2,025,000		2,048,863
Kansas City Power & Light Co.
3.65%		08/15/25			1,000,000		1,029,781
KCP&L Greater Missouri Operations Co.
8.27%		11/15/21			2,275,000		2,645,032
Metropolitan Edison Co.
4.00%		04/15/25	²		985,000		1,025,251
7.70%		01/15/19			500,000		525,979
Oncor Electric Delivery Co. LLC
4.10%		06/01/22			1,500,000		1,581,230
6.80%		09/01/18			900,000		926,891
Public Service Co. of New Mexico
3.85%		08/01/25			1,800,000		1,852,966
7.95%		05/15/18			475,000		484,796
Southwestern Electric Power Co.
3.55%		02/15/22			1,500,000		1,541,442
6.45%		01/15/19			1,109,000		1,155,094


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Texas-New Mexico Power Co.
9.50%		04/01/19	²	$	1,800,000	$	1,945,045
Tucson Electric Power Co.
3.85%		03/15/23			700,000		705,347


							28,999,234

Energy — 2.39%
Boardwalk Pipelines LP
5.20%		06/01/18			1,000,000		1,011,046
Brooklyn Union Gas Co. (The)
3.41%		03/10/26	²		4,000,000		4,089,280
Canadian Natural Resources Ltd. (Canada)
3.85%		06/01/27	³		445,000		455,071
Cheniere Corpus Christi Holdings LLC
5.13%		06/30/27			211,000		218,786
Columbia Pipeline Group, Inc.
2.45%		06/01/18			3,135,000		3,137,173
Diamondback Energy, Inc.
4.75%		11/01/24			159,000		160,789
Enbridge Energy Partners LP
5.88%		10/15/25			1,250,000		1,415,545
Energy Transfer LP/Regency Energy Finance Corp.
5.00%		10/01/22			300,000		320,063
Florida Gas Transmission Co. LLC
7.90%		05/15/19	²		1,500,000		1,607,126
NiSource Finance Corp.
2.65%		11/17/22			1,520,000		1,511,991
Noble Energy, Inc.
3.90%		11/15/24			600,000		619,702
Petroleos Mexicanos (Mexico)
2.00%		12/20/22	³		1,500,000		1,485,518
Plains All American Pipeline LP/PAA
Finance Corp.
3.85%		10/15/23			300,000		299,998
4.65%		10/15/25			1,000,000		1,031,700
QEP Resources, Inc.
5.25%		05/01/23			119,000		121,006
5.38%		10/01/22			119,000		121,826
Ruby Pipeline LLC
6.00%		04/01/22	²		1,183,712		1,248,368
Spectra Energy Partners LP
2.95%		09/25/18			1,275,000		1,281,418
TC PipeLines LP
4.65%		06/15/21			2,575,000		2,705,775
Texas Eastern Transmission LP
2.80%		10/15/22	²		1,058,000		1,049,246
Williams Partners LP
3.35%		08/15/22			750,000		757,102


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
3.60%		03/15/22		$	1,482,000	$	1,517,371


							26,165,900

Finance — 8.33%
American Express Credit Corp. (MTN)
1.80%		07/31/18			2,395,000		2,393,629
2.20%		03/03/20			4,875,000		4,861,777
Bear Stearns Cos. LLC (The)
7.25%		02/01/18			2,140,000		2,148,582
Citigroup, Inc.
1.70%		04/27/18			5,838,000		5,832,649
1.80%		02/05/18			4,563,000		4,562,624
2.05%		12/07/18			3,500,000		3,497,128
2.50%		09/26/18			2,000,000		2,002,506
6.13%		05/15/18			1,500,000		1,522,861
(LIBOR USD 3-Month plus 1.70%)
3.12%		05/15/18	¹		583,000		586,203
Durrah MSN 35603 (Cayman Islands)
1.68%		01/22/25	³		4,015,724		3,909,592
Ford Motor Credit Co. LLC
(LIBOR USD 3-Month plus 0.94%)
2.29%		01/09/18	¹		4,000,000		4,000,360
General Electric Corp. (GMTN)
5.63%		05/01/18			730,000		738,833
General Motors Financial Co., Inc.
2.40%		05/09/19			2,000,000		2,001,146
Goldman Sachs Group, Inc. (GMTN) (The)
7.50%		02/15/19			550,000		581,417
Goldman Sachs Group, Inc. (MTN) (The)
3.85%		07/08/24			2,775,000		2,878,989
Goldman Sachs Group, Inc. (The)
2.75%		09/15/20			1,635,000		1,644,203
3.27%		09/29/25	⁶		1,695,000		1,688,931
3.69%		06/05/28	⁶		1,220,000		1,237,016
5.95%		01/18/18			6,160,000		6,169,780
6.15%		04/01/18			4,485,000		4,532,482
International Lease Finance Corp.
7.13%		09/01/18	²		1,850,000		1,908,969
Morgan Stanley
(LIBOR USD 3-Month plus 0.93%)
2.29%		07/22/22	¹		1,845,000		1,860,762
Morgan Stanley (GMTN)
6.63%		04/01/18			6,250,000		6,318,863
Morgan Stanley, Series 3NC2
(LIBOR USD 3-Month plus 0.80%)
2.21%		02/14/20	¹		7,000,000		7,029,059
Protective Life Global Funding
1.72%		04/15/19	²		1,800,000		1,790,836
2.70%		11/25/20	²		3,115,000		3,129,351


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Raymond James Financial, Inc.
5.63%		04/01/24		$	2,500,000	$	2,838,082
Safina Ltd. (Cayman Islands)
2.00%		12/30/23	³		7,264,801		7,151,107
Sandalwood 2013 LLC
2.90%		07/10/25			2,269,422		2,297,676


							91,115,413

Food — 0.81%
Kraft Heinz Foods Co.
3.00%		06/01/26			1,000,000		964,049
3.95%		07/15/25			1,950,000		2,017,278
6.13%		08/23/18			2,000,000		2,050,552
Mondelez International Holdings Netherlands BV (Netherlands)
1.63%		10/28/19	^2,3		3,850,000		3,799,280


							8,831,159

Health Care — 5.16%
Abbott Laboratories
3.75%		11/30/26			3,070,000		3,160,061
AbbVie, Inc.
3.60%		05/14/25			1,742,000		1,793,710
Actavis Funding SCS (Luxembourg)
2.35%		03/12/18	³		3,906,000		3,909,282
3.45%		03/15/22	³		440,000		447,483
3.80%		03/15/25	³		500,000		509,797
Actavis, Inc.
3.25%		10/01/22			1,500,000		1,503,806
Aetna, Inc.
1.70%		06/07/18			3,185,000		3,177,828
Amgen, Inc.
3.63%		05/15/22			3,000,000		3,106,452
Anthem, Inc.
2.30%		07/15/18			1,545,000		1,548,577
3.13%		05/15/22			2,500,000		2,524,647
AstraZeneca PLC (United Kingdom)
3.13%		06/12/27	³		1,000,000		991,837
3.38%		11/16/25	³		2,200,000		2,236,388
Baxalta, Inc.
2.00%		06/22/18			1,405,000		1,404,746
2.88%		06/23/20			1,400,000		1,409,852
Baylor Scott & White Holdings
2.65%		11/15/26			2,315,000		2,238,976
Catholic Health Initiatives
2.60%		08/01/18			1,000,000		1,002,584
CHS/Community Health Systems, Inc.
6.25%		03/31/23			225,000		203,625


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Cigna Corp.
3.05%		10/15/27		$	1,650,000	$	1,605,433
Eli Lilly & Co.
3.10%		05/15/27			550,000		558,996
Fresenius Medical Care U.S. Finance II, Inc.
5.63%		07/31/19	²		1,401,000		1,466,135
6.50%		09/15/18	²		1,500,000		1,546,931
Gilead Sciences, Inc.
3.50%		02/01/25			2,240,000		2,318,736
HCA, Inc.
5.00%		03/15/24			750,000		781,875
6.50%		02/15/20			955,000		1,017,075
Humana, Inc.
3.95%		03/15/27			1,330,000		1,379,654
Kaiser Foundation Hospitals
3.15%		05/01/27			3,435,000		3,442,380
Molina Healthcare, Inc.
5.38%		11/15/22			330,000		345,675
RWJ Barnabas Health, Inc.
2.95%		07/01/26			4,385,000		4,177,509
Shire Acquisitions Investments Ireland DAC (Ireland)
1.90%		09/23/19	³		500,000		495,682
Tenet Healthcare Corp.
4.38%		10/01/21			75,000		75,187
4.50%		04/01/21			514,000		518,497
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)
1.40%		07/20/18	³		2,000,000		1,983,239
UnitedHealth Group, Inc.
2.95%		10/15/27			1,690,000		1,693,288
Valeant Pharmaceuticals International, Inc. (Canada)
5.50%		11/01/25	^2,3		165,000		168,713
5.88%		05/15/23	^2,3		1,600,000		1,489,520
6.13%		04/15/25	^2,3		150,000		138,375


							56,372,551

Industrials — 1.61%
Amcor Finance USA, Inc.
3.63%		04/28/26	²		2,500,000		2,469,680
Clean Harbors, Inc.
5.13%		06/01/21			380,000		384,750
L3 Technologies, Inc.
5.20%		10/15/19			1,716,000		1,798,831
Northrop Grumman Corp.
3.20%		02/01/27			1,545,000		1,553,737
3.25%		01/15/28			2,810,000		2,820,100
Packaging Corp. of America
2.45%		12/15/20			1,810,000		1,810,888


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
Siemens Financieringsmaatschappij NV (Netherlands)
2.00%		09/15/23	^2,3	$	2,000,000	$	1,917,199
2.35%		10/15/26	^2,3		500,000		470,764
Sydney Airport Finance Co. Pty Ltd. (Australia)
3.38%		04/30/25	^2,3		525,000		525,468
United Technologies Corp. (STEP)
1.78%		05/04/18			3,850,000		3,844,432


							17,595,849

Information Technology — 0.83%
Amazon.com, Inc.
2.80%		08/22/24	²		1,690,000		1,687,399
Broadcom Corp./Broadcom Cayman Finance Ltd.
2.38%		01/15/20	²		2,250,000		2,237,888
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc.
5.75%		03/01/25	²		330,000		330,619
Microsoft Corp.
2.88%		02/06/24			2,300,000		2,328,794
Oracle Corp.
2.40%		09/15/23			2,565,000		2,528,559


							9,113,259

Insurance — 1.46%
Jackson National Life Global Funding
1.88%		10/15/18	²		2,000,000		2,000,351
Metropolitan Life Global Funding I
1.55%		09/13/19	²		3,000,000		2,966,917
Nationwide Mutual Insurance Co.
3.88%		12/15/24	^2,6		1,552,000		1,552,000
New York Life Global Funding
1.55%		11/02/18	²		2,000,000		1,993,775
2.00%		04/13/21	²		2,000,000		1,969,958
Pricoa Global Funding I
2.55%		11/24/20	²		2,495,000		2,500,961
Principal Life Global Funding II
2.63%		11/19/20	²		3,000,000		3,013,344


							15,997,306

Materials — 0.05%
Axalta Coating Systems LLC
4.88%		08/15/24	²		250,000		262,813
Valvoline, Inc.
5.50%		07/15/24			250,000		266,875


							529,688


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) — 2.43%
Alexandria Real Estate Equities, Inc.
2.75%		01/15/20		$	1,500,000	$	1,507,030
3.90%		06/15/23			150,000		155,050
4.60%		04/01/22			2,000,000		2,133,868
American Campus Communities Operating Partnership LP
3.35%		10/01/20			3,000,000		3,060,071
American Tower Corp.
3.00%		06/15/23			555,000		554,238
CC Holdings GS V LLC/Crown Castle GS III Corp.
3.85%		04/15/23			300,000		310,029
HCP, Inc.
4.00%		12/01/22			2,250,000		2,358,570
4.25%		11/15/23			1,895,000		1,991,656
Healthcare Trust of America Holdings LP
3.70%		04/15/23			1,440,000		1,473,932
Piedmont Operating Partnership LP
3.40%		06/01/23			1,900,000		1,889,902
Public Storage
2.37%		09/15/22			365,000		360,368
SL Green Operating Partnership LP
3.25%		10/15/22			1,690,000		1,685,009
SL Green Realty Corp.
5.00%		08/15/18			1,200,000		1,215,155
7.75%		03/15/20			650,000		718,756
Ventas Realty LP
3.25%		10/15/26			1,810,000		1,757,829
Ventas Realty LP/Ventas Capital Corp.
2.70%		04/01/20			1,025,000		1,030,041
4.00%		04/30/19			1,000,000		1,018,011
WEA Finance LLC/Westfield UK & Europe Finance PLC
2.70%		09/17/19	²		2,245,000		2,259,413
Welltower, Inc.
3.75%		03/15/23			1,000,000		1,037,425


							26,516,353

Retail — 0.41%
Alimentation Couche-Tard, Inc. (Canada)
3.55%		07/26/27	^2,3		1,000,000		999,717
BC ULC/New Red Finance, Inc. (Canada)
4.25%		05/15/24	^2,3		785,000		785,000
CVS Health Corp.
4.00%		12/05/23			2,600,000		2,707,669


							4,492,386


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation — 1.04%
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%		01/15/23		$	729,480	$	770,724
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			2,826		2,828
Continental Airlines Pass-Through Trust, Series 1999-1, Class A
6.55%		02/02/19			359,432		368,418
Continental Airlines Pass-Through Trust, Series 1999-2, Class A
7.26%		03/15/20			135,290		141,892
Continental Airlines Pass-Through Trust, Series 2007, Class 1A
5.98%		04/19/22			2,425,003		2,647,982
Continental Airlines Pass-Through Trust, Series 2009, Class A
7.25%		11/10/19			2,393,105		2,582,519
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1
6.72%		01/02/23			878,304		974,734
Northwest Airlines Pass-Through Trust, Series 2001-1, Class A1
7.04%		04/01/22			1,308,698		1,466,527
U.S. Airways Pass-Through Trust, Series 2011-1, Class A
7.13%		10/22/23			874,620		1,004,345
U.S. Airways Pass-Through Trust, Series 2011-1, Class G
7.08%		03/20/21			274,450		289,287
U.S. Airways Pass-Through Trust, Series 2012, Class A
4.63%		06/03/25			489,328		519,948
U.S. Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24			581,486		646,153


							11,415,357


Total Corporates
(Cost $400,204,027)							402,209,688


MORTGAGE-BACKED — 14.22%**
Non-Agency Commercial Mortgage-Backed — 1.20%
225 Liberty Street Trust, Series 2016-225L, Class A
3.60%		02/10/36	²		1,225,000		1,264,940
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2012-PARK, Class A
2.96%		12/10/30	²		3,417,000		3,459,186
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)
1.81%		09/10/45	^2,4,5,6		6,550,573		431,162


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust, Series 2013-300P, Class A1
4.35%		08/10/30	²	$	1,160,000	$	1,244,549
Commercial Mortgage Trust, Series 2014-277P, Class A
3.61%		08/10/49	^2,6		1,265,000		1,314,088
Commercial Mortgage Trust, Series 2016-787S, Class A
3.55%		02/10/36	²		1,225,000		1,252,518
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, Class A2
4.31%		08/05/32	²		795,787		818,305
Morgan Stanley Capital I Trust, Series 2014-CPT, Class A
3.35%		07/13/29	²		950,000		972,580
RBS Commercial Funding Trust, Series 2013-GSP, Class A
3.83%		01/13/32	^2,6		1,170,000		1,212,725
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1
3.35%		11/15/43	²		1,087,634		1,101,433


							13,071,486

Non-Agency Mortgage-Backed — 4.74%
ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC1, Class A1
(LIBOR USD 1-Month plus 0.22%)
1.77%		12/25/35	¹		3,349,353		3,354,178
Ameriquest Mortgage Securities, Inc., Series 2004-R8, Class M1
(LIBOR USD 1-Month plus 0.96%)
2.51%		09/25/34	¹		1,279,440		1,290,225
Ameriquest Mortgage Securities, Inc., Series 2005-R4, Class M1
(LIBOR USD 1-Month plus 0.65%)
2.20%		07/25/35	¹		957,878		961,262
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE9, Class M1
(LIBOR USD 1-Month plus 0.98%)
2.53%		12/25/34	¹		575,364		565,344
Banc of America Funding Trust, Series 2003-2, Class 1A1
6.50%		06/25/32			3,223		3,416
Banc of America Funding Trust, Series 2015-R2, Class 9A1
(LIBOR USD 1-Month plus 0.22%)
1.77%		03/27/36	^1,2		1,685,321		1,654,661
Centex Home Equity Loan Trust, Series 2005-C, Class M1
(LIBOR USD 1-Month plus 0.65%)
2.20%		06/25/35	¹		3,139,810		3,190,142


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Chevy Chase Mortgage Funding Corp., Series 2005-2A, Class A1
(LIBOR USD 1-Month plus 0.18%)
1.73%		05/25/36	^1,2	$	108,218	$	103,305
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
3.16%		02/25/34	⁶		10,698		10,628
Conseco Finance Securitizations Corp.,
Series 2001-4, Class A4
7.36%		08/01/32	⁶		138,976		145,165
Conseco Financial Corp., Series 1996-7, Class M1
7.70%		09/15/26	⁶		343,305		368,472
Conseco Financial Corp., Series 1997-3, Class A7
7.64%		03/15/28	⁶		11,570		11,668
Conseco Financial Corp., Series 1998-4, Class A5
6.18%		04/01/30			200,547		210,065
Conseco Financial Corp., Series 1998-6, Class A8
6.66%		06/01/30	⁶		361,285		383,248
Conseco Financial Corp., Series 2002-C, Class BF2
8.00%		06/15/32	^2,6		161,149		171,147
CountryPlace Manufactured Housing Contract Trust, Series 2007-1, Class A4
5.85%		07/15/37	^2,6		623,327		634,071
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1
3.18%		08/25/34	⁶		70,911		69,240
Credit Suisse Mortgage Trust, Series 2014-4R, Class 16A1
(LIBOR USD 1-Month plus 0.20%)
0.00%		02/27/36	^1,2		655,881		655,763
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB3, Class AF1 (STEP)
3.38%		12/25/32			975,327		968,407
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB2, Class AF4 (STEP)
3.43%		12/25/36			525,132		443,339
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1
(LIBOR USD 1-Month plus 0.06%)
1.39%		04/25/37	¹		159,661		122,704
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A3
(LIBOR USD 1-Month plus 0.25%)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
1.58%		04/25/37	¹	$	1,897,190	$	1,485,575
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
3.13%		09/25/34	⁶		294,654		292,051
GSAA Home Equity Trust, Series 2005-9,
Class 1A1
(LIBOR USD 1-Month plus 0.28%)
1.83%		08/25/35	¹		484,750		484,010
Home Loan Trust, Series 2001-HI3,
Class AI7 (STEP)
7.56%		07/25/26			25,404		25,610
HSI Asset Securitization Corp. Trust,
Series 2006-OPT1, Class 1A
(LIBOR USD 1-Month plus 0.22%)
1.77%		12/25/35	¹		2,004,722		2,007,760
IndyMac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A
(LIBOR USD 1-Month plus 0.80%)
2.35%		11/25/34	¹		25,860		23,530
IndyMac Index Mortgage Loan Trust,
Series 2007-AR11, Class 1A1
3.06%		06/25/37	⁶		1,018,354		877,846
IndyMac Manufactured Housing Contract, Series 1997-1, Class A3
6.61%		02/25/28			190,601		192,846
IndyMac Manufactured Housing Contract, Series 1997-1, Class A4
6.75%		02/25/28			50,740		51,467
IndyMac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%		09/25/28			135,402		143,786
JPMorgan Mortgage Trust, Series 2007-A3, Class 3A2
3.53%		05/25/37	⁶		296,187		294,282
Lehman ABS Manufactured Housing
Contract Trust, Series 2001-B, Class A4
5.27%		04/15/40			59,278		60,308
Lehman ABS Manufactured Housing
Contract Trust, Series 2001-B, Class A5
5.87%		04/15/40			34,061		34,576
Lehman ABS Manufactured Housing
Contract Trust, Series 2001-B, Class A6
6.47%		04/15/40	⁶		107,342		109,981
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
3.54%		01/25/34	⁶		86,076		84,283
MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1
3.75%		01/25/34	⁶		620		642
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
3.57%		10/25/32	⁶		1,350		1,369


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Seasoned Securities Trust,
Series 2005-1, Class 4A1
3.41%		10/25/32	⁶	$	13,248	$	13,380
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.18%)
1.73%		06/25/37	¹		550,041		426,347
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D
(LIBOR USD 1-Month plus 0.25%)
1.80%		06/25/37	¹		1,016,461		811,125
Mid-State Trust XI, Series 2011, Class A1
4.86%		07/15/38			801,511		834,941
Mid-State Trust, Series 2004-1, Class A
6.01%		08/15/37			393,538		427,956
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			540,150		614,214
Mid-State Trust, Series 2004-1, Class M1
6.50%		08/15/37			385,821		410,533
Mid-State Trust, Series 2005-1, Class M2
7.08%		01/15/40			623,655		686,266
Morgan Stanley Capital I Trust, Series 2004-NC7, Class M2
(LIBOR USD 1-Month plus 0.93%)
2.48%		07/25/34	¹		683,015		690,371
Morgan Stanley Capital I Trust, Series 2005-HE3, Class M3
(LIBOR USD 1-Month plus 0.80%)
2.35%		07/25/35	¹		671,505		675,545
Morgan Stanley Capital I Trust, Series 2006-NC1, Class A4
(LIBOR USD 1-Month plus 0.30%)
1.85%		12/25/35	¹		2,804,890		2,813,814
New Century Home Equity Loan Trust, Series 2005-D, Class A1
(LIBOR USD 1-Month plus 0.22%)
1.77%		02/25/36	¹		5,059,677		5,037,899
New York Mortgage Trust, Series 2005-3, Class A1
(LIBOR USD 1-Month plus 0.48%)
2.03%		02/25/36	¹		2,004,170		1,924,028
Park Place Securities, Inc., Series 2005-WCW1, Class M1
(LIBOR USD 1-Month plus 0.45%)
2.00%		09/25/35	¹		1,080,343		1,084,747
Park Place Securities, Inc., Series 2005-WHQ2, Class M1
(LIBOR USD 1-Month plus 0.63%)
2.18%		05/25/35	¹		272,730		273,555


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued) Non-Agency Mortgage-Backed (continued)
RBSSP Resecuritization Trust, Series 2009-6, Class 11A4
(LIBOR USD 1-Month plus 0.42%)
1.75%		08/26/36	^1,2	$	464,395	$	461,408
Residential Asset Mortgage Product Trust, Series 2003-SL1, Class A41
8.00%		04/25/31			23,699		26,206
Residential Asset Mortgage Products Trust, Series 2003-RS1, Class AI5 (STEP)
6.19%		02/25/33			15,080		15,221
Residential Asset Mortgage Products Trust, Series 2006-NC1, Class A3
(LIBOR USD 1-Month plus 0.30%)
1.85%		01/25/36	¹		4,383,535		4,335,144
Residential Asset Securities Trust, Series 2004-IP2, Class 2A1
3.54%		12/25/34	⁶		29,767		29,970
Soundview Home Loan Trust, Series 2005-OPT4, Class 2A3
(LIBOR USD 1-Month plus 0.26%)
1.81%		12/25/35	¹		360,011		360,828
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-15, Class A
3.43%		10/25/34	⁶		1,659,662		1,657,015
Structured Asset Mortgage Investments II Trust, Series 2005-AR1, Class A1
(LIBOR USD 1-Month plus 0.48%)
1.98%		04/19/35	¹		1,103,623		1,082,302
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A2
(Federal Reserve US 12-Month Cumualtive Average)
2.08%		02/25/36	¹		718,206		706,982
Structured Asset Mortgage Investments II Trust, Series 2006-AR3, Class 22A1
2.95%		05/25/36	⁶		2,633,819		1,863,045
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-WF2, Class A3
(LIBOR USD 1-Month plus 0.60%)
2.15%		05/25/35	¹		231,418		232,068
UCFC Home Equity Loan, Series 1998-D, Class MF1
6.91%		04/15/30			31,468		32,531
WaMu Mortgage Pass-Through Certificates, Series 2002-AR18, Class A
3.61%		01/25/33	⁶		6,858		6,985
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A3
(LIBOR USD 1-Month plus 0.78%)
2.33%		10/25/45	¹		1,450,727		1,501,807


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Home Equity Trust,
Series 2005-1, Class M2
(LIBOR USD 1-Month plus 0.65%)
2.20%		04/25/35	¹	$	1,296,478	$	1,300,728


							51,823,333

U.S. Agency Commercial Mortgage-Backed — 0.88%
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KF34,
Class A
(LIBOR USD 1-Month plus 0.36%)
1.73%		08/25/24	¹		2,254,939		2,260,947
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KF02,
Class A3
(LIBOR USD 1-Month plus 0.63%)
2.00%		07/25/20	¹		757,910		759,589
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KS03,
Class A4
3.16%		05/25/25	⁶		6,070,000		6,208,904
Ginnie Mae, Series 2011-152, Class A
1.62%		07/16/33			66,388		66,308
NCUA Guaranteed Notes, Series 2011-C1,
Class 2A
(LIBOR USD 1-Month plus 0.53%)
1.93%		03/09/21	¹		326,453		325,784


							9,621,532

U.S. Agency Mortgage-Backed — 7.40%
Fannie Mae Pool (TBA)
3.00%		01/25/27			1,815,000		1,848,819
4.50%		01/01/40			5,215,000		5,549,086
Fannie Mae Pool 253974
7.00%		08/01/31			2,650		2,885
Fannie Mae Pool 254232
6.50%		03/01/22			4,500		4,990
Fannie Mae Pool 467144
4.25%		01/01/21			3,171,458		3,334,893
Fannie Mae Pool 468159
4.26%		07/01/21			1,078,460		1,145,525
Fannie Mae Pool 468272
3.83%		07/01/21			2,846,194		2,973,208
Fannie Mae Pool 468552
3.89%		07/01/21			1,786,226		1,870,807
Fannie Mae Pool 527247
7.00%		09/01/26			33		36
Fannie Mae Pool 545191
7.00%		09/01/31			1,290		1,406


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 545646
7.00%		09/01/26		$	28	$	30
Fannie Mae Pool 549740
6.50%		10/01/27			9,590		10,636
Fannie Mae Pool 606108
7.00%		03/01/31			607		625
Fannie Mae Pool 630599
7.00%		05/01/32			6,008		6,811
Fannie Mae Pool 655928
7.00%		08/01/32			3,353		3,890
Fannie Mae Pool 735207
7.00%		04/01/34			1,611		1,794
Fannie Mae Pool 735646
4.50%		07/01/20			1,090		1,110
Fannie Mae Pool 735686
6.50%		12/01/22			9,288		10,297
Fannie Mae Pool 735861
6.50%		09/01/33			109,926		123,362
Fannie Mae Pool 764388
(LIBOR USD 6-Month plus 1.40%)
2.90%		03/01/34	¹		29,054		30,634
Fannie Mae Pool 776708
5.00%		05/01/34			151,284		166,124
Fannie Mae Pool 817611
(LIBOR USD 6-Month plus 1.56%)
3.06%		11/01/35	¹		12,886		13,680
Fannie Mae Pool 844773
(LIBOR USD 12-Month plus 1.59%)
3.39%		12/01/35	¹		889		927
Fannie Mae Pool 889125
5.00%		12/01/21			52,254		53,386
Fannie Mae Pool 889184
5.50%		09/01/36			137,049		152,112
Fannie Mae Pool 890221
5.50%		12/01/33			208,557		231,106
Fannie Mae Pool 918445
(LIBOR USD 12-Month plus 1.65%)
3.47%		05/01/37	¹		1,360		1,424
Fannie Mae Pool 939419
(LIBOR USD 12-Month plus 1.27%)
3.02%		05/01/37	¹		53,022		56,161
Fannie Mae Pool AL0151
4.38%		04/01/21			3,399,548		3,582,748
Fannie Mae Pool AL0209
4.50%		05/01/41			498,844		542,583
Fannie Mae Pool AL2293
4.38%		06/01/21			5,418,064		5,746,598


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL6829
2.96%		05/01/27		$	3,942,754	$	3,974,614
Fannie Mae Pool AM7009
2.95%		11/01/24			2,529,309		2,577,176
Fannie Mae Pool AM7150
3.05%		11/01/24			1,755,303		1,798,771
Fannie Mae Pool AM7357
3.38%		12/01/29			2,375,000		2,449,906
Fannie Mae Pool AN0556
3.46%		12/01/30			2,439,487		2,534,816
Fannie Mae Pool AN0854
3.28%		02/01/28			2,465,000		2,547,452
Fannie Mae Pool AN2840
2.49%		09/01/28			2,545,000		2,446,538
Fannie Mae Pool AN5049
3.13%		04/01/29			2,311,738		2,357,813
Fannie Mae Pool BC1158
3.50%		02/01/46			1,304,014		1,340,027
Fannie Mae Pool FN0001
3.76%		12/01/20			2,445,695		2,530,128
Fannie Mae Pool FN0007
3.46%		11/01/20			1,390,000		1,429,054
Fannie Mae Pool MA1561
3.00%		09/01/33			2,116,255		2,154,426
Fannie Mae Pool MA1608
3.50%		10/01/33			1,997,016		2,074,577
Fannie Mae Pool MA3246
2.50%		01/01/33			2,825,000		2,823,552
Fannie Mae REMICS, Series 1989-25, Class G
6.00%		06/25/19			227		231
Fannie Mae REMICS, Series 1992-116, Class B
6.50%		06/25/22			15		16
Fannie Mae REMICS, Series 1993-80, Class S
(-1.22 X LIBOR USD 1-Month plus 10.87%, 10.87% Cap)
8.98%		05/25/23	¹		4,017		4,377
Fannie Mae REMICS, Series 2001-52, Class YZ
6.50%		10/25/31			129,173		146,525
Fannie Mae REMICS, Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
6.05%		07/25/37	¹		83,106		83,853
Fannie Mae REMICS, Series 2008-50,
Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
4.50%		11/25/36	¹	$	1,590,385	$	256,096
Fannie Mae Trust, Series 2003-W6, Class 5T (IO)
(-1.00 X LIBOR USD 1-Month plus 8.15%,
7.60% Cap)
0.55%		09/25/42	¹		14,735,384		215,663
Freddie Mac Gold Pool A25162
5.50%		05/01/34			167,092		185,048
Freddie Mac Gold Pool A33262
5.50%		02/01/35			50,338		57,000
Freddie Mac Gold Pool A68781
5.50%		10/01/37			10,436		11,649
Freddie Mac Gold Pool C03813
3.50%		04/01/42			1,226,847		1,277,455
Freddie Mac Gold Pool C90504
6.50%		12/01/21			535		574
Freddie Mac Gold Pool E01279
5.50%		01/01/18			12		12
Freddie Mac Gold Pool G01548
7.50%		07/01/32			351,223		420,816
Freddie Mac Gold Pool G01644
5.50%		02/01/34			107,482		119,431
Freddie Mac Gold Pool G02366
6.50%		10/01/36			75,790		87,143
Freddie Mac Gold Pool G08699
4.00%		03/01/46			1,118,885		1,171,202
Freddie Mac Gold Pool G11707
6.00%		03/01/20			297		302
Freddie Mac Gold Pool G12393
5.50%		10/01/21			71,662		74,380
Freddie Mac Gold Pool G12909
6.00%		11/01/22			122,111		129,334
Freddie Mac Gold Pool G13032
6.00%		09/01/22			64,278		67,347
Freddie Mac Gold Pool J06246
5.50%		10/01/21			23,910		24,783
Freddie Mac REMICS, Series 1602,
Class SN
(-4.25 X PRIME plus 46.22%, 10.09% Cap)
10.09%		10/15/23	¹		14,590		16,402
Freddie Mac REMICS, Series 2174,
Class PN
6.00%		07/15/29			43,899		47,914
Freddie Mac REMICS, Series 3460, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)
4.72%		06/15/38	¹		1,561,563		250,173


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 4030, Class HS (IO) (-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap)
5.13%		04/15/42	¹	$	1,395,558	$	251,758
Ginnie Mae I Pool 782810
4.50%		11/15/39			1,044,248		1,138,312
Ginnie Mae II Pool (TBA)
4.00%		01/20/41			1,870,000		1,949,475
4.50%		12/21/44			4,700,000		4,930,593
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year)
2.75%		07/20/34	¹		29,357		30,140
Ginnie Mae II Pool MA4589
5.00%		07/20/47			5,046,935		5,408,698
Ginnie Mae II Pool MA4838
4.00%		11/20/47			1,990,555		2,078,186
Ginnie Mae, Series 2004-8, Class SE (-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap)
11.20%		11/26/23	¹		33,637		38,048


							80,979,479

Total Mortgage-Backed
(Cost $152,482,762)							155,495,830


MUNICIPAL BONDS — 1.77%*
Alabama — 0.28%
Alabama Economic Settlement Authority, Taxable Revenue Bond, Series B
3.16%		09/15/25			2,990,000		3,025,760

California — 0.71%
Los Angeles Department of Power, Electric Light and Power Improvements, Series C
5.52%		07/01/27			2,000,000		2,384,980
State of California, Build America Bonds
7.95%		03/01/36			2,750,000		3,072,217
University of California, Taxable Revenue Bonds, Series AJ
4.60%		05/15/31			2,110,000		2,349,126


							7,806,323

Massachusetts — 0.26%
Commonwealth of Massachusetts, Build America Bonds, Series D
4.50%		08/01/31			2,450,000		2,817,525


New York — 0.52%
City of New York, Build America Bonds
5.05%		10/01/24			1,000,000		1,112,580


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Qualified School Construction Bonds
5.01%		08/01/27		$	2,000,000	$	2,288,120
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Qualified School Construction Bonds, Series G-3
5.27%		05/01/27			1,400,000		1,629,152
New York State Urban Development Corp., Personal Income Tax, Series SE
3.20%		03/15/22			700,000		716,023


							5,745,875


Total Municipal Bonds
(Cost $19,238,840)							19,395,483


U.S. TREASURY SECURITIES — 34.97%
U.S. Treasury Notes — 34.97%
U.S. Treasury Notes
1.38%		09/30/19			27,115,000		26,880,044
1.50%		10/31/19			33,010,000		32,786,925
1.75%		11/30/19			17,345,000		17,302,315
1.88%		12/31/19			4,090,000		4,089,121
2.00%		10/31/22			8,750,000		8,675,797
2.00%		11/30/22			196,880,000		195,118,452
2.13%		12/31/22			44,980,000		44,799,026
2.25%		11/15/27			32,850,000		32,395,166
U.S. Treasury Notes - Treasury Inflation Indexed Notes
0.13%		04/15/22	⁷		6,922,325		6,874,387
0.13%		07/15/26	⁷		8,479,290		8,287,612
0.38%		07/15/27	⁷		5,273,723		5,247,758


Total U.S. Treasury Securities
(Cost $384,213,042)							382,456,603


Total Bonds – 94.62%
(Cost $1,030,911,742)							1,034,930,620


Issues				Shares		Value
COMMON STOCK — 0.02%
Electric — 0.02%
Homer City Holdings LLC^2,4,5					8,014		160,280


Total Common Stock
(Cost $457,400)


Issues	Maturity Date			Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 9.24%

Foreign Government Obligations — 2.03%
Japan Treasury Discount Bill, Series 711 (Japan)
0.00%⁸		01/10/18	³	$	2,505,000,000	$	22,237,484


Money Market Funds — 5.40%
Dreyfus Government Cash Management Fund
1.19%⁹					48,885,000		48,885,000
Fidelity Investments Money Market Funds - Government Portfolio
1.14%^9,10					872		872
Morgan Stanley Institutional Liquidity Funds-Government Portfolio
1.20%⁹					10,148,000		10,148,000


							59,033,872


U.S. Treasury Bills — 1.81%
U.S. Treasury Bills
1.07%⁸		03/01/18	¹¹		897,000		895,167
1.28%⁸		04/19/18			19,000,000		18,921,215


							19,816,382

Total Short-Term Investments
(Cost $101,081,160)							101,087,738


Total Investments — 103.88%
(Cost $1,132,450,302)							1,136,178,638


Liabilities in Excess of Other Assets — (3.88)%							(42,422,813	)


Net Assets — 100.00%						$	1,093,755,825

¹	Floating rate security. The rate disclosed was in effect at December 31, 2017.

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

⁴	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $2,003,720, which is 0.18% of total net assets.

⁶

⁷	Inflation protected security. Principal amount reflects original security face amount.

⁸	Represents annualized yield at date of purchase.

⁹	Represents the current yield as of December 31, 2017.

¹⁰	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $872.

¹¹	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $895,134.

^†

Fair valued security. The aggregate value of fair valued securities is $2,152,213, which is 0.20% 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

(EUR): Euro dollar

(GMTN): Global medium-term note

(IO): Interest only

(JPY): Japanese Yen

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

(TBA): To be announced

(USD): U.S. dollar


Issues	Maturity Date			Principal Amount		Value
BONDS — 93.48%
ASSET-BACKED SECURITIES — 5.98%**
Access Group, Inc., Series 2015-1, Class A (LIBOR USD 1-Month plus 0.70%)
2.25%		07/25/56	^1,2	$	2,516,850	$	2,522,826
Babson CLO Ltd., Series 2013-IA, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 0.80%)
2.43%		01/20/28	^1,2,3,†		6,700,000		6,733,513
Bayview Commercial Asset Trust, Series 2005-1A, Class A1 (LIBOR USD 1-Month plus 0.30%)
1.85%		04/25/35	^1,2		322,335		313,946
Brazos Higher Education Authority, Inc., Series 2011-1, Class A2 (LIBOR USD 3-Month plus 0.80%)
2.26%		02/25/30	¹		146,400		147,178
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3 (LIBOR USD 3-Month plus 1.00%)
2.37%		10/27/36	¹		5,075,000		5,106,276
Education Loan Asset-Backed Trust, Series 2013-1, Class A2 (LIBOR USD 1-Month plus 0.80%)
2.35%		04/26/32	^1,2		8,375,000		8,257,698
GCO Education Loan Funding Trust, Series 2006-2AR, Class A1RN (LIBOR USD 1-Month plus 0.65%)
2.20%		08/27/46	^1,2		7,857,333		7,636,864
GE Business Loan Trust, Series 2005-1A, Class A3 (LIBOR USD 1-Month plus 0.25%)
1.73%		06/15/33	^1,2		681,900		669,235
Goal Capital Funding Trust, Series 2006-1, Class B (LIBOR USD 3-Month plus 0.45%)
1.91%		08/25/42	¹		2,920,252		2,716,709
J.G. Wentworth XXX LLC, Series 2013-3A, Class A
4.08%		01/17/73	²		4,332,356		4,525,681
Limerock CLO II Ltd., Series 2014-2A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.30%)
2.65%		04/18/26	^1,2,3		6,742,500		6,752,581
Magnetite XII CLO Ltd., Series 2015-12A, Class AR (Cayman Islands) (LIBOR USD 3-Month plus 1.33%)
2.69%		04/15/27	^1,2,3		8,000,000		8,054,352
Navient Student Loan Trust, Series 2015-2, Class A3 (LIBOR USD 1-Month plus 0.57%)
2.12%		11/26/40	¹		5,300,000		5,294,658


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Nelnet Student Loan Trust, Series 2013-1A, Class A (LIBOR USD 1-Month plus 0.60%)
1.93%		06/25/41	^1,2	$	3,491,329	$	3,494,778
Nelnet Student Loan Trust, Series 2014-5A, Class A (LIBOR USD 1-Month plus 0.55%)
1.88%		07/25/46	^1,2		11,375,505		11,364,904
Northstar Education Finance, Inc., Series 2007-1, Class A1 (1.00 X LIBOR USD 3-Month plus 0.10%)
1.48%		04/28/30	¹		4,791,839		4,766,194
SLC Student Loan Trust I, Series 2002-2, Class B2 (28 Day Auction Rate plus 0.00%)
1.61%		07/01/42	^1,2		3,900,000		3,102,103
SLC Student Loan Trust, Series 2004-1, Class B (LIBOR USD 3-Month plus 0.29%)
1.71%		08/15/31	¹		1,410,400		1,319,464
SLC Student Loan Trust, Series 2007-1, Class A4 (LIBOR USD 3-Month plus 0.06%)
1.48%		05/15/29	¹		5,902,944		5,848,408
SLM Student Loan Trust I, Series 2003-10A, Class A3 (LIBOR USD 3-Month plus 0.55%)
2.06%		12/15/27	^1,2		13,339,273		13,377,144
SLM Student Loan Trust, Series 2003-11, Class A6 (LIBOR USD 3-Month plus 0.55%)
2.14%		12/15/25	^1,2		6,210,941		6,240,561
SLM Student Loan Trust, Series 2006-8, Class A6 (LIBOR USD 3-Month plus 0.16%)
1.53%		01/25/41	¹		6,000,000		5,813,818
SLM Student Loan Trust, Series 2007-3, Class A3 (LIBOR USD 3-Month plus 0.04%)
1.41%		04/25/19	¹		7,248,157		7,235,898
SLM Student Loan Trust, Series 2007-6, Class A4 (LIBOR USD 3-Month plus 0.38%)
1.75%		10/25/24	¹		7,552,102		7,552,254
SLM Student Loan Trust, Series 2008-1, Class A4 (LIBOR USD 3-Month plus 0.65%)
2.02%		01/25/22	¹		7,238,609		7,209,379
SLM Student Loan Trust, Series 2008-6, Class A4 (LIBOR USD 3-Month plus 1.10%)
2.47%		07/25/23	¹		4,170,000		4,228,997


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-8, Class B (LIBOR USD 3-Month plus 2.25%)
3.62%		10/25/75	¹	$	1,095,000	$	1,157,659
SLM Student Loan Trust, Series 2011-1, Class A1 (LIBOR USD 1-Month plus 0.52%)
2.07%		03/25/26	¹		211,180		212,004
SLM Student Loan Trust, Series 2012-5, Class A2 (LIBOR USD 1-Month plus 0.30%)
1.85%		06/25/19	¹		62,191		62,188
SLM Student Loan Trust, Series 2012-7, Class A2 (LIBOR USD 1-Month plus 0.28%)
1.83%		09/25/19	¹		751,702		751,862
SLM Student Loan Trust, Series 2012-7, Class A3 (LIBOR USD 1-Month plus 0.65%)
2.20%		05/26/26	¹		13,140,000		13,060,922
SLM Student Loan Trust, Series 2013-3, Class A2 (LIBOR USD 1-Month plus 0.30%)
1.85%		05/26/20	¹		139,642		139,644
SLM Student Loan Trust, Series 2013-4, Class A (LIBOR USD 1-Month plus 0.55%)
2.10%		06/25/43	¹		4,319,079		4,341,023
SLM Student Loan Trust, Series 2014-1, Class A3 (LIBOR USD 1-Month plus 0.60%)
2.15%		02/26/29	¹		6,865,000		6,800,505
SLM Student Loan Trust, Series 2014-2, Class A2 (LIBOR USD 1-Month plus 0.35%)
1.90%		10/25/21	¹		448,785		448,981


Total Asset-Backed Securities
(Cost $165,446,947)							167,260,207


BANK LOANS — 0.77%*
Electric — 0.07%
Chief Power Finance LLC, Term Loan B, 1st Lien (LIBOR plus 4.75%)
6.32%		12/31/20	^1,4,5		2,425,000		1,994,563


Finance — 0.13%
Delos Finance SARL, Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.69%		10/06/23	¹		3,429,507		3,459,824


Health Care — 0.12%
Gilead Sciences, Inc., Term Loan


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
(LIBOR plus 1.00%)
2.34%		09/08/22	¹	$	3,395,000	$	3,395,000


Industrials — 0.24%
Tyco International Holdings SARL, Term Loan, 1st Lien (LIBOR plus 1.75%)
3.09%		03/06/20	^1,4,5		6,643,920		6,637,708


Information Technology — 0.13%
Dell International LLC, Term Loan A3, 1st Lien (LIBOR plus 1.50%)
3.07%		12/31/18	¹		3,714,510		3,717,593

Real Estate Investment Trust (REIT) — 0.05%
Ventas Realty LP, Term Loan A
(LIBOR plus 0.98%)
2.54%		08/03/20	¹		1,430,000		1,422,850


Services — 0.03%
AABS Ltd., Term Loan, Series 2013-1, Class A (STEP) (Bermuda)
4.88%		01/15/38	^3,†		828,953		835,163


Total Bank Loans
(Cost $21,869,938)							21,462,701


CORPORATES — 31.17%*
Automotive — 0.22%
General Motors Co.
3.50%		10/02/18			6,000,000		6,063,532


Banking — 6.04%
Bank of America Corp.
2.00%		01/11/18			2,500,000		2,500,058
3.00%		12/20/23	^2,6		2,159,000		2,166,031
6.50%		07/15/18			1,500,000		1,534,666
6.88%		11/15/18			1,000,000		1,040,996
Bank of America Corp. (GMTN)
2.37%		07/21/21	⁶		11,025,000		11,000,695
Bank of America Corp. (MTN)
5.65%		05/01/18			11,233,000		11,371,348
6.88%		04/25/18			17,885,000		18,155,207
Capital One Bank USA N.A. (BKNT)
2.15%		11/21/18			4,295,000		4,298,083
Capital One N.A.
2.35%		08/17/18			550,000		550,809
Discover Bank
2.60%		11/13/18			5,975,000		5,995,742
HBOS PLC (GMTN) (United Kingdom)
6.75%		05/21/18	^2,3		9,220,000		9,369,714
JPMorgan Chase & Co.
6.30%		04/23/19			22,375,000		23,571,100


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
PNC Bank N.A. (BKNT)
1.70%		12/07/18		$	7,680,000	$	7,658,298
Santander UK Group Holdings PLC (United Kingdom)
2.88%		08/05/21	³		13,000,000		12,999,220
UBS AG/London (Switzerland) (LIBOR USD 3-Month plus 0.32%)
1.80%		05/28/19	^1,2,3		8,000,000		8,002,304
UBS AG/Stamford CT (GMTN) (Switzerland) (LIBOR USD 3-Month plus 0.70%)
2.37%		03/26/18	^1,3		8,000,000		8,014,432
Wachovia Corp. (MTN)
5.75%		02/01/18			24,485,000		24,561,589
Wells Fargo Bank N.A. (BKNT)
2.15%		12/06/19			7,715,000		7,706,937
Wells Fargo Bank N.A. (BKNT) (MTN)
1.65%		01/22/18			8,420,000		8,418,758


							168,915,987


Communications — 1.60%
AT&T, Inc.
2.38%		11/27/18			5,000,000		5,010,757
3.00%		06/30/22			4,464,000		4,475,872
3.40%		05/15/25			2,655,000		2,618,153
3.60%		02/17/23			1,700,000		1,741,037
4.13%		02/17/26			1,400,000		1,434,395
5.50%		02/01/18			5,031,000		5,045,511
Charter Communications Operating LLC/Charter Communications Operating Capital
4.46%		07/23/22			3,415,000		3,559,142
Rogers Communications, Inc. (Canada)
6.80%		08/15/18	³		6,674,000		6,858,459
Sprint Communications, Inc.
9.00%		11/15/18	²		2,200,000		2,321,000
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	²		3,984,375		4,004,297
Time Warner Cable LLC
6.75%		07/01/18			7,525,000		7,692,733


							44,761,356


Consumer Discretionary — 1.42%
Altria Group, Inc.
9.70%		11/10/18			7,340,000		7,809,565
Anheuser-Busch North American Holding Corp.
2.20%		08/01/18	²		5,500,000		5,506,578
BAT International Finance PLC (United Kingdom)
1.85%		06/15/18	^2,3		9,867,000		9,859,706


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Beam Suntory, Inc.
1.75%		06/15/18		$	5,425,000	$	5,416,218
Constellation Brands, Inc.
2.00%		11/07/19			7,000,000		6,957,776
GLP Capital LP/GLP Financing II, Inc.
4.38%		11/01/18			4,210,000		4,262,625


							39,812,468


Consumer Products — 0.15%
Newell Brands, Inc.
2.60%		03/29/19			844,000		845,458
2.88%		12/01/19			3,230,000		3,257,393


							4,102,851


Electric — 1.56%
Duke Energy Florida LLC
2.10%		12/15/19			4,480,000		4,477,079
Entergy Gulf States Louisiana LLC
6.00%		05/01/18			5,000,000		5,063,550
Jersey Central Power & Light Co.
4.80%		06/15/18			1,500,000		1,517,676
7.35%		02/01/19			505,000		530,421
LG&E & KU Energy LLC
3.75%		11/15/20			3,400,000		3,510,267
Oncor Electric Delivery Co. LLC
6.80%		09/01/18			14,109,000		14,530,563
Pennsylvania Electric Co.
5.20%		04/01/20			1,262,000		1,329,687
Progress Energy, Inc.
7.05%		03/15/19			4,200,000		4,439,608
Public Service Co. of New Mexico
7.95%		05/15/18			4,352,000		4,441,753
Southwestern Electric Power Co.
6.45%		01/15/19			2,395,000		2,494,544
Southwestern Electric Power Co., Series F
5.88%		03/01/18			1,198,000		1,204,928


							43,540,076


Energy — 0.53%
Columbia Pipeline Group, Inc.
2.45%		06/01/18			1,936,000		1,937,342
Energy Transfer LP
2.50%		06/15/18			1,156,000		1,157,852
Florida Gas Transmission Co. LLC
7.90%		05/15/19	²		3,320,000		3,557,106
Panhandle Eastern Pipeline Co. LP
8.13%		06/01/19			1,000,000		1,077,291
Phillips 66 (LIBOR USD 3-Month plus 0.65%)


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
2.01%		04/15/19	^1,2	$	1,145,000	$	1,145,715
Plains All American Pipeline LP/PAA Finance Corp.
3.85%		10/15/23			2,935,000		2,934,982
Rockies Express Pipeline LLC
6.00%		01/15/19	²		1,500,000		1,548,750
6.85%		07/15/18	²		1,500,000		1,537,500


							14,896,538

Finance — 6.52%
American Express Co.
7.00%		03/19/18			14,570,000		14,729,068
American Express Credit Corp. (MTN)
2.20%		03/03/20			4,000,000		3,989,150
Associates Corp. of North America
6.95%		11/01/18			11,000,000		11,413,209
Citigroup, Inc.
1.70%		04/27/18			7,901,000		7,893,758
1.75%		05/01/18			3,560,000		3,554,282
1.80%		02/05/18			3,600,000		3,599,704
2.05%		12/07/18			2,000,000		1,998,359
2.50%		09/26/18			11,750,000		11,764,723
2.50%		07/29/19			2,500,000		2,508,634
6.13%		05/15/18			2,940,000		2,984,807
Ford Motor Credit Co. LLC
5.00%		05/15/18			1,500,000		1,515,427
(LIBOR USD 3-Month plus 0.94%)
2.29%		01/09/18	¹		8,000,000		8,000,721
Ford Motor Credit Co. LLC (MTN)
2.94%		01/08/19			1,000,000		1,006,245
General Electric Corp. (MTN)
(LIBOR USD 3-Month plus 0.38%)
1.77%		05/05/26	¹		5,180,000		4,996,063
General Motors Financial Co., Inc.
2.40%		05/09/19			1,100,000		1,100,630
Goldman Sachs Group, Inc. (GMTN) (The)
7.50%		02/15/19			3,625,000		3,832,065
Goldman Sachs Group, Inc. (The)
2.38%		01/22/18			1,000,000		1,000,279
2.63%		01/31/19			8,000,000		8,035,280
5.95%		01/18/18			8,625,000		8,638,693
6.15%		04/01/18			19,000,000		19,201,151
(LIBOR USD 3-Month plus 1.02%)
2.38%		10/23/19	¹		5,000,000		5,061,663
International Lease Finance Corp.
7.13%		09/01/18	²		3,816,000		3,937,635
Morgan Stanley
2.13%		04/25/18			2,000,000		2,000,912


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Morgan Stanley (GMTN)
5.50%		01/26/20		$	2,805,000	$	2,979,233
5.50%		07/24/20			2,550,000		2,735,699
6.63%		04/01/18			20,997,000		21,228,345
7.30%		05/13/19			8,000,000		8,531,673
Morgan Stanley (MTN)
5.63%		09/23/19			2,000,000		2,111,386
Morgan Stanley, Series 3NC2
(LIBOR USD 3-Month plus 0.80%)
2.21%		02/14/20	¹		3,795,000		3,810,754
Protective Life Global Funding
1.72%		04/15/19	²		8,245,000		8,203,022


							182,362,570

Food — 0.93%
Conagra Brands, Inc.
(LIBOR USD 3-Month plus 0.50%)
2.20%		10/09/20	¹		7,250,000		7,264,445
Kraft Heinz Foods Co.
6.13%		08/23/18			5,000,000		5,126,380
(LIBOR USD 3-Month plus 0.42%)
1.82%		08/09/19	¹		4,000,000		4,001,628
Mondelez International Holdings
Netherlands BV (Netherlands)
1.63%		10/28/19	^2,3		9,670,000		9,542,607


							25,935,060

Health Care — 4.86%
Abbott Laboratories
2.90%		11/30/21			7,820,000		7,910,517
AbbVie, Inc.
1.80%		05/14/18			2,230,000		2,229,111
2.30%		05/14/21			8,530,000		8,474,484
Actavis Funding SCS (Luxembourg)
2.35%		03/12/18	³		10,700,000		10,708,990
3.45%		03/15/22	³		4,000,000		4,068,024
Amgen, Inc.
3.63%		05/15/22			3,400,000		3,520,646
Anthem, Inc.
1.88%		01/15/18			14,502,000		14,501,240
2.50%		11/21/20			10,270,000		10,255,342
Baxalta, Inc.
2.00%		06/22/18			3,425,000		3,424,380
Bayer U.S. Finance LLC
2.38%		10/08/19	²		6,425,000		6,438,040
Catholic Health Initiatives
2.60%		08/01/18			13,000,000		13,033,592
Celgene Corp.
2.75%		02/15/23			585,000		580,859


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
2.88%		08/15/20		$	5,000,000	$	5,049,767
Cigna Corp.
4.50%		03/15/21			5,335,000		5,611,271
5.13%		06/15/20			1,725,000		1,827,254
Fresenius Medical Care U.S. Finance II, Inc.
6.50%		09/15/18	²		9,560,000		9,859,105
HCA, Inc.
3.75%		03/15/19			1,750,000		1,767,500
Humana, Inc.
2.50%		12/15/20			5,675,000		5,675,153
Roche Holdings, Inc.
2.25%		09/30/19	²		3,710,000		3,720,669
Shire Acquisitions Investments Ireland DAC (Ireland)
1.90%		09/23/19	³		7,865,000		7,797,074
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)
1.40%		07/20/18	³		9,705,000		9,623,667


							136,076,685

Industrials — 0.82%
BAE Systems Holdings, Inc.
6.38%		06/01/19	²		1,660,000		1,752,197
L3 Technologies, Inc.
5.20%		10/15/19			5,200,000		5,451,004
United Technologies Corp. (STEP)
1.78%		05/04/18			11,147,000		11,130,879
WestRock MWV LLC
7.38%		09/01/19			4,310,000		4,648,950


							22,983,030

Information Technology — 0.39%
Apple, Inc.
1.70%		02/22/19			3,255,000		3,246,929
Broadcom Corp./Broadcom Cayman Finance Ltd.
2.38%		01/15/20	²		5,750,000		5,719,048
QUALCOMM, Inc.
1.85%		05/20/19			2,035,000		2,027,720


							10,993,697

Insurance — 0.68%
Metropolitan Life Global Funding I
1.35%		09/14/18	²		8,000,000		7,970,391
1.88%		06/22/18	²		7,500,000		7,485,270
Nationwide Mutual Insurance Co.
3.88%		12/15/24	^2,6		3,550,000		3,550,000


							19,005,661


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Materials — 0.39%
Dow Chemical Co. (The)
8.55%		05/15/19		$	6,159,000	$	6,669,686
Monsanto Co.
2.13%		07/15/19			4,275,000		4,261,532


							10,931,218

Real Estate Investment Trust (REIT) — 3.77%
Alexandria Real Estate Equities, Inc.
2.75%		01/15/20			8,800,000		8,841,243
American Campus Communities Operating Partnership LP
3.35%		10/01/20			6,040,000		6,160,942
American Tower Corp.
3.40%		02/15/19			2,895,000		2,926,340
Boston Properties LP
5.63%		11/15/20			2,260,000		2,445,749
5.88%		10/15/19			9,615,000		10,139,012
Duke Realty LP
3.88%		02/15/21			6,385,000		6,602,264
HCP, Inc.
2.63%		02/01/20			6,870,000		6,892,970
3.75%		02/01/19			3,000,000		3,038,436
Kimco Realty Corp.
6.88%		10/01/19			5,860,000		6,300,506
Realty Income Corp.
2.00%		01/31/18			8,871,000		8,869,824
SL Green Realty Corp.
5.00%		08/15/18			8,000,000		8,101,032
UDR, Inc.
3.70%		10/01/20			3,000,000		3,090,810
Ventas Realty LP/Ventas Capital Corp.
2.00%		02/15/18			7,945,000		7,944,781
2.70%		04/01/20			1,186,000		1,191,832
4.00%		04/30/19			7,500,000		7,635,083
VEREIT Operating Partnership LP
3.00%		02/06/19			2,890,000		2,902,644
WEA Finance LLC/Westfield UK & Europe Finance PLC
2.70%		09/17/19	²		3,000,000		3,019,260
3.25%		10/05/20	²		4,000,000		4,075,188
Welltower, Inc.
2.25%		03/15/18			4,727,000		4,730,002
4.13%		04/01/19			700,000		713,173


							105,621,091

Retail — 0.85%
Alimentation Couche-Tard, Inc. (Canada)
2.35%		12/13/19	^2,3		7,000,000		7,002,886


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Retail (continued)
CVS Health Corp.
2.25%		12/05/18		$	16,681,000	$	16,692,230


							23,695,116

Services — 0.24%
Moody’s Corp.
(LIBOR USD 3-Month plus 0.35%)
1.84%		09/04/18	¹		5,820,000		5,830,264
Republic Services, Inc.
5.50%		09/15/19			850,000		895,120


							6,725,384

Transportation — 0.20%
American Airlines Pass-Through Trust, Series 2011-1, Class A
5.25%		01/31/21			1,019,267		1,078,486
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%		01/15/23			1,458,960		1,541,449
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			6,459		6,463
Continental Airlines Pass-Through Trust, Series 1999-1, Class A
6.55%		02/02/19			2,092,693		2,145,010
Continental Airlines Pass-Through Trust, Series 2000-2, Class A1
7.71%		04/02/21			806,844		868,007


							5,639,415

Total Corporates (Cost $870,963,809)							872,061,735


MORTGAGE-BACKED — 29.84%**

Non-Agency Commercial Mortgage-Backed — 1.15%
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)
1.81%		09/10/45	^2,4,5,6		18,118,607		1,192,576
Commercial Mortgage Trust, Series 2013-LC13, Class A2
3.01%		08/10/46			18,500,000		18,597,969
GE Business Loan Trust, Series 2006-2A, Class A
0.51%		11/15/34	²		2,501,892		2,427,927
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3S
5.24%		05/15/47	²		1,124,256		1,116,623
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3SF
(LIBOR USD 1-Month plus 0.16%)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
1.63%		05/15/47	¹	$	6,081,895	$	6,064,884
Wells Fargo Commercial Mortgage Trust, Series 2013-120B, Class A
2.71%		03/18/28	^2,6		2,855,000		2,859,708


							32,259,687

Non-Agency Mortgage-Backed — 10.87%
Accredited Mortgage Loan Trust, Series 2007-1, Class A4
(LIBOR USD 1-Month plus 0.22%)
1.77%		02/25/37	¹		12,000,000		11,401,573
ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC1, Class A1
(LIBOR USD 1-Month plus 0.22%)
1.77%		12/25/35	¹		4,404,870		4,411,216
Aegis Asset-Backed Securities Trust, Series 2005-5, Class 2A
(LIBOR USD 1-Month plus 0.25%)
1.80%		12/25/35	¹		6,982,652		6,975,157
Ameriquest Mortgage Securities, Inc., Series 2006-R2, Class A1
(LIBOR USD 1-Month plus 0.18%)
1.73%		04/25/36	¹		6,427,729		6,434,857
Amresco Residential Securities Mortgage Loan Trust, Series 1998-1, Class A5 (STEP)
7.20%		10/25/27			15,384		16,091
Argent Securities, Inc., Series 2005-W2, Class A1
(LIBOR USD 1-Month plus 0.26%)
1.81%		10/25/35	¹		7,093,663		7,146,309
Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1
5.50%		10/25/33			10,486,618		10,805,299
Banc of America Funding Trust, Series 2015-R2, Class 9A1
(LIBOR USD 1-Month plus 0.22%)
1.77%		03/27/36	^1,2		7,300,699		7,167,880
Banc of America Funding Trust, Series 2015-R3, Class 8A1
(LIBOR USD 1-Month plus 0.15%)
1.70%		06/27/36	^1,2		5,186,241		5,124,463
Banc of America Funding Trust, Series 2015-R4, Class 3A1
(LIBOR USD 1-Month plus 0.14%)
1.47%		07/27/36	^1,2		7,314,203		7,172,147
BCAP LLC Trust, Series 2007-AA1, Class 1A2
(LIBOR USD 1-Month plus 0.16%)
1.71%		02/25/47	¹		112,070		118,313


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
BCAP LLC Trust, Series 2008-IND2, Class A1
(LIBOR USD 1-Month plus 1.65%)
3.20%		04/25/38	¹	$	8,116,158	$	8,179,481
BCAP LLC Trust, Series 2013-RR5, Class 2A1
3.03%		03/26/37	^2,6		6,331,655		6,386,142
Bear Stearns ARM Trust, Series 2004-3, Class 4A
3.79%		07/25/34	⁶		2,807,329		2,842,659
Bear Stearns ARM Trust, Series 2005-2, Class A1
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.45%)
3.26%		03/25/35	¹		2,746,146		2,782,342
Bear Stearns Asset-Backed Securities Trust, Series 2005-SD1, Class 1A3
(LIBOR USD 1-Month plus 0.80%)
2.35%		08/25/43	¹		581		582
Chase Funding Trust, Series 2002-2, Class 2M1
(LIBOR USD 1-Month plus 0.90%)
2.45%		02/25/32	¹		159,234		159,246
Chase Funding Trust, Series 2007-A1, Class 8A1
3.71%		02/25/37	⁶		10,556,803		10,809,005
Chase Funding Trust,
Series 2007-A2, Class 2A3
3.60%		07/25/37	⁶		2,128,842		2,169,728
Chevy Chase Mortgage Funding Corp., Series 2005-2A, Class A1
(LIBOR USD 1-Month plus 0.18%)
1.73%		05/25/36	^1,2		1,072,363		1,023,673
CIM Trust, Series 2015-3AG, Class A1
(LIBOR USD 1-Month plus 1.75%)
3.11%		10/25/57	^1,2		8,115,164		8,230,600
CIM Trust, Series 2015-4AG, Class A1
(LIBOR USD 1-Month plus 2.00%)
3.36%		10/25/57	^1,2		10,688,337		10,809,501
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
3.16%		02/25/34	⁶		136,760		135,859
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class A2C
(LIBOR USD 1-Month plus 1.30%)
2.85%		07/25/37	¹		90,000		85,755
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		08/01/32	⁶		1,543,587		1,612,332


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Conseco Financial Corp., Series 1997-3, Class A7
7.64%		03/15/28	⁶	$	61,053	$	61,566
Conseco Financial Corp., Series 1998-2, Class A5
6.24%		12/01/28			5,571		5,755
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1
3.18%		08/25/34	⁶		15,405		15,042
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR1, Class 5A1
3.31%		02/25/34	⁶		2,581,470		2,608,575
Credit Suisse Mortgage Trust, Series 2014-9R, Class 8A1
(LIBOR USD 1-Month plus 0.16%)
1.49%		10/27/36	^1,2		1,666,320		1,649,511
Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB7, Class AF3 (STEP)
3.81%		11/25/35			592,631		598,398
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2 (STEP)
3.46%		01/25/36			2,308,337		2,040,163
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1
(LIBOR USD 1-Month plus 0.06%)
1.39%		04/25/37	¹		3,201,622		2,460,541
DSLA Mortgage Loan Trust, Series 2005-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.21%)
1.71%		03/19/45	¹		1,186,130		1,155,065
Encore Credit Receivables Trust, Series 2005-2, Class M2
(LIBOR USD 1-Month plus 0.69%)
2.24%		11/25/35	¹		5,021,982		5,078,089
FBR Securitization Trust, Series 2005-02, Class M1
(LIBOR USD 1-Month plus 0.72%)
2.05%		09/25/35	¹		4,663,993		4,683,973
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
3.13%		09/25/34	⁶		10,873		10,777
First Horizon Mortgage Pass-Through Trust, Series 2004-AR7, Class 2A2
3.45%		02/25/35	⁶		1,318,203		1,325,937
GE Business Loan Trust, Series 2007-1A, Class A
(LIBOR USD 1-Month plus 0.17%)
1.65%		04/16/35	^1,2		1,233,149		1,199,342


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GMACM Home Equity Loan Trust, Series 2000-HE2, Class A1
(LIBOR USD 1-Month plus 0.44%)
1.99%		06/25/30	¹	$	223,844	$	194,401
GSAA Home Equity Trust, Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.28%)
1.83%		08/25/35	¹		1,394,498		1,392,368
GSR Mortgage Loan Trust, Series 2005-AR7, Class 2A1
3.29%		11/25/35	⁶		780,756		801,183
Impac CMB Trust, Series 2005-5, Class A1
(LIBOR USD 1-Month plus 0.64%)
2.19%		08/25/35	¹		2,191,986		2,060,743
IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1
(LIBOR USD 1-Month plus 0.78%)
2.33%		12/25/34	¹		339,558		314,904
IndyMac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A
(LIBOR USD 1-Month plus 0.80%)
2.35%		11/25/34	¹		1,022,610		930,500
IndyMac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%		09/25/28			616,823		655,015
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AV4
(LIBOR USD 1-Month plus 0.28%)
1.83%		03/25/47	¹		50,000		41,734
JPMorgan Mortgage Acquisition Trust., Series 2005-FRE1, Class A2F3 (STEP)
3.44%		10/25/35			2,313,764		2,300,878
JPMorgan Mortgage Trust, Series 2007-A1, Class 1A1
3.69%		07/25/35	⁶		1,628,352		1,636,989
JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2
3.63%		07/25/35	⁶		410,145		423,302
Lehman ABS Manufactured Housing
Contract Trust, Series 2001-B, Class A3
4.35%		04/15/40			727,359		736,019
Lehman ABS Manufactured Housing
Contract Trust, Series 2001-B, Class A4
5.27%		04/15/40			603,048		613,528
Lehman ABS Manufactured Housing
Contract Trust, Series 2001-B, Class AIOC (IO)
0.55%		04/15/40	^4,5,6		136,703,620		2,507,814
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
3.54%		01/25/34	⁶		9,992		9,784


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1
3.75%		01/25/34	⁶	$	48,810	$	50,551
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A1
3.47%		11/21/34	⁶		1,474,170		1,519,050
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3A3
3.11%		04/25/34	⁶		193,583		195,415
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1
2.63%		06/25/34	⁶		31,717		28,210
MASTR Alternative Loan Trust, Series 2003-1, Class 1A1
6.25%		12/25/32			3,252,247		3,394,939
MASTR Alternative Loan Trust, Series 2003-5, Class 4A1
5.50%		07/25/33			5,270,100		5,671,545
MASTR Alternative Loan Trust, Series 2003-9, Class 4A1
5.25%		11/25/33			5,608,029		5,825,142
MASTR Alternative Loan Trust, Series 2004-7, Class 1A1
5.50%		07/25/34			5,534,955		5,731,282
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
3.57%		10/25/32	⁶		267,419		271,123
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2004-FF5, Class A3C
(LIBOR USD 1-Month plus 1.00%)
2.55%		08/25/34	¹		1,177,170		1,149,296
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.18%)
1.73%		06/25/37	¹		12,913,929		10,009,827
Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A1
3.27%		08/25/34	⁶		1,882,247		1,923,047
Merrill Lynch Mortgage Investors Trust, Series 2006-F1, Class 1A2
6.00%		04/25/36			2,204,957		1,868,825
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			1,221,767		1,389,293
Mid-State Trust, Series 2006-1, Class A
5.79%		10/15/40	²		5,569,299		6,303,314
Morgan Stanley Capital I Trust, Series 2004-NC7, Class M2
(LIBOR USD 1-Month plus 0.93%)
2.48%		07/25/34	¹		4,439,597		4,487,410
Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 1A
(LIBOR USD 1-Month plus 0.90%)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
2.45%		07/25/34	¹	$	470,790	$	467,700
Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 3A
(LIBOR USD 1-Month plus 1.25%)
1.40%		03/26/37	^1,2		1,940,550		1,946,655
MortgageIT Trust, Series 2005-3, Class A1
(LIBOR USD 1-Month plus 0.60%)
2.15%		08/25/35	¹		461,265		452,306
MortgageIT Trust, Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.28%)
1.83%		10/25/35	¹		7,208,842		7,093,259
New Century Home Equity Loan Trust, Series 2005-3, Class M2
(LIBOR USD 1-Month plus 0.74%)
2.29%		07/25/35	¹		7,060,896		7,092,611
New Century Home Equity Loan Trust, Series 2005-D, Class A1
(LIBOR USD 1-Month plus 0.22%)
1.77%		02/25/36	¹		12,800,139		12,745,044
Nomura Resecuritization Trust,
Series 2014-1R, Class 1A1
(LIBOR USD 1-Month plus 0.16%)
1.49%		10/26/36	^1,2		1,016,380		1,010,065
Nomura Resecuritization Trust,
Series 2014-1R, Class 4A1
0.00%		01/26/37	^2,6		1,354,922		1,371,671
Nomura Resecuritization Trust,
Series 2016-2R, Class 1A1
3.60%		02/26/36	^2,6		1,615,219		1,624,724
Option One Mortgage Loan Trust, Series 2005-1, Class A4
(LIBOR USD 1-Month plus 0.80%)
2.35%		02/25/35	¹		1,010,182		1,011,721
Park Place Securities, Inc.,
Series 2004-WCW2, Class M2
(LIBOR USD 1-Month plus 0.98%)
2.53%		10/25/34	¹		9,144,955		9,318,051
Park Place Securities, Inc.,
Series 2004-WHQ2, Class M2
(LIBOR USD 1-Month plus 0.95%)
2.50%		02/25/35	¹		232,611		233,376
Park Place Securities, Inc.,
Series 2005-WCW1, Class M1
(LIBOR USD 1-Month plus 0.45%)
2.00%		09/25/35	¹		4,495,854		4,514,178
Park Place Securities, Inc.,
Series 2005-WCW2, Class M1
(LIBOR USD 1-Month plus 0.75%)
2.30%		07/25/35	¹		9,253,527		9,303,781


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2005-QA3, Class NB1
3.78%		03/25/35	⁶	$	5,349,203	$	3,980,348
Residential Asset Mortgage Products Trust, Series 2004-SL4, Class A3
6.50%		07/25/32			400,773		404,472
Residential Asset Mortgage Products Trust, Series 2005-SL1, Class A5
6.50%		05/25/32			1,088,302		1,083,750
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 6A
3.54%		11/25/34	⁶		5,185,970		5,304,776
Structured Asset Investment Loan Trust, Series 2005-8, Class A4
(LIBOR USD 1-Month plus 0.72%)
2.27%		10/25/35	¹		4,443,552		4,487,523
Structured Asset Securities Corp.,
Series 2003-26A, Class 3A5
3.39%		09/25/33	⁶		1,066,708		1,076,458
Terwin Mortgage Trust, Series 2004-7HE, Class A1
(LIBOR USD 1-Month plus 0.55%)
2.10%		07/25/34	^1,2		115,413		111,169
WaMu Mortgage Pass-Through Certificates, Series 2002-AR18, Class A
3.61%		01/25/33	⁶		124,387		126,702
WaMu Mortgage Pass-Through Certificates, Series 2004-AR14, Class A1
3.36%		01/25/35	⁶		994,846		1,020,234
WaMu Mortgage Pass-Through Certificates, Series 2004-CB2, Class 2A
5.50%		07/25/34			5,857,109		6,129,199
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1
(LIBOR USD 1-Month plus 0.29%)
1.84%		10/25/45	¹		3,370,087		3,310,951
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A21
(LIBOR USD 1-Month plus 0.33%)
1.88%		01/25/45	¹		537,399		532,140
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-Q, Class 1A1
3.60%		09/25/34	⁶		1,689,163		1,787,819
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 2A14
3.47%		06/25/35	⁶		5,446,232		5,551,234
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR9, Class 1A1
3.43%		05/25/35	⁶		148,680		153,311


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Class 2A5
3.54%		03/25/36⁶	$	1,352,589	$	1,337,338


						303,912,941


U.S. Agency Commercial Mortgage-Backed — 9.53%
Fannie Mae Multifamily REMIC Trust, Series 2015-M12, Class FA
(LIBOR USD 1-Month plus 0.34%)
1.58%		04/25/20¹		13,534,580		13,520,088
Fannie Mae-Aces, Series 2013-M13, Class FA
(LIBOR USD 1-Month plus 0.35%)
1.90%		05/25/18¹		4,035,067		4,028,319
Fannie Mae-Aces, Series 2013-M4, Class ASQ2
1.45%		02/25/18		1,012,479		1,010,907
Fannie Mae-Aces, Series 2015-M10, Class FA
(LIBOR USD 1-Month plus 0.25%)
1.49%		03/25/19¹		7,458,230		7,458,145
Fannie Mae-Aces, Series 2017-M11, Class FA
(LIBOR USD 1-Month plus 0.47%)
1.71%		09/25/24¹		12,363,496		12,398,759
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF34, Class A
(LIBOR USD 1-Month plus 0.36%)
1.73%		08/25/24¹		5,939,840		5,955,665
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K003, Class A5
5.09%		03/25/19		13,850,000		14,213,881
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K005, Class A2
4.32%		11/25/19		17,500,000		18,096,015
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K006, Class A1
3.40%		07/25/19		4,763,911		4,819,026
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K007, Class A2
4.22%		03/25/20		17,700,000		18,340,211
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K033, Class A1
2.87%		02/25/23		12,096,667		12,271,128


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF08, Class A
(LIBOR USD 1-Month plus 0.30%)
1.67%		01/25/22¹	$	13,043,707	$	13,033,990
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF09, Class A
(LIBOR USD 1-Month plus 0.38%)
1.75%		05/25/22¹		14,882,664		14,757,891
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF10, Class A
(LIBOR USD 1-Month plus 0.38%)
1.62%		07/25/22¹		13,219,608		13,092,891
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KGRP, Class A
(LIBOR USD 1-Month plus 0.38%)
1.75%		04/25/20¹		21,475,643		21,514,264
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ18, Class A1
2.46%		03/25/22		6,790,000		6,791,460
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP04, Class AG1
(LIBOR USD 1-Month plus 0.22%)
1.46%		07/25/20¹		14,535,000		14,539,171
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP04, Class AG2
(LIBOR USD 1-Month plus 0.20%)
1.44%		10/25/19¹		17,330,000		17,296,485
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS02, Class A
(LIBOR USD 1-Month plus 0.38%)
1.75%		08/25/23¹		13,292,306		13,312,537
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS03, Class A4
4.19%		08/25/19		17,405,000		17,906,031
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class A1
3.19%		12/25/19		3,169,968		3,200,903
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q004, Class AFL
(Federal Reserve US 12-Month Cumualtive Average plus 0.74%)
1.80%		10/25/21¹		5,932,964		5,939,591


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae, Series 2006-3, Class C
5.24%		04/16/39⁶	$	1,268,362	$	1,271,664
Ginnie Mae, Series 2007-12, Class C
5.28%		04/16/41⁶		1,680,766		1,692,512
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
(LIBOR USD 1-Month plus 0.53%)
1.93%		03/09/21¹		10,236,802		10,215,802


						266,677,336


U.S. Agency Mortgage-Backed — 8.29%
Fannie Mae Pool 466973
3.85%		01/01/21		13,791,130		14,400,439
Fannie Mae Pool 567002
8.00%		05/01/23		31,738		34,323
Fannie Mae Pool 735861
6.50%		09/01/33		18,962		21,280
Fannie Mae Pool 770900
(LIBOR USD 12-Month plus 1.56%)
3.31%		04/01/34¹		352,679		365,780
Fannie Mae Pool 995182
5.50%		06/01/20		344,178		348,461
Fannie Mae Pool AD0538
6.00%		05/01/24		617,983		659,291
Fannie Mae Pool AE0083
6.00%		01/01/40		1,323,990		1,494,555
Fannie Mae Pool AL0851
6.00%		10/01/40		1,722,691		1,941,203
Fannie Mae Pool AM6261
(LIBOR USD 1-Month plus 0.22%)
1.59%		07/01/19¹		22,275,000		22,285,281
Fannie Mae Pool AM7028
(LIBOR USD 1-Month plus 0.24%)
1.61%		10/01/19¹		22,950,000		22,957,195
Fannie Mae REMICS, Series 1997-76, Class FS
(LIBOR USD 1-Month0
1.94%		09/17/27¹		18,672		18,328
Fannie Mae REMICS, Series 2001-60, Class OF
(LIBOR USD 1-Month plus 0.95%)
2.50%		10/25/31¹		1,005,184		1,026,194
Fannie Mae REMICS, Series 2003-130, Class HF
(LIBOR USD 1-Month plus 0.45%)
2.00%		12/25/33¹		1,025,113		1,026,186
Fannie Mae REMICS, Series 2003-134, Class FC
(LIBOR USD 1-Month plus 0.60%)


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
2.15%	12/25/32¹	$	6,216,890	$	6,293,436
Fannie Mae REMICS, Series 2005-57, Class EG
(LIBOR USD 1-Month plus 0.30%)
1.85%	03/25/35¹		1,226,942		1,226,677
Fannie Mae REMICS, Series 2005-59, Class NF
(LIBOR USD 1-Month plus 0.25%)
1.80%	05/25/35¹		3,209,393		3,223,156
Fannie Mae REMICS, Series 2007-61, Class A
(LIBOR USD 1-Month plus 0.28%)
1.83%	03/25/37¹		1,703,918		1,704,558
Fannie Mae REMICS, Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
6.05%	07/25/37¹		515,072		519,702
Fannie Mae REMICS, Series 2009-111, Class DA
5.00%	12/25/39		783,019		813,830
Fannie Mae REMICS, Series 2009-33, Class FB
(LIBOR USD 1-Month plus 0.82%)
2.37%	03/25/37¹		3,032,028		3,099,400
Fannie Mae REMICS, Series 2009-85, Class LF
(LIBOR USD 1-Month plus 1.20%)
2.75%	10/25/49¹		3,661,548		3,748,777
Fannie Mae REMICS, Series 2009-96, Class FA
(LIBOR USD 1-Month plus 0.90%)
2.45%	11/25/49¹		2,338,431		2,387,541
Fannie Mae REMICS, Series 2010-109, Class PF
(LIBOR USD 1-Month plus 0.40%)
1.95%	10/25/40¹		1,770,425		1,778,797
Fannie Mae REMICS, Series 2010-26, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap)
4.68%	11/25/36¹		10,717,428		1,695,929
Fannie Mae REMICS, Series 2010-39, Class FE
(LIBOR USD 1-Month plus 0.77%)
2.32%	06/25/37¹		5,655,192		5,764,396
Fannie Mae REMICS, Series 2010-43, Class DP
5.00%	05/25/40		1,379,277		1,476,048
Fannie Mae REMICS, Series 2010-6, Class BF
(LIBOR USD 1-Month plus 0.76%)
2.31%	02/25/40¹		2,063,858		2,099,466


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2010-95, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
5.05%		09/25/40	¹	$	7,461,835	$	1,437,620
Fannie Mae REMICS, Series 2011-118, Class FB
(LIBOR USD 1-Month plus 0.45%)
2.00%		11/25/41	¹		10,263,168		10,329,698
Fannie Mae REMICS, Series 2011-71, Class FB
(LIBOR USD 1-Month plus 0.50%)
2.05%		05/25/37	¹		4,289,210		4,303,608
Fannie Mae REMICS, Series 2012-33, Class F
(LIBOR USD 1-Month plus 0.52%)
2.07%		04/25/42	¹		7,701,415		7,764,460
Fannie Mae REMICS, Series 2013-75, Class FC
(LIBOR USD 1-Month plus 0.25%)
1.80%		07/25/42	¹		7,136,449		7,131,158
Fannie Mae REMICS, Series G92-10, Class Z
7.75%		01/25/22			637		675
Freddie Mac Gold Pool A45796
7.00%		01/01/33			6,674		7,350
Freddie Mac Gold Pool C46104
6.50%		09/01/29			9,194		10,192
Freddie Mac Gold Pool G13032
6.00%		09/01/22			802,950		841,289
Freddie Mac Gold Pool G13475
6.00%		01/01/24			100,956		105,978
Freddie Mac REMICS, Series 2174, Class PN
6.00%		07/15/29			609,197		664,912
Freddie Mac REMICS, Series 2454, Class FQ
(LIBOR USD 1-Month plus 1.00%)
2.48%		06/15/31	¹		9,298		9,570
Freddie Mac REMICS, Series 2733, Class FB
(LIBOR USD 1-Month plus 0.60%)
2.08%		10/15/33	¹		4,214,294		4,265,617
Freddie Mac REMICS, Series 3071, Class TF
(LIBOR USD 1-Month plus 0.30%)
1.78%		04/15/35	¹		4,295,842		4,299,368
Freddie Mac REMICS, Series 3084, Class FN
(LIBOR USD 1-Month plus 0.50%)
1.98%		12/15/34	¹		3,485,931		3,493,096


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 3294,
Class CB
5.50%		03/15/37		$	251,133	$	275,271
Freddie Mac REMICS, Series 3300, Class FA
(LIBOR USD 1-Month plus 0.30%)
1.78%		08/15/35	¹		1,088,486		1,087,843
Freddie Mac REMICS, Series 3325, Class NF
(LIBOR USD 1-Month plus 0.30%)
1.78%		08/15/35	¹		2,807,038		2,805,381
Freddie Mac REMICS, Series 3346, Class FA
(LIBOR USD 1-Month plus 0.23%)
1.71%		02/15/19	¹		80,123		80,171
Freddie Mac REMICS, Series 3524, Class FC
(LIBOR USD 1-Month plus 0.94%)
2.42%		06/15/38	¹		871,299		890,293
Freddie Mac REMICS, Series 3531, Class FM
(LIBOR USD 1-Month plus 0.90%)
2.38%		05/15/39	¹		1,114,728		1,138,726
Freddie Mac REMICS, Series 3672, Class A
6.00%		05/15/40			152,498		165,287
Freddie Mac REMICS, Series 3792, Class DF
(LIBOR USD 1-Month plus 0.40%)
1.88%		11/15/40	¹		1,233,747		1,235,707
Freddie Mac REMICS, Series 3824, Class FA
(LIBOR USD 1-Month plus 0.15%)
1.63%		03/15/26	¹		562,618		562,664
Freddie Mac REMICS, Series 3828, Class TF
(LIBOR USD 1-Month plus 0.40%)
1.88%		04/15/29	¹		410,789		411,462
Freddie Mac REMICS, Series 4060, Class FJ
(LIBOR USD 1-Month plus 0.35%)
1.83%		02/15/41	¹		7,950,326		7,975,026
Freddie Mac REMICS, Series 4109, Class KF
(LIBOR USD 1-Month plus 0.40%)
1.88%		05/15/32	¹		2,859,967		2,864,755
Freddie Mac REMICS, Series 4235, Class FA
(LIBOR USD 1-Month plus 0.35%)
1.83%		01/15/34	¹		4,303,066		4,314,593


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Strips, Series 240, Class F30
(LIBOR USD 1-Month plus 0.30%)
1.78%		07/15/36	¹	$	3,098,606	$	3,103,860
Freddie Mac Strips, Series 263, Class F5
(LIBOR USD 1-Month plus 0.50%)
1.98%		06/15/42	¹		4,399,028		4,441,090
Freddie Mac Strips, Series 319, Class F2
(LIBOR USD 1-Month plus 0.50%)
1.98%		11/15/43	¹		19,753,741		19,944,865
Ginnie Mae I Pool 422972
6.50%		07/15/29			21,875		24,279
Ginnie Mae II Pool 1849
8.50%		08/20/24			381		393
Ginnie Mae II Pool 2020
8.50%		06/20/25			690		747
Ginnie Mae II Pool 2286
8.50%		09/20/26			1,358		1,498
Ginnie Mae II Pool 2487
8.50%		09/20/27			11,542		12,742
Ginnie Mae II Pool 80059 (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.63%		04/20/27	¹		20,484		21,152
Ginnie Mae II Pool 80589 (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.38%		03/20/32	¹		38,360		38,595
Ginnie Mae II Pool 80610 (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.63%		06/20/32	¹		12,488		12,971
Ginnie Mae II Pool 80968 (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.75%		07/20/34	¹		411,461		422,440
Ginnie Mae II Pool 81201 (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.00%)
2.88%		01/20/35	¹		11,944		12,680
Ginnie Mae II Pool 8599 (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
3.00%		02/20/25	¹		16,941		17,459
Ginnie Mae, Series 2003-11, Class FK
(LIBOR USD 1-Month plus 0.30%)
1.79%		02/16/33	¹		1,390,176		1,393,232
Ginnie Mae, Series 2004-5, Class PF
(LIBOR USD 1-Month plus 0.55%)
2.05%		02/20/33	¹		555,095		555,758


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae, Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
5.30%		05/20/37	¹	$	6,361,291	$	976,155
Ginnie Mae, Series 2012-13, Class KF
(LIBOR USD 1-Month plus 0.30%)
1.80%		07/20/38	¹		1,457,020		1,461,067
Ginnie Mae, Series 2013-53, Class AD
1.50%		12/20/26			3,637,676		3,548,598
NCUA Guaranteed Notes, Series 2010-R1, Class A1
(LIBOR USD 1-Month plus 0.45%)
1.78%		10/07/20	¹		5,660,861		5,676,119
NCUA Guaranteed Notes, Series 2010-R3, Class 1A
(LIBOR USD 1-Month plus 0.56%)
1.96%		12/08/20	¹		8,879,380		8,927,246
NCUA Guaranteed Notes, Series 2010-R3, Class 2A
(LIBOR USD 1-Month plus 0.56%)
1.96%		12/08/20	¹		4,174,715		4,197,708
NCUA Guaranteed Notes, Series 2011-R1, Class 1A
(LIBOR USD 1-Month plus 0.45%)
1.78%		01/08/20	¹		4,108,706		4,117,813
NCUA Guaranteed Notes, Series 2011-R3, Class 1A
(LIBOR USD 1-Month plus 0.40%)
1.73%		03/11/20	¹		2,177,657		2,181,267


							231,971,733

Total Mortgage-Backed (Cost $825,354,817)							834,821,697


MUNICIPAL BONDS — 0.02%*
California — 0.02%
State of California, Taxable, Various Purpose
6.20%		03/01/19			600,000		629,190


Total Municipal Bonds (Cost $626,504)
U.S. TREASURY SECURITIES — 25.70%
U.S. Treasury Notes — 25.70%
U.S. Treasury Notes
1.38%		09/30/19			32,485,000		32,203,512
1.50%		10/31/19			423,225,000		420,364,926
1.75%		11/30/19			105,420,000		105,160,567
1.88%		12/31/19			52,425,000		52,413,737
1.88%		12/15/20			72,930,000		72,726,309

Issues

Maturity
Date

Principal
Amount

Value

U.S. TREASURY SECURITIES (continued)

U.S. Treasury Notes (continued)

2.00%

11/30/22

26,615,000

26,376,867

2.13%

12/31/22

9,680,000

9,641,053

Total U.S. Treasury Securities

(Cost $721,432,081)

718,886,971

Total Bonds – 93.48%

(Cost $2,605,694,096)

2,615,122,501

Issues

Shares

Value

COMMON STOCK — 0.07%

Electric — 0.07%

Homer City Holdings LLC^2,4,5

106,501

2,130,020

Total Common Stock

(Cost $6,078,660)

Purchased Swaptions – 0.00%

(Cost $939,000)

21,837

Issues

Maturity
Date

Principal
Amount/

Share

Value

SHORT-TERM INVESTMENTS — 5.88%

Foreign Government Obligations — 2.16%

Japan Treasury Discount Bill, Series 711 (Japan)

0.00%⁷

01/10/18

3,765,000,000

33,422,806

Japan Treasury Discount Bill, Series 722 (Japan)

0.00%⁷

02/26/18

3,030,000,000

26,903,334

60,326,140

Money Market Funds — 3.63%

Dreyfus Government Cash Management Fund

1.19%⁸

64,319,500

Fidelity Investments Money Market Funds - Government Portfolio

1.14%^8,9

412,081

Morgan Stanley Institutional Liquidity Funds-Government Portfolio

1.20%⁸

36,815,000

101,546,581

U.S. Treasury Bills — 0.09%

U.S. Treasury Bills

1.07%⁷

03/01/18

¹⁰

2,529,000

2,523,836

Total Short-Term Investments

(Cost $164,773,382)

164,396,557


Issues	Value
Total Investments Before Written Swaptions — 99.43%
(Cost $ 2,777,485,138)	$	2,781,670,915


Written Swaptions — 0.00%
(Cost $(540,000))		(8,748	)


Cash and Other Assets, Less
Liabilities — 0.57%		15,908,324


Net Assets — 100.00%	$	2,797,570,491

¹	Floating rate security. The rate disclosed was in effect at December 31, 2017.

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

⁴	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $14,462,681, which is 0.52% of total net assets.

⁶

⁷	Represents annualized yield at date of purchase.

⁸	Represents the current yield as of December 31, 2017.

⁹	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $412,081.

¹⁰	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $2,523,740.

^†

Fair valued security. The aggregate value of fair valued securities is $7,568,676, which is 0.27% 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

(EUR): Euro dollar

(GMTN): Global medium-term note

(IO): Interest only

(JPY): Japanese Yen

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

(USD): U.S. dollar


Issues	Maturity Date			Principal Amount		Value
BONDS – 90.56%
ASSET-BACKED SECURITIES — 10.78%**
Bayview Commercial Asset Trust, Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.37%)
1.92%		01/25/35	^1,2	$	231,630	$	228,921
Crystal River, Series 2005-1A, Class A (Cayman Islands)
(LIBOR USD 3-Month plus 0.36%)
1.42%		03/02/46	^1,2,3,4,5		470,845		83,966
Education Loan Asset-Backed Trust, Series 2013-1, Class A2
(LIBOR USD 1-Month plus 0.80%)
2.35%		04/26/32	^1,2		645,000		635,966
GE Business Loan Trust, Series 2005-1A, Class A3
(LIBOR USD 1-Month plus 0.25%)
1.73%		06/15/33	^1,2		273,489		268,410
GE Business Loan Trust, Series 2005-2A, Class A
(LIBOR USD 1-Month plus 0.24%)
1.72%		11/15/33	^1,2		209,828		206,166
Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados)
3.09%		07/17/29	^2,5		200,792		195,400
Higher Education Funding, Series 2014-1, Class A
(LIBOR USD 3-Month plus 1.05%)
2.51%		05/25/34	^1,2		454,562		455,096
Limerock CLO II Ltd., Series 2014-2A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.30%)
2.65%		04/18/26	^1,2,5		200,000		200,299
Magnetite XII CLO Ltd., Series 2015-12A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.33%)
2.69%		04/15/27	^1,2,5		420,000		422,853
Nelnet Student Loan Trust, Series 2014-4A, Class A2
(LIBOR USD 1-Month plus 0.95%)
2.50%		11/25/48	^1,2		500,000		491,010
Panthera Aviation, Series 2013-1
10.00%		01/25/22	^2,3,4,†		338,214		125,140
Scholar Funding Trust, Series 2012-B, Class A2
(LIBOR USD 1-Month plus 1.10%)
2.66%		03/28/46	^1,2		909,544		910,258
SLC Student Loan Trust, Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.29%)
1.71%		08/15/31	¹		223,357		208,956
SLM Student Loan Trust, Series 2004-2, Class B
(LIBOR USD 3-Month plus 0.47%)


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
1.84%		07/25/39	¹	$	418,000	$	398,752
SLM Student Loan Trust, Series 2004-3A, Class A6A
(LIBOR USD 3-Month plus 0.55%)
1.92%		10/25/64	^1,2		270,000		268,637
SLM Student Loan Trust, Series 2005-9, Class B
(LIBOR USD 3-Month plus 0.30%)
1.67%		01/25/41	¹		316,941		292,400
SLM Student Loan Trust, Series 2006-2, Class A6
(LIBOR USD 3-Month plus 0.17%)
1.54%		01/25/41	¹		900,000		873,406
SLM Student Loan Trust, Series 2007-7, Class B
(LIBOR USD 3-Month plus 0.75%)
2.12%		10/27/70	¹		215,000		204,374
SLM Student Loan Trust, Series 2008-1, Class A4
(LIBOR USD 3-Month plus 0.65%)
2.02%		01/25/22	¹		258,522		257,478
SLM Student Loan Trust, Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
2.57%		01/25/83	¹		340,000		332,097
SLM Student Loan Trust, Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
2.57%		04/26/83	¹		340,000		335,616
SLM Student Loan Trust, Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
3.22%		04/25/73	¹		340,000		339,554
SLM Student Loan Trust, Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
3.22%		07/25/73	¹		235,000		240,152
SLM Student Loan Trust, Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
3.22%		07/26/83	¹		340,000		341,010
SLM Student Loan Trust, Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
3.22%		07/26/83	¹		340,000		351,096
SLM Student Loan Trust, Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
3.62%		10/25/75	¹		340,000		359,456
SLM Student Loan Trust, Series 2011-1, Class A2
(LIBOR USD 1-Month plus 1.15%)
2.70%		10/25/34	¹		310,000		317,755


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Structured Receivables Finance 2 LLC, Series 2000, Class A
4.71%		04/15/48	²	$	2,995	$	2,999
Structured Receivables Finance LLC, Series 2010-A, Class B
7.61%		01/16/46	^2,†		362,154		409,952
Structured Receivables Finance LLC, Series 2010-B, Class B
7.97%		08/15/36	²		368,227		430,326
Wachovia Student Loan Trust, Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.17%)
1.54%		04/25/40	^1,2		300,000		289,550


Total Asset-Backed Securities (Cost $10,774,965)							10,477,051

BANK LOANS — 0.20%*
Services — 0.20%
AABS Ltd., Term Loan, Series 2013-1, Class A (STEP) (Bermuda)
4.88%		01/15/38	^5,†		195,048		196,509


Total Bank Loans (Cost $196,610)

CORPORATES — 33.06%*
Automotive — 0.26%
General Motors Co.
3.50%		10/02/18			250,000		252,647


Banking — 6.14%
Bank of America Corp.
3.00%		12/20/23	^2,6		431,000		432,404
3.71%		04/24/28	⁶		525,000		538,265
Bank of America Corp. (MTN)
5.65%		05/01/18			900,000		911,085
6.88%		04/25/18			300,000		304,532
Bank of New York Mellon Corp. (The) (MTN)
2.66%		05/16/23	⁶		250,000		249,079
Discover Bank
2.60%		11/13/18			250,000		250,868
HBOS PLC (GMTN) (United Kingdom)
6.75%		05/21/18	^2,5		455,000		462,388
JPMorgan Chase & Co.
3.22%		03/01/25	⁶		420,000		421,879
3.90%		07/15/25			250,000		261,531
Lloyds Banking Group PLC (United Kingdom)
2.91%		11/07/23	^5,6		200,000		198,304
Santander UK Group Holdings PLC (United Kingdom)
2.88%		08/05/21	⁵		165,000		164,990
UBS AG/Stamford CT (GMTN) (Switzerland)
2.38%		08/14/19	⁵		250,000		250,186


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Wachovia Corp. (MTN)
5.75%		02/01/18		$	790,000	$	792,471
Wells Fargo & Co.
3.00%		04/22/26			145,000		142,627
Wells Fargo & Co. (MTN)
3.58%		05/22/28	⁶		575,000		587,330


							5,967,939


Commercial Services — 0.01%
IHS Markit Ltd. (Bermuda)
4.00%		03/01/26	^2,5		7,000		7,026


Communications — 2.24%
AT&T, Inc.
4.13%		02/17/26			200,000		204,914
4.80%		06/15/44			350,000		344,000
5.25%		03/01/37			265,000		280,598
CBS Corp.
3.70%		06/01/28	²		145,000		143,193
CCO Holdings LLC/CCO Holdings
Capital Corp.
5.00%		02/01/28	²		54,000		52,853
5.13%		05/01/27	²		46,000		45,367
Charter Communications Operating LLC/Charter Communications Operating Capital
6.48%		10/23/45			200,000		234,430
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	⁵		25,000		20,500
9.75%		07/15/25	^2,5		40,000		38,600
Level 3 Financing, Inc.
5.13%		05/01/23			20,000		20,100
5.25%		03/15/26			30,000		29,521
Sprint Communications, Inc.
9.00%		11/15/18	²		90,000		94,950
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	²		187,500		188,437
T-Mobile USA, Inc.
6.13%		01/15/22			95,000		98,230
Verizon Communications, Inc.
4.52%		09/15/48			225,000		222,457
4.86%		08/21/46			150,000		157,056
							2,175,206
Consumer Discretionary — 0.69%
Anheuser-Busch InBev Finance, Inc.
3.65%		02/01/26			200,000		206,707
BAT International Finance PLC (United Kingdom)
1.85%		06/15/18	^2,5		350,000		349,741


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Central Garden & Pet Co.
6.13%		11/15/23		$	55,000	$	58,506
GLP Capital LP/GLP Financing II, Inc.
5.38%		04/15/26			55,000		59,125


							674,079


Electric — 2.16%
Duke Energy Carolinas LLC
3.75%		06/01/45			355,000		366,694
Entergy Texas, Inc.
3.45%		12/01/27			250,000		253,857
Pennsylvania Electric Co.
5.20%		04/01/20			400,000		421,454
Puget Energy, Inc.
6.00%		09/01/21			250,000		276,815
Southern Co. Gas Capital Corp.
3.25%		06/15/26			500,000		493,591
Southwestern Electric Power Co., Series K
2.75%		10/01/26			300,000		288,747


							2,101,158


Energy — 2.41%
Cheniere Corpus Christi Holdings LLC
5.13%		06/30/27			18,000		18,664
CrownRock LP/CrownRock Finance, Inc.
5.63%		10/15/25	²		20,000		20,101
Diamondback Energy, Inc.
4.75%		11/01/24			11,000		11,124
EQT Midstream Partners LP
4.13%		12/01/26			350,000		349,193
Florida Gas Transmission Co. LLC
7.90%		05/15/19	²		200,000		214,283
Gulfport Energy Corp.
6.38%		05/15/25			13,000		13,114
HollyFrontier Corp.
5.88%		04/01/26			285,000		317,833
Kinder Morgan, Inc.
5.63%		11/15/23	²		200,000		221,089
NiSource Finance Corp.
2.65%		11/17/22			150,000		149,210
Parsley Energy LLC/Parsley Finance Corp.
5.25%		08/15/25	²		10,000		10,075
5.38%		01/15/25	²		35,000		35,525
Plains All American Pipeline LP/PAA Finance Corp.
4.65%		10/15/25			125,000		128,963
QEP Resources, Inc.
5.25%		05/01/23			14,000		14,236


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Rockies Express Pipeline LLC
5.63%		04/15/20	²	$	75,000	$	78,937
Ruby Pipeline LLC
6.00%		04/01/22	²		189,394		199,739
Sabine Pass Liquefaction LLC
4.20%		03/15/28			175,000		178,281
Sunoco Logistics Partners Operations LP
5.40%		10/01/47			100,000		100,467
Texas Eastern Transmission LP
2.80%		10/15/22	²		150,000		148,759
Williams Partners LP
3.60%		03/15/22			125,000		127,983


							2,337,576

Finance — 6.37%
Bear Stearns Cos. LLC (The)
7.25%		02/01/18			500,000		502,005
Citigroup, Inc.
1.70%		04/27/18			380,000		379,652
2.50%		09/26/18			400,000		400,501
3.67%		07/24/28	⁶		405,000		410,892
6.13%		05/15/18			325,000		329,953
Ford Motor Credit Co. LLC
2.15%		01/09/18			300,000		299,999
3.16%		08/04/20			275,000		278,327
General Electric Corp. (MTN)
(LIBOR USD 3-Month plus 0.48%)
1.90%		08/15/36	¹		500,000		434,887
Goldman Sachs Group, Inc. (The)
3.69%		06/05/28	⁶		200,000		202,790
6.15%		04/01/18			885,000		894,369
International Lease Finance Corp.
7.13%		09/01/18	²		500,000		515,937
Morgan Stanley
(LIBOR USD 3-Month plus 0.93%)
2.29%		07/22/22	¹		500,000		504,272
Morgan Stanley (GMTN)
6.63%		04/01/18			500,000		505,509
7.30%		05/13/19			500,000		533,230


							6,192,323


Food — 0.55%
Chobani LLC/Chobani Finance Corp., Inc.
7.50%		04/15/25	²		11,000		11,687
Kraft Heinz Foods Co.
3.00%		06/01/26			200,000		192,810
Mondelez International Holdings Netherlands BV (Netherlands)
1.63%		10/28/19	^2,5		300,000		296,048


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
Post Holdings, Inc.
5.75%		03/01/27	²	$	30,000	$	30,600


							531,145


Health Care — 4.09%
Abbott Laboratories
3.75%		11/30/26			355,000		365,414
Actavis Funding SCS (Luxembourg)
3.80%		03/15/25	⁵		250,000		254,899
Amgen, Inc.
4.40%		05/01/45			200,000		218,490
Anthem, Inc.
3.65%		12/01/27			145,000		147,952
Celgene Corp.
5.00%		08/15/45			320,000		363,554
Centene Corp.
4.75%		01/15/25			101,000		103,020
CHS/Community Health Systems, Inc.
6.25%		03/31/23			35,000		31,675
DaVita, Inc.
5.13%		07/15/24			14,000		14,166
Fresenius Medical Care U.S. Finance II, Inc.
4.13%		10/15/20	²		400,000		412,638
5.63%		07/31/19	²		300,000		313,948
Fresenius US Finance II, Inc.
4.25%		02/01/21	²		150,000		156,231
Gilead Sciences, Inc.
4.15%		03/01/47			205,000		218,613
HCA, Inc.
4.75%		05/01/23			30,000		31,125
5.00%		03/15/24			80,000		83,400
Humana, Inc.
2.90%		12/15/22			195,000		194,332
Johnson & Johnson
2.90%		01/15/28			145,000		145,400
Molina Healthcare, Inc.
4.88%		06/15/25	²		33,000		33,083
5.38%		11/15/22			9,000		9,427
Shire Acquisitions Investments Ireland DAC (Ireland)
1.90%		09/23/19	⁵		300,000		297,409
Teleflex, Inc.
4.63%		11/15/27			10,000		10,099
Tenet Healthcare Corp.
4.63%		07/15/24	²		46,000		45,023
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)
1.70%		07/19/19	⁵		125,000		122,071


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Universal Health Services, Inc.
3.75%		08/01/19	²	$	200,000	$	203,625
Valeant Pharmaceuticals International, Inc. (Canada)
6.13%		04/15/25	^2,5		170,000		156,825
WellCare Health Plans, Inc.
5.25%		04/01/25			38,000		40,185


							3,972,604

Industrials — 1.29%
Crown Americas LLC/Crown Americas Capital Corp. V
4.25%		09/30/26			55,000		54,313
Graphic Packaging International, Inc.
4.88%		11/15/22			55,000		58,575
Itron, Inc.
5.00%		01/15/26	²		30,000		30,187
L3 Technologies, Inc.
5.20%		10/15/19			200,000		209,654
OI European Group BV (Netherlands)
4.00%		03/15/23	^2,5		50,000		50,193
Sealed Air Corp.
5.25%		04/01/23	²		100,000		107,000
United Technologies Corp. (STEP)
1.78%		05/04/18			500,000		499,277
Waste Management, Inc.
3.15%		11/15/27			240,000		239,471


							1,248,670

Information Technology — 0.33%
Broadcom Corp./Broadcom Cayman Finance Ltd.
2.38%		01/15/20	²		200,000		198,923
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc.
5.75%		03/01/25	²		48,000		48,090
MSCI, Inc.
4.75%		08/01/26	²		22,000		23,127
Quintiles IMS, Inc.
4.88%		05/15/23	²		51,000		52,976


							323,116

Insurance — 0.94%
Farmers Exchange Capital II
6.15%		11/01/53	^2,6		450,000		517,616
Nationwide Mutual Insurance Co.
3.88%		12/15/24	^2,6		400,000		400,000


							917,616


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Materials — 0.04%
Valvoline, Inc.
5.50%		07/15/24		$	40,000	$	42,700


Real Estate Investment Trust (REIT) — 3.67%
Alexandria Real Estate Equities, Inc.
3.45%		04/30/25			200,000		198,134
American Campus Communities Operating Partnership LP
3.35%		10/01/20			125,000		127,503
American Tower Corp.
3.00%		06/15/23			150,000		149,794
Education Realty Operating Partnership LP
4.60%		12/01/24			300,000		306,477
HCP, Inc.
3.88%		08/15/24			325,000		332,987
Highwoods Realty LP
7.50%		04/15/18			500,000		507,250
Realty Income Corp.
2.00%		01/31/18			500,000		499,934
SBA Communications Corp.
4.00%		10/01/22	²		78,000		78,293
SL Green Realty Corp.
4.50%		12/01/22			200,000		209,670
Ventas Realty LP/Ventas Capital Corp.
2.00%		02/15/18			600,000		599,983
VEREIT Operating Partnership LP
3.00%		02/06/19			140,000		140,613
Welltower, Inc.
3.75%		03/15/23			400,000		414,970


							3,565,608


Retail — 0.47%
BC ULC/New Red Finance, Inc. (Canada)
4.25%		05/15/24	^2,5		20,000		20,000
Cumberland Farms, Inc.
6.75%		05/01/25	²		25,000		26,531
Walgreens Boots Alliance, Inc.
3.80%		11/18/24			400,000		409,334


							455,865


Services — 0.04%
IHS Markit Ltd. (United Kingdom)
5.00%		11/01/22	^2,5		40,000		43,568


Transportation — 1.36%
Continental Airlines Pass-Through Trust, Series 2007, Class 1B
6.90%		04/19/22			878,359		928,052


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1
6.72%		01/02/23		$	350,654	$	389,152


							1,317,204


Total Corporates
(Cost $31,664,901)							32,126,050


MORTGAGE-BACKED — 45.58%**
Non-Agency Commercial Mortgage-Backed — 5.93%
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2014-520M, Class A
4.18%		08/15/46	^2,6		110,000		119,856
CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A
3.37%		03/13/35	²		80,000		81,835
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)
1.81%		09/10/45	^2,3,4,6		1,689,908		111,231
COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class X
0.28%		04/15/47	^2,6		33,178,252		75,476
Commercial Mortgage Trust, Series 2006-GG7, Class AM
5.77%		07/10/38	⁶		398,665		401,553
Commercial Mortgage Trust, Series 2013-CR12, Class XA
1.29%		10/10/46	^3,4,6		2,205,808		112,574
GS Mortgage Securities Trust, Series 2012-SHOP, Class A
2.93%		06/05/31	²		110,000		110,969
GS Mortgage Securities Trust, Series 2017-GPTX, Class XCP
0.81%		05/10/34	^2,3,4,6		5,000,000		94,123
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class XA
1.25%		11/15/45	^3,4,6		4,237,123		174,966
JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class ASB
3.43%		08/15/47			680,000		699,578
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A2
3.18%		09/15/47			815,000		823,972
JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class XA
1.05%		11/15/47	^3,4,6		3,275,707		139,314
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class A2
3.62%		11/15/43	²		157,115		158,841


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, Class A2
4.31%		08/05/32	²	$	80,309	$	82,581
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A3
4.39%		02/15/46	²		311,196		312,824
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class XA (IO)
0.51%		01/15/46	^3,4,6		11,860,615		79,102
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class A2
3.07%		12/15/46			545,649		548,583
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class XA (IO)
1.34%		04/15/46	^3,4,6		1,824,638		95,789
LB-UBS Commercial Mortgage Trust, Series 2003-C1, Class XCL
2.12%		12/15/36	^2,6		235,422		1,825
Morgan Stanley Capital I Trust, Series 2007-T25, Class AJ
5.57%		11/12/49	⁶		340,699		344,043
Morgan Stanley Capital I Trust, Series 2011-C3, Class A3
4.05%		07/15/49			489,052		501,427
OBP Depositor LLC Trust, Series 2010-OBP, Class A
4.65%		07/15/45	²		210,000		219,679
VNDO Mortgage Trust, Series 2013-PENN, Class A
3.81%		12/13/29	²		102,500		105,725
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM
6.01%		02/15/51	⁶		78,290		78,537
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class XA (IO)
1.75%		11/15/44	^2,3,4,6		3,754,203		196,376
WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA
1.96%		11/15/45	^2,3,4,6		1,200,246		90,265


							5,761,044


Non-Agency Mortgage-Backed — 30.74%
ACE Securities Corp., Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.15%)
1.70%		06/25/36	¹		1,585,498		1,298,566


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		$	105,430	$	105,180
Banc of America Funding Trust, Series 2006-3, Class 5A3
5.50%		03/25/36			454,130		433,499
BCAP LLC Trust, Series 2007-AA1, Class 1A2
(LIBOR USD 1-Month plus 0.16%)
1.71%		02/25/47	¹		13,448		14,198
BCAP LLC Trust, Series 2011-RR3, Class 1A5
3.62%		05/27/37	^2,6		184,630		185,069
BCAP LLC Trust, Series 2011-RR3, Class 5A3
3.59%		11/27/37	^2,6		709,475		713,875
Bear Stearns ALT-A Trust, Series 2005-1, Class A1 (LIBOR USD 1-Month plus 0.56%)
2.11%		01/25/35	¹		281,850		279,350
Bear Stearns ARM Trust, Series 2005-2, Class A1 (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.45%)
3.26%		03/25/35	¹		169,690		171,926
Chase Funding Trust, Series 2007-A1, Class 8A1
3.71%		02/25/37	⁶		158,977		162,775
Citigroup Mortgage Loan Trust, Inc., Series 2005-OPT3, Class M2 (LIBOR USD 1-Month plus 0.68%)
2.23%		05/25/35	¹		200,827		202,303
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		08/01/32	⁶		191,092		199,602
Conseco Financial Corp., Series 1996-7, Class M1
7.70%		09/15/26	⁶		376,340		403,929
Conseco Financial Corp., Series 1997-3, Class A7
7.64%		03/15/28	⁶		14,278		14,399
Conseco Financial Corp., Series 1998-3, Class A6
6.76%		03/01/30	⁶		292,014		310,631
Conseco Financial Corp., Series 1998-4, Class A6
6.53%		04/01/30	⁶		381,439		406,387
Conseco Financial Corp., Series 1998-4, Class A7
6.87%		04/01/30	⁶		188,877		202,573


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Conseco Financial Corp., Series 1999-5, Class A5
7.86%		03/01/30	⁶	$	86,967	$	70,681
Conseco Financial Corp., Series 2002-C, Class BF1
8.00%		06/15/32	⁶		748,718		772,146
Conseco Financial Corp., Series 2002-C, Class BF2
8.00%		06/15/32	^2,6		569,702		605,045
Credit Suisse Mortgage Trust, Series 2014-4R, Class 16A1 (LIBOR USD 1-Month plus 0.20%)
0.00%		02/27/36	^1,2		257,668		257,621
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2B (STEP)
4.27%		02/25/37			1,232,936		905,423
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP)
4.27%		02/25/37			407,125		298,940
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB3, Class A3 (STEP)
3.86%		03/25/37			1,150,800		665,862
GMAC Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1
3.84%		04/19/36	⁶		472,609		449,901
GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A (LIBOR USD 1-Month plus 0.18%)
1.73%		01/25/47	¹		2		2
GSR Mortgage Loan Trust, Series 2007-AR2, Class 5A1A
3.51%		05/25/37	⁶		659,819		593,423
HSI Asset Loan Obligation Trust, Series 2007-2, Class 2A12
6.00%		09/25/37			432,918		397,982
Impac CMB Trust, Series 2004-4, Class 1A2 (LIBOR USD 1-Month plus 0.62%)
2.17%		09/25/34	¹		452,130		448,570
IndyMac Index Mortgage Loan Trust, Series 2005-AR25, Class 2A1
3.37%		12/25/35	⁶		492,701		474,486
IndyMac Index Mortgage Loan Trust, Series 2007-FLX2, Class A1C (LIBOR USD 1-Month plus 0.19%)
1.52%		04/25/37	¹		1,636,563		1,461,038
IndyMac Manufactured Housing Contract, Series 1997-1, Class A3
6.61%		02/25/28			253,960		256,951


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Manufactured Housing Contract, Series 1997-1, Class A4
6.75%		02/25/28		$	106,909	$	108,442
IndyMac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%		09/25/28			105,329		111,851
IndyMac Manufactured Housing Contract, Series 1998-1, Class A5
6.96%		09/25/28	⁶		253,878		278,148
IndyMac Manufactured Housing Contract, Series 1998-2, Class A2
6.17%		08/25/29			5,270		5,259
IndyMac Manufactured Housing Contract, Series 1998-2, Class A4
6.64%		08/25/29	⁶		52,171		52,413
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF6 (STEP)
4.41%		03/25/47			985,951		742,318
JPMorgan Mortgage Trust, Series 2006-S2, Class 2A2
5.88%		06/25/21			320,139		313,297
JPMorgan Mortgage Trust, Series 2007-S1, Class 1A2
5.50%		03/25/22			175,210		186,068
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6
6.47%		04/15/40	⁶		136,180		139,529
Lehman XS Trust, Series 2006-13, Class 1A2 (LIBOR USD 1-Month plus 0.17%)
1.72%		09/25/36	¹		376,380		399,596
Lehman XS Trust, Series 2006-9, Class A1B (LIBOR USD 1-Month plus 0.16%)
1.71%		05/25/46	¹		392,337		381,167
MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A4 (LIBOR USD 1-Month plus 0.28%)
1.83%		05/25/37	¹		1,810,500		1,310,875
Merrill Lynch Alternative Note Asset, Series 2007-A3, Class A2D (IO) (LIBOR USD 1-Month plus 0.33%)
1.88%		04/25/37	^1,3,4		1,696,107		194,683
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2B (LIBOR USD 1-Month plus 0.11%)
1.66%		12/25/37	¹		725,646		537,554
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2D (LIBOR USD 1-Month plus 0.22%)
1.55%		01/25/38	¹		2,454,818		1,863,992


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B (LIBOR USD 1-Month plus 0.10%)
1.43%	03/25/37¹	$	881,445	$	588,510
Merrill Lynch Mortgage Investors, Inc., Series 2004-HE2, Class A2C (LIBOR USD 1-Month plus 1.16%)
2.71%	08/25/35¹		709,726		702,066
Mid-State Trust XI, Series 2011, Class B
8.22%	07/15/38		10,765		11,538
Mid-State Trust, Series 2004-1, Class B
8.90%	08/15/37		717,113		815,442
Mid-State Trust, Series 2004-1, Class M1
6.50%	08/15/37		495,960		527,727
Mid-State Trust, Series 2005-1, Class A
5.75%	01/15/40		206,054		224,217
Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4
3.01%	09/25/34⁶		433,363		438,550
Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2
5.96%	06/25/36⁶		2,595,200		1,258,563
Oakwood Mortgage Investors, Inc., Series 1998-A, Class M
6.83%	05/15/28⁶		297,114		305,461
Oakwood Mortgage Investors, Inc., Series 1998-D, Class A
6.40%	01/15/29		62,055		62,335
Oakwood Mortgage Investors, Inc., Series 1999-A, Class A2
5.89%	04/15/29		9,792		9,867
Oakwood Mortgage Investors, Inc., Series 1999-B, Class A4
6.99%	12/15/26		430,110		448,703
Oakwood Mortgage Investors, Inc., Series 2001-D, Class A3
5.90%	09/15/22⁶		948,418		794,148
Oakwood Mortgage Investors, Inc., Series 2002-A, Class A3
6.03%	05/15/24⁶		415,746		434,182
Residential Accredit Loans Trust, Series 2005-QA3, Class NB1
3.78%	03/25/35⁶		686,029		510,475
SG Mortgage Securities Trust, Series 2007-NC1, Class A2 (LIBOR USD 1-Month plus 0.24%)
1.79%	12/25/36^1,2		1,647,227		1,046,538
Specialty Underwriting & Residential Finance, Series 2006-AB3, Class A2B (LIBOR USD 1-Month plus 0.15%)
1.70%	09/25/37¹		619,459		389,720


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A
3.42%		09/25/34⁶	$	530,342	$	526,099
Terwin Mortgage Trust, Series 2004-7HE, Class A1 (LIBOR USD 1-Month plus 0.55%)
2.10%		07/25/34^1,2		98,925		95,288
WaMu Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A (LIBOR USD 1-Month plus 0.29%)
1.84%		07/25/45¹		109,283		107,991
Wells Fargo Home Equity Trust, Series 2007-1, Class A3 (LIBOR USD 1-Month plus 0.32%)
1.87%		03/25/37¹		1,500,000		1,193,104


						29,878,049

U.S. Agency Commercial Mortgage-Backed — 2.90%
Fannie Mae-Aces, Series 2011-M5, Class X
1.13%		07/25/21⁶		5,172,320		174,334
Fannie Mae-Aces, Series 2012-M14, Class X2
0.49%		09/25/22⁶		6,054,061		109,315
Fannie Mae-Aces, Series 2012-M2, Class X
0.70%		02/25/22⁶		3,758,526		85,069
Fannie Mae-Aces, Series 2013-M13, Class FA (LIBOR USD 1-Month plus 0.35%)
1.90%		05/25/18¹		150,610		150,358
Fannie Mae-Aces, Series 2016-M11, Class X2
2.70%		07/25/39⁶		2,362,341		170,635
Fannie Mae-Aces, Series 2016-M13, Class FA (LIBOR USD 1-Month plus 0.67%)
1.91%		11/25/23¹		606,585		607,121
Fannie Mae-Aces, Series 2016-M4, Class X2
2.70%		01/25/39⁶		1,126,401		124,732
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K702, Class X1 (IO)
1.46%		02/25/18⁶		6,633,971		4,724
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K712, Class X1
1.33%		11/25/19⁶		6,372,573		118,817


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K714, Class X1
0.68%		10/25/20	⁶	$	11,130,342	$	175,242
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP01, Class X (IO)
3.27%		01/25/19	⁶		2,633,483		19,581
Freddie Mac Multifamily Structured
Pass-Through Certificates, Series KS07, Class X
0.65%		09/25/25	⁶		6,000,000		257,412
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class A1
3.19%		12/25/19			249,394		251,828
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class AX
1.17%		01/25/20	⁶		3,349,184		62,692
Ginnie Mae, Series 2009-114, Class (IO)
0.00%		10/16/49	⁶		7,738,400		55,114
Ginnie Mae, Series 2011-77, Class (IO)
0.62%		04/16/42	⁶		1,397,764		65,352
Ginnie Mae, Series 2014-103, Class IO
0.62%		05/16/55	⁶		2,637,613		104,124
Ginnie Mae, Series 2014-125, Class (IO)
0.97%		11/16/54	⁶		2,511,835		162,129
Ginnie Mae, Series 2014-88, Class IE
0.32%		03/16/55	⁶		3,924,507		119,491


							2,818,070

U.S. Agency Mortgage-Backed — 6.01%
Fannie Mae Pool 463408
5.25%		08/01/24			266,779		302,881
Fannie Mae Pool 466411
3.31%		11/01/20			340,000		349,749
Fannie Mae Pool 468043
4.31%		06/01/21			256,747		272,106
Fannie Mae Pool 468542
4.50%		08/01/21			325,000		347,973
Fannie Mae Pool 874941
6.32%		11/01/37			512,412		551,871
Fannie Mae Pool AD0149
5.29%		06/01/18			301,203		301,766
Fannie Mae Pool AL2293
4.38%		06/01/21			633,564		671,981
Fannie Mae Pool FN0003
4.28%		01/01/21			328,356		345,474
Fannie Mae REMICS, Series 1993-80, Class S


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
(-1.22 X LIBOR USD 1-Month plus 10.87%, 10.87% Cap)
8.98%		05/25/23	¹	$	2,330	$	2,538
Fannie Mae REMICS, Series 2000-45, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 7.95%, 7.95% Cap)
6.46%		12/18/30	¹		320,466		41,182
Fannie Mae REMICS, Series 2001-42, Class SB
(-16.00 X LIBOR USD 1-Month plus 128.00%, 8.50% Cap)
8.50%		09/25/31	¹		694		829
Fannie Mae REMICS, Series 2003-124, Class TS
(-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap)
9.80%		01/25/34	¹		7,571		8,958
Fannie Mae REMICS, Series 2003-64, Class KS
(-1.29 X LIBOR USD 1-Month plus 9.64%, 9.64% Cap)
7.63%		07/25/18	¹		10,177		9,766
Fannie Mae REMICS, Series 2005-92, Class US (IO)
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)
4.55%		10/25/25	¹		1,589,593		162,228
Fannie Mae REMICS, Series 2006-125, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
5.65%		01/25/37	¹		1,310,010		218,537
Fannie Mae REMICS, Series 2008-50, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)
4.50%		11/25/36	¹		1,635,825		263,413
Fannie Mae REMICS, Series 2010-43, Class KS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)
4.87%		05/25/40	¹		1,418,203		226,172
Freddie Mac REMICS, Series 1602, Class SN
(-4.25 X PRIME plus 46.22%, 10.09% Cap)
10.09%		10/15/23	¹		14,590		16,402
Freddie Mac REMICS, Series 1673, Class SD
(-2.15 X US Treasury Yield Curve Rate T Note Constant Maturity 10 Year plus 19.39%, 18.31% Cap)
14.09%		02/15/24	¹		116,184		143,851
Freddie Mac REMICS, Series 2642, Class BW (IO)
5.00%		06/15/23			4,031		158
Freddie Mac REMICS, Series 2990, Class ND
(-2.54 X LIBOR USD 1-Month plus 16.89%, 16.89% Cap)
13.14%		12/15/34	¹		61,139		66,763


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 3242, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap)
4.87%		11/15/36	¹	$	4,492,004	$	662,817
Freddie Mac REMICS, Series 3247, Class SI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.65%, 6.50% Cap)
0.15%		08/15/36	¹		18,901,009		142,224
Freddie Mac REMICS, Series 3260, Class AS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.38%, 6.38% Cap)
4.90%		01/15/37	¹		3,206,966		517,785
Freddie Mac REMICS, Series 3289, Class SD (IO)
(-1.00 X LIBOR USD 1-Month plus 6.12%, 6.12% Cap)
4.64%		03/15/37	¹		1,155,826		100,947
Ginnie Mae, Series 2001-31, Class SJ
(-3.50 X LIBOR USD 1-Month plus 28.00%, 28.00% Cap)
22.75%		02/20/31	¹		21,240		33,129
Ginnie Mae, Series 2004-8, Class SE
(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap)
11.20%		11/26/23	¹		71,012		80,324


							5,841,824


Total Mortgage-Backed
(Cost $44,507,680)							44,298,987


MUNICIPAL BONDS — 0.94%*
California — 0.54%
San Jose Redevelopment Agency Successor Agency, Series A-T
3.23%		08/01/27			225,000		225,371
State of California, Taxable, Miscellaneous Revenue Bonds, Series B
2.19%		04/01/47			300,000		300,840


							526,211

New York — 0.40%
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Build America Bonds
5.81%		08/01/30			350,000		381,206


Total Municipal Bonds
(Cost $904,556)							907,417


Total Bonds – 90.56%
(Cost $88,048,712)							88,006,014

Issues

Maturity
Date

Principal
Amount/

Shares

Value

SHORT-TERM INVESTMENTS — 8.13%

Foreign Government Obligations — 5.57%

Japan Treasury Discount Bill, Series 711 (Japan)

0.00%⁷

01/10/18

⁵

140,000,000

1,242,813

Japan Treasury Discount Bill, Series 716 (Japan)

0.00%⁷

01/29/18

⁵

285,000,000

2,530,170

Japan Treasury Discount Bill, Series 722 (Japan)

0.00%⁷

02/26/18

⁵

185,000,000

1,642,613

5,415,596

Money Market Funds — 1.75%

Morgan Stanley Institutional Liquidity Funds-Government Portfolio

1.20%⁸

1,700,000

U.S. Treasury Bills — 0.81%

U.S. Treasury Bills

1.07%⁷

03/01/18

⁹

91,000

90,814

1.28%⁷

04/19/18

700,000

697,097

787,911

Total Short-Term Investments

(Cost $7,931,132)

7,903,507

Total Investments – 98.69%

(Cost $95,979,844)

95,909,521

Cash and Other Assets, Less

Liabilities – 1.31%

1,275,672

Net Assets – 100.00%

97,185,193

¹	Floating rate security. The rate disclosed was in effect at December 31, 2017.

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	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁴	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $1,497,529, which is 1.54% of total net assets.

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

⁶

⁷	Represents annualized yield at date of purchase.

⁸	Represents the current yield as of December 31, 2017.

⁹	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $90,811.

^†	Fair valued security. The aggregate value of fair valued securities is $731,601, which is 0.75% 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 – 97.63%
ASSET-BACKED SECURITIES — 5.14%**
A Voce CLO Ltd., Series 2014-1A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.16%)
2.52%		07/15/26	^1,2,3	$	25,475,000	$	25,522,904
Academic Loan Funding Trust, Series 2012-1A, Class A2
(LIBOR USD 1-Month plus 1.10%)
2.43%		12/27/44	^2,3		33,390,000		33,388,923
AIMCO CLO, Series 2014-AA, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.10%)
2.46%		07/20/26	^1,2,3		18,000,000		18,032,513
Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda)
(LIBOR USD 1-Month plus 0.30%)
1.77%		11/14/33	^1,2,3		165,720		156,191
Babson CLO Ltd., Series 2013-IA, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
2.43%		01/20/28	^1,2,3,†		51,145,000		51,400,825
Babson CLO Ltd., Series 2015-IA, Class A (Cayman Islands)
(LIBOR USD 3-Month plus 1.43%)
2.79%		04/20/27	^1,2,3		73,980,000		74,103,506
Babson CLO, Inc., Series 2004-3A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.32%)
2.68%		01/15/26	^1,2,3		21,760,000		21,789,806
Ballyrock CLO LLC, Series 2014-1A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
2.51%		10/20/26	^1,2,3		51,025,000		51,082,176
Bayview Commercial Asset Trust, Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.37%)
1.92%		01/25/35	^2,3		2,261,981		2,235,528
Bayview Commercial Asset Trust, Series 2005-1A, Class A1
(LIBOR USD 1-Month plus 0.30%)
1.85%		04/25/35	^2,3		4,813,101		4,687,831
Betony CLO Ltd., Series 2015-1A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.35%)
2.71%		04/15/27	^1,2,3		30,000,000		30,207,660
Brazos Higher Education Authority, Inc., Series 2005-1, Class 1A4
(LIBOR USD 3-Month plus 0.15%)
1.82%		03/26/29	²		7,041,667		7,014,763
Brazos Higher Education Authority, Inc., Series 2010-1, Class A2
(LIBOR USD 3-Month plus 1.20%)
2.66%		02/25/35	²		13,390,000		13,701,281


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A3
(LIBOR USD 3-Month plus 1.05%)
2.51%		11/25/33	²	$	16,050,000	$	16,165,836
Brazos Higher Education Authority, Inc., Series 2011-2, Class A2
(LIBOR USD 3-Month plus 0.85%)
2.22%		07/25/29	²		1,649,515		1,657,292
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3
(LIBOR USD 3-Month plus 1.00%)
2.37%		10/27/36	²		24,361,000		24,511,129
Brazos Higher Education Authority, Inc., Series 2012-1, Class A1
(LIBOR USD 1-Month plus 0.70%)
2.25%		12/26/35	²		61,496		61,561
CIT Education Loan Trust, Series 2007-1, Class A
(LIBOR USD 3-Month plus 0.09%)
1.76%		03/25/42	^2,3		24,370,265		22,998,373
CIT Education Loan Trust, Series 2007-1, Class B
(LIBOR USD 3-Month plus 0.30%)
1.97%		06/25/42	^2,3		17,057,260		15,383,368
Clear Creek CLO Ltd., Series 2015-1A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
2.56%		10/20/30	^1,2,3		27,190,000		27,381,037
College Loan Corp. Trust, Series 2005-2, Class B
(LIBOR USD 3-Month plus 0.49%)
1.85%		01/15/37	²		3,625,416		3,339,300
Dryden 33 Senior Loan Fund, Series 2014-33A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.43%)
2.79%		10/15/28	^1,2,3		4,000,000		4,032,828
Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR (Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
2.26%		10/15/27	^1,2,3		18,000,000		18,023,184
Dryden XXXI Senior Loan Fund, Series 2014-31A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
2.43%		04/18/26	^1,2,3		34,495,000		34,574,628
Eaton Vance CLO Ltd., Series 2014-1A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
2.56%		07/15/26	^1,2,3		28,570,000		28,604,305
Education Loan Asset-Backed Trust, Series 2013-1, Class A1
(LIBOR USD 1-Month plus 0.80%)


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
2.35%		06/25/26	^2,3	$	6,696,478	$	6,702,819
Education Loan Asset-Backed Trust, Series 2013-1, Class A2
(LIBOR USD 1-Month plus 0.80%)
2.35%		04/26/32	^2,3		12,740,000		12,561,562
Educational Funding of the South, Inc., Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.65%)
2.02%		04/25/35	²		31,335		31,354
Educational Funding of the South, Inc., Series 2012-1, Class A
(LIBOR USD 1-Month plus 1.05%)
2.60%		03/25/36	²		18,303,640		18,413,675
EFS Volunteer No. 2 LLC, Series 2012-1, Class A2
(LIBOR USD 1-Month plus 1.35%)
2.90%		03/25/36	^2,3		16,085,000		16,543,203
GCO Education Loan Funding Trust, Series 2006-1, Class A11L
(LIBOR USD 3-Month plus 0.23%)
1.69%		05/25/36	²		25,000,000		23,363,445
GE Business Loan Trust, Series 2005-1A, Class A3
(LIBOR USD 1-Month plus 0.25%)
1.73%		06/15/33	^2,3		3,268,198		3,207,497
GE Business Loan Trust, Series 2005-2A, Class A
(LIBOR USD 1-Month plus 0.24%)
1.72%		11/15/33	^2,3		5,879,521		5,776,909
Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados)
3.09%		07/17/29	^1,3		58,621,292		57,047,194
Goal Capital Funding Trust, Series 2005-2, Class A3
(LIBOR USD 3-Month plus 0.17%)
1.63%		05/28/30	²		9,192,092		9,182,263
Goal Capital Funding Trust, Series 2005-2, Class B
(LIBOR USD 3-Month plus 0.53%)
1.99%		11/25/44	²		10,790,908		10,338,540
Goal Capital Funding Trust, Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
1.91%		08/25/42	²		3,054,208		2,841,328
Goal Structured Solutions Trust, Series 2015-1, Class A
(LIBOR USD 1-Month plus 0.65%)
2.20%		09/25/41	^2,3		102,201,107		101,770,013
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A (Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
2.52%		04/25/25	^1,2,3		5,689,806		5,691,329


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	³	$	870,288	$	909,124
J.G. Wentworth XXXII LLC,
Series 2014-2A, Class A
3.61%		01/17/73	³		51,334,415		52,295,781
Limerock CLO III Ltd., Series 2014-3A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
2.56%		10/20/26	^1,2,3		77,975,000		78,069,545
Magnetite XI CLO Ltd., Series 2014-11A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.12%)
2.47%		01/18/27	^1,2,3		56,045,000		56,247,210
Magnetite XI CLO Ltd., Series 2014-9A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.00%)
2.37%		07/25/26	^1,2,3		1,497,000		1,500,657
Magnetite XII CLO Ltd., Series 2015-12A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.33%)
2.69%		04/15/27	^1,2,3		21,930,000		22,078,992
Navient Student Loan Trust, Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.51%)
2.06%		06/25/31	²		1,175,000		1,172,357
Navient Student Loan Trust, Series 2014-2, Class A
(LIBOR USD 1-Month plus 0.64%)
2.19%		03/25/83	²		81,743,790		81,239,476
Navient Student Loan Trust, Series 2014-3, Class A
(LIBOR USD 1-Month plus 0.62%)
2.17%		03/25/83	²		85,009,557		84,607,513
Navient Student Loan Trust, Series 2014-4, Class A
(LIBOR USD 1-Month plus 0.62%)
2.17%		03/25/83	²		131,260,290		130,287,047
Navient Student Loan Trust, Series 2014-5, Class A
(LIBOR USD 1-Month plus 0.62%)
2.17%		03/25/83	²		107,043,822		106,030,266
Navient Student Loan Trust, Series 2014-6, Class A
(LIBOR USD 1-Month plus 0.61%)
2.16%		03/25/83	²		107,552,775		106,798,690
Navient Student Loan Trust, Series 2014-7, Class A
(LIBOR USD 1-Month plus 0.61%)
2.16%		03/25/83	²		110,292,142		109,530,132
Navient Student Loan Trust, Series 2015-1, Class A2
(LIBOR USD 1-Month plus 0.60%)


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
2.15%		04/25/40	²	$	199,400,000	$	199,645,541
Navient Student Loan Trust, Series 2015-2, Class A3
(LIBOR USD 1-Month plus 0.57%)
2.12%		11/26/40	²		98,255,000		98,155,969
Navient Student Loan Trust, Series 2016-1A, Class A
(LIBOR USD 1-Month plus 0.70%)
2.25%		02/25/70	^2,3		39,359,692		39,548,007
Nelnet Student Loan Trust, Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.45%)
1.90%		08/23/36	^2,3		12,500,000		12,234,893
Nelnet Student Loan Trust, Series 2007-2A, Class A3L
(LIBOR USD 3-Month plus 0.35%)
1.68%		03/25/26	^2,3		43,495,790		43,015,612
Nelnet Student Loan Trust, Series 2008-3, Class A4
(LIBOR USD 3-Month plus 1.65%)
3.11%		11/25/24	²		2,044,878		2,083,537
Nelnet Student Loan Trust, Series 2014-3A, Class A
(LIBOR USD 1-Month plus 0.58%)
2.13%		06/25/41	^2,3		31,006,603		30,982,923
Nelnet Student Loan Trust, Series 2014-4A, Class A2
(LIBOR USD 1-Month plus 0.95%)
2.50%		11/25/48	^2,3		21,495,000		21,108,506
Nelnet Student Loan Trust, Series 2014-5A, Class A
(LIBOR USD 1-Month plus 0.55%)
1.88%		07/25/46	^2,3		94,859,816		94,771,416
Nelnet Student Loan Trust, Series 2015-1A, Class A
(LIBOR USD 1-Month plus 0.59%)
1.92%		04/25/46	^2,3		171,302,818		171,368,719
Nelnet Student Loan Trust, Series 2015-2A, Class A2
(LIBOR USD 1-Month plus 0.60%)
2.15%		09/25/47	^2,3		212,347,428		210,860,561
Nelnet Student Loan Trust, Series 2015-3A, Class A2
(LIBOR USD 1-Month plus 0.60%)
1.93%		02/27/51	^2,3		7,781,746		7,772,243
Nelnet Student Loan Trust, Series 2015-3A, Class A3
(LIBOR USD 1-Month plus 0.90%)
2.23%		06/25/54	^2,3		13,095,000		12,920,509
North Carolina State Education Authority, Series 2011-1, Class A3
(LIBOR USD 3-Month plus 0.90%)
2.27%		10/25/41	²		24,545,000		24,516,804


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
North Carolina State Education Authority, Series 2011-2, Class A2
(LIBOR USD 3-Month plus 0.80%)
2.17%		07/25/25	²	$	5,237	$	5,247
Northstar Education Finance, Inc., Series 2007-1, Class A1
(1.00 X LIBOR USD 3-Month plus 0.10%)
1.48%		04/28/30	²		8,549		8,503
Northstar Education Finance, Inc., Series 2007-1, Class A2
(1.00 X LIBOR USD 3-Month plus 0.75%)
2.13%		01/29/46	²		42,780,000		41,384,296
Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A3
(LIBOR USD 3-Month plus 0.95%)
2.64%		10/01/37	²		16,955,000		17,229,430
Panthera Aviation, Series 2013-1
10.00%		01/25/22	^3,4,5,†		13,004,312		4,811,621
Panthera Aviation, Series 2013-2⁶
10.00%		03/20/24	^3,4,5,7,†		15,944,679		5,580,669
PHEAA Student Loan Trust, Series 2015-1A, Class A
(LIBOR USD 1-Month plus 0.60%)
2.15%		10/25/41	^2,3		192,217,091		190,159,273
Scholar Funding Trust, Series 2012-B, Class A2
(LIBOR USD 1-Month plus 1.10%)
2.66%		03/28/46	^2,3		35,313,042		35,340,756
SLC Student Loan Trust I, Series 2002-2, Class B2
(28 Day Auction Rate plus 0.00%)
1.61%		07/01/42	^2,3		23,450,000		18,652,388
SLC Student Loan Trust, Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.16%)
1.75%		03/15/55	²		9,495,000		9,126,076
SLC Student Loan Trust, Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.21%)
1.80%		03/15/55	²		117,731		111,839
SLC Student Loan Trust, Series 2006-2, Class A6
(LIBOR USD 3-Month plus 0.16%)
1.75%		09/15/39	²		16,000,000		15,226,971
SLC Student Loan Trust, Series 2008-1, Class A4A
(LIBOR USD 3-Month plus 1.60%)
3.19%		12/15/32	²		20,188,459		20,835,939
SLM Student Loan Trust I, Series 2003-10A, Class A3
(LIBOR USD 3-Month plus 0.55%)
2.06%		12/15/27	^2,3		140,709,477		141,108,963


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2003-4, Class A5E
(LIBOR USD 3-Month plus 0.75%)
2.34%		03/15/33	^2,3	$	6,972,721	$	6,943,631
SLM Student Loan Trust, Series 2004-1, Class A4
(LIBOR USD 3-Month plus 0.26%)
1.63%		10/27/25	²		2,810,000		2,806,346
SLM Student Loan Trust, Series 2004-3A, Class A6A
(LIBOR USD 3-Month plus 0.55%)
1.92%		10/25/64	^2,3		82,990,000		82,571,058
SLM Student Loan Trust, Series 2005-5, Class A5
(LIBOR USD 3-Month plus 0.75%)
2.12%		10/25/40	²		7,134,000		7,091,030
SLM Student Loan Trust, Series 2006-2, Class A6
(LIBOR USD 3-Month plus 0.17%)
1.54%		01/25/41	²		42,655,000		41,394,592
SLM Student Loan Trust, Series 2006-8, Class A6
(LIBOR USD 3-Month plus 0.16%)
1.53%		01/25/41	²		32,855,000		31,835,496
SLM Student Loan Trust, Series 2007-1, Class B
(LIBOR USD 3-Month plus 0.22%)
1.59%		01/27/42	²		5,656,922		5,329,713
SLM Student Loan Trust, Series 2007-3, Class A4
(LIBOR USD 3-Month plus 0.06%)
1.43%		01/25/22	²		3,160,000		3,072,703
SLM Student Loan Trust, Series 2007-6, Class A4
(LIBOR USD 3-Month plus 0.38%)
1.75%		10/25/24	²		29,813,792		29,814,395
SLM Student Loan Trust, Series 2007-6, Class B
(LIBOR USD 3-Month plus 0.85%)
2.22%		04/27/43	²		5,261,103		5,117,359
SLM Student Loan Trust, Series 2008-1, Class A4
(LIBOR USD 3-Month plus 0.65%)
2.02%		01/25/22	²		56,202,631		55,975,676
SLM Student Loan Trust, Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
2.57%		01/25/83	²		38,874,000		37,970,391
SLM Student Loan Trust, Series 2008-3, Class A3
(LIBOR USD 3-Month plus 1.00%)
2.37%		10/25/21	²		26,755		26,930


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
2.57%		04/26/83	²	$	1,750,000	$	1,727,435
SLM Student Loan Trust, Series 2008-4, Class A4
(LIBOR USD 3-Month plus 1.65%)
3.02%		07/25/22	²		3,305,897		3,391,779
SLM Student Loan Trust, Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
3.22%		04/25/73	²		8,759,000		8,747,505
SLM Student Loan Trust, Series 2008-5, Class A4
(LIBOR USD 3-Month plus 1.70%)
3.07%		07/25/23	²		23,639,439		24,403,815
SLM Student Loan Trust, Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
3.22%		07/25/73	²		37,199,000		38,014,493
SLM Student Loan Trust, Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
3.22%		07/26/83	²		31,644,000		31,738,005
SLM Student Loan Trust, Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
3.22%		07/26/83	²		17,346,000		17,912,105
SLM Student Loan Trust, Series 2008-8, Class A4
(LIBOR USD 3-Month plus 1.50%)
2.87%		04/25/23	²		6,445,000		6,618,065
SLM Student Loan Trust, Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
3.62%		10/25/75	²		545,000		576,187
SLM Student Loan Trust, Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
2.87%		04/25/23	²		162,164,996		166,087,184
SLM Student Loan Trust, Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
3.62%		10/25/83	²		45,100,000		46,907,051
SLM Student Loan Trust, Series 2009-3, Class A
(LIBOR USD 1-Month plus 0.75%)
2.30%		01/25/45	^2,3		226,036,234		224,585,047
SLM Student Loan Trust, Series 2011-1, Class A2
(LIBOR USD 1-Month plus 1.15%)
2.70%		10/25/34	²		3,070,000		3,146,800


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.70%)
2.25%		01/25/29	²	$	17,005,685	$	17,083,231
SLM Student Loan Trust, Series 2012-3, Class A
(LIBOR USD 1-Month plus 0.65%)
2.20%		12/27/38	²		37,695,676		37,939,530
SLM Student Loan Trust, Series 2012-7, Class A3
(LIBOR USD 1-Month plus 0.65%)
2.20%		05/26/26	²		32,420,000		32,224,892
SLM Student Loan Trust, Series 2013-6, Class A3
(LIBOR USD 1-Month plus 0.65%)
2.20%		06/25/55	²		29,150,015		29,442,384
South Carolina Student Loan Corp., Floating Rate Notes, Series 2006-1, Class A2
(1.00 X LIBOR USD 3-Month plus 0.10%)
1.60%		12/01/22	²		1,494,950		1,493,436
Vermont Student Assistance Corp., Series 2012-1, Class A
(LIBOR USD 1-Month plus 0.70%)
2.26%		07/28/34	²		5,298,665		5,301,367
Voya CLO Ltd., Series 2013-3A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.05%)
2.40%		01/18/26	^1,2,3		4,425,000		4,427,992
Voya CLO Ltd., Series 2014-3A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 0.72%)
2.24%		07/25/26	^1,2,3,†		20,675,000		20,673,187
Voya CLO Ltd., Series 2014-4A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
2.31%		10/14/26	^1,2,3		11,325,000		11,349,688
Wachovia Student Loan Trust, Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.17%)
1.54%		04/25/40	^2,3		20,000		19,303

Total Asset-Backed Securities
(Cost $4,142,750,908)							4,146,621,681


BANK LOANS — 0.66%*
Communications — 0.02%
Intelsat Jackson Holdings SA, Term Loan B4, 1st Lien (Luxembourg)
(LIBOR plus 4.50%)
		01/02/24	^1,2		2,000,000		2,029,170
Intelsat Jackson Holdings SA, Term Loan B5, 1st Lien (Luxembourg)
6.63%		01/15/24	^1,2		7,000,000		7,086,065


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Communications (continued)
Level 3 Financing, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.70%		02/22/24	²	$	6,750,000	$	6,759,653


							15,874,888

Consumer Discretionary — 0.08%
BC ULC/New Red Finance, Inc., Term Loan B, 1st Lien (Canada)
(LIBOR plus 2.25%)
3.87%		02/16/24	^1,2		37,069,291		37,098,946
Reynolds Group Holdings, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.75%)
4.32%		02/06/23	²		26,860,680		27,017,815


							64,116,761

Electric — 0.03%
Dayton Power & Light Co. (The), Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.57%		08/24/22	²		11,969,773		12,044,644
3.57%		08/24/22	²		997,481		1,003,720
Homer City Generation LP, Term Loan B, 1st Lien
(LIBOR plus 11.00%)
12.57%		04/05/23	^2,4,5		8,144,726		7,099,473
Vistra Energy Co. LLC, Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.02%		08/04/23	²		6,746,382		6,790,672
Vistra Energy Co. LLC, Term Loan C, 1st Lien
(LIBOR plus 2.50%)
3.83%		08/04/23	²		1,195,531		1,203,380


							28,141,889

Energy — 0.00%
Drillship Kithira Owners, Inc., Term Loan Exit, 1st Lien
(Cayman Islands)
8.00%		09/20/24	^1,2		312,082		315,789


Finance — 0.05%
Delos Finance SARL, Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.69%		10/06/23	²		39,860,873		40,213,243


Health Care — 0.12%
Gilead Sciences, Inc., Term Loan
(LIBOR plus 1.00%)
2.34%		09/08/22	²		92,975,000		92,975,000


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Industrials — 0.02%
Tyco International Holdings SARL, Term Loan, 1st Lien
(LIBOR plus 1.75%)
3.09%		03/06/20	^2,4,5	$	16,327,080	$	16,311,814

Information Technology — 0.22%
Dell International LLC, Term Loan A3, 1st Lien
(LIBOR plus 1.50%)
3.07%		12/31/18	²		105,795,647		105,883,458
First Data Corp., Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.80%		07/08/22	²		9,850,000		9,867,878
3.80%		04/26/24	²		60,048,232		60,139,505
Quintiles IMS, Inc., Term Loan B2, 1st Lien
(LIBOR plus 2.00%)
3.69%		01/17/25	²		2,992,500		3,009,871


							178,900,712

Real Estate Investment Trust (REIT) — 0.11%
MGM Growth Properties Operating Partnership LP, Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.82%		04/25/23	²		25,301,498		25,432,433
Ventas Realty LP, Term Loan A
(LIBOR plus 0.98%)
2.54%		08/03/20	²		61,360,000		61,053,200


							86,485,633

Services — 0.01%
AABS Ltd., Term Loan, Series 2013-1, Class A (STEP) (Bermuda)
4.88%		01/15/38	^1,†		9,935,243		10,009,672

Total Bank Loans
(Cost $533,463,876)							533,345,401


CORPORATES — 29.43%*
Automotive — 0.10%
Ford Motor Co.
4.75%		01/15/43			2,630,000		2,676,947
General Motors Co.
3.50%		10/02/18			29,890,000		30,206,494
5.00%		04/01/35			4,825,000		5,128,157
5.20%		04/01/45			1,975,000		2,094,627
6.60%		04/01/36			15,025,000		18,349,431
(LIBOR USD 3-Month plus 0.80%)
2.19%		08/07/20	²		5,000,000		5,031,835
Goodyear Tire & Rubber Co. (The)
4.88%		03/15/27			17,286,000		17,739,757


							81,227,248


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking — 6.26%
Bank of America Corp.
2.00%		01/11/18		$	143,621,000	$	143,624,355
3.00%		12/20/23	^3,8		119,692,000		120,081,807
3.42%		12/20/28	^3,8		99,076,000		99,222,018
3.71%		04/24/28	⁸		211,240,000		216,577,190
6.50%		07/15/18			18,440,000		18,866,155
6.88%		11/15/18			53,286,000		55,470,513
Bank of America Corp. (GMTN)
2.37%		07/21/21	⁸		116,120,000		115,864,013
3.59%		07/21/28	⁸		67,370,000		68,334,839
Bank of America Corp. (MTN)
3.09%		10/01/25	⁸		131,880,000		131,696,940
3.82%		01/20/28	⁸		19,952,000		20,661,399
4.00%		04/01/24			14,827,000		15,687,009
4.13%		01/22/24			86,667,000		92,249,318
5.00%		01/21/44			3,270,000		3,959,022
5.65%		05/01/18			221,598,000		224,327,245
6.88%		04/25/18			346,126,000		351,355,272
Bank of America Corp., Series L
2.60%		01/15/19			5,239,000		5,257,732
Bank of New York Mellon Corp. (MTN) (The)
1.35%		03/06/18			750,000		749,370
Bank of New York Mellon Corp. (The) (MTN)
2.66%		05/16/23	⁸		4,500,000		4,483,426
Bank One Corp.
8.00%		04/29/27			2,500,000		3,349,128
Bank One Corp. (STEP)
8.53%		03/01/19			1,810,000		1,942,088
Capital One Bank USA N.A. (BKNT)
2.15%		11/21/18			11,602,000		11,610,329
Capital One Financial Corp.
2.45%		04/24/19			300,000		300,599
3.20%		02/05/25			700,000		694,250
Credit Suisse/New York (GMTN) (Switzerland)
(LIBOR USD 3-Month plus 0.69%)
2.07%		01/29/18	^1,2		15,200,000		15,204,606
Discover Bank
2.00%		02/21/18			63,791,000		63,792,738
2.60%		11/13/18			121,150,000		121,570,560
4.20%		08/08/23			10,900,000		11,460,595
7.00%		04/15/20			9,000,000		9,833,409
Discover Bank (BKNT)
3.10%		06/04/20			6,023,000		6,094,463
3.20%		08/09/21			6,970,000		7,061,439
8.70%		11/18/19			3,676,000		4,059,683
HBOS PLC (GMTN) (United Kingdom)
6.75%		05/21/18	^1,3		133,564,000		135,732,812
JPMorgan Chase & Co.
1.80%		01/25/18			8,600,000		8,599,186


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
2.55%		10/29/20		$	52,420,000	$	52,615,133
2.70%		05/18/23			26,300,000		26,155,442
2.75%		06/23/20			33,300,000		33,602,370
2.95%		10/01/26			4,570,000		4,497,010
3.20%		01/25/23			9,750,000		9,923,243
3.20%		06/15/26			76,341,000		76,371,918
3.22%		03/01/25	⁸		167,531,000		168,280,450
3.54%		05/01/28	⁸		111,980,000		113,796,316
3.63%		05/13/24			4,750,000		4,943,296
3.78%		02/01/28	⁸		28,530,000		29,587,365
3.90%		07/15/25			65,269,000		68,279,435
4.25%		10/15/20			10,525,000		11,043,456
4.95%		03/25/20			20,000,000		21,137,908
6.00%		01/15/18			367,481,000		367,994,018
6.30%		04/23/19			6,108,000		6,434,515
(LIBOR USD 3-Month plus 0.96%)
2.32%		01/23/20	²		15,000,000		15,204,850
JPMorgan Chase & Co., Series H (MTN)
1.70%		03/01/18			16,735,000		16,730,178
Lloyds Banking Group PLC
(United Kingdom)
2.91%		11/07/23	^1,8		73,005,000		72,385,881
3.57%		11/07/28	^1,8		17,340,000		17,222,998
Macquarie Bank Ltd. (Australia)
2.35%		01/15/19	^1,3		12,785,000		12,789,987
PNC Bank N.A.
1.80%		11/05/18			26,460,000		26,429,386
Royal Bank of Scotland PLC
(United Kingdom)
6.00%		12/19/23	¹		5,200,000		5,734,622
Santander UK Group Holdings PLC
(United Kingdom)
2.88%		10/16/20	¹		79,390,000		79,761,942
2.88%		08/05/21	¹		20,955,000		20,953,743
Santander UK PLC (United Kingdom)
2.50%		03/14/19	¹		35,166,000		35,268,280
3.05%		08/23/18	¹		7,225,000		7,275,137
UBS AG/London (Switzerland)
(LIBOR USD 3-Month plus 0.32%)
1.80%		05/28/19	^1,2,3		108,045,000		108,076,117
UBS AG/Stamford CT (BKNT) (Switzerland)
1.80%		03/26/18	¹		62,275,000		62,285,431
UBS AG/Stamford CT (GMTN) (Switzerland)
2.38%		08/14/19	¹		4,431,000		4,434,301
(LIBOR USD 3-Month plus 0.70%)
2.37%		03/26/18	^1,2		80,250,000		80,394,771
Wachovia Corp. (MTN)
5.75%		02/01/18			177,344,000		177,898,732


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Wells Fargo & Co.
2.10%		07/26/21		$	4,610,000	$	4,531,909
2.15%		01/15/19			15,135,000		15,152,762
3.00%		04/22/26			97,995,000		96,391,557
3.00%		10/23/26			79,596,000		78,106,335
Wells Fargo & Co. (GMTN)
1.50%		01/16/18			103,929,000		103,918,414
2.60%		07/22/20			20,646,000		20,766,340
4.90%		11/17/45			690,000		782,799
Wells Fargo & Co. (MTN)
2.63%		07/22/22			361,894,000		360,112,577
3.30%		09/09/24			5,895,000		5,969,214
3.55%		09/29/25			50,053,000		51,298,128
3.58%		05/22/28	⁸		217,750,000		222,419,322
Wells Fargo Bank N.A.
1.75%		05/24/19			60,000,000		59,693,760
Wells Fargo Bank N.A. (BKNT)
2.15%		12/06/19			97,065,000		96,963,562
Wells Fargo Bank N.A. (BKNT) (MTN)
1.65%		01/22/18			110,930,000		110,913,638


							5,054,302,056

Commercial Services — 0.01%
IHS Markit Ltd. (Bermuda)
4.00%		03/01/26	^1,3		11,069,000		11,110,509

Communications — 2.57%
21st Century Fox America, Inc.
4.75%		09/15/44			5,800,000		6,670,305
4.95%		10/15/45			3,155,000		3,745,821
5.40%		10/01/43			6,105,000		7,579,514
6.15%		03/01/37			3,931,000		5,167,021
Altice Financing SA (Luxembourg)
7.50%		05/15/26	^1,3		1,230,000		1,313,025
Altice U.S. Finance I Corp.
5.38%		07/15/23	³		12,496,000		12,808,400
5.50%		05/15/26	³		62,952,000		64,289,730
AT&T, Inc.
3.40%		05/15/25			115,030,000		113,433,556
3.95%		01/15/25			15,580,000		15,975,439
4.13%		02/17/26			50,446,000		51,685,364
4.35%		06/15/45			31,078,000		28,742,892
4.45%		04/01/24			12,195,000		12,916,995
4.50%		05/15/35			34,220,000		34,113,610
4.50%		03/09/48			30,395,000		28,598,610
4.55%		03/09/49			15,335,000		14,396,047
4.60%		02/15/21			2,343,000		2,467,587
4.75%		05/15/46			19,253,000		18,902,783
4.80%		06/15/44			95,954,000		94,309,118
4.90%		08/14/37			8,581,000		8,716,001


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
5.00%		03/01/21		$	2,000,000	$	2,143,358
5.15%		11/15/46	³		29,450,000		30,211,868
5.25%		03/01/37			167,449,000		177,305,299
CBS Corp.
3.70%		06/01/28	³		56,360,000		55,657,642
CCO Holdings LLC/CCO Holdings
Capital Corp.
5.00%		02/01/28	³		69,643,000		68,163,086
Cequel Communications Holdings I LLC/Cequel Capital Corp.
6.38%		09/15/20	³		4,502,000		4,572,344
Charter Communications Operating LLC/Charter Communications Operating Capital
3.58%		07/23/20			13,125,000		13,377,541
4.20%		03/15/28			9,600,000		9,549,077
4.91%		07/23/25			1,460,000		1,547,103
6.38%		10/23/35			27,949,000		32,813,523
6.48%		10/23/45			74,610,000		87,454,111
Comcast Corp.
2.75%		03/01/23			23,084,000		23,094,598
3.60%		03/01/24			600,000		625,046
4.05%		11/01/52			1,975,000		2,020,351
4.40%		08/15/35			15,360,000		16,823,825
4.65%		07/15/42			5,150,000		5,820,982
Cox Communications, Inc.
3.15%		08/15/24	³		17,830,000		17,530,197
CSC Holdings LLC
5.50%		04/15/27	³		11,240,000		11,492,900
6.75%		11/15/21			4,216,000		4,532,200
8.63%		02/15/19			8,975,000		9,491,063
DISH DBS Corp.
5.88%		07/15/22			1,846,000		1,859,845
6.75%		06/01/21			11,275,000		11,866,937
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	¹		23,833,000		19,543,060
9.75%		07/15/25	^1,3		13,355,000		12,887,575
Level 3 Financing, Inc.
5.13%		05/01/23			5,110,000		5,135,550
5.25%		03/15/26			3,484,000		3,428,430
5.38%		01/15/24			18,178,000		18,200,723
5.38%		05/01/25			6,110,000		6,117,637
5.63%		02/01/23			4,436,000		4,480,360
Numericable-SFR SA (France)
7.38%		05/01/26	^1,3		5,130,000		5,283,900
Qualitytech LP/QTS Finance Corp.
4.75%		11/15/25	³		3,384,000		3,426,300
Sirius XM Radio, Inc.
3.88%		08/01/22	³		1,525,000		1,538,191
Sky PLC (United Kingdom)
6.10%		02/15/18	^1,3		1,375,000		1,381,449


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Softbank Group Corp. (Japan)
4.50%		04/15/20	^1,3	$	23,825,000	$	24,392,035
Sprint Communications, Inc.
9.00%		11/15/18	³		55,529,000		58,583,095
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%		09/20/21	³		27,563,438		27,701,255
Time Warner Cable LLC
4.50%		09/15/42			5,000,000		4,733,823
5.50%		09/01/41			23,141,000		24,199,558
5.88%		11/15/40			55,883,000		61,170,985
6.75%		07/01/18			63,452,000		64,866,355
8.25%		04/01/19			8,442,000		9,024,392
8.75%		02/14/19			16,125,000		17,219,759
Time Warner Entertainment Co. LP
8.38%		03/15/23			1,400,000		1,705,247
Time Warner, Inc.
3.80%		02/15/27			23,740,000		23,746,837
T-Mobile USA, Inc.
4.00%		04/15/22			2,647,000		2,719,793
6.13%		01/15/22			15,127,000		15,641,318
6.63%		04/01/23			18,847,000		19,600,880
6.84%		04/28/23			14,756,000		15,493,800
Verizon Communications, Inc.
3.85%		11/01/42			29,678,000		26,993,432
4.40%		11/01/34			27,795,000		28,406,624
4.52%		09/15/48			31,171,000		30,818,669
4.60%		04/01/21			1,200,000		1,277,777
4.67%		03/15/55			2,681,000		2,599,547
4.81%		03/15/39			17,693,000		18,572,726
4.86%		08/21/46			115,976,000		121,431,569
5.01%		04/15/49			68,722,000		72,365,355
5.25%		03/16/37			136,044,000		150,069,116
Viacom, Inc.
3.45%		10/04/26			49,665,000		47,252,299
Virgin Media Secured Finance PLC (United Kingdom)
5.50%		08/15/26	^1,3		8,144,000		8,347,600


							2,074,141,735

Consumer Discretionary — 0.75%
Altria Group, Inc.
9.70%		11/10/18			47,493,000		50,531,293
Anheuser-Busch InBev Finance, Inc.
3.70%		02/01/24			1,250,000		1,308,474
4.70%		02/01/36			59,735,000		67,255,995
4.90%		02/01/46			83,667,000		97,302,838
Anheuser-Busch North American Holding Corp.
2.20%		08/01/18	³		29,840,000		29,875,686


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
BAT International Finance PLC (EMTN) (United Kingdom)
1.63%		09/09/19	¹	$	22,385,000	$	22,051,177
BAT International Finance PLC (United Kingdom)
1.85%		06/15/18	^1,3		134,645,000		134,545,462
Central Garden & Pet Co.
5.13%		02/01/28			16,669,000		16,648,164
6.13%		11/15/23			41,241,000		43,870,114
Constellation Brands, Inc.
2.00%		11/07/19			39,850,000		39,609,622
First Quality Finance Co., Inc.
4.63%		05/15/21	³		26,578,000		26,843,780
5.00%		07/01/25	³		10,496,000		10,732,160
GLP Capital LP/GLP Financing II, Inc.
4.38%		11/01/18			4,826,000		4,886,325
4.88%		11/01/20			644,000		669,760
KFC Holding Co./Pizza Hut Holdings LLC/ Taco Bell of America LLC
4.75%		06/01/27	³		4,067,000		4,168,675
KFC Holding Co/Pizza Hut Holdings LLC/ Taco Bell of America LLC
5.00%		06/01/24	³		750,000		775,313
5.25%		06/01/26	³		1,962,000		2,071,136
Reynolds American, Inc.
4.00%		06/12/22			7,367,000		7,691,668
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
5.75%		10/15/20			35,676,731		36,390,266
(LIBOR USD 3-Month plus 3.50%)
4.86%		07/15/21	^2,3		3,800,000		3,866,500
Spectrum Brands, Inc.
5.75%		07/15/25			2,056,000		2,169,080
6.13%		12/15/24			1,961,000		2,083,563


							605,347,051

Consumer Products — 0.20%
BAT Capital Corp.
2.30%		08/14/20	³		114,120,000		113,563,809
2.76%		08/15/22	³		43,180,000		42,991,094
Reynolds American, Inc.
6.88%		05/01/20			2,720,000		2,983,811


							159,538,714

Electric — 1.80%
AEP Transmission Co. LLC
3.10%		12/01/26			16,140,000		16,190,377
Alabama Power Capital Trust V
4.79%		10/01/42	⁸		290,000		288,721
American Electric Power Co., Inc.
3.20%		11/13/27			24,175,000		24,053,609


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
American Transmission Systems, Inc.
5.00%		09/01/44	³	$	3,145,000	$	3,659,453
Appalachian Power Co.
4.45%		06/01/45			30,241,000		33,815,078
Appalachian Power Co., Series X
3.30%		06/01/27			14,500,000		14,572,810
Dominion Energy, Inc.
(LIBOR USD 3-Month plus 0.40%)
1.92%		12/01/20	^2,3		49,325,000		49,282,334
(LIBOR USD 3-Month plus 0.55%)
2.03%		06/01/19	^2,3		70,520,000		70,716,675
Dominion Resources, Inc.
1.88%		12/15/18	³		27,940,000		27,896,666
Duke Energy Carolinas LLC
2.50%		03/15/23			8,772,000		8,699,950
3.70%		12/01/47			1,923,000		1,986,321
3.75%		06/01/45			35,725,000		36,901,835
3.88%		03/15/46			3,000,000		3,154,257
4.00%		09/30/42			17,550,000		18,750,367
4.25%		12/15/41			28,843,000		31,818,275
Duke Energy Indiana LLC
3.75%		05/15/46			3,225,000		3,316,695
Duke Energy Indiana LLC, Series UUU
4.20%		03/15/42			7,700,000		8,254,774
Duke Energy Indiana LLC, Series WWW
4.90%		07/15/43			7,000,000		8,442,459
Duke Energy Progress LLC
3.25%		08/15/25			5,305,000		5,420,711
3.70%		10/15/46			20,715,000		21,269,043
4.10%		05/15/42			8,915,000		9,677,380
4.15%		12/01/44			10,900,000		11,965,949
4.20%		08/15/45			24,970,000		27,499,709
Duquesne Light Holdings, Inc.
5.90%		12/01/21	³		2,000,000		2,213,315
Entergy Corp.
4.00%		07/15/22			13,822,000		14,453,631
5.13%		09/15/20			10,210,000		10,792,857
Entergy Gulf States Louisiana LLC
6.00%		05/01/18			25,905,000		26,234,253
Entergy Louisiana LLC
6.50%		09/01/18			9,935,000		10,219,747
Entergy Texas, Inc.
7.13%		02/01/19			35,000		36,736
Eversource Energy, Series H
3.15%		01/15/25			6,700,000		6,735,500
Eversource Energy, Series K
2.75%		03/15/22			3,930,000		3,925,836
FirstEnergy Transmission LLC
4.35%		01/15/25	³		25,530,000		27,068,499


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
5.45%		07/15/44	³	$	63,750,000	$	76,432,763
Florida Power & Light Co.
(LIBOR USD 3-Month plus 0.28%)
1.67%		11/06/20	²		91,345,000		91,382,540
Indiana Michigan Power Co., Series J
3.20%		03/15/23			33,062,000		33,478,631
Indiana Michigan Power Co., Series K
4.55%		03/15/46			12,600,000		14,475,176
ITC Holdings Corp.
3.35%		11/15/27	³		6,815,000		6,820,791
3.65%		06/15/24			5,650,000		5,834,774
Jersey Central Power & Light Co.
4.30%		01/15/26	³		5,450,000		5,697,193
4.70%		04/01/24	³		31,002,000		33,614,551
4.80%		06/15/18			14,875,000		15,050,291
6.40%		05/15/36			13,825,000		17,572,240
Kansas City Power & Light Co.
3.15%		03/15/23			24,190,000		24,328,085
3.65%		08/15/25			15,195,000		15,647,530
6.38%		03/01/18			9,410,000		9,477,613
KCP&L Greater Missouri Operations Co.
8.27%		11/15/21			75,000		87,199
LG&E & KU Energy LLC
4.38%		10/01/21			11,320,000		11,979,656
Metropolitan Edison Co.
3.50%		03/15/23	³		11,725,000		11,941,796
4.00%		04/15/25	³		39,089,000		40,686,347
7.70%		01/15/19			3,750,000		3,944,841
MidAmerican Energy Co.
3.10%		05/01/27			8,405,000		8,457,689
4.25%		05/01/46			33,420,000		37,613,978
4.40%		10/15/44			8,875,000		10,087,232
4.80%		09/15/43			15,005,000		18,004,702
Nevada Power Co.
5.45%		05/15/41			600,000		746,433
NextEra Energy Capital Holdings, Inc.
1.65%		09/01/18			15,314,000		15,273,142
2.30%		04/01/19			7,190,000		7,184,967
NextEra Energy Operating Partners LP
4.25%		09/15/24	³		998,000		1,017,960
4.50%		09/15/27	³		11,834,000		11,878,378
Niagara Mohawk Power Corp.
3.51%		10/01/24	³		6,000,000		6,212,208
NSTAR Electric Co.
3.20%		05/15/27			37,405,000		37,902,719
Oncor Electric Delivery Co. LLC
4.10%		06/01/22			16,683,000		17,586,443
5.25%		09/30/40			3,939,000		5,005,144
7.00%		09/01/22			25,475,000		30,098,751


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
PacifiCorp
3.35%		07/01/25		$	7,200,000	$	7,364,913
Pennsylvania Electric Co.
3.25%		03/15/28	³		3,350,000		3,303,350
4.15%		04/15/25	³		25,325,000		26,755,242
5.20%		04/01/20			25,200,000		26,551,602
Potomac Electric Power Co.
3.60%		03/15/24			7,123,000		7,442,652
Public Service Co. of New Hampshire
6.00%		05/01/18			5,000,000		5,064,131
Public Service Co. of New Mexico
3.85%		08/01/25			10,000,000		10,294,255
5.35%		10/01/21			5,320,000		5,741,440
7.95%		05/15/18			41,187,000		42,036,420
Public Service Co. of Oklahoma
4.40%		02/01/21			400,000		422,971
Puget Energy, Inc.
6.00%		09/01/21			3,494,000		3,868,765
Rochester Gas & Electric Corp.
3.10%		06/01/27	³		5,890,000		5,877,587
Southern Co. (The)
1.55%		07/01/18			13,200,000		13,170,511
Southern Co. Gas Capital Corp.
2.45%		10/01/23			11,015,000		10,693,654
Southwestern Electric Power Co.
3.55%		02/15/22			17,377,000		17,857,088
6.45%		01/15/19			41,285,000		43,000,935
Southwestern Electric Power Co., Series F
5.88%		03/01/18			27,424,000		27,582,593
Southwestern Electric Power Co., Series K
2.75%		10/01/26			4,140,000		3,984,702
Trans-Allegheny Interstate Line Co.
3.85%		06/01/25	³		5,856,000		6,084,128
Tucson Electric Power Co.
3.85%		03/15/23			85,000		85,649
Virginia Electric & Power Co.
5.40%		04/30/18			18,865,000		19,056,573


							1,451,074,746

Energy — 1.67%
Anadarko Petroleum Corp.
4.50%		07/15/44			24,921,000		24,929,850
Antero Resources Corp.
5.00%		03/01/25			4,549,000		4,657,266
Atmos Energy Corp.
3.00%		06/15/27			21,495,000		21,558,906
Boardwalk Pipelines LP
5.20%		06/01/18			10,819,000		10,938,508


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
BP Capital Markets PLC (United Kingdom)
3.51%		03/17/25	¹	$	9,267,000	$	9,607,627
3.54%		11/04/24	¹		20,883,000		21,744,413
Brooklyn Union Gas Co. (The)
3.41%		03/10/26	³		23,400,000		23,922,288
Canadian Natural Resources Ltd. (Canada)
3.85%		06/01/27	¹		6,752,000		6,904,812
Centennial Resource Production LLC
5.38%		01/15/26	³		5,965,000		6,091,756
Cheniere Corpus Christi Holdings LLC
5.13%		06/30/27			9,786,000		10,147,103
CrownRock LP/CrownRock Finance, Inc.
5.63%		10/15/25	³		3,701,000		3,719,690
Devon Energy Corp.
4.75%		05/15/42			11,800,000		12,615,274
5.60%		07/15/41			3,590,000		4,245,979
Diamondback Energy, Inc.
4.75%		11/01/24			11,135,000		11,260,269
Enbridge Energy Partners LP
5.50%		09/15/40			4,700,000		5,153,871
5.88%		10/15/25			17,980,000		20,361,199
7.38%		10/15/45			14,175,000		18,731,615
Endeavor Energy Resources LP/EER Finance, Inc.
5.50%		01/30/26	³		2,394,000		2,441,880
5.75%		01/30/28	³		2,109,000		2,173,852
Energy Transfer Equity LP
4.25%		03/15/23			1,526,000		1,514,555
Energy Transfer LP/Regency Energy Finance Corp.
4.50%		11/01/23			5,000,000		5,176,061
5.00%		10/01/22			1,722,000		1,837,159
Energy Transfer Partners LP
3.60%		02/01/23			12,030,000		12,055,910
4.75%		01/15/26			4,250,000		4,416,458
4.90%		03/15/35			6,490,000		6,424,373
5.15%		03/15/45			48,625,000		47,331,964
6.50%		02/01/42			2,000,000		2,268,764
EQT Corp.
3.90%		10/01/27			48,035,000		47,849,182
Florida Gas Transmission Co. LLC
7.90%		05/15/19	³		21,200,000		22,714,051
Gulfport Energy Corp.
6.38%		05/15/25			5,618,000		5,667,157
Hess Corp.
5.60%		02/15/41			10,000,000		10,819,531
HollyFrontier Corp.
5.88%		04/01/26			20,000,000		22,304,080
KeySpan Gas East Corp.
2.74%		08/15/26	³		20,307,000		19,828,700


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Kinder Morgan Energy Partners LP
3.50%		09/01/23		$	7,699,000	$	7,723,620
4.25%		09/01/24			3,845,000		3,987,764
5.00%		08/15/42			7,950,000		8,095,999
5.80%		03/15/35			3,820,000		4,240,900
Kinder Morgan, Inc.
5.30%		12/01/34			2,275,000		2,433,626
5.55%		06/01/45			13,075,000		14,295,107
5.63%		11/15/23	³		7,937,000		8,773,911
6.95%		06/01/28			7,000,000		7,958,973
Newfield Exploration Co.
5.63%		07/01/24			3,179,000		3,425,373
5.75%		01/30/22			2,014,000		2,160,015
NGPL Pipe Co. LLC
4.38%		08/15/22	³		2,154,000		2,198,426
Noble Energy, Inc.
5.05%		11/15/44			27,413,000		29,432,516
Panhandle Eastern Pipeline Co. LP
8.13%		06/01/19			2,407,000		2,593,039
Parsley Energy LLC/Parsley Finance Corp.
5.25%		08/15/25	³		12,513,000		12,606,848
5.38%		01/15/25	³		20,458,000		20,764,870
5.63%		10/15/27	³		9,687,000		9,892,849
Plains All American Pipeline LP/PAA Finance Corp.
2.85%		01/31/23			1,669,000		1,600,154
Plains All American Pipeline LP/PAA Finance Corp.
3.60%		11/01/24			18,150,000		17,741,625
4.65%		10/15/25			100,677,000		103,868,461
QEP Resources, Inc.
5.25%		05/01/23			5,330,000		5,419,864
5.38%		10/01/22			2,492,000		2,551,185
Rockies Express Pipeline LLC
5.63%		04/15/20	³		6,458,000		6,797,045
6.00%		01/15/19	³		20,946,000		21,626,745
6.85%		07/15/18	³		20,133,000		20,636,325
Ruby Pipeline LLC
6.00%		04/01/22	³		56,440,341		59,523,177
Sabine Pass Liquefaction LLC
4.20%		03/15/28			51,165,000		52,124,344
5.63%		03/01/25			40,492,000		44,642,430
5.75%		05/15/24			15,000,000		16,627,268
Shell International Finance BV (Netherlands)
4.38%		05/11/45	¹		21,849,000		24,590,121
4.55%		08/12/43	¹		4,075,000		4,664,102
Southern Natural Gas Co. LLC
4.80%		03/15/47	³		1,585,000		1,750,119
Spectra Energy Partners LP
3.50%		03/15/25			3,000,000		3,014,171


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
4.60%		06/15/21		$	7,000,000	$	7,406,462
Sunoco Logistics Partners Operations LP
5.40%		10/01/47			109,344,000		109,854,456
TC PipeLines LP
3.90%		05/25/27			14,310,000		14,403,931
4.38%		03/13/25			36,050,000		37,697,269
4.65%		06/15/21			6,108,000		6,418,204
Tennessee Gas Pipeline Co. LLC
7.63%		04/01/37			40,000		51,725
8.38%		06/15/32			5,224,000		6,878,117
Texas Eastern Transmission LP
2.80%		10/15/22	³		29,586,000		29,341,191
Trans-Canada Pipelines Ltd. (Canada)
3.63%		05/15/67	^1,8		85,000		78,261
Transocean Proteus Ltd. (Cayman Islands)
6.25%		12/01/24	^1,3		6,932,700		7,296,667
Tucson Electric Power Co.
5.15%		11/15/21			4,800,000		5,186,542
Williams Cos., Inc. (The)
7.88%		09/01/21			4,538,000		5,264,080
Williams Partners LP
3.35%		08/15/22			10,070,000		10,165,353
3.60%		03/15/22			53,720,000		55,002,148
3.90%		01/15/25			7,942,000		8,125,603
4.00%		09/15/25			14,413,000		14,810,957
5.10%		09/15/45			1,945,000		2,126,772
6.30%		04/15/40			54,995,000		68,234,994


							1,347,517,807

Finance — 6.85%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Ireland)
3.75%		05/15/19	¹		21,355,000		21,700,186
3.95%		02/01/22	¹		23,500,000		24,242,485
4.50%		05/15/21	¹		41,850,000		44,047,125
5.00%		10/01/21	¹		36,725,000		39,213,119
Alta Wind Holdings LLC
7.00%		06/30/35	^3,4,5		20,871,319		24,482,655
American Express Co.
1.55%		05/22/18			14,645,000		14,628,920
7.00%		03/19/18			99,122,000		100,204,164
American Express Credit Corp. (MTN)
1.80%		07/31/18			26,095,000		26,080,059
1.88%		05/03/19			5,461,000		5,442,304
2.20%		03/03/20			30,090,000		30,008,383
Associates Corp. of North America
6.95%		11/01/18			25,559,000		26,519,111
Bear Stearns Cos. LLC (The)
4.65%		07/02/18			4,330,000		4,388,595


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
7.25%		02/01/18		$	231,684,000	$	232,613,141
Citigroup, Inc.
1.70%		04/27/18			113,991,000		113,886,520
1.75%		05/01/18			49,948,000		49,867,771
1.80%		02/05/18			288,984,000		288,960,202
2.05%		12/07/18			351,696,000		351,407,363
2.05%		06/07/19			48,475,000		48,351,286
2.15%		07/30/18			62,997,000		63,110,111
2.50%		09/26/18			106,706,000		106,839,703
2.50%		07/29/19			27,700,000		27,795,667
2.55%		04/08/19			13,290,000		13,353,890
3.67%		07/24/28	⁸		123,255,000		125,048,231
3.88%		10/25/23			15,500,000		16,120,806
3.89%		01/10/28	⁸		10,448,000		10,786,301
4.50%		01/14/22			265,000		282,196
6.13%		05/15/18			135,548,000		137,613,819
8.50%		05/22/19			29,548,000		32,020,933
(LIBOR USD 3-Month plus 0.55%)
2.01%		08/25/36	²		22,329,000		19,089,042
Countrywide Capital III, Series B
8.05%		06/15/27			3,000,000		3,854,380
Discover Financial Services
3.85%		11/21/22			10,899,000		11,207,248
Ford Motor Credit Co. LLC
2.15%		01/09/18			15,955,000		15,954,944
2.24%		06/15/18			12,370,000		12,361,597
2.55%		10/05/18			4,555,000		4,568,077
2.88%		10/01/18			26,346,000		26,505,915
3.34%		03/18/21			12,900,000		13,116,152
5.00%		05/15/18			42,988,000		43,430,110
(LIBOR USD 3-Month plus 0.94%)
2.29%		01/09/18	²		45,075,000		45,079,061
Ford Motor Credit Co. LLC (MTN)
2.94%		01/08/19			63,346,000		63,741,596
GE Capital International Funding Co. (Ireland)
3.37%		11/15/25	¹		8,850,000		8,970,458
4.42%		11/15/35	¹		120,249,000		130,385,287
General Electric Corp. (GMTN)
5.63%		05/01/18			295,000		298,570
6.15%		08/07/37			4,121,000		5,452,549
General Electric Corp. (MTN)
4.38%		09/16/20			5,815,000		6,106,081
5.88%		01/14/38			17,150,000		22,229,245
(LIBOR USD 3-Month plus 0.38%)
1.77%		05/05/26	²		1,800,000		1,736,084
(LIBOR USD 3-Month plus 0.48%)
1.90%		08/15/36	²		13,220,000		11,498,412
General Motors Financial Co., Inc.
2.35%		10/04/19			19,090,000		19,041,996


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
2.40%		05/09/19		$	18,960,000	$	18,970,865
3.10%		01/15/19			156,350,000		157,078,708
Goldman Sachs Group, Inc. (GMTN) (The)
5.38%		03/15/20			60,000		63,640
7.50%		02/15/19			246,611,000		260,697,726
Goldman Sachs Group, Inc. (MTN) (The)
3.85%		07/08/24			123,639,000		128,272,186
Goldman Sachs Group, Inc. (The)
2.63%		01/31/19			200,000,000		200,882,000
3.27%		09/29/25	⁸		140,075,000		139,573,482
3.69%		06/05/28	⁸		94,175,000		95,488,511
3.75%		05/22/25			2,187,000		2,249,757
3.75%		02/25/26			2,824,000		2,902,610
3.85%		01/26/27			16,665,000		17,126,975
4.02%		10/31/38	⁸		6,695,000		6,884,606
5.25%		07/27/21			13,000,000		14,112,605
5.95%		01/18/18			324,903,000		325,418,832
6.15%		04/01/18			262,025,000		264,799,030
Goldman Sachs Group, Inc., Series D (MTN) (The)
6.00%		06/15/20			9,510,000		10,278,784
International Lease Finance Corp.
3.88%		04/15/18			36,526,000		36,695,858
7.13%		09/01/18	³		125,458,000		129,456,974
Morgan Stanley
1.88%		01/05/18			76,200,000		76,198,514
2.13%		04/25/18			19,463,000		19,471,879
2.50%		01/24/19			63,094,000		63,363,853
(LIBOR USD 3-Month plus 0.93%)
2.29%		07/22/22	²		182,120,000		183,675,880
Morgan Stanley (GMTN)
2.45%		02/01/19			31,284,000		31,353,779
3.70%		10/23/24			5,444,000		5,620,606
3.88%		01/27/26			2,245,000		2,337,372
4.00%		07/23/25			21,001,000		21,954,025
5.50%		07/24/20			41,588,000		44,616,571
6.63%		04/01/18			258,017,000		260,859,836
7.30%		05/13/19			159,453,000		170,050,098
Morgan Stanley (MTN)
5.63%		09/23/19			55,766,000		58,871,787
Morgan Stanley, Series 3NC2
(LIBOR USD 3-Month plus 0.80%)
2.21%		02/14/20	²		184,640,000		185,406,502
Morgan Stanley, Series F
3.88%		04/29/24			6,367,000		6,653,216
Pipeline Funding Co. LLC
7.50%		01/15/30	³		25,577,800		31,376,540
Protective Life Global Funding
2.70%		11/25/20	³		32,195,000		32,343,322


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Raymond James Financial, Inc.
4.95%		07/15/46		$	63,856,000	$	72,894,881
5.63%		04/01/24			4,484,000		5,090,385


							5,526,734,045

Food — 0.50%
Chobani LLC/Chobani Finance Corp., Inc.
7.50%		04/15/25	³		9,518,000		10,112,875
Kraft Heinz Foods Co.
2.00%		07/02/18			33,675,000		33,678,136
3.00%		06/01/26			36,576,000		35,261,062
3.95%		07/15/25			17,714,000		18,325,162
4.38%		06/01/46			96,228,000		95,749,987
5.20%		07/15/45			26,987,000		29,880,533
6.13%		08/23/18			15,700,000		16,096,833
(LIBOR USD 3-Month plus 0.42%)
1.82%		08/09/19	²		11,505,000		11,509,683
Lamb Weston Holdings, Inc.
4.63%		11/01/24	³		9,514,000		9,846,990
Mondelez International Holdings Netherlands BV (Netherlands)
1.63%		10/28/19	^1,3		102,032,000		100,687,830
Mondelez International, Inc. (LIBOR USD 3-Month plus 0.52%)
1.90%		02/01/19	²		11,740,000		11,770,521
Post Holdings, Inc.
5.63%		01/15/28	³		6,462,000		6,504,326
5.75%		03/01/27	³		24,778,000		25,273,560


							404,697,498

Health Care — 3.87%
Abbott Laboratories
2.00%		09/15/18			14,885,000		14,884,339
2.90%		11/30/21			26,530,000		26,837,085
3.75%		11/30/26			138,308,000		142,365,403
AbbVie, Inc.
3.60%		05/14/25			70,270,000		72,355,927
Actavis Funding SCS (Luxembourg)
2.35%		03/12/18	¹		224,302,000		224,490,465
3.80%		03/15/25	¹		41,837,000		42,656,770
3.85%		06/15/24	¹		22,949,000		23,549,131
4.55%		03/15/35	¹		32,364,000		34,347,623
Aetna, Inc.
1.70%		06/07/18			50,400,000		50,286,514
3.88%		08/15/47			7,430,000		7,338,578
Allergan Funding SCS (Luxembourg)
4.85%		06/15/44	¹		3,000,000		3,223,412
Allergan Sales LLC
5.00%		12/15/21	³		11,870,000		12,694,763


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Amgen, Inc.
3.13%		05/01/25		$	5,420,000	$	5,451,398
4.40%		05/01/45			26,553,000		29,007,759
4.56%		06/15/48			39,579,000		44,258,029
4.66%		06/15/51			25,279,000		28,472,665
Anthem, Inc.
1.88%		01/15/18			41,730,000		41,727,813
2.25%		08/15/19			13,670,000		13,649,829
2.30%		07/15/18			11,556,000		11,582,751
3.30%		01/15/23			28,125,000		28,586,939
3.35%		12/01/24			72,000,000		73,155,390
3.50%		08/15/24			12,140,000		12,402,714
3.65%		12/01/27			67,620,000		68,996,608
3.70%		08/15/21			2,700,000		2,785,349
AstraZeneca PLC (United Kingdom)
1.75%		11/16/18	¹		7,815,000		7,796,599
3.13%		06/12/27	¹		141,430,000		140,275,578
3.38%		11/16/25	¹		2,723,000		2,768,038
Baxalta, Inc.
2.00%		06/22/18			33,834,000		33,827,876
2.88%		06/23/20			28,810,000		29,012,732
4.00%		06/23/25			3,047,000		3,153,317
Bayer U.S. Finance LLC
2.38%		10/08/19	³		22,160,000		22,204,974
Baylor Scott & White Holdings
4.19%		11/15/45			30,300,000		32,491,451
Biogen, Inc.
5.20%		09/15/45			3,265,000		3,889,244
Catalent Pharma Solutions, Inc.
4.88%		01/15/26	³		637,000		640,981
Celgene Corp.
2.75%		02/15/23			71,210,000		70,705,897
2.88%		08/15/20			4,350,000		4,393,297
3.45%		11/15/27			17,300,000		17,323,035
3.88%		08/15/25			22,000,000		22,808,325
5.00%		08/15/45			139,876,000		158,914,103
Centene Corp.
4.75%		01/15/25			59,701,000		60,895,020
CHS/Community Health Systems, Inc.
5.13%		08/01/21			1,841,000		1,663,804
6.25%		03/31/23			29,565,000		26,756,325
Cigna Corp.
3.05%		10/15/27			82,541,000		80,311,526
3.88%		10/15/47			4,750,000		4,776,464
DaVita, Inc.
5.00%		05/01/25			1,000,000		1,000,700
5.13%		07/15/24			11,853,000		11,993,754
Fresenius Medical Care U.S. Finance II, Inc.
4.13%		10/15/20	³		3,850,000		3,971,638


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
5.63%		07/31/19	³	$	128,857,000	$	134,847,820
6.50%		09/15/18	³		87,048,000		89,771,480
Gilead Sciences, Inc.
3.65%		03/01/26			7,200,000		7,469,791
3.70%		04/01/24			16,915,000		17,710,556
4.00%		09/01/36			20,000,000		21,199,916
4.50%		02/01/45			12,660,000		14,091,536
4.75%		03/01/46			3,489,000		4,045,710
HCA, Inc.
4.25%		10/15/19			9,790,000		10,022,513
4.75%		05/01/23			48,034,000		49,835,275
5.00%		03/15/24			18,081,000		18,849,443
5.25%		04/15/25			11,950,000		12,667,000
6.50%		02/15/20			10,034,000		10,686,210
Hologic, Inc.
4.38%		10/15/25	³		11,691,000		11,866,365
Johnson & Johnson
2.90%		01/15/28			81,515,000		81,739,830
3.40%		01/15/38			9,120,000		9,361,304
Kaiser Foundation Hospitals
3.15%		05/01/27			9,690,000		9,710,818
4.15%		05/01/47			104,010,000		112,678,016
Merck & Co., Inc.
3.70%		02/10/45			215,000		224,192
Molina Healthcare, Inc.
4.88%		06/15/25	³		11,167,000		11,194,917
5.38%		11/15/22			11,983,000		12,552,193
MPH Acquisition Holdings LLC
7.13%		06/01/24	³		5,023,000		5,387,167
New York and Presbyterian Hospital (The)
4.02%		08/01/45			22,755,000		24,141,542
Novartis Capital Corp.
4.40%		05/06/44			3,000,000		3,447,950
NYU Hospitals Center
4.37%		07/01/47			36,835,000		39,786,607
Pfizer, Inc.
4.40%		05/15/44			2,400,000		2,761,530
Providence St. Joseph Health Obligated Group, Series H
2.75%		10/01/26			7,835,000		7,598,668
Shire Acquisitions Investments Ireland DAC (Ireland)
1.90%		09/23/19	¹		206,718,000		204,932,670
Teleflex, Inc.
4.63%		11/15/27			7,609,000		7,683,949
Tenet Healthcare Corp.
4.38%		10/01/21			5,885,000		5,899,713
4.50%		04/01/21			23,904,000		24,113,160
4.63%		07/15/24	³		11,718,000		11,468,993
Teva Pharmaceutical Finance IV LLC
2.25%		03/18/20			18,465,000		17,837,753


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)
1.40%		07/20/18	¹	$	7,475,000	$	7,412,356
1.70%		07/19/19	¹		33,262,000		32,482,601
2.80%		07/21/23	¹		49,640,000		43,281,185
3.15%		10/01/26	¹		20,000,000		16,481,350
UnitedHealth Group, Inc.
2.95%		10/15/27			2,845,000		2,850,535
3.95%		10/15/42			6,932,000		7,284,741
4.20%		01/15/47			16,648,000		18,179,741
4.25%		03/15/43			14,310,000		15,813,695
4.25%		04/15/47			99,000		109,239
4.75%		07/15/45			59,438,000		70,285,700
Valeant Pharmaceuticals International, Inc.
6.75%		08/15/21	³		9,000,000		9,090,000
7.25%		07/15/22	³		2,550,000		2,588,250
Valeant Pharmaceuticals International, Inc. (Canada)
5.50%		03/01/23	^1,3		5,122,000		4,712,240
5.50%		11/01/25	^1,3		48,125,000		49,207,813
5.63%		12/01/21	^1,3		10,183,000		10,004,798
5.88%		05/15/23	^1,3		29,390,000		27,360,621
6.13%		04/15/25	^1,3		40,447,000		37,312,358
WellCare Health Plans, Inc.
5.25%		04/01/25			19,023,000		20,116,823


							3,126,840,565

Industrials — 0.50%
Amcor Finance USA, Inc.
3.63%		04/28/26	³		12,271,000		12,122,177
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)
4.25%		09/15/22	^1,3		11,101,000		11,350,773
4.63%		05/15/23	^1,3		10,810,000		11,056,468
Ball Corp.
4.00%		11/15/23			405,000		415,125
5.25%		07/01/25			587,000		640,564
Clean Harbors, Inc.
5.13%		06/01/21			25,060,000		25,373,250
Crown Americas LLC/Crown Americas Capital Corp. V
4.25%		09/30/26			23,825,000		23,527,187
Graphic Packaging International, Inc.
4.88%		11/15/22			7,563,000		8,054,595
Itron, Inc.
5.00%		01/15/26	³		22,487,000		22,627,544
L3 Technologies, Inc.
4.75%		07/15/20			12,906,000		13,589,021
5.20%		10/15/19			38,108,000		39,947,473
Multi-Color Corp.
4.88%		11/01/25	³		8,730,000		8,784,563


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
Northrop Grumman Corp.
3.25%		01/15/28		$	48,865,000	$	49,040,630
OI European Group BV (Netherlands)
4.00%		03/15/23	^1,3		22,181,000		22,266,397
Sealed Air Corp.
4.88%		12/01/22	³		7,409,000		7,872,063
5.13%		12/01/24	³		3,255,000		3,499,125
5.25%		04/01/23	³		21,884,000		23,415,880
Siemens Financieringsmaatschappij NV (Netherlands)
2.35%		10/15/26	^1,3		78,010,000		73,448,560
United Technologies Corp.
8.75%		03/01/21			8,800,000		10,389,219
United Technologies Corp. (STEP)
1.78%		05/04/18			10,464,000		10,448,867
Waste Management, Inc.
3.15%		11/15/27			22,745,000		22,694,893
WestRock MWV LLC
7.38%		09/01/19			6,500,000		7,011,178


							407,575,552

Information Technology — 0.56%
Amazon.com, Inc.
3.15%		08/22/27	³		118,515,000		118,933,448
4.05%		08/22/47	³		13,035,000		14,109,692
Apple, Inc.
3.75%		11/13/47			6,365,000		6,559,623
Broadcom Corp./Broadcom Cayman Finance Ltd.
2.38%		01/15/20	³		74,810,000		74,407,298
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc.
5.75%		03/01/25	³		33,352,000		33,414,535
Microsoft Corp.
2.40%		08/08/26			56,315,000		54,380,017
2.88%		02/06/24			6,295,000		6,373,807
3.30%		02/06/27			5,805,000		5,999,446
MSCI, Inc.
4.75%		08/01/26	³		3,158,000		3,319,847
NXP BV/NXP Funding LLC (Netherlands)
3.88%		09/01/22	^1,3		8,800,000		8,915,372
4.13%		06/01/21	^1,3		14,690,000		15,020,525
Oracle Corp.
3.25%		11/15/27			48,095,000		48,863,318
4.13%		05/15/45			4,800,000		5,189,874
Quintiles IMS, Inc.
4.88%		05/15/23	³		35,781,000		37,167,514
Zayo Group LLC/Zayo Capital, Inc.
5.75%		01/15/27	³		18,461,000		18,876,373


							451,530,689


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Insurance — 0.77%
Berkshire Hathaway Finance Corp.
4.30%		05/15/43		$	7,200,000	$	8,024,847
4.40%		05/15/42			57,751,000		65,034,758
Farmers Exchange Capital
7.05%		07/15/28	³		10,634,000		13,413,852
7.20%		07/15/48	³		18,265,000		24,285,226
Farmers Exchange Capital II
6.15%		11/01/53	^3,8		64,140,000		73,777,548
Farmers Exchange Capital III
5.45%		10/15/54	^3,8		72,575,000		78,925,313
Farmers Insurance Exchange
4.75%		11/01/57	^3,8		18,580,000		18,678,474
Guardian Life Global Funding
2.00%		04/26/21	³		5,475,000		5,386,431
Jackson National Life Global Funding
1.88%		10/15/18	³		55,605,000		55,614,759
MassMutual Global Funding II
2.00%		04/15/21	³		8,250,000		8,125,404
Metropolitan Life Global Funding I
1.35%		09/14/18	³		14,400,000		14,346,704
1.50%		01/10/18	³		14,800,000		14,798,283
1.55%		09/13/19	³		17,000,000		16,812,532
1.75%		12/19/18	³		46,175,000		46,038,876
1.88%		06/22/18	³		23,650,000		23,603,553
2.50%		12/03/20	³		57,015,000		57,163,355
Nationwide Mutual Insurance Co.
3.88%		12/15/24	^3,8		18,949,000		18,949,000
New York Life Global Funding
1.55%		11/02/18	³		32,050,000		31,950,244
2.00%		04/13/21	³		24,750,000		24,378,230
Teachers Insurance & Annuity Association of America
4.38%		09/15/54	^3,8		20,650,000		20,917,345


							620,224,734

Materials — 0.13%
Axalta Coating Systems LLC
4.88%		08/15/24	³		35,161,000		36,963,001
Dow Chemical Co. (The)
8.55%		05/15/19			26,076,000		28,238,144
Monsanto Co.
2.13%		07/15/19			10,504,000		10,470,908
Valvoline, Inc.
4.38%		08/15/25			16,105,000		16,286,181
5.50%		07/15/24			9,213,000		9,834,878


							101,793,112


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) — 2.01%
Alexandria Real Estate Equities, Inc.
2.75%		01/15/20		$	5,205,000	$	5,229,395
3.45%		04/30/25			3,115,000		3,085,937
3.90%		06/15/23			57,677,000		59,618,696
4.60%		04/01/22			37,150,000		39,636,593
American Campus Communities Operating Partnership LP
3.35%		10/01/20			9,810,000		10,006,431
3.63%		11/15/27			8,120,000		8,040,133
3.75%		04/15/23			29,059,000		29,848,649
American Tower Corp.
3.00%		06/15/23			56,395,000		56,317,558
3.60%		01/15/28			8,520,000		8,487,616
AvalonBay Communities, Inc. (GMTN)
3.95%		01/15/21			7,245,000		7,516,361
AvalonBay Communities, Inc. (MTN) (LIBOR USD 3-Month plus 0.43%)
1.85%		01/15/21	²		69,285,000		69,342,624
Boston Properties LP
2.75%		10/01/26			49,364,000		46,657,429
3.13%		09/01/23			5,000,000		5,045,609
3.20%		01/15/25			77,805,000		77,675,377
3.65%		02/01/26			5,000,000		5,081,947
5.63%		11/15/20			8,659,000		9,370,683
Camden Property Trust
4.63%		06/15/21			600,000		634,784
Crown Castle International Corp.
3.20%		09/01/24			30,665,000		30,355,897
4.75%		05/15/47			5,665,000		5,984,396
Education Realty Operating Partnership LP
4.60%		12/01/24			24,798,000		25,333,352
HCP, Inc.
2.63%		02/01/20			8,285,000		8,312,701
3.15%		08/01/22			12,660,000		12,774,896
3.75%		02/01/19			45,706,000		46,291,585
3.88%		08/15/24			28,684,000		29,388,895
4.00%		12/01/22			54,420,000		57,045,939
4.20%		03/01/24			24,904,000		26,121,882
4.25%		11/15/23			85,445,000		89,803,208
Healthcare Realty Trust, Inc.
3.75%		04/15/23			7,885,000		8,029,420
Healthcare Trust of America Holdings LP
3.75%		07/01/27			21,685,000		21,639,823
Highwoods Realty LP
7.50%		04/15/18			15,585,000		15,810,983
Kilroy Realty LP
3.45%		12/15/24			30,385,000		30,354,964
Kimco Realty Corp.
6.88%		10/01/19			9,175,000		9,864,700


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Life Storage LP
3.88%		12/15/27		$	7,100,000	$	7,087,689
Mid-America Apartments LP
4.30%		10/15/23			10,036,000		10,544,186
SBA Communications Corp.
4.00%		10/01/22	³		63,189,000		63,425,959
4.88%		09/01/24			2,526,000		2,598,623
SL Green Operating Partnership LP
3.25%		10/15/22			12,995,000		12,956,626
SL Green Realty Corp.
4.50%		12/01/22			14,195,000		14,881,306
5.00%		08/15/18			32,299,000		32,706,904
7.75%		03/15/20			26,913,000		29,759,817
Ventas Realty LP
3.13%		06/15/23			1,235,000		1,237,061
3.25%		10/15/26			12,180,000		11,828,930
3.50%		02/01/25			27,105,000		27,347,958
3.75%		05/01/24			17,500,000		18,000,456
4.13%		01/15/26			25,010,000		26,146,015
Ventas Realty LP/Ventas Capital Corp.
2.00%		02/15/18			19,860,000		19,859,452
2.70%		04/01/20			49,673,000		49,917,278
3.25%		08/15/22			3,000,000		3,034,941
4.00%		04/30/19			31,781,000		32,353,408
VEREIT Operating Partnership LP
3.00%		02/06/19			23,423,000		23,525,476
4.13%		06/01/21			2,325,000		2,415,431
WEA Finance LLC/Westfield UK & Europe Finance PLC
2.70%		09/17/19	³		167,537,000		168,612,579
3.25%		10/05/20	³		105,170,000		107,146,880
Welltower, Inc.
2.25%		03/15/18			11,443,000		11,450,266
3.75%		03/15/23			3,170,000		3,288,638
4.00%		06/01/25			32,209,000		33,357,294
4.13%		04/01/19			39,635,000		40,380,871
4.50%		01/15/24			4,698,000		5,018,446
4.95%		01/15/21			3,732,000		3,969,753


							1,621,560,706

Retail — 0.32%
Alimentation Couche-Tard, Inc. (Canada)
2.35%		12/13/19	^1,3		10,520,000		10,524,337
3.55%		07/26/27	^1,3		12,160,000		12,156,553
BC ULC/New Red Finance, Inc. (Canada)
4.25%		05/15/24	^1,3		12,794,000		12,794,000
Cumberland Farms, Inc.
6.75%		05/01/25	³		4,404,000		4,673,745
CVS Health Corp.
2.25%		12/05/18			76,305,000		76,356,372


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Retail (continued)
3.88%		07/20/25		$	17,800,000	$	18,350,880
4.00%		12/05/23			4,693,000		4,887,343
4.88%		07/20/35			35,585,000		39,356,779
Walgreens Boots Alliance, Inc.
3.45%		06/01/26			47,875,000		47,427,168
3.80%		11/18/24			12,810,000		13,108,909
4.80%		11/18/44			16,214,000		17,455,425


							257,091,511

Services — 0.12%
Gartner, Inc.
5.13%		04/01/25	³		1,488,000		1,558,680
IHS Markit Ltd. (United Kingdom)
5.00%		11/01/22	^1,3		17,236,000		18,773,451
Matthews International Corp.
5.25%		12/01/25	³		2,279,000		2,304,639
Northwestern University
3.69%		12/01/38			22,510,000		23,855,163
Republic Services, Inc.
3.80%		05/15/18			1,975,000		1,988,084
Service Corp. International/US
4.63%		12/15/27			2,428,000		2,469,567
University of Southern California
3.03%		10/01/39			47,622,000		44,949,620


							95,899,204

Transportation — 0.44%
America West Airlines Pass-Through Trust, Series 1999-1, Class G
7.93%		01/02/19			2,970,839		3,052,537
America West Airlines Pass-Through Trust, Series 2001-1, Class G
7.10%		04/02/21			6,289,637		6,843,754
American Airlines Pass-Through Trust, Series 2011-1, Class A
5.25%		01/31/21			2,509,945		2,655,773
American Airlines Pass-Through Trust, Series 2013-1, Class A
4.00%		07/15/25			19,064,794		19,659,758
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%		01/15/23			75,064,932		79,309,066
American Airlines Pass-Through Trust, Series 2017-2, Class AA
3.35%		10/15/29			19,945,000		19,894,140
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			117,559		117,632
Continental Airlines Pass-Through Trust, Series 1999-1, Class A
6.55%		02/02/19			1,959,902		2,008,900


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Continental Airlines Pass-Through Trust, Series 1999-2 AMBC, Class C2
6.24%		03/15/20		$	42,874	$	44,027
Continental Airlines Pass-Through Trust, Series 1999-2, Class A
7.26%		03/15/20			3,589,190		3,764,343
Continental Airlines Pass-Through Trust, Series 2000-1, Class A1
8.05%		11/01/20			9,966		10,813
Continental Airlines Pass-Through Trust, Series 2000-2, Class A1
7.71%		04/02/21			2,060,034		2,216,196
Continental Airlines Pass-Through Trust, Series 2007, Class 1A
5.98%		04/19/22			32,105,221		35,057,296
Continental Airlines Pass-Through Trust, Series 2007, Class 1B
6.90%		04/19/22			828,640		875,521
Continental Airlines Pass-Through Trust, Series 2009, Class A
7.25%		11/10/19			29,819,299		32,179,497
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1
6.72%		01/02/23			39,542,066		43,883,429
Northwest Airlines Pass-Through Trust, Series 2001-1, Class A1
7.04%		04/01/22			3,524,257		3,949,282
SMBC Aviation Capital Finance DAC (Ireland)
3.00%		07/15/22	^1,3		22,325,000		22,131,859
U.S. Airways Pass-Through Trust, Series 2010-1, Class A
6.25%		04/22/23			19,683,116		21,893,786
U.S. Airways Pass-Through Trust, Series 2011-1, Class A
7.13%		10/22/23			3,654,663		4,196,726
U.S. Airways Pass-Through Trust, Series 2011-1, Class G
7.08%		03/20/21			960,575		1,012,505
U.S. Airways Pass-Through Trust, Series 2012, Class A
4.63%		06/03/25			10,715		11,386
U.S. Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24			45,353,727		50,397,537


							355,165,763

Total Corporates (Cost $23,440,538,467)							23,753,373,245


MORTGAGE-BACKED — 38.09%**
Non-Agency Commercial Mortgage-Backed — 1.15%
225 Liberty Street Trust, Series 2016-225L, Class A


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
3.60%		02/10/36	³	$	63,710,000	$	65,787,182
BAMLL Trust, Series 2011-FSHN, Class A
4.42%		07/11/33	³		7,740,000		8,164,924
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2012-PARK, Class A
2.96%		12/10/30	³		10,335,000		10,462,594
Banc of America Re-REMIC Trust, Series 2010-UB5, Class A4B
6.06%		02/17/51	^3,8		3,936,570		3,928,145
Bayview Commercial Asset Trust, Series 2004-1, Class A
(LIBOR USD 1-Month plus 0.54%)
1.91%		04/25/34	^2,3		37,180		36,731
Bayview Commercial Asset Trust, Series 2004-2, Class A
(LIBOR USD 1-Month plus 0.65%)
1.98%		08/25/34	^2,3		377,247		365,106
Capmark Mortgage Securities, Inc., Series 1998-C2, Class X (IO)
1.08%		05/15/35	^4,5,8		5,198,267		17,850
CFCRE Commercial Mortgage Trust, Series 2011-C2, Class A2
3.06%		12/15/47			133,247		133,277
CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A
3.37%		03/13/35	³		21,242,744		21,729,982
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class A
3.25%		05/10/35	³		5,000		5,096
Commercial Mortgage Trust, Series 2013-300P, Class A1
4.35%		08/10/30	³		14,635,000		15,701,704
Commercial Mortgage Trust, Series 2013-CR12, Class A4
4.05%		10/10/46			440,000		467,948
Commercial Mortgage Trust, Series 2013-LC6, Class A2
1.91%		01/10/46			1,194,296		1,193,913
Commercial Mortgage Trust, Series 2013-SFS, Class A2
2.99%		04/12/35	^3,8		7,205,000		7,211,593
Commercial Mortgage Trust, Series 2014-277P, Class A
3.61%		08/10/49	^3,8		15,960,000		16,579,328
Commercial Mortgage Trust, Series 2015-3BP, Class A
3.18%		02/10/35	³		16,440,000		16,592,866
Commercial Mortgage Trust, Series 2016-787S, Class A
3.55%		02/10/36	³		74,550,000		76,224,680
DBUBS Mortgage Trust, Series 2011-LC1A, Class A2


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
4.53%		11/10/46	³	$	5,396,512	$	5,479,667
Eleven Madison Mortgage Trust, Series 2015-11MD, Class A
3.55%		09/10/35	^3,8		1,362,500		1,410,703
GRACE Mortgage Trust, Series 2014-GRCE, Class A
3.37%		06/10/28	³		73,520,000		75,468,559
GS Mortgage Securities Corp. II, Series 2013-KING, Class A
2.71%		12/10/27	³		7,696,040		7,735,790
GS Mortgage Securities Trust, Series 2010-C2, Class A1
3.85%		12/10/43	³		4,345,953		4,445,375
GS Mortgage Securities Trust, Series 2011-GC5, Class A4
3.71%		08/10/44			87,335,000		90,438,602
GS Mortgage Securities Trust, Series 2012-ALOH, Class A
3.55%		04/10/34	³		59,497,000		61,407,187
GS Mortgage Securities Trust, Series 2012-SHOP, Class A
2.93%		06/05/31	³		180,000		181,586
GS Mortgage Securities Trust, Series 2013-GC16, Class A2
3.03%		11/10/46			20,975,073		21,091,507
GS Mortgage Securities Trust, Series 2014-3R, Class 2A
(LIBOR USD 1-Month plus 0.18%)
1.51%		09/26/36	^2,3		11,830,564		11,755,500
GS Mortgage Securities Trust, Series 2015-1R, Class 2A
3.55%		01/26/36	^3,8		9,357,743		9,408,682
GS Mortgage Securities Trust., Series 2009-1R, Class 2A1
3.54%		11/25/35	^3,8		3,080		3,093
Irvine Core Office Trust, Series 2013-IRV, Class A1
2.07%		05/15/48	³		7,927,225		7,822,467
JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class A2
2.42%		07/15/45			11,637,160		11,646,384
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9,
Class A3S
5.24%		05/15/47	³		1,485,046		1,474,963
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-HSBC, Class A
3.09%		07/05/32	³		25,421,834		25,842,693
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 2A3
5.62%		03/25/37	^3,8		3,559,296		3,651,018


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A3
2.51%		11/15/45		$	18,067,326	$	18,120,574
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A2
1.97%		05/15/46			2,242,916		2,241,719
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C17, Class A3
3.53%		08/15/47			47,530,000		49,005,521
Morgan Stanley Capital I Trust, Series 2013-WLSR, Class A
2.70%		01/11/32	³		3,720,000		3,718,941
Morgan Stanley Capital I Trust, Series 2014-MP, Class A
3.47%		08/11/33	³		30,242,500		30,986,322
Morgan Stanley Capital I Trust, Series 2015-420, Class A
3.73%		10/11/50	³		1,065,000		1,099,954
RBS Commercial Funding Trust, Series 2013-GSP, Class A
3.83%		01/13/32	^3,8		103,085,000		106,849,376
SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A1
3.87%		01/05/43	^3,8		20,040,000		20,276,384
VNDO Mortgage Trust, Series 2012-6AVE, Class A
3.00%		11/15/30	³		19,925,000		20,131,415
Wachovia Mortgage Loan Trust LLC, Series 2006-AMN1, Class A3
(LIBOR USD 1-Month plus 0.24%)
1.79%		08/25/36	²		22,970,742		14,534,675
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A2
4.39%		11/15/43	³		900,000		942,029
Wells Fargo Commercial Mortgage Trust, Series 2013-120B, Class A
2.71%		03/18/28	^3,8		30,580,000		30,630,429
WF-RBS Commercial Mortgage Trust, Series 2010-C8, Class A3
3.00%		08/15/45			47,205,000		47,885,318
WF-RBS Commercial Mortgage Trust, Series 2011-C4, Class A3
4.39%		06/15/44	³		1,511,797		1,534,057


							931,823,409


Non-Agency Mortgage-Backed — 6.38%
Aames Mortgage Investment Trust, Series 2002-1, Class A3 (STEP)
7.40%		06/25/32			53,042		53,220
Accredited Mortgage Loan Trust, Series 2007-1, Class A4


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
(LIBOR USD 1-Month plus 0.22%)
1.77%		02/25/37	²	$	46,525,000	$	44,204,849
ACE Securities Corp., Series 2004-IN1, Class A1
(LIBOR USD 1-Month plus 0.64%)
2.19%		05/25/34	²		4,653		4,351
ACE Securities Corp., Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.15%)
1.70%		06/25/36	²		3,808,155		3,118,981
Adjustable Rate Mortgage Trust, Series 2005-10, Class 6A1
(LIBOR USD 1-Month plus 0.54%)
2.09%		01/25/36	²		401,331		382,569
Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A21
(LIBOR USD 1-Month plus 0.23%)
1.78%		09/25/35	²		1,680,161		1,681,585
Adjustable Rate Mortgage Trust, Series 2006-3, Class 4A32
(LIBOR USD 1-Month plus 0.20%)
1.75%		08/25/36	²		18,121,211		17,870,848
Aegis Asset-Backed Securities Trust, Series 2005-5, Class 1A3
(LIBOR USD 1-Month plus 0.27%)
1.82%		12/25/35	²		236,001		237,155
American Home Mortgage Investment Trust, Series 2004-3, Class 2A
(LIBOR USD 6-Month plus 1.50%)
3.07%		10/25/34	²		7,608,808		7,521,190
Ameriquest Mortgage Securities, Inc., Series 2004-R10, Class A1
(LIBOR USD 1-Month plus 0.66%)
2.21%		11/25/34	²		41,363,761		41,780,108
Ameriquest Mortgage Securities, Inc., Series 2005-R11, Class M1
(LIBOR USD 1-Month plus 0.45%)
2.00%		01/25/36	²		19,225,000		19,292,309
Ameriquest Mortgage Securities, Inc., Series 2006-R1, Class M1
(LIBOR USD 1-Month plus 0.39%)
1.94%		03/25/36	²		20,041,967		19,997,893
Amresco Residential Securities Mortgage Loan Trust, Series 1998-1, Class A5 (STEP)
7.20%		10/25/27			68,374		71,517
Argent Securities, Inc., Series 2004-W6, Class AV2
(LIBOR USD 1-Month plus 0.90%)
2.45%		05/25/34	²		14,901,533		14,620,390
Argent Securities, Inc., Series 2005-W2, Class A1


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
(LIBOR USD 1-Month plus 0.26%)
1.81%		10/25/35	²	$	27,801,998	$	28,008,329
Argent Securities, Inc., Series 2005-W3, Class A1
(LIBOR USD 1-Month plus 0.26%)
1.81%		11/25/35	²		45,265,720		44,695,248
Asset-Backed Funding Certificates, Series 2005-HE1, Class M1
(LIBOR USD 1-Month plus 0.63%)
2.18%		03/25/35	²		12,507,253		12,533,586
Asset-Backed Funding Certificates, Series 2006-OPT3, Class A3B
(LIBOR USD 1-Month plus 0.16%)
1.71%		11/25/36	²		25,109,116		15,978,012
Asset-Backed Funding Certificates, Series 2007-WMC1, Class A2B
(LIBOR USD 1-Month plus 1.00%)
2.55%		06/25/37	²		26,510,806		22,854,075
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE5, Class A1
(LIBOR USD 1-Month plus 0.13%)
1.68%		07/25/36	²		25,331,826		25,095,864
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE6, Class A5
(LIBOR USD 1-Month plus 0.23%)
1.78%		11/25/36	²		18,411,000		15,136,834
Banc of America Funding Trust, Series 2003-2, Class 1A1
6.50%		06/25/32			29,275		31,029
Banc of America Funding Trust, Series 2006-D, Class 3A1
3.52%		05/20/36	⁸		7,438,919		6,841,297
Banc of America Funding Trust, Series 2006-E, Class 2A1
3.71%		06/20/36	⁸		110,104		107,873
Banc of America Funding Trust, Series 2006-G, Class 2A1
(LIBOR USD 1-Month plus 0.22%)
1.72%		07/20/36	²		10,904,693		10,913,705
Banc of America Funding Trust, Series 2006-H, Class 3A1
3.54%		09/20/46	⁸		1,980,253		1,853,632
Banc of America Funding Trust, Series 2014-R8, Class A1
(LIBOR USD 1-Month plus 0.24%)
1.79%		06/26/36	^2,3		11,456,095		11,263,498
Banc of America Funding Trust, Series 2015-R2, Class 1A1
(LIBOR USD 1-Month plus 0.14%)
1.69%		08/27/36	^2,3		39,920,065		38,230,671


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Funding Trust, Series 2015-R2, Class 3A1
(LIBOR USD 1-Month plus 0.26%)
1.81%		04/29/37	^2,3	$	23,194,625	$	22,888,310
Banc of America Funding Trust, Series 2015-R2, Class 7A1
(LIBOR USD 1-Month plus 0.28%)
1.83%		09/29/36	^2,3		19,784,429		19,569,469
Banc of America Funding Trust, Series 2015-R2, Class 9A1
(LIBOR USD 1-Month plus 0.22%)
1.77%		03/27/36	^2,3		10,696,363		10,501,767
Banc of America Funding Trust, Series 2015-R5, Class 1A1
(LIBOR USD 1-Month plus 0.13%)
1.68%		10/26/36	^2,3		93,560,183		91,437,976
Banc of America Funding Trust, Series 2015-R5, Class 1A2
(LIBOR USD 1-Month plus 0.13%)
1.68%		10/26/36	^2,3		42,536,000		38,993,240
Banc of America Funding Trust, Series 2016-R1, Class A1
2.50%		03/25/40	^3,8		49,900,729		49,448,902
Banc of America Mortgage Securities, Inc., Series 2004-F, Class 1A1
3.77%		07/25/34	⁸		59,542		60,999
Banc of America Mortgage Securities, Inc., Series 2005-C, Class 2A2
3.70%		04/25/35	⁸		570,744		564,077
Banc of America Mortgage Securities, Inc., Series 2006-2, Class A2
((0.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap) plus 6.00%)
6.00%		07/25/46	²		218,783		200,579
Banc of America Mortgage Securities, Inc., Series 2007-1, Class 1A24
6.00%		03/25/37			1,063,946		1,023,425
Banc of America Mortgage Securities, Inc., Series 2007-3, Class 1A1
6.00%		09/25/37			605,712		590,420
BCAP LLC Trust, Series 2007-AA2, Class 2A5
6.00%		04/25/37			362,633		314,234
BCAP LLC Trust, Series 2007-AA5, Class A1
(LIBOR USD 1-Month plus 0.65%)
2.20%		09/25/47	²		34,452,662		32,021,028
BCAP LLC Trust, Series 2009-RR10, Class 7A1
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.30%)
3.53%		10/26/35	^2,3		2,840,106		2,863,164


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
BCAP LLC Trust, Series 2011-RR3, Class 1A5
3.62%		05/27/37	^3,8	$	2,175,441	$	2,180,608
BCAP LLC Trust, Series 2011-RR3, Class 5A3
3.59%		11/27/37	^3,8		4,491,224		4,519,072
BCAP LLC Trust, Series 2011-RR5, Class 1A3
3.15%		03/26/37	^3,8		54,869		55,066
BCAP LLC Trust, Series 2015-RR2, Class 26A1
3.54%		03/28/36	^3,8		9,458,188		9,664,313
Bear Stearns ALT-A Trust, Series 2005-4, Class 22A2
3.61%		05/25/35	⁸		25,176		23,877
Bear Stearns ALT-A Trust, Series 2006-4, Class 32A1
3.62%		07/25/36	⁸		2,592,186		2,115,084
Bear Stearns ARM Trust, Series 2004-1, Class 13A2
3.71%		04/25/34	⁸		10,347		10,444
Bear Stearns ARM Trust, Series 2004-10, Class 14A1
3.71%		01/25/35	⁸		3,991,379		3,965,274
Bear Stearns ARM Trust, Series 2006-4, Class 2A1
3.46%		10/25/36	⁸		905,212		912,523
Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE9, Class 3A
(LIBOR USD 1-Month plus 0.14%)
1.69%		11/25/36	²		13,612,571		12,567,256
Bear Stearns Asset-Backed Securities Trust, Series 2003-AC7, Class A1 (STEP)
5.50%		01/25/34			835,090		846,654
Bear Stearns Asset-Backed Securities Trust, Series 2003-AC7, Class A2 (STEP)
5.75%		01/25/34			752,890		765,587
Bear Stearns Asset-Backed Securities Trust, Series 2005-AC5, Class 2A3
(LIBOR USD 1-Month plus 0.25%)
1.80%		08/25/20	²		1,871,586		1,288,156
Bear Stearns Asset-Backed Securities Trust, Series 2005-SD1, Class 1A3
(LIBOR USD 1-Month plus 0.80%)
2.35%		08/25/43	²		12		12
Bear Stearns Asset-Backed Securities Trust, Series 2006-AC2, Class 21A3
6.00%		03/25/36			1,120,268		1,210,127
Bear Stearns Mortgage Funding Trust, Series 2006-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.18%)
1.73%		10/25/36	²		2,814,274		2,582,262


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	⁸	$	3,492,011	$	3,542,842
Carrington Mortgage Loan Trust, Series 2006-NC1, Class A4
(LIBOR USD 1-Month plus 0.31%)
1.86%		01/25/36	²		47,650,000		47,174,605
Centex Home Equity Loan Trust, Series 2006-A, Class AV4
(LIBOR USD 1-Month plus 0.25%)
1.80%		06/25/36	²		16,939,341		17,018,927
Chase Funding Trust, Series 2003-5, Class 2A2
(LIBOR USD 1-Month plus 0.60%)
2.15%		07/25/33	²		3,059		2,843
Chase Funding Trust, Series 2004-2, Class 2A2
(LIBOR USD 1-Month plus 0.50%)
2.05%		02/26/35	²		5,668		4,992
Chase Funding Trust, Series 2006-A1, Class 1A2
3.61%		09/25/36	⁸		1,202,722		1,191,475
Chase Funding Trust, Series 2006-S3, Class 2A1
5.50%		11/25/21			2,254,081		1,868,173
Chase Funding Trust, Series 2007-A2, Class 2A3
3.60%		07/25/37	⁸		3,230,782		3,292,831
Chaseflex Trust, Series 2005-2, Class 4A2
5.50%		05/25/20			2,224,242		1,972,290
Chaseflex Trust, Series 2006-2, Class A2B
(LIBOR USD 1-Month plus 0.20%)
1.75%		09/25/36	²		7,026,140		6,428,025
CIM Trust, Series 2015-1EC, Class A16
3.08%		04/25/55	^3,8		136,386,608		136,232,273
CIM Trust, Series 2015-3AG, Class A1
(LIBOR USD 1-Month plus 1.75%)
3.11%		10/25/57	^2,3		157,138,317		159,373,563
CIM Trust, Series 2015-4AG, Class A1
(LIBOR USD 1-Month plus 2.00%)
3.36%		10/25/57	^2,3		57,295,776		57,945,286
CIM Trust, Series 2016-4, Class A1
(LIBOR USD 1-Month plus 2.00%)
3.36%		10/25/57	^2,3		330,346,232		342,730,797
CIM Trust, Series 2017-5, Class A1
2.30%		05/25/57	^3,8		27,555,982		27,372,327
CIM Trust, Series 2017-8, Class A1
3.00%		12/01/65	³		164,664,486		165,035,277
CIT Mortgage Loan Trust, Series 2007-1, Class 1A


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
(LIBOR USD 1-Month plus 1.35%)
2.90%		10/25/37	^2,3	$	82,849,683	$	83,466,383
Citicorp Mortgage Securities, Inc., Series 2005-1, Class 1A12
5.00%		02/25/35			301,584		302,505
Citicorp Residential Mortgage Securities, Inc., Series 2006-2, Class A5 (STEP)
5.53%		09/25/36			525,000		529,379
Citicorp Residential Mortgage Securities, Inc., Series 2007-1, Class A5 (STEP)
5.51%		03/25/37			650,000		687,601
Citigroup Mortgage Loan Trust, Inc., Series 2006-HE1, Class M2
(LIBOR USD 1-Month plus 0.34%)
1.89%		01/25/36	²		7,803,382		7,825,901
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41
3.16%		02/25/34	⁸		154,234		153,217
Citigroup Mortgage Loan Trust, Inc., Series 2004-RR2, Class A2
3.28%		05/25/34	^3,8		2,604,000		2,658,596
Citigroup Mortgage Loan Trust, Inc., Series 2005-5, Class 3A2A
3.32%		10/25/35	⁸		900,234		707,500
Citigroup Mortgage Loan Trust, Inc., Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.26%)
1.81%		11/25/35	²		235,817		190,922
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR3, Class 1A2A
3.37%		06/25/36	⁸		6,239,317		5,981,374
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A2A
(LIBOR USD 1-Month plus 0.15%)
1.70%		08/25/36	²		5,237,881		5,242,589
Citigroup Mortgage Loan Trust, Inc., Series 2007-6, Class 1A4A
5.41%		03/25/37	⁸		648,821		551,437
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH1, Class A4
(LIBOR USD 1-Month plus 0.20%)
1.75%		01/25/37	²		105,135		106,096
Citigroup Mortgage Loan Trust, Inc., Series 2010-7, Class 2A1
3.38%		02/25/35	^3,8		106,738		108,100
Citigroup Mortgage Loan Trust, Inc., Series 2012-3, Class 4A1
3.27%		11/25/36	^3,8		1,308,969		1,318,857
Citigroup Mortgage Loan Trust, Inc., Series 2014-6, Class 3A2
3.59%		11/25/35	^3,8		6,385,334		6,444,515


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc., Series 2015-2, Class 1A1
(LIBOR USD 1-Month plus 0.20%)
1.53%		06/25/47	^2,3	$	27,988,111	$	28,062,974
Citigroup Mortgage Loan Trust, Inc., Series 2015-2, Class 4A1
(LIBOR USD 1-Month plus 0.70%)
1.70%		03/25/47	^2,3		23,266,690		22,481,848
Citigroup Mortgage Loan Trust, Inc., Series 2015-3, Class 1A1
(LIBOR USD 1-Month plus 0.27%)
1.60%		03/25/36	^2,3		10,816,732		10,591,225
Collateralized Mortgage Obligation Trust, Series 57, Class D
9.90%		02/01/19			172		176
Conseco Finance Securitizations Corp., Series 2001-4, Class A4
7.36%		08/01/32	⁸		2,084,985		2,177,841
Conseco Financial Corp., Series 1996-7, Class M1
7.70%		09/15/26	⁸		6,155,848		6,607,128
Conseco Financial Corp., Series 1998-2, Class A5
6.24%		12/01/28			36,855		38,068
Conseco Financial Corp., Series 1998-3, Class A6
6.76%		03/01/30	⁸		2,738,873		2,913,491
Conseco Financial Corp., Series 1998-6, Class A8
6.66%		06/01/30	⁸		3,624,459		3,844,798
Conseco Financial Corp., Series 2002-C, Class BF2
8.00%		06/15/32	^3,8		276,256		293,395
CountryPlace Manufactured Housing Contract Trust, Series 2007-1, Class A4
5.85%		07/15/37	^3,8		8,147,769		8,288,215
Countrywide Alternative Loan Trust, Series 2004-J6, Class 2A1
6.50%		11/25/31			12,274		12,864
Countrywide Alternative Loan Trust, Series 2005-84, Class 1A1
3.31%		02/25/36	⁸		88,326		72,263
Countrywide Alternative Loan Trust, Series 2006-24CB, Class A19
(LIBOR USD 1-Month plus 0.50%)
2.05%		06/25/36	²		1,255,885		882,642
Countrywide Alternative Loan Trust, Series 2006-HY13, Class 4A1
3.60%		02/25/37	⁸		2,582,571		2,515,604
Countrywide Alternative Loan Trust, Series 2006-OC5, Class 2A2A


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
(LIBOR USD 1-Month plus 0.17%)
1.72%		06/25/46	²	$	821,547	$	802,240
Countrywide Alternative Loan Trust, Series 2007-J1, Class 2A1
(LIBOR USD 1-Month plus 0.20%)
1.75%		03/25/37	²		747,362		320,638
Countrywide Asset-Backed Certificates, Series 2005-11, Class AF4
4.63%		03/25/34	⁸		7,000,000		7,034,245
Countrywide Asset-Backed Certificates, Series 2005-13, Class AF4
4.67%		04/25/36	⁸		261,007		241,686
Countrywide Asset-Backed Certificates, Series 2005-16, Class 4AV4
(LIBOR USD 1-Month plus 0.35%)
1.68%		05/25/36	²		1,208,630		1,211,588
Countrywide Asset-Backed Certificates, Series 2005-AB2, Class 1A1
(LIBOR USD 1-Month plus 0.46%)
2.01%		11/25/35	²		23,752,113		23,406,484
Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A2
(LIBOR USD 1-Month plus 0.80%)
2.35%		10/25/47	²		14,032,992		13,843,189
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2001-HYB1, Class 1A1
2.75%		06/19/31	⁸		11,453		11,746
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2003-J8, Class 1A4
5.25%		09/25/23			95,367		96,671
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1
3.18%		08/25/34	⁸		1,245,286		1,215,955
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-25, Class 1A1
(LIBOR USD 1-Month plus 0.66%)
2.21%		02/25/35	²		150,009		149,692
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-29, Class 3A1
2.49%		02/25/35	⁸		3,856,157		2,964,076
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB3, Class 1A
3.23%		06/20/34	⁸		44,554		45,180
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB4, Class 2A1
3.49%		09/20/34	⁸		1,492,124		1,456,078


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB7, Class 3A
3.62%		11/20/34	⁸	$	329,137	$	334,441
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-11, Class 1A2
3.86%		04/25/35	⁸		1,033,873		1,011,400
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-31, Class 2A3
3.24%		01/25/36	⁸		299,296		294,524
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-4, Class 4A1
(LIBOR USD 1-Month plus 0.58%)
2.13%		02/25/35	²		33,758		28,275
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.60%)
2.15%		05/25/35	²		5,045,460		4,719,044
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HY5, Class 1A1
3.80%		09/25/47	⁸		1,567,237		1,529,236
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HYB1, Class 1A1
3.10%		03/25/37	⁸		1,660,879		1,325,246
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A4
3.37%		08/25/33	⁸		25,798		25,920
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-1, Class 2A1
6.50%		02/25/34			40,410		43,504
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR5, Class 6A1
3.54%		06/25/34	⁸		227,968		233,126
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-6, Class 8A1
4.50%		07/25/20			12,724		12,645
Credit Suisse First Boston Mortgage Securities Corp., Series 2006-2, Class 2A1
(LIBOR USD 1-Month plus 0.70%)
2.25%		03/25/36	²		4,451,727		2,538,224
Credit Suisse Mortgage Trust, Series 2007-2, Class 3A4
5.50%		03/25/37			2,517,223		2,316,081


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse Mortgage Trust, Series 2009-14R, Class 2A1
5.00%		06/26/37	³	$	2,726,394	$	2,752,972
Credit Suisse Mortgage Trust, Series 2010-17R, Class 1A1
3.37%		06/26/36	^3,8		545,886		550,328
Credit Suisse Mortgage Trust, Series 2011-16R, Class 5A1
2.72%		09/27/35	^3,8		1,590,039		1,562,140
Credit Suisse Mortgage Trust, Series 2014-10R, Class 3A1
(LIBOR USD 1-Month plus 2.75%)
4.30%		04/27/36	^2,3		4,030,846		4,123,096
Credit Suisse Mortgage Trust, Series 2014-11R, Class 10A1
(LIBOR USD 1-Month plus 0.22%)
1.55%		05/27/37	^2,3		8,543,540		8,420,228
Credit Suisse Mortgage Trust, Series 2014-12R, Class 1A1
(LIBOR USD 1-Month plus 1.75%)
3.11%		08/27/36	^2,3		16,354,718		16,559,574
Credit Suisse Mortgage Trust, Series 2014-7R, Class 7A1
1.48%		08/27/36	^3,8		7,448,760		7,425,820
Credit Suisse Mortgage Trust, Series 2015-1R, Class 5A1
3.43%		09/27/35	^3,8		10,470,040		10,468,135
Credit Suisse Mortgage Trust, Series 2015-2R, Class 4A1
1.53%		06/27/47	^3,8		34,360,248		32,735,321
Credit Suisse Mortgage Trust, Series 2015-6R, Class 2A1
(LIBOR USD 1-Month plus 0.20%)
1.53%		11/27/46	^2,3		13,706,188		12,833,556
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB1, Class AF (STEP)
3.95%		01/25/33			16,636		16,778
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB4, Class M1
(LIBOR USD 1-Month plus 1.04%)
2.59%		03/25/33	²		4,017,548		4,015,814
Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB5, Class M1
(LIBOR USD 1-Month plus 1.02%)
2.35%		11/25/33	²		97,741		95,758
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2 (STEP)
3.46%		01/25/36			9,100,870		8,043,566


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A1
(LIBOR USD 1-Month plus 0.14%)
1.69%		10/25/36	²	$	20,103,914	$	17,661,137
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A2B
(LIBOR USD 1-Month plus 0.11%)
1.66%		10/25/36	²		1,984,788		1,980,861
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB9, Class A3
(LIBOR USD 1-Month plus 0.15%)
1.70%		11/25/36	²		34,428,725		22,915,174
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF4 (STEP)
3.71%		01/25/37			8,005,110		4,157,618
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF5 (STEP)
3.71%		01/25/37			15,043,508		7,540,527
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP)
4.27%		02/25/37			42,201,848		30,987,623
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2D (STEP)
4.27%		02/25/37			30,898,036		22,681,327
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2E (STEP)
4.27%		02/25/37			5,618,760		4,125,434
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A2
(LIBOR USD 1-Month plus 0.17%)
1.50%		04/25/37	²		33,296,970		25,353,605
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB7, Class A1
(LIBOR USD 1-Month plus 0.14%)
1.69%		10/25/36	²		66,064,136		50,067,122
CSAB Mortgage-Backed Trust, Series 2006-4, Class A6B (STEP)
5.78%		12/25/36			5,268,016		952,571
Deutsche ALT-A Securities Mortgage Loan Trust, Series 2006-AR3, Class A1
(LIBOR USD 1-Month plus 0.19%)
1.74%		08/25/36	²		5,303,462		4,764,652
Deutsche ALT-A Securities Mortgage Loan Trust, Series 2006-AR4, Class A1


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
(LIBOR USD 1-Month plus 0.13%)
1.68%		12/25/36	²	$	2,444,211	$	1,524,853
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 4A5
5.25%		06/25/35			66,847		66,998
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-6, Class 1A7
5.50%		12/25/35			550,531		464,657
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AR6, Class AR6
(LIBOR USD 1-Month plus 0.19%)
1.74%		02/25/37	²		1,066,292		973,345
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR1, Class 2A1
3.68%		02/25/36	⁸		1,411,530		1,197,827
DSLA Mortgage Loan Trust, Series 2004-AR4, Class 2A1A
(LIBOR USD 1-Month plus 0.36%)
1.86%		01/19/45	²		3,027,389		2,762,939
DSLA Mortgage Loan Trust, Series 2005-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.25%)
1.75%		02/19/45	²		526,266		517,404
DSLA Mortgage Loan Trust, Series 2005-AR3, Class 2A1A
(LIBOR USD 1-Month plus 0.24%)
1.74%		07/19/45	²		266,258		256,351
DSLA Mortgage Loan Trust, Series 2006-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.20%)
1.70%		10/19/36	²		22,110,644		19,847,631
DSLA Mortgage Loan Trust, Series 2007-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.14%)
1.64%		04/19/47	²		12,807,996		12,095,518
Equity One ABS, Inc., Series 1998-1, Class A2 (STEP)
7.48%		11/25/29			83,747		81,725
Equity One Mortgage Pass-Through Trust, Series 2002-4, Class M1
5.22%		02/25/33	⁸		11,938		11,832
Equity One Mortgage Pass-Through Trust, Series 2002-5, Class M1 (STEP)
5.80%		11/25/32			41,051		42,081
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA2, Class 1A1
3.13%		08/25/34	⁸		11,988,999		12,425,971
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
3.13%		09/25/34	⁸		69,224		68,612
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
3.35%		10/25/34	⁸	$	2,510,684	$	2,510,853
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA10, Class 1A1
3.31%		12/25/35	⁸		24,141,541		22,625,935
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA12, Class 2A1
3.19%		02/25/36	⁸		28,052,105		24,484,037
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA4, Class 2A1
3.20%		06/25/35	⁸		25,041,614		23,992,410
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA7, Class 2A1
3.19%		09/25/35	⁸		24,502,350		23,724,351
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA8, Class 2A1
3.27%		10/25/35	⁸		31,743,425		27,596,575
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1
3.27%		11/25/35	⁸		26,941,257		25,413,117
First Horizon Alternative Mortgage Securities Trust, Series 2006-AA1, Class 1A1
3.21%		03/25/36	⁸		30,215,657		25,944,504
First Horizon Alternative Mortgage Securities Trust, Series 2006-FA8, Class 1A7
6.00%		02/25/37			14,746		11,980
First Horizon Mortgage Pass-Through Trust, Series 2004-AR5, Class 2A1
3.60%		10/25/34	⁸		1,064,574		1,066,138
First Horizon Mortgage Pass-Through Trust, Series 2004-AR6, Class 2A1
3.71%		12/25/34	⁸		453,878		457,651
First Horizon Mortgage Pass-Through Trust, Series 2006-AR4, Class 1A2
3.38%		01/25/37	⁸		173,781		159,872
First Horizon Mortgage Pass-Through Trust, Series 2007-AR3, Class 1A1
3.41%		11/25/37	⁸		424,919		401,513
FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2
(LIBOR USD 1-Month plus 0.40%)
1.90%		08/19/34	²		12,928		12,882
Fremont Home Loan Trust, Series 2005-C, Class M1
(LIBOR USD 1-Month plus 0.72%)
2.27%		07/25/35	²		2,008,929		2,017,397
GE Business Loan Trust, Series 2007-1A, Class A
(LIBOR USD 1-Month plus 0.17%)
1.65%		04/16/35	^2,3		9,565,248		9,303,012
GMAC Mortgage Corp. Loan Trust, Series 2003-AR2, Class 3A5
4.02%		12/19/33	⁸		3,266,636		3,270,924


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GMAC Mortgage Corp. Loan Trust, Series 2004-AR1, Class 22A
4.01%		06/25/34	⁸	$	6,386	$	6,406
GMAC Mortgage Corp. Loan Trust, Series 2005-AR6, Class 3A1
3.68%		11/19/35	⁸		1,066,093		1,020,824
GMAC Mortgage Corp. Loan Trust, Series 2006-AR2, Class 1A1
3.32%		05/19/36	⁸		1,936,669		1,373,947
GMACM Home Equity Loan Trust, Series 2000-HE2, Class A1
(LIBOR USD 1-Month plus 0.44%)
1.99%		06/25/30	²		33,833		29,383
GreenPoint Mortgage Funding Trust, Series 2005-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.24%)
1.79%		08/25/45	²		2,034,090		1,856,915
GreenPoint Mortgage Funding Trust, Series 2005-HY1, Class 1A1A
(LIBOR USD 1-Month plus 0.27%)
1.82%		07/25/35	²		8,434,664		8,412,194
GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A
(LIBOR USD 1-Month plus 0.18%)
1.73%		01/25/47	²		30		30
GreenPoint Mortgage Funding Trust, Series 2007-AR1, Class 3A2
(LIBOR USD 1-Month plus 0.16%)
1.71%		02/25/37	²		3,621,359		3,539,919
GSAA Home Equity Trust, Series 2005-11, Class 1A1
(LIBOR USD 1-Month plus 0.28%)
1.83%		10/25/35	²		8,755,441		8,523,384
GSAA Home Equity Trust, Series 2005-9, Class 2A3
(LIBOR USD 1-Month plus 0.37%)
1.92%		08/25/35	²		2,291,301		2,272,859
GSAMP Trust, Series 2005-AHL2, Class A2D
(LIBOR USD 1-Month plus 0.35%)
1.90%		12/25/35	²		25,693,000		23,434,827
GSAMP Trust, Series 2005-HE5, Class M1
(LIBOR USD 1-Month plus 0.42%)
1.97%		11/25/35	²		1,426,872		1,430,651
GSR Mortgage Loan Trust, Series 2004-9, Class 3A1
3.57%		08/25/34	⁸		5,231		5,470
GSR Mortgage Loan Trust, Series 2004-9, Class 5A7
3.51%		08/25/34	⁸		459,320		460,420
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
3.59%		10/25/35	⁸	$	4,514,308	$	3,929,199
GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5
3.53%		09/25/35	⁸		269,706		274,593
GSR Mortgage Loan Trust, Series 2007-AR2, Class 2A1
3.53%		05/25/37	⁸		3,342,576		3,085,065
HarborView Mortgage Loan Trust, Series 2004-1, Class 2A
3.32%		04/19/34	⁸		8,682		8,655
HarborView Mortgage Loan Trust, Series 2004-11, Class 3A2A
(LIBOR USD 1-Month plus 0.68%)
2.18%		01/19/35	²		499,505		402,110
HarborView Mortgage Loan Trust, Series 2004-5, Class 2A6
3.22%		06/19/34	⁸		5,381		5,428
HarborView Mortgage Loan Trust, Series 2005-4, Class 2A
3.84%		07/19/35	⁸		162,748		155,494
HarborView Mortgage Loan Trust, Series 2006-10, Class 1A1A
(LIBOR USD 1-Month plus 0.20%)
1.70%		11/19/36	²		91,881,058		81,660,540
HarborView Mortgage Loan Trust, Series 2006-7, Class 1A
(LIBOR USD 1-Month plus 0.21%)
1.71%		09/19/46	²		119,328,374		110,216,623
HarborView Mortgage Loan Trust, Series 2007-7, Class 2A1A
(LIBOR USD 1-Month plus 1.00%)
2.55%		10/25/37	²		12,769,730		12,649,519
Home Equity Mortgage Loan Trust, Series 2005-C, Class AI1
(LIBOR USD 1-Month plus 0.26%)
1.81%		10/25/35	²		1,912,313		1,916,520
Homestar Mortgage Acceptance Corp., Series 2004-5, Class A4
(LIBOR USD 1-Month plus 1.14%)
2.69%		10/25/34	²		822,709		831,497
Impac CMB Trust, Series 2005-1, Class 1A1
(LIBOR USD 1-Month plus 0.52%)
2.07%		04/25/35	²		6,057,319		5,803,642
Impac CMB Trust, Series 2005-4, Class 1A1B
(LIBOR USD 1-Month plus 0.25%)
1.80%		05/25/35	²		8,200,703		7,986,545
Impac Secured Assets Corp., Series 2004-3, Class 1


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
(LIBOR USD 1-Month plus 0.80%)
2.35%		11/25/34	²	$	288,025	$	287,191
Impac Secured Assets Corp., Series 2007-2, Class 1A1A
(LIBOR USD 1-Month plus 0.11%)
1.66%		05/25/37	²		14,255,062		12,192,443
Impac Secured Assets Corp., Series 2007-2, Class 1A1B
(LIBOR USD 1-Month plus 0.25%)
1.80%		05/25/37	²		68,708,943		56,867,085
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A
3.19%		08/25/34	⁸		1,552,613		1,534,797
IndyMac Index Mortgage Loan Trust, Series 2004-AR5, Class 2A1B
(LIBOR USD 1-Month plus 0.80%)
2.35%		08/25/34	²		20,882		19,175
IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A2
(LIBOR USD 1-Month plus 0.86%)
2.41%		09/25/34	²		82,136		79,983
IndyMac Index Mortgage Loan Trust, Series 2005-AR1, Class 4A1
3.33%		03/25/35	⁸		1,139,477		1,153,297
IndyMac Index Mortgage Loan Trust, Series 2005-AR17, Class 3A1
3.39%		09/25/35	⁸		6,040,985		5,614,673
IndyMac Index Mortgage Loan Trust, Series 2005-AR19, Class A1
3.33%		10/25/35	⁸		36,249,835		31,757,882
IndyMac Index Mortgage Loan Trust, Series 2005-AR31, Class 3A1
3.36%		01/25/36	⁸		1,913,446		1,827,958
IndyMac Index Mortgage Loan Trust, Series 2005-AR6, Class 2A1
(LIBOR USD 1-Month plus 0.48%)
2.03%		04/25/35	²		812,650		778,901
IndyMac Index Mortgage Loan Trust, Series 2006-AR19, Class 1A2
3.56%		08/25/36	⁸		19,838,393		16,500,730
IndyMac Index Mortgage Loan Trust, Series 2006-AR21, Class A1
(LIBOR USD 1-Month plus 0.12%)
1.67%		08/25/36	²		234,137		220,727
IndyMac Index Mortgage Loan Trust, Series 2006-AR27, Class 2A
(LIBOR USD 1-Month plus 0.20%)
1.75%		10/25/36	²		33,330,742		31,036,457
IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 1A1
3.42%		05/25/36	⁸		5,208,958		4,831,047


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 2A1
3.51%		05/25/36	⁸	$	36,392,737	$	30,084,864
IndyMac Index Mortgage Loan Trust, Series 2007-AR1, Class 1A2
3.62%		03/25/37	⁸		1,042,371		1,020,291
IndyMac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1
3.06%		06/25/37	⁸		5,013,779		4,322,002
IndyMac Index Mortgage Loan Trust, Series 2007-AR7, Class 1A1
3.66%		11/25/37	⁸		4,379,861		4,323,297
IndyMac Manufactured Housing Contract, Series 1997-1, Class A3
6.61%		02/25/28			157,274		159,126
JPMorgan Alternative Loan Trust, Series 2006-A2, Class 2A1
3.56%		05/25/36	⁸		1,068,218		920,288
JPMorgan Alternative Loan Trust, Series 2006-A2, Class 5A1
3.54%		05/25/36	⁸		10,520,043		9,100,788
JPMorgan Mortgage Acquisition Trust, Series 2005-WMC1, Class M2 (LIBOR USD 1-Month plus 0.66%)
2.21%		09/25/35	²		14,238,915		14,237,249
JPMorgan Mortgage Acquisition Trust, Series 2006-NC2, Class A4 (LIBOR USD 1-Month plus 0.15%)
1.48%		07/25/36	²		16,931,380		17,088,288
JPMorgan Mortgage Acquisition Trust, Series 2006-WF1, Class A3A (STEP)
5.83%		07/25/36			27,634,056		14,734,517
JPMorgan Mortgage Acquisition Trust, Series 2006-WF1, Class A6 (STEP)
6.00%		07/25/36			5,656,154		3,121,932
JPMorgan Mortgage Acquisition Trust, Series 2007-CH1, Class AV5 (LIBOR USD 1-Month plus 0.24%)
1.79%		11/25/36	²		7,710,549		7,711,568
JPMorgan Mortgage Acquisition Trust, Series 2007-CH3, Class A4 (LIBOR USD 1-Month plus 0.21%)
1.76%		03/25/37	²		3,208,522		3,207,705
JPMorgan Mortgage Acquisition Trust, Series 2007-CH4, Class A1 (LIBOR USD 1-Month plus 0.15%)
1.70%		05/25/37	²		94,346,578		90,379,776
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF1 (LIBOR USD 1-Month plus 0.10%)
1.65%		03/25/47	²		166,948		110,725


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF2 (STEP)
4.41%		03/25/47		$	10,921,403	$	8,222,904
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF3 (STEP)
4.41%		05/25/35			8,773,889		6,605,937
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF4 (STEP)
4.41%		03/25/47			4,178,042		3,145,615
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AV4 (LIBOR USD 1-Month plus 0.28%)
1.83%		03/25/47	²		240,000		200,321
JPMorgan Mortgage Trust, Series 2003-A2, Class 2A3
2.99%		11/25/33	⁸		210,214		210,363
JPMorgan Mortgage Trust, Series 2004-A4, Class 1A3
3.82%		09/25/34	⁸		1,136,931		1,170,990
JPMorgan Mortgage Trust, Series 2005-A5, Class TA1
3.66%		08/25/35	⁸		162,404		163,157
JPMorgan Mortgage Trust, Series 2005-S2, Class 4A3
5.50%		09/25/20			3,876,577		3,668,993
JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3
3.58%		11/25/33	⁸		9,935		10,147
JPMorgan Mortgage Trust, Series 2006-A3, Class 2A1
3.50%		05/25/36	⁸		1,741,197		1,650,871
JPMorgan Mortgage Trust, Series 2006-A3, Class 3A3
3.46%		05/25/36	⁸		1,158,039		1,150,856
JPMorgan Mortgage Trust, Series 2006-A4, Class 1A1
3.71%		06/25/36	⁸		881,081		844,172
JPMorgan Mortgage Trust, Series 2006-A4, Class 1A4
3.71%		06/25/36	⁸		2,840,322		2,726,090
JPMorgan Mortgage Trust, Series 2006-A5, Class 2A4
3.59%		08/25/36	⁸		605,947		591,308
JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2
3.63%		07/25/35	⁸		3,159,055		3,260,392
JPMorgan Mortgage Trust, Series 2007-A3, Class 2A3
3.27%		05/25/37	⁸		4,065,283		3,764,660
JPMorgan Mortgage Trust, Series 2007-A3, Class 3A2
3.53%		05/25/37	⁸		636,802		632,705


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust, Series 2007-A4, Class 1A1
3.51%		06/25/37	⁸	$	5,722,292	$	5,629,153
JPMorgan Mortgage Trust, Series 2007-A4, Class 2A3
3.59%		06/25/37	⁸		886,008		838,712
JPMorgan Resecuritization Trust, Series 2015-1, Class 3A1 (LIBOR USD 1-Month plus 0.19%)
1.52%		12/27/46	^2,3		19,378,860		18,621,408
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4
5.27%		04/15/40			6,408		6,520
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6
6.47%		04/15/40	⁸		1,856,286		1,901,939
Lehman XS Trust, Series 2005-5N, Class 3A1A (LIBOR USD 1-Month plus 0.30%)
1.85%		11/25/35	²		15,408,985		14,865,157
Lehman XS Trust, Series 2006-12N, Class A31A (LIBOR USD 1-Month plus 0.20%)
1.75%		08/25/46	²		24,619,625		20,945,264
Lehman XS Trust, Series 2006-13, Class 1A2 (LIBOR USD 1-Month plus 0.17%)
1.72%		09/25/36	²		13,623,814		14,464,175
Lehman XS Trust, Series 2006-14N, Class 3A2 (LIBOR USD 1-Month plus 0.12%)
1.67%		08/25/36	²		107,651		100,441
Lehman XS Trust, Series 2006-9, Class A1B (LIBOR USD 1-Month plus 0.16%)
1.71%		05/25/46	²		17,734,351		17,229,445
Long Beach Mortgage Loan Trust, Series 2004-4, Class M1 (LIBOR USD 1-Month plus 0.90%)
2.45%		10/25/34	²		58,752		58,656
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2
3.54%		01/25/34	⁸		52,970		51,867
MASTR Adjustable Rate Mortgages Trust, Series 2003-7, Class 3A1
3.20%		11/25/33	⁸		1,452,083		1,526,426
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A1
3.47%		11/21/34	⁸		7,697,749		7,932,097
MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 9A1
3.72%		10/25/34	⁸		829,894		828,200


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1
2.63%		06/25/34	⁸	$	257	$	229
MASTR Adjustable Rate Mortgages Trust, Series 2004-8, Class 2A1
3.56%		09/25/34	⁸		4,600,629		4,664,388
MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 5A1
3.62%		05/25/36	⁸		9,197,806		7,530,189
MASTR Alternative Loan Trust, Series 2004-6, Class 3A1
4.75%		07/25/19			498,799		502,666
MASTR Asset Securitization Trust, Series 2004-3, Class 3A2
4.50%		03/25/19			225,681		227,750
MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A3 (LIBOR USD 1-Month plus 0.15%)
1.70%		11/25/36	²		16,660,850		7,574,176
MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A4 (LIBOR USD 1-Month plus 0.21%)
1.76%		11/25/36	²		4,628,014		2,123,640
MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A3 (LIBOR USD 1-Month plus 0.21%)
1.76%		05/25/37	²		46,083,826		43,860,433
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
3.57%		10/25/32	⁸		23,450		23,775
Mellon Residential Funding Corp., Series 2001-TBC1, Class A1 (LIBOR USD 1-Month plus 0.70%)
2.18%		11/15/31	²		1,973,917		1,978,498
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-5, Class 1A (LIBOR USD 1-Month plus 0.15%)
1.70%		04/25/36	²		36,015,167		35,590,360
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2C (LIBOR USD 1-Month plus 0.16%)
1.71%		10/25/36	²		17,565,974		13,468,142
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2B (LIBOR USD 1-Month plus 0.11%)
1.66%		12/25/37	²		12,663,427		9,380,996
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2C (LIBOR USD 1-Month plus 0.16%)
1.71%		12/25/37	²		34,825,562		25,997,432
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2D


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
(LIBOR USD 1-Month plus 0.21%)
1.76%		12/25/37	²	$	25,240,434	$	18,986,213
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FFS, Class IIA4
(LIBOR USD 1-Month plus 0.23%)
1.78%		07/25/36	²		31,440,000		26,748,240
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A2B
(LIBOR USD 1-Month plus 0.17%)
1.72%		04/25/37	²		16,157,429		9,961,826
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A2C
(LIBOR USD 1-Month plus 0.25%)
1.80%		04/25/37	²		67,682,846		42,248,702
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C
(LIBOR USD 1-Month plus 0.24%)
1.79%		05/25/37	²		41,285,743		29,217,417
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2D
(LIBOR USD 1-Month plus 0.32%)
1.87%		05/25/37	²		20,388,693		14,601,927
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.18%)
1.73%		06/25/37	²		17,621,836		13,659,013
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D
(LIBOR USD 1-Month plus 0.25%)
1.80%		06/25/37	²		23,535,808		18,781,318
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A2
(LIBOR USD 1-Month plus 0.12%)
1.67%		07/25/37	²		37,026,329		26,571,986
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A3
(LIBOR USD 1-Month plus 0.16%)
1.71%		07/25/37	²		27,141,219		19,602,225
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2C
(LIBOR USD 1-Month plus 0.14%)
1.47%		01/25/38	²		97,280,013		73,006,315
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B
(LIBOR USD 1-Month plus 0.10%)
1.43%		03/25/37	²		33,997,325		22,698,834
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2C
(LIBOR USD 1-Month plus 0.15%)
1.48%		03/25/37	²		17,574,967		11,826,276


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2D
(LIBOR USD 1-Month plus 0.22%)
1.55%		03/25/37	²	$	32,724,122	$	22,260,240
Merrill Lynch Mortgage Investors Trust, Series 2003-A6, Class 2A
3.78%		10/25/33	⁸		619,745		639,202
Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A1
3.27%		08/25/34	⁸		2,735,376		2,794,668
Merrill Lynch Mortgage Investors Trust, Series 2005-A10, Class A
(LIBOR USD 1-Month plus 0.21%)
1.76%		02/25/36	²		16,710		16,108
Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC2, Class A2B (STEP)
5.61%		03/25/37			33,949,814		10,698,262
Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC2, Class A2D (STEP)
5.90%		03/25/37			26,571,351		8,373,576
Merrill Lynch Mortgage-Backed Securities Trust, Series 2007-2, Class 1A1
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.40%)
4.01%		08/25/36	²		7,204,385		7,065,153
Mid-State Trust XI, Series 2011, Class A1
4.86%		07/15/38			289,475		301,549
Mid-State Trust, Series 2004-1, Class A
6.01%		08/15/37			388,393		422,362
Mid-State Trust, Series 2005-1, Class A
5.75%		01/15/40			18,697,009		20,345,109
Mid-State Trust, Series 2006-1, Class A
5.79%		10/15/40	³		13,028,542		14,745,658
Morgan Stanley Capital I Trust, Series 2006-NC1, Class A4
(LIBOR USD 1-Month plus 0.30%)
1.85%		12/25/35	²		9,349,634		9,379,379
Morgan Stanley Mortgage Loan Trust, Series 2004-11AR, Class 1A1
(LIBOR USD 1-Month plus 0.32%)
1.87%		01/25/35	²		213,299		199,171
Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 2A2
5.50%		04/25/34			184,351		185,155
Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4
3.01%		09/25/34	⁸		1,462,600		1,480,107
Morgan Stanley Mortgage Loan Trust, Series 2005-2AR, Class A
(LIBOR USD 1-Month plus 0.26%)
1.81%		04/25/35	²		5,292,010		5,035,760


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2
5.96%		06/25/36	⁸	$	877,706	$	425,650
Morgan Stanley Mortgage Loan Trust, Series 2007-6XS, Class 1A2S (STEP)
5.50%		02/25/47			278,228		281,028
Morgan Stanley Mortgage Loan Trust, Series 2007-7AX, Class 2A1
(LIBOR USD 1-Month plus 0.12%)
1.67%		04/25/37	²		6,167,766		3,223,683
Morgan Stanley Resecuritization Trust, Series 2013-R9, Class 3A
3.17%		06/26/46	^3,8		5,498,877		5,506,643
Morgan Stanley Resecuritization Trust, Series 2014-R2, Class 1A
(Federal Reserve US 12-Month Cumualtive Average plus 0.82%)
1.80%		12/26/46	^2,3		18,768,422		18,280,361
Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 4A
(Federal Reserve US 12-Month Cumualtive Average plus 0.98%)
1.98%		07/26/46	^2,3		7,662,060		7,625,118
Morgan Stanley Resecuritization Trust, Series 2014-R4, Class 2A
3.54%		08/26/34	^3,8		4,262,532		4,342,211
Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 3A
(Federal Reserve US 12-Month Cumualtive Average plus 0.75%)
1.75%		06/26/47	^2,3		36,403,288		35,333,417
Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 4A
(Federal Reserve US 12-Month Cumualtive Average plus 0.96%)
1.96%		06/26/47	^2,3		14,958,032		14,855,806
Morgan Stanley Resecuritization Trust, Series 2015-R4, Class 2A
(LIBOR USD 1-Month plus 0.40%)
1.73%		08/26/47	^2,3		20,055,422		19,924,454
MortgageIT Trust, Series 2005-1, Class 1A1
(LIBOR USD 1-Month plus 0.64%)
2.19%		02/25/35	²		10,509,954		10,491,703
MortgageIT Trust, Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.28%)
1.83%		10/25/35	²		12,429,587		12,230,298
MortgageIT Trust, Series 2005-5, Class A1
(LIBOR USD 1-Month plus 0.26%)
1.81%		12/25/35	²		1,819,619		1,812,488
Nationstar Home Equity Loan Trust, Series 2006-B, Class AV4


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
(LIBOR USD 1-Month plus 0.28%)
1.83%		09/25/36	²	$	18,294,147	$	17,993,508
Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV4
(LIBOR USD 1-Month plus 0.25%)
1.80%		06/25/37	²		8,265,000		7,691,135
New Century Home Equity Loan Trust, Series 2003-6, Class M1
(LIBOR USD 1-Month plus 1.08%)
2.63%		01/25/34	²		31,075		31,140
New Century Home Equity Loan Trust, Series 2005-4, Class M1
(LIBOR USD 1-Month plus 0.48%)
2.03%		09/25/35	²		4,890,569		4,904,533
New Century Home Equity Loan Trust, Series 2005-B, Class A1
(LIBOR USD 1-Month plus 0.25%)
1.80%		10/25/35	²		13,681,538		13,712,385
Newcastle Mortgage Securities Trust, Series 2006-1, Class A4
(LIBOR USD 1-Month plus 0.28%)
1.83%		03/25/36	²		5,426,846		5,428,997
Nomura Home Equity Loan, Inc., Series 2006-HE2, Class A4
(LIBOR USD 1-Month plus 0.27%)
1.82%		03/25/36	²		24,732,000		23,366,178
Nomura Home Equity Loan, Inc., Series 2006-WF1, Class A4
(LIBOR USD 1-Month plus 0.24%)
1.79%		03/25/36	²		6,743,396		6,750,123
Nomura Resecuritization Trust, Series 2014-6R, Class 2A1
(LIBOR USD 1-Month plus 0.16%)
0.73%		03/26/37	^2,3		12,831,652		12,379,280
Nomura Resecuritization Trust, Series 2011-4RA, Class 1A1
3.16%		12/26/36	^3,8		6,703,195		6,752,430
Nomura Resecuritization Trust, Series 2011-4RA, Class 2A1
3.11%		06/26/37	^3,8		4,730,991		4,798,118
Nomura Resecuritization Trust, Series 2013-1R, Class 2A1
(LIBOR USD 1-Month plus 0.14%)
1.63%		11/26/36	^2,3		7,753,385		7,684,155
Nomura Resecuritization Trust, Series 2014-4R, Class 1A1
3.20%		01/26/36	^3,8		8,302,163		8,314,894
Nomura Resecuritization Trust, Series 2014-4R, Class 3A1
(LIBOR USD 1-Month plus 0.15%)
1.48%		09/26/36	^2,3		5,965,562		5,873,836


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Nomura Resecuritization Trust, Series 2014-7R, Class 4A1
(LIBOR USD 1-Month plus 0.13%)
1.46%		01/26/37	^2,3	$	22,406,021	$	22,020,331
Nomura Resecuritization Trust, Series 2015-4R, Class 1A1
(LIBOR USD 1-Month plus 0.19%)
1.52%		03/26/47	^2,3		8,868,639		8,845,643
Oakwood Mortgage Investors, Inc., Series 2000-A, Class A5
8.16%		09/15/29	⁸		22,517,543		14,314,303
Option One Mortgage Loan Trust, Series 2005-5, Class A3
(LIBOR USD 1-Month plus 0.21%)
1.76%		12/25/35	²		5,133		5,144
Option One Mortgage Loan Trust, Series 2006-1, Class 1A1
(LIBOR USD 1-Month plus 0.22%)
1.77%		01/25/36	²		28,831,477		29,006,973
Ownit Mortgage Loan Asset-Backed Certificates, Series 2006-4, Class A2D
(LIBOR USD 1-Month plus 0.24%)
1.79%		05/25/37	²		25,963,965		21,528,809
Popular ABS Mortgage Pass-Through Trust, Series 2005-6, Class A5 (STEP)
3.96%		01/25/36			22,910,000		20,657,269
Popular ABS Mortgage Pass-Through Trust, Series 2006-D, Class A3
(LIBOR USD 1-Month plus 0.26%)
1.81%		11/25/36	²		85,000		83,211
Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3
(LIBOR USD 1-Month plus 0.31%)
1.86%		06/25/47	²		23,015,500		18,446,155
Provident Funding Mortgage Loan Trust, Series 2003-1, Class A
3.29%		08/25/33	⁸		712,034		718,421
Residential Accredit Loans Trust, Series 2003-QS3, Class A4
5.50%		02/25/18			2,116		2,117
Residential Accredit Loans Trust, Series 2005-QA10, Class A31
4.29%		09/25/35	⁸		630,506		557,290
Residential Accredit Loans Trust, Series 2005-QA12, Class CB1
4.23%		12/25/35	⁸		5,296,520		3,812,965
Residential Accredit Loans Trust, Series 2005-QA4, Class A41
3.86%		04/25/35	⁸		3,169,652		3,098,483
Residential Accredit Loans Trust, Series 2005-QA7, Class A1
3.85%		07/25/35	⁸		5,106,549		4,223,876


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust, Series 2005-QO5, Class A1
(Federal Reserve US 12-Month Cumualtive Average plus 1.00%)
2.06%		01/25/46	²	$	8,397,143	$	7,444,866
Residential Accredit Loans Trust, Series 2006-QA1, Class A11
3.96%		01/25/36	⁸		201,880		171,563
Residential Accredit Loans Trust, Series 2006-QA1, Class A21
4.39%		01/25/36	⁸		20,887,143		18,483,530
Residential Accredit Loans Trust, Series 2006-QA7, Class 2A1
(LIBOR USD 1-Month plus 0.19%)
1.74%		08/25/36	²		36,078,249		33,179,037
Residential Accredit Loans Trust, Series 2006-QS10, Class AV (IO)
0.58%		08/25/36	^4,5,8		36,622,080		859,692
Residential Accredit Loans Trust, Series 2006-QS12, Class 2A9
(LIBOR USD 1-Month plus 0.38%)
1.93%		09/25/36	²		329,096		261,095
Residential Accredit Loans Trust, Series 2006-QS2, Class 1AV (IO)
0.49%		02/25/36	^4,5,8		124,481,107		2,128,366
Residential Accredit Loans Trust, Series 2006-QS7, Class AV (IO)
0.67%		06/25/36	^4,5,8		63,561,210		1,590,193
Residential Accredit Loans Trust, Series 2006-QS8, Class AV (IO)
0.78%		08/25/36	^4,5,8		150,921,173		4,655,330
Residential Accredit Loans Trust, Series 2007-QS10, Class AV (IO)
0.46%		09/25/37	^4,5,8		98,220,965		1,732,490
Residential Accredit Loans Trust, Series 2007-QS4, Class 3AV (IO)
0.38%		03/25/37	^4,5,8		62,910,298		947,731
Residential Accredit Loans Trust, Series 2007-QS5, Class AV (IO)
0.26%		03/25/37	^4,5,8		75,357,444		690,613
Residential Accredit Loans Trust, Series 2007-QS6, Class AV (IO)
0.33%		04/25/37	^4,5,8		160,082,794		1,943,341
Residential Accredit Loans Trust, Series 2007-QS7, Class 2AV (IO)
0.36%		06/25/37	^4,5,8		49,867,479		715,833
Residential Accredit Loans Trust, Series 2007-QS8, Class AV (IO)
0.40%		06/25/37	^4,5,8		131,636,559		2,120,718
Residential Asset Mortgage Products Trust, Series 2004-SL3, Class A2
6.50%		12/25/31			29,636		29,621


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Mortgage Products Trust, Series 2004-RS12, Class AI6
4.55%		12/25/34		$	168	$	169
Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A8
6.50%		11/25/31			41,220		43,664
Residential Asset Mortgage Products Trust, Series 2004-SL3, Class A4
8.50%		12/25/31			34,976		26,650
Residential Asset Mortgage Products Trust, Series 2005-RS8, Class A3
(LIBOR USD 1-Month plus 0.37%)
1.92%		09/25/35	²		20,614,190		20,728,006
Residential Asset Securities Trust, Series 2004-IP2, Class 1A1
3.58%		12/25/34	⁸		303,243		309,935
Residential Asset Securities Trust, Series 2004-IP2, Class 2A1
3.54%		12/25/34	⁸		28,078		28,270
Residential Asset Securities Trust, Series 2004-IP2, Class 3A1
3.58%		12/25/34	⁸		653,833		659,778
Residential Asset Securities Trust, Series 2006-A7CB, Class 1A3
6.25%		07/25/36			3,043,173		3,032,913
Residential Funding Mortgage Securities Trust, Series 2005-SA5, Class 1A
3.61%		11/25/35	⁸		7,829,130		6,527,314
Residential Funding Mortgage Securities Trust, Series 2006-SA3, Class 3A1
4.38%		09/25/36	⁸		1,108,619		1,059,899
Residential Funding Mortgage Securities Trust, Series 2006-SA3, Class 4A1
4.93%		09/25/36	⁸		465,202		387,189
Residential Funding Mortgage Securities Trust, Series 2006-SA4, Class 2A1
4.69%		11/25/36	⁸		140,426		134,826
Residential Funding Mortgage Securities Trust, Series 2007-SA2, Class 2A2
4.04%		04/25/37	⁸		2,698,007		2,599,369
Saxon Asset Securities Trust, Series 2001-2, Class AF6 (STEP)
4.89%		06/25/16			9,527		9,541
Saxon Asset Securities Trust, Series 2005-2, Class M1
(LIBOR USD 1-Month plus 0.63%)
2.18%		10/25/35	²		2,523,227		2,532,505
Saxon Asset Securities Trust, Series 2007-1, Class A2C
(LIBOR USD 1-Month plus 0.15%)
1.70%		01/25/47	²		9,426,295		9,308,859


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Saxon Asset Securities Trust, Series 2007-3, Class 2A3
(LIBOR USD 1-Month plus 0.40%)
1.95%		09/25/47	²	$	32,174,000	$	30,181,879
Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR1, Class A2A
(LIBOR USD 1-Month plus 0.11%)
1.66%		02/25/37	²		7,128,947		3,896,184
Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR1, Class A2B
(LIBOR USD 1-Month plus 0.27%)
1.82%		02/25/37	²		35,290,516		19,896,764
Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR2, Class A2
(LIBOR USD 1-Month plus 0.23%)
1.78%		02/25/37	²		57,269,959		35,875,423
Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR5, Class A2A
(LIBOR USD 1-Month plus 0.13%)
1.68%		05/25/37	²		21,687,010		16,893,051
Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR5, Class A2C
(LIBOR USD 1-Month plus 0.35%)
1.90%		05/25/37	²		16,356,156		13,131,420
Securitized Asset-Backed Receivables LLC Trust, Series 2007-NC1, Class A2B
(LIBOR USD 1-Month plus 0.15%)
1.70%		12/25/36	²		38,806,510		23,927,861
Securitized Asset-Backed Receivables LLC Trust, Series 2007-NC2, Class A2B
(LIBOR USD 1-Month plus 0.14%)
1.69%		01/25/37	²		21,693,298		15,977,567
Sequoia Mortgage Trust, Series 2003-2, Class A1
(LIBOR USD 1-Month plus 0.66%)
2.16%		06/20/33	²		1,255		1,224
Sequoia Mortgage Trust, Series 2003-8, Class A1
(LIBOR USD 1-Month plus 0.64%)
2.14%		01/20/34	²		2,498		2,452
Sequoia Mortgage Trust, Series 2004-3, Class A
(LIBOR USD 6-Month plus 0.50%)
2.05%		05/20/34	²		692,267		669,820
SG Mortgage Securities Trust, Series 2007-NC1, Class A2
(LIBOR USD 1-Month plus 0.24%)
1.79%		12/25/36	^2,3		17,745,004		11,273,992
Soundview Home Loan Trust, Series 2005-OPT1, Class M2


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
(LIBOR USD 1-Month plus 0.68%)
2.23%		06/25/35	²	$	33,917,157	$	33,959,628
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 3A3
3.58%		02/25/34	⁸		25,663		25,869
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A
3.42%		09/25/34	⁸		12,030,170		11,933,927
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-14, Class 1A
3.42%		10/25/34	⁸		280,303		287,936
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-14, Class 2A
3.40%		10/25/34	⁸		12,430,257		12,680,058
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-15, Class A
3.43%		10/25/34	⁸		3,704,731		3,698,823
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 3A1
3.58%		11/25/34	⁸		8,759,858		8,879,490
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-17, Class A1
2.14%		11/25/34	⁸		56,809		52,095
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 1A2
3.41%		01/25/35	⁸		1,019,294		1,003,139
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-12, Class 3A1
3.46%		06/25/35	⁸		3,145,670		2,963,572
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-18, Class 7A3
3.45%		09/25/35	⁸		23,769,394		20,828,100
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-12, Class 1A1
(LIBOR USD 1-Month plus 0.16%)
1.71%		01/25/37	²		43,115,559		38,030,053
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-9, Class 2A1
3.75%		10/25/47	⁸		1,074,192		972,767
Structured Asset Investment Loan Trust, Series 2006-1, Class A3
(LIBOR USD 1-Month plus 0.20%)
1.75%		01/25/36	²		1,856,930		1,861,232
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2004-23XS, Class 2A1
(LIBOR USD 1-Month plus 0.30%)
1.85%		01/25/35	²		2,398,949		2,351,262
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-WF2, Class A4
(LIBOR USD 1-Month plus 0.31%)
1.86%		07/25/36	²		19,949,762		19,752,865


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-WF3, Class A1
(LIBOR USD 1-Month plus 0.14%)
1.69%		09/25/36	²	$	9,819,132	$	9,794,612
Structured Asset Securities Corp., Series 1997-2, Class 2A4
7.25%		03/28/30			1,649		1,688
Structured Asset Securities Corp., Series 2003-26A, Class 3A5
3.39%		09/25/33	⁸		252,692		255,002
Structured Asset Securities Corp., Series 2003-34A, Class 5A4
3.51%		11/25/33	⁸		2,046,982		2,088,383
Structured Asset Securities Corp., Series 2005-17, Class 4A4
5.50%		10/25/35			4,058,680		4,209,809
Structured Asset Securities Corp., Series 2005-5, Class 2A4
5.50%		04/25/35			3,168,637		3,043,671
Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 1A1
3.70%		06/25/37	⁸		5,441,436		5,178,244
Thornburg Mortgage Securities Trust, Series 2004-4, Class 2A
3.16%		12/25/44	⁸		169,051		166,147
Wachovia Mortgage Loan Trust LLC, Series 2006-ALT1, Class A3
(LIBOR USD 1-Month plus 0.23%)
1.78%		01/25/37	²		21,779,966		14,825,662
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A2
(LIBOR USD 1-Month plus 0.11%)
1.66%		01/25/37	²		4,737,560		3,066,061
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A3
(LIBOR USD 1-Month plus 0.15%)
1.70%		01/25/37	²		43,733,001		28,447,008
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A4
(LIBOR USD 1-Month plus 0.23%)
1.78%		01/25/37	²		14,680,430		9,651,343
WaMu Mortgage Pass-Through Certificates, Series 2002-AR1, Class 1A1
3.21%		11/25/30	⁸		377,663		381,929
WaMu Mortgage Pass-Through Certificates, Series 2003-AR6, Class A1
3.23%		06/25/33	⁸		5,535,794		5,592,622
WaMu Mortgage Pass-Through Certificates, Series 2004-AR3, Class A2
3.18%		06/25/34	⁸		61,093		62,397
WaMu Mortgage Pass-Through Certificates, Series 2004-AR6, Class A


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
(LIBOR USD 1-Month plus 0.42%)
1.97%		05/25/44	²	$	2,053,067	$	2,036,930
WaMu Mortgage Pass-Through Certificates, Series 2005-3, Class 2A3
(LIBOR USD 1-Month plus 0.55%)
2.10%		05/25/35	²		4,215,748		3,121,356
WaMu Mortgage Pass-Through Certificates, Series 2005-4, Class CB13
(LIBOR USD 1-Month plus 0.50%)
2.05%		06/25/35	²		7,457,082		6,438,568
WaMu Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1A
(LIBOR USD 1-Month plus 0.64%)
2.19%		01/25/45	²		1,063,539		1,058,330
WaMu Mortgage Pass-Through Certificates, Series 2005-AR11, Class A1A
(LIBOR USD 1-Month plus 0.32%)
1.87%		08/25/45	²		54,549,748		55,302,289
WaMu Mortgage Pass-Through Certificates, Series 2005-AR12, Class 1A6
3.21%		10/25/35	⁸		1,919,518		1,934,650
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1
(LIBOR USD 1-Month plus 0.29%)
1.84%		10/25/45	²		8,375,370		8,228,406
WaMu Mortgage Pass-Through Certificates, Series 2005-AR14, Class 2A1
3.38%		12/25/35	⁸		6,346,860		5,896,434
WaMu Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A1
(LIBOR USD 1-Month plus 0.26%)
1.81%		11/25/45	²		39,361,403		39,198,730
WaMu Mortgage Pass-Through Certificates, Series 2005-AR17, Class A1A1
(LIBOR USD 1-Month plus 0.27%)
1.82%		12/25/45	²		18,402,111		18,392,069
WaMu Mortgage Pass-Through Certificates, Series 2005-AR19, Class A1A2
(LIBOR USD 1-Month plus 0.29%)
1.84%		12/25/45	²		23,259,651		22,836,125
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 1A1A
(LIBOR USD 1-Month plus 0.33%)
1.88%		01/25/45	²		18,776,530		18,694,914
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.31%)
1.86%		01/25/45	²		1,783,307		1,764,677
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A23


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
(LIBOR USD 1-Month plus 0.38%)
1.93%		01/25/45	²	$	6,332,512	$	6,271,457
WaMu Mortgage Pass-Through Certificates, Series 2005-AR6, Class 2A1A
(LIBOR USD 1-Month plus 0.46%)
2.01%		04/25/45	²		235,926		232,529
WaMu Mortgage Pass-Through Certificates, Series 2006-AR1, Class 2A1A
(Federal Reserve US 12-Month Cumualtive Average plus 1.07%)
2.13%		01/25/46	²		45,417,216		45,859,139
WaMu Mortgage Pass-Through Certificates, Series 2006-AR10, Class 1A4
3.24%		09/25/36	⁸		18,787,770		18,323,642
WaMu Mortgage Pass-Through Certificates, Series 2006-AR16, Class 3A1
2.99%		12/25/36	⁸		972,333		949,817
WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A
(Federal Reserve US 12-Month Cumualtive Average plus 1.00%)
2.06%		02/25/46	²		1,172,075		1,152,021
WaMu Mortgage Pass-Through Certificates, Series 2006-AR4, Class 1A1A
(Federal Reserve US 12-Month Cumualtive Average plus 0.94%)
1.94%		05/25/46	²		8,003,849		7,873,292
WaMu Mortgage Pass-Through Certificates, Series 2006-AR7, Class 2A
(Federal Reserve US 12-Month Cumualtive Average plus 0.98%)
2.04%		07/25/46	²		16,159,772		15,693,508
WaMu Mortgage Pass-Through Certificates, Series 2007-1, Class 2A1
6.00%		01/25/22			353,796		341,258
WaMu Mortgage Pass-Through Certificates, Series 2007-HY7, Class 4A2
3.38%		07/25/37	⁸		379,866		355,424
WaMu Mortgage Pass-Through Certificates, Series 2007-OA1, Class A1A
(Federal Reserve US 12-Month Cumualtive Average plus 0.70%)
1.76%		02/25/47	²		18,860,625		17,128,596
Wells Fargo Alternative Loan Trust, Series 2007-PA5, Class 1A1
6.25%		11/25/37			279,627		274,476
Wells Fargo Mortgage-Backed Securities Trust, Series 2003-M, Class A1
3.72%		12/25/33	⁸		1,137,991		1,150,786
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-L, Class A8
3.48%		07/25/34	⁸		297,120		300,939


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-S, Class A1
3.51%		09/25/34	⁸	$	2,430,803	$	2,490,322
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 2A14
3.47%		06/25/35	⁸		1,159,367		1,181,719
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-10, Class A4
6.00%		08/25/36			2,552,083		2,578,094
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-2, Class 2A3
5.50%		03/25/36			290,615		294,169
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR1, Class 1A1
3.27%		03/25/36	⁸		4,446,960		4,262,995
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A1
3.39%		07/25/36	⁸		237,416		240,050
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A2
3.39%		07/25/36	⁸		80,518		81,411
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A3
3.39%		07/25/36	⁸		172,200		174,110
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A6
3.39%		07/25/36	⁸		1,006,593		1,017,760
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR8, Class 1A3
3.49%		04/25/36	⁸		7,719		7,674


							5,146,041,271

U.S. Agency Commercial
Mortgage-Backed — 1.71%
Fannie Mae-Aces, Series 2011-M5, Class X
1.13%		07/25/21	⁸		145,747,805		4,912,452
Fannie Mae-Aces, Series 2013-M4, Class ASQ2
1.45%		02/25/18			1,087,430		1,085,742
Fannie Mae-Aces, Series 2014-M12, Class FA
(LIBOR USD 1-Month plus 0.30%)
1.54%		10/25/21	²		25,001,818		25,038,945
Fannie Mae-Aces, Series 2014-M8, Class A1
2.35%		06/25/24			5,923,032		5,902,552
Fannie Mae-Aces, Series 2014-M8, Class FA
(LIBOR USD 1-Month plus 0.25%)
1.49%		05/25/18	²		8,901,649		8,894,841


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Fannie Mae-Aces, Series 2015-M10, Class A2
3.09%		04/25/27	⁸	$	122,515,000	$	124,012,195
Fannie Mae-Aces, Series 2015-M10, Class FA
(LIBOR USD 1-Month plus 0.25%)
1.49%		03/25/19	²		26,849,627		26,849,321
Fannie Mae-Aces, Series 2015-M2, Class A3
3.05%		12/25/24	⁸		28,305		29,001
Fannie Mae-Aces, Series 2015-M8, Class FA
(LIBOR USD 1-Month plus 0.17%)
1.41%		11/25/18	²		56,654,199		56,679,082
Fannie Mae-Aces, Series 2016-M13, Class FA
(LIBOR USD 1-Month plus 0.67%)
1.91%		11/25/23	²		68,612,986		68,673,599
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF34, Class A
(LIBOR USD 1-Month plus 0.36%)
1.73%		08/25/24	²		158,750,719		159,173,679
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K040, Class A2
3.24%		09/25/24			2,840,000		2,951,622
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K053, Class A2
3.00%		12/25/25			205,000,000		208,121,586
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K151, Class A3
3.51%		04/25/30			3,705,000		3,887,893
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K152, Class A2
3.08%		01/25/31			120,000,000		120,782,712
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF02, Class A3
(LIBOR USD 1-Month plus 0.63%)
2.00%		07/25/20	²		1,268,503		1,271,312
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF09, Class A
(LIBOR USD 1-Month plus 0.38%)
1.75%		05/25/22	²		71,150,373		70,553,863
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP04, Class AG1


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
(LIBOR USD 1-Month plus 0.22%)
1.46%		07/25/20	²	$	96,600,000	$	96,627,719
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS03, Class A4
3.16%		05/25/25	⁸		46,605,000		47,671,495
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS07, Class A2
2.74%		09/25/25			65,000,000		64,468,056
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class A1
3.19%		12/25/19			31,672,541		31,981,632
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class A2
4.28%		01/25/20			70,890,000		73,273,386
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSW1, Class A
(LIBOR USD 1-Month plus 0.58%)
1.95%		02/25/26	²		12,787,368		12,833,097
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KW02, Class A1
2.90%		04/25/26			111,174,326		112,086,555
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KX01, Class A
2.36%		02/25/23			52,148,684		51,339,295
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
(LIBOR USD 1-Month plus 0.53%)
1.93%		03/09/21	²		1,978,178		1,974,120


							1,381,075,752

U.S. Agency Mortgage-Backed — 28.85%
Fannie Mae Pool (TBA)
3.00%		01/25/27			592,705,000		603,748,772
3.00%		01/25/43			518,530,000		518,611,020
3.50%		01/25/44			2,317,955,000		2,380,069,055
4.50%		01/01/40			12,465,000		13,263,538
Fannie Mae Pool 190375
5.50%		11/01/36			1,135,340		1,256,566
Fannie Mae Pool 190396
4.50%		06/01/39			16,371		17,474
Fannie Mae Pool 254232
6.50%		03/01/22			17,903		19,852
Fannie Mae Pool 313182
7.50%		10/01/26			2,054		2,211
Fannie Mae Pool 394854


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
6.50%		05/01/27	$	1,378	$	1,529
Fannie Mae Pool 464367
4.54%		01/01/20		4,858,502		5,064,120
Fannie Mae Pool 466766
3.88%		12/01/20		17,540,190		18,310,911
Fannie Mae Pool 467243
4.55%		01/01/21		2,491,465		2,629,017
Fannie Mae Pool 468128
4.33%		07/01/21		1,932,579		2,056,653
Fannie Mae Pool 468551
3.98%		07/01/21		10,252,500		10,765,513
Fannie Mae Pool 468587
3.84%		08/01/21		675,399		705,160
Fannie Mae Pool 468764
4.16%		07/01/21		28,200,000		29,849,525
Fannie Mae Pool 545191
7.00%		09/01/31		4,356		4,746
Fannie Mae Pool 545756
7.00%		06/01/32		1,084		1,257
Fannie Mae Pool 606108
7.00%		03/01/31		3,917		4,037
Fannie Mae Pool 613142
7.00%		11/01/31		10,108		11,727
Fannie Mae Pool 625666
7.00%		01/01/32		9,864		10,847
Fannie Mae Pool 633698
7.50%		02/01/31		49,220		55,626
Fannie Mae Pool 655928
7.00%		08/01/32		161,360		187,225
Fannie Mae Pool 725257
5.50%		02/01/34		1,250,919		1,386,950
Fannie Mae Pool 734830
4.50%		08/01/33		18,312		19,569
Fannie Mae Pool 734922
4.50%		09/01/33		2,622,069		2,829,401
Fannie Mae Pool 735207
7.00%		04/01/34		26,575		29,595
Fannie Mae Pool 735224
5.50%		02/01/35		5,179,726		5,750,919
Fannie Mae Pool 735646
4.50%		07/01/20		596,261		607,100
Fannie Mae Pool 735651
4.50%		06/01/35		5,817,555		6,237,581
Fannie Mae Pool 735686
6.50%		12/01/22		15,648		17,348
Fannie Mae Pool 740297
5.50%		10/01/33		2,428		2,694
Fannie Mae Pool 745147


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
4.50%		12/01/35		$	38,119	$	40,749
Fannie Mae Pool 745592
5.00%		01/01/21			2,073		2,111
Fannie Mae Pool 753168
4.50%		12/01/33			9,205		9,829
Fannie Mae Pool 815422
4.50%		02/01/35			56,693		60,552
Fannie Mae Pool 817611
(LIBOR USD 6-Month plus 1.56%)
3.06%		11/01/35	²		360,453		382,656
Fannie Mae Pool 839109
(LIBOR USD 12-Month plus 1.91%)
3.66%		11/01/35	²		7,865		8,218
Fannie Mae Pool 841031
(LIBOR USD 12-Month plus 1.84%)
3.59%		11/01/35	²		2,797		2,936
Fannie Mae Pool 844773
(LIBOR USD 12-Month plus 1.59%)
3.39%		12/01/35	²		5,458		5,696
Fannie Mae Pool 888412
7.00%		04/01/37			338,275		370,346
Fannie Mae Pool 889125
5.00%		12/01/21			1,841,031		1,880,916
Fannie Mae Pool 889184
5.50%		09/01/36			4,871,273		5,406,702
Fannie Mae Pool 918445
(LIBOR USD 12-Month plus 1.65%)
3.47%		05/01/37	²		17,890		18,739
Fannie Mae Pool 933033
6.50%		10/01/37			710,945		770,921
Fannie Mae Pool AB1613
4.00%		10/01/40			43,309,768		46,008,418
Fannie Mae Pool AB1803
4.00%		11/01/40			49,444,561		52,659,664
Fannie Mae Pool AB2127
3.50%		01/01/26			25,624,641		26,547,528
Fannie Mae Pool AB3679
3.50%		10/01/41			16,687,817		17,257,865
Fannie Mae Pool AB3864
3.50%		11/01/41			13,907,560		14,406,575
Fannie Mae Pool AB4045
3.50%		12/01/41			15,100,777		15,664,368
Fannie Mae Pool AB4262
3.50%		01/01/32			10,621,389		11,037,155
Fannie Mae Pool AB9703
3.50%		06/01/43			38,450,905		39,642,623
Fannie Mae Pool AC8279
4.50%		08/01/39			25,047		26,783


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AD0849
4.25%		02/01/20	$	21,598,705	$	22,425,719
Fannie Mae Pool AD0850
4.31%		02/01/20		34,982,351		36,194,403
Fannie Mae Pool AD0895
4.50%		07/01/19		23,259,060		23,971,120
Fannie Mae Pool AE0482
5.50%		01/01/38		12,026,345		13,326,617
Fannie Mae Pool AE0600
3.85%		11/01/20		21,737,960		22,582,163
Fannie Mae Pool AE0605
4.65%		07/01/20		14,677,868		15,225,148
Fannie Mae Pool AE0918
3.67%		10/01/20		4,186,481		4,321,848
Fannie Mae Pool AH3780
4.00%		02/01/41		19,740,789		21,027,475
Fannie Mae Pool AJ1404
4.00%		09/01/41		29,444,398		31,187,366
Fannie Mae Pool AL0209
4.50%		05/01/41		29,946,720		32,572,513
Fannie Mae Pool AL0290
4.45%		04/01/21		27,495,947		29,077,523
Fannie Mae Pool AL0600
4.30%		07/01/21		4,426,502		4,690,622
Fannie Mae Pool AL0834
4.07%		10/01/21		27,124,503		28,559,903
Fannie Mae Pool AL0851
6.00%		10/01/40		20,812,496		23,452,421
Fannie Mae Pool AL1445
4.36%		11/01/21		71,588,563		75,204,212
Fannie Mae Pool AL2669
4.46%		09/01/21		23,300,402		24,334,181
Fannie Mae Pool AL4597
4.00%		01/01/44		74,392,278		79,232,745
Fannie Mae Pool AL6162
3.30%		02/01/23		20,353,855		20,875,928
Fannie Mae Pool AL6466
2.90%		11/01/26		98,189,250		99,452,449
Fannie Mae Pool AL6829
2.96%		05/01/27		2,786,071		2,808,584
Fannie Mae Pool AL8037
4.50%		07/01/34		339,660		362,765
Fannie Mae Pool AL8356
4.50%		07/01/34		953,779		1,018,372
Fannie Mae Pool AL8960
4.50%		05/01/46		84,231,054		89,725,384
Fannie Mae Pool AL9106
4.50%		02/01/46		108,642,703		116,028,896


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL9472
4.00%		10/01/43		$	14,105,084	$	14,852,407
Fannie Mae Pool AL9722
4.50%		08/01/46			679,077,102		723,522,637
Fannie Mae Pool AL9846
4.50%		02/01/47			497,188,673		529,938,401
Fannie Mae Pool AM0414
2.87%		09/01/27			39,760,000		39,763,852
Fannie Mae Pool AM4108
3.85%		08/01/25			4,675		4,993
Fannie Mae Pool AM4109
3.85%		08/01/25			4,675		5,030
Fannie Mae Pool AM4236
3.94%		08/01/25			9,395		10,127
Fannie Mae Pool AM4687
3.70%		12/01/25			5,246,946		5,564,600
Fannie Mae Pool AM4869
4.07%		12/01/25			1,864,221		2,014,169
Fannie Mae Pool AM5327
3.71%		03/01/26			2,883,271		3,070,303
Fannie Mae Pool AM6057
3.44%		08/01/26			6,750,000		7,026,765
Fannie Mae Pool AM6155
3.23%		07/01/26			2,931,655		3,031,103
Fannie Mae Pool AM6261
(LIBOR USD 1-Month plus 0.22%)
1.59%		07/01/19	²		9,500,000		9,504,385
Fannie Mae Pool AM6667
3.39%		09/01/26			3,461,000		3,601,993
Fannie Mae Pool AM7016
3.47%		10/01/29			5,052,194		5,251,768
Fannie Mae Pool AM8036
2.66%		03/01/27			1,965,000		1,940,283
Fannie Mae Pool AM8709
2.82%		04/01/27			6,427,944		6,431,232
Fannie Mae Pool AM8765
2.83%		06/01/27			4,000,000		3,998,371
Fannie Mae Pool AM8958
2.97%		06/01/30			5,500,000		5,458,128
Fannie Mae Pool AM8969
3.27%		07/01/30			12,691,000		12,973,484
Fannie Mae Pool AM9004
2.80%		06/01/25			100,000,000		101,122,673
Fannie Mae Pool AM9440
3.05%		07/01/27			47,705,000		48,474,045
Fannie Mae Pool AM9602
3.57%		08/01/27			1,770,084		1,858,819
Fannie Mae Pool AM9623


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
3.34%		07/01/30	$	1,420,000	$	1,461,308
Fannie Mae Pool AM9749
3.48%		11/01/30		5,508,867		5,734,123
Fannie Mae Pool AM9954
3.22%		11/01/27		3,242,725		3,336,123
Fannie Mae Pool AN0153
3.36%		11/01/30		10,779,653		11,111,521
Fannie Mae Pool AN0154
3.36%		11/01/30		15,283,480		15,754,006
Fannie Mae Pool AN0648
3.28%		01/01/28		14,176,375		14,653,268
Fannie Mae Pool AN0768
3.19%		01/01/26		12,886,014		13,313,139
Fannie Mae Pool AN0854
3.28%		02/01/28		8,815,000		9,109,852
Fannie Mae Pool AN0959
2.92%		05/01/31		35,459,000		35,281,094
Fannie Mae Pool AN1210
2.85%		05/01/31		5,977,500		5,909,480
Fannie Mae Pool AN1427
2.96%		04/01/28		4,190,062		4,226,826
Fannie Mae Pool AN1468
2.97%		05/01/31		26,320,000		25,879,717
Fannie Mae Pool AN1482
3.03%		05/01/31		5,488,305		5,487,866
Fannie Mae Pool AN1682
3.13%		05/01/31		22,043,397		22,110,265
Fannie Mae Pool AN1686
2.32%		07/01/26		30,983,041		30,062,824
Fannie Mae Pool AN1688
2.32%		07/01/26		26,306,355		25,525,040
Fannie Mae Pool AN1835
2.54%		07/01/28		16,550,000		16,049,651
Fannie Mae Pool AN1954
2.26%		07/01/26		28,865,091		27,875,743
Fannie Mae Pool AN2118
2.32%		08/01/26		14,627,452		14,189,595
Fannie Mae Pool AN2228
2.52%		08/01/26		15,985,000		15,633,124
Fannie Mae Pool AN2248
2.48%		08/01/26		51,160,000		49,582,989
Fannie Mae Pool AN2270
2.51%		08/01/26		2,664,984		2,612,297
Fannie Mae Pool AN2271
2.33%		08/01/26		2,152,000		2,071,045
Fannie Mae Pool AN2309
2.21%		07/01/26		45,854,302		44,134,902
Fannie Mae Pool AN2338


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
2.36%		09/01/26		$	41,812,385	$	40,638,431
Fannie Mae Pool AN2367
2.46%		08/01/26			12,502,000		12,201,840
Fannie Mae Pool AN2371
2.18%		09/01/26			36,608,088		35,025,481
Fannie Mae Pool AN2840
2.49%		09/01/28			21,955,000		21,105,593
Fannie Mae Pool AN3097
2.54%		11/01/28			35,120,000		34,012,452
Fannie Mae Pool AN3574
2.34%		11/01/26			28,210,000		27,138,748
Fannie Mae Pool AN3597
(LIBOR USD 1-Month plus 0.64%)
2.01%		11/01/26	²		23,520,000		23,536,804
Fannie Mae Pool AN3631
2.99%		02/01/29			37,752,000		37,844,745
Fannie Mae Pool AN4429
3.22%		01/01/27			23,130,000		23,732,974
Fannie Mae Pool AN4431
3.22%		01/01/27			49,395,000		50,682,673
Fannie Mae Pool AN4435
3.22%		01/01/27			29,420,000		30,186,947
Fannie Mae Pool AN5718
3.24%		06/01/29			3,805,000		3,902,566
Fannie Mae Pool AN5719
3.24%		06/01/29			3,405,000		3,492,309
Fannie Mae Pool AN6368
3.09%		09/01/29			22,423,000		22,693,009
Fannie Mae Pool AN6707
2.49%		09/01/24			291,361,450		289,054,450
Fannie Mae Pool AS8663
4.50%		01/01/47			65,260,470		69,510,049
Fannie Mae Pool AS9830
4.00%		06/01/47			236,455,205		247,603,103
Fannie Mae Pool AS9972
4.00%		07/01/47			204,351,204		213,985,423
Fannie Mae Pool AU3739
3.50%		08/01/43			51,481,992		53,374,380
Fannie Mae Pool BC1158
3.50%		02/01/46			354,637,034		364,431,111
Fannie Mae Pool FN0000
3.59%		09/01/20			8,722,671		8,984,116
Fannie Mae Pool FN0001
3.76%		12/01/20			41,887,252		43,333,343
Fannie Mae Pool FN0003
4.28%		01/01/21			6,289,542		6,617,431
Fannie Mae Pool FN0005
3.37%		11/01/20			36,029,160		36,921,142


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool FN0007
3.46%		11/01/20		$	100,000	$	102,810
Fannie Mae Pool FN0010
3.84%		09/01/20			281,943		292,240
Fannie Mae Pool MA1177
3.50%		09/01/42			88,206,760		90,611,770
Fannie Mae Pool MA1404
3.50%		04/01/43			6,743		6,952
Fannie Mae Pool MA1527
3.00%		08/01/33			82,176,554		83,657,917
Fannie Mae Pool MA1561
3.00%		09/01/33			51,075,914		51,997,186
Fannie Mae Pool MA1582
3.50%		09/01/43			25,861,822		26,566,960
Fannie Mae Pool MA1584
3.50%		09/01/33			84,040,312		87,304,322
Fannie Mae Pool MA1608
3.50%		10/01/33			58,492,155		60,763,909
Fannie Mae Pool MA2915
3.00%		02/01/27			2,793,397		2,850,962
Fannie Mae Pool MA2960
4.00%		04/01/47			140,397,863		147,011,919
Fannie Mae Pool MA3027
4.00%		06/01/47			242,530,419		253,955,875
Fannie Mae Pool MA3029
3.00%		06/01/32			81,587,713		83,154,835
Fannie Mae Pool MA3058
4.00%		07/01/47			359,895,771		376,850,236
Fannie Mae Pool MA3147
3.00%		10/01/47			84,741,557		84,781,766
Fannie Mae Pool MA3246
2.50%		01/01/33			6,375,000		6,371,732
Fannie Mae REMICS, Series 1989-27, Class Y
6.90%		06/25/19			68		70
Fannie Mae REMICS, Series 1991-65, Class Z
6.50%		06/25/21			1,902		1,985
Fannie Mae REMICS, Series 1992-123, Class Z
7.50%		07/25/22			836		902
Fannie Mae REMICS, Series 1993-132, Class D (PO)
0.00%		10/25/22	⁹		38,689		37,069
Fannie Mae REMICS, Series 1993-29, Class PK
7.00%		03/25/23			4,340		4,577
Fannie Mae REMICS, Series 1994-55, Class H


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
7.00%		03/25/24		$	15,518	$	16,835
Fannie Mae REMICS, Series 1997-34, Class SA
(Cost of Funds 11th District of San Francisco * 5.542, 37.68% Cap)
4.13%		10/25/23	²		3,967		4,560
Fannie Mae REMICS, Series 1998-37, Class VZ
6.00%		06/17/28			10,347		11,029
Fannie Mae REMICS, Series 1999-11, Class Z
5.50%		03/25/29			38,803		41,934
Fannie Mae REMICS, Series 2001-52, Class YZ
6.50%		10/25/31			155,287		176,147
Fannie Mae REMICS, Series 2005-104, Class NI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap)
5.15%		03/25/35	²		13,553,118		836,669
Fannie Mae REMICS, Series 2005-117, Class LC
5.50%		11/25/35			9,231,584		9,773,512
Fannie Mae REMICS, Series 2005-122, Class SG (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
5.05%		11/25/35	²		107,164		14,410
Fannie Mae REMICS, Series 2005-92, Class US (IO)
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)
4.55%		10/25/25	²		7,567,598		772,321
Fannie Mae REMICS, Series 2006-4, Class WE
4.50%		02/25/36			98,503		101,494
Fannie Mae REMICS, Series 2006-49, Class SE
(-4.00 X LIBOR USD 1-Month plus 29.00%, 29.00% Cap)
22.79%		04/25/36	²		2,992,709		4,357,640
Fannie Mae REMICS, Series 2007-17, Class SI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
4.85%		03/25/37	²		2,281,932		259,425
Fannie Mae REMICS, Series 2007-34, Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.11%, 6.11% Cap)
4.56%		04/25/37	²		4,746,935		734,509
Fannie Mae REMICS, Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
6.05%		07/25/37	²		6,833		6,895
Fannie Mae REMICS, Series 2008-24, Class NA
6.75%		06/25/37			943,636		1,046,995


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2010-116, Class SE (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
5.05%		10/25/40	²	$	6,317,421	$	970,804
Fannie Mae REMICS, Series 2010-135, Class EA
3.00%		01/25/40			17,054		17,189
Fannie Mae REMICS, Series 2010-17, Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap)
4.80%		03/25/40	²		11,190,086		1,791,905
Fannie Mae REMICS, Series 2010-43, Class KS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)
4.87%		05/25/40	²		19,989,363		3,187,866
Fannie Mae REMICS, Series 2011-101, Class HE
4.00%		10/25/41			10,100,000		10,804,619
Fannie Mae REMICS, Series 2011-111, Class DB
4.00%		11/25/41			24,977,334		26,414,123
Fannie Mae REMICS, Series 2011-2, Class PD
4.00%		12/25/39			56,705		57,682
Fannie Mae REMICS, Series 2013-101, Class BO (PO)
0.00%		10/25/43	⁹		26,760,175		21,310,147
Fannie Mae REMICS, Series 2013-101, Class CO (PO)
0.00%		10/25/43	⁹		16,548,363		13,434,441
Fannie Mae REMICS, Series G92-12, Class B
7.70%		02/25/22			34		35
Fannie Mae REMICS, Series G92-36, Class Z
7.00%		07/25/22			62		64
Fannie Mae REMICS, Series G93-21, Class Z
7.20%		05/25/23			3,187		3,439
Fannie Mae Trust, Series 2003-W2, Class 2A9
5.90%		07/25/42			34,729		38,188
Fannie Mae, Series 2015-M4, Class FA
(LIBOR USD 1-Month plus 0.21%)
1.45%		09/25/18	²		34,656,969		34,637,839
Fannie Mae-Aces, Series 2017-M13, Class A2
2.94%		09/25/27	⁸		186,605,000		187,371,181
Freddie Mac Gold Pool (TBA)
3.50%		01/01/48			789,420,000		811,005,703
4.00%		01/01/48			99,430,000		104,013,102


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
4.50%		01/01/48	$	48,375,000	$	51,440,010
Freddie Mac Gold Pool A24156
6.50%		10/01/31		281,466		311,990
Freddie Mac Gold Pool A25162
5.50%		05/01/34		2,550,180		2,824,218
Freddie Mac Gold Pool A39012
5.50%		06/01/35		55,590		62,700
Freddie Mac Gold Pool A54856
5.00%		01/01/34		5,001,079		5,428,860
Freddie Mac Gold Pool A61164
5.00%		04/01/36		16,555		17,938
Freddie Mac Gold Pool A97038
4.00%		02/01/41		15,964,928		16,902,895
Freddie Mac Gold Pool C01492
5.00%		02/01/33		845,795		916,414
Freddie Mac Gold Pool C04546
3.00%		02/01/43		24,405,309		24,551,212
Freddie Mac Gold Pool C04573
3.00%		03/01/43		30,966,748		31,114,028
Freddie Mac Gold Pool C46104
6.50%		09/01/29		19,902		22,061
Freddie Mac Gold Pool C55789
7.50%		10/01/27		9,556		10,358
Freddie Mac Gold Pool C90573
6.50%		08/01/22		58,042		62,369
Freddie Mac Gold Pool E02402
6.00%		10/01/22		16,399		17,397
Freddie Mac Gold Pool G00992
7.00%		11/01/28		1,016		1,123
Freddie Mac Gold Pool G01515
5.00%		02/01/33		932,575		1,009,724
Freddie Mac Gold Pool G02579
5.00%		12/01/34		1,166,144		1,266,093
Freddie Mac Gold Pool G02884
6.00%		04/01/37		3,369,685		3,787,847
Freddie Mac Gold Pool G02955
5.50%		03/01/37		4,742,812		5,298,420
Freddie Mac Gold Pool G03357
5.50%		08/01/37		1,832,800		2,070,921
Freddie Mac Gold Pool G03676
5.50%		12/01/37		3,460,702		3,865,367
Freddie Mac Gold Pool G03783
5.50%		01/01/38		2,466,190		2,755,472
Freddie Mac Gold Pool G03985
6.00%		03/01/38		30,020		33,983
Freddie Mac Gold Pool G04438
5.50%		05/01/38		6,303,069		6,980,469
Freddie Mac Gold Pool G04703


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
5.50%		08/01/38	$	5,750,036	$	6,275,604
Freddie Mac Gold Pool G04706
5.50%		09/01/38		228,208		254,905
Freddie Mac Gold Pool G05866
4.50%		02/01/40		22,638,407		24,594,240
Freddie Mac Gold Pool G06361
4.00%		03/01/41		29,967		31,948
Freddie Mac Gold Pool G06498
4.00%		04/01/41		30,660,035		32,557,332
Freddie Mac Gold Pool G06499
4.00%		03/01/41		14,633,389		15,512,546
Freddie Mac Gold Pool G07408
3.50%		06/01/43		28,883,676		29,966,682
Freddie Mac Gold Pool G07786
4.00%		08/01/44		275,115,504		292,148,785
Freddie Mac Gold Pool G07848
3.50%		04/01/44		138,564,030		143,424,597
Freddie Mac Gold Pool G07849
3.50%		05/01/44		20,007,256		20,707,510
Freddie Mac Gold Pool G07924
3.50%		01/01/45		29,249,494		30,259,517
Freddie Mac Gold Pool G07925
4.00%		02/01/45		17,979,070		19,092,348
Freddie Mac Gold Pool G08676
3.50%		11/01/45		106,536,575		109,495,462
Freddie Mac Gold Pool G08677
4.00%		11/01/45		200,739,538		210,164,886
Freddie Mac Gold Pool G08681
3.50%		12/01/45		70,824,955		72,792,007
Freddie Mac Gold Pool G08694
4.00%		02/01/46		73,957,357		77,429,886
Freddie Mac Gold Pool G08699
4.00%		03/01/46		18,992,269		19,880,306
Freddie Mac Gold Pool G08710
3.00%		06/01/46		333,945,568		334,140,920
Freddie Mac Gold Pool G08711
3.50%		06/01/46		31,584,640		32,455,385
Freddie Mac Gold Pool G08712
4.00%		06/01/46		70,351,179		73,679,119
Freddie Mac Gold Pool G08715
3.00%		08/01/46		475,542,766		475,820,949
Freddie Mac Gold Pool G08721
3.00%		09/01/46		31,991,335		32,010,050
Freddie Mac Gold Pool G08722
3.50%		09/01/46		137,591,074		141,384,269
Freddie Mac Gold Pool G08726
3.00%		10/01/46		520,094,791		520,399,036
Freddie Mac Gold Pool G08727


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
3.50%	10/01/46	$	111,830,206	$	114,902,598
Freddie Mac Gold Pool G08732
3.00%	11/01/46		306,957,426		307,136,990
Freddie Mac Gold Pool G08737
3.00%	12/01/46		178,527,796		178,632,231
Freddie Mac Gold Pool G08741
3.00%	01/01/47		175,517,900		175,620,575
Freddie Mac Gold Pool G08742
3.50%	01/01/47		168,746,546		173,382,642
Freddie Mac Gold Pool G08747
3.00%	02/01/47		196,470,615		196,585,546
Freddie Mac Gold Pool G08757
3.50%	04/01/47		82,056,154		84,319,688
Freddie Mac Gold Pool G08762
4.00%	05/01/47		69,820,136		73,114,773
Freddie Mac Gold Pool G11707
6.00%	03/01/20		100,190		101,848
Freddie Mac Gold Pool G12393
5.50%	10/01/21		2,374,306		2,464,363
Freddie Mac Gold Pool G12399
6.00%	09/01/21		1,359		1,421
Freddie Mac Gold Pool G12824
6.00%	08/01/22		1,444,559		1,528,627
Freddie Mac Gold Pool G12909
6.00%	11/01/22		3,710,022		3,929,484
Freddie Mac Gold Pool G13032
6.00%	09/01/22		627,027		656,966
Freddie Mac Gold Pool G13058
4.50%	10/01/20		657,465		667,483
Freddie Mac Gold Pool G18596
3.00%	04/01/31		86,305,545		87,955,082
Freddie Mac Gold Pool G60023
3.50%	04/01/45		24,884,397		25,755,351
Freddie Mac Gold Pool G60080
3.50%	06/01/45		297,860,139		308,052,526
Freddie Mac Gold Pool G60138
3.50%	08/01/45		206,273,448		213,501,076
Freddie Mac Gold Pool G60238
3.50%	10/01/45		90,928,703		93,944,268
Freddie Mac Gold Pool G67700
3.50%	08/01/46		64,877,537		67,057,013
Freddie Mac Gold Pool G67703
3.50%	04/01/47		656,996,399		678,862,094
Freddie Mac Gold Pool G67706
3.50%	12/01/47		78,415,432		81,049,696
Freddie Mac Gold Pool H00790
5.50%	05/01/37		17,431		18,824
Freddie Mac Gold Pool H03161


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
6.50%	08/01/37	$	1,163	$	1,263
Freddie Mac Gold Pool H05069
5.50%	05/01/37		684,337		739,031
Freddie Mac Gold Pool Q05804
4.00%	01/01/42		49,510,587		52,712,774
Freddie Mac Gold Pool U99097
3.50%	07/01/43		86,715,889		89,424,718
Freddie Mac Gold Pool V80356
3.50%	08/01/43		51,988,137		53,945,818
Freddie Mac REMICS, Series 1004, Class H
7.95%	10/15/20		72		74
Freddie Mac REMICS, Series 1073, Class G
7.00%	05/15/21		230		241
Freddie Mac REMICS, Series 1107, Class ZC
6.50%	07/15/21		2,522		2,651
Freddie Mac REMICS, Series 165, Class K
6.50%	09/15/21		37		38
Freddie Mac REMICS, Series 1980, Class Z
7.00%	07/15/27		110,664		124,241
Freddie Mac REMICS, Series 1983, Class Z
6.50%	12/15/23		43,589		46,388
Freddie Mac REMICS, Series 2098, Class TZ
6.00%	01/15/28		464,310		505,490
Freddie Mac REMICS, Series 2174, Class PN
6.00%	07/15/29		25,047		27,337
Freddie Mac REMICS, Series 2313, Class LA
6.50%	05/15/31		14,164		15,929
Freddie Mac REMICS, Series 2433, Class SA
(-2.60 X LIBOR USD 1-Month plus 20.93%, 20.93% Cap)
17.09%	02/15/32²		12,704		16,670
Freddie Mac REMICS, Series 2481, Class AW
6.50%	08/15/32		53,831		58,539
Freddie Mac REMICS, Series 2642, Class BW (IO)
5.00%	06/15/23		12,373		485
Freddie Mac REMICS, Series 2649, Class PC
5.50%	07/15/33		6,248		6,378
Freddie Mac REMICS, Series 3019, Class SW (IO)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
5.72%		08/15/35	²	$	2,027,180	$	410,676
Freddie Mac REMICS, Series 3063, Class YG
5.50%		11/15/35			5,548,121		6,122,439
Freddie Mac REMICS, Series 3300, Class SA (IO) (-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
5.72%		08/15/35	²		896,261		162,107
Freddie Mac REMICS, Series 3707, Class EI (IO)
5.00%		12/15/38			17,378,896		1,598,664
Freddie Mac REMICS, Series 3730, Class JG
3.00%		09/15/39			19,914		19,977
Freddie Mac REMICS, Series 3752, Class XL
4.50%		11/15/40			66,277,000		70,756,821
Freddie Mac REMICS, Series 3891, Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 5.95%, 5.95% Cap)
4.47%		07/15/41	²		9,426,491		860,591
Freddie Mac REMICS, Series 3904, Class JB
4.50%		08/15/41			18,155,000		19,590,207
Freddie Mac REMICS, Series 3925, Class LB
4.50%		09/15/41			9,215,000		10,895,218
Freddie Mac REMICS, Series 3928, Class JD
4.00%		09/15/41			32,095,702		34,194,963
Freddie Mac REMICS, Series 4102, Class TC
2.50%		09/15/41			22,824,280		22,793,724
Freddie Mac REMICS, Series 4161, Class BA
2.50%		12/15/41			34,321,860		34,116,212
Freddie Mac Strips, Series 309, Class PO (PO)
0.00%		08/15/43	⁹		41,202,013		33,058,834
Freddie Mac Strips, Series 319, Class F2
(LIBOR USD 1-Month plus 0.50%)
1.98%		11/15/43	²		7,804,077		7,879,585
Ginnie Mae I Pool 782817
4.50%		11/15/39			24,449,586		26,240,663
Ginnie Mae II Pool (TBA)
3.00%		01/20/43			406,365,000		410,079,432
3.50%		12/20/43			623,060,000		644,136,955
4.00%		01/20/41			189,375,000		197,423,443
4.50%		12/21/44			475,840,000		499,185,876
5.00%		01/20/48			56,000,000		59,706,721


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 2631
7.00%		08/20/28		$	2,570	$	2,959
Ginnie Mae II Pool 3388
4.50%		05/20/33			7,269		7,692
Ginnie Mae II Pool 3427
4.50%		08/20/33			2,495		2,642
Ginnie Mae II Pool 3554
4.50%		05/20/34			2,600		2,754
Ginnie Mae II Pool 4058
5.00%		12/20/37			1,395		1,500
Ginnie Mae II Pool 4342
5.00%		01/20/39			2,142		2,303
Ginnie Mae II Pool 4520
5.00%		08/20/39			42,841		46,272
Ginnie Mae II Pool 5175
4.50%		09/20/41			13,664		14,478
Ginnie Mae II Pool 5281
4.50%		01/20/42			19,028		20,171
Ginnie Mae II Pool 783591
4.50%		07/20/41			35,701		37,838
Ginnie Mae II Pool 80968 (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.75%		07/20/34	²		19,962		20,495
Ginnie Mae II Pool 81267
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.38%		03/20/35	²		41,631		43,346
Ginnie Mae II Pool 81432
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.75%		08/20/35	²		35,605		37,022
Ginnie Mae II Pool 81497
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.25%		10/20/35	²		32,494		33,923
Ginnie Mae II Pool 8631
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.63%		05/20/25	²		6,103		6,277
Ginnie Mae II Pool 8644
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.63%		06/20/25	²		9,837		10,156
Ginnie Mae II Pool MA0627
4.50%		12/20/42			108,797		115,341
Ginnie Mae II Pool MA0701
4.50%		01/20/43			138,841		146,641
Ginnie Mae II Pool MA1997


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
4.50%		06/20/44	$	30,497	$	32,249
Ginnie Mae II Pool MA2374
5.00%		11/20/44		841,041		897,910
Ginnie Mae II Pool MA2756
4.50%		04/20/45		69,621		73,547
Ginnie Mae II Pool MA2828
4.50%		05/20/45		3,069,024		3,240,319
Ginnie Mae II Pool MA2894
4.50%		06/20/45		1,146,716		1,210,882
Ginnie Mae II Pool MA3036
4.50%		08/20/45		126,926		134,029
Ginnie Mae II Pool MA3456
4.50%		02/20/46		811,617		857,036
Ginnie Mae II Pool MA3521
3.50%		03/20/46		106,344,296		110,076,309
Ginnie Mae II Pool MA3524
5.00%		03/20/46		34,904		37,276
Ginnie Mae II Pool MA3597
3.50%		04/20/46		266,860,211		276,225,320
Ginnie Mae II Pool MA3600
5.00%		04/20/46		22,617,178		24,154,360
Ginnie Mae II Pool MA3663
3.50%		05/20/46		256,482,419		265,473,592
Ginnie Mae II Pool MA3665
4.50%		05/20/46		348,706		368,027
Ginnie Mae II Pool MA3666
5.00%		05/20/46		12,564,384		13,418,325
Ginnie Mae II Pool MA3736
3.50%		06/20/46		182,648,939		189,473,487
Ginnie Mae II Pool MA3738
4.50%		06/20/46		1,515,063		1,599,844
Ginnie Mae II Pool MA3739
5.00%		06/20/46		7,330,605		7,828,831
Ginnie Mae II Pool MA3805
4.50%		07/20/46		12,099,070		12,776,120
Ginnie Mae II Pool MA3806
5.00%		07/20/46		551,095		588,551
Ginnie Mae II Pool MA3876
4.50%		08/20/46		12,691,052		13,380,741
Ginnie Mae II Pool MA3877
5.00%		08/20/46		2,648,031		2,825,361
Ginnie Mae II Pool MA3937
3.50%		09/20/46		60,400,326		62,517,373
Ginnie Mae II Pool MA3939
4.50%		09/20/46		6,782,410		7,141,996
Ginnie Mae II Pool MA4003
3.00%		10/20/46		30,815,322		31,114,581
Ginnie Mae II Pool MA4006


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
4.50%		10/20/46	$	7,740,544	$	8,158,656
Ginnie Mae II Pool MA4007
5.00%		10/20/46		16,512,354		17,628,873
Ginnie Mae II Pool MA4069
3.50%		11/20/46		188,662,891		195,283,768
Ginnie Mae II Pool MA4071
4.50%		11/20/46		22,451,487		23,604,489
Ginnie Mae II Pool MA4072
5.00%		11/20/46		4,015,305		4,306,068
Ginnie Mae II Pool MA4126
3.00%		12/20/46		507,931,332		512,864,041
Ginnie Mae II Pool MA4127
3.50%		12/20/46		194,843,878		201,681,668
Ginnie Mae II Pool MA4129
4.50%		12/20/46		69,055,955		72,781,403
Ginnie Mae II Pool MA4198
4.50%		01/20/47		600,923		632,800
Ginnie Mae II Pool MA4199
5.00%		01/20/47		13,797,199		14,775,273
Ginnie Mae II Pool MA4264
4.50%		02/20/47		197,252,921		206,799,654
Ginnie Mae II Pool MA4265
5.00%		02/20/47		3,739,596		3,990,004
Ginnie Mae II Pool MA4324
5.00%		03/20/47		21,128,863		22,564,891
Ginnie Mae II Pool MA4382
3.50%		04/20/47		138,284,014		143,154,557
Ginnie Mae II Pool MA4385
5.00%		04/20/47		38,316,256		40,920,428
Ginnie Mae II Pool MA4453
4.50%		05/20/47		667,145,900		699,445,229
Ginnie Mae II Pool MA4454
5.00%		05/20/47		94,074,948		100,589,834
Ginnie Mae II Pool MA4512
4.50%		06/20/47		321,393,042		336,953,026
Ginnie Mae II Pool MA4513
5.00%		06/20/47		1,842,996		1,973,740
Ginnie Mae II Pool MA4588
4.50%		07/20/47		2,086,226		2,189,906
Ginnie Mae II Pool MA4589
5.00%		07/20/47		89,089,325		95,475,221
Ginnie Mae II Pool MA4654
4.50%		08/20/47		501,519		529,361
Ginnie Mae II Pool MA4655
5.00%		08/20/47		104,139,867		111,604,582
Ginnie Mae II Pool MA4719
3.50%		09/20/47		158,391,888		163,951,821
Ginnie Mae II Pool MA4721


Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
4.50%	09/20/47	$	81,620	$	85,706
Ginnie Mae II Pool MA4722
5.00%	09/20/47		1,998,620		2,141,256
Ginnie Mae II Pool MA4780
4.50%	10/20/47		393,702		415,125
Ginnie Mae II Pool MA4781
5.00%	10/20/47		26,334,110		28,150,730
Ginnie Mae II Pool MA4838
4.00%	11/20/47		205,503,826		214,550,811
Ginnie Mae II Pool MA4840
5.00%	11/20/47		6,769,216		7,236,155
Ginnie Mae II Pool MA4902
4.50%	12/20/47		621,585		657,399
Ginnie Mae, Series 2000-22, Class SG (IO)
(-1.00 X LIBOR USD 1-Month plus 10.80%, 10.80% Cap)
9.31%	05/16/30²		21,413		1,011
Ginnie Mae, Series 2003-86, Class ZK
5.00%	10/20/33		10,471,859		11,350,566
Ginnie Mae, Series 2004-93, Class PC
5.00%	04/16/34		24,509		24,813
Ginnie Mae, Series 2007-35, Class PY (IO)
(-1.00 X LIBOR USD 1-Month plus 6.75%, 6.75% Cap)
5.26%	06/16/37²		18,990,121		3,712,713
Ginnie Mae, Series 2009-106, Class SD (IO)
(-1.00 X LIBOR USD 1-Month plus 6.25%, 6.25% Cap)
4.75%	03/20/36²		16,024,044		1,977,481
Ginnie Mae, Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
5.30%	05/20/37²		40,426,287		6,203,507
Ginnie Mae, Series 2009-124, Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.48%, 6.48% Cap)
4.98%	12/20/39²		6,663,282		1,169,998
Ginnie Mae, Series 2009-17, Class P
4.00%	08/16/38		16,137		16,405
Ginnie Mae, Series 2009-66, Class XS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
5.31%	07/16/39²		77,399		9,200
Ginnie Mae, Series 2009-8, Class PS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.30%, 6.30% Cap)
4.81%	08/16/38²		125,192		12,256
Ginnie Mae, Series 2010-4, Class SL (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
4.91%	01/16/40²		81,923		13,293
Ginnie Mae, Series 2010-4, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 5.80%, 5.80% Cap)
4.31%	01/16/40²		14,895,046		2,085,852
Ginnie Mae, Series 2010-6, Class BS (IO)


Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
(-1.00 X LIBOR USD 1-Month plus 6.50%, 6.50% Cap)
5.01%		09/16/39²	$	4,734,841	$	420,381
Ginnie Mae, Series 2011-146, Class EI (IO)
5.00%		11/16/41		192,455		40,534
Ginnie Mae, Series 2013-113, Class LY
3.00%		05/20/43		51,184,000		50,554,885
NCUA Guaranteed Notes, Series 2010-R1, Class A1
(LIBOR USD 1-Month plus 0.45%)
1.78%		10/07/20²		14,193,573		14,231,829
NCUA Guaranteed Notes, Series 2010-R3, Class 1A
(LIBOR USD 1-Month plus 0.56%)
1.96%		12/08/20²		8,744,682		8,791,822
NCUA Guaranteed Notes, Series 2010-R3, Class 2A
(LIBOR USD 1-Month plus 0.56%)
1.96%		12/08/20²		24,079,159		24,211,782


						23,280,725,602

Total Mortgage-Backed
(Cost $30,535,557,927)						30,739,666,034


MUNICIPAL BONDS — 0.95%*
California — 0.31%
California Health Facilities Financing Authority, Saint Joseph Health, Series A
4.00%		10/01/36		3,500,000		3,753,400
Los Angeles Department of Power, Electric Light and Power Improvements, Series C
5.52%		07/01/27		20,125,000		23,998,861
Los Angeles Department of Water & Power, Build America Bonds, Series SY
6.01%		07/01/39		350,000		456,687
San Diego County Water Authority, Build America Bonds
6.14%		05/01/49		7,900,000		11,191,930
San Jose Redevelopment Agency Successor Agency, Series A-T
3.08%		08/01/25		5,250,000		5,256,353
3.18%		08/01/26		9,000,000		9,013,590
3.23%		08/01/27		11,865,000		11,884,577
State of California, Build America Bonds
6.65%		03/01/22		4,245,000		4,821,938
7.95%		03/01/36		77,500,000		86,580,675
State of California, Build America Bonds, Various Purpose
7.50%		04/01/34		3,885,000		5,765,301
State of California, Taxable, Miscellaneous Revenue Bonds, Series B
2.19%		04/01/47		17,800,000		17,849,840


Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
California (continued)
State of California, Taxable, Various Purpose
6.20%		03/01/19	$	10,680,000	$	11,199,582
University of California, Taxable Revenue Bonds, Series AP
3.93%		05/15/45		57,230,000		59,572,996


						251,345,730

Massachusetts — 0.01%
Commonwealth of Massachusetts, Build America Bonds, Public Improvements
4.91%		05/01/29		8,340,000		9,806,923


New York — 0.61%
City of New York, Build America Bonds
4.77%		10/01/23		4,420,000		4,886,796
5.05%		10/01/24		13,820,000		15,375,856
5.21%		10/01/31		6,420,000		7,517,884
5.52%		10/01/37		6,075,000		7,680,865
5.82%		10/01/31		220,000		240,830
5.99%		12/01/36		14,055,000		18,184,640
City of New York, Build America Bonds, Series F1
6.27%		12/01/37		9,655,000		13,067,560
6.65%		12/01/31		46,470,000		52,135,158
Fiscal Year 2005 Securitization Corp., Special Obligation, Series B
4.93%		04/01/20		25,000		25,574
New York City Municipal Water Finance Authority, Build America Bonds, Series SE
6.49%		06/15/42		3,555,000		3,899,906
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries F-2
2.90%		05/01/26		7,235,000		7,161,275
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Build America Bonds
5.51%		08/01/37		25,000,000		31,880,500
5.57%		11/01/38		41,825,000		53,087,636
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Qualified School Construction Bonds
5.01%		08/01/27		5,225,000		5,977,714
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Qualified School Construction Bonds, Series G-3
5.27%		05/01/27		13,135,000		15,284,937
New York City Water and Sewer Authority, Build America, Taxable Bonds
5.44%		06/15/43		49,625,000		65,496,068
5.88%		06/15/44		5,505,000		7,638,903


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
New York City Water and Sewer Authority, Build America, Taxable Bonds, Series SE
6.01%		06/15/42		$	3,945,000	$	5,566,829
New York State Dormitory Authority, Taxable, Build America Bonds
5.43%		03/15/39			28,100,000		34,636,622
New York State Dormitory Authority, Build America Bonds
5.29%		03/15/33			44,990,000		52,865,050
5.50%		03/15/30			21,430,000		25,285,686
New York State Urban Development Corp., Economic Improvements, Revenue Bonds, Series D-2
3.27%		03/15/28			19,120,000		19,075,259
3.32%		03/15/29			28,330,000		28,316,968
New York State Urban Development Corp., Personal Income Tax, Series SE
3.20%		03/15/22			15,870,000		16,233,264


							491,521,780

Texas — 0.01%
Texas Transportation Commission State Highway Fund, Taxable, Fuel Sales Revenue Bonds, Series B
5.18%		04/01/30			3,075,000		3,700,793


Wisconsin — 0.01%
Wisconsin Health & Educational Facilities Authority, Ascension Health Credit Group
4.00%		11/15/39			8,000,000		8,431,440


Total Municipal Bonds
(Cost $746,737,746)							764,806,666


U.S. AGENCY SECURITIES — 0.02%
U.S. Agency Securities — 0.02%
Fannie Mae
1.00%		02/26/19			17,500,000		17,336,550


Total U.S. Agency Securities
(Cost $17,409,946)
U.S. TREASURY SECURITIES — 23.34%
U.S. Treasury Bonds — 6.71%
U.S. Treasury Bonds
2.75%		08/15/47			51,000,000		51,074,707
2.75%		11/15/47			4,383,045,000		4,390,920,674
3.00%		11/15/44			150,325,000		157,971,949
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
0.75%		02/15/45	¹⁰		433,748,375		435,982,912
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds (WI)
0.88%		02/15/47	¹⁰		360,295,214		374,416,679

							5,410,366,921


Issues	Maturity Date			Principal Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes — 16.63%
U.S. Treasury Notes
1.50%		10/31/19		$	413,130,000	$	410,338,146
1.63%		08/31/22			1,841,827,000		1,796,500,779
1.88%		12/31/19			44,695,000		44,685,398
2.00%		10/31/22			3,900,375,000		3,867,298,377
2.00%		11/30/22			2,167,490,000		2,148,096,773
2.13%		12/31/22			350,515,000		349,104,724
2.25%		11/15/27			1,690,020,000		1,666,620,338
U.S. Treasury Notes - Treasury Inflation Indexed Notes
0.13%		04/15/18	¹⁰		483,206,643		482,779,295
0.13%		04/15/21	¹⁰		135,817,611		135,301,663
0.13%		04/15/22	¹⁰		293,628,270		291,594,894
0.13%		07/15/26	¹⁰		434,955,656		425,123,305
0.38%		07/15/27	¹⁰		512,141,002		509,619,466
U.S. Treasury Notes (WI)
1.88%		09/30/22			1,314,645,000		1,295,893,048


							13,422,956,206


Total U.S. Treasury Securities
(Cost $18,861,666,489)							18,833,323,127


Total Bonds – 97.63%
(Cost $78,278,125,359)							78,788,472,704


Issues				Shares		Value
COMMON STOCK — 0.03%
Electric — 0.03%
Homer City Holdings LLC^3,4,5					1,180,703		23,614,060

Energy — 0.00%
Drillship Kithira Owners, Inc.
(Cayman Islands)¹					54,501		1,460,627

Total Common Stock
(Cost $66,956,791)							25,074,687

Purchased Options — 0.01%
(Cost $5,015,886)							9,937,500

Issues

Maturity
Date

Principal
Amount/
Shares

Value

SHORT-TERM INVESTMENTS — 8.60%

Foreign Government Obligations — 4.74%

Japan Treasury Discount Bill, Series 706 (Japan)

0.00%¹¹

03/12/18

65,000,000

577,154

Issues

Maturity
Date

Principal
Amount/

Shares

Value

SHORT-TERM INVESTMENTS (continued)

Foreign Government Obligations (continued)

Japan Treasury Discount Bill, Series 711 (Japan)

0.00%¹¹

01/10/18

233,785,000,000

2,075,365,375

Japan Treasury Discount Bill, Series 716 (Japan)

0.00%¹¹

01/29/18

1,800,000,000

15,980,021

Japan Treasury Discount Bill, Series 722 (Japan)

0.00%¹¹

02/26/18

68,905,000,000

611,806,669

Japan Treasury Discount Bill, Series 723 (Japan)

0.00%¹¹

03/05/18

30,840,000,000

273,835,656

Japan Treasury Discount Bill, Series 727 (Japan)

0.00%¹¹

03/26/18

95,165,000,000

845,071,958

3,822,636,833

Money Market Funds — 2.05%

Dreyfus Government Cash Management Fund

1.19%¹²

1,250,109,000

Fidelity Investments Money Market Funds - Government Portfolio

1.14%^12,13

10,473,944

Morgan Stanley Institutional Liquidity Funds-Government Portfolio

1.20%¹²

395,480,000

1,656,062,944

U.S. Agency Discount Notes — 1.73%

Federal Home Loan Bank

1.01%¹¹

02/09/18

300,000,000

299,604,600

1.16%¹¹

02/16/18

350,000,000

349,426,700

1.32%¹¹

04/25/18

200,000,000

199,133,600

Freddie Mac

0.95%¹¹

02/02/18

250,000,000

249,724,875

Freddie Mac, Series RB

1.03%¹¹

02/20/18

300,000,000

299,465,100

1,397,354,875

U.S. Treasury Bills — 0.08%

U.S. Treasury Bills

1.07%¹¹

03/01/18

¹⁴

66,650,000

66,513,895

Total Short-Term Investments

(Cost $6,948,234,284)

6,942,568,547


Issues	Value
Total Investments Before
Written Options – 106.27%
(Cost $ 85,298,332,320)	$	85,766,053,438


Written Options - 0.00%
(Cost $(794,764))		(1,687,500	)

Liabilities in Excess of Other
Assets – (6.27)%		(5,063,073,340	)


Net Assets – 100.00%	$	80,701,292,598

¹	U.S. dollar-denominated security issued by foreign-domiciled entity.

²	Floating rate security. The rate disclosed was in effect at December 31, 2017.

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	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $99,302,449, which is 0.12% of total net assets.

⁶	Non-income producing security.

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

⁸

⁹	Zero coupon bond. The rate shown is the effective yield as of December 31, 2017.

¹⁰	Inflation protected security. Principal amount reflects original security face amount.

¹¹	Represents annualized yield at date of purchase.

¹²	Represents the current yield as of December 31, 2017.

¹³	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $10,473,944.

¹⁴	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $66,511,368.

^†

Fair valued security. The aggregate value of fair valued securities is $92,475,974, which is 0.11% 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

(EUR): Euro dollar

(GMTN): Global medium-term note

(IO): Interest only

(JPY): Japanese Yen

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term Note

(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 – 91.93%
ASSET-BACKED SECURITIES — 2.20%**
Nelnet Student Loan Trust, Series 2012-5A, Class A
(LIBOR USD 1-Month plus 0.60%)
1.93%		10/27/36	^1,2	$	140,254	$	140,353
SLM Student Loan Trust I, Series 2003-10A, Class A3
(LIBOR USD 3-Month plus 0.55%)
2.06%		12/15/27	^1,2		544,160		545,705
SLM Student Loan Trust, Series 2005-8, Class A4
(LIBOR USD 3-Month plus 0.55%)
1.92%		01/25/28	¹		586,263		589,127
SLM Student Loan Trust, Series 2007-6, Class A4
(LIBOR USD 3-Month plus 0.38%)
1.75%		10/25/24	¹		544,296		544,307
SLM Student Loan Trust, Series 2011-1, Class A1
(LIBOR USD 1-Month plus 0.52%)
2.07%		03/25/26	¹		359,456		360,859
SLM Student Loan Trust, Series 2012-7, Class A2
(LIBOR USD 1-Month plus 0.28%)
1.83%		09/25/19	¹		154,834		154,867
SLM Student Loan Trust, Series 2013-3, Class A2
(LIBOR USD 1-Month plus 0.30%)
1.85%		05/26/20	¹		78,514		78,515
SLM Student Loan Trust, Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
2.10%		06/25/43	¹		189,740		190,704
SLM Student Loan Trust, Series 2014-1, Class A2
(LIBOR USD 1-Month plus 0.38%)
1.93%		07/26/21	¹		8,671		8,671


Total Asset-Backed Securities
(Cost $2,609,229)							2,613,108


CORPORATES — 25.41%*
Banking — 3.11%
Bank of America Corp. (MTN)
5.65%		05/01/18			850,000		860,469
6.88%		04/25/18			450,000		456,799
Discover Bank
2.00%		02/21/18			375,000		375,010
2.60%		11/13/18			250,000		250,868
Santander UK PLC (United Kingdom)
2.50%		03/14/19	³		450,000		451,309


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Wachovia Corp. (MTN)
5.75%		02/01/18		$	1,300,000	$	1,304,066


							3,698,521

Communications — 0.70%
AT&T, Inc.
5.50%		02/01/18			825,000		827,380


Consumer Discretionary — 1.66%
Altria Group, Inc.
9.70%		11/10/18			325,000		345,791
Anheuser-Busch North American Holding Corp.
2.20%		08/01/18	²		500,000		500,598
BAT International Finance PLC (United Kingdom)
1.85%		06/15/18	^2,3		600,000		599,556
Beam Suntory, Inc.
1.75%		06/15/18			325,000		324,474
Constellation Brands, Inc.
2.00%		11/07/19			200,000		198,794


							1,969,213


Consumer Products — 0.21%
Newell Brands, Inc.
2.60%		03/29/19			250,000		250,432

Electric — 1.58%
Entergy Gulf States Louisiana LLC
6.00%		05/01/18			200,000		202,542
Entergy Louisiana LLC
6.50%		09/01/18			150,000		154,299
Interstate Power & Light Co.
5.88%		09/15/18			350,000		359,260
Progress Energy, Inc.
7.05%		03/15/19			425,000		449,246
Vectren Utility Holdings, Inc.
5.75%		08/01/18			350,000		357,216
Wisconsin Public Service Corp.
1.65%		12/04/18			350,000		348,903


							1,871,466

Energy — 1.01%
NiSource Finance Corp.
6.40%		03/15/18			400,000		403,590
ONE Gas, Inc.
2.07%		02/01/19			400,000		400,147
Phillips 66
(LIBOR USD 3-Month plus 0.65%)
2.01%		04/15/19	^1,2		400,000		400,250


							1,203,987


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance — 6.73%
Air Lease Corp.
2.63%		09/04/18		$	400,000	$	401,287
American Express Co.
7.00%		03/19/18			500,000		505,459
Bear Stearns Cos. LLC (The)
7.25%		02/01/18			1,400,000		1,405,615
Citigroup, Inc.
1.80%		02/05/18			350,000		349,971
2.05%		12/07/18			800,000		799,343
Ford Motor Credit Co. LLC
2.55%		10/05/18			150,000		150,431
General Motors Financial Co., Inc.
3.10%		01/15/19			400,000		401,864
Goldman Sachs Group, Inc. (The)
5.95%		01/18/18			675,000		676,072
6.15%		04/01/18			1,000,000		1,010,587
International Lease Finance Corp.
7.13%		09/01/18	²		350,000		361,156
Morgan Stanley (GMTN)
6.63%		04/01/18			800,000		808,814
7.30%		05/13/19			350,000		373,261
Protective Life Global Funding
(LIBOR USD 3-Month plus 0.55%)
2.07%		06/08/18	^1,2		750,000		751,694


							7,995,554

Food — 0.88%
Conagra Brands, Inc.
(LIBOR USD 3-Month plus 0.50%)
2.20%		10/09/20	¹		325,000		325,648
Kraft Heinz Foods Co.
(LIBOR USD 3-Month plus 0.42%)
1.82%		08/09/19	¹		350,000		350,142
Mondelez International Holdings
Netherlands BV (Netherlands)
1.63%		10/28/19	^2,3		375,000		370,060


							1,045,850

Health Care — 1.87%
Actavis Funding SCS (Luxembourg)
2.35%		03/12/18	³		600,000		600,504
Anthem, Inc.
1.88%		01/15/18			700,000		699,963
Fresenius Medical Care U.S. Finance II, Inc.
5.63%		07/31/19	²		250,000		261,623
6.50%		09/15/18	²		250,000		257,822


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Teva Pharmaceutical Finance
Netherlands III BV (Netherlands)
1.40%		07/20/18	³	$	400,000	$	396,648


							2,216,560

Industrials — 1.12%
United Technologies Corp. (STEP)
1.78%		05/04/18			850,000		848,771
WestRock RKT Co.
4.45%		03/01/19			475,000		485,716


							1,334,487

Information Technology — 0.70%
Apple, Inc.
1.70%		02/22/19			435,000		433,921
QUALCOMM, Inc.
1.85%		05/20/19			400,000		398,569


							832,490

Insurance — 0.90%
Metropolitan Life Global Funding I
1.35%		09/14/18	²		575,000		572,872
New York Life Global Funding
1.55%		11/02/18	²		500,000		498,444


							1,071,316

Materials — 0.27%
Dow Chemical Co. (The)
8.55%		05/15/19			300,000		324,875

Real Estate Investment Trust (REIT) — 3.38%
American Tower Corp.
3.40%		02/15/19			350,000		353,789
DDR Corp. (MTN)
7.50%		07/15/18			400,000		410,970
HCP, Inc.
3.75%		02/01/19			700,000		708,968
Kimco Realty Corp.
6.88%		10/01/19			250,000		268,793
Realty Income Corp.
2.00%		01/31/18			650,000		649,914
Ventas Realty LP/Ventas Capital Corp.
2.00%		02/15/18			865,000		864,976
Welltower, Inc.
2.25%		03/15/18			750,000		750,476


							4,007,886


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Retail — 0.48%
CVS Health Corp.
2.25%		12/05/18		$	250,000	$	250,168
2.25%		08/12/19			325,000		324,145


							574,313

Services — 0.60%
Republic Services, Inc.
3.80%		05/15/18			705,000		709,671

Transportation — 0.21%
Continental Airlines Pass-Through Trust, Series 2000-1, Class A1
8.05%		11/01/20			226,504		245,757

Total Corporates
(Cost $30,214,375)							30,179,758


MORTGAGE-BACKED — 40.50%**

Non-Agency Commercial Mortgage-Backed — 1.05%
Commercial Mortgage Trust, Series 2013-LC13, Class A2
3.01%		08/10/46			700,000		703,707
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3S
5.24%		05/15/47	²		72,969		72,473
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A3
4.39%		02/15/46	²		427,894		430,132
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A1A
5.81%		06/12/50	⁴		41,464		41,533


							1,247,845

Non-Agency Mortgage-Backed — 3.10%
Aames Mortgage Investment Trust, Series 2002-1, Class A3 (STEP)
7.40%		06/25/32			26,521		26,610
Adjustable Rate Mortgage Trust, Series 2005-1, Class 1A1
3.58%		05/25/35	⁴		264,882		260,201
Banc of America Funding Trust, Series 2003-2, Class 1A1
6.50%		06/25/32			6,983		7,401
BCAP LLC Trust, Series 2007-AA1, Class 1A2
(LIBOR USD 1-Month plus 0.16%)
1.71%		02/25/47	¹		7,285		7,690
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
3.16%		02/25/34	⁴	$	64,190	$	63,767
Countrywide Alternative Loan Trust, Series 2004-J6, Class 2A1
6.50%		11/25/31			100,478		105,307
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-AR31, Class 4A2
3.74%		11/25/32	⁴		72,150		71,785
DSLA Mortgage Loan Trust, Series 2004-AR3, Class 2A2A
(LIBOR USD 1-Month plus 0.37%)
1.87%		07/19/44	¹		209,019		208,764
Fremont Home Loan Trust, Series 2005-C, Class M1
(LIBOR USD 1-Month plus 0.72%)
2.27%		07/25/35	¹		77,865		78,194
GE Mortgage Services LLC, Series 1998-HE1, Class A7
6.47%		06/25/28			12		12
IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1
(LIBOR USD 1-Month plus 0.78%)
2.33%		12/25/34	¹		528,036		489,697
IndyMac Index Mortgage Loan Trust, Series 2004-AR6, Class 6A1
3.83%		10/25/34	⁴		159,824		158,883
IndyMac Manufactured Housing Contract, Series 1998-2, Class A4
6.64%		08/25/29	⁴		6,987		7,019
JPMorgan Mortgage Acquisition Trust, Series 2005-FLD1, Class M3
(LIBOR USD 1-Month plus 0.78%)
2.33%		07/25/35	¹		143,677		144,167
JPMorgan Mortgage Trust, Series 2005-A2, Class 9A1
3.51%		04/25/35	⁴		196,661		200,365
MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1
3.75%		01/25/34	⁴		12,394		12,836
MASTR Adjustable Rate Mortgages Trust, Series 2004-12, Class 5A1
3.70%		10/25/34	⁴		300,631		298,760
MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1
2.63%		06/25/34	⁴		6,001		5,337
MASTR Adjustable Rate Mortgages Trust, Series 2007-2, Class A2⁵
0.00%		03/25/47	^6,7,8,†		4,000,000		—
MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1
3.57%		10/25/32	⁴		51,926		52,645


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF10, Class A4
(LIBOR USD 1-Month plus 0.15%)
1.70%		07/25/36	¹	$	378,184	$	377,693
Merrill Lynch Mortgage Investors, Inc., Series 2003-A1, Class 2A
(LIBOR USD 12-Month plus 1.63%)
3.57%		12/25/32	¹		178,160		178,324
Morgan Stanley Capital I Trust, Series 2006-NC1, Class A4
(LIBOR USD 1-Month plus 0.30%)
1.85%		12/25/35	¹		350,611		351,727
Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A2
8.50%		11/25/31			34,570		8,698
Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A8
6.50%		11/25/31			52,746		55,873
Residential Asset Securities Trust, Series 2004-IP2, Class 2A1
3.54%		12/25/34	⁴		139,336		140,285
Terwin Mortgage Trust, Series 2004-13AL, Class 2PX (IO)
0.34%		08/25/34	^2,6,7		2,394,730		32,783
WaMu Mortgage Pass-Through Certificates, Series 2002-AR6, Class A
(Federal Reserve US 12-Month Cumualtive Average plus 1.40%)
2.46%		06/25/42	¹		44,172		42,879
WaMu Mortgage Pass-Through Certificates, Series 2003-AR6, Class A1
3.23%		06/25/33	⁴		98,345		99,354
WaMu Mortgage Pass-Through Certificates, Series 2005-4, Class CB13
(LIBOR USD 1-Month plus 0.50%)
2.05%		06/25/35	¹		225,660		194,839


							3,681,895

U.S. Agency Commercial
Mortgage-Backed — 9.55%
Fannie Mae Multifamily REMIC Trust, Series 2015-M12, Class FA
(LIBOR USD 1-Month plus 0.34%)
1.58%		04/25/20	¹		406,037		405,603
Fannie Mae-Aces, Series 2013-M13, Class FA
(LIBOR USD 1-Month plus 0.35%)
1.90%		05/25/18	¹		184,670		184,361
Fannie Mae-Aces, Series 2013-M4, Class ASQ2
1.45%		02/25/18			43,999		43,930


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Fannie Mae-Aces, Series 2014-M12, Class FA
(LIBOR USD 1-Month plus 0.30%)
1.54%		10/25/21	¹	$	129,785	$	129,977
Fannie Mae-Aces, Series 2017-M11, Class FA
(LIBOR USD 1-Month plus 0.47%)
1.71%		09/25/24	¹		593,468		595,160
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF34, Class A
(LIBOR USD 1-Month plus 0.36%)
1.73%		08/25/24	¹		264,993		265,699
Freddie Mac Multifamily Structured Pass-Through Certificates, Series J15F, Class A1
2.36%		07/25/20			594,218		595,764
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K005, Class A2
4.32%		11/25/19			795,000		822,076
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K006, Class A1
3.40%		07/25/19			335,599		339,482
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K010, Class A1
3.32%		07/25/20			99,280		100,094
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K717, Class A1
2.34%		02/25/21			612,396		614,021
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF05, Class A
(LIBOR USD 1-Month plus 0.35%)
1.72%		09/25/21	¹		324,469		322,011
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF08, Class A
(LIBOR USD 1-Month plus 0.30%)
1.67%		01/25/22	¹		585,636		585,200
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF09, Class A
(LIBOR USD 1-Month plus 0.38%)
1.75%		05/25/22	¹		566,484		561,735
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF10, Class A
(LIBOR USD 1-Month plus 0.38%)
1.62%		07/25/22	¹		586,620		580,997


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KGRP, Class A
(LIBOR USD 1-Month plus 0.38%)
1.75%		04/25/20	¹	$	671,114	$	672,321
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP04, Class AG1
(LIBOR USD 1-Month plus 0.22%)
1.46%		07/25/20	¹		625,000		625,179
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP04, Class AG2
(LIBOR USD 1-Month plus 0.20%)
1.44%		10/25/19	¹		625,000		623,791
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS02, Class A
(LIBOR USD 1-Month plus 0.38%)
1.75%		08/25/23	¹		670,144		671,164
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS03, Class A4
4.19%		08/25/19			855,000		879,613
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q004, Class AFL
(Federal Reserve US 12-Month Cumualtive Average plus 0.74%)
1.80%		10/25/21	¹		569,565		570,201
FREMF Multifamily Aggregation Risk Transfer Trust, Series 2017-KT01, Class A
(LIBOR USD 1-Month plus 0.32%)
1.85%		02/25/20	¹		700,000		702,382
NCUA Guaranteed Notes, Series 2011-C1, Class 2A
(LIBOR USD 1-Month plus 0.53%)
1.93%		03/09/21	¹		452,927		451,998


							11,342,759

U.S. Agency Mortgage-Backed — 26.80%
Fannie Mae Pool 111643
(US Treasury Yield Curve Rate T Note Constant Maturity 3 Year plus 1.57%)
2.66%		09/01/20	¹		1,693		1,692
Fannie Mae Pool 254548
5.50%		12/01/32			159,157		176,141
Fannie Mae Pool 468769
3.42%		09/01/18			1,071,240		1,075,777
Fannie Mae Pool 523829
8.00%		11/01/19			20,135		20,587


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 555098
(LIBOR USD 12-Month plus 1.64%)
3.39%		11/01/32	¹	$	22,028	$	23,179
Fannie Mae Pool 555424
5.50%		05/01/33			102,957		114,034
Fannie Mae Pool 567002
8.00%		05/01/23			30,295		32,762
Fannie Mae Pool 655133
7.00%		08/01/32			23,082		25,407
Fannie Mae Pool 655151
7.00%		08/01/32			15,274		16,052
Fannie Mae Pool 762525
6.50%		11/01/33			28,171		30,556
Fannie Mae Pool 770900
(LIBOR USD 12-Month plus 1.56%)
3.31%		04/01/34	¹		236,590		245,379
Fannie Mae Pool 893489
(LIBOR USD 12-Month plus 1.62%)
3.37%		09/01/36	¹		31,099		32,479
Fannie Mae Pool AD0538
6.00%		05/01/24			84,270		89,903
Fannie Mae Pool AE0443
6.50%		10/01/39			120,117		133,635
Fannie Mae Pool AL0851
6.00%		10/01/40			107,020		120,595
Fannie Mae Pool AM6261
(LIBOR USD 1-Month plus 0.22%)
1.59%		07/01/19	¹		1,040,000		1,040,480
Fannie Mae Pool AM7028
(LIBOR USD 1-Month plus 0.24%)
1.61%		10/01/19	¹		1,040,000		1,040,326
Fannie Mae REMICS, Series 1993-80, Class S
(-1.22 X LIBOR USD 1-Month plus 10.87%, 10.87% Cap)
8.98%		05/25/23	¹		1,285		1,400
Fannie Mae REMICS, Series 2001-42, Class SB
(-16.00 X LIBOR USD 1-Month plus 128.00%, 8.50% Cap)
8.50%		09/25/31	¹		1,885		2,250
Fannie Mae REMICS, Series 2001-60, Class OF
(LIBOR USD 1-Month plus 0.95%)
2.50%		10/25/31	¹		146,342		149,400
Fannie Mae REMICS, Series 2002-30, Class FB
(LIBOR USD 1-Month plus 1.00%)
2.55%		08/25/31	¹		188,713		192,202
Fannie Mae REMICS, Series 2003-117, Class XF


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
(LIBOR USD 1-Month plus 0.35%)
1.90%		08/25/33	¹	$	35,978	$	35,980
Fannie Mae REMICS, Series 2003-124, Class TS
(-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap)
9.80%		01/25/34	¹		22,119		26,171
Fannie Mae REMICS, Series 2003-134, Class FC
(LIBOR USD 1-Month plus 0.60%)
2.15%		12/25/32	¹		597,586		604,944
Fannie Mae REMICS, Series 2003-29, Class F
(LIBOR USD 1-Month plus 0.50%)
2.05%		12/25/32	¹		86,120		86,119
Fannie Mae REMICS, Series 2003-64, Class KS
(-1.29 X LIBOR USD 1-Month plus 9.64%, 9.64% Cap)
7.63%		07/25/18	¹		5,999		5,756
Fannie Mae REMICS, Series 2004-38, Class FT
(LIBOR USD 1-Month plus 0.43%)
1.98%		10/25/33	¹		175,568		175,926
Fannie Mae REMICS, Series 2004-60, Class FW
(LIBOR USD 1-Month plus 0.45%)
2.00%		04/25/34	¹		568,915		570,742
Fannie Mae REMICS, Series 2004-79, Class F
(LIBOR USD 1-Month plus 0.30%)
1.85%		08/25/32	¹		93,811		93,839
Fannie Mae REMICS, Series 2004-96, Class MT
(-17.50 X LIBOR USD 1-Month plus 125.13%, 7.00% Cap)
7.00%		12/25/34	¹		10,049		10,881
Fannie Mae REMICS, Series 2005-114, Class PF
(LIBOR USD 1-Month plus 0.38%)
1.93%		08/25/35	¹		820,961		822,138
Fannie Mae REMICS, Series 2005-57, Class EG
(LIBOR USD 1-Month plus 0.30%)
1.85%		03/25/35	¹		128,878		128,850
Fannie Mae REMICS, Series 2006-56, Class FD
(LIBOR USD 1-Month plus 0.25%)
1.80%		07/25/36	¹		111,418		111,412
Fannie Mae REMICS, Series 2006-84, Class WF
(LIBOR USD 1-Month plus 0.30%)
1.85%		02/25/36	¹		131,030		131,087


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2007-68, Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap)
5.15%		07/25/37	¹	$	170,531	$	30,366
Fannie Mae REMICS, Series 2008-47, Class PF
(LIBOR USD 1-Month plus 0.50%)
2.05%		06/25/38	¹		38,984		39,037
Fannie Mae REMICS, Series 2009-111, Class DA
5.00%		12/25/39			48,534		50,444
Fannie Mae REMICS, Series 2009-33, Class FB
(LIBOR USD 1-Month plus 0.82%)
2.37%		03/25/37	¹		188,662		192,854
Fannie Mae REMICS, Series 2010-109, Class PF
(LIBOR USD 1-Month plus 0.40%)
1.95%		10/25/40	¹		107,610		108,119
Fannie Mae REMICS, Series 2010-119, Class FK
(LIBOR USD 1-Month plus 0.50%)
2.05%		04/25/40	¹		8,312		8,312
Fannie Mae REMICS, Series 2010-26, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap)
4.68%		11/25/36	¹		593,268		93,879
Fannie Mae REMICS, Series 2010-35, Class FL
(LIBOR USD 1-Month plus 0.45%)
2.00%		07/25/38	¹		181,266		181,423
Fannie Mae REMICS, Series 2011-124, Class DF
(LIBOR USD 1-Month plus 0.45%)
2.00%		08/25/40	¹		628,227		631,073
Fannie Mae REMICS, Series 2011-71, Class FB
(LIBOR USD 1-Month plus 0.50%)
2.05%		05/25/37	¹		253,047		253,896
Fannie Mae REMICS, Series 2011-8, Class PF
(LIBOR USD 1-Month plus 0.50%)
2.05%		01/25/40	¹		152,174		152,721
Fannie Mae REMICS, Series 2012-19, Class FP
(LIBOR USD 1-Month plus 0.50%)
2.05%		12/25/39	¹		818,855		832,897
Fannie Mae REMICS, Series 2012-33, Class F
(LIBOR USD 1-Month plus 0.52%)
2.07%		04/25/42	¹		793,115		799,608


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS, Series 2013-75, Class FC
(LIBOR USD 1-Month plus 0.25%)
1.80%		07/25/42	¹	$	788,965	$	788,380
Fannie Mae REMICS. Series 2004-92, Class FD
(LIBOR USD 1-Month plus 0.35%)
1.90%		05/25/34	¹		761,644		763,220
Freddie Mac Gold Pool C90237
6.50%		11/01/18			4,423		4,899
Freddie Mac Gold Pool C90474
7.00%		08/01/21			20,339		21,207
Freddie Mac Gold Pool D93410
6.50%		04/01/19			6,084		6,180
Freddie Mac Gold Pool G13107
5.50%		07/01/20			34,130		34,307
Freddie Mac Non Gold Pool 775554
2.27%		10/01/18			36		36
Freddie Mac REMICS, Series 1526, Class L
6.50%		06/15/23			3,027		3,246
Freddie Mac REMICS, Series 2368, Class AF
(LIBOR USD 1-Month plus 0.95%)
2.43%		10/15/31	¹		78,306		79,523
Freddie Mac REMICS, Series 2642, Class BW (IO)
5.00%		06/15/23			1,680		66
Freddie Mac REMICS, Series 2733, Class FB
(LIBOR USD 1-Month plus 0.60%)
2.08%		10/15/33	¹		837,329		847,526
Freddie Mac REMICS, Series 2763, Class FC
(LIBOR USD 1-Month plus 0.35%)
1.83%		04/15/32	¹		431,534		432,068
Freddie Mac REMICS, Series 2945, Class LD
4.00%		02/15/35			9,617		9,687
Freddie Mac REMICS, Series 2990, Class DE
(LIBOR USD 1-Month plus 0.38%)
1.86%		11/15/34	¹		563,473		565,529
Freddie Mac REMICS, Series 2990, Class LE
(LIBOR USD 1-Month plus 0.32%)
1.80%		10/15/34	¹		480,144		480,897
Freddie Mac REMICS, Series 3066, Class PF
(LIBOR USD 1-Month plus 0.30%)
1.78%		04/15/35	¹		863,547		864,699


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 3085, Class FW
(LIBOR USD 1-Month plus 0.70%)
2.18%		08/15/35	¹	$	668,295	$	679,455
Freddie Mac REMICS, Series 3139, Class FL
(LIBOR USD 1-Month plus 0.30%)
1.78%		01/15/36	¹		804,104		804,606
Freddie Mac REMICS, Series 3172, Class FK
(LIBOR USD 1-Month plus 0.45%)
1.93%		08/15/33	¹		358,253		358,788
Freddie Mac REMICS, Series 3196, Class FA
(LIBOR USD 1-Month plus 0.35%)
1.83%		04/15/32	¹		709,627		710,331
Freddie Mac REMICS, Series 3300, Class FA
(LIBOR USD 1-Month plus 0.30%)
1.78%		08/15/35	¹		621,958		621,591
Freddie Mac REMICS, Series 3325, Class NF
(LIBOR USD 1-Month plus 0.30%)
1.78%		08/15/35	¹		124,943		124,869
Freddie Mac REMICS, Series 3346, Class FA
(LIBOR USD 1-Month plus 0.23%)
1.71%		02/15/19	¹		5,903		5,906
Freddie Mac REMICS, Series 3652, Class PF
(LIBOR USD 1-Month plus 0.75%)
2.23%		07/15/32	¹		61,833		62,189
Freddie Mac REMICS, Series 3767, Class JF
(LIBOR USD 1-Month plus 0.30%)
1.78%		02/15/39	¹		611,216		613,294
Freddie Mac REMICS, Series 3780, Class LF
(LIBOR USD 1-Month plus 0.40%)
1.88%		03/15/29	¹		18,471		18,471
Freddie Mac REMICS, Series 3792, Class DF
(LIBOR USD 1-Month plus 0.40%)
1.88%		11/15/40	¹		373,019		373,612
Freddie Mac REMICS, Series 3806, Class DF
(LIBOR USD 1-Month plus 0.40%)
1.88%		08/15/25	¹		249,863		250,984
Freddie Mac REMICS, Series 3828, Class TF


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
(LIBOR USD 1-Month plus 0.40%)
1.88%		04/15/29	¹	$	119,410	$	119,606
Freddie Mac REMICS, Series 3831, Class PV
5.00%		05/15/25			148,251		148,646
Freddie Mac REMICS, Series 3845, Class FQ
(LIBOR USD 1-Month plus 0.25%)
1.73%		02/15/26	¹		423,998		424,593
Freddie Mac REMICS, Series 3895, Class BF
(LIBOR USD 1-Month plus 0.50%)
1.98%		07/15/41	¹		405,199		408,673
Freddie Mac REMICS, Series 3940, Class PF
(LIBOR USD 1-Month plus 0.35%)
1.83%		05/15/40	¹		1,006,729		1,008,565
Freddie Mac REMICS, Series 3946, Class FG
(LIBOR USD 1-Month plus 0.35%)
1.83%		10/15/39	¹		525,739		526,770
Freddie Mac REMICS, Series 4109, Class KF
(LIBOR USD 1-Month plus 0.40%)
1.88%		05/15/32	¹		171,879		172,167
Freddie Mac Strips, Series 263, Class F5
(LIBOR USD 1-Month plus 0.50%)
1.98%		06/15/42	¹		591,381		597,036
Ginnie Mae II Pool 80546
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.25%		10/20/31	¹		14,133		14,718
Ginnie Mae II Pool 80610
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.63%		06/20/32	¹		148,353		154,092
Ginnie Mae II Pool 80614
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.75%		07/20/32	¹		21,052		21,862
Ginnie Mae II Pool 80687
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.63%		04/20/33	¹		128,093		133,203
Ginnie Mae II Pool 8339
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.25%		12/20/23	¹		20,373		20,907
Ginnie Mae II Pool 8684


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.75%		08/20/25	¹	$	32,351	$	33,292
Ginnie Mae II Pool MA0331
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%)
2.75%		08/20/42	¹		228,573		239,137
Ginnie Mae, Series 2001-22, Class FK
(LIBOR USD 1-Month plus 0.35%)
1.84%		05/16/31	¹		907,700		909,688
Ginnie Mae, Series 2001-51, Class FA
(LIBOR USD 1-Month plus 0.50%)
1.99%		10/16/31	¹		780,378		782,916
Ginnie Mae, Series 2002-16, Class FV
(LIBOR USD 1-Month plus 0.40%)
1.89%		02/16/32	¹		978,423		982,215
Ginnie Mae, Series 2002-20, Class FC
(LIBOR USD 1-Month plus 0.30%)
1.79%		03/16/32	¹		236,454		236,721
Ginnie Mae, Series 2002-72, Class FB
(LIBOR USD 1-Month plus 0.40%)
1.90%		10/20/32	¹		207,722		208,123
Ginnie Mae, Series 2002-72, Class FC
(LIBOR USD 1-Month plus 0.40%)
1.90%		10/20/32	¹		198,113		198,496
Ginnie Mae, Series 2003-42, Class FA
(LIBOR USD 1-Month plus 0.40%)
1.89%		07/16/31	¹		969,972		974,993
Ginnie Mae, Series 2004-2, Class FW
(LIBOR USD 1-Month plus 1.40%)
2.76%		01/16/34	¹		488,530		506,280
Ginnie Mae, Series 2009-66, Class UF
(LIBOR USD 1-Month plus 1.00%)
2.49%		08/16/39	¹		199,174		203,734
Ginnie Mae, Series 2009-92, Class FC
(LIBOR USD 1-Month plus 0.80%)
2.29%		10/16/39	¹		202,696		206,027
Ginnie Mae, Series 2010-108, Class PF
(LIBOR USD 1-Month plus 0.40%)
1.90%		02/20/38	¹		52,575		52,585
Ginnie Mae, Series 2011-70, Class IL (IO)
(-1.00 X LIBOR USD 1-Month plus 7.10%, 6.50% Cap)
0.60%		06/16/37	¹		2,735,314		54,987
Ginnie Mae, Series 2012-10, Class FP
(LIBOR USD 1-Month plus 0.30%)
1.80%		01/20/41	¹		185,891		185,990
Ginnie Mae, Series 2012-13, Class KF


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
(LIBOR USD 1-Month plus 0.30%)
1.80%		07/20/38	¹	$	445,344	$	446,581
NCUA Guaranteed Notes, Series 2010-R1, Class A1
(LIBOR USD 1-Month plus 0.45%)
1.78%		10/07/20	¹		625,916		627,603
NCUA Guaranteed Notes, Series 2010-R3, Class 1A
(LIBOR USD 1-Month plus 0.56%)
1.96%		12/08/20	¹		671,352		674,971
NCUA Guaranteed Notes, Series 2011-R3, Class 1A
(LIBOR USD 1-Month plus 0.40%)
1.73%		03/11/20	¹		278,592		279,053


							31,822,506


Total Mortgage-Backed
(Cost $48,038,261)							48,095,005


U.S. TREASURY SECURITIES — 23.82%
U.S. Treasury Notes — 23.82%
U.S. Treasury Notes
1.38%		09/30/19			2,750,000		2,726,171
1.50%		10/31/19			14,155,000		14,059,343
1.75%		11/30/19			1,970,000		1,965,152
1.75%		11/15/20			4,575,000		4,549,266
1.88%		12/31/19			1,755,000		1,754,623
1.88%		12/15/20			1,420,000		1,416,034
2.13%		12/31/22			1,820,000		1,812,677


Total U.S. Treasury Securities
(Cost $28,393,964)							28,283,266


Total Bonds – 91.93%
(Cost $109,255,829)							109,171,137



Issues	Maturity Date			Principal Amount/ Share		Value
SHORT-TERM INVESTMENTS — 11.25%
Foreign Government Obligations — 1.53%
Japan Treasury Discount Bill, Series 722 (Japan)
0.00%⁹		02/26/18	³		205,000,000		1,820,193

Money Market Funds — 4.09%
Dreyfus Government Cash Management Fund
1.19%¹⁰					291,000		291,000


Issues	Maturity Date			Principal Amount/ Share		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds (continued)
Morgan Stanley Institutional Liquidity
Funds-Government Portfolio
1.20%¹⁰				$	4,569,000	$	4,569,000


							4,860,000

U.S. Treasury Bills — 5.63%
U.S. Treasury Bills
1.07%⁹		03/01/18	¹¹		14,000		13,971
1.28%⁹		04/19/18			3,500,000		3,485,487
1.28%⁹		04/26/18			3,200,000		3,186,193


							6,685,651


Total Short-Term Investments
(Cost $13,393,797)							13,365,844


Total Investments – 103.18%
(Cost $122,649,626)							122,536,981


Liabilities in Excess of Other
Assets – (3.18)%							(3,777,603	)


Net Assets – 100.00%						$	118,759,378

¹	Floating rate security. The rate disclosed was in effect at December 31, 2017.

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

⁴

⁵	Non-income producing security.

⁶	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁷	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $32,783, which is 0.03% of total net assets.

⁸	Security is currently in default with regard to scheduled interest or principal payments.

⁹	Represents annualized yield at date of purchase.

¹⁰	Represents the current yield as of December 31, 2017.

¹¹	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $13,971.

^†

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.


Issues	Maturity Date			Principal Amount		Value
BONDS – 88.08%
ASSET-BACKED SECURITIES — 12.85%**
321 Henderson Receivables VI LLC Series 2010-1A, Class B
9.31%		07/15/61	¹	$	445,513	$	517,983
Access Group, Inc., Series 2015-1, Class A
(LIBOR USD 1-Month plus 0.70%)
2.25%		07/25/56	^1,2		5,344,534		5,357,224
AIMCO CLO, Series 2014-AA, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.10%)
2.46%		07/20/26	^1,2,3		2,900,000		2,905,238
American Money Management Corp. CLO, Series 2015-17A, Class A1 (Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
3.02%		11/15/27	^1,2,3		5,175,000		5,184,911
ARES XXIX CLO Ltd., Series 2014-1A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.19%)
2.54%		04/17/26	^1,2,3		8,675,000		8,684,729
Babson CLO, Inc., Series 2004-3A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.32%)
2.68%		01/15/26	^1,2,3		6,400,000		6,408,766
Babson CLO, Inc., Series 2044-1A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
2.51%		07/20/25	^1,2,3		7,165,000		7,173,029
Ballyrock CLO LLC, Series 2014-1A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
2.51%		10/20/26	^1,2,3		7,995,000		8,003,959
Bayview Commercial Asset Trust, Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.37%)
1.92%		01/25/35	^1,2		881,913		871,599
Bayview Commercial Asset Trust, Series 2005-1A, Class A1
(LIBOR USD 1-Month plus 0.30%)
1.85%		04/25/35	^1,2		1,553,141		1,512,718
BlueMountain CLO Ltd., Series 2014-2A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.93%)
2.29%		07/20/26	^1,2,3		2,100,000		2,106,037
BlueMountain CLO Ltd., Series 2015-1A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.33%)
2.69%		04/13/27	^1,2,3		6,250,000		6,294,075
Brazos Higher Education Authority, Inc., Series 2005-3, Class A16
(LIBOR USD 3-Month plus 0.20%)
1.75%		06/25/26	²		103,584		102,384


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Brazos Higher Education Authority, Inc., Series 2006-2, Class A9
(LIBOR USD 3-Month plus 0.01%)
1.68%		12/26/24	²	$	23,324	$	23,291
Brazos Higher Education Authority, Inc., Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.80%)
2.26%		02/25/30	²		78,080		78,495
CIT Education Loan Trust, Series 2007-1, Class A
(LIBOR USD 3-Month plus 0.09%)
1.76%		03/25/42	^1,2		3,330,407		3,142,926
CIT Education Loan Trust, Series 2007-1, Class B
(LIBOR USD 3-Month plus 0.30%)
1.97%		06/25/42	^1,2		2,976,834		2,684,706
Dryden 30 Senior Loan Fund, Series 2013-30A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 0.82%)
2.24%		11/15/28	^1,2,3		7,500,000		7,502,226
Dryden 41 Senior Loan Fund, Series 2015-41A, Class A (Cayman Islands)
(LIBOR USD 3-Month plus 1.50%)
2.86%		01/15/28	^1,2,3		6,750,000		6,758,894
Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR (Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
2.26%		10/15/27	^1,2,3		9,500,000		9,512,236
Eaton Vance CLO Ltd., Series 2014-1A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
2.56%		07/15/26	^1,2,3		8,000,000		8,009,606
Edsouth Indenture No. 3 LLC, Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.73%)
2.28%		04/25/39	^1,2		203,106		203,157
Education Loan Asset-Backed Trust, Series 2013-1, Class A2
(LIBOR USD 1-Month plus 0.80%)
2.35%		04/26/32	^1,2		3,465,000		3,416,469
Educational Funding of the South, Inc., Series 2012-1, Class A
(LIBOR USD 1-Month plus 1.05%)
2.60%		03/25/36	²		110,945		111,612
EFS Volunteer No. 2 LLC, Series 2012-1, Class A2
(LIBOR USD 1-Month plus 1.35%)
2.90%		03/25/36	^1,2		6,400,000		6,582,313
Flagship CLO VIII Ltd., Series 2014-8A, Class AR (Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
2.61%		01/16/26	^1,2,3	$	7,945,000	$	7,982,667
GCO Education Loan Funding Trust, Series 2006-2AR, Class A1RN
(LIBOR USD 1-Month plus 0.65%)
2.20%		08/27/46	^1,2		2,869,036		2,788,534
GE Business Loan Trust, Series 2005-1A, Class A3
(LIBOR USD 1-Month plus 0.25%)
1.73%		06/15/33	^1,2		2,419,470		2,374,532
GE Business Loan Trust, Series 2005-2A, Class A
(LIBOR USD 1-Month plus 0.24%)
1.72%		11/15/33	^1,2		4,462,639		4,384,754
Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados)
3.09%		07/17/29	^1,3		1,672,167		1,627,266
Goal Capital Funding Trust, Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
1.91%		08/25/42	²		535,826		498,479
Higher Education Funding, Series 2014-1, Class A
(LIBOR USD 3-Month plus 1.05%)
2.51%		05/25/34	^1,2		1,686,424		1,688,405
J.G. Wentworth XXXVIII LLC, Series 2017-1A, Class A
3.99%		08/16/60	¹		3,970,666		4,081,060
Limerock CLO III Ltd., Series 2014-3A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
2.56%		10/20/26	^1,2,3		8,000,000		8,009,700
Magnetite XI CLO Ltd., Series 2014-9A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 1.00%)
2.37%		07/25/26	^1,2,3		2,000,000		2,004,886
Mill Creek II CLO Ltd., Series 2016-1A, Class A (Cayman Islands)
(LIBOR USD 3-Month plus 1.75%)
3.11%		04/20/28	^1,2,3		5,750,000		5,845,937
Navient Student Loan Trust, Series 2014-1, Class A4
(LIBOR USD 1-Month plus 0.75%)
2.30%		02/25/39	²		3,840,000		3,785,845
Navient Student Loan Trust, Series 2014-8, Class A3
(LIBOR USD 1-Month plus 0.60%)
2.15%		05/27/49	²		6,120,000		6,143,264
Navient Student Loan Trust, Series 2015-1, Class A2
(LIBOR USD 1-Month plus 0.60%)
2.15%		04/25/40	²		9,370,000		9,381,538


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Navient Student Loan Trust, Series 2015-1, Class B
(LIBOR USD 1-Month plus 1.50%)
3.05%		07/25/52	²	$	5,000,000	$	5,012,607
Navient Student Loan Trust, Series 2016-2, Class A3
(LIBOR USD 1-Month plus 1.50%)
3.05%		06/25/65	^1,2		11,200,000		11,535,483
Navient Student Loan Trust, Series 2017-1A, Class A3
(LIBOR USD 1-Month plus 1.15%)
2.70%		07/26/66	^1,2		16,200,000		16,617,497
Navient Student Loan Trust, Series 2017-3A, Class A3
(LIBOR USD 1-Month plus 1.05%)
2.60%		07/26/66	^1,2		18,400,000		18,916,782
Nelnet Student Loan Trust, Series 2006-2, Class B
(LIBOR USD 3-Month plus 0.20%)
1.57%		01/25/38	²		4,496,488		4,232,526
Nelnet Student Loan Trust, Series 2007-1, Class A3
(LIBOR USD 3-Month plus 0.07%)
1.53%		05/27/25	²		2,700,000		2,685,747
Nelnet Student Loan Trust, Series 2012-5A, Class A
(LIBOR USD 1-Month plus 0.60%)
1.93%		10/27/36	^1,2		157,181		157,292
Nelnet Student Loan Trust, Series 2014-4A, Class A2
(LIBOR USD 1-Month plus 0.95%)
2.50%		11/25/48	^1,2		1,865,000		1,831,466
Nelnet Student Loan Trust, Series 2015-1A, Class A
(LIBOR USD 1-Month plus 0.59%)
1.92%		04/25/46	^1,2		6,391,642		6,394,101
Nelnet Student Loan Trust, Series 2015-3A, Class A3
(LIBOR USD 1-Month plus 0.90%)
2.23%		06/25/54	^1,2		11,000,000		10,853,425
Northstar Education Finance, Inc., Series 2007-1, Class A2
(1.00 X LIBOR USD 3-Month plus 0.75%)
2.13%		01/29/46	²		135,000		130,596
PHEAA Student Loan Trust, Series 2013-3A, Class A
(LIBOR USD 1-Month plus 0.75%)
2.30%		11/25/42	^1,2		4,726,415		4,745,512
Scholar Funding Trust, Series 2011-A, Class A
(LIBOR USD 3-Month plus 0.90%)
2.28%		10/28/43	^1,2		132,576		131,446


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Scholar Funding Trust, Series 2012-B, Class A2
(LIBOR USD 1-Month plus 1.10%)
2.66%		03/28/46	^1,2	$	136,432	$	136,539
SLC Student Loan Trust I, Series 2002-2, Class B2
(28 Day Auction Rate plus 0.00%)
1.61%		07/01/42	^1,2		200,000		159,082
SLC Student Loan Trust I, Series 2005-3, Class A4
(LIBOR USD 3-Month plus 0.15%)
1.74%		12/15/39	²		13,800,000		13,156,367
SLC Student Loan Trust, Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.29%)
1.71%		08/15/31	²		693,924		649,183
SLC Student Loan Trust, Series 2005-2, Class A4
(LIBOR USD 3-Month plus 0.16%)
1.75%		12/15/39	²		12,000,000		11,476,426
SLC Student Loan Trust, Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.16%)
1.75%		03/15/55	²		13,120,000		12,610,228
SLC Student Loan Trust, Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.21%)
1.80%		03/15/55	²		2,813,155		2,672,375
SLC Student Loan Trust, Series 2007-1, Class A4
(LIBOR USD 3-Month plus 0.06%)
1.48%		05/15/29	²		12,912,690		12,793,393
SLC Student Loan Trust, Series 2008-1, Class A4A
(LIBOR USD 3-Month plus 1.60%)
3.19%		12/15/32	²		4,398,570		4,539,640
SLM Student Loan Trust I, Series 2003-10A, Class A3
(LIBOR USD 3-Month plus 0.55%)
2.06%		12/15/27	^1,2		13,089,254		13,126,415
SLM Student Loan Trust I, Series 2003-12, Class B
(LIBOR USD 3-Month plus 0.59%)
2.18%		03/15/38	²		6,106,278		5,791,385
SLM Student Loan Trust I, Series 2014-2, Class A3
(LIBOR USD 1-Month plus 0.59%)
2.14%		03/25/55	²		15,000,000		15,108,731
SLM Student Loan Trust, Series 2003-4, Class A5D
(LIBOR USD 3-Month plus 0.75%)
2.34%		03/15/33	^1,2		2,971,245		2,951,193


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2003-7, Class B
(LIBOR USD 3-Month plus 0.57%)
2.16%		09/15/39	²	$	4,326,614	$	4,166,727
SLM Student Loan Trust, Series 2004-10, Class B
(LIBOR USD 3-Month plus 0.37%)
1.74%		01/25/40	²		12,175,918		11,403,537
SLM Student Loan Trust, Series 2004-2, Class B
(LIBOR USD 3-Month plus 0.47%)
1.84%		07/25/39	²		739,006		704,975
SLM Student Loan Trust, Series 2005-9, Class B
(LIBOR USD 3-Month plus 0.30%)
1.67%		01/25/41	²		1,456,202		1,343,443
SLM Student Loan Trust, Series 2006-2, Class A6
(LIBOR USD 3-Month plus 0.17%)
1.54%		01/25/41	²		16,800,000		16,303,578
SLM Student Loan Trust, Series 2006-8, Class A6
(LIBOR USD 3-Month plus 0.16%)
1.53%		01/25/41	²		1,800,000		1,744,145
SLM Student Loan Trust, Series 2007-2, Class B
(LIBOR USD 3-Month plus 0.17%)
1.54%		07/25/25	²		12,800,000		11,667,436
SLM Student Loan Trust, Series 2007-3, Class A4
(LIBOR USD 3-Month plus 0.06%)
1.43%		01/25/22	²		215,000		209,060
SLM Student Loan Trust, Series 2007-3, Class B
(LIBOR USD 3-Month plus 0.15%)
1.52%		01/25/28	²		12,800,000		11,433,088
SLM Student Loan Trust, Series 2007-6, Class A4
(LIBOR USD 3-Month plus 0.38%)
1.75%		10/25/24	²		13,620,998		13,621,273
SLM Student Loan Trust, Series 2007-7, Class B
(LIBOR USD 3-Month plus 0.75%)
2.12%		10/27/70	²		2,195,000		2,086,520
SLM Student Loan Trust, Series 2008-2, Class A3
(LIBOR USD 3-Month plus 0.75%)
2.12%		04/25/23	²		10,658,490		10,655,111
SLM Student Loan Trust, Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
2.57%		01/25/83	²		1,000,000		976,755


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
2.57%		04/26/83	²	$	710,000	$	700,845
SLM Student Loan Trust, Series 2008-4, Class A4
(LIBOR USD 3-Month plus 1.65%)
3.02%		07/25/22	²		1,730,424		1,775,378
SLM Student Loan Trust, Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
3.22%		04/25/73	²		710,000		709,068
SLM Student Loan Trust, Series 2008-5, Class A4
(LIBOR USD 3-Month plus 1.70%)
3.07%		07/25/23	²		15,394,369		15,892,143
SLM Student Loan Trust, Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
3.22%		07/25/73	²		7,315,000		7,475,363
SLM Student Loan Trust, Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
3.22%		07/26/83	²		710,000		712,109
SLM Student Loan Trust, Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
3.22%		07/26/83	²		820,000		846,762
SLM Student Loan Trust, Series 2008-8, Class A4
(LIBOR USD 3-Month plus 1.50%)
2.87%		04/25/23	²		3,210,000		3,296,197
SLM Student Loan Trust, Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
3.62%		10/25/75	²		735,000		777,059
SLM Student Loan Trust, Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
2.87%		04/25/23	²		5,346,405		5,475,716
SLM Student Loan Trust, Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
3.62%		10/25/83	²		7,235,000		7,524,889
SLM Student Loan Trust, Series 2009-3, Class A
(LIBOR USD 1-Month plus 0.75%)
2.30%		01/25/45	^1,2		10,518,626		10,451,095
SLM Student Loan Trust, Series 2011-1, Class A2
(LIBOR USD 1-Month plus 1.15%)
2.70%		10/25/34	²		2,680,000		2,747,043


Issues	Maturity Date			Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Series 2011-2, Class A2
(LIBOR USD 1-Month plus 1.20%)
2.75%		10/25/34	²	$	4,035,000	$	4,190,410
SLM Student Loan Trust, Series 2012-1, Class A3
(LIBOR USD 1-Month plus 0.95%)
2.50%		09/25/28	²		1,189,717		1,202,745
SLM Student Loan Trust, Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.70%)
2.25%		01/25/29	²		1,735,452		1,743,366
SLM Student Loan Trust, Series 2012-7, Class A3
(LIBOR USD 1-Month plus 0.65%)
2.20%		05/26/26	²		4,400,000		4,373,520
SLM Student Loan Trust, Series 2012-7, Class B
(LIBOR USD 1-Month plus 1.80%)
3.35%		09/25/43	²		2,200,000		2,210,014
SLM Student Loan Trust, Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
2.10%		06/25/43	²		1,697,673		1,706,298
SLM Student Loan Trust, Series 2014-1, Class A2
(LIBOR USD 1-Month plus 0.38%)
1.93%		07/26/21	²		25,786		25,789
SLM Student Loan Trust, Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.60%)
2.15%		02/26/29	²		1,670,000		1,654,311
Structured Receivables Finance LLC, Series 2010-A, Class B
7.61%		01/16/46	^1,†		1,980,529		2,241,925
Structured Receivables Finance LLC, Series 2010-B, Class B
7.97%		08/15/36	¹		1,325,617		1,549,175
Upland CLO Ltd., Series 2016-1A, Class A1A (Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
2.96%		04/20/28	^1,2,3		3,575,000		3,588,897
Voya CLO Ltd., Series 2014-3A, Class A1R (Cayman Islands)
(LIBOR USD 3-Month plus 0.72%)
2.24%		07/25/26	^1,2,3,†		3,560,000		3,559,688
Voya CLO Ltd., Series 2015-2A, Class A (Cayman Islands)
(LIBOR USD 3-Month plus 1.40%)
2.76%		07/23/27	^1,2,3		8,440,000		8,478,366


Total Asset-Backed Securities (Cost $513,228,505)							523,384,706


Issues	Maturity Date			Principal Amount		Value
BANK LOANS — 0.69%*
Consumer Discretionary — 0.03%
BC ULC/New Red Finance, Inc., Term Loan B, 1st Lien (Canada)
(LIBOR plus 2.25%)
3.87%		02/16/24	^2,3	$	496,242	$	496,639
Reynolds Group Holdings, Inc., Term Loan B, 1st Lien
(LIBOR plus 2.75%)
4.32%		02/06/23	²		814,708		819,474


							1,316,113

Electric — 0.11%
Chief Power Finance LLC, Term Loan B, 1st Lien
(LIBOR plus 4.75%)
6.32%		12/31/20	^2,4,5		4,365,000		3,590,213
Homer City Generation LP, Term Loan B, 1st Lien
(LIBOR plus 11.00%)
12.57%		04/05/23	^2,4,5		720,489		628,025
Vistra Energy Co. LLC, Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.02%		08/04/23	²		116,156		116,918
Vistra Energy Co. LLC, Term Loan C, 1st Lien
(LIBOR plus 2.50%)
3.83%		08/04/23	²		20,584		20,719


							4,355,875

Finance — 0.07%
Delos Finance SARL, Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.69%		10/06/23	²		2,652,629		2,676,078

Health Care — 0.13%
Air Medical Group Holdings, Inc., Term Loan B1, 1st Lien
(LIBOR plus 4.00%)
5.67%		04/28/22	²		878,052		879,259
Gilead Sciences, Inc., Term Loan
(LIBOR plus 1.00%)
2.34%		09/08/22	²		4,425,000		4,425,000


							5,304,259

Industrials — 0.07%
Tyco International Holdings SARL, Term Loan, 1st Lien
(LIBOR plus 1.75%)
3.09%		03/06/20	^2,4,5		2,749,894		2,747,323


Issues	Maturity Date			Principal Amount		Value
BANK LOANS (continued)
Information Technology — 0.19%
Dell International LLC, Term Loan A3, 1st Lien
(LIBOR plus 1.50%)
3.07%		12/31/18	²	$	4,800,905	$	4,804,890
First Data Corp., Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.80%		04/26/24	²		3,075,353		3,080,028


							7,884,918

Real Estate Investment Trust (REIT) — 0.04%
Ventas Realty LP, Term Loan A
(LIBOR plus 0.98%)
2.54%		08/03/20	²		1,865,000		1,855,675

Services — 0.05%
AABS Ltd., Term Loan, Series 2013-1, Class A (STEP) (Bermuda)
4.88%		01/15/38	^3,†		1,965,106		1,979,827


Total Bank Loans (Cost $28,932,224)							28,120,068

CORPORATES — 31.16%*
Automotive — 0.18%
Ford Motor Credit Co. LLC
2.02%		05/03/19			515,000		512,624
General Motors Co.
3.50%		10/02/18			5,710,000		5,770,461
Goodyear Tire & Rubber Co. (The)
4.88%		03/15/27			587,000		602,409
Metalsa SA de CV, Series REGS (Mexico)
4.90%		04/24/23	³		500,000		501,875


							7,387,369

Banking — 5.48%
Banco Continental Sa Via Continental Senior Trustees, Series REGS (Peru)
5.50%		11/18/20	³		950,000		1,028,375
Banco Internacional del Peru SAA Interbank, Series REGS (Peru)
6.63%		03/19/29	^3,6		250,000		282,500
Banco Nacional de Comercio Exterior SNC/Cayman Islands (Mexico)
3.80%		08/11/26	^1,3,6		2,000,000		1,999,290
Banco Nacional de Costa Rica, Series REGS (Costa Rica)
5.88%		04/25/21	³		250,000		260,050
Bank of America Corp.
3.42%		12/20/28	^1,6		583,000		583,859
3.71%		04/24/28	⁶		10,760,000		11,031,862
Bank of America Corp. (GMTN)
2.37%		07/21/21	⁶		6,175,000		6,161,387
3.59%		07/21/28	⁶		7,310,000		7,414,690


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)

Banking (continued)
Bank of America Corp. (MTN)
3.09%		10/01/25	⁶	$	5,605,000	$	5,597,220
3.82%		01/20/28	⁶		1,985,000		2,055,577
4.00%		04/01/24			649,000		686,644
5.65%		05/01/18			17,660,000		17,877,504
6.88%		04/25/18			17,629,000		17,895,339
Discover Bank
2.60%		11/13/18			10,870,000		10,907,734
Global Bank Corp. (Panama)
4.50%		10/20/21	^1,3		540,000		551,340
Grupo Aval Ltd., Series REGS (Colombia)
4.75%		09/26/22	³		500,000		508,125
HBOS PLC (GMTN) (United Kingdom)
6.75%		05/21/18	^1,3		6,425,000		6,529,329
JPMorgan Chase & Co.
1.80%		01/25/18			5,000,000		4,999,527
2.55%		10/29/20			657,000		659,446
3.22%		03/01/25	⁶		13,070,000		13,128,469
3.54%		05/01/28	⁶		7,499,000		7,620,634
3.90%		07/15/25			3,864,000		4,042,221
6.00%		01/15/18			7,000,000		7,009,772
6.30%		04/23/19			4,925,000		5,188,276
Lloyds Banking Group PLC (United Kingdom)
2.91%		11/07/23	^3,6		5,780,000		5,730,983
PNC Bank N.A.
1.80%		11/05/18			5,000,000		4,994,215
PNC Bank N.A. (BKNT)
1.45%		07/29/19			2,750,000		2,716,247
1.50%		02/23/18			5,000,000		4,998,107
Santander UK Group Holdings PLC (United Kingdom)
2.88%		08/05/21	³		1,300,000		1,299,922
Santander UK PLC (United Kingdom)
2.50%		03/14/19	³		3,000,000		3,008,725
3.05%		08/23/18	³		425,000		427,949
5.00%		11/07/23	^1,3		3,100,000		3,318,947
UBS AG/London (Switzerland)
(LIBOR USD 3-Month plus 0.32%)
1.80%		05/28/19	^1,2,3		3,000,000		3,000,864
UBS AG/Stamford CT (GMTN) (Switzerland)
2.38%		08/14/19	³		5,000,000		5,003,725
(LIBOR USD 3-Month plus 0.70%)
2.37%		03/26/18	^2,3		3,000,000		3,005,412
Wachovia Corp. (MTN)
5.75%		02/01/18			17,654,000		17,709,222


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)

Banking (continued)
Wells Fargo & Co.
3.00%		04/22/26		$	16,985,000	$	16,707,083
3.00%		10/23/26			6,435,000		6,314,567
Wells Fargo & Co. (MTN)
3.58%		05/22/28	⁶		10,490,000		10,714,942


							222,970,080

Commercial Services — 0.07%
Brink’s Co. (The)
4.63%		10/15/27	¹		1,200,000		1,179,000
IHS Markit Ltd. (Bermuda)
4.00%		03/01/26	^1,3		1,731,000		1,737,491


							2,916,491

Communications — 3.01%
Altice U.S. Finance I Corp.
5.38%		07/15/23	¹		2,700,000		2,767,500
5.50%		05/15/26	¹		2,500,000		2,553,125
AMC Networks, Inc.
4.75%		08/01/25			1,750,000		1,741,250
AT&T, Inc.
3.40%		05/15/25			4,000,000		3,944,486
4.13%		02/17/26			6,400,000		6,557,236
4.35%		06/15/45			1,500,000		1,387,295
4.50%		03/09/48			3,000,000		2,822,695
4.80%		06/15/44			5,322,000		5,230,768
4.90%		08/14/37			3,620,000		3,676,952
5.15%		11/15/46	¹		3,900,000		4,000,893
CBS Corp.
3.70%		06/01/28	¹		3,000,000		2,962,614
CCO Holdings LLC/CCO Holdings Capital Corp.
5.00%		02/01/28	¹		5,381,000		5,266,654
Cequel Communications Holdings I LLC/Cequel Capital Corp.
5.13%		12/15/21	¹		225,000		226,687
6.38%		09/15/20	¹		562,000		570,781
Charter Communications Operating LLC/Charter Communications Operating Capital
3.58%		07/23/20			1,250,000		1,274,052
6.48%		10/23/45			5,640,000		6,610,926
CSC Holdings LLC
5.50%		04/15/27	¹		675,000		690,187
8.63%		02/15/19			700,000		740,250
Intelsat Jackson Holdings SA (Luxembourg)
5.50%		08/01/23	³		4,626,000		3,793,320
9.75%		07/15/25	^1,3		800,000		772,000


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Level 3 Financing, Inc.
5.13%	05/01/23	$	1,178,000	$	1,183,890
5.63%	02/01/23		2,250,000		2,272,500
Qualitytech LP/QTS Finance Corp.
4.75%	11/15/25¹		981,000		993,263
Qwest Corp.
6.75%	12/01/21		2,235,000		2,413,800
Sirius XM Radio, Inc.
3.88%	08/01/22¹		750,000		756,487
Softbank Group Corp. (Japan)
4.50%	04/15/20^1,3		3,600,000		3,685,680
Sprint Communications, Inc.
9.00%	11/15/18¹		7,350,000		7,754,250
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%	09/20/21¹		8,915,625		8,960,203
Time Warner Cable LLC
6.75%	07/01/18		3,606,000		3,686,378
Time Warner, Inc.
3.80%	02/15/27		5,020,000		5,021,446
T-Mobile USA, Inc.
4.00%	04/15/22		1,000,000		1,027,500
6.63%	04/01/23		1,500,000		1,560,000
6.84%	04/28/23		1,745,000		1,832,250
Verizon Communications, Inc.
4.50%	08/10/33		5,430,000		5,687,512
4.52%	09/15/48		4,090,000		4,043,770
4.86%	08/21/46		5,270,000		5,517,903
5.01%	04/15/49		2,810,000		2,958,974
Viacom, Inc.
3.45%	10/04/26		2,500,000		2,378,551
Virgin Media Secured Finance PLC (United Kingdom)
5.25%	01/15/26^1,3		840,000		851,550
5.50%	08/15/26^1,3		2,260,000		2,316,500


					122,492,078

Consumer Discretionary — 1.31%
Altria Group, Inc.
9.70%	11/10/18		3,697,000		3,933,510
Anheuser-Busch InBev Finance, Inc.
3.65%	02/01/26		2,000,000		2,067,066
4.90%	02/01/46		3,370,000		3,919,234
BAT International Finance PLC (United Kingdom)
1.85%	06/15/18^1,3		11,600,000		11,591,425
Central Garden & Pet Co.
5.13%	02/01/28		2,273,000		2,270,159
6.13%	11/15/23		1,500,000		1,595,625


Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Constellation Brands, Inc.
2.00%	11/07/19	$	10,000,000	$	9,939,679
6.00%	05/01/22		1,195,000		1,344,395
First Quality Finance Co., Inc.
4.63%	05/15/21¹		2,879,000		2,907,790
5.00%	07/01/25¹		305,000		311,863
High Ridge Brands Co.
8.88%	03/15/25¹		2,175,000		1,946,625
KFC Holding Co./Pizza Hut Holdings LLC/ Taco Bell of America LLC
4.75%	06/01/27¹		512,000		524,800
Pernod Ricard SA (France)
4.45%	01/15/22^1,3		4,540,000		4,824,440
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC
5.75%	10/15/20		3,202,901		3,266,959
Suntory Holdings Ltd. (Japan)
2.55%	09/29/19^1,3		3,015,000		3,019,225


					53,462,795

Consumer Products — 0.15%
BAT Capital Corp.
2.30%	08/14/20¹		6,000,000		5,970,758

Electric — 2.02%
AEP Texas Central Co.
3.85%	10/01/25¹		6,455,000		6,742,435
AES Panama SRL, Series REGS (Panama)
6.00%	06/25/22³		250,000		263,350
Alabama Power Capital Trust V
4.79%	10/01/42⁶		1,300,000		1,294,265
Dominion Resources, Inc.
5.75%	10/01/54⁶		2,875,000		3,112,187
Dominion Resources, Inc., Series A
1.88%	01/15/19		4,400,000		4,391,253
Duke Energy Carolinas LLC
3.70%	12/01/47		2,070,000		2,138,161
Duke Energy Progress LLC
3.25%	08/15/25		3,000,000		3,065,435
Duquesne Light Holdings, Inc.
6.40%	09/15/20¹		4,641,000		5,105,339
Entergy Corp.
4.00%	07/15/22		2,000,000		2,091,395
Entergy Louisiana LLC
6.50%	09/01/18		5,000,000		5,143,305
Eskom Holdings SOC Ltd., Series REGS (South Africa)
7.13%	02/11/25³		1,000,000		1,025,000
FirstEnergy Transmission LLC
4.35%	01/15/25¹		2,131,000		2,259,419


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Electric (continued)
ITC Holdings Corp.
3.25%		06/30/26		$	3,000,000	$	2,987,683
3.65%		06/15/24			1,426,000		1,472,635
Kansas City Power & Light Co.
3.15%		03/15/23			6,250,000		6,285,677
Metropolitan Edison Co.
4.00%		04/15/25	¹		3,000,000		3,122,593
7.70%		01/15/19			2,230,000		2,345,865
MidAmerican Energy Co.
3.10%		05/01/27			1,165,000		1,172,303
4.25%		05/01/46			3,310,000		3,725,382
Oncor Electric Delivery Co. LLC
6.80%		09/01/18			1,000,000		1,029,879
Perusahaan Gas Negara Persero TBK PT (Indonesia)
5.13%		05/16/24	^1,3		1,650,000		1,775,813
Public Service Co. of New Mexico
3.85%		08/01/25			3,500,000		3,602,989
5.35%		10/01/21			50,000		53,961
Public Service Electric & Gas Co., Series CC
9.25%		06/01/21			7,920,000		9,498,618
Southern Co. Gas Capital Corp.
3.25%		06/15/26			3,350,000		3,307,061
Southwestern Electric Power Co.
3.55%		02/15/22			3,000,000		3,082,883
6.45%		01/15/19			1,885,000		1,963,347


							82,058,233

Energy — 2.05%
Antero Resources Corp.
5.00%		03/01/25			400,000		409,520
Centennial Resource Production LLC
5.38%		01/15/26	¹		1,100,000		1,123,375
Cheniere Corpus Christi Holdings LLC
5.13%		06/30/27			700,000		725,830
CrownRock LP/CrownRock Finance, Inc.
5.63%		10/15/25	¹		1,905,000		1,914,620
Diamondback Energy, Inc.
5.38%		05/31/25			900,000		931,500
Enbridge Energy Partners LP
5.88%		10/15/25			2,500,000		2,831,090
Endeavor Energy Resources LP/EER Finance, Inc.
5.50%		01/30/26	¹		2,000,000		2,040,000
Energy Transfer Partners LP
5.15%		03/15/45			6,556,000		6,381,663
Florida Gas Transmission Co. LLC
7.90%		05/15/19	¹		1,375,000		1,473,199


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Gulfport Energy Corp.
6.38%		05/15/25		$	315,000	$	317,756
Hess Corp.
7.88%		10/01/29			1,855,000		2,308,382
Kinder Morgan Energy Partners LP
5.80%		03/15/35			240,000		266,444
Kinder Morgan, Inc.
5.30%		12/01/34			1,000,000		1,069,726
5.63%		11/15/23	¹		3,572,000		3,948,647
Lukoil International Finance BV, Series REGS (Netherlands)
4.56%		04/24/23	³		600,000		624,750
Newfield Exploration Co.
5.63%		07/01/24			1,816,000		1,956,740
5.75%		01/30/22			600,000		643,500
Noble Energy, Inc.
3.90%		11/15/24			934,000		964,670
Parsley Energy LLC/Parsley Finance Corp.
5.25%		08/15/25	¹		1,900,000		1,914,250
5.38%		01/15/25	¹		400,000		406,000
5.63%		10/15/27	¹		1,450,000		1,480,813
Petrobras Global Finance BV (Netherlands)
4.38%		05/20/23	³		360,000		357,840
Petroleos del Peru SA, Series REGS (Peru)
4.75%		06/19/32	³		500,000		506,875
Petroleos Mexicanos (Mexico)
1.70%		12/20/22	³		75,000		73,549
Petroleos Mexicanos, Series REGS (Mexico)
5.38%		03/13/22	³		4,750,000		5,046,875
Plains All American Pipeline LP/PAA Finance Corp.
4.65%		10/15/25			6,250,000		6,448,125
QEP Resources, Inc.
5.25%		05/01/23			1,000,000		1,016,860
Rockies Express Pipeline LLC
5.63%		04/15/20	¹		1,950,000		2,052,375
6.00%		01/15/19	¹		500,000		516,250
Ruby Pipeline LLC
6.00%		04/01/22	¹		6,486,742		6,841,056
Sabine Pass Liquefaction LLC
5.63%		03/01/25			3,000,000		3,307,500
Spectra Energy Partners LP
4.60%		06/15/21			3,810,000		4,031,231
Sunoco Logistics Partners Operations LP
5.40%		10/01/47			5,000,000		5,023,342
TC PipeLines LP
4.38%		03/13/25			3,000,000		3,137,082
4.65%		06/15/21			2,300,000		2,416,809


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Texas Eastern Transmission LP
2.80%		10/15/22	¹	$	3,000,000	$	2,975,177
Transocean Proteus Ltd. (Cayman Islands)
6.25%		12/01/24	^1,3		2,354,400		2,478,006
Williams Partners LP
3.60%		03/15/22			1,354,000		1,386,316
5.10%		09/15/45			2,000,000		2,186,912


							83,534,655

Finance — 5.61%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust (Ireland)
3.75%		05/15/19	³		3,550,000		3,607,383
Alta Wind Holdings LLC
7.00%		06/30/35	^1,4,5		1,905,892		2,235,666
American Express Co.
7.00%		03/19/18			4,000,000		4,043,670
American Express Credit Corp. (MTN)
2.20%		03/03/20			5,000,000		4,986,438
Bear Stearns Cos. LLC (The)
7.25%		02/01/18			13,600,000		13,654,541
Citigroup, Inc.
1.70%		04/27/18			6,000,000		5,994,501
1.75%		05/01/18			5,000,000		4,991,969
1.80%		02/05/18			6,415,000		6,414,472
2.05%		12/07/18			5,000,000		4,995,897
2.50%		09/26/18			14,000,000		14,017,542
3.67%		07/24/28	⁶		3,500,000		3,550,921
6.13%		05/15/18			11,705,000		11,883,390
8.50%		05/22/19			3,050,000		3,305,261
Fondo MIVIVIENDA SA, Series REGS (Peru)
3.50%		01/31/23	³		1,000,000		1,006,250
Ford Motor Credit Co. LLC
2.15%		01/09/18			2,500,000		2,499,991
2.38%		01/16/18			3,150,000		3,150,415
5.00%		05/15/18			2,000,000		2,020,569
(LIBOR USD 3-Month plus 0.94%)
2.29%		01/09/18	²		400,000		400,036
Ford Motor Credit Co. LLC (MTN)
2.94%		01/08/19			5,000,000		5,031,225
GE Capital International Funding Co.
(Ireland)
4.42%		11/15/35	³		4,462,000		4,838,121
General Electric Corp. (MTN)
4.65%		10/17/21			70,000		75,075
(LIBOR USD 3-Month plus 0.48%)
1.90%		08/15/36	²		4,085,000		3,553,027


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Finance (continued)
General Motors Financial Co., Inc.
2.40%		05/09/19		$	2,500,000	$	2,501,433
3.10%		01/15/19			4,000,000		4,018,643
Goldman Sachs Group, Inc. (GMTN) (The)
7.50%		02/15/19			4,475,000		4,730,618
Goldman Sachs Group, Inc. (MTN) (The)
3.85%		07/08/24			9,710,000		10,073,868
Goldman Sachs Group, Inc. (The)
2.63%		01/31/19			10,000,000		10,044,100
2.90%		07/19/18			1,000,000		1,004,689
3.27%		09/29/25	⁶		5,650,000		5,629,771
5.95%		01/18/18			10,075,000		10,090,996
6.15%		04/01/18			17,276,000		17,458,899
Guanay Finance Ltd. (Cayman Islands)
6.00%		12/15/20	^1,3		158,829		163,919
International Lease Finance Corp.
7.13%		09/01/18	¹		6,300,000		6,500,813
Midas Intermediate Holdco II LLC/ Midas Intermediate Holdco II Finance, Inc.
7.88%		10/01/22	¹		2,500,000		2,531,250
Morgan Stanley
1.88%		01/05/18			2,000,000		1,999,961
3.63%		01/20/27			2,725,000		2,792,130
(LIBOR USD 3-Month plus 0.93%)
2.29%		07/22/22	²		10,000,000		10,085,432
Morgan Stanley (GMTN)
5.50%		07/24/20			3,000,000		3,218,470
6.63%		04/01/18			21,642,000		21,880,452
7.30%		05/13/19			2,740,000		2,922,098
Morgan Stanley (MTN)
5.63%		09/23/19			2,000,000		2,111,386
Morgan Stanley, Series 3NC2 (LIBOR USD 3-Month plus 0.80%)
2.21%		02/14/20	²		2,025,000		2,033,406
Tanner Servicios Financieros SA, Series REGS (Chile)
4.38%		03/13/18	³		500,000		501,140


							228,549,834

Food — 0.57%
BRF SA, Series REGS (Brazil)
3.95%		05/22/23	³		560,000		555,100
Chobani LLC/Chobani Finance Corp., Inc.
7.50%		04/15/25	¹		734,000		779,875
Kraft Heinz Foods Co.
3.00%		06/01/26			3,478,000		3,352,963
5.20%		07/15/45			5,500,000		6,089,707
Mondelez International Holdings Netherlands BV (Netherlands)
1.63%		10/28/19	^1,3		6,700,000		6,611,734


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Food (continued)
Pilgrim’s Pride Corp.
5.88%		09/30/27	¹	$	1,000,000	$	1,032,500
Post Holdings, Inc.
5.63%		01/15/28	¹		329,000		331,155
5.75%		03/01/27	¹		2,360,000		2,407,200
Tyson Foods, Inc. (LIBOR USD 3-Month plus 0.45%)
1.89%		08/21/20	²		2,185,000		2,194,140


							23,354,374

Gaming — 0.15%
Golden Nugget, Inc.
6.75%		10/15/24	¹		2,430,000		2,478,600
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.
6.13%		08/15/21	¹		1,735,000		1,726,325
Sugarhouse HSP Gaming Prop Mezz LP/ Sugarhouse HSP Gaming Finance Corp.
5.88%		05/15/25	¹		2,101,000		2,001,203


							6,206,128

Health Care — 4.30%
Abbott Laboratories
3.75%		11/30/26			6,235,000		6,417,910
AbbVie, Inc.
1.80%		05/14/18			1,500,000		1,499,402
4.30%		05/14/36			1,000,000		1,074,914
Actavis Funding SCS (Luxembourg)
2.35%		03/12/18	³		8,000,000		8,006,722
3.80%		03/15/25	³		4,306,000		4,390,373
4.55%		03/15/35	³		1,500,000		1,591,937
Aetna, Inc.
2.80%		06/15/23			1,577,000		1,550,603
Amgen, Inc.
4.40%		05/01/45			1,880,000		2,053,801
4.66%		06/15/51			2,000,000		2,252,673
Anthem, Inc.
1.88%		01/15/18			8,295,000		8,294,565
2.50%		11/21/20			4,605,000		4,598,427
3.50%		08/15/24			8,171,000		8,347,823
3.65%		12/01/27			3,865,000		3,943,684
AstraZeneca PLC (United Kingdom)
3.13%		06/12/27	³		2,246,000		2,227,667
3.38%		11/16/25	³		2,130,000		2,165,230
Becton Dickinson and Co.
2.13%		06/06/19			2,920,000		2,914,457
Biogen, Inc.
5.20%		09/15/45			3,423,000		4,077,452


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Celgene Corp.
2.75%		02/15/23		$	5,780,000	$	5,739,083
2.88%		08/15/20			4,300,000		4,342,800
5.00%		08/15/45			3,250,000		3,692,348
Centene Corp.
4.75%		01/15/25			4,225,000		4,309,500
CHS/Community Health Systems, Inc.
6.25%		03/31/23			2,100,000		1,900,500
Cigna Corp.
3.05%		10/15/27			5,570,000		5,419,551
4.50%		03/15/21			1,795,000		1,887,953
DaVita, Inc.
5.13%		07/15/24			1,218,000		1,232,464
Fresenius Medical Care U.S. Finance II, Inc.
4.13%		10/15/20	¹		1,015,000		1,047,068
5.63%		07/31/19	¹		5,167,000		5,407,224
6.50%		09/15/18	¹		4,591,000		4,734,639
Gilead Sciences, Inc.
4.15%		03/01/47			3,155,000		3,364,506
Hartford HealthCare Corp.
5.75%		04/01/44			1,525,000		1,890,895
HCA, Inc.
4.75%		05/01/23			3,779,000		3,920,713
5.00%		03/15/24			500,000		521,250
6.50%		02/15/20			2,175,000		2,316,375
Hill-Rom Holdings, Inc.
5.75%		09/01/23	¹		488,000		512,400
Humana, Inc.
2.90%		12/15/22			5,475,000		5,456,245
Kaiser Foundation Hospitals
3.15%		05/01/27			5,791,000		5,803,441
Molina Healthcare, Inc.
4.88%		06/15/25	¹		1,465,000		1,468,663
5.38%		11/15/22			879,000		920,753
MPH Acquisition Holdings LLC
7.13%		06/01/24	¹		1,800,000		1,930,500
Novartis Capital Corp.
4.40%		05/06/44			2,000,000		2,298,633
NYU Hospitals Center
4.37%		07/01/47			5,000,000		5,400,653
Shire Acquisitions Investments Ireland DAC (Ireland)
1.90%		09/23/19	³		5,686,000		5,636,893
2.40%		09/23/21	³		6,225,000		6,132,439
Surgery Center Holdings, Inc.
6.75%		07/01/25	¹		1,137,000		1,080,150
Teleflex, Inc.
4.63%		11/15/27			925,000		934,111


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Tenet Healthcare Corp.
4.50%		04/01/21		$	2,250,000	$	2,269,687
4.63%		07/15/24	¹		1,757,000		1,719,664
Teva Pharmaceutical Finance Netherlands III BV (Netherlands)
1.40%		07/20/18	³		2,745,000		2,721,996
1.70%		07/19/19	³		2,015,000		1,967,784
2.80%		07/21/23	³		950,000		828,306
Valeant Pharmaceuticals International, Inc.
7.25%		07/15/22	¹		90,000		91,350
Valeant Pharmaceuticals International, Inc. (Canada)
5.50%		03/01/23	^1,3		1,000,000		920,000
5.50%		11/01/25	^1,3		2,087,000		2,133,957
5.88%		05/15/23	^1,3		1,200,000		1,117,140
6.13%		04/15/25	^1,3		6,101,000		5,628,173
WellCare Health Plans, Inc.
5.25%		04/01/25			1,128,000		1,192,860


							175,300,307

Industrials — 1.07%
Amcor Finance USA, Inc.
3.63%		04/28/26	¹		2,125,000		2,099,228
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland)
4.25%		09/15/22	^1,3		1,000,000		1,022,500
4.63%		05/15/23	^1,3		1,100,000		1,125,080
Clean Harbors, Inc.
5.13%		06/01/21			3,000,000		3,037,500
Crown Americas LLC/Crown Americas Capital Corp. V
4.25%		09/30/26			2,000,000		1,975,000
Embraer SA (Brazil)
5.15%		06/15/22	³		500,000		536,450
Graphic Packaging International, Inc.
4.88%		11/15/22			500,000		532,500
Heathrow Funding Ltd. (United Kingdom)
4.88%		07/15/21	^1,3		700,000		748,404
L3 Technologies, Inc.
4.75%		07/15/20			3,434,000		3,615,737
5.20%		10/15/19			5,335,000		5,592,520
Northrop Grumman Corp.
3.25%		01/15/28			5,690,000		5,710,451
OI European Group BV (Netherlands)
4.00%		03/15/23	^1,3		661,000		663,545
Sealed Air Corp.
5.25%		04/01/23	¹		1,750,000		1,872,500
5.50%		09/15/25	¹		1,000,000		1,092,500


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
Siemens Financieringsmaatschappij NV (Netherlands)
2.35%		10/15/26	^1,3	$	2,750,000	$	2,589,201
Silgan Holdings, Inc.
4.75%		03/15/25	¹		88,000		90,640
Tennant Co.
5.63%		05/01/25	¹		716,000		753,590
United Technologies Corp. (STEP)
1.78%		05/04/18			10,625,000		10,609,634


							43,666,980

Information Technology — 0.50%
Broadcom Corp./Broadcom Cayman Finance Ltd.
2.38%		01/15/20	¹		8,297,000		8,252,337
CDK Global, Inc.
4.88%		06/01/27	¹		132,000		133,320
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc.
5.75%		03/01/25	¹		3,067,000		3,072,751
NXP BV/NXP Funding LLC (Netherlands)
3.88%		09/01/22	^1,3		400,000		405,244
4.13%		06/01/21	^1,3		800,000		818,000
Oracle Corp.
3.25%		11/15/27			3,860,000		3,921,663
Quintiles IMS, Inc.
4.88%		05/15/23	¹		2,520,000		2,617,650
Zayo Group LLC/Zayo Capital, Inc.
5.75%		01/15/27	¹		1,250,000		1,278,125


							20,499,090

Insurance — 0.52%
Farmers Exchange Capital
7.20%		07/15/48	¹		150,000		199,441
Farmers Exchange Capital II
6.15%		11/01/53	^1,6		2,500,000		2,875,645
Farmers Insurance Exchange
4.75%		11/01/57	^1,6		3,800,000		3,820,140
8.63%		05/01/24	¹		942,000		1,187,187
MetLife, Inc.
6.40%		12/15/36			4,914,000		5,700,240
Nationwide Mutual Insurance Co.
3.88%		12/15/24	^1,6		3,825,000		3,825,000
Teachers Insurance & Annuity Association of America
4.38%		09/15/54	^1,6		3,425,000		3,469,342


							21,076,995


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Materials — 0.19%
Axalta Coating Systems LLC
4.88%		08/15/24	¹	$	2,650,000	$	2,785,813
Fresnillo PLC, Series REGS (United Kingdom)
5.50%		11/13/23	³		500,000		549,375
Gerdau Holdings, Inc., Series REGS
7.00%		01/20/20			457,000		492,417
Gold Fields Orogen Holdings BVI Ltd., Series REGS (British Virgin Islands)
4.88%		10/07/20	³		250,000		256,563
Vale Overseas Ltd. (Cayman Islands)
4.38%		01/11/22	³		525,000		544,163
Valvoline, Inc.
4.38%		08/15/25			375,000		379,219
5.50%		07/15/24			2,299,000		2,454,183
Volcan Cia Minera SAA, Series REGS (Peru)
5.38%		02/02/22	³		300,000		315,375


							7,777,108

Real Estate Investment Trust (REIT) — 3.06%
Alexandria Real Estate Equities, Inc.
2.75%		01/15/20			5,000,000		5,023,434
3.45%		04/30/25			3,040,000		3,011,637
3.90%		06/15/23			2,500,000		2,584,163
4.60%		04/01/22			1,000,000		1,066,934
American Campus Communities Operating Partnership LP
3.35%		10/01/20			1,735,000		1,769,741
3.63%		11/15/27			2,566,000		2,540,761
American Tower Corp.
3.00%		06/15/23			3,130,000		3,125,702
3.40%		02/15/19			10,000,000		10,108,257
AvalonBay Communities, Inc. (GMTN)
3.63%		10/01/20			1,500,000		1,542,902
Boston Properties LP
5.63%		11/15/20			1,750,000		1,893,833
5.88%		10/15/19			200,000		210,900
CC Holdings GS V LLC/Crown Castle GS III Corp.
3.85%		04/15/23			1,000,000		1,033,429
Crown Castle International Corp.
3.20%		09/01/24			5,360,000		5,305,971
Education Realty Operating Partnership LP
4.60%		12/01/24			3,240,000		3,309,947
HCP, Inc.
3.75%		02/01/19			13,255,000		13,424,823
3.88%		08/15/24			3,100,000		3,176,181
4.25%		11/15/23			945,000		993,201
Healthcare Realty Trust, Inc.
3.88%		05/01/25			2,500,000		2,532,772


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Highwoods Realty LP
7.50%		04/15/18		$	800,000	$	811,600
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.
5.63%		05/01/24			2,000,000		2,140,000
Piedmont Operating Partnership LP
3.40%		06/01/23			5,160,000		5,132,575
Post Apartment Homes LP
3.38%		12/01/22			100,000		101,441
Realty Income Corp.
2.00%		01/31/18			9,460,000		9,458,746
SBA Communications Corp.
4.00%		10/01/22	¹		4,851,000		4,869,191
SL Green Realty Corp.
4.50%		12/01/22			3,000,000		3,145,045
5.00%		08/15/18			895,000		906,303
7.75%		03/15/20			2,375,000		2,626,224
Ventas Realty LP
3.25%		10/15/26			5,000,000		4,855,883
3.75%		05/01/24			1,000,000		1,028,597
Ventas Realty LP/Ventas Capital Corp.
2.00%		02/15/18			3,625,000		3,624,900
4.00%		04/30/19			4,489,000		4,569,851
VEREIT Operating Partnership LP
3.00%		02/06/19			1,200,000		1,205,250
WEA Finance LLC/Westfield UK & Europe Finance PLC
2.70%		09/17/19	¹		1,500,000		1,509,630
3.25%		10/05/20	¹		7,000,000		7,131,579
Welltower, Inc.
2.25%		03/15/18			1,990,000		1,991,264
4.95%		01/15/21			1,020,000		1,084,981
5.13%		03/15/43			4,946,000		5,563,864


							124,411,512

Retail — 0.50%
Alimentation Couche-Tard, Inc. (Canada)
3.55%		07/26/27	^1,3		4,210,000		4,208,806
BC ULC/New Red Finance, Inc. (Canada)
4.25%		05/15/24	^1,3		2,355,000		2,355,000
Cumberland Farms, Inc.
6.75%		05/01/25	¹		2,517,000		2,671,166
CVS Health Corp.
2.25%		12/05/18			5,000,000		5,003,366
Walgreens Boots Alliance, Inc.
3.80%		11/18/24			5,824,000		5,959,897


							20,198,235


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)

Services — 0.04%
Gartner, Inc.
5.13%		04/01/25	¹	$	500,000	$	523,750
IHS Markit Ltd. (United Kingdom)
5.00%		11/01/22	^1,3		168,000		182,986
KAR Auction Services, Inc.
5.13%		06/01/25	¹		1,050,000		1,077,563


							1,784,299

Transportation — 0.38%
America West Airlines Pass-Through Trust, Series 2001-1, Class G
7.10%		04/02/21			1,127,797		1,227,156
American Airlines Pass-Through Trust, Series 2011-1, Class A
5.25%		01/31/21			38,223		40,443
American Airlines Pass-Through Trust, Series 2013-2, Class A
4.95%		01/15/23			1,768,989		1,869,006
American Airlines Pass-Through Trust, Series 2015-2, Class AA
3.60%		09/22/27			2,634,583		2,687,934
Continental Airlines Pass-Through Trust, Series 1997, Class 4A
6.90%		01/02/18			5,450		5,453
Continental Airlines Pass-Through Trust, Series 1999-1, Class A
6.55%		02/02/19			1,773,397		1,817,732
Continental Airlines Pass-Through Trust, Series 1999-2, Class A
7.26%		03/15/20			1,190,934		1,249,052
Continental Airlines Pass-Through Trust, Series 2000-1, Class A1
8.05%		11/01/20			339,756		368,636
Continental Airlines Pass-Through Trust, Series 2000-2, Class A1
7.71%		04/02/21			352,268		378,972
Continental Airlines Pass-Through Trust, Series 2001-1, Class A1
6.70%		06/15/21			23,644		25,682
Continental Airlines Pass-Through Trust, Series 2007, Class 1A
5.98%		04/19/22			2,336,572		2,551,420
Continental Airlines Pass-Through Trust, Series 2012-1, Class B
6.25%		04/11/20			40,793		42,608
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1
6.72%		01/02/23			1,015,226		1,126,689
U.S. Airways Pass-Through Trust, Series 2010-1, Class A
6.25%		04/22/23			986,622		1,097,433


Issues	Maturity Date			Principal Amount		Value
CORPORATES (continued)

Transportation (continued)
U.S. Airways Pass-Through Trust, Series 2011-1, Class G
7.08%		03/20/21		$	753,365	$	794,093
U.S. Airways Pass-Through Trust, Series 2012-1, Class A
5.90%		10/01/24			90,857		100,961


							15,383,270

Total Corporates
(Cost $1,256,264,610)							1,269,000,591


FOREIGN GOVERNMENT OBLIGATIONS — 1.41%
Foreign Government Obligations — 1.41%
Brazilian Government International Bond (Brazil)
2.63%		01/05/23	³		4,800,000		4,632,480
Chile Government International Bond (Chile)
2.25%		10/30/22	³		5,200,000		5,129,280
Colombia Government International Bond (Colombia)
4.50%		01/28/26	³		4,600,000		4,914,525
Corp. Financiera de Desarrollo SA, Series REGS (Peru)
4.75%		07/15/25	³		2,000,000		2,134,000
Costa Rica Government International Bond, Series REGS (Costa Rica)
4.25%		01/26/23	³		2,300,000		2,240,430
Croatia Government International Bond, Series REGS (Croatia)
6.63%		07/14/20	³		2,300,000		2,508,171
Dominican Republic International Bond, Series REGS (Dominican Republic)
6.60%		01/28/24	³		3,750,000		4,214,063
Hazine Mustesarligi Varlik Kiralama AS, Series REGS (Turkey)
4.49%		11/25/24	³		270,000		265,915
Hungary Government International Bond (Hungary)
5.75%		11/22/23	³		2,800,000		3,207,604
Kazakhstan Government International Bond, Series REGS (EMTN) (Kazakhstan)
5.13%		07/21/25	³		4,150,000		4,627,250
Magyar Export-Import Bank Zrt (Hungary)
4.00%		01/30/20	^1,3		900,000		922,500
Panama Government International Bond (Panama)
4.00%		09/22/24	³		1,000,000		1,064,700
Paraguay Government International Bond, Series REGS (Paraguay)
4.63%		01/25/23	³		950,000		1,000,255
Perusahaan Penerbit SBSN, Indonesia III (Indonesia)
4.35%		09/10/24	^1,3		5,500,000		5,822,575


Issues	Maturity Date			Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Republic of Azerbaijan International Bond, Series REGS (Azerbaijan)
4.75%		03/18/24	³	$	1,200,000	$	1,241,520
Republic of Serbia, Series REGS (Serbia)
4.88%		02/25/20	³		3,000,000		3,115,200
Russian Foreign Bond - Eurobond, Series REGS (Russia)
4.88%		09/16/23	³		3,600,000		3,902,166
South Africa Government International Bond (South Africa)
4.67%		01/17/24	³		1,100,000		1,129,590
Turkey Government International Bond (Turkey)
5.13%		03/25/22	³		4,200,000		4,361,700
Uruguay Government International Bond (Uruguay)
4.38%		10/27/27	³		1,200,000		1,296,000


Total Foreign Government Obligations
(Cost $56,677,190)							57,729,924


MORTGAGE-BACKED — 39.69%**
Non-Agency Commercial Mortgage-Backed — 7.80%
BAMLL Trust, Series 2011-FSHN, Class A
4.42%		07/11/33	¹		4,970,000		5,242,852
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2012-PARK, Class A
2.96%		12/10/30	¹		3,710,000		3,755,803
Bayview Commercial Asset Trust, Series 2004-2, Class A
(LIBOR USD 1-Month plus 0.65%)
1.98%		08/25/34	^1,2		1,386,152		1,341,542
BBCMS Trust, Series 2013-TYSN, Class A2
3.76%		09/05/32	¹		4,675,000		4,830,971
Bear Stearns Commercial Mortgage Securities, Series Trust 2004-PWR5, Class F
5.48%		07/11/42	^1,6		906,986		915,141
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO)
1.81%		09/10/45	^1,4,5,6		44,359,227		2,919,746
Commercial Mortgage Trust, Series 2012-CR4, Class XA
1.80%		10/15/45	^4,5,6		49,905,680		3,188,639
Commercial Mortgage Trust, Series 2012-CR5, Class XA (IO)
1.65%		12/10/45	^4,5,6		79,410,923		4,911,105
Commercial Mortgage Trust, Series 2013-300P, Class A1
4.35%		08/10/30	¹		2,840,000		3,047,000


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust, Series 2013-CR13, Class A2
3.04%		11/12/46		$	10,060,000	$	10,138,715
Commercial Mortgage Trust, Series 2013-LC13, Class A2
3.01%		08/10/46			20,200,000		20,306,971
Commercial Mortgage Trust, Series 2013-LC6, Class XA
1.46%		01/10/46	^4,5,6		41,442,480		2,278,031
Commercial Mortgage Trust, Series 2013-WWP, Class A2
3.42%		03/10/31	¹		3,245,000		3,369,693
Commercial Mortgage Trust, Series 2014-277P, Class A
3.61%		08/10/49	^1,6		6,275,000		6,518,501
CSAIL Commercial Mortgage Trust, Series 2015-C1, Class ASB
3.35%		04/15/50			16,500,000		16,989,758
GE Business Loan Trust, Series 2006-2A, Class A
0.51%		11/15/34	¹		11,369,171		11,033,055
GS Mortgage Securities Corp. II, Series 2013-KING, Class A
2.71%		12/10/27	¹		2,616,860		2,630,376
GS Mortgage Securities Trust, Series 2010-C1, Class X (IO)
1.38%		08/10/43	^1,4,5,6		42,564,518		1,240,062
GS Mortgage Securities Trust, Series 2012-ALOH, Class A
3.55%		04/10/34	¹		6,500,000		6,708,686
GS Mortgage Securities Trust, Series 2012-GC6, Class XA (IO)
1.96%		01/10/45	^1,4,5,6		53,684,709		3,415,593
GS Mortgage Securities Trust, Series 2012-SHOP, Class A
2.93%		06/05/31	¹		6,501,000		6,558,280
JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class A2
3.02%		08/15/46			12,362,384		12,449,445
JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class XA
0.76%		08/15/46	^4,5,6		114,750,819		2,596,323
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class XA
1.25%		11/15/45	^4,5,6		26,467,894		1,092,957
JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class A3
3.37%		09/15/47			15,000,000		15,356,841
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2009-IWST, Class XA (IO)
1.87%		12/05/27	^1,4,5,6		50,616,098		1,805,798


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-C1, Class A2
4.61%		06/15/43	¹	$	12,104,190	$	12,538,382
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class A2
3.62%		11/15/43	¹		816,181		825,146
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, Class A2
4.31%		08/05/32	¹		5,833,340		5,998,399
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class XA
0.99%		02/15/46	^1,4,5,6		25,286,756		547,117
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-HSBC, Class A
3.09%		07/05/32	¹		3,606,215		3,665,916
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class ASB
3.41%		01/15/46			14,100,000		14,429,069
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4
2.69%		04/15/46			11,643,479		11,646,626
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class XA (IO)
1.34%		04/15/46	^4,5,6		14,695,156		771,456
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CIBX, Class A3
3.14%		06/15/45			1,165,027		1,171,716
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2005-2A, Class 1A
(LIBOR USD 1-Month plus 0.25%)
1.80%		09/25/30	^1,2		661,959		657,209
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2006-2A, Class 1A
(LIBOR USD 1-Month plus 0.20%)
1.75%		09/25/36	^1,2		651,791		650,831
Merrill Lynch Mortgage Trust, Series 2005-MKB2, Class F
6.32%		09/12/42	^1,6		7,160,000		7,636,357
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A1A
5.81%		06/12/50	⁶		1,295,751		1,297,915
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A3
2.51%		11/15/45			562,285		563,942


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A4
2.86%		11/15/45		$	1,360,000	$	1,367,521
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class XA (IO)
0.87%		10/15/46	^4,5,6		47,650,761		1,271,244
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class XA
1.39%		02/15/46	^4,5,6		11,826,191		679,309
Morgan Stanley Capital I Trust, Series 2014-CPT, Class A
3.35%		07/13/29	¹		6,715,000		6,874,605
Morgan Stanley Capital I Trust, Series 2015-420, Class A
3.73%		10/11/50	¹		4,000,000		4,131,281
OBP Depositor LLC Trust, Series 2010-OBP, Class A
4.65%		07/15/45	¹		8,151,000		8,526,697
RBS Commercial Funding Trust, Series 2013-GSP, Class A
3.83%		01/13/32	^1,6		3,460,000		3,586,349
SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class XA (IO)
0.45%		01/05/43	^1,4,5,6		28,685,000		1,566,015
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ
5.48%		08/15/39	⁶		1,002,199		1,005,577
VNDO Mortgage Trust, Series 2012-6AVE, Class A
3.00%		11/15/30	¹		3,370,000		3,404,912
VNDO Mortgage Trust, Series 2013-PENN, Class A
3.81%		12/13/29	¹		3,314,000		3,418,257
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM
6.01%		02/15/51	⁶		2,549,642		2,557,696
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A2
4.39%		11/15/43	¹		21,025,000		22,006,855
Wells Fargo Commercial Mortgage Trust, Series 2013-120B, Class A
2.71%		03/18/28	^1,6		3,845,000		3,851,341
WF-RBS Commercial Mortgage Trust, Series 2011-C4, Class A3
4.39%		06/15/44	¹		2,964,308		3,007,954
WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class XA (IO)
1.75%		11/15/44	^1,4,5,6		22,956,950		1,200,841
WF-RBS Commercial Mortgage Trust, Series 2012-C10, Class XA
1.58%		12/15/45	^1,4,5,6		33,027,028		2,029,395


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class XA
1.85%		08/15/45	^1,4,5,6	$	48,580,828	$	3,253,473
WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA
1.96%		11/15/45	^1,4,5,6		46,449,528		3,493,237
WF-RBS Commercial Mortgage Trust, Series 2013-C13, Class A2
1.96%		05/15/45			5,891,647		5,887,295
WF-RBS Commercial Mortgage Trust, Series 2013-C16, Class A2
3.22%		09/15/46			4,997,264		5,031,739
WF-RBS Commercial Mortgage Trust, Series 2013-C17, Class A2
2.92%		12/15/46			9,500,000		9,551,070
WF-RBS Commercial Mortgage Trust, Series 2014-C23, Class XA
0.66%		10/15/57	^4,5,6		96,299,346		3,080,366


							317,824,994

Non-Agency Mortgage-Backed — 20.06%
Aames Mortgage Investment Trust, Series 2006-1, Class A4
(LIBOR USD 1-Month plus 0.56%)
2.11%		04/25/36	²		2,082,000		2,065,724
Accredited Mortgage Loan Trust, Series 2006-1, Class A4
(LIBOR USD 1-Month plus 0.28%)
1.83%		04/25/36	²		6,100,369		5,979,385
ACE Securities Corp., Series 2006-OP2, Class A2C
(LIBOR USD 1-Month plus 0.15%)
1.70%		08/25/36	²		650,245		639,397
ACE Securities Corp., Series 2007-ASP1, Class A2D
(LIBOR USD 1-Month plus 0.38%)
1.93%		03/25/37	²		3,270,006		1,983,175
Adjustable Rate Mortgage Trust, Series 2005-4, Class 5A1
3.28%		08/25/35	⁶		3,693,055		3,403,918
Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A21
(LIBOR USD 1-Month plus 0.23%)
1.78%		09/25/35	²		289,095		289,340
Adjustable Rate Mortgage Trust, Series 2007-1, Class 1A1
3.83%		03/25/37	⁶		4,596,883		4,277,766
Asset-Backed Funding Certificates, Series 2007-NC1, Class A2
(LIBOR USD 1-Month plus 0.30%)
1.85%		05/25/37	^1,2		6,032,000		5,426,229


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Asset-Backed Funding Certificates, Series 2007-WMC1, Class A2B
(LIBOR USD 1-Month plus 1.00%)
2.55%		06/25/37	²	$	5,173,967	$	4,460,303
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE9, Class M1
(LIBOR USD 1-Month plus 0.98%)
2.53%		12/25/34	²		2,046,241		2,010,608
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE1, Class A4
(LIBOR USD 1-Month plus 0.30%)
1.85%		01/25/36	²		5,000,000		4,731,149
Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE5, Class A5
(LIBOR USD 1-Month plus 0.24%)
1.79%		07/25/36	²		9,754,000		8,438,854
Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1
5.50%		10/25/33			1,358,424		1,399,705
Banc of America Alternative Loan Trust, Series 2005-2, Class 4A1
5.50%		03/25/20			52,715		52,590
Banc of America Funding Trust, Series 2004-B, Class 5A1
3.81%		11/20/34	⁶		549,077		538,044
Banc of America Funding Trust, Series 2006-D, Class 3A1
3.52%		05/20/36	⁶		1,786,654		1,643,119
Banc of America Funding Trust, Series 2006-G, Class 2A1
(LIBOR USD 1-Month plus 0.22%)
1.72%		07/20/36	²		2,352,848		2,354,793
Banc of America Funding Trust, Series 2006-G, Class 2A4
(LIBOR USD 1-Month plus 0.29%)
1.79%		07/20/36	²		9,396,641		9,428,454
Banc of America Funding Trust, Series 2015-R3, Class 6A2
1.50%		05/27/36	^1,6		16,864,519		14,695,509
Banc of America Funding Trust, Series 2016-R1, Class A1
2.50%		03/25/40	^1,6		7,143,064		7,078,387
Banc of America Mortgage Securities, Inc., Series 2005-K, Class 2A1
3.64%		12/25/35	⁶		2,793,914		2,786,090
BCAP LLC Trust, Series 2007-AA1, Class 2A1
(LIBOR USD 1-Month plus 0.18%)
1.73%		03/25/37	²		6,084,505		5,851,324
BCAP LLC Trust, Series 2013-RR2, Class 6A1
3.00%		06/26/37	^1,6		53,589		53,762


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
BCAP LLC Trust, Series 2014-RR2, Class 6A1
(LIBOR USD 1-Month plus 0.24%)
1.57%		10/26/36	^1,2	$	14,595,118	$	14,460,214
BCAP LLC Trust, Series 2015-RR2, Class 23A1
1.54%		03/28/37	^1,6		975,695		978,252
Bear Stearns ALT-A Trust, Series 2005-1, Class M1
(LIBOR USD 1-Month plus 0.75%)
2.30%		01/25/35	²		14,935,000		14,646,795
Bear Stearns ALT-A Trust, Series 2005-2, Class 2A4
3.42%		04/25/35	⁶		3,160,100		3,130,021
Bear Stearns ALT-A Trust, Series 2005-8, Class 11A1
(LIBOR USD 1-Month plus 0.54%)
2.09%		10/25/35	²		13,364,218		13,127,463
Bear Stearns ARM Trust, Series 2005-2, Class A1
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.45%)
3.26%		03/25/35	²		282,816		286,544
Bear Stearns ARM Trust, Series 2005-9, Class A1
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.30%)
3.52%		10/25/35	²		5,030,472		5,139,880
Bear Stearns Asset-Backed Securities Trust, Series 2005-AC6, Class 1A3
5.50%		09/25/35	⁶		673,370		675,862
Bear Stearns Asset-Backed Securities Trust, Series 2006-AC2, Class 21A3
6.00%		03/25/36			131,431		141,973
Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class 1A1
(LIBOR USD 1-Month plus 0.20%)
1.75%		09/25/47	²		12,735,858		11,965,663
Centex Home Equity Loan Trust, Series 2006-A, Class AV4
(LIBOR USD 1-Month plus 0.25%)
1.80%		06/25/36	²		5,200,081		5,224,512
Chase Funding Trust, Series 2007-A1, Class 8A1
3.71%		02/25/37	⁶		1,705,386		1,746,128
CIM Trust, Series 2015-3AG, Class A1
(LIBOR USD 1-Month plus 1.75%)
3.11%		10/25/57	^1,2		5,241,043		5,315,596
CIM Trust, Series 2016-4, Class A1
(LIBOR USD 1-Month plus 2.00%)
3.36%		10/25/57	^1,2		10,075,955		10,453,699


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
CIM Trust, Series 2017-5, Class A1
2.30%		05/25/57	^1,6	$	11,348,083	$	11,272,450
CIM Trust, Series 2017-8, Class A1
3.00%		12/01/65	¹		18,364,249		18,405,601
Citigroup Mortgage Loan Trust, Inc., Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.26%)
1.81%		11/25/35	²		96,746		78,327
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR3, Class 1A2A
3.37%		06/25/36	⁶		444,966		426,571
Citigroup Mortgage Loan Trust, Inc., Series 2006-HE2, Class A2D
(LIBOR USD 1-Month plus 0.24%)
1.79%		08/25/36	²		2,278,388		2,234,151
Citigroup Mortgage Loan Trust, Inc., Series 2006-NC1, Class A2C
(LIBOR USD 1-Month plus 0.14%)
1.69%		08/25/36	²		723,758		701,609
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A2A
(LIBOR USD 1-Month plus 0.15%)
1.70%		08/25/36	²		51,006		51,052
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class M1
(LIBOR USD 1-Month plus 0.27%)
1.82%		08/25/36	²		8,972,899		8,943,458
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH3, Class M1
(LIBOR USD 1-Month plus 0.29%)
1.84%		10/25/36	²		12,000,000		12,120,685
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH1, Class A4
(LIBOR USD 1-Month plus 0.20%)
1.75%		01/25/37	²		4,683,930		4,726,759
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A4
(LIBOR USD 1-Month plus 0.35%)
1.90%		03/25/37	²		7,639,855		7,631,305
Conseco Financial Corp., Series 1998-6, Class A8
6.66%		06/01/30	⁶		35,612		37,777
Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1
(Federal Reserve US 12-Month Cumualtive Average plus 1.48%)
2.54%		01/25/36	²		6,238,313		6,170,016
Countrywide Alternative Loan Trust, Series 2006-HY12, Class A5
3.39%		08/25/36	⁶		6,832,044		7,031,629


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Asset-Backed Certificates, Series 2004-15, Class MV4
(LIBOR USD 1-Month plus 1.28%)
2.60%		04/25/35	²	$	6,468,510	$	6,567,692
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB7, Class 3A
3.62%		11/20/34	⁶		17,670		17,955
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-3, Class 1A2
(LIBOR USD 1-Month plus 0.58%)
2.13%		04/25/35	²		6,443,246		6,136,156
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-4, Class 4A1
(LIBOR USD 1-Month plus 0.58%)
2.13%		02/25/35	²		14,475		12,124
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.60%)
2.15%		05/25/35	²		138,425		129,470
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 3A1
3.50%		11/25/33	⁶		1,091,127		1,092,275
Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR5, Class 9A1
2.72%		06/25/34	⁶		128,291		126,254
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-11, Class 1A1
6.50%		12/25/35			915,625		720,065
Credit Suisse Mortgage Trust, Series 2006-8, Class 3A1
6.00%		10/25/21			141,059		133,936
Credit Suisse Mortgage Trust, Series 2013-3R, Class 5A1
3.46%		10/27/36	^1,6		213,250		214,280
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF4 (STEP)
3.46%		01/25/36			5,838,732		5,165,594
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB2, Class AF3 (STEP)
3.43%		12/25/36			1,000,000		680,533
Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB9, Class A2
(LIBOR USD 1-Month plus 0.11%)
1.66%		11/25/36	²		10,672,703		7,060,174


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF2 (STEP)
3.71%		01/25/37		$	1,151,211	$	578,554
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2B (STEP)
4.27%		02/25/37			7,356,903		5,402,640
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP)
4.27%		02/25/37			1,760,814		1,292,915
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB3, Class A3 (STEP)
3.86%		03/25/37			3,874,359		2,241,734
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB4, Class A1A (LIBOR USD 1-Month plus 0.09%)
1.42%		04/25/37	²		4,339,326		4,185,752
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1
(LIBOR USD 1-Month plus 0.06%)
1.39%		04/25/37	²		2,115,216		1,625,606
DSLA Mortgage Loan Trust, Series 2004-AR4, Class 2A1A
(LIBOR USD 1-Month plus 0.36%)
1.86%		01/19/45	²		1,202,239		1,097,221
DSLA Mortgage Loan Trust, Series 2005-AR6, Class 2A1A
(LIBOR USD 1-Month plus 0.29%)
1.79%		10/19/45	²		6,891,638		6,848,611
DSLA Mortgage Loan Trust, Series 2006-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.20%)
1.70%		10/19/36	²		7,296,512		6,549,718
DSLA Mortgage Loan Trust, Series 2007-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.14%)
1.64%		04/19/47	²		2,790,687		2,635,448
First Franklin Mortgage Loan Trust, Series 2006-FF4, Class A3
(LIBOR USD 1-Month plus 0.28%)
1.83%		03/25/36	²		15,096,000		14,892,058
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1
3.13%		09/25/34	⁶		1,081,846		1,072,290
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A3
3.13%		09/25/34	⁶		1,663,542		1,648,848


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA10, Class 1A1
3.31%		12/25/35	⁶	$	2,504,664	$	2,347,421
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA12, Class 2A1
3.19%		02/25/36	⁶		3,759,175		3,281,029
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA2, Class 2A1
3.28%		04/25/35	⁶		4,440,898		4,459,814
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA7, Class 2A1
3.19%		09/25/35	⁶		5,632,720		5,453,870
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA8, Class 2A1
3.27%		10/25/35	⁶		6,310,143		5,485,808
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1
3.27%		11/25/35	⁶		3,379,758		3,188,054
First Horizon Alternative Mortgage Securities Trust, Series 2006-AA1, Class 1A1
3.21%		03/25/36	⁶		4,093,819		3,515,134
First Horizon Alternative Mortgage Securities Trust, Series 2006-AA7, Class A1
3.26%		01/25/37	⁶		5,922,849		5,390,727
First Horizon Alternative Mortgage Securities, Series 2005-AA3, Class 3A1
3.33%		05/25/35	⁶		4,584,923		4,645,219
First Horizon Mortgage Pass-Through Trust, Series 2004-AR5, Class 2A1
3.60%		10/25/34	⁶		66,046		66,143
First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 1A1
3.47%		09/25/35	⁶		4,424,152		4,046,241
First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 2A1
3.33%		10/25/35	⁶		214,801		206,701
First Horizon Mortgage Pass-Through Trust, Series 2005-AR5, Class 2A1
3.67%		11/25/35	⁶		3,070,973		3,031,752
First Horizon Mortgage Pass-Through Trust, Series 2007-AR2, Class 1A2
3.44%		08/25/37	⁶		222,337		193,334
GE Business Loan Trust, Series 2007-1A, Class A
(LIBOR USD 1-Month plus 0.17%)
1.65%		04/16/35	^1,2		4,834,848		4,702,299
GMAC Mortgage Corp. Loan Trust, Series 2005-AR5, Class 2A1
3.93%		09/19/35	⁶		2,417,576		2,206,324
GMAC Mortgage Corp. Loan Trust, Series 2005-AR5, Class 3A1
3.93%		09/19/35	⁶		3,251,198		3,119,781


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GMAC Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1
3.84%		04/19/36	⁶	$	3,966,538	$	3,775,951
GreenPoint Mortgage Funding Trust, Series 2005-HY1, Class 2A
(LIBOR USD 1-Month plus 0.29%)
1.84%		07/25/35	²		2,895,019		2,866,331
GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A
(LIBOR USD 1-Month plus 0.18%)
1.73%		01/25/47	²		1		1
GSAMP Trust, Series 2005-HE5, Class M2
(LIBOR USD 1-Month plus 0.43%)
1.98%		11/25/35	²		10,000,000		10,028,593
GSR Mortgage Loan Trust, Series 2005-7F, Class 3A3 (IO)
(-1.00 X LIBOR USD 1-Month plus 5.50%, 5.50% Cap)
4.17%		09/25/35	^2,4,5		37,559		1,094
GSR Mortgage Loan Trust, Series 2005-AR4, Class 5A1
3.57%		07/25/35	⁶		1,866,511		1,740,998
GSR Mortgage Loan Trust, Series 2006-AR2, Class 2A1
3.51%		04/25/36	⁶		379,274		344,606
GSR Mortgage Loan Trust, Series 2007-AR2, Class 5A1A
3.51%		05/25/37	⁶		1,706,427		1,534,714
HarborView Mortgage Loan Trust, Series 2006-7, Class 1A
(LIBOR USD 1-Month plus 0.21%)
1.71%		09/19/46	²		19,325,894		17,850,195
HarborView Mortgage Loan Trust, Series 2007-6, Class 1A1A
(LIBOR USD 1-Month plus 0.20%)
1.70%		08/19/37	²		19,425,810		17,883,554
Home Equity Mortgage Loan Trust, Series 2005-D, Class AII4
(LIBOR USD 1-Month plus 0.35%)
1.90%		03/25/36	²		10,925,230		10,794,173
Impac CMB Trust, Series 2005-2, Class 1A1
(LIBOR USD 1-Month plus 0.52%)
2.07%		04/25/35	²		6,475,696		6,361,054
IndyMac Index Mortgage Loan Trust, Series 2005-AR19, Class A1
3.33%		10/25/35	⁶		3,629,816		3,180,022
IndyMac Index Mortgage Loan Trust, Series 2006-AR27, Class 1A3
(LIBOR USD 1-Month plus 0.27%)
1.82%		10/25/36	²		9,244,061		6,552,462


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 3A1
3.48%		05/25/36	⁶	$	680,866	$	610,537
IndyMac Index Mortgage Loan Trust, Series 2006-AR9, Class 3A3
3.34%		06/25/36	⁶		6,264,411		6,156,576
IndyMac Manufactured Housing Contract, Series 1998-1, Class A4
6.49%		09/25/28			67,701		71,893
JPMorgan Mortgage Acquisition Trust, Series 2006-ACC1, Class M1
(LIBOR USD 1-Month plus 0.27%)
1.82%		05/25/36	²		8,497,000		8,497,623
JPMorgan Mortgage Acquisition Trust, Series 2006-CH1, Class M2
(LIBOR USD 1-Month plus 0.29%)
1.84%		07/25/36	²		12,135,000		11,858,913
JPMorgan Mortgage Acquisition Trust, Series 2007-CH1, Class MV1
(LIBOR USD 1-Month plus 0.23%)
1.78%		11/25/36	²		8,500,000		8,476,265
JPMorgan Mortgage Acquisition Trust, Series 2007-CH1, Class MV3
(LIBOR USD 1-Month plus 0.32%)
1.87%		11/25/36	²		14,417,000		14,423,558
JPMorgan Mortgage Acquisition Trust, Series 2007-CH5, Class A4
(LIBOR USD 1-Month plus 0.16%)
1.71%		06/25/36	²		12,234,002		12,150,117
JPMorgan Mortgage Trust, Series 2005-A6, Class 7A1
3.64%		08/25/35	⁶		74,654		73,011
JPMorgan Mortgage Trust, Series 2006-A3, Class 2A1
3.50%		05/25/36	⁶		61,997		58,781
JPMorgan Mortgage Trust, Series 2006-S2, Class 2A2
5.88%		06/25/21			400,174		391,622
JPMorgan Mortgage Trust, Series 2007-S1, Class 1A2
5.50%		03/25/22			240,914		255,844
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A3
4.35%		04/15/40			7,210		7,295
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-2A, Class 1A4
(LIBOR USD 1-Month plus 0.25%)
1.49%		06/25/37	^1,2		3,726,393		3,419,096
Lehman XS Trust, Series 2005-4, Class 1A3
(LIBOR USD 1-Month plus 0.80%)
2.35%		10/25/35	²		148,812		147,344


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Lehman XS Trust, Series 2005-5N, Class 3A1A
(LIBOR USD 1-Month plus 0.30%)
1.85%		11/25/35	²	$	7,063,629	$	6,814,333
Lehman XS Trust, Series 2006-1, Class 1A1
(LIBOR USD 1-Month plus 0.25%)
1.80%		02/25/36	²		1,627,317		1,617,071
MASTR Adjustable Rate Mortgages Trust, Series 2003-7, Class 3A1
3.20%		11/25/33	⁶		419,314		440,781
MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 8A1
4.82%		10/25/34	⁶		619,653		629,182
MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3A3
3.11%		04/25/34	⁶		120,181		121,318
MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 4A1
3.63%		02/25/36	⁶		96,974		93,902
MASTR Adjustable Rate Mortgages Trust, Series 2007-2, Class A2⁷
0.00%		03/25/47	^4,5,8,†		20,725,600		—
MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A4
(LIBOR USD 1-Month plus 0.28%)
1.83%		05/25/37	²		3,150,000		2,280,726
Merrill Lynch Alternative Note Asset, Series 2007-A3, Class A2D (IO)
(LIBOR USD 1-Month plus 0.33%)
1.88%		04/25/37	^2,4,5		883,581		101,419
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2C
(LIBOR USD 1-Month plus 0.16%)
1.71%		10/25/36	²		1,164,173		892,592
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2D
(LIBOR USD 1-Month plus 0.21%)
1.76%		12/25/37	²		1,839,428		1,383,644
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4
(LIBOR USD 1-Month plus 0.25%)
1.80%		07/25/37	²		1,423,479		981,358
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2D
(LIBOR USD 1-Month plus 0.22%)
1.55%		01/25/38	²		6,294,404		4,779,467
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B
(LIBOR USD 1-Month plus 0.10%)
1.43%		03/25/37	²		881,445		588,510


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch Mortgage Investors Trust, Series 2003-A6, Class 2A
3.78%		10/25/33	⁶	$	296,686	$	306,001
Merrill Lynch Mortgage-Backed Securities Trust, Series 2007-2, Class 1A1
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.40%)
4.01%		08/25/36	²		2,703,253		2,651,010
Mid-State Trust, Series 2004-1, Class B
8.90%		08/15/37			77,164		87,745
Morgan Stanley Capital I Trust, Series 2006-NC2, Class A2D
(LIBOR USD 1-Month plus 0.29%)
1.84%		02/25/36	²		3,825,040		3,638,259
Morgan Stanley Home Equity Loan Trust, Series 2006-2, Class A4
(LIBOR USD 1-Month plus 0.28%)
1.83%		02/25/36	²		4,515,696		4,443,233
Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4
3.01%		09/25/34	⁶		758,385		767,463
Morgan Stanley Mortgage Loan Trust, Series 2005-6AR, Class 1A1
(LIBOR USD 1-Month plus 0.28%)
1.83%		11/25/35	²		84,170		84,766
Morgan Stanley Mortgage Loan Trust,
Series 2006-2, Class 1A
5.25%		02/25/21			238,572		236,389
Morgan Stanley Resecuritization Trust, Series 2013-R3, Class 12A
3.48%		01/26/47	^1,6		101,968		102,412
Morgan Stanley Resecuritization Trust, Series 2014-R9, Class 3A (Federal Reserve US 12-Month Cumualtive Average plus 0.84%)
1.84%		11/26/46	^1,2		4,227,800		4,100,366
MortgageIT Trust, Series 2005-2, Class 2A
(LIBOR USD 1-Month plus 1.65%)
3.01%		05/25/35	²		2,681,641		2,653,518
MortgageIT Trust, Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.28%)
1.83%		10/25/35	²		4,680,000		4,604,963
MortgageIT Trust, Series 2005-5, Class A1
(LIBOR USD 1-Month plus 0.26%)
1.81%		12/25/35	²		771,633		768,609
New Century Home Equity Loan Trust, Series 2005-D, Class A2D
(LIBOR USD 1-Month plus 0.33%)
1.88%		02/25/36	²		4,235,063		4,205,200


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
New York Mortgage Trust, Series 2005-3, Class A1
(LIBOR USD 1-Month plus 0.48%)
2.03%		02/25/36	²	$	1,202,502	$	1,154,417
Nomura Asset Acceptance Corp., Series 2005-AR4, Class 4A1
3.94%		08/25/35	⁶		5,928,798		5,960,428
Nomura Resecuritization Trust, Series 2016-2R, Class 1A1
0.87%		09/26/36	¹		9,933,275		9,468,852
Nomura Resecuritization Trust,
Series 2011-2RA, Class 1A2
3.55%		12/26/46	^1,6		9,124,189		9,196,441
Oakwood Mortgage Investors, Inc., Series 2000-A, Class A5
8.16%		09/15/29	⁶		11,390,042		7,240,599
Opteum Mortgage Acceptance Corp., Series 2005-3, Class M2
(LIBOR USD 1-Month plus 0.48%)
2.03%		07/25/35	²		11,301,000		10,434,680
Ownit Mortgage Loan Asset-Backed Certificates, Series 2006-2, Class A1
(LIBOR USD 1-Month plus 0.21%)
1.76%		01/25/37	²		15,079,841		14,253,735
Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3
(LIBOR USD 1-Month plus 0.31%)
1.86%		06/25/47	²		5,152,000		4,129,156
Residential Accredit Loans Trust, Series 2005-QA13, Class 2A1
4.31%		12/25/35	⁶		3,389,765		3,109,853
Residential Accredit Loans Trust, Series 2005-QA4, Class A41
3.86%		04/25/35	⁶		258,455		252,652
Residential Accredit Loans Trust, Series 2005-QA7, Class A21
3.91%		07/25/35	⁶		1,776,555		1,685,499
Residential Accredit Loans Trust, Series 2005-QA8, Class CB21
4.06%		07/25/35	⁶		1,333,090		1,105,767
Residential Accredit Loans Trust, Series 2005-SP1, Class 4A1
7.00%		09/25/34			148,123		152,020
Residential Accredit Loans Trust, Series 2006-QS13, Class 2A1
5.75%		09/25/21			188,483		185,427
Residential Accredit Loans Trust, Series 2006-QS16, Class A6
6.00%		11/25/36			913,371		822,608
Residential Accredit Loans Trust, Series 2007-QS1, Class 2AV (IO)
0.17%		01/25/37	^4,5,6		3,765,254		28,361


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Securities Trust, Series 2004-KS9, Class AII4
(LIBOR USD 1-Month plus 0.60%)
2.15%		10/25/34	²	$	17,910	$	15,724
Residential Asset Securities Trust, Series 2005-KS9, Class M4
(LIBOR USD 1-Month plus 0.60%)
2.15%		10/25/35	²		5,465,000		5,313,630
Residential Asset Securities Trust, Series 2006-A9CB, Class A9
6.00%		09/25/36			6,161,285		3,898,050
Residential Funding Mortgage Securities Trust, Series 2007-SA2, Class 1A
3.91%		04/25/37	⁶		328,967		220,614
Saxon Asset Securities Trust, Series 2005-4, Class M1
(LIBOR USD 1-Month plus 0.44%)
1.99%		11/25/37	²		8,400,000		8,269,045
Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR2, Class A2
(LIBOR USD 1-Month plus 0.23%)
1.78%		02/25/37	²		1,661,369		1,040,726
Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR4, Class A2B
(LIBOR USD 1-Month plus 0.20%)
1.75%		05/25/37	²		2,960,024		2,039,239
Securitized Asset-Backed Receivables LLC Trust, Series 2007-NC1, Class A2B
(LIBOR USD 1-Month plus 0.15%)
1.70%		12/25/36	²		8,285,267		5,108,646
Soundview Home Loan Trust, Series 2006-WF2, Class M1
(LIBOR USD 1-Month plus 0.22%)
1.77%		12/25/36	²		12,750,000		12,604,099
Soundview Home Loan Trust, Series 2007-WMC1, Class 3A3
(LIBOR USD 1-Month plus 0.26%)
1.81%		02/25/37	²		1,181,163		472,129
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A
3.42%		09/25/34	⁶		1,060,684		1,052,198
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 4A2
3.41%		03/25/34	⁶		1,780,632		1,807,148
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-12, Class 3A1
3.46%		06/25/35	⁶		2,084,488		1,963,820
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-21, Class 2A
3.55%		11/25/35	⁶		1,965,512		1,831,841


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-7, Class 1A3
3.49%		04/25/35	⁶	$	5,276,295	$	5,184,658
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-11, Class 1A1
(LIBOR USD 1-Month plus 0.16%)
1.71%		12/25/36	²		204,914		187,431
Structured Asset Investment Loan Trust, Series 2004-6, Class A3
(LIBOR USD 1-Month plus 0.80%)
2.35%		07/25/34	²		19,113,530		18,957,304
Structured Asset Mortgage Investments II Trust, Series 2006-AR3, Class 22A1
2.95%		05/25/36	⁶		655,162		463,432
Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 1A1
(LIBOR USD 1-Month plus 0.21%)
1.76%		05/25/36	²		562,723		443,609
Structured Asset Mortgage Investments, Inc., Series 2007-AR6, Class A1
(Federal Reserve US 12-Month Cumualtive Average plus 1.50%)
2.56%		08/25/47	²		14,657,169		13,884,440
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-2XS, Class 2A2
(LIBOR USD 1-Month plus 1.50%)
2.86%		02/25/35	²		199,269		196,733
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-4XS, Class 2A1A
(LIBOR USD 1-Month plus 1.75%)
3.11%		03/25/35	²		2,780,524		2,693,680
Structured Asset Securities Corp., Series 2003-34A, Class 3A3
3.49%		11/25/33	⁶		119,040		120,129
Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-04, Class 3A1
3.70%		10/25/37	⁶		3,404,625		3,304,437
Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-S1, Class 2A1
3.74%		01/25/37	⁶		1,407,949		1,409,363
Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-S1, Class 5A1
3.79%		01/25/37	⁶		648,079		650,996
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A2
(LIBOR USD 1-Month plus 0.11%)
1.66%		01/25/37	²		4,405,520		2,851,171
WaMu Mortgage Pass-Through Certificates, Series 2004-AR13, Class A1A
(LIBOR USD 1-Month plus 0.72%)
2.27%		11/25/34	²		316,937		316,792


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2004-AR14, Class A1
3.36%		01/25/35	⁶	$	1,152,826	$	1,182,245
WaMu Mortgage Pass-Through Certificates, Series 2004-AR6, Class A
(LIBOR USD 1-Month plus 0.42%)
1.97%		05/25/44	²		174,278		172,908
WaMu Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1A
(LIBOR USD 1-Month plus 0.64%)
2.19%		01/25/45	²		325,329		323,736
WaMu Mortgage Pass-Through Certificates, Series 2005-AR11, Class A1A
(LIBOR USD 1-Month plus 0.32%)
1.87%		08/25/45	²		806,703		817,832
WaMu Mortgage Pass-Through Certificates, Series 2005-AR12, Class 1A6
3.21%		10/25/35	⁶		2,621,588		2,642,254
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1
(LIBOR USD 1-Month plus 0.29%)
1.84%		10/25/45	²		1,912,374		1,878,817
WaMu Mortgage Pass-Through Certificates, Series 2005-AR14, Class 2A1
3.38%		12/25/35	⁶		53,174		49,400
WaMu Mortgage Pass-Through Certificates, Series 2005-AR16, Class 1A3
3.36%		12/25/35	⁶		2,904,633		2,842,479
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A21
(LIBOR USD 1-Month plus 0.33%)
1.88%		01/25/45	²		1,501,222		1,486,531
WaMu Mortgage Pass-Through Certificates, Series 2005-AR6, Class 2A1A
(LIBOR USD 1-Month plus 0.46%)
2.01%		04/25/45	²		1,643,655		1,619,988
WaMu Mortgage Pass-Through Certificates, Series 2005-AR9, Class A1A
(LIBOR USD 1-Month plus 0.64%)
2.19%		07/25/45	²		1,496,349		1,494,340
WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A (Federal Reserve US 12-Month Cumualtive Average plus 1.00%)
2.06%		02/25/46	²		8,858,679		8,707,108
WaMu Mortgage Pass-Through Certificates, Series 2006-AR4, Class 1A1A (Federal Reserve US 12-Month Cumualtive Average plus 0.94%)
1.94%		05/25/46	²		3,769,348		3,707,863


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates, Series 2006-AR7, Class 2A
(Federal Reserve US 12-Month Cumualtive Average plus 0.98%)
2.04%		07/25/46	²	$	7,125,401	$	6,919,809
WaMu Mortgage Pass-Through Certificates, Series 2007-HY3, Class 1A1
2.92%		03/25/37	⁶		3,523,910		3,286,869
WaMu Mortgage Pass-Through Certificates, Series 2007-OA2, Class 1A (Federal Reserve US 12-Month Cumualtive Average plus 0.70%)
1.76%		03/25/47	²		8,188,792		7,417,037
WaMu Mortgage Pass-Through Certificates, Series 2007-OA5, Class 1A (Federal Reserve US 12-Month Cumualtive Average plus 0.75%)
1.81%		06/25/47	²		2,634,395		2,517,489
Wells Fargo Alternative Loan Trust, Series 2007-PA5, Class 1A1
6.25%		11/25/37			52,372		51,407
Wells Fargo Home Equity Trust, Series 2006-1, Class A4
(LIBOR USD 1-Month plus 0.25%)
1.80%		07/25/36	²		2,899,473		2,879,124
Wells Fargo Home Equity Trust, Series 2007-1, Class A3
(LIBOR USD 1-Month plus 0.32%)
1.87%		03/25/37	²		4,690,000		3,730,438
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR4, Class 1A1
3.35%		04/25/36	⁶		281,727		266,914
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class 7A1
3.63%		10/25/35	⁶		1,720,332		1,698,621
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A2
3.39%		07/25/36	⁶		276,779		279,850
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR14, Class 2A1
3.63%		10/25/36	⁶		1,375,186		1,358,497
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Class 2A1
3.54%		03/25/36	⁶		2,412,930		2,449,088
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR8, Class 3A2
3.61%		04/25/36	⁶		2,618,542		2,596,608


							816,924,462


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed — 7.22%
Fannie Mae Multifamily REMIC Trust, Series 2015-M12, Class FA
(LIBOR USD 1-Month plus 0.34%)
1.58%		04/25/20	²	$	24,153,812	$	24,127,949
Fannie Mae-Aces, Series 2003-M2, Class D
4.68%		01/25/33	⁶		846,212		886,650
Fannie Mae-Aces, Series 2009-M2, Class X
1.46%		01/25/19	⁶		43,511,390		322,637
Fannie Mae-Aces, Series 2010-M5, Class X
0.90%		07/25/20	⁶		21,998,654		475,752
Fannie Mae-Aces, Series 2011-M5, Class X
1.13%		07/25/21	⁶		72,902,036		2,457,174
Fannie Mae-Aces, Series 2012-M17, Class X2
0.45%		11/25/22	⁶		138,259,149		2,275,054
Fannie Mae-Aces, Series 2012-M2, Class X
0.70%		02/25/22	⁶		82,150,094		1,859,361
Fannie Mae-Aces, Series 2012-M4, Class X1
0.55%		04/25/22	⁶		78,876,820		1,497,875
Fannie Mae-Aces, Series 2013-M13, Class FA
(LIBOR USD 1-Month plus 0.35%)
1.90%		05/25/18	²		4,651,344		4,643,565
Fannie Mae-Aces, Series 2013-M14, Class FA
(LIBOR USD 1-Month plus 0.35%)
1.90%		08/25/18	²		6,894,042		6,901,944
Fannie Mae-Aces, Series 2013-M4, Class ASQ2
1.45%		02/25/18			670,978		669,937
Fannie Mae-Aces, Series 2016-M11, Class X2
2.70%		07/25/39	⁶		95,993,552		6,933,753
Fannie Mae-Aces, Series 2016-M13, Class FA
(LIBOR USD 1-Month plus 0.67%)
1.91%		11/25/23	²		10,819,591		10,829,149
Fannie Mae-Aces, Series 2016-M2, Class X3
1.97%		04/25/36	⁶		31,637,786		1,942,497
Fannie Mae-Aces, Series 2016-M4, Class X2
2.70%		01/25/39	⁶		56,658,616		6,274,092


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF34, Class A
(LIBOR USD 1-Month plus 0.36%)
1.73%		08/25/24	²	$	7,484,798	$	7,504,740
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K004, Class AX1
1.27%		08/25/19	⁶		83,754,702		1,540,040
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K005, Class A2
4.32%		11/25/19			18,200,000		18,819,856
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K007, Class A2
4.22%		03/25/20			18,325,000		18,987,817
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K007, Class X1 (IO)
1.22%		04/25/20	⁶		50,520,363		993,912
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K008, Class X3
5.28%		08/25/20	⁶		11,970,000		1,439,561
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K009, Class X2 (IO)
5.21%		09/25/40	⁶		10,498,652		1,334,763
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K702, Class X1 (IO)
1.46%		02/25/18	⁶		35,721,382		25,435
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K703, Class A2
2.70%		05/25/18			6,977,628		6,984,147
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K719, Class X1
0.46%		06/25/22	⁶		92,994,432		1,126,628
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K729, Class A1
2.95%		02/25/24			19,195,000		19,537,151
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF02, Class A1
(LIBOR USD 1-Month plus 0.38%)
1.75%		07/25/20	²		1,477,097		1,477,917
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF02, Class A2
(LIBOR USD 1-Month plus 0.55%)


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
1.92%		07/25/20	²	$	3,690,027	$	3,697,757
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF04, Class A
(LIBOR USD 1-Month plus 0.31%)
1.68%		06/25/21	²		8,060,241		8,020,687
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF09, Class A
(LIBOR USD 1-Month plus 0.38%)
1.75%		05/25/22	²		16,224,098		16,088,078
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KGRP, Class A
(LIBOR USD 1-Month plus 0.38%)
1.75%		04/25/20	²		21,475,643		21,514,264
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ04, Class A1
1.38%		10/25/20			8,271,310		8,219,718
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ05, Class A1
1.42%		05/25/21			17,722,495		17,474,485
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ18, Class A1
2.46%		03/25/22			8,900,000		8,901,913
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP01, Class X (IO)
3.27%		01/25/19	⁶		11,286,356		83,917
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS02, Class A
(LIBOR USD 1-Month plus 0.38%)
1.75%		08/25/23	²		5,361,152		5,369,312
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS03, Class A4
4.19%		08/25/19			3,055,000		3,142,943
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS07, Class X
0.65%		09/25/25	⁶		104,500,000		4,483,264
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class A1
3.19%		12/25/19			3,075,021		3,105,030
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class AX
1.17%		01/25/20	⁶		30,306,550		567,299


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KC01, Class X1
0.71%		12/25/22	⁶	$	98,409,877	$	2,189,472
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS01, Class X1 (IO)
1.33%		01/25/23	⁶		31,224,297		1,433,934
Ginnie Mae, Series 2006-3, Class C
5.24%		04/16/39	⁶		492,568		493,851
Ginnie Mae, Series 2011-109, Class AB
2.70%		04/16/43			52,543		52,507
Ginnie Mae, Series 2011-152, Class IO
0.62%		08/16/51	⁶		19,620,120		383,825
Ginnie Mae, Series 2011-77, Class (IO)
0.62%		04/16/42	⁶		10,250,268		479,251
Ginnie Mae, Series 2011-86, Class B
3.00%		02/16/41			2,286,728		2,293,408
Ginnie Mae, Series 2011-9, Class D
3.52%		04/16/44	⁶		8,810,000		8,941,462
Ginnie Mae, Series 2012-112, Class IO
0.31%		02/16/53	⁶		72,293,631		1,673,626
Ginnie Mae, Series 2012-27, Class AD
2.90%		03/16/44			13,179,039		13,136,996
Ginnie Mae, Series 2014-103, Class IO
0.62%		05/16/55	⁶		43,413,603		1,713,824
Ginnie Mae, Series 2014-125, Class (IO)
0.97%		11/16/54	⁶		42,420,704		2,738,091
Ginnie Mae, Series 2016-22, Class IX
1.25%		06/16/38	⁶		18,624,629		1,817,740
Ginnie Mae, Series 2017-148, Class IO
0.66%		07/16/59	⁶		37,634,125		2,458,276
Ginnie Mae, Series 2017-44, Class IO
0.70%		04/17/51	⁶		26,800,024		1,674,656


							294,018,942

U.S. Agency Mortgage-Backed — 4.61%
Fannie Mae Pool 463617
4.91%		10/01/19			3,916,908		4,065,719
Fannie Mae Pool 464814
4.43%		04/01/20			2,839,912		2,965,419
Fannie Mae Pool 466973
3.85%		01/01/21			18,388,173		19,200,585
Fannie Mae Pool 468048
4.41%		05/01/21			1,658,747		1,751,547
Fannie Mae Pool 468551
3.98%		07/01/21			3,885,000		4,079,397
Fannie Mae Pool 468861
3.84%		08/01/21			3,888,182		4,069,578


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 469629
3.43%		12/01/21		$	8,104,367	$	8,400,561
Fannie Mae Pool 469853
3.32%		12/01/21			17,775,246		18,334,833
Fannie Mae Pool 471474
2.61%		05/01/19			3,190,000		3,207,035
Fannie Mae Pool 958777
4.43%		05/01/19			5,054,500		5,204,123
Fannie Mae Pool AE0134
4.40%		02/01/20			890,000		924,732
Fannie Mae Pool AE0918
3.67%		10/01/20			247,824		255,837
Fannie Mae Pool AL0151
4.38%		04/01/21			275,267		290,101
Fannie Mae Pool AL0290
4.45%		04/01/21			11,077,529		11,714,712
Fannie Mae Pool AL0600
4.30%		07/01/21			129,311		137,027
Fannie Mae Pool AL5584
4.42%		12/01/20			3,913,994		4,109,926
Fannie Mae Pool AN0026
3.48%		11/01/35			3,698,284		3,843,510
Fannie Mae Pool AN0564
3.20%		03/01/31			7,500,000		7,632,596
Fannie Mae Pool AN0971
3.11%		02/01/28			7,535,000		7,661,472
Fannie Mae Pool AN0976
3.26%		02/01/28			2,970,000		3,054,472
Fannie Mae Pool AN1151
3.20%		03/01/31			3,709,894		3,767,360
Fannie Mae Pool AN2799
2.21%		09/01/26			12,655,000		12,119,826
Fannie Mae Pool AN3516
(LIBOR USD 1-Month plus 0.65%)
2.02%		11/01/26	²		17,245,000		17,270,256
Fannie Mae Pool AN3597
(LIBOR USD 1-Month plus 0.64%)
2.01%		11/01/26	²		15,000,000		15,010,717
Fannie Mae Pool FN0000
3.59%		09/01/20			373,210		384,396
Fannie Mae Pool FN0003
4.28%		01/01/21			5,416,182		5,698,542
Fannie Mae REMICS, Series 2003-64, Class KS (-1.29 X LIBOR USD 1-Month plus 9.64%, 9.64% Cap)
7.63%		07/25/18	²		745		715
Fannie Mae REMICS, Series 2006-11, Class PS


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
(-3.67 X LIBOR USD 1-Month plus 24.57%, 24.57% Cap)
18.88%		03/25/36	²	$	28,108	$	43,915
Fannie Mae REMICS, Series 2006-8, Class HJ (IO)
5.05%		03/25/36	²		1,575,596		260,517
Fannie Mae REMICS, Series 2007-52, Class LS (IO)
4.50%		06/25/37	²		62,471		7,969
Fannie Mae REMICS, Series 2007-77, Class SK (IO)
4.32%		08/25/37	²		119,014		17,704
Fannie Mae REMICS, Series 2007-88, Class JI (IO)
4.90%		04/25/37	²		1,513,561		287,381
Fannie Mae REMICS, Series 2008-18, Class SM (IO)
5.45%		03/25/38	²		78,213		10,934
Fannie Mae REMICS, Series 2008-62, Class SN (IO)
4.65%		07/25/38	²		353,441		56,798
Fannie Mae REMICS, Series 2010-116, Class SE (IO)
5.05%		10/25/40	²		89,725		13,788
Fannie Mae REMICS, Series 2014-49, Class CF
(LIBOR USD 1-Month plus 1.00%)
2.57%		07/25/43	²		14,521,503		14,726,396
Freddie Mac REMICS, Series 2711, Class FA
(LIBOR USD 1-Month plus 1.00%)
2.48%		11/15/33	²		96,098		98,221
Freddie Mac REMICS, Series 2733, Class FB
(LIBOR USD 1-Month plus 0.60%)
2.08%		10/15/33	²		430,514		435,756
Freddie Mac REMICS, Series 3327, Class LZ
6.00%		06/15/37			234,956		256,149
Freddie Mac REMICS, Series 3339, Class JS
(-6.50 X LIBOR USD 1-Month plus 42.84%, 42.84% Cap)
33.23%		07/15/37	²		21,066		39,846
Freddie Mac REMICS, Series 3404, Class AS (IO)
4.42%		01/15/38	²		93,947		14,605
Freddie Mac REMICS, Series 3439, Class SC (IO)
4.42%		04/15/38	²		67,289		9,149
Freddie Mac REMICS, Series 3828, Class TF
(LIBOR USD 1-Month plus 0.40%)
1.88%		04/15/29	²		61,127		61,227


Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS, Series 4030, Class HS (IO) (-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap)
5.13%		04/15/42	²	$	214,230	$	38,647
Freddie Mac REMICS, Series 4638, Class UF
(LIBOR USD 1-Month plus 1.00%)
2.57%		09/15/44	²		5,363,254		5,423,820
Freddie Mac, Series 3885, Class PO (PO)
0.00%		11/15/33	⁹		32,920		29,366
Ginnie Mae, Series 2011-146, Class EI (IO)
5.00%		11/16/41			166,662		35,102
Ginnie Mae, Series 2011-69, Class GI (IO)
5.00%		05/16/40			271,238		20,782
Ginnie Mae, Series 2011-70, Class IL (IO)
0.60%		06/16/37	²		1,000,930		20,121
Ginnie Mae, Series 2011-81, Class IC (IO)
0.62%		07/20/35	²		1,540,439		27,423
Ginnie Mae, Series 2012-7, Class PI (IO)
3.50%		01/20/38			79,656		2,496
Ginnie Mae, Series 2013-135, Class CS (IO)
4.71%		09/16/43	²		3,953,696		601,557


							187,694,663

Total Mortgage-Backed
(Cost $1,609,838,032)							1,616,463,061

MUNICIPAL BONDS — 0.88%*
California — 0.25%
Los Angeles Department of Water & Power, Build America Bonds, Series SY
6.01%		07/01/39			1,950,000		2,544,399
State of California, Build America Bonds
7.95%		03/01/36			6,650,000		7,429,181


							9,973,580

Massachusetts — 0.16%
Commonwealth of Massachusetts, Build America Bonds, Public Improvements
4.91%		05/01/29			4,490,000		5,279,746
Commonwealth of Massachusetts, Public Improvements, Series E
3.00%		04/01/44			1,325,000		1,242,201


							6,521,947

New York — 0.41%
City of New York, Build America Bonds, Series F1
6.65%		12/01/31			3,000,000		3,365,730


Issues	Maturity Date			Principal Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
City of New York, General Purpose, Public Improvements, Series B-3
3.05%		10/01/29		$	2,000,000	$	1,973,800
New York City Municipal Water Finance Authority, Build America Bonds, Series SE
6.49%		06/15/42			1,650,000		1,810,083
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries F-2
2.90%		05/01/26			6,000,000		5,938,860
New York State Dormitory Authority, Build America Bonds
5.29%		03/15/33			3,100,000		3,642,624


							16,731,097

Wisconsin — 0.06%
Wisconsin Health & Educational Facilities Authority, Ascension Health Credit Group
4.00%		11/15/39			750,000		790,447
4.00%		11/15/46			1,675,000		1,756,305


							2,546,752

Total Municipal Bonds
(Cost $35,048,818)							35,773,376

U.S. AGENCY SECURITIES — 0.08%
U.S. Agency Securities — 0.08%
Federal Farm Credit Bank
1.60%		05/03/18	²		3,250,000		3,252,396


Total U.S. Agency Securities
(Cost $3,249,972)
U.S. TREASURY SECURITIES — 1.32%
U.S. Treasury Notes — 1.32%
U.S. Treasury Notes
1.71%		01/31/18	²		20,000,000		20,006,198
2.00%		11/30/22			34,085,000		33,780,031

Total U.S. Treasury Securities
(Cost $53,988,938)							53,786,229

Total Bonds – 88.08%
(Cost $3,557,228,289)							3,587,510,351


Issues	Shares		Value
COMMON STOCK — 0.06%
Electric — 0.06%
Homer City Holdings LLC^1,4,5		112,222	$	2,244,440


Total Common Stock
(Cost $5,519,754)


Issues	Maturity Date			Principal Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 9.82%
Foreign Government Obligations — 6.02%
Japan Treasury Discount Bill, Series 711 (Japan)
0.00%¹⁰		01/10/18	³	$	8,210,000,000		72,882,134
Japan Treasury Discount Bill, Series 716 (Japan)
0.00%¹⁰		01/29/18	³		16,665,000,000		147,948,364
Japan Treasury Discount Bill, Series 727 (Japan)
0.00%¹⁰		03/26/18	³		2,750,000,000		24,420,195


							245,250,693

Money Market Funds — 1.39%
Dreyfus Government Cash Management Fund
1.19%¹¹					17,131,000		17,131,000
Fidelity Investments Money Market Funds - Government Portfolio
1.14%^11,12					587		587
Morgan Stanley Institutional Liquidity Funds-Government Portfolio
1.20%¹¹					39,230,000		39,230,000


							56,361,587

U.S. Treasury Bills — 2.41%
U.S. Treasury Bills
0.87%¹⁰		01/18/18			27,000,000		26,985,195
0.90%¹⁰		02/01/18			39,000,000		38,959,036
1.07%¹⁰		03/01/18	¹³		2,339,000		2,334,224
1.28%¹⁰		04/19/18			30,000,000		29,875,603


							98,154,058


Total Short-Term Investments
(Cost $399,943,119)							399,766,338


Total Investments — 97.96%
(Cost $3,962,691,162)							3,989,521,129


Cash and Other Assets, Less Liabilities — 2.04%							83,275,274


Net Assets — 100.00%						$	4,072,796,403

¹	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.

²	Floating rate security. The rate disclosed was in effect at December 31, 2017.

³	U.S. dollar-denominated security issued by foreign-domiciled entity.

⁴	Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁵	Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $52,917,248, which is 1.30% of total net assets.

⁶

⁷	Non-income producing security.

⁸	Security is currently in default with regard to scheduled interest or principal payments.

⁹	Zero coupon bond. The rate shown is the effective yield as of December 31, 2017.

¹⁰	Represents annualized yield at date of purchase.

¹¹	Represents the current yield as of December 31, 2017.

¹²	Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $810,597.

¹³	Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $2,061,703.

^†

Fair valued security. The aggregate value of fair valued securities is $7,781,440 , which is 0.19% 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

(EUR): Euro dollar

(GMTN): Global medium-term note

(IO): Interest only

(JPY): Japanese Yen

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(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 effective interest method.

Distributions to shareholders are recorded on the ex-dividend date. The Funds (except the AlphaTrak 500 Fund) expect to declare dividends daily and pay them monthly to shareholders. The AlphaTrak 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, 2017, 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 Statements 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:

* Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

* Level 3 - significant unobservable inputs that are not corroborated by observable market data

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 as Level 2 of the fair value hierarchy.

Equity securities. Securities such as common stocks and warrants 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, 2017, Level 3 securities consist of certain asset-backed and mortgage-backed securities, bank loans, common stocks, corporate bonds and warrants.

The summary of inputs used to value each Fund’s investments and other financial instruments carried at fair value December 31, 2017 is as follows:

*Other financial instruments include foreign currency exchange contracts and futures. Equity contracts include futures.

*Other financial instruments include swap contracts and foreign currency exchange 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.



STRATEGIC INCOME FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities

Assets

Short-Term Investments:

Foreign Government Obligations		$ —		$ 5,415,596		$ —		$ 5,415,596

Money Market Funds		1,700,000		—		—		1,700,000

U.S. Treasury Bills		787,911		—		—		787,911

Long-Term Investments:

Asset-Backed Securities		—		10,267,945		209,106		10,477,051

Bank Loans		—		196,509		—		196,509

Corporates		—		32,126,050		—		32,126,050

Mortgage-Backed		—		43,010,564		1,288,423		44,298,987

Municipal Bonds		—		907,417		—		907,417

Other Financial Instruments *

Assets:

Foreign currency exchange contracts		—		42,351		—		42,351

Interest rate contracts		42,374		—		—		42,374

Liabilities:

Foreign currency exchange contracts		—		(15,644)		—		(15,644)


Total		$2,530,285		$91,950,788		$1,497,529		$95,978,602

*Other financial instruments include foreign currency exchange contracts and futures. Interest rate contracts include futures.



TOTAL RETURN BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities

Assets

Short-Term Investments:

Foreign Government Obligations		$ —		$ 3,822,636,833		$ —		$ 3,822,636,833

Money Market Funds		1,656,062,944		—		—		1,656,062,944

U.S. Agency Discount Notes		—		1,397,354,875		—		1,397,354,875

U.S. Treasury Bills		66,513,895		—		—		66,513,895

Long-Term Investments:

Asset-Backed Securities		—		4,136,229,391		10,392,290		4,146,621,681

Bank Loans		—		509,934,114		23,411,287		533,345,401

Common Stock		1,460,627		—		23,614,060		25,074,687

Corporates		—		23,728,890,590		24,482,655		23,753,373,245

Mortgage-Backed		—		30,722,263,877		17,402,157		30,739,666,034

Municipal Bonds		—		764,806,666		—		764,806,666

Purchased Options - Exchange Traded		9,937,500		—		—		9,937,500

U.S. Agency Securities		—		17,336,550		—		17,336,550

U.S. Treasury Securities		16,178,504,913		2,654,818,214		—		18,833,323,127

Other Financial Instruments *

Assets:

Foreign currency exchange contracts		—		18,976,004		—		18,976,004

Interest rate contracts		5,614,712		—		—		5,614,712

Liabilities:

Foreign currency exchange contracts		—		(28,992,364)		—		(28,992,364)

Interest rate contracts		(37,724,464)		—		—		(37,724,464)


Total		$17,880,370,127		$67,744,254,750		$99,302,449		$85,723,927,326

* Other financial instruments include foreign currency exchange contracts, futures and written options. Interest rate contracts include futures and written options.



ULTRA SHORT BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL
Investments in Securities

Assets

Short-Term Investments:

Foreign Government Obligations		$ —			$ 1,820,193			$ —		$ 1,820,193

Money Market Funds		4,860,000			—			—		4,860,000

U.S. Treasury Bills		6,685,651			—			—		6,685,651

Long-Term Investments:

Asset-Backed Securities		—			2,613,108			—		2,613,108

Corporates		—			30,179,758			—		30,179,758

Mortgage-Backed		—			48,062,222			32,783		48,095,005

U.S. Treasury Securities		28,283,266			—			—		28,283,266

Other Financial Instruments *

Assets:

Foreign currency exchange contracts		—			42,853			—		42,853

Liabilities:

Foreign currency exchange contracts		—			(17,556	)		—		(17,556	)

Interest rate contracts		(257	)		—			—		(257	)


Total		$39,828,660			$82,700,578			$32,783		$122,562,021

*Other financial instruments include foreign currency exchange contracts and futures. Interest rate contracts include futures.



UNCONSTRAINED BOND FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL
Investments in Securities

Assets

Short-Term Investments:

Foreign Government Obligations		$ —			$ 245,250,693			$ —		$ 245,250,693

Money Market Funds		56,361,587			—			—		56,361,587

U.S. Treasury Bills		98,154,058			—			—		98,154,058

Long-Term Investments:

Asset-Backed Securities		—			523,384,706			—		523,384,706

Bank Loans		—			21,154,507			6,965,561		28,120,068

Common Stock		—			—			2,244,440		2,244,440

Corporates		—			1,266,764,925			2,235,666		1,269,000,591

Foreign Government Obligations		—			57,729,924			—		57,729,924

Mortgage-Backed		—			1,574,991,480			41,471,581		1,616,463,061

Municipal Bonds		—			35,773,376			—		35,773,376

U.S. Agency Securities		—			3,252,396			—		3,252,396

U.S. Treasury Securities		53,786,229			—			—		53,786,229

Other Financial Instruments *

Assets:

Foreign currency exchange contracts		—			1,113,061			—		1,113,061

Interest rate contracts		222,334			—			—		222,334

Liabilities:

Foreign currency exchange contracts		—			(622,086	)		—		(622,086	)

Interest rate contracts		(390,201	)		—			—		(390,201	)


Total		$ 208,134,007			$ 3,728,792,982			$ 52,917,248		$ 3,989,844,237

*Other financial instruments include foreign currency exchange contracts and futures. 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, 2017.

For the period ended December 31, 2017, a reconciliation of level 3 investments is presented when the Fund had a significant amount of level 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:


ALPHATRAK 500 FUND	BANK LOANS				MORTGAGE-BACKED SECURITIES

Balance as of April 1, 2017		$	74,930			$	66,570
Accrued discounts/premiums			(49	)			(5,801	)
Realized (loss)			(94	)			—
Change in unrealized appreciation/ (depreciation)^*			163				(4,165	)
Purchases			19				25,792
Sales			(41,869	)			—
Transfers into Level 3^**			—				—
Transfers out of Level 3^**			—				—


Balance as of December 31, 2017		$	33,100			$	82,396

* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2017 was $(2,763) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.